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世界上最大的狼古城凤凰Factor Model Forecasts of Exchange Rates审美认知>祢衡怎么读
期刊名称： Econometric Reviews
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作者： Charles Engel,Nelson C. Mark,Kenneth D. West
年份： 2015年
关键词： Forecasting;Exchange rates;Factor models;
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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