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De Facto Currency Baskets of China and East Asian Economies : The Rising Weights

Fang, Ying - 2014

Frankel and Wei (2007) for the RMB of China, using daily data from February 2005 to July 2011. We estimate jointly the … is hard to explain by trade importance to or trade competition with China. We examine currency baskets of these East …

Persistent link: https://www.econbiz.de/10013066640

What Determines the Long-Term Volatility of Offshore RMB Exchange Rate?

Yang, Yahui; Peng, Zhe; Ryou, Jai-Won - 2022

China has been promoting the internationalization of the RMB for two decades now, and as a result, its offshore foreign … exchange market has been substantially revitalized, even though China’s capital market remains partially open. The movements of …

Persistent link: https://www.econbiz.de/10013322704

Understanding Renminbi Exchange Rate Volatility

Wu, Sharon Xiaohui; Cheng, Xiaoqiang - 2021

The volatility of renminbi exchange rate has notably increased since the 2015 renminbi exchange rate reform. Increased … ebbs and flows in the renminbi exchange rate have raised some concerns about the potential impact of the currency …’s gyrations on the economy and financial stability. This study attempts to identify the cause of renminbi exchange rate volatility …

Persistent link: https://www.econbiz.de/10013224523

Dancing with the Dragon : China’s RMB and the Currencies on the Belt and Road

He, Qing; Liu, Junyi; Yu, Jishuang - 2021

To empirically investigate whether the Belt and Road Initiative (BRI) acts as a catalyst to the forming of a regional RMB bloc, we explore the co-movements between the RMB and the currencies of BRI countries from July 21, 2005 to December 31, 2018 using a modified Frankel-Wei model. We find that...

Persistent link: https://www.econbiz.de/10013222149

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10011604869

Modelling Ireland's exchange rates: From EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10010272367

Exchange rate uncertainty and deviations from purchasing power parity: Evidence from the G7 area

Arghyrou, Michael G.; Gregoriou, Andros; Pourpourides, … - 2009

Arghyrou, Gregoriou and Pourpourides (2009) argue that exchange rate uncertainty causes deviations from the law of one price. We test this hypothesis on aggregate data from the G7-area. We find that exchange rate uncertainty explains to a significant degree deviations from Purchasing Power Parity.

Persistent link: https://www.econbiz.de/10010288807

A new solution to the purchasing power parity puzzles: Risk-aversion, exchange rate uncertainty and the law of one price

Arghyrou, Michael G.; Gregoriou, Andros; Pourpourides, … - 2009

We argue that even in perfectly frictionless markets risk aversion driven by exchange rate uncertainty may cause a wedge between the domestic and foreign price of a totally homogeneous good. We test our hypothesis using a natural experiment based on a unique micro-data set from a market with...

Persistent link: https://www.econbiz.de/10010288808

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

Persistent link: https://www.econbiz.de/10010289485

Real currency appreciation in accession countries : Balassa-Samuelson and investment demand

Fischer, Christoph - 2002

The Balassa-Samuelson effect is usually seen as the prime explanation of the continuous real appreciation of central and east European (CEE) transition countries' currencies against their western counterparts. The response of a small country's real exchange rate to various shocks is derived in a...

Persistent link: https://www.econbiz.de/10011431705