Common and idiosyncratic movements in Latin-American exchange rates

Adler, 2021 Aloosh, 2019 Baku, 2019, Exchange rate predictability in emerging markets, Int. Econ., 157, 1, 10.1016/j.inteco.2018.06.003 Barroso, 2016 Benigno, 2008, Exchange rate determination under interest rate rules, J. Int. Money Finance, 27, 971, 10.1016/j.jimonfin.2008.04.009 Calvo, 1993, Capital inflows and real exchange rate appreciation in Latin America: the role of external factors, IMF Staff Pap., 40, 108, 10.2307/3867379 Cayen, 2010 Domowitz, 1985, Conditional variance and the risk premium in the foreign exchange market, J. Int. Econ., 19, 47, 10.1016/0022-1996(85)90018-2 Engel, 2005, Exchange rates and fundamentals, J. Polit. Econ., 113, 485, 10.1086/429137 Evans, 2011 Fernández, 2018, Sharing a ride on the commodities roller coaster: common factors in business cycles of emerging economies, J. Int. Econ., 111, 99, 10.1016/j.jinteco.2017.11.008 Greenaway-McGrevy, 2018, Identifying exchange rate common factors, Int. Econ. Rev., 59, 2193, 10.1111/iere.12334 Jordà, 2005, Estimation and inference of impulse responses by local projections, Am. Econ. Rev., 95, 10.1257/0002828053828518 Lustig, 2011, Common risk factors in currency markets, Rev. Financ. Stud., 24, 3731, 10.1093/rfs/hhr068 MathWorks, 2022 Mendoza, 1995, The terms of trade, the real exchange rate, and economic fluctuations, Int. Econ. Rev., 101, 10.2307/2527429 Miranda-Agrippino, 2021 2022 Solberger, 2019, Estimating a dynamic factor model in EViews using the Kalman Filter and smoother, Comput. Econ., 1 Tai, 1999, Time-varying risk premia in foreign exchange and equity markets: evidence from Asia–Pacific countries, J. Multinatl. Financ. Manag., 9, 291, 10.1016/S1042-444X(99)00004-3 Villar, 2015, 30