The indoor concentration of radon and the air exchange rate were simultaneously measured in four empty rooms, made of brick and cement, which were located in different floors of dwelling houses in Taiyuan, Shanxi, China. SF6 tracer gas decay method was used to measure the air exchange rate. Indoor radon was collected with the dimembrane method. When the ventilation rate increased, the concentration of radon dropped rapidly. Regression analysis indicated that the indoor concentration of radon was equal to the outdoor level of radon when the air exchange rate was greater than 3-4. SF6 decay method was an effective and convenient method for measuring the air exchange rate. There was no marked difference in measurements obtained in different locations of a room. (N.K.)
A critical aspect of air pollution exposure assessments is estimation of the air exchange rate (AER) for various buildings, where people spend their time. The AER, which is rate the exchange of indoor air with outdoor air, is an important determinant for entry of outdoor air pol...
Due to cost and participant burden of personal measurements, air pollution health studies often estimate exposures using local ambient air monitors. Since outdoor levels do not necessarily reflect personal exposures, we developed the Exposure Model for Individuals (EMI) to improv...
Fruin, Scott A.; Hudda, Neelakshi; Sioutas, Constantinos; Delfino, Ralph J.
The in-vehicle microenvironment is an important route of exposure to traffic-related pollutants, particularly ultrafine particles. However, significant particle losses can occur under conditions of low air exchange rate (AER) when windows are closed and air is recirculating. AERs are lower for newer vehicles and at lower speeds. Despite the importance of AER in affecting in-vehicle particle exposures, few studies have characterized AER and all have tested only a small number of cars. One reas...
Mantooth, D S
Utilizing the ventilation exchange rate as a basis for the decision to downpost a location within a facility from an airborne radiation area (ARA) based on initial air count(DAC). Not used in the case of a confirmed or suspected contamination release.
Epidemiological studies frequently use central site concentrations as surrogates of exposure to air pollutants. Variability in air pollutant infiltration due to differential air exchange rates (AERs) is potentially a major factor affecting the relationship between central site c...
Following the first part, in this paper on a real case of escaped radioactive matter in gaseous or aerosol form the significance of known the air exchange rate for a prediction of wasted inhalation doses to population is illustrated. (authors)
Weschler, Charles J.; Shields, H.C.
particle size distributions. The experiments were performed in a manipulated office setting containing a constant source of d-limonene and an ozone generator that was remotely turned "on" or "off" at 6h intervals. The particle number concentrations were monitored using an optical particle counter with......Reactions between ozone and terpenes have been shown to increase the concentrations of submicron particles in indoor settings. The present study was designed to examine the influence of air exchange rates on the concentrations of these secondary organic aerosols as well as on the evolution of their...... studies, at an air exchange rate of 1.6h $+-1$/ particle number concentration in the 0.1-0.2$mu@m size-range peaked 1.2h after the ozone generator was switched on. In the ensuing 4.8h particle counts increased in successive size-ranges up to the 0.5-0.7$mu@m diameter range. At higher air exchange rates...
WANG Kun; ZHAO Qing-liang; LI Wen-pu; LI Yu-hua
Residents living in the cold areas such as Harbin generally experience a residence time of approximately 6 months in chilly winter without frequent natural ventilation. To find out the influence of a short period of ventilation on the indoor formaldehyde concentration inside a new building, an investigation was conducted for the instance of twice ventilation in a day through window opening. The results showed that the initial concentration of formaldehyde was 3.53 - 8.48 times as high as the concentration after 10 min ventilation. After closing the window, the indoor formaldehyde concentration increased with time and followed an exponential equation of C = C0exp( - b * t) + (a + Cw) [ 1 - exp( - b * t) ] with correlation coefficient (R2) of 0. 945 -0. 999, based on the statistical analysis of 14 groups of measurement data. The developed equation can be used to estimate the emission rate of indoor formaldehyde sources and the air exchange rate of the test room simultaneously.
Erich, David J.
Introduces a room air-exchange activity designed to assess student understanding of the concept of volume. Lists materials for the activity and its procedures. Includes the lesson plan and a student worksheet. (KHR)
The National Exposure Research Laboratory (NERL) Human Exposure and Atmospheric Sciences Division (HEASD) conducts research in support of EPA mission to protect human health and the environment. HEASD research program supports Goal 1 (Clean Air) and Goal 4 (Healthy People) of EP...
Shu, Shi; Yu, Nu; Wang, Yueyan; Zhu, Yifang
Air exchange rates (AERs) have a direct impact on traffic-related air pollutant (TRAP) levels inside vehicles. Taxi drivers are occupationally exposed to TRAP on a daily basis, yet there is limited measurement of AERs in taxi cabs. To fill this gap, AERs were quantified in 22 representative Los Angeles taxi cabs including 10 Prius, 5 Crown Victoria, 3 Camry, 3 Caravan, and 1 Uplander under realistic driving (RD) conditions. To further study the impacts of window position and ventilation settings on taxi AERs, additional tests were conducted on 14 taxis with windows closed (WC) and on the other 8 taxis with not only windows closed but also medium fan speed (WC-MFS) under outdoor air mode. Under RD conditions, the AERs in all 22 cabs had a mean of 63 h-1 with a median of 38 h-1. Similar AERs were observed under WC condition when compared to those measured under RD condition. Under WC-MFS condition, AERs were significantly increased in all taxi cabs, when compared with those measured under RD condition. A General Estimating Equation (GEE) model was developed and the modeling results showed that vehicle model was a significant factor in determining the AERs in taxi cabs under RD condition. Driving speed and car age were positively associated with AERs but not statistically significant. Overall, AERs measured in taxi cabs were much higher than typical AERs people usually encounter in indoor environments such as homes, offices, and even regular passenger vehicles.
Yan YOU; Can Niu; Jian Zhou; Yating Liu; Zhipeng Bai; Jiefeng Zhang; Fei He; Nan Zhang
A new air exchange rate (AER) monitoring method using continuous CO2 sensors was developed and validated through both laboratory experiments and field studies.Controlled laboratory simulation tests were conducted in a 1-m3 environmental chamber at different AERs (0.1-10.0 hr-1).AERs were determined using the decay method based on box model assumptions.Field tests were conducted in classrooms,dormitories,meeting rooms and apartments during 2-5 weekdays using CO2 sensors coupled with data loggers.Indoor temperature,relative humidity (RH),and CO2 concentrations were continuously monitored while outdoor parameters combined with on-site climate conditions were recorded.Statistical results indicated that good laboratory performance was achieved:duplicate precision was within 10％,and the measured AERs were 90％-120％ of the real AERs.Average AERs were 1.22,1.37,1.10,1.91 and 0.73 hr-1 in dormitories,air-conditioned classrooms,classrooms with an air circulation cooling system,reading rooms,and meeting rooms,respectively.In an elderly particulate matter exposure study,all the homes had AER values ranging from 0.29 to 3.46 hr-1 in fall,and 0.12 to 1.39 hr-1 in winter with a median AER of 1.15.
The indoor-outdoor air exchange rate is an important parameter when refining estimates of the averted inhaled doses to population in houses and buildings after an emergency event resulting in contamination of outdoor air with a radioactive material. The air exchange rates measured in 70 occupied houses and in 20 unoccupied houses using N2O as the tracer gas are presented, and the results of modelling the averted doses in the residential buildings for both gaseous and aerosol outdoor contaminants are demonstrated. (orig.)
between-home and between-city variability in residential pollutant infiltration. This is likely a result of differences in home ventilation, or air exchange rates (AER). The Stochastic Human Exposure and Dose Simulation (SHEDS) model is a population exposure model that uses a pro...
Frankel, Mika; Bekö, Gabriel; Timm, Michael; Gustavsen, Sine; Hansen, Erik Wind; Madsen, Anne Mette
temperature, relative humidity, and air exchange rates in Danish homes. Airborne inhalable dust was sampled in five Danish homes throughout the four seasons of 1 year (indoors, n = 127; outdoors, n = 37). Measurements included culturable fungi and bacteria, endotoxin, N-acetyl-beta-d-glucosaminidase, total......Indoor microbial exposure has been related to adverse pulmonary health effects. Exposure assessment is not standardized, and various factors may affect the measured exposure. The aim of this study was to investigate the seasonal variation of selected microbial exposures and their associations with...... inflammatory potential, particles (0.75 to 15 μm), temperature, relative humidity, and air exchange rates. Significant seasonal variation was found for all indoor microbial exposures, excluding endotoxin. Indoor fungi peaked in summer (median, 235 CFU/m3) and were lowest in winter (median, 26 CFU/m3). Indoor...
Hartman, Blayne; Hammond, Douglas E.
Radon 222 concentrations in the water and sedimentary columns and radon exchange rates across the sediment-water and air-water interfaces have been measured in a section of south San Francisco Bay. Two independent methods have been used to determine sediment-water exchange rates, and the annual averages of these methods agree within the uncertainty of the determinations, about 20%. The annual average of benthic fluxes from shoal areas is nearly a factor of 2 greater than fluxes from the channel areas. Fluxes from the shoal and channel areas exceed those expected from simple molecular diffusion by factors of 4 and 2, respectively, apparently due to macrofaunal irrigation. Values of the gas transfer coefficient for radon exchange across the air-water interface were determined by constructing a radon mass balance for the water column and by direct measurement using floating chambers. The chamber method appears to yield results which are too high. Transfer coefficients computed using the mass balance method range from 0.4 m/day to 1.8 m/day, with a 6-year average of 1.0 m/day. Gas exchange is linearly dependent upon wind speed over a wind speed range of 3.2–6.4 m/s, but shows no dependence upon current velocity. Gas transfer coefficients predicted from an empirical relationship between gas exchange rates and wind speed observed in lakes and the oceans are within 30% of the coefficients determined from the radon mass balance and are considerably more accurate than coefficients predicted from theoretical gas exchange models.
Radon 222 concentrations in the water and sedimentary columns and radon exchange rates across the sediment-water and air-water interfaces have been measured in a section of south San Francisco Bay. Two independent methods have been used to determine sediment-water exchange rates, and the annual averages of these methods agree within the uncertainity of the determinations, about 20%. The annual average of bethic fluxes from shoal areas is nearly a factor of 2 greater than fluxes from the channel areas. Fluxes from the shoal and channel areas exceed those expected from simple molecular diffusion by factors of 4 and 2, respectively, apparently due to macrofaunal irrigation. Values of the gas transfer coefficient for radon exchange across the air-water inteface were determined by constructing a radon mass balance for the water column and by direct measurement using floating chambers. The chamber method appears to yield results which are too high. Transfer coefficients computed using the mass balance method range from 0.4 m/day to 1.8 m/day, with a 6-year average of 1.0 m/day. Gas exchange is linearly dependent upon wind speed over a wind speed range of 3.2--6.4 m/s, but shows no dependence upon current velocity. Gas transfer coefficients predicted from an empirical relationship between gas exchange rates and wind speed observed in lakes and the oceans are within 30% of the coefficients determined from the radon mass balance and are considerably more accurate than coefficients predicted from theoretical gas exchange models
In the past two years, a substantial number of schools in the United States have tested for radon. Some of them have found radon levels elevated above the EPA action level of 4 pCi/L. In order to decide whether increased ventilation or building pressurization is an appropriate response, the mechanical system must be investigated and an estimate of the air exchange rate made. Air exchange rates in schools have been estimated using a combination of carbon dioxide measurements in occupied rooms, airflow measurements of exhaust and outside air, and fan pressurization of the building shell. Not all of these tests were performed in all schools. Experience in investigating elevated radon in dozens of public schools has revealed that a large fraction of them do not have ventilation rates that meet minimum guidelines as outlined in ASHRAE 62-1989, Ventilation for Acceptable Indoor Air Quality, and, in some instances, state code. In many cases, they do not even meet the professional guidelines that were accepted at the time the school was designed and built. Causes for this condition include inappropriate responses to escalating energy prices in the late 1970s, lack of funds to maintain equipment, and complaints of thermal discomfort caused by some ventilation systems
The choice of an adequate exchange rate regime proves to be a highly sensitive field within which the economic authorities present and confirm themselves. The advantages and disadvantages of fixed and flexible exchange rate regimes, which have been quite relativized from the conventional point of view, together with simultaneous, but not synchronised effects of structural and external factors, remain permanently questioned throughout a complex process of exchange rate regime decision making. ...
Full Text Available The choice of an adequate exchange rate regime proves to be a highly sensitive field within which the economic authorities present and confirm themselves. The advantages and disadvantages of fixed and flexible exchange rate regimes, which have been quite relativized from the conventional point of view, together with simultaneous, but not synchronized effects of structural and external factors, remain permanently questioned throughout a complex process of exchange rate regime decision making. The paper reflects the attempt of critical identification of the key exchange rate performances with emphasis on continuous non-uniformity and (uncertainty of shelf life of a relevant choice.
Previous exposure assessment panel studies have observed considerable seasonal, between-home and between-city variability in residential pollutant infiltration. This is likely a result of differences in home ventilation, or air exchange rates (AER). The Stochastic Human Exposure ...
