| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27892 |
| 来源ID | Working Paper 27892 |
| The Global Factor Structure of Exchange Rates | |
| Sofonias Korsaye; Fabio Trojani; Andrea Vedolin | |
| 发表日期 | 2020-10-05 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in the presence of frictions. We theoretically establish a two-factor representation for the cross-section of international SDFs, consisting of one global and one local factor, which is independent of the currency denomination. We show that our two-factor specification prices a large cross-section of international asset returns, not just in- but also out-of-sample with R2s of up to 80%. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w27892 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585565 |
| 推荐引用方式 GB/T 7714 | Sofonias Korsaye,Fabio Trojani,Andrea Vedolin. The Global Factor Structure of Exchange Rates. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27892.pdf（4037KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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