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Asset Prices and Exchange Rates

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Table 2: Regressions of macro-variables on the factors. The first two columns report the R squares of the regressions
Table 3: Stability of forecasts based on raw financial variables vs. latent factors f θ , f w , and f w ∗ .
Table 4: Sign restrictions: Estimation of Model (M2) for the US vis-` a-vis the UK.
Figure 1: Asset prices and exchange rates. The exchange rate is measured in the left axis.
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