For radon diagnosis in houses the 'ventilation experiment' was used as a standard method. After removal of indoor radon by draught the build-up of radon concentration a(t [Bq/m3] was measured continuously and from the time course the constant radon entry rate A [Bq/h] and the exchange rate k [h-1] was calculated by regression analysis using model relation a(t) A(1-e-kt)/kV with V [m3] for volume of the room. The conditions have to be stable for several hours so that the assumption of constant A and k was justified. During the day both quantities were independently (?) changing, therefore a method to determine variable entry rate A(t) and exchange rate k(t) is needed for a better understanding of the variability of the indoor radon concentration. Two approaches are given for the determination of variable in time radon entry rates and air exchange rates from continuously measured indoor radon concentration - numerical solution of the equivalent difference equations in deterministic or statistic form. The approaches are not always successful. Failures giving a right ration for the searched rates but not of the rates them self could not be explained
The paper summarizes the current theory of how a floating exchange rate is determined, dividing the subject into what determines the steady state and what determines the transition to steady state. The inadequacies of this model are examined, and an alternative “behavioral” model, which recognizes that the foreign exchange market is populated by both fundamentalists and chartists is presented. It is argued that the main importance of understanding the foreign exchange market for development s...
Appropriate prediction of residential air exchange rate (AER) is important for estimating human exposures in the residential microenvironment, as AER drives the infiltration of outdoor-generated air pollutants indoors. AER differences among homes may result from a number of fact...
Indoor and outdoor concentrations or airborne fine particles from internal combustion engines have been measured over periods of 24 h with a time resolution of 10 s. With this time series, the ventilation air exchange rate of different rooms has been computed using a novel approach to the solution of the mass balance equation. A 'mixing time' parameter has been introduced in order to account for the initial non-homogeneous distribution of the pollutants in the rooms. It is demonstrated that this method can be used to determine the impact of health relevant outdoor particles on the indoor particle concentration. This yields information on the protection a building offers against pollutants entering from outdoors. (author)
Since 1995, requirements on energy-efficient building construction were established in Russian Building Codes. In the course of time, utilisation of such technologies became prevailing, especially in multi-storey building construction. According to the results of radon survey in buildings constructed meeting new requirements on energy efficiency, radon concentration exceeds the average level in early-constructed buildings. Preponderance of the diffusion mechanism of radon entry in modern multi-storey buildings has been experimentally established. The experimental technique of the assessment of ventilation rate in dwellings under real conditions was developed. Based on estimates of average ventilation rate, it was approved that measures to increase energy efficiency lead to reduction in ventilation rate and accumulation of higher radon concentrations indoors. Obtained ventilation rate values have to be considered as extremely low. (authors)
Siler, Carl R.
This curriculum unit of the Muncie (Indiana) Southside High School is to simulate the dynamics of foreign currency exchange rates from the perspectives of: (1) a major U.S. corporation, ABB Power T & D Company, Inc., of Muncie, Indiana, a manufacturer of large power transformers for the domestic and foreign markets; and (2) individual consumers…
J. SaÃºl Lizondo
Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation Thh paper examines the implications of some nominal exchange rate policies aimed or attaining a given real exchange rate target. A policy rule that sets the rate of nominal depreciation as a function of the departures of the real exchange rate from its target level is unable to achieve the target. In contrast, a policv rule that sets the change in the rate of depreciation as a function of those departures may lead the e...
We survey and update the empirical literature concerning the predictability of nominal exchange rates using structural macroeconomic models over the recent floating exchange rate period. In particular, we consider both flexible and sticky price versions of the monetary model of nominal exchange rate determination. In agreement with the existing empirical literature, we find that nominal exchange rate movements are difficult to forecast, with a random walk generally dominating the monetary mod...
Full Text Available Exchange rate of one currency is the price of the currency expressed in units of other currency. It is formed by the interaction of supply and demand in the foreign exchange market. Given that the exchange rate has a direct impact on the competitiveness of a country in terms of features of its exports and imports, in its balance of payments, and indirectly the overall economic and social development, in addition to acting in market principles - supply and demand in the formation of the equilibrium exchange rate, exchange rate is subject to different, stronger or weaker, more or less, forms of intervention. In the search for the optimal exchange rate policy of the national currency, the monetary authorities are positioned between the two extremes - the complete abandonment of the exchange rate to the market laws of supply and demand, or fixing the exchange rate for any of the selected anchor currency.
This paper discusses the link between portfolio diversification models of exchange risk and the macroeconomics of exchange rate determination. A first part sets out the mean-variance model of portfolio choice for the case of two nominal assets with random real returns. From there the model is made "international" by a specification of the world inflation process. The concept of exchange risk is discussed in terms of the variability of the real exchange rate. The paper shows that when all rand...
The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, ba...
Hodrick, Robert J
This paper explores a new direction for empirical models of exchange rate determination. The motivation arises from two well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk premiums in the forward market. Rational maximizing models of economic behavior imply that changes in the conditional variances of exogenous processes, such as future monetary policies, future government spending, and future rates of income growth, can ha...
A trading-post model of money is used to show how exchange rates can be affected by extrinsic uncertainty. With no uncertainty in fundamentals, we demonstrate that there exist equilibria where exchange rates as well as consumption allocations follow a stationary random process. The uctuations are permanent, and they affect economic welfare. These findings also apply when the currency supplies grow at different rates. Then, the only stationary equilibria in which both monies are valued are tho...
This paper aims to improve understanding of the long-run impacts of the gross domestic product (GDP), real exchange rate, and the producer price index (PPI) on U.S.-Canada bilateral freight flows in a dynamic framework. Special attention is given to cross-border exports and imports by truck, rail, pipeline, and air. Using the fully modified ordinary least squares (FM-OLS) approach, the paper finds that the GDP of the importing country is a pronounced factor influencing U.S.- Canada cross-bord...
Dowd, James J.
Extends earlier work on aging as a process of exchange by focusing on the issue of exchange rates and how they are negotiated. Access to power resources declines with age, placing the old person in the position of negotiating from weakness. (Author)
This study investigates the determinants of the exchange rate in Vietnam and suggests policy implications. Gregory-Hansen cointegration tests and generalised variance decomposition (VDC) analysis were applied to monthly data from July 2004 to December 2013. The model was built based on the three popular approaches to exchange rate determination, which are purchasing power parity (PPP) approach, balance of payment (BOP) approach, and monetary and portfolio approach. This study finds that the p...
Ricci, Luca Antonio
This paper investigates the effects of fixed versus flexible exchange rate regimes on location choices of firms and on the degree of specialization of countries. In a two-country two-differentiated-good monetary model, demand, supply, and monetary shocks arise after wages are set and prices are optimally chosen. The exchange rate performs then an adjustment role for firms located in the country relatively specialized in the good they produce, but it constitutes a factor of disturbance for the...
Isotopic exchange between tritiated and non-tritiated water species in a molecular sieve bed has been demonstrated. At high humidities (+6 degrees Celsius dew point) the rate of tritium isotopic exchange in a 2.4 L molecular sieve bed has been demonstrated to be at least 50% of published exchange rates. In an industrial-sized air detritiation dryer, utilizing the pretreatment technique of H2O steam washing to elute the residual tritium, a DF of 12 600 has been demonstrated when operating at an inlet vapor tritium concentration of 14 Ci/kg and at inlet and outlet dew points of 4.8 and -54 degrees Celsius, respectively. In the NPD dryer bed studied, which was not optimally designed for full benefit from isotopic exchange, at least one order of magnitude in additional detritiation is attributed to isotopic exchange in the unsaturated zone. The technique of eluting the residual tritium from an industrial sized bed by H2O washing at high temperature, high humidity and low bed loading has been demonstrated to be a fast and effective way of removing tritium from a molecular sieve bed during regeneration. The isotopic exchange model accurately predicted the exchange between tritiated and non-tritiated water species in a molecular sieve bed where there is no net adsorption or desorption. The model's prediction of the tritium breakthrough trend observed in the NPD tests was poor; however, a forced fit can be achieved if the exchange rates in the MTZ and the unsaturated zone are manipulated. More experiments are needed to determine the relative rates of tritium exchange in the saturated, mass transfer, and unsaturated zones of a dryer bed
ALEŠA LOTRIČ DOLINAR
Full Text Available Using spectral analysis is very common in technical areas but rather unusual in economics and finance, where ARIMA and GARCH modeling are much more in use. To show that spectral analysis can be useful in determining hidden periodic components for high-frequency finance data as well, we use the example of foreign exchange rates
Ariel Burstein; Martin Eichenbaum; Sergio Rebelo
In this Paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the price of non-tradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2001), Brazil (1999), Korea (1997), Mexico (1994), and Thailand (1997). We conduct a detailed analysis of the Argentina case using disaggregated CPI data, data from our own survey of prices in Buenos Aires, and scan...
Nominal exchange rate changes can lead to 'expenditure switching' when they change relative international prices. A traditional argument for flexible nominal exchange rates posits that when prices are sticky in producers' currencies, nominal exchange rate movements can change relative prices between home and foreign goods. But if prices are fixed ex ante in consumers' currencies, nominal exchange rate flexibility cannot achieve any relative price adjustment. In that case nominal exchange rate...
Bartram, Söhnke M.; Bodnar, Gordon
Based on basic financial models and reports in the business press, exchange rate movements are generally believed to affect the value of nonfinancial firms. In contrast, the empirical research on nonfinancial firms typically produces fewer significant exposures estimates than researchers ex-pect, independent of the sample studied and the methodology used, giving rise to a situation known as “the exposure puzzle”. This paper provides a survey of the existing research on the exposure phenomenon...
Patrick A. Imam
In this paper we first explain why most microstates (countries with less than 2 million inhabitants) have gained independence only in the last 30 years. Despite the higher costs and risks microstates face, their ability to better accommodate local preferences combined with a more integrated world economy probably explains why the benefits of independence have risen. We explain why microstates at independence have chosen either dollarization, currency board arrangements, or fixed exchange rate...
Air pollution health studies often use outdoor concentrations as exposure surrogates. Failure to account for variability of residential infiltration of outdoor pollutants can induce exposure errors and lead to bias and incorrect confidence intervals in health effect estimates. Th...
The mixing-air flow pattern was studied. Three air flows were tested using the tracer gas technique and decay method. The indices of air exchange efficiency were calculated, namely: overall air-exchange efficiency and room-air mean age for the whole room; local ventilation indices and local mean ages of air at 10 points distributed throughout the room. Experiments were carried out in both isothermal and nonisothermal conditions. Based on the theory of similarity requirements, a reduced-scale model, geometrically similar to the laboratory test room, was built. Air flows and temperature differences were calculated for the model tests in order to make them comparable with the full scale, and the tests were repeated. The objective of the study was to determine the relation between the air-exchange efficiency indices obtained in the model and on the full scale.
Tobias ADRIAN; Etula, Erkko; Shin, Hyun-song
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks' balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding l...
Tobias ADRIAN; Etula, Erkko; Shin, Hyun Song
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks’ balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding l...
Leonardos, E.D.; Tsujita, M.J.; Grodzinski, B. (Univ. of Guelph, Ontario (Canada). Dept. of Horticultural Science)
The influence of irradiance, CO[sub 2] concentration, and air temperature on leaf and whole-plant net C exchange rate (NCER) of Alstroemeria Jacqueline' was studied. At ambient CO[sub 2], leaf net photosynthesis was maximum at irradiances above 600 [mu]mol[center dot]m[sup [minus]2][center dot]s[sup [minus]1] photosynthetically active radiation (PAR), while whole-plant NCER required 1,200 [mu]mol[center dot]m[sup [minus]2][center dot]s[sup [minus]1] PAR to be saturated. Leaf and whole-plant NCERs were doubled under CO[sub 2] enrichment of 1,500 to 2,000 [mu]l CO[sub 2]/liter. Leaf and whole-plant NCERs declined as temperature increased from 20 to 35 C. Whereas the optimum temperature range for leaf net photosynthesis was 17 to 23 C, whole-plant NCER, even at high light and high CO[sub 2], declined above 12 C. Dark respiration of leaves and whole plants increased with a Q[sub 10] of [approx] 2 at 15 to 35 C. In an analysis of day effects, irradiance, CO[sub 2] concentration, and temperature contributed 58%, 23%, and 14%, respectively, to the total variation in NCER explained by a second-order polynomial model (R[sup 2] = 0.85). Interactions among the factors accounted for 4% of the variation in day C assimilation. The potential whole-plant growth rates during varying greenhouse day and night temperature regimes were predicted for short- and long-day scenarios. The data are discussed with the view of designing experiments to test the importance of C gain in supporting flowering and high yield during routine harvest of Alstroemeria plants under commercial greenhouse conditions.
