A twelve-area model for the equilibrium Chinese Yuan/US dollar nominal exchange rate

2012 ◽  
Vol 22 (1) ◽  
pp. 151-170 ◽  
Author(s):  
Kefei You ◽  
Nicholas Sarantis
Keyword(s):  
Exchange Rate ◽  
Nominal Exchange Rate ◽  
Area Model ◽  
Us Dollar ◽  
Chinese Yuan

scholarly journals Testing the Fair Game Hypothesis for US Dollar/Albanian Lekë Exchange Rate Over the Period January 1994- December 2012

2013 ◽  
Vol 2 (4) ◽  
pp. 311
Author(s):  
Llambrini Sota ◽  
Fejzi Kolaneci
Keyword(s):  
Exchange Rate ◽  
Nominal Exchange Rate ◽  
Rate Process ◽  
Level Of Confidence ◽  
The Us ◽  
Fair Game ◽  
Us Dollar

The purpose of the paperis to test the fair game hypothesis for exchange rate process USDollar / Albanian Lekë over theperiod January 1994 – December 2012.The results of this study include: The fairgame hypothesis is rejected for mean monthlyexchange rate US Dollar/Albanian Lekë over the period January 1994 – December 2012at 99.99% level of confidence. Day – to –dayfluctuations of the nominal exchange rateUS Dollar/ Albanian Lekë during the period 1 January 2008 – 31 December 2008 followan unfair game process at99.99% level of confidence.The fair game hypothesis isrejected for mean monthly exchange rateover the period January 2008 – December 2012at 95% level of confidence. Day – to-day fluctuations of nominalexchange rate USDollar/Albanian Lekë during the period1 January 2004 – 31 December 2012 follow anunfair game at 99.99% levelof confidence. A similar result holds for relative firstdifferences of the daily exchange rate USDollar/Albanian Lekëat 99.99% level ofconfidence. These findings are noteworthy because it has long been thought of that themovements in the US dollar / Albanian lekë nominal exchange rate must be a fair game.

scholarly journals (DE)STABILIZING EXCHANGE RATE STRATEGIES IN EAST ASIAN MONETARY AND ECONOMIC INTEGRATION

2016 ◽  
Vol 61 (02) ◽  
pp. 1640021 ◽  
Author(s):  
GUNTHER SCHNABL ◽  
KRISTINA SPANTIG
Keyword(s):  
Exchange Rate ◽  
East Asia ◽  
East Asian ◽  
Monetary Integration ◽  
Integration Process ◽  
Currency Exchange ◽  
The Us ◽  
Us Dollar ◽  
Japanese Yen ◽  
Chinese Yuan

The East Asian monetary integration process is at the crossroads. Given very benign liquidity conditions in the US, the prevailing common US dollar peg has contributed to growing macroeconomic and financial instability in the region. This has sparked demands to embark on an independent monetary integration process in East Asia. The paper shows that, however, neither the Japanese yen nor the Chinese yuan can challenge the US dollar as anchor currency in the region. Large fluctuations of the Japanese yen against the US dollar have undermined the potential of the Japanese yen to become a regional anchor currency. Exchange rate stability of the Chinese yuan against the US dollar has enhanced intra-regional exchange rate stability and growth, stressing the potential of the Chinese yuan to emerge as a regional anchor currency. Yet, it is shown that underdeveloped Chinese capital markets and financial repression originating in US low interest rate policies constitute an insurmountable impediment for the Chinese yuan to gain anchor currency status in East Asia. Empirical estimations provide evidence in favor of positive growth effects of the exchange rate stability against the US dollar in East Asia.

Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market

2015 ◽  
Vol 51 (4) ◽  
pp. 1399-1414 ◽  
Author(s):  
Carlos P. Barros ◽  
Luis A. Gil-Alana ◽  
Zhongfei Chen
Keyword(s):  
Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
Chinese Yuan

scholarly journals Modelling Nigeria Naria Exchange Rate against Some Selected Country’s Currencies Volatility: Application of GARCH Model

2019 ◽  
pp. 1-13
Author(s):  
Ajayi Abdulhakeem ◽  
Samuel Olorunfemi Adams ◽  
Rafiu Olayinka Akano
Keyword(s):  
United Kingdom ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Leverage Effect ◽  
Type Model ◽  
Log Likelihood ◽  
Us Dollar ◽  
Chinese Yuan

