Identifying Exchange Rate Common Factors
收藏NBER2017-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23726
下载链接
链接失效反馈官方服务：
资源简介：
Using recently developed model selection procedures, we determine that exchange rate returns are driven by a two-factor model. We identify them as a dollar factor and a euro factor. Exchange rates are thus driven by global, US, and Euro-zone stochastic discount factors. The identified factors can
提供机构：
美国国家经济研究局
创建时间：
2017-08-01
