Zhang, Zhibai (2012): A simple model and its application in currency valuation.
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A simple currency valuation model is given. The model is based on the Penn effect but reduces the uncertainty of the econometric specification that the Penn effect and many other models have. We use the model to valuate eleven main currencies’ bilateral real exchange rate against the US dollar from 1980 to 2010. In the model finding, a seeming convergence phenomenon is found.
|Item Type:||MPRA Paper|
|Original Title:||A simple model and its application in currency valuation|
|Keywords:||Equilibrium exchange rate; Absolute purchasing power parity; Penn effect; Chinese renminbi|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Zhibai Zhang|
|Date Deposited:||14. Aug 2012 09:20|
|Last Modified:||16. Feb 2013 06:44|
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