IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v22y2015i10p783-787.html
   My bibliography  Save this article

On the correct model specification for estimating the structure of a currency basket

Author

Listed:
  • Jyh-Dean Hwang

Abstract

A strand of literature has focused on inferring the weights of the anchor currencies in a country's currency basket. With the growing importance of China's economy, there has been a surging research interest in the role of the renminbi as an international anchor currency and in China's de facto exchange rate regime. In this article, we show by a simple model and demonstrate using the observed data on the Special Drawing Rights basket that the correct specification to estimate the weights of anchor currencies in a currency basket is to use the rates of change in exchange rates and to write exchange rates in quantity term. When one is to estimate the structure of a currency basket, close attention should be paid to using the rates of change or the levels of exchange rates as well as writing exchange rates in quantity or price term.

Suggested Citation

  • Jyh-Dean Hwang, 2015. "On the correct model specification for estimating the structure of a currency basket," Applied Economics Letters, Taylor & Francis Journals, vol. 22(10), pages 783-787, July.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:10:p:783-787
    DOI: 10.1080/13504851.2014.978067
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2014.978067
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2014.978067?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:22:y:2015:i:10:p:783-787. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.