The influence of irradiance, CO2 concentration, and air temperature on leaf and whole-plant net C exchange rate (NCER) of Alstroemeria 'Jacqueline' was studied. At ambient CO2, leaf net photosynthesis was maximum at irradiances above 600 micromoles.m-2.s-1 photosynthetically active radiation (PAR), while whole-plant NCER required 1200 micromoles.m-2.s-1 PAR to be saturated. Leaf and whole-plant NCERs were doubled under CO2 enrichment of 1500 to 2000 microliters CO2/liter. Leaf and whole-plant NCERs declined as temperature increased from 20 to 35C. Whereas the optimum temperature range for leaf net photosynthesis was 17 to 23C, whole-plant NCER, even at high light and high CO2, declined above 12C. Dark respiration of leaves and whole plants increased with a Q10 of approximately 2 at 15 to 35C. In an analysis of day effects, irradiance, CO2 concentration, and temperature contributed 58%, 23%, and 14%, respectively, to the total variation in NCER explained by a second-order polynomial model (R2 = 0.85). Interactions among the factors accounted for 4% of the variation in day C assimilation. The potential whole-plant growth rates during varying greenhouse day and night temperature regimes were predicted for short- and long-day scenarios. The data are discussed with the view of designing experiments to test the importance of C gain in supporting flowering and high yield during routine harvest of Alstroemeria plants under commercial greenhouse conditions. (author)
Full Text Available The dilemma for every country with an independent monetary policy is which kind of exchange rate arrangement should be applied. Through the exchange rate policy, countries can influence their economies, i.e. price stability and export competiveness. Croatia is a new EU member state, it has its own monetary policy and currency but it is on the way to euro introduction. Regarding the experiences from the beginning of the 1990s when Croatia was faced with serious monetary instabilities and hyperinflation, the goal of Croatian National Bank (CNB is to ensure price stability and one way to do so is through exchange rate policy. Croatia, as a small and open economy, has applied a managed floating exchange rate regime. The exchange rate is determined primarily by the foreign exchange supply and demand on the foreign exchange market, with occasional market interventions by the CNB. Therefore, in order to maintain exchange rate stability, policymakers must be able to recognize how changes in these factors affect changes in the exchange rate. This research aims to find a relationship among the main sources of foreign currency inflow and outflow and the level of exchange rate in Croatia. The analysis is carried out by using the bounds testing (ARDL approach for co-integration. The results indicate the existence of a stable co-integration relationship between the observed variables, whereby an increase in the majority of variables leads to an exchange rate appreciation.
Lillie Lam; Laurence Fung; Ip-wing Yu
Exchange-rate movement is regularly monitored by central banks for macroeconomic-analysis and market-surveillance purposes. Notwithstanding the pioneering study of Meese and Rogoff (1983), which shows the superiority of the random-walk model in out-of-sample exchange-rate forecast, there is some evidence that exchange-rate movement may be predictable at longer time horizons. This study compares the forecast performance of the Purchasing Power Parity model, Uncovered Interest Rate Parity model...
Dreger, Christian; Girardin, Eric
This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four subperiods are distinguished and linked to exchange rate regimes: the Gold Standard, the interwar float, the Bretton Woods system and the managed float thereafter. Panel integration techniques are applied to...
Hasanov, Fakhri; Huseynov, Fariz
By using quarterly data from 2001-2007 and applying various approaches, we estimate real equilibrium exchange rate misalignment for Azerbaijani Manat (AZN) and find that AZN is slightly overvalued. Purchasing power parity approach does not explain the equilibrium exchange rate. However using behavioral and permanent equilibrium exchange rate approaches, we find that the relative productivity, terms of trade, trade openness, net foreign assets, government expenditures and oil prices are the ma...
Exchange rate fluctuations play an important role in economic decision. The rise or falls in exchange rate are one of the most concerned issue in macroeconomics. This study aims to identify the sources of exchange rate fluctuations of the Thai Baht from various types of shocks between 1997:09 and 2002:08 by using VAR (Vector Autoregressive) model. The past empirical studies such as Flood and Rose (1995) argue that the prevailing structural models fail to predict most of the fluctuation ...
Dr. P.Nandeeswara Rao; Tassew Dufera Tolcha
Real exchange rate has direct effects on trade particularly on international trade and has indirect effects on productions and employments, so it is crucial to understand the factors which determine its variations. This study analyses the main determinants of the real exchange rate and the dynamic adjustment of the real exchange rate following shocks to those determinants using yearly Ethiopian time series data covering the period 1971 to 2010. It begins with a review of literatures on Exchan...
Anderton, Robert; Skudelny, Frauke
This paper estimates an import demand function for the euro area vis--vis its main extra-area trading partners which takes into account the possible impact of both intra- and extra-euro area exchange rate uncertainty. We derive a theoretical model which captures various mechanisms by which exchange rate volatility may influence the demand for extra-euro area imports. If importers are risk averse, the model predicts not only a negative effect of exchange rate volatility, but also substitution ...
Dhekra Azouzi; Rohit Vishal Kumar; Chaker Aloui
Based on a linear framework, this paper aims to examine the relationship between future spot rates and forward exchange rates using USD-TND data, thanks to traditional regressions and to the Vector Error Correction Model (VECM) in order to check if the Unbiasedness Forward Exchange Rate (UFER) hypothesis is satisfied and if the forward premiums contain valuable information useful to forecast the subsequent path that will be taken by spot exchange rates. The empirical analysis reveals that the...
Maurice Obstfeld; Kenneth Rogoff
This paper discusses the profound difficulties of maintaining fixed exchange rates in a world of expanding global capital markets. Contrary to popular wisdom, industrialized-country monetary authorities easily have the resources to defend exchange parities against virtually any private speculative attack. But if their commitment to use those resources lacks credibility with markets, the costs to the broader economy of defending an exchange-rate peg can be very high. The dynamic interplay betw...
Masson, Paul; RUGE-MURCIA, Francisco J.
This paper studies the transition between exchange rate regimes using a Markov chain model with time-varying transition probabilities. The probabilities are parameterized as nonlinear functions of variables suggested by the currency crisis and optimal currency area literature. Results using annual data indicate that inflation, and to a lesser extent, output growth and trade openness help explain the exchange rate regime transition dynamics.
Chang, Roberto; Velasco, Andres
We study financial fragility, exchange rate crises and monetary policy in an open economy model in which banks are maturity transformers as in Diamond-Dybvig. The banking system, the exchange rate regime, and central bank credit policy are seen as parts of a mechanism intended to maximize social welfare; if the mechanism fails, banking crises and speculative attacks become possible. We compare currency boards, fixed rate and flexible rates, with and without a lender of last resort. A currency...
In order to study the hypothesis of an under-rating of the exchange velocity at the ocean-atmosphere interface that could explain the lack of CO2 in the global CO2 balance, an experiment was carried out in two lakes at the Kerguelen Islands where strong winds are common, in order to evaluate precisely the relation between the transfer coefficient and the wind velocity: 3He and SF6 tracers were injected in the lakes; concentration evolutions were recorded and results are shown to validate the above assumption. 6 figs., 1 tab., 9 refs
This paper introduces a real exchange rate rule of the type analyzed by Dornbusch (1982) in an optimizing, two-sector, monetary model of a small open economy. By this rule the government increases the devaluation rate when the real exchange rate is below its long-run level and reduces it when the real exchange rate is above its long-run level. I show that the mere existence of such a rule can give room for extrinsic uncertainty to have real effects, that is, it can generate economic fluctuati...
This note summarizes some of the highlights of my longer paper with Guillermo Calvo”Fear of Floating.” Many emerging market countries have suffered financial crises. One view blames soft pegs for these crises. Adherents to that view suggest that countries move to corner solutions--hard pegs or floating exchange rates. We analyze the behavior of exchange rates, reserves, and interest rates to assess whether there is evidence that country practice is moving toward corner solutions. We focus on...
This paper investigates the impact of exchange rate regimes on international business cycles and focuses on the consequences of membership to the European Monetary System. The volatility puzzle uncovered by Baxter and Stockman [1989, Journal of Monetary Economics 23, 377â€“401] after assessing the consequences of the Bretton Woods system turns out to be a robust stylized fact: real and nominal exchange rates display a higher volatility under floating rates while the variability of macroeconom...
Luca Antonio Ricci
This paper investigates the effects of fixed versus flexible exchange rates on firms' location choices and on countries' specialization patterns. In a two-country, twodifferentiated-goods monetary model, uncertainty arises after wages are set and prices are optimally chosen. The paper shows that countries are more specialized under flexible than fixed rates, which indicates that the pattern of specialization is not uniquely defined by trade models but also depends on the exchange rate regime....
@@ With the deepening of China's financial reform, economic development and the enforcement of market roles, the RMB exchange rate needs to become more flexible and become a more sensitive reflection of the changes in market supply and demand. Under such circumstances, on July 21, the People's Bank of China announced that the previous system where China's RMB was pegged to the U.S. Dollar would be changed to include a basket of foreign currencies, shifting China's exchange rate system into a managed floating exchange rate regime based on market supply and demand.
Are an immigrant's decisions affected in real time by her home country's economy? I examine this question by exploiting exchange rate variations as exogenous price shocks to immigrants' budget constraints. I find that in response to a 10 percent dollar appreciation, an immigrant decreases her earnings by 0.92 percent, mainly by reducing hours worked. The exchange rate effect is greater for recent immigrants, married immigrants with absent spouses, Mexicans close to the border, and immigrants ...
Mehrotra, Aaron; Sanchez-Fung, Jose
The paper models monetary policy in China using a hybrid McCallum–Taylor empirical reaction function. The feedback rule allows for reactions to inflation and output gaps, and to developments in a trade-weighted exchange rate gap measure. The investigation finds that monetary policy in China has, on average, accommodated inflationary developments. But exchange rate shocks do not significantly affect monetary policy behaviour, and there is no evidence of a structural break in the estimated reac...
Recent research suggests that there are many favourable features of the asset- pricing model of exchange rates incorporating Taylor rules. Against this back- ground, this thesis focuses on the relationship between the exchange rate and Taylor rule fundamentals. The introductory chapter provides a short summary of the most relevant literature, and explains the connections between the main chapters. In chapter 2, we mainly follow Engel and West's (2006) framework of the asset-...
Mehmet Fatih, Ekinci
We present and study the properties of a sticky information exchange rate model where consumers and producers update their information sets infrequently. We find that introducing inattentive consumers has important implications. Through a mechanism resembling the limited participation models, we can address the exchange rate volatility for reasonable values of risk aversion. We observe more persistence in output, consumption and employment which brings us closer to the data. Impulse responses...
The paper describes Lithuanian monetary and exchange rate developments. Experiences of the other two Baltic states Estonia and Latvia have been analysed as well. New monetary and financial institutions introduced in all Baltic states faced several problems. One was how to maintain the credibility for new fixed exchange rates in order to preserve positive effect on the economy due to the sharp fall of the inflation. The currency board system has been proposed as a reasonable solution. Central ...
Harald Hau; Helene Rey
We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns in the home equity market relative to the foreign equity market are associated with a home currency...
Hau, Harald; Rey, Hélène
We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for US global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns in the home equity market relative to the foreign equity market are associated with a home currency d...
Helene Rey; Harald Hau
We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns in the home equity market relative to the foreign equity market are associated with a home currency...
Clements, Kenneth W.; Yihui Lan
Building on purchasing power parity theory, this paper proposes a new approach to forecasting exchange rates using the Big Mac data from The Economist magazine. Our approach is attractive in three aspects. Firstly, it uses easily-available Big Mac prices as input. These prices avoid several serious problems associated with broad price indexes, such as the CPI, that are used in conventional PPP studies. Secondly, this approach provides real-time exchange-rate forecasts at any forecast horizon....
Patrick J. Kehoe; Virgiliu Midrigan
The classic explanation for the persistence and volatility of real exchange rates is that they are the result of nominal shocks in an economy with sticky goods prices. A key implication of this explanation is that if goods have differing degrees of price stickiness then relatively more sticky goods tend to have relatively more persistent and volatile good-level real exchange rates. Using panel data, we find only modest support for these key implications. The predictions of the theory for pers...
This paper reviews the arguments for and against monetary unification in Europe, taking into account the recent shift in emphasis in discussions of exchange rate regimes. It discusses the merits of irrevocably fixed versus flexible exchange rates in the light of the literature on international strategic interactions, where inefficiencies arise from countries' incentives to run beggar-thy-neighbor policies. The long run level of inflation is viewed as determined by the 'credibility' of the mon...
Clare, Gregory; Ira N. Gang
We examine the effects of exchange rate and political risks on foreign direct investment (FDI) for multinationals. Our strategy is to examine FDI by U.S. firms at two levels: in all industries and on the subset of only firms in manufacturing industries. When investing in developed economies the firms appear to take past and present variation in exchange rates into consideration. When investing in less developed nations the past and present variation does not appear to weigh as heavily as the ...
Ito, Takatoshi; KOIBUCHI Satoshi; SATO Kiyotaka; SHIMIZU Junko
In this paper, we estimate Japanese firms' exchange rate exposure and investigate the impact of exchange rate risk management on them. By using the results of the questionnaire survey sent to all Tokyo Stock Exchange listed firms in 2009, we conduct empirical analysis to investigate whether each risk management tool—financial and operational hedging, the choice of invoice currency, and the price revision strategy (pass-through)—specifically affects their foreign exchange exposure. As a result...
Full Text Available Based on a linear framework, this paper aims to examine the relationship between future spot rates and forward exchange rates using USD-TND data, thanks to traditional regressions and to the Vector Error Correction Model (VECM in order to check if the Unbiasedness Forward Exchange Rate (UFER hypothesis is satisfied and if the forward premiums contain valuable information useful to forecast the subsequent path that will be taken by spot exchange rates. The empirical analysis reveals that the UFER hypothesis is rejected and that the forward premium is a crucial tool, at short term, to detect the future movements of spot exchange rates. A potential enrichment of such a paper will rely on a non linearframework.
Koplow, Jeffrey P.
