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

stochastic discount factorsexchange rate returnsprincipal components forecasting

Mathematics Subject Classification ID

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

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Cited in

(5)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• 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
• Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels

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