IDENTIFYING EXCHANGE RATE COMMON FACTORS

DOI10.1111/iere.12334zbMath1419.91505OpenAlexW3128959100MaRDI QIDQ4629237

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

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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