The Influences of Major Currencies in Foreign Exchange Markets: A Regression-Based Measure and Its Application

초록

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, Japanese 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.

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