再论汇率的因素模型预测

INTL: Economic & Financial Issues (Topic) Pub Date : 2012-06-03 DOI:10.2139/ssrn.2073823

Jyh‐Lin Wu, Yi-Chiuan Wang

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引用次数: 4

摘要

本文构建了具有独立成分因子的基于因子的基本汇率模型，并重新检验了因子模型在预测名义汇率方面的优越性。通过应用17个经合组织国家1973-2011年的面板数据，本文发现，无论样本周期如何，因子模型及其PPP和TR基本面增强模型都显示出强有力的证据，可以击败中长期随机漫步基准。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Factor Model Forecasts of Exchange Rates Revisited

This paper constructs factor-based fundamental exchange rates with independent component factors and then re-examines the superiority of factor models in out-predicting nominal exchange rates. By applying the panel data of 17 OECD countries over the period 1973-2011, this article finds that both the factor model and its PPP and TR fundamentals augmented models reveal strong evidence of defeating the random walk benchmark for medium and long horizons regardless of sample periods.

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INTL: Economic & Financial Issues (Topic)

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