FinEconometrics_Exrates_Sept2019(1).doc - GFGB 6008 Financial Econometrics September 2019 Empirical Exercise Predicting the Weights in RMB Currency

FinEconometrics_Exrates_Sept2019(1).doc - GFGB 6008...

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GFGB 6008: Financial Econometrics September 2019 Empirical Exercise: Predicting the Weights in RMB Currency Basket Extra Credit for October : to be submitted with Exam on October 23. You have a spread sheet of daily data on exchange rates, against the Swiss Franc and the Australian Dollar, for the following countries: US, China, Japan, Great Britain, Euro Zone, Korea, Canada, Malaysia, Russia, Thailand, and Singapore. The question of this exercise is to see if we can infer how the Chinese are moving their “adjustable” peg against the dollar. To do so we have to find a “numeraire” currency. Many economists recommend the Swiss Franc or the Australian Dollar, since the Chinese have stated that neither of these currencies are being used in their peg. We have the daily data in levels. We are interested in how the peg is being adjusted from day to day. We thus have to convert the levels of the exchange rate each day to daily rates of changes. In the spread sheet, China_EX_BASKET.xlsx , you will find the series.
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