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Computing currency invariant indices with an application to minimum variance currency baskets

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  • Hovanov, Nikolai V.
  • Kolari, James W.
  • Sokolov, Mikhail V.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 8 (June)
Pages: 1481-1504

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:8:p:1481-1504

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References

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  1. Robert Shiller, 1998. "Indexed Units of Account: Theory and Assessment of Historical Experience," Working Papers Central Bank of Chile 28, Central Bank of Chile.
  2. Hali J. Edison, 1986. "Is the ECU an optimal currency basket?," International Finance Discussion Papers 282, Board of Governors of the Federal Reserve System (U.S.).
  3. Rustem, Berc, 1995. "Computing optimal multi-currency mean-variance portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 901-908.
  4. Robert Mundell, 2000. "Currency Areas, Exchange Rate Systems and International Monetary Reform," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 217-256, November.
  5. Lok Sang Ho, 2000. "Towards a New International Monetary Order: The World Currency Unit and the Global Indexed Bond," The World Economy, Wiley Blackwell, vol. 23(7), pages 939-950, 07.
  6. Robert A. Mundell, 2000. "A Reconsideration of the Twentieth Century," American Economic Review, American Economic Association, vol. 90(3), pages 327-340, June.
  7. Branson, William H. & Katseli-Papaefstratiou, Louka T., 1980. "Income instability, terms of trade, and the choice of exchange rate regime," Journal of Development Economics, Elsevier, vol. 7(1), pages 49-69, February.
  8. Ogawa, Eiji & Ito, Takatoshi, 2002. "On the Desirability of a Regional Basket Currency Arrangement," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 317-334, September.
  9. Hali J. Edison & Erling Vardal, 1985. "Optimal currency basket in a world of generalized floating : an application to the nordic countries," International Finance Discussion Papers 266, Board of Governors of the Federal Reserve System (U.S.).
  10. R. A. Mundell, 2000. "Erratum: A Reconsideration of the Twentieth Century," American Economic Review, American Economic Association, vol. 90(5), pages 1535-1535, December.
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Citations

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Cited by:
  1. Siegmann, Arjen, 2004. "Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1505-1510, June.
  2. Egil Ferkingstad & Anders L{\o}land & Mathilde Wilhelmsen, 2011. "Causal modeling and inference for electricity markets," Papers 1110.5429, arXiv.org.
  3. Kolari, James W. & Moorman, Ted C. & Sorescu, Sorin M., 2008. "Foreign exchange risk and the cross-section of stock returns," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1074-1097, November.
  4. Zhang, Zhichao & Shi, Nan & Zhang, Xiaoli, 2011. "China’s new exchange rate regime, optimal basket currency and currency diversification," MPRA Paper 32642, University Library of Munich, Germany.
  5. Victor Pontines, 2013. "How Useful Is an Asian Currency Unit (ACU) Index for Surveillance in East Asia?," Governance Working Papers 23398, East Asian Bureau of Economic Research.
  6. Hovanov, Nikolai V. & Kolari, James W. & Sokolov, Mikhail V., 2007. "Synthetic money," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 161-168.
  7. Zohrabyan, Tatevik & Bessler, David A., 2006. "On Price Dynamics in International Wheat Markets," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 137782, Australian Agricultural and Resource Economics Society.
  8. Hovanov, Nikolai V. & Kolari, James W. & Sokolov, Mikhail V., 2008. "Deriving weights from general pairwise comparison matrices," Mathematical Social Sciences, Elsevier, vol. 55(2), pages 205-220, March.
  9. Ferkingstad, Egil & Løland, Anders & Wilhelmsen, Mathilde, 2011. "Causal modeling and inference for electricity markets," Energy Economics, Elsevier, vol. 33(3), pages 404-412, May.
  10. Fraire, Francisco & Leatham, David J., 2006. "Decision Making Tool to Hedge Exchange Rate Risk," Proceedings: 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006; Washington, DC 133082, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.

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