Premium
The Influences of Major Currencies in Foreign Exchange Markets: A Regression‐Based Measure and Its Application
Author(s) -
Kim SooHyun,
Lee Kyuseok
Publication year - 2016
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12070
Subject(s) - explanatory power , economics , us dollar , currency , pound (networking) , monetary economics , exchange rate , liberian dollar , econometrics , measure (data warehouse) , sample (material) , foreign exchange market , computer science , finance , philosophy , chemistry , epistemology , database , chromatography , world wide web
Based on the regression explanatory power, we propose a measure of the relative influences of a group of major currencies, including the US dollar, euro, J apanese yen, and UK pound, on the exchange rate behaviors of lesser currencies. Using the measure and 27 sample floating currencies, we empirically examine the cross‐currency and temporal variations in the relative influences of two, three, and four major currencies during the 16‐year post‐euro period of 1999 to 2014.