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A simple model and its application in currency valuation

  • Zhang, Zhibai

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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File URL: https://mpra.ub.uni-muenchen.de/41673/1/MPRA_paper_41673.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 40650.

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Date of creation: 01 Aug 2012
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Handle: RePEc:pra:mprapa:40650
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  1. Christopher Garroway & Burcu Hacibedel & Helmut Reisen & Edouard Turkisch, 2012. "The Renminbi and Poor‐country Growth," The World Economy, Wiley Blackwell, vol. 35(3), pages 273-294, 03.
  2. Antonia Lòpez-Villavicencio & Jacques Mazier & Jamel Saadaoui, 2012. "Temporal Dimension and Equilibrium Exchange Rate: a FEER / BEER Comparison," Post-Print halshs-00535907, HAL.
  3. Yin-Wong Cheung & Menzie D. Chinn & Eiji Fujii, 2007. "The Overvaluation of Renminbi Undervaluation," NBER Working Papers 12850, National Bureau of Economic Research, Inc.
  4. Wang, Yajie & Hui, Xiaofeng & Soofi, Abdol S., 2007. "Estimating renminbi (RMB) equilibrium exchange rate," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 417-429.
  5. Yin-Wong Cheung & Menzie D. Chinn & Eiji Fujii, 2010. "Measuring Renminbi Misalignment: Where Do We Stand?," Working Papers 242010, Hong Kong Institute for Monetary Research.
  6. Arvind Subramanian, 2010. "New PPP-Based Estimates of Renminbi Undervaluation and Policy Implications," Policy Briefs PB10-8, Peterson Institute for International Economics.
  7. Steven Dunaway & Lamin Leigh & Xiangming Li, 2009. "How Robust Are Estimates Of Equilibrium Real Exchange Rates: The Case Of China," Pacific Economic Review, Wiley Blackwell, vol. 14(3), pages 361-375, 08.
  8. Frankel, Jeffrey, 2004. "On the Renminbi: The Choice between Adjustment under a Fixed Exchange Rate and Adustment under a Flexible Rate," Working Paper Series rwp04-037, Harvard University, John F. Kennedy School of Government.
  9. Chang, Gene Hsin & Shao, Qin, 2004. "How much is the Chinese currency undervalued? A quantitative estimation," China Economic Review, Elsevier, vol. 15(3), pages 366-371.
  10. Samuelson, Paul A, 1994. "Facets of Balassa-Samuelson Thirty Years Later," Review of International Economics, Wiley Blackwell, vol. 2(3), pages 201-26, October.
  11. Peter Isard, 2007. "Equilibrium Exchange Rates; Assessment Methodologies," IMF Working Papers 07/296, International Monetary Fund.
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