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Replication Data: The Global Factor Structure of Exchange Rates

Creators: Sofonias Korsaye , Fabio Trojani , Andrea Vedolin
Publication Date: 26 January 2023
Creators: Sofonias Korsaye , Fabio Trojani , Andrea Vedolin

This dataset, hosted on Mendeley Data, contains the replication data for the study “The Global Factor Structure of Exchange Rates” (Korsaye, Trojani & Vedolin, 2023, Journal of Financial Economics). It includes currency return and exchange rate data used to identify and analyse the global factor structure underlying exchange rate movements, examining common risk factors that drive currency returns across countries.

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