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.

中文翻译：

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全球汇率因素结构

我们提出了一种无模型方法来估计国际随机贴现因子（SDF），该因子对存在摩擦的市场中的国际股票、债券和货币的横截面进行联合定价。我们理论上将 SDF 分解为一个全球因素和一个货币篮子。我们表明，我们的全球因子对国际资产回报的很大一部分进行了定价，不仅包括样本内的资产回报，还包括样本外不同货币面额的资产回报。而且，全球因素的定价能力在很大程度上独立于市场结构或市场摩擦的规模和类型。