We describe breakthrough results obtained in a feasibility study of a fundamentally new architecture for air-cooled heat exchangers. A longstanding but largely unrealized opportunity in energy efficiency concerns the performance of air-cooled heat exchangers used in air conditioners, heat pumps, and refrigeration equipment. In the case of residential air conditioners, for example, the typical performance of the air cooled heat exchangers used for condensers and evaporators is at best marginal from the standpoint the of achieving maximum the possible coefficient of performance (COP). If by some means it were possible to reduce the thermal resistance of these heat exchangers to a negligible level, a typical energy savings of order 30% could be immediately realized. It has long been known that a several-fold increase in heat exchanger size, in conjunction with the use of much higher volumetric flow rates, provides a straight-forward path to this goal but is not practical from the standpoint of real world applications. The tension in the market place between the need for energy efficiency and logistical considerations such as equipment size, cost and operating noise has resulted in a compromise that is far from ideal. This is the reason that a typical residential air conditioner exhibits significant sensitivity to reductions in fan speed and/or fouling of the heat exchanger surface. The prevailing wisdom is that little can be done to improve this situation; the 'fan-plus-finned-heat-sink' heat exchanger architecture used throughout the energy sector represents an extremely mature technology for which there is little opportunity for further optimization. But the fact remains that conventional fan-plus-finned-heat-sink technology simply doesn't work that well. Their primary physical limitation to performance (i.e. low thermal resistance) is the boundary layer of motionless air that adheres to and envelops all surfaces of the heat exchanger. Within this
Vaibhav Madane; Meeta Vedpathak
This project focuses on Earth Air Heat Exchanger which is reducing energy consumption in a building. The air is passing through the buried tubes and heat exchange takes place between air and surrounding soil. This equipment helps to reduce energy consumption of an air conditioning unit. This project analyses the thermal performance of earth air heat exchanger by using computational fluid dynamics modeling. The model is validated against experimental observations and investigations...
Sweder van Wijnbergen
Using an intertemporal, two-country general equilibrium model, I demonstrate that international asymmetries in expenditure patterns determine the real exchange rate effects of capital controls. Capital import taxes lower world interest rates, but raise home interest rates. These changes in interest rates bring about a change in the composition of world expenditure, with a shift of home expenditure from the present ('today') to the future ('tomorrow'), and a shift of foreign aggregate expendit...
Alan C. Stockman
This paper proposes a new explanation for the greater variability of real exchange rates under pegged than under floating nominal exchange rate systems. The explanation hinges on the propensity of governments to use international trade restrictions and financial restrictions for balance-of-payments purposes under pegged exchange rates. In particular. these restrictions become more likely during periods of time when countries suffer losses of international reserves than might. without policy c...
Vúletin, Guillermo Javier
This paper analyzes the influence of exchange rate regimes on fiscal performance, focusing on the difference between fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology for dynamic proposal panel models proposed by Arellano and Bond (1991) and diverse exchange rate classifications are used. In relation to the latter, this paper discusses recent regimes classifications and proposes a new one that permits to cover possible in...
Sønderby, Casper Kaae; Lundell, Henrik M; Søgaard, Lise V; Dyrby, Tim B
Double-wave diffusion experiments offer the possibility of probing correlation between molecular diffusion at multiple time points. It has recently been shown that this technique is capable of measuring the exchange of water across cellular membranes. The aim of this study was to investigate the ...... effect of macroscopic tissue anisotropy on the measurement of the apparent exchange rate (AXR) in multicompartment systems.......Double-wave diffusion experiments offer the possibility of probing correlation between molecular diffusion at multiple time points. It has recently been shown that this technique is capable of measuring the exchange of water across cellular membranes. The aim of this study was to investigate the...
Rackes, A; Waring, M S
We used existing data to develop distributions of time-averaged air exchange rates (AER), whole-building 'effective' emission rates of volatile organic compounds (VOC), and other variables for use in Monte Carlo analyses of U.S. offices. With these, we explored whether long-term VOC emission rates were related to the AER over the sector, as has been observed in the short term for some VOCs in single buildings. We fit and compared two statistical models to the data. In the independent emissions model (IEM), emissions were unaffected by other variables, while in the dependent emissions model (DEM), emissions responded to the AER via coupling through a conceptual boundary layer between the air and a lumped emission source. For 20 of 46 VOCs, the DEM was preferable to the IEM and emission rates, though variable, were higher in buildings with higher AERs. Most oxygenated VOCs and some alkanes were well fit by the DEM, while nearly all aromatics and halocarbons were independent. Trends by vapor pressure suggested multiple mechanisms could be involved. The factors of temperature, relative humidity, and building age were almost never associated with effective emission rates. Our findings suggest that effective emissions in real commercial buildings will be difficult to predict from deterministic experiments or models. PMID:26010216
Yang, Yue; Wang, Jianbo; Yang, Huijie; Mang, Jingshi
By means of a visibility graph, we investigate six important exchange rate series. It is found that the series convert into scale-free and hierarchically structured networks. The relationship between the scaling exponents of the degree distributions and the Hurst exponents obeys the analytical prediction for fractal Brownian motions. The visibility graph can be used to obtain reliable values of Hurst exponents of the series. The characteristics are explained by using the multifractal structures of the series. The exchange rate of EURO to Japanese Yen is widely used to evaluate risk and to estimate trends in speculative investments. Interestingly, the hierarchies of the visibility graphs for the exchange rate series of these two currencies are significantly weak compared with that of the other series.
Zhanwei Z. Yue; Samir Jahjah
We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An exchange rate policy is captured by the de facto exchange rate regime and the real exchange rate misalignment. The main findings are: (1) real exchange rate overvaluation significantly increases sovereign bond issue probability and raises bond spreads; (2) spreads and the likelihood...
Full Text Available The paper studies theoretical and empirical location dispersion of exchange rate arrangements - rigid-intermediate-flexible regimes, in the context of extreme arrangements of a currency board, dollarization and monetary union moderate characteristics of intermediate arrangements (adjustable pegs crawling pegs and target zones and imperative-process "normalization" in the form of a managed or clean floating system. It is established that de iure and de facto classifications generate "fear of floating" and "fear of pegging". The "impossible trinity" under the conditions of capital liberalization and globalization creates a bipolar view or hypothesis of vanishing intermediate exchange rate regimes.
A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely to be dependent on the particular historical period rather than on the nominal exchange rate arrangement itself. This paper reexamines RER behavior using alternative data sets, as well as different econometric methods, over the period 1880-1997. It finds strong evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an important r...
Charles, Amélie; Olivier DARNÉ; Kim, Jae H
This study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates from 1975 to 2009. We use three alternative tests for the MDH, which include the wild bootstrap automatic variance ratio test, generalized spectral test, and Dominguez-Lobato consistent tests. We evaluate time-varying return predictability by applying these tests with fixed-length moving sub-sample windows. While exchange...
Stadtmann, Georg; Pierdzioch; Rülke
We used the yen/dollar exchange-rate forecasts of the Wall Street Journal (WSJ) poll to analyse whether exchange-rate forecasters have an asymmetric loss function. To this end, we applied an approach recently developed by Elliott et al. (2005). We found that only few forecasters seem to form...
Fosse, Henrik Barslund
Firms exporting to foreign markets face a particular challenge: to price their exports in a foreign market when the exchange rate changes. This paper takes on pricing- to-market using a unique data set that covers rm level monthly trade at great detail. As opposed to annual trade ows, monthly trade...
Brůha, J.; Podpiera, Jiří
Roč. 18, č. 3 (2010), s. 599-628. ISSN 0967-0750 Institutional research plan: CEZ:AV0Z70850503 Keywords : real exchange rate * emerging economies * two-country modelling Subject RIV: AH - Economics Impact factor: 0.536, year: 2010
Burstein, Ariel; Eichenbaum, Martin; Rebelo, Sergio
In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand…
L. Vinhas de Souza
textabstractHere the author empirically estimates if the different monetary and exchange rate frameworks observed in the Accession Countries of Central and Eastern Europe and the Baltics do yield different outcomes in terms of level and variance of a set of nominal and real variables. The author fol
Arcand, Jean-Louis; Guillaumont, Patrick; Guillaumont Jeanneney, Sylviane
Deforestation is a phenomenon that has largely been concentrated in the developing world. We construct a theoretical model of deforestation that focuses on the factors affecting the incentives to transform forested land into agricultural land. We show that: (i) lower discount rates (associated with higher income levels), stronger institutions, and increases in the relative price of timber decrease deforestation; (ii) depreciations in the real exchange rate increase deforestation in developing...
Corbett, Robert J.; Miller, Barbara
The air-to-air heat exchanger (a fan powered ventilation device that recovers heat from stale outgoing air) is explained in this six-part publication. Topic areas addressed are: (1) the nature of air-to-air heat exchangers and how they work; (2) choosing and sizing the system; (3) installation, control, and maintenance of the system; (4) heat…
Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex
Since its announcement made on September 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level.We use a compound option pricing approach to...... estimate the latent exchange rate that would prevail in the absence of the SNB’s interventions, together with the market’s confidence in the SNB’s commitment to this policy. © 2014 Wiley Periodicals, Inc....
Instead of just focusing on the effect of exchange rate levels (undervalued or overvalued exchange rates) on trade, this paper provides an analysis of the effects of exchange rate volatility levels on international trade. Intuitively, an increase in exchange rate volatility leads to uncertainty for agents participating in international trade, and such uncertainty might have a negative impa...
Laura Maria Badea
Full Text Available Gaining accuracy in exchange rate forecasting applications provides true benefits for financial activities. Supported today by the advancements in computing power, machine learning techniques provide good alternatives to traditional time series estimation methods. Very approached in time series forecasting are Artificial Neural Networks (ANNs which offer robust results and allow a flexible data manipulation. When integrating both, the “white-box” feature of conventional methods and the complexity of machine learning techniques, forecasting models perform even better in terms of generated errors. In this study, input variables (independent variables are selected using an ARIMA technique and are further employed in differently configured multilayered feed-forward neural networks using Broyden-Fletcher-Goldfarb-Shanno (BFGS optimization algorithm to perform predictions on EUR/RON and CHF/RON exchange rates. Results in terms of mean squared error highlight good results when using mixed models.
Josheski, Dushko; Lazarov, Darko
urrently, the exchange rate regime in the Republic of Macedonia is what is refered to as a "managed float." The exchange rate of the denar is established on the basis of supply and demand of foreign exchange markets. The denar exchange rate against the euro serves as a fundamental of the Republic of Macedonia monetary policy. Money supply and interest rates are dictated by the exchange rate target. This paper uses Structural Vector Autoregression method to find empirical evidence ...
Canelas, José Pedro Lourenço Prates
This research focuses on the possible lag relationship among exchange rates. The period considered (2000-2013) comprises the Financial Crisis and therefore it was divided into two distinct periods: before and during the crisis. Before the crisis, the returns of Sweden and the Euro Zone seem to have impact on the British, Korean and Australian ones. During the crisis, there is evidence of the Euro and Sterling Pound influence on the Australian and New Zealand Dollar. Interestingly, the Swedish...
The paper studies theoretical and empirical location dispersion of exchange rate arrangements - rigid-intermediate-flexible regimes, in the context of extreme arrangements of a currency board, dollarization and monetary union, moderate characteristics of intermediate arrangements (adjustable pegs, crawling pegs and target zones) and imperative-process normalization in the form of a managed or clean floating system. It is established that de iure and de facto classifications generate fear of f...
According to theory, higher expected foreign risk-free returns and foreign currency risk both increase foreign yields, but have opposing effects on the value of the foreign currency. This paper exploits that relationship to jointly identify the unobserved risk-free return and risk premium components of exchange rates and expected relative returns. When risk and return are jointly modelled over a 10-year horizon, UIP cannot be rejected for any of the eight advanced country USD currency pairs e...
The paper studies theoretical and empirical location dispersion of exchange rate arrangements - rigid-intermediate-flexible regimes, in the context of extreme arrangements of a currency board, dollarization and monetary union moderate characteristics of intermediate arrangements (adjustable pegs crawling pegs and target zones) and imperative-process "normalization" in the form of a managed or clean floating system. It is established that de iure and de facto classifications generate "fear of ...
The paper analyzes the relation between institutional quality, such as corruption, in a country and its monetary regime. It is shown that a credibly fixed exchange rate to a low inflation country, like a currency board, can reduce corruption and improve the fiscal system. A monetary union, however, has ambiguous effects. I find that that there is convergence between countries with regard to the level of corruption.
Sucarrat, Genaro; Rime, Dagfinn
We study the role played by geographic and bank-size heterogeneity in the relation between exchange rate variability and market activity. We find some support for the hypothesis that increases in short-term global interbank market activity, which can be interpreted as due to variation in information arrival, increase variability. However, our results do not suggest that local short-term activity increases variability. With respect to long-term market activity, which can be interpreted as a me...
The goal of this paper is to provide a model and method for those wishing to include the Post Keynesian perspective when teaching exchange rate theory. It begins by reviewing neoclassical approaches (purchasing power parity, the monetary model, and the Dornbusch model) and then develops a graphical Post Keynesian model that is based on Keynes's Z-D diagram, endogenous money, a currency market driven by portfolio capital flows, and no assumption of a tendency toward full employment or balanced...
Introduction of new trading model has multiple significance China's central bank invited public bidding among 10 major domestic commercial banks to carry out one-year-long currency swap transactions last November. This move, according to Zuo Xiaolei, Chief Economist of China Galaxy Securities Co. Ltd., not only enables financial derivatives to become an operational instrument for implementing monetary policy, but also represents another action of the marketization of the exchange rate regime after an ear...
