EconPapers    
Economics at your fingertips  
 

The Common Factor of Bilateral U.S. Exchange Rates: What is it Related to?

Natalia Ponomareva, Jeffrey Sheen and Ben Wang

MPRA Paper from University Library of Munich, Germany

Abstract: We identify a common factor driving a panel of fifteen monthly bilateral exchange rates against the U.S. dollar. We find this factor is closely related to U.S. nominal and real macroeconomic variables, financial market variables and commodity prices. Our results suggest this common factor is broadly related to the macroeconomic fundamentals in the Taylor rule and uncovered interest parity models. However, the set of fundamentals relevant to these models changes over time.

Keywords: Principal Component Analysis; Exchange Rate Models (search for similar items in EconPapers)
JEL-codes: C52 F31 (search for similar items in EconPapers)
Date: 2015-12
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/68966/1/MPRA_paper_68966.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68966

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-22
Handle: RePEc:pra:mprapa:68966