dc.contributor.author |
Greenaway-McGrevy, Ryan |
en |
dc.contributor.author |
Mark, NC |
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dc.contributor.author |
Sul, D |
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dc.contributor.author |
Wu, JL |
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dc.date.accessioned |
2016-07-28T01:59:29Z |
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dc.date.issued |
2012-08 |
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dc.identifier.citation |
2012 |
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dc.identifier.uri |
http://hdl.handle.net/2292/29640 |
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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. |
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dc.description.uri |
http://www.hkimr.org/working_papers |
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dc.publisher |
Hong Kong Institute for Monetary Research |
en |
dc.relation.ispartofseries |
HKIMR Working Paper |
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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/ |
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dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
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dc.title |
Exchange Rates as Exchange Rate Common Factors |
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dc.type |
Report |
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dc.rights.holder |
Copyright:
Hong Kong Institute for Monetary Research |
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pubs.author-url |
http://www.hkimr.org/uploads/publication/38/wp-no-21_2012-final-.pdf |
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pubs.place-of-publication |
Hong Kong, China |
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pubs.publication-status |
Published |
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dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
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pubs.subtype |
Working Paper |
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pubs.elements-id |
534523 |
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pubs.org-id |
Business and Economics |
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pubs.org-id |
Economics |
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pubs.number |
21/2012 |
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pubs.record-created-at-source-date |
2016-07-05 |
en |