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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Zhang, Zhibai (2012): A simple model and its application in currency valuation.
Classification:	F41 - Open Economy Macroeconomics ; F31 - Foreign Exchange
Source:	BASE

Persistent link: https://www.econbiz.de/10015233325