Factor Model Forecasts of Exchange Rates提拉米苏的英文
cooties期刊名称： Econometric Reviewswhat you are
作者： Charles Engel,Nelson C. Mark,Kenneth D. West
年份： 2015年beginwith
美国占领华尔街运动关键词： Forecasting;Exchange rates;Factor models;
剑桥少儿英语教材下载>雅思考试摘要：We construct factors from a cross-ction of exchange rates and u the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is esntially no rial correlation in the univariate exchange rate process. We apply the technique to a panel of bilateral U.S. dollar rates against 17 Organisation for Economic Co-operation and Development countries. We forecast using factors, and using factors combined with any of fundamentals suggested by Taylor rule, monetary and purchasing power parity models. For long horizon (8 and 12 quarter) forecasts, we tend to improve on the forecast of a "no change" benchmark in the late (1999-2007) but not early (1987-1998) parts of our sample.
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