Full Text Available This paper was presented at the Fourth International Seminar on European Economic and Monetary Union, held in Copenhagen in March of 1981. The author takes up the theoretical issues in the framework of both static and dynamic analysis. He argues, on the basis of the criterion of minimising the variance of prices around their target value, that an exchange-rate target outperforms a monetary target under most conceivable types of disturbances in a static analysis.
Linda S. Goldberg
This paper predicts ex-ante the probability of currency crises end size of expected devaluations month by month for Mexico between 1980 and 1986 using a heterodox linear discrete time model of exchange rate crises. The forces contributing to speculative attacks on the Mexican peso include internal money creation, external credit shocks, and relative price shocks. The framework proves highly successful for generating forecasts of the probability of speculative attacks on the peso and for predi...
Degrér, Henrik; Hansen, Jan; Sellin, Peter
In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None of the models evaluated could convincingly outperform a random walk alternative.
Burstein, Ariel Tomas; Joao C. Neves; Rebelo, Sérgio
This Paper studies the role played by distribution costs in shaping the behaviour of the real exchange rate during exchange-rate-based stabilizations. We document that distribution costs are very large for the average consumer good: the represent more than 40% of the retail price in the US and 60% of the retail price in Argentina. Distribution services require local labour and so so they drive a natural wedge between retail prices in different countries. We show that introducing a distributio...
Janaun, J.; Kamin, N. H.; Wong, K. H.; Tham, H. J.; Kong, V. V.; Farajpourlar, M.
Air heating unit is one of the most important parts in paddy drying to ensure the efficiency of a drying process. In addition, an optimized air heating unit does not only promise a good paddy quality, but also save more for the operating cost. This study determined the suitable and best specifications heating unit to heat air for paddy drying in the LAMB dryer. In this study, Aspen HYSYS v7.3 was used to obtain the minimum flow rate of hot water needed. The resulting data obtained from Aspen HYSYS v7.3 were used in Aspen Exchanger Design and Rating (EDR) to generate heat exchanger design and costs. The designs include shell and tubes and plate heat exchanger. The heat exchanger was designed in order to produce various drying temperatures of 40, 50, 60 and 70°C of air with different flow rate, 300, 2500 and 5000 LPM. The optimum condition for the heat exchanger were found to be plate heat exchanger with 0.6 mm plate thickness, 198.75 mm plate width, 554.8 mm plate length and 11 numbers of plates operating at 5000 LPM air flow rate.
Exchange rate exposure has become one of the most important subjects in international finance area after collapsing fixed exchange rate system. Several studies have been devoted to explore the relationship between exchange rate changes and the value of the firm. This study aims to investigate this relationship in the Istanbul Stock Exchange Market. The results of univariate model and multivariate models indicate that 30 % of the firms are affected negatively against exchange rate changes. The...
Buetzer, Sascha; Habib, Maurizio Michael; Stracca, Livio
Do oil shocks matter for exchange rates? This paper addresses this question based on data on real and nominal exchange rates as well as an exchange market pressure index for 44 advanced and emerging countries. We identify three structural shocks (oil supply, global demand, and oil specific demand) which raise the real oil price and analyse their effect on individual exchange rates. Contrary to the predictions of the theoretical literature, we find no evidence that exchange rates of oil export...
Jacky C. So
The distributors of foreign exchange rates are important for model building and empirical analysis. For example, many studies have examined foreign exchange market efficiency and currency portfolio management under the assumption that foreign exchange rates are normally distributed. The statistical tests in these studies, and thus their conclusions, may not be reliable if the foreign exchange rates follow non-normal distributions. Realizing the importance of the distribution of exchange rates...
Full Text Available The rational expectations paradigm, that dominates macroeconomicsfails to take into account the complexity of the information, which is so vast that the individual brain cannot understand the full of it. The agents are boundedly rational,so they use simple forecasting rules that do not incorporate all available information, but they are willing to learn and will switch to other rules if it turns out that these rules are more profitable than the rule they have been using. Such trial and error learning strategies create the dynamics in the foreign exchange market, with two types of equilibria, a fundamental and a non-fundamental equilibrium to which the exchange rate is attracted.
Jean-Olivier Hairault; Lise Patureau; Thepthida Sopraseuth
Transitions to floating exchange rate regimes have led to sharp increases in exchange rate volatilities with no corresponding changes in the distribution of macroeconomic fundamentals. In the spirit of Dornbusch (1976), we assess whether nominal exchange rate overshooting is responsible for this phenomenon. As long as uncovered interest rate parity holds, nominal exchange rate overshooting is linked to a persistent fall in the spread between domestic and foreign nominal interest rates. We thu...
Ferreira Filipe, Sara; Maio, Paulo
We compute a variance decomposition for the log exchange rate based on a present-value relation. At long horizons, return predictability drives the variation in the exchange rate while predictability of future interest rate differentials plays a secondary role. At shorter horizons, the dominant source is predictability of the future spot rate. There is more return predictability and less interest spread and exchange rate predictability in the case of real exchange rates compared to nominal ex...
Hairault, Jean-Olivier; Patureau, Lise; Sopraseuth, Thepthida
Transition to floating exchange rate regimes has led to sharp increases in nominal and real exchange rate volatilities with no corresponding changes in the distribution of fundamental macroeconomic variables. In the spirit of Dornbusch , we assess whether nominal exchange rate overshooting is responsible for this phenomenon. As long as uncovered interest rate parity holds, nominal exchange rate overshooting is linked to a persistent fall in the spread between domestic and foreign nomina...
Anne O. Krueger
This paper analyzes a nominal anchor exchange rate policy as a domestic distortion, in the tradition of international trade theory. It is shown that, in addition to the problems of sustainability and exit pinpointed in the exchange rate literature, a nominal anchor exchange rate policy, while in force, drives a wedge between the domestic and the international intertemporal marginal rates of substitution. The welfare cost of the Mexican use of the nominal anchor exchange rate policy prior to D...
Usually it is argued that an increase in exchange rate volatility reduces the volume of international trade since trading firms are risk averse. This paper shows for risk neutral firms that the expected international trade volume in standardized commodities grows with exchange rate volatility. The firms adjust their trade volume to the exchange rate level. The more favorable the exchange rate is, the higher is the export volume. If the rate drops below some level, exports are stopped. Thus in...
Harvey, Mike J.; Law, Cliff S.; Smith, Murray J.; Hall, Julie A.; Abraham, Edward R.; Stevens, Craig L.; Hadfield, Mark G.; Ho, David T.; Ward, Brian; Archer, Stephen D.; Cainey, Jill M.; Currie, Kim I.; Devries, Dawn; Ellwood, Michael J.; Hill, Peter; Jones, Graham B.; Katz, Dave; Kuparinen, Jorma; Macaskill, Burns; Main, William; Marriner, Andrew; McGregor, John; McNeil, Craig; Minnett, Peter J.; Nodder, Scott D.; Peloquin, Jill; Pickmere, Stuart; Pinkerton, Matthew H.; Safi, Karl A.; Thompson, Rona; Walkington, Matthew; Wright, Simon W.; Ziolkowski, Lori A.
The SOLAS air-sea gas exchange experiment (SAGE) was a multiple-objective study investigating gas-transfer processes and the influence of iron fertilisation on biologically driven gas exchange in high-nitrate low-silicic acid low-chlorophyll (HNLSiLC) Sub-Antarctic waters characteristic of the expansive subpolar zone of the southern oceans. This paper provides a general introduction and summary of the main experimental findings. The release site was selected from a pre-voyage desktop study of environmental parameters to be in the south-west Bounty Trough (46.5°S 172.5°E) to the south-east of New Zealand and the experiment was conducted between mid-March and mid-April 2004. In common with other mesoscale iron addition experiments (FeAX's), SAGE was designed as a Lagrangian study, quantifying key biological and physical drivers influencing the air-sea gas exchange processes of CO 2, DMS and other biogenic gases associated with an iron-induced phytoplankton bloom. A dual tracer SF 6/ 3He release enabled quantification of both the lateral evolution of a labelled volume (patch) of ocean and the air-sea tracer exchange at tenths of kilometer scale, in conjunction with the iron fertilisation. Estimates from the dual-tracer experiment found a quadratic dependency of the gas exchange coefficient on windspeed that is widely applicable and describe air-sea gas exchange in strong wind regimes. Within the patch, local and micrometeorological gas exchange process studies (100 m scale) and physical variables such as near-surface turbulence, temperature microstructure at the interface, wave properties and windspeed were quantified to further assist the development of gas exchange models for high-wind environments. There was a significant increase in the photosynthetic competence ( Fv/ Fm) of resident phytoplankton within the first day following iron addition, but in contrast to other FeAX's, rates of net primary production and column-integrated chlorophyll a concentrations had
Nieuwenhuijsen, Mark J.; Basagaña, Xavier; Dadvand, Payam; Martinez, David; Cirach, Marta; Beelen, Rob; Jacquemin, Bénédicte
Background: Some reports have suggested effects of air pollution on semen quality and success rates of in vitro fertilization (IVF) in humans and lower fertility rates in mice. However, no studies have evaluated the impact of air pollution on human fertility rates. Aims: We assessed the association
Holger van Eden; LIU Bin; Gerbert Romyn; YANG Xiaoguang
]n this paper, we analyze the movements of the real exchange rate in China.Our empirical evidence shows that the purchasing power parity does not hold in the long run, and the real exchange rate is non-stationary. The decomposition of the movements of the real exchange rate also indicates that real shocks result in permanent changes in the real exchange rate whereas nominal shocks just result in temporary changes.Based on these facts,we apply NATREX approach to analyze the detrmination of real exchange rate in China.The NATREX model successfully explains the evolution of the real exchange rate in China:The real exchange rate in the long run is determined by the real fundamentals including the productivity at home and abroad,and the domestic time preference.In the long run,a rise of the domestic productivity significantly appreciates the real exchange rate whereas a rise of the foreign productivity significantly appreciates the real exchange rate whereas a rise of the fireign productivity or a rise of the domestic time preference significantly depreciates the real exchange rate.We also find that the estimated NATREX rate converges to the steady-state exchange rate in the long run.Although there are short-run fluctuations around the NATREX rate,the real exchange rate will converge to the NATREX rate over time.
Full Text Available This paper reflects a the statistical modeling of the values concerning the annual averages of the euro exchange rate, respectively the dollar exchange rate in Romania, through by means of the „Least Squares Method”. The exchange rate represents the price regardinga monetary unit from the currency which belongs to a country, expressed in the monetary unit of the another country. Also, the exchange rate takes into consideration the type of quotation which linking the two currencies involved at the exchange ratio. The exchange rates have been more volatile over time, then relative price levels and rates of inflation.
Present and potential future changes to the global environment have important implications for marine pollution and for the air-sea exchange of both anthropogenic and natural substances. This report addresses three issues related to the potential impact of global change on the air-sea exchange of chemicals: Global change and the air-sea transfer of the nutrients nitrogen and iron. Global change and the air-sea exchange of gases. Oceanic responses to radiative and oxidative changes in the atmosphere. The deposition of atmospheric anthropogenic nitrogen has probably increased biological productivity in coastal regions along many continental margins. Atmospheric deposition of new nitrogen may also have increased productivity somewhat in mid-ocean regions. The projected future increases of nitrogen oxide emissions from Asia, Africa and South America will provide significant increases in the rate of deposition of oxidized nitrogen to the central North Pacific, the equatorial Atlantic, and the equatorial and central South Indian Oceans. Atmospheric iron may be an important nutrient in certain open regions. Future changes will likely occur if there are changing patterns of aridity and wind speed as a result of climate change. The most important future effects on surface ocean pCO2 will likely be caused by changes in ocean circulation. The pH of the ocean would decrease by ∼0.3 units for a doubling of pCO2, reducing the capacity of the ocean to take up CO2. There is increasing evidence that dimethyl sulfide from the ocean is a source of cloud condensation nuclei and thus a factor controlling cloud albedo. By 2060 in the southern hemisphere reduction in total column stratospheric ozone from recent levels could reach 2 to 5% in the tropics, 10% at mid latitudes, and over 20% at 60 deg C. S. In this same time frame increases in ground-level effective UV-B radiation could reach 5%, 26% and 66%, at low, mid, and high latitudes in the southern hemisphere. Changes in
regime in whichthe monetary authority optimises preferences which include an employment targetand an inflation target. As government spending affects the representativeindividual's utility, the choice of exchange rate regime has an impact on welfare.Keywords: exchange rate regimes; fiscal policy...
Boug, Pål; Cappelen, Ådne; Eika, Torbjørn
Abstract: Several small open economies switched to inflation targeting during the 1990s, thereby giving up various forms of exchange rate targeting in favour of flexible exchange rates. Norway did the same early in 2001, and has thereafter experienced highly varying nominal exchange rates with consumer price inflation dropping far below the target during 2003 and 2004. Knowledge of the degree of exchange rate pass-through to import prices and further to consumer prices is essen...
This paper studies exchange rate choice in Russia with respect to social, economic and political determinants. The study deliberately narrowed the scope of the discussion to two extreme cases, i.e. fixed and floating exchange rate. Today Russia applies managed floating exchange rate arrangement and it is important to determine the direction of the further monetary policy development either towards fixed or floating exchange rate. The paper argues that the logical extension of the historical t...
Time-varying exchange rate pass-through effects to domestic prices under fixed euro exchange rate perspective represent one of the most challenging implications of the common currency. The problem is even more crucial when examining crisis related redistributive effects associated with relative price changes. The degree of the exchange rate pass-through to domestic prices reveals its role as the external price shocks absorber especially in the situation when the leading path of exchange rates...
