A simple model and its application in currency valuation

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.

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Year of publication:	2012-08-01
Authors:	Zhang, Zhibai
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Equilibrium exchange rate \| Absolute purchasing power parity \| Penn effect \| Chinese renminbi

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	F41 - Open Economy Macroeconomics ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011259715