Beyond the dollar: a global perspective on exchange rate dynamics via currency factors

Detalhes bibliográficos
Autor(a) principal: Trancoso, Tiago
Data de Publicação: 2023
Outros Autores: Gomes, Sofia
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/5029
https://doi.org/10.1016/j.frl.2023.104261
Resumo: This paper investigates the dynamics of currency exchange rates from a global perspective, by expanding on the concept of currency factors. Through the analysis of G10 currencies, we disclose the interconnections and patterns driving exchange rates, shedding light on the central role of the euro and Swiss franc in shock propagation. Furthermore, we observe that pound and yen factors have acted as net absorbers of spillovers from other currencies. Our findings suggest that currency factors provide valuable insights for international diversification, risk sharing strategies, and real- time indicators of foreign exchange market uncertainty.
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spelling Beyond the dollar: a global perspective on exchange rate dynamics via currency factorsCurrency factorsReturn spilloversCurrency basketsDollar factorG10 currenciesThis paper investigates the dynamics of currency exchange rates from a global perspective, by expanding on the concept of currency factors. Through the analysis of G10 currencies, we disclose the interconnections and patterns driving exchange rates, shedding light on the central role of the euro and Swiss franc in shock propagation. Furthermore, we observe that pound and yen factors have acted as net absorbers of spillovers from other currencies. Our findings suggest that currency factors provide valuable insights for international diversification, risk sharing strategies, and real- time indicators of foreign exchange market uncertainty.Elsevier2023-08-28T10:01:02Z2023-08-282023-07-25T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfTrancoso, T., & Gomes, S. (2023). Beyond the Dollar: a global perspective on exchange rate dynamics via currency factors. Finance Research Letters, 58(104261), 1-6. https://doi.org/10.1016/j.frl.2023.104261. Repositório Institucional UPT. http://hdl.handle.net/11328/5029http://hdl.handle.net/11328/5029Trancoso, T., & Gomes, S. (2023). Beyond the Dollar: a global perspective on exchange rate dynamics via currency factors. Finance Research Letters, 58(104261), 1-6. https://doi.org/10.1016/j.frl.2023.104261. Repositório Institucional UPT. http://hdl.handle.net/11328/5029http://hdl.handle.net/11328/5029https://doi.org/10.1016/j.frl.2023.104261eng1544-61231544-6131https://www.sciencedirect.com/science/article/pii/S1544612323006335http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessTrancoso, TiagoGomes, Sofiareponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T02:02:30Zoai:repositorio.upt.pt:11328/5029Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:38:36.332848Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
title Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
spellingShingle Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
Trancoso, Tiago
Currency factors
Return spillovers
Currency baskets
Dollar factor
G10 currencies
title_short Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
title_full Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
title_fullStr Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
title_full_unstemmed Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
title_sort Beyond the dollar: a global perspective on exchange rate dynamics via currency factors
author Trancoso, Tiago
author_facet Trancoso, Tiago
Gomes, Sofia
author_role author
author2 Gomes, Sofia
author2_role author
dc.contributor.author.fl_str_mv Trancoso, Tiago
Gomes, Sofia
dc.subject.por.fl_str_mv Currency factors
Return spillovers
Currency baskets
Dollar factor
G10 currencies
topic Currency factors
Return spillovers
Currency baskets
Dollar factor
G10 currencies
description This paper investigates the dynamics of currency exchange rates from a global perspective, by expanding on the concept of currency factors. Through the analysis of G10 currencies, we disclose the interconnections and patterns driving exchange rates, shedding light on the central role of the euro and Swiss franc in shock propagation. Furthermore, we observe that pound and yen factors have acted as net absorbers of spillovers from other currencies. Our findings suggest that currency factors provide valuable insights for international diversification, risk sharing strategies, and real- time indicators of foreign exchange market uncertainty.
publishDate 2023
dc.date.none.fl_str_mv 2023-08-28T10:01:02Z
2023-08-28
2023-07-25T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv Trancoso, T., & Gomes, S. (2023). Beyond the Dollar: a global perspective on exchange rate dynamics via currency factors. Finance Research Letters, 58(104261), 1-6. https://doi.org/10.1016/j.frl.2023.104261. Repositório Institucional UPT. http://hdl.handle.net/11328/5029
http://hdl.handle.net/11328/5029
Trancoso, T., & Gomes, S. (2023). Beyond the Dollar: a global perspective on exchange rate dynamics via currency factors. Finance Research Letters, 58(104261), 1-6. https://doi.org/10.1016/j.frl.2023.104261. Repositório Institucional UPT. http://hdl.handle.net/11328/5029
http://hdl.handle.net/11328/5029
https://doi.org/10.1016/j.frl.2023.104261
identifier_str_mv Trancoso, T., & Gomes, S. (2023). Beyond the Dollar: a global perspective on exchange rate dynamics via currency factors. Finance Research Letters, 58(104261), 1-6. https://doi.org/10.1016/j.frl.2023.104261. Repositório Institucional UPT. http://hdl.handle.net/11328/5029
url http://hdl.handle.net/11328/5029
https://doi.org/10.1016/j.frl.2023.104261
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1544-6123
1544-6131
https://www.sciencedirect.com/science/article/pii/S1544612323006335
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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