Johannes Fedderke; Philippe Flamand
Economic theory in the context of floating exchange rates has focussed on underlying medium and long term direction of exchange rate movements. Daily volatility is less well understood. One theory that offers an explanation for short term exchange rate movements is that of the efficient market hypothesis or EMH. Its application to the forex market allows exchange rate movements to be understood as the reaction of traders to relevant news. In an efficient market traders react to news and speci...
Sarno, Lucio; Valente, Giorgio; Mark E. Wohar
We investigate the dynamic relationship between the US dollar exchange rate and its fundamentals across different exchange rate regimes using data going back to the late 1800s or early 1900s for six industrialized countries. For these countries there is evidence of a long-run relation between the nominal exchange rate and monetary fundamentals consistent with conventional theories of exchange rate determination. We employ a Markov-switching vector equilibrium correction model that allows for ...
Jacob A. Frenkel; Assaf Razin
This paper examines the viability of dual exchange-rate regimes. Typically, under such a regime the exchange rates applicable to current-account(commercial) transactions and to capital-account (financial) transactions differ from each other. This difference may be determined in the free market if the authorities peg the commercial exchange rate and set a binding quota on external borrowing, or it may result from direct pegging of both exchange rates. The analysis starts with a specification o...
Purchasing power parity implies that real exchange rates are stationary. However, the finding of nonstationary real exchange rates has been difficult to dismiss. Using a nonlinear, three-regime structural bivariate threshold model, this paper finds evidence of threshold stationary real exchange rates which is consistent with purchasing power parity adjusted for market frictions such as transaction costs.
... pension and parents' DIC shall be projected using the most recent quarterly exchange rate and shall be... determined using the quarterly exchange rate for the quarter in which the expenses forming the basis of the... most recent quarterly exchange rate. Cross-references: Accrued benefits. See § 3.1000. Accrued...
Mishkin, Frederic S.
This paper discusses what recent economic research tells us about exchange rate pass-through and what this suggests for the control of monetary policy. It first focuses on exchange rate pass-through from a macroeconomic perspective and then examines the microeconomic evidence. In light of this evidence, it then discusses the implications of exchange rate movements on the conduct of monetary policy.
Full Text Available Buoyancy-driven exchange flows of helium-air through inclined a narrow tube was investigated. Exchange flows may occur following the opening of a window for ventilation, as well as when a pipe ruptures in a high temperature gas-cooled reactor. The experiment in this paper was carried out in a test chamber filled with helium and the flow was visualized using the smoke wire method. A high-speed camera recorded the flow behavior. The image of the flow was transferred to digital data, and the slow flow velocity, i.e. micro flow rate was measured by PIV software. Numerical simulation was carried out by the code of moving particle method with Lagrange method.
Audzei, Volha; Brázdik, F.
Roč. 65, č. 5 (2015), s. 391-410. ISSN 0015-1920 Institutional support: PRVOUK-P23 Keywords : Czech Republic * exchange rates * sign restrictions Subject RIV: AH - Economics Impact factor: 0.420, year: 2014 http://journal.fsv.cuni.cz/storage/1340_audzei.pdf
Guillermo J. Vuletin
This paper analyzes the influence of exchange rate regimes on fiscal performance, focusing on the difference between fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology for dynamic proposal panel models proposed by Arellano and Bond (1991) and diverse exchange rate classifications are used. In relation to the latter, this paper discusses recent regime classifications and proposes a new exchange rate classification that perm...
Hall, Robert O.; Kennedy, Theodore A.; Rosi-Marshall, Emma J.
Air-water gas exchange governs fluxes of gas into and out of aquatic ecosystems. Knowing this flux is necessary to calculate gas budgets (i.e., O2) to estimate whole-ecosystem metabolism and basin-scale carbon budgets. Empirical data on rates of gas exchange for streams, estuaries, and oceans are readily available. However, there are few data from large rivers and no data from whitewater rapids. We measured gas transfer velocity in the Colorado River, Grand Canyon, as decline in O2 saturation deficit, 7 times in a 28-km segment spanning 7 rapids. The O2 saturation deficit exists because of hypolimnetic discharge from Glen Canyon Dam, located 25 km upriver from Lees Ferry. Gas transfer velocity (k600) increased with slope of the immediate reach. k600 was -1 in flat reaches, while k600 for the steepest rapid ranged 3600-7700 cm h-1, an extremely high value of k600. Using the rate of gas exchange per unit length of water surface elevation (Kdrop, m-1), segment-integrated k600 varied between 74 and 101 cm h-1. Using Kdrop we scaled k600 to the remainder of the Colorado River in Grand Canyon. At the scale corresponding to the segment length where 80% of the O2 exchanged with the atmosphere (mean length = 26.1 km), k600 varied 4.5-fold between 56 and 272 cm h-1 with a mean of 113 cm h-1. Gas transfer velocity for the Colorado River was higher than those from other aquatic ecosystems because of large rapids. Our approach of scaling k600 based on Kdrop allows comparing gas transfer velocity across rivers with spatially heterogeneous morphology.
Md. Lutfur Rahman; Jashim Uddin
In this paper we have investigated the interactions between stock prices and exchange rates in the emerging economy of Bangladesh. We have considered monthly nominal exchange rates of US dollar, euro, Japanese yen, pound sterling and monthly values of Dhaka Stock Exchange General Index for period of June 2003 to March 2008 to conduct the study. Empirical result shows that exchange rates and stock prices data series are non stationary and integrated of order one. Then we have applied Johansen ...
S. Kumar Chandar; Sumathi, Dr. M.; Dr S. N. Sivanandam
The foreign currency exchange market is the highest and most liquid of the financial markets, with an estimated $1 trillion traded every day. Foreign exchange rates are the most important economic indices in the international financial markets. The prediction of them poses many theoretical and experimental challenges. This paper reports empirical proof that a neural network model is applicable to the prediction of foreign exchange rates. The exchange rates between Indian Rupee and four other...
Zeileis, Achim; Shah, Ajay; Patnaik, Ila
Regression models for de facto currency regime classification are complemented by inferential techniques for tracking the stability of exchange rate regimes. Several structural change methods are adapted to these regressions: tools for assessing the stability of exchange rate regressions in historical data (testing), in incoming data (monitoring) and for determining the breakpoints of shifts in the exchange rate regime (dating). The tools are illustrated by investigating the Chinese exchange ...
Air-to-air membrane energy exchangers (MEEs) are attracting increasing attention as one of the most important novel trends in heat and energy recovery exchangers for heating, ventilating and air-conditioning (HVAC) systems. In MEEs, simultaneous heat and moisture transfer through the selectively permeable membrane reduces the energy consumed for heating, cooling, dehumidifying or humidifying the ventilation air. In cold climates, the moisture transfer from the warm and humid...
This paper used Granger Causality test and descriptive statistics analysis to examine the response of the South African stock market to different exchange rate regimes from 1978 to 2008. The analysis of the history of the exchange rate regimes in South Africa showed that the flexibility was introduced in 1979 but the exchange rate shocks of great magnitude appeared during the period of the free-floating exchange rate system (1995-2008). Results reported in this paper revealed that the respons...
Dugaria, S.; Moro, L.; Del, D., Col
The diffusion of total energy recovery systems could lead to a significant reduction in the energy demand for building air-conditioning. With these devices, sensible heat and humidity can be recovered in winter from the exhaust airstream, while, in summer, the incoming air stream can be cooled and dehumidified by transferring the excess heat and moisture to the exhaust air stream. Membrane based enthalpy exchangers are composed by different channels separated by semi-permeable membranes. The membrane allows moisture transfer under vapour pressure difference, or water concentration difference, between the two sides and, at the same time, it is ideally impermeable to air and other contaminants present in exhaust air. Heat transfer between the airstreams occurs through the membrane due to the temperature gradient. The aim of this work is to develop a detailed model of the coupled heat and mass transfer mechanisms through the membrane between the two airstreams. After a review of the most relevant models published in the scientific literature, the governing equations are presented and some simplifying assumptions are analysed and discussed. As a result, a steady-state, two-dimensional finite difference numerical model is setup. The developed model is able to predict temperature and humidity evolution inside the channels. Sensible and latent heat transfer rate, as well as moisture transfer rate, are determined. A sensitive analysis is conducted in order to determine the more influential parameters on the thermal and vapour transfer.
Md. Lutfur Rahman
Full Text Available In this paper we have investigated the interactions between stock prices and exchange rates in the emerging economy of Bangladesh. We have considered monthly nominal exchange rates of US dollar, euro, Japanese yen, pound sterling and monthly values of Dhaka Stock Exchange General Index for period of June 2003 to March 2008 to conduct the study. Empirical result shows that exchange rates and stock prices data series are non stationary and integrated of order one. Then we have applied Johansen procedure to test for the possibility of a cointegrating relationship. Result shows that there is no cointegrating relationship between stock prices and exchange rates. Finally Granger causality test shows that stock prices Granger cause exchange rates of US dollar and Japanese yen but there is no way causal relationship between stock prices and exchange rates of euro and pound sterling.
The expansion of international business in Slovakia brought not only the opening of markets and expansion of enterprise possibilities but also an increase in the competition and new risks. One of such risks is also the exchange rate risk. The business that realizes a financial transaction exceeding borders of the state or derives his buying or selling prices in Slovak crowns from the foreign currency, is subjected to the exchange rate risks. The exchange rate risks are caused by volatility of exchange courses of Slovak crowns related to foreign currencies. The progress of exchange rates can considerably influence a real result of a transaction negatively; therefore it is important for enterprises to identify possible risks resulting from changes in exchange rates, so they could react accordingly. The proposed article is aimed at the explanation of basic techniques of minimizing exchange rate risks with the use of financial tools available on the financial market. (authors)
Soumya Suvra Bhadury; Taniya Ghosh
Money overtime has been deemphasized from most of the macroeconometric models of exchange rate making interest rate 'alone' the monetary policy instrument. One such model is Bjornland's (1999) Journal of International Economics and Monetary Policy and Exchange Rate Overshooting: Dornbusch was right after all. The model sets out to establish the empirical validity of Dornbusch exchange rate overshooting hypothesis for four small open economies. It does so though not with exact precision. When ...
This study investigated the impact of unstable exchange rate on bank performance in Nigeria using two proxies for bank performance, namely loan loss to total advances ratio and capital deposit ratio. Government expenditure, interest rate, real gross domestic product were added to exchange rate as independent variables. The two models specified show that the impact of exchange rate on bank performance is sensitive to the type of proxy used for bank performance. Loan loss to total advance ratio...
Lastrapes, William D
This paper attempts to distinguish empirically real versus nominal sources of fluctuations in real and nominal exchange rates. The distinction is obtained by imposing the following restriction on the bivariate vector autoregression of real and nominal exchange rates over the current flexible rate period: nominal shocks are required to have no permanent effect on the level of the real exchange rate. Given this identification scheme, the author analyzes the dynamic effects and relative importan...
This paper investigates the formalisation that in a small open economy flexible exchange rates act as a 'shock absorber' and mitigate the effects of external shocks more effectively. An intertemporal small open economy model with nominal rigidities, in which real shocks generate internal imbalances under fixed and flexible exchange rates, is laid out. The role of world interest rate and world output shocks in driving output, trade imbalances and real exchange rate fluctuations is investigated...
Applying the EGARCH model and using demand and supply analysis, this paper finds that the HUF/USD exchange rate (units of the Hungarian forint per U.S. dollar) is positively associated with the U.S. Treasury bill rate, U.S. real GDP, the U.S. stock index, the Hungarian inflation rate and the expected exchange rate and negatively influenced by the Hungarian Treasury bill rate, Hungarian real GDP, the Hungarian stock index, and the U.S. inflation rate. The HUF/USD exchange rate h...
Due to globalization investors have increasing opportunities to invest on international markets for diversification purposes. This thesis illustrates the added risks of investing internationally due to volatile exchange rates. The purpose is to analyze how a volatile exchange rate affect the risk and return of a portfolio invested in Sweden, when the investor is located in Japan, United Kingdom or the USA. To analyze the effect of exchange rate volatility the focus is on a portfolio consistin...
This study analyses the consequences of productive government spending on the international transmission of fiscal policy. A standard result in the new open economy macroeconomics literature is that a fiscal shock depreciates the exchange rate. I demonstrate that the response of the exchange rate depends on the productivity of government spending. If productivity is sufficiently high, a fiscal shock appreciates the exchange rate. It is also shown that the introduction of productive government...
Khuram Shafi; Liu Hua; Amna Nazeer; Zahra Idrees
In the area of international trade few studies have examined whether fluctuation in exchange rate is base on macro variables that are used in this study. Basically the study is conducted in Pakistan. As it has been noticed that there is continuously increasing in exchange rate since last 20 years. This paper investigate that foreign direct investment, inflation and supply of money have strong relationship with exchange rate. This means that if there is increase in foreign direct investment th...
Abstract. In every country, wages are determined by Nash rule or governments determine wages. According to Nash equilibrium, policy of determination wages is respect to exchange rate and there is a game between NWC and MAS. In this paper, we survey a game theory method to survey policy of determination wages and exchange rate to stability economics. When exchange rate increases, import good's price rise and we have cost push inflation, therefore wages are increased and then we have unemployme...
