Abstract Details
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Activity Number:
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83
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Type:
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Contributed
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Date/Time:
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Sunday, August 4, 2013 : 4:00 PM to 5:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #309368 |
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Title:
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Estimating the Renminbi Exchange Rate Basket: A Study on Numeraire
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Author(s):
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Kazuhiko Shinki*+ and Ying Tang
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Companies:
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Wayne State University and Wayne State University
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Keywords:
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exchange rate ;
numeraire ;
Renminbi ;
currency basket ;
restricted least square
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Abstract:
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Numerous existing studies have investigated the undisclosed currency basket of the Renminbi (RMB) exchange rate, but the estimated basket depends on its numeraire currency. This paper studies the choice of numeraire from a statistical viewpoint. We show that a restricted least square estimator (RLSE) is numeraire-free, and more efficient than the least square estimator with any specific numeraire. We further clarify the impact of using a numeraire currency, in relation to the proposed RLSE. The methodology will be demonstrated with analysis of up-to-date daily exchange rate data.
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Authors who are presenting talks have a * after their name.
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