Gravity in the Exchange Rate Factor Structure
研究发现，与贸易伙伴距离越远的国家，其货币面临的系统性风险越大，这源于汇率因子结构中的引力效应，贸易网络中心性最能预测货币的系统性风险暴露。
Abstract We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. Currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of exchange rates: When a currency appreciates against a basket of other currencies, its bilateral exchange rate appreciates more against currencies of distant countries. As a result, currencies of peripheral countries are more exposed to systematic variation than currencies of central countries. Trade network centrality best predicts a currency’s average exposure to systematic risk.