Formula Flashcards
Weighted nominal effective exchange rate (arithmetic)
Et = sum(wtVt)
Trade-weighted average
w = (Xi + Mi) / sum(Xi + Mi)
Normalised weights
w = wi / sum(wi)
Unweighted nominal effective exchange rate (arithmetic)
Et = average of all Vt
Nominal effective exchange rate (geometric weighted average)
Et = product(V^w)
Relative exchange rate
Vt = St/S0
Real exchange rate
Q(x/y) = S(x/y) * (Py/Px)
Real effective exchange rate (arithmetic)
Qt = sum(w * (Qt/Q0))
Real effective exchange rate (geometric)
Qt = product ((Qt/Q0)^wi)
Foreign currency value of imports (Demand)
Df = Qm x Pm*
Foreign currency value of exports (Supply)
Sf = Qx x Px*
PPP
P = S(d/f) x P*
LOP
Pi = S(d/f) x Pi*
RPPP
change(S(d/f)) = change(P) - change(P*)
Quantity theory
P = M/(kY)
CIP
(1 + i) = F/S (1 + i*)
Forward margin
f = (F - S)/S
Approximate CIP
i = f + i*
UIP
(1 + i) = Se/S (1 + i*)
Approximate UIP
i = se + i*
Exchange rate spread
se = (Se - S) / S
Mean absolute error (MAE)
MAE = 1/n sum(abs value(St(hat) - St))
Mean squared error (MSE)
MSE = 1/n sum(St(hat) - St)^2
Real mean square error (RMSE)
RMSE = root(MSE)
Forward spread
f = (F - S) / S
Expected Value
E[X] = sum(pi x Si)
Variance
Var[X] = E[X^2] - E[X]^2
Population mean
S(bar) = 1/t sum(St)
Sample variance
1/(t-1) sum(St - S(bar))^2
Mean absolute deviation (MAD)
MAD = 1/n sum [abs(St - St)]
Downside semi-variance (DSV)
1/(n-1) sum(Sn - S(bar))^2
for Sn < S
