A simple model and its application in currency valuation
AbstractA 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40650.
Date of creation: 01 Aug 2012
Date of revision:
Equilibrium exchange rate; Absolute purchasing power parity; Penn effect; Chinese renminbi;
Find related papers by JEL classification:
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
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