{"title":"解释和预测双边美元汇率的美国因素","authors":"N. Ponomareva, Jeffrey Sheen, B. Wang","doi":"10.2139/ssrn.2584734","DOIUrl":null,"url":null,"abstract":"We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show that the out-of-sample one-month-ahead forecasts outperform random walk forecasts for all currencies but the yen.","PeriodicalId":445951,"journal":{"name":"ERN: Forecasting & Simulation (Prices) (Topic)","volume":"53 2","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The U.S. Factor in Explaining and Forecasting Bilateral U.S. Exchange Rates\",\"authors\":\"N. Ponomareva, Jeffrey Sheen, B. Wang\",\"doi\":\"10.2139/ssrn.2584734\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show that the out-of-sample one-month-ahead forecasts outperform random walk forecasts for all currencies but the yen.\",\"PeriodicalId\":445951,\"journal\":{\"name\":\"ERN: Forecasting & Simulation (Prices) (Topic)\",\"volume\":\"53 2\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-03-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Forecasting & Simulation (Prices) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2584734\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Forecasting & Simulation (Prices) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2584734","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The U.S. Factor in Explaining and Forecasting Bilateral U.S. Exchange Rates
We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show that the out-of-sample one-month-ahead forecasts outperform random walk forecasts for all currencies but the yen.
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