Currencies weight

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beyond
Posts: 1
Joined: Tue Feb 10, 2015 9:54 am

Currencies weight

Postby beyond » Tue Feb 10, 2015 10:05 am

Hi everone,

I wanted to apply Frankel & Wei model to my work

logRMB(t + s) − logRMB(t ) = c + Σ w( j ) [ logX( j, t + s) − logX( j, t )]

They applied it to calculate the weight of each of the 11 currencies from the RMB basket.
I am calculating the RMB basket, however I choosed only 2 currencies without taking into consideration other 9.

I have read eviews tutorials, however I am a begginer.

"where X denotes the currencies which are eleven possible component currencies in RMB basket declared by the
PBoC, w represents weight of each currency, j is each of currency and c is constant. If one currency purely pegs to
another currency, weight (w) of this reference currency should be one"

Anybody knows how to do it?

I would be greatfull for any help.

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