A Simple Model and its Application in Currency Valuation

Zhang, Zhibai

doi:10.2139/ssrn.2120300

SSRN Journal

2012

DOI: 10.2139/ssrn.2120300

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A Simple Model and its Application in Currency Valuation

Zhibai Zhang

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Cited by 3 publications

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A Comparison of the Beer and Penn Effect Models Via Their Applications on the Valuation of the Renminbi

Zhang

2012

SSRN Journal

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The behavioral equilibrium exchange rate (BEER) and the Penn effect models are compared via their applications on the valuation of the Renminbi (RMB). The definition for the Penn effect model is provided. The differences and relations between the two models in various econometric method settings are listed and explained.The Penn effect model is concluded to be the more reasonable model in terms of the valuation of the RMB under the time-series and cross-section data settings. In addition, the criteria and methods of comparing different model findings are given and used to compare typical misalignment results on RMB derived from the two models. JEL classification: F31; F41

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A Comparison of the Beer and Penn Effect Models Via Their Applications on the Valuation of the Renminbi

Zhang

2012

SSRN Journal

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A New Assessment of the Chinese RMB Exchange Rate

Zhang

Chen

2013

SSRN Journal

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Summary. -The ratio, Penn effect and behavioral equilibrium exchange rate (BEER) are used to assess the level of the bilateral real exchange rate (RER) of the Chinese RMB against the US dollar in 1980-2012. The statistical indexes and economic meaning indicate that the findings from the BEER and ratio model are more reasonable. Based on the two models, the RMB was overvalued by 10-20% in 2011-2012. Given the already overvalued currency and the not-ideal economic situation of China, such a fast RER appreciation of 6.6-6.7% per year as it was in 2005-2012 is not sustainable. Further, corresponding policy proposals are given.

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Clarifying the Adjusted Big Mac Index

O’Brien

Vargas

2015

SSRN Journal

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A Simple Model and its Application in Currency Valuation

Cited by 3 publications

References 12 publications

A Comparison of the Beer and Penn Effect Models Via Their Applications on the Valuation of the Renminbi

A Comparison of the Beer and Penn Effect Models Via Their Applications on the Valuation of the Renminbi

A New Assessment of the Chinese RMB Exchange Rate

Clarifying the Adjusted Big Mac Index

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