Wen-Shwo Fang; Tsang-Yao Chang; YiHao Lai
Exchange rate movements affect exports through depreciation (appreciation) and risk. Depreciation may raise exports but exchange rate risk could offset the positive effect. This paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time-varying correlation and exchange rate risk. Depreciation and export revenue are positively related, as expected, for eight countries, but its contribution to ex...
Exchange rate regimes evolution in the European transition economies refers to one of the most crucial policy decision in the beginning of the 1990s employed during the initial stages of the transition process. During the period of last two decades we may identify some crucial milestones in the exchange rate regimes evolution in the European transition economies. due to existing diversity in exchange rate arrangements in the European transition economies in the pre-ERM2 period there seems to ...
Mohapatra, Sarita; Biswas, Basudeb
The literature on the purchasing power parity (PPP) theory reports that all versions of the PPP theory do badly in explaining exchange rate movements in terms of changes in national price levels. If purchasing power parity holds true, the real exchange rate remains constant over time. The negative empirical results point to the failure of PPP. This paper contends that if the equilibrium real exchange rate has shifted over time due to real shocks, then what is interpreted as the failure of the...
Plane, Patrick; Nouira, Ridha; Sekkat, K.
Recent literature suggests that a proactive strategy consisting of deliberate real exchange rate depreciation can promote exports diversification and growth. This paper is built on these recent developments and investigates whether four developing countries have adopted such a strategy. Data from Egypt, Jordan, Morocco and Tunisia are used to construct and compare the macroeconomic Real Effective exchange rate (REER), similar exchange rates at the sector level (SREER) and the macroeconomic Eq...
Ledesma-Rodríguez, Francisco; Navarro-Ibáñez, Manuel; Pérez-Rodríguez, Jorge; Sosvilla-Rivero, Simon
Abstract This paper attempts to identify implicit exchange rate regimes for the Yen/Dollar exchange rate. To that end, we apply a sequential procedure that considers both the dynamics of exchange rates and central bank interventions to data covering the period from 1971 to 2003. Our results suggest that implicit bands existed in two subperiods: April-December 1980 and March-October 1987, the latter coinciding with the Louvre Accord. Furthermore, the study of the credibility of such...
Lucio Sarno; Taylor, Mark P
We assess the progress made by the profession in understanding real exchange rate behavior through a selective and critical, but nonetheless expository, review of the literature. Our reading of the literature leads us to the main conclusions that purchasing power parity might be viewed as a valid long-run international parity condition when applied to bilateral exchange rates obtaining among major industrialized countries, and that mean reversion in real exchange rates displays significant no...
and geographical variability. The seasonal contrasts in pCO sub(2) and in the air-sea flux are best marked in coastal waters, but large seasonality in the open ocean is also observed in the Southern Indian Ocean. The Arabian Sea appears to account for at least one...
陈东琪; 张岸元; 王元
For three decades China has followed an incremental approach in renminbi exchange rate reform.During this period,the exchange rate system has gone through five stages of evolution:i) a"basket peg"exchange rate regime;ii) a dual-track system;Hi) exchange rate convergence;iv) a"unitary pegged"exchange rate regime;and v) a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. Reforming the exchange rate formation mechanism is a complex engineering project influenced by numerous factors such as the economic development mode,industrial structure,basic economic system,market system condition,financial and macroeconomic policy system as well as the new advantages arising from opening-up initiatives.Since 2005,China has achieved substantial success in reforming the exchange rate formation mechanism but still faces a plethora of issues.To address these issues,China should strengthen the role of the market in the exchange rate formation process and gradually push for the free convertibility of the renminbi under the capital account.Amidst the raging global financial crisis,China should further adapt to the diversification of the international monetary system and aggressively proceed with renminbi regionalization and internationalization.
Full Text Available Problem statement: Impact of air exchange effectiveness on thermal comfort has not been investigated and, therefore, not well understood .Therefore, the influence of air exchange effectiveness on thermal comfort is investigated in this study. Approach: The main objective of this research is to investigate the thermal comfort level of an air-conditioned office room under 14 windows-door opening arrangements as a function of maximum, minimum and mean Air Exchange Effectiveness (AEE, as has not been inquired into already. The tracer gas decay method has been applied during the experimental procedures to estimate air exchange effectiveness, on the basis of room average and local mean age of air. Simultaneously, thermal comfort variables were measured and through these data, the thermal comforts Fanger's indices (PMV and PPD were calculated. Staff answered a survey on their sensation of the indoor climate. Results: Results of 60 survey responses to thermal comfort questions in office and indoor air quality are presented. This study has shown that there are relationship between AEE and thermal comfort and three linear regression equations of PMV versus AEE can be derived for this air-conditioned office. Conclusion: Studies on the effect of air exchange effectiveness on thermal comfort in an office have shown that Thermal comfort is influenced by AEE, which go beyond the six factors which have been taken into account in PMV modeling.
Flood, Robert P.; Nancy Peregrim Marion
The paper develops a general stochastic macroeconomic model which can be used to study the international transmission of disturbances under alternative exchange-rate systems. Four types of exchange-rate systems are considered: uniform flexible exchange rates, uniform fixed exchange rates, two-tier exchange rates in which the current-account exchange rate is fixed and the capital-account exchange rate is flexible, and two-tier exchange rates with separate, floating rates for current and capita...
Full Text Available China and India have both sought control over the exchange rate in order to maintain export competitiveness, manage current account balance, and pursue independent monetary policy. In this paper, we examine structural change in the Chinese and Indian de facto exchange rate regimes, focusing on the period from 1998 to 2007. With increasing capital account openness, exchange rate inflexibility has been associated with significant monetary policy distortions. In both countries, the short-term rate expressed in real terms dropped, and achieved very low values, in the unprecedented business cycle expansion of the early 2000s. In the Indian case, difficulties of sterilisation led to a modification of the exchange rate regime, moving towards greater flexibility. In China, in contrast, the exchange rate regime did not change.
Haynes, Brian D.
Technology Candidates for Air-to-Air and Air-to-Ground Data Exchange is a two-year research effort to visualize the U. S. aviation industry at a point 50 years in the future, and to define potential communication solutions to meet those future data exchange needs. The research team, led by XCELAR, was tasked with identifying future National Airspace System (NAS) scenarios, determining requirements and functions (including gaps), investigating technical and business issues for air, ground, & air-to-ground interactions, and reporting on the results. The project was conducted under technical direction from NASA and in collaboration with XCELAR's partner, National Institute of Aerospace, and NASA technical representatives. Parallel efforts were initiated to define the information exchange functional needs of the future NAS, and specific communication link technologies to potentially serve those needs. Those efforts converged with the mapping of each identified future NAS function to potential enabling communication solutions; those solutions were then compared with, and ranked relative to, each other on a technical basis in a structured analysis process. The technical solutions emerging from that process were then assessed from a business case perspective to determine their viability from a real-world adoption and deployment standpoint. The results of that analysis produced a proposed set of future solutions and most promising candidate technologies. Gap analyses were conducted at two points in the process, the first examining technical factors, and the second as part of the business case analysis. In each case, no gaps or unmet needs were identified in applying the solutions evaluated to the requirements identified. The future communication solutions identified in the research comprise both specific link technologies and two enabling technologies that apply to most or all specific links. As a result, the research resulted in a new analysis approach, viewing the
Bhanja Niyati; Dar Arif Billah; Tiwari Aviral Kumar
This study re-examines the long run validity of the monetary approach to exchange rate determination for India. In particular, the long run association of bilateral nominal exchange rate of Indian rupee vis-à-vis USD, Pound-sterling, Yen and Euro against the corresponding monetary fundamentals that the model underlines has been tested using Johansen-Juselius maximum likelihood framework and Gregory-Hansen co-integration approach. Irrespective of the exchang...
Dornbusch, Rudiger; Frankel, Jeffrey
We review ten aspects of how floating exchange rates have worked in practice, contrasted with ten characteristics that the system was supposed to have in theory. We conclude that the foreign exchange market is characterized by high transactions-volume, short-term horizons, and an absence of stabilizing speculation. As a result, the exchange rate at times strays from the equilibrium level dictated by fundamentals, contrary to theory. We then look at ten proposed alternatives to the current sys...
Mehmet ŞENTÜRK; Dücan, Engin
In this study, interest rate and exchange rate dynamics and their impact on stock returns were examined in Turkey between the periods of 1997:01-2013:05 with ADF, PP and KPSS unit root tests, impulse-response and variance decomposition analysis build upon VAR model and Granger causality analysis. Accordingly, exchange rate and interest rates affect stock returns are negative for about three months. Here, interest rate on stock returns, rather than the exchange rate is effective. In other word...
@@ The de-pegging of RMB exchange rate from the US dol-lar does not lead to a substantial change in the exchange rate in the short term. Considering the future regime, if the European financial crisis was not lessened, the Euro and other major currencies would continue to devalue against the U.S dollar and the RMB would probably follow suit.
Roth, Dana L.
Data and commentary is presented for: Exchange rate US$ subscription prices 1997-1999; Comparison of actual US$ & (exchange rate US$ subscription prices); Decreasing percentage of commercially published articles by Caltech Authors(1997-2002); Cost and impact data for solid state, nuclear and particle physics articles(2001); and 2001 Cost-Effectiveness data for solid state, nuclear and particle physics journals.
A shortcut to measuring exchange rate exposure at the company level can be to exploit the information content in the stock prices. A regression analysis is conducted for the main Danish non-financial companies. The use of one all-comprising exchange rate indicator fails to address the complexity of...... GARCH(1,1) regression analysis is shown to further improve the detection of exposures. The success in identifying exposures for Danish non-financial companies is in contrast to earlier US studies and is relevant in a European context....... the extra-market exchange rate exposure of individual companies. As such, only a minority of companies has significant exposures when using the effective Danish exchange rate in an OLS regression analysis while half of the companies have significant exposures when using five main exchange rates. A...
Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices of ex...... impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component....... exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyeﬃcient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation for...
Full Text Available Orientation: High exchange rate volatility has implications for business and policy decisions and exchange rate movements are important in debates around trade and trade policies. Research purpose: The purpose of the research was to determine the impact of exchange rate volatility on exports in emerging markets. Motivation for the study: A lack of clarity in literature regarding this relationship increases the risk of improper planning by export organisations as well as implementing suboptimal economic policies. Research design, approach and method: This research analysed the effect of exchange rate volatility on emerging market exports using a sample of nine emerging countries from 1995 to 2010. Panel data analysis was conducted. Volatility was measured by Generalised Autoregressive Conditional Heteroscedasticity and conventional standard deviation in order to determine if the instrument of volatility used influenced the nature of the relationship between exchange rate volatility and exports. The Pedroni residual cointegration method was used to test for panel cointegration in order to determine if there was a long-run relationship. Main findings: The results showed that exchange rate volatility had a significant negative effect on the performance of exports, regardless of the measure of volatility used. It was also evident that a long-run relationship did exist. Practical/managerial implications: The study concluded that the policy mix that will reduce exchange rate volatility (such as managed exchange rate regimes and relatively competitive exchange rates were essential for emerging markets in order to sustain their exports performance. Contribution/value-add: This research provided policy makers of emerging market economies with new evidence pertaining to the relationship between exchange rate volatility and the performance of exports. This research contributed to the existing knowledge on the topic and provides a base for future
Ferreira, Leo da Rocha
The path towards a common market requires an alignment of macroeconomic policies. In the case of the MERCOSUL member countries, the observed disparities in the exchange, tax and monetary policies constitute major imbalances and impede future international economic integration. Apart from residual differences on trade policies among the member countries, macroeconomic policy disparities also reflect populism and the resulting lack of political will and mutual commitment with the regional goals...
In this paper, the determination of long-run movements in nominal exchange rates across countries are examined. The author models the long-run movement in the nominal exchange rate as depending on (1) the long-run inflation differential and (2) the long-run change in the real exchange rate. He argues that the former depends on country characteristics such as openness, country size, the level of outstanding government debt, and central bank independence, and the latter on the rate of economic ...
Rygalov, V.; Wheeler, R.; Dixon, M.; Fowler, P.; Hillhouse, L.
Heat exchange rates decrease non-linearly with reductions in atmospheric pressure. This decrease creates risk of thermal stress (elevated leaf temperatures) for plants under reduced pressures. Forced convection (fans) significantly increases heat exchange rate under almost all pressures except below 10 kPa. Plant cultivation techniques under reduced pressures will require forced convection. The cooling curve technique is a reliable means of assessing the influence of environmental variables like pressure and gravity on gas exchange of plant. These results represent the extremes of gas exchange conditions for simple systems under variable pressures. In reality, dense plant canopies will exhibit responses in between these extremes. More research is needed to understand the dependence of forced convection on atmospheric pressure. The overall thermal balance model should include latent and radiative exchange components.
In the first essay, Persistence in Swedish Unemployment Rates, we study if there is no or weak tendency in unemployment rates to revert back to previous levels. Persistence is caused by: natural rate shocks, long unemployment cycles, and spill-over from cyclical to permanent unemployment. We find evidence of high persistence. The results suggest that the quick rise of unemployment rates during 1992-1994 was caused by large permanent and cyclical shocks in combination with spill-over effects. ...
Kennedy, I.J.; Spence, S.W.T.; Spratt, G.R.; Early, J. M.
