Title: Revising the structure of the Euro index to improve measurement of movements in the currency markets

Authors: Musa Essayyad, Khaled Albinali, Omar Al-Titi

Addresses: University of Texas at Brownsville, Brownsville, TX 78520, USA. ' King Fahd University of Petroleum and Minerals, Dhahran 31261, Saudi Arabia. ' King Fahd University of Petroleum and Minerals, Dhahran 31261, Saudi Arabia

Abstract: This paper applies the same methodology applied by Essayyad et al. (2009) to the construction of an alternative Euro dollar index. Specifically, it employs multivariate statistical tests to identify weights based on 12 economic and financial factors that are deemed theoretically more relevant in building an alternative Euro Index (EI) that would reflect more accurately the movements in the currencies making up that index.

Keywords: Euro index; dollar index; currency index; multivariate statistical analysis; international finance; international trade; currency markets; currency movements.

DOI: 10.1504/IJMEF.2011.040924

International Journal of Monetary Economics and Finance, 2011 Vol.4 No.3, pp.297 - 308

Published online: 26 Jun 2011 *

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