This paper examines the exchange rate volatility with GARCH-type model of the daily exchange rate return series from January 2012 – August 2016 for Naira/Chinese Yuan, Naira/India Rupees, Naira/Spain Euro, Naira/UK Pounds and Naira/US Dollar returns. The studies compare estimates of variants of GARCH (1, 1), EGARCH (1, 1), TGARCH (1,1) and GJR-GARCH (1,1) models. The result from all models indict presence of volatility in the five currencies and equally indicate that most of the asymmetric models rejected the existence of a leverage effect except for models with volatility break. For GARCH (1, 1), GJR-GARCH (1, 1,) EGARCH (1,1) and TGARCH (1, 1), it was observed that India have the best exchange rate with the highest log-likelihood (Log L) and the lowest AIC and BIC followed by USA, China, Spain and United Kingdom respectively. The four models was later compared for the exchange rates of the five countries under consideration i.e. China, India, Spain, UK and USA  to select the best fitted model for each country and it was discovered that GJR-GARCH (1,1) is the best fitted model for all the countries followed by GARCH (1,1), TGARCH (1,1) and EGARCH (1,1) in that order.

scholarly journals Purchasing Power Parity Approach to Exchange Rate Misalignment in Nigeria

2021 ◽  
Vol 12 (No. 1) ◽  
pp. 45-75
Author(s):  
Musa Nakorji ◽  
Ngozi T. I. Agboegbulem ◽  
Blessing A. Gaiya ◽  
Ngozi V. Atoi
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Structural Breaks ◽  
Empirical Support ◽  
Purchasing Power ◽  
Power Parity ◽  
Exchange Rate Misalignment ◽  
Us Dollar ◽  
Chinese Yuan

This study examines the purchasing power parity (PPP) approach to the determination of exchange rate misalignment in Nigeria by using two variants of the PPP: the absolute PPP (aPPP) and the relative PPP (rPPP). Data on the Nigerian Naira to US Dollar ( N/$), British Pound ( N/£) and Chinese Yuan (N /¥) interbank exchange rates, Nigeria consumer price index and Inflation as well as the US, UK and China consumer price indices and inflation rates spanning 2008:M1 to 2018:M12 were utilized. A recently modified fractional cointegration framework was employed, taking care of smooth structural breaks and nonlinearity, while the unit root tests employed the fractional alternatives. The results confirmed that the aPPP approach to exchange rate determination is unrealistic but revealed empirical support for the rPPP approach. Furthermore, the exchange rates computed with the rPPP approach show that the interbank Naira to US Dollar, UK Pounds and Chinese Yuan exchange rates were overvalued in most of the period of this study. The period of undervaluation observed in June 2016 and April 2017 coincided with the periods when CBN introduced the investors and exporters window. The study recommends the use of rPPP for gauging the level of exchange rate misalignment in Nigeria and suggests the need to diversify the export base to appreciate the exchange rate.

scholarly journals The Big Mac Index Dynamics

2020 ◽  
Vol 1 (1) ◽  
pp. 56-65
Author(s):  
Yu-Tsang Chen ◽  
Amy Li
Keyword(s):  
Exchange Rate ◽  
Income Level ◽  
High Income ◽  
Nominal Exchange Rate ◽  
Stability And Convergence ◽  
Rate Theory ◽  
Significant Difference ◽  
The World ◽  
Us Dollar ◽  
Index Estimation

The Big Mac Index is a tool that makes exchange-rate theory more palatable. In recent years the Big Mac Index has been used as a practical way to determine the over- or under-valued international currencies according to the theory of Purchasing Power Parity. The theory uses the Big Mac as a tradable single-good basket to equalize the Dollar-value of the hamburger around the world through arbitrage. The enormous popularity of the Big Mac Index arose the questions of how effective the Big Mac price is as an indicator of income level and how accurate the exchange rate movement predictions are based on the Big Mac prices over time? The statistical analysis of this paper is implemented using data from 2013 to 2020 from The Economist and from the World Bank for 42 countries. US Dollar, Euro, British Pound, Chinese Yuan, and Japanese Yen are used as base currencies to track the dynamics of stability and convergence. As a qualitative indicator of movement in the nominal exchange rate, however, there is no significant difference in countries of different income levels and economic stability. The Big Mac Index estimation consists with previous studies in convergence for countries with high income level. Contradictory to previous studies, the Big Mac Index estimation tends to fluctuate for currency in country with high income level like US Dollar only in 2020. The stability of Big Mac Index dynamics from 2013 to 2020 holds for the rest of the other four currencies.

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