Exchange Rates as Exchange Rate Common Factors

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dc.contributor.author Greenaway-McGrevy, Ryan en
dc.contributor.author Mark, NC en
dc.contributor.author Sul, D en
dc.contributor.author Wu, JL en
dc.date.accessioned 2016-07-28T01:59:29Z en
dc.date.issued 2012-08 en
dc.identifier.citation 2012 en
dc.identifier.uri http://hdl.handle.net/2292/29640 en
dc.description.abstract Factor analysis performed on a panel of 23 nominal exchange rates from January 1999 to December 2010 yields three common factors. This paper identifies the euro/dollar, Swiss-franc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors explain a large proportion of exchange rate variation over time and have significant in-sample and out-of-sample predictive power. en
dc.description.uri http://www.hkimr.org/working_papers en
dc.publisher Hong Kong Institute for Monetary Research en
dc.relation.ispartofseries HKIMR Working Paper en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.hkimr.org/ en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.title Exchange Rates as Exchange Rate Common Factors en
dc.type Report en
dc.rights.holder Copyright: Hong Kong Institute for Monetary Research en
pubs.author-url http://www.hkimr.org/uploads/publication/38/wp-no-21_2012-final-.pdf en
pubs.place-of-publication Hong Kong, China en
pubs.publication-status Published en
dc.rights.accessrights http://purl.org/eprint/accessRights/RestrictedAccess en
pubs.subtype Working Paper en
pubs.elements-id 534523 en
pubs.org-id Business and Economics en
pubs.org-id Economics en
pubs.number 21/2012 en
pubs.record-created-at-source-date 2016-07-05 en


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