The global factor structure of exchange rates
提出一种无模型方法估计国际随机贴现因子，将其分解为一个全球因子和一个货币篮子，该因子能定价多种国际资产回报，且定价能力独立于市场摩擦。
We propose a model-free methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section of international asset returns, not just in- but also out-of-sample, across different currency denominations. Moreover, the pricing ability of the global factor is largely independent of the market structure or the size and type of market friction.