Identifying exchange rate common factors

DOI10.1111/IERE.12334MaRDI QIDQ4629237zbMATH OpenOpenAlexFDO

Authors Ryan Greenaway-McGrevy, Nelson C. Mark, Donggyu Sul, Jyh-Lin Wu

Publication date 21 March 2019

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w23726.pdf

zbMATH Keywords

exchange rate returnsprincipal components forecastingstochastic discount factors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cited in

(6)

• Detection of units with pervasive effects in large panel data models
• On the sources of uncertainty in exchange rate predictability
• Factor model forecasts of exchange rates
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels
• Regime-specific exchange rate predictability

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