The purpose of this study is to determine the influence of inclining the heat exchanger relative to the fan in a forced draught air-cooled heat exchanger. Since inclination increases plenum depth, the effect of inclination is also compared with increasing plenum depth without inclination. The experimental study shows that inclination improves thermal performance by only 0.5%, when compared with a baseline non-inclined case with a shallow plenum. Similarly, increasing plenum depth without incl...
Kočenda, Evžen; Poghosyan, T.
Roč. 60, č. 1 (2010), s. 22-39. ISSN 0015-1920 R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠk LC542 Institutional research plan: CEZ:MSM0021620846 Keywords : foreign exchange risk * time-varying risk premium * stochastic discount factor Subject RIV: AH - Economics Impact factor: 0.278, year: 2010 http://journal.fsv.cuni.cz/storage/1178_str_22_39_-_ko%C4%8Denda.pdf
SULISTIJORINI; ZAINAL ALIM MAS’UD; NIZAR NASRULLAH; AHMAD BEY; SOEKISMAN TJITROSEMITO
Motor vehicles release carbon monoxide, nitrogen dioxide, sulphur dioxide, and particulate matters to the air as pollutants. Vegetation can absorb these pollutants through gas exchange processes. The objective of this study was to examine the combination of the relative growth rate (RGR) and physiological responses in determining tolerance levels of plant species to air pollutants. Physiological responses were calculated as air pollution tolerance index (APTI). Eight roadside tree species wer...
I analyze whether countries with flexible exchange rates are able to pursue an independent monetary policy, as suggested by traditional theory. I use data for three Latin American countries with flexible exchange rates, inflation targeting, and capital mobility – Chile, Colombia and Mexico – to investigate the extent to which Federal Reserve actions are translated into local central banks’ policy rates. The results indicate that there is significant “policy contagion,” and that these countrie...
Dallas S. Batten; Daniel L. Thornton
Changes in the discount rate can have an associated announcement effect on the foreign exchange value of the dollar only if these changes are not anticipated by the market. This paper provides evidence to support this contention. Specifically, discount rate changes made for reasons other than technical adjustments have not been anticipated fully and consequently, their announcement has had a significant impact on the dollar's exchange rate. Furthermore, results are obtained that support the h...
Koroliuk Tatiana Aleksandrovna
Full Text Available The factors of exchange rate formation in Ukraine are analyzes in this paper, the influence of exchange rate on macroeconomic indicators of development and the main priorities of the exchange rate policy are determined exchange.
During the past year, a survey was conducted among Hungarian small and medium enterprises. The results of the survey suggest that a significant ratio of companies is directly exposed to fluctuations in the exchange rate, which may affect their profitability to a large degree. The majority of surveyed companies, however, are not prepared for the potential effects of such fluctuations and do not use foreign exchange risk management tools. Indebtedness in foreign exchange could serve as the hedg...
M. Ali Kemal
The variations in exchange rate play a vital role in the determination of trade balance. Volatile exchange rate shatters the investor’s and trader’s confidence, and slows down the process of trade, which results in slower growth. In this paper, other market instabilities—such as GDP growth instability in imports equation and agriculture and manufacturing instability in exports equation—have been used with exchange rate instability, and GARCH variance is used to measure it. It is found that th...
Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet
prices and if the latter are exogenous to the exchange rate dynamics. In our view, however, commodity prices are essentially financial asset prices that are set in a forward-looking way, exactly like exchange rates. If both the exchange rate and the commodity prices are based on discounted future...... expectations, one should mostly observe contemporaneous correlations, not one-directional cross-predictability from one variable toward the other. Using three different data sets and various econometric techniques, we do find the contemporaneous correlations as predicted by the financial asset view of...
Rania Abedllah Almohaisen
Full Text Available This study tries to investigate the Exchange Rate volatility effects on Jordanian International Trade for the period (1997Q1-2013Q2. The variables include Real Exchange Rate (RER volatility on Real Gross Domestic Product (RGDP, Exports (EX and Imports (IMP. In order to estimate volatility, this study used the Autoregressive Conditional Heteroscedasticity (ARCH model proposed by Engle (1982 and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH model proposed by Bollerslev (1986. The results show that there is negative effects of real exchange rate volatility on imports and exports of Jordanian economy and a positive effect on real GDP.
Carlson, John A.; Dahl, Christian Møller; Osler, Carol L.
Recent research has revealed a wealth of information about the microeconomics of currency markets and thus the determination of exchange rates at short horizons. This information is valuable to us as scientists since, like evidence of macroeconomic regularities, it can provide critical guidance for...... designing exchange-rate models. This paper presents an optimizing model of short-run exchange-rate dynamics consistent with both the micro evidence and the macro evidence, the first such model of which we are aware. With respect to microeconomics, the model is consistent with the institutional structure of...
Cláudia Maria Sonaglio
Full Text Available In heterodox literature, the industrial sector is considered strategic for economic development. Consequently, reducing the contribution of this sector in the production of the country before it has reached the stage of economic maturity, affects the productive dynamics and slow technical progress. The appreciation of the real exchange rate is seen as one of the factors responsible for the reduction of the external competitiveness of Brazilian manufactures, and this exchange rate valuation may be occurring due to the differences between domestic and international interest rates. Given this context, the aim of this study is to evaluate the impact of changes in the monetary and exchange rate policy and in the composition of the total exports on the performance of the Brazilian economy using a structuralist model. The results reinforce the importance of the manufacturing sector to economic growth, especially in a competitive exchange rate environment.
Slim Chaouachi; Zied Ftiti; Frédèric Teulon
The aim of this work is to propose a new sequential strategy-three steps testing procedure- based on recently introduced econometric techniques, in order to assess the meanreverting properties of the real exchange rate and to check whether real exchange r
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the Dollar-Yen exchange rate in the long-run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is basically not a new topic; however, we put our focus on two new questions. Firstly, does the consideration of periods of massive interventions in the foreign exchange market help to uncover a potentia...
Full Text Available This study re-examines the long run validity of the monetary approach to exchange rate determination for India. In particular, the long run association of bilateral nominal exchange rate of Indian rupee vis-à-vis USD, Pound-sterling, Yen and Euro against the corresponding monetary fundamentals that the model underlines has been tested using Johansen-Juselius maximum likelihood framework and Gregory-Hansen co-integration approach. Irrespective of the exchange rates the study finds a co-integrating relationship among the variables using Johansen-Juselius maximum likelihood approach. The Gregory-Hansen co-integration method allows for one break determined endogenously in three specifications also confirms the long run relationship. Our results, hence, suggest that the monetary model is a valid theory of long run equilibrium condition for the rupee-dollar, rupee-pound, rupee-yen and rupee-euro exchange rates.
Full Text Available The aim of this paper is to investigate the role of the exchange rate regime in absorbing macroeconomic shocks for a group of Central and East European countries (CEE. Whether the flexible exchange rate regime is beneficial for an economy depends on the capacity of the exchange rate to act as a shock absorber. An appropriate framework for assessing the role of the exchange rate is a structural vector autoregressive (SVAR model. Impact of two types of macroeconomic shocks is estimated: nominal and real. The shocks are identified on the basis of Blanchard-Quah long run identification scheme which means that the restrictions are imposed on the long run responses while the short run dynamics is kept unrestricted. The importance of nominal and real shocks is assessed using the variance decomposition and the impulse response functions.
Cline, William R.
This semiannual review finds that most of the major international currencies, including the US dollar, euro, Japanese yen, UK pound sterling, and Chinese renminbi, remain close to their fundamental equilibrium exchange rates (FEERs). The new estimates find this result despite numerous significant exchange rate movements associated with increased volatility in international financial markets at the beginning of the fourth quarter of 2014, and despite a major reduction in the price of oil. The ...
Chu, Jeffrey; Nadarajah, Saralees; Chan, Stephen
Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate. PMID:26222702
Full Text Available Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate.
Klaassen, G.; Forsund, F.R.; M. Amann
This paper explores the analytical and empirical properties of a new method for emission trading according to a fixed exchange rate. The exchange rate is based on the ratios of the marginal costs of abatement in the optimal solution in order to account for the impact of the location of emission sources on the deposition. It is shown that, generally, this system will not achieve the optimal solution and does not guarantee that environmental deposition constraints are not violated, although...
von Hagen, Jürgen; Zhou, Jizhong
This paper provides an empirical investigation on the discrepancies between official exchange rate regimes and de facto exchange rate policies in transition economies. Since official and de facto regime choices are not independent of each other, we adopt a bivariate probit model to describe the joint determination of the two regime choices. After finding the important determinants of both regime choices, we use a univariate probit model to describe the determination of regime discrepancies. W...
Lyons, Richard K.
I test three potentially complementary models in an effort to capture the fundamentals that underlaid the market's determination of Peru's floating exchange rate through the period 1950-54: the first is an expectational purchasing power parity (PPP) model which maintains that asset market forces were driving the exchange rate to its perceived PPP level; the second is a flexible-price monetary model; and the third is a model along the lines described by Tsiang (1957) which emphasizes world pri...
"Speculation" in non-financial companies in relation to exchange rate exposure management constitutes one of the contributing factors behind corporate (or more widespread) crises. Deviations from benchmark positions constitute speculation. An empirical study of Danish non-financial companies finds that the larger the company (ability) and the larger its relative sale on foreign markets (relevance), the more likely the company will be to benchmark its exchange rate exposures. However...
H., Hernando Vargas
This paper examines Colombia's experience with an inflation-targeting monetary policy following the abandonment of exchange rate bands in 1999, and two episodes in 2003 and 2004 that deviated from this general behavior. In these episodes, the Central Bank intervened in the forex market on a relatively large scale in order to affect the trend of the exchange rate (managed floating). These episodes are examined to draw lessons and highlight the main challenges facing monetary and forex policy. ...
Richard H. Clarida
This paper derives a structural relationship between the nominal exchange rate, national price levels, and observed yields on long maturity inflation - indexed bonds. This relationship can be interpreted as defining the fair value of the exchange rate that will prevail in any model or real world economy in which inflation indexed bonds are traded. An advantage of our derivation is that it does not require restrictive assumptions on financial market equilibrium to be operational. We take our t...
Muhammad, Zahid; Suleiman, Hassan; Kouhy, Reza
This paper investigates the oil price - exchange rate nexus for Nigeria during the period 2007-2010 using daily data. The generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH) models are employed to examine the impact of oil price changes on the nominal exchange rate .The outcome of this research indicates that a rise in oil prices leads to a depreciation of the Nigerian Naira vis-à-vis the US dollar over the study period.
VERSTEEG, Roald; Straetmans, Stefan
Many countries try to smooth their exchange rate movements by means of capital controls or otherwise. By the use of statistical extreme value analysis, we investigate if capital controls succeed in lowering foreign exchange rate (forex) volatility. We define forex volatility as the risk of extreme depreciations. For a sample of developed and emerging markets we find that capital controls are not effective in reducing this extreme depreciation risk. On the contrary, extreme depreciation risk i...
The advent of floating exchange rates has meant that international monetary theory has been subject to continuous testing. Using Switzerland as the example of a small open economy (SOE), three issues are considered. First, long-ruri propositions such as purchasing power parity are examined and found to be broadly supported by the evidence. Secondly, the overshooting of exchange rates is analysed and it is concluded that, while consistent with rational behaviour of money holders, it may be a s...
Nouira, Ridha; Plane, Patrick; Sekkat, K.
Recent literature suggests that a proactive exchange rate policy in accordance with price incentives (i.e. undervaluation) can foster manufactured exports and growth. This paper is built on these recent developments and investigates, using a sample of 52 developing countries, whether such a proactive exchange rate policy is adopted. The results show that during the period 1991-2005 a number of countries has used undervaluation to foster the price competitiveness of manufactured exports.
Mueller, Philippe; Tahbaz-Salehi, Alireza; Vedolin, Andrea
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We also show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-à-vis the U.S.; (ii) increase with uncertainty about monetary policy; and (iii) intensify when the Federal Reserve adopts a policy of monetary easing. We interpret these ex...
Nortey, Ezekiel Nn; Ngoh, Delali D; Doku-Amponsah, Kwabena; Ofori-Boateng, Kenneth
This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly weighted depreciation of the cedi to the US dollar for the period is 20.4%. There was evidence that, the fact that inflation rate was stable, does not mean that exchange rates and interest rates are expected to be stable. Rather, when the cedi performs well on the forex, inflation rates and interest rates react positively and become stable in the long run. The BEKK model is robust to modelling and forecasting volatility of inflation rates, exchange rates and interest rates. The DCC model is robust to model the conditional and unconditional correlation among inflation rates, exchange rates and interest rates. The BEKK model, which forecasted high exchange rate volatility for the year 2014, is very robust for modelling the exchange rates in Ghana. The mean equation of the DCC model is also robust to forecast inflation rates in Ghana. PMID:25741459
S. Kumar Chandar
Full Text Available The foreign currency exchange market is the highest and most liquid of the financial markets, with an estimated $1 trillion traded every day. Foreign exchange rates are the most important economic indices in the international financial markets. The prediction of them poses many theoretical and experimental challenges. This paper reports empirical proof that a neural network model is applicable to the prediction of foreign exchange rates. The exchange rates between Indian Rupee and four other major currencies, Pound Sterling, US Dollar, Euro and Japanese Yen are forecast by the trained neural networks. The neural network was trained by three different learning algorithms using historical data to find the suitable algorithm for prediction. The forecasting performance of the proposed system is evaluated using three statistical metrics and compared. The results presented here demonstrate that significantly close prediction can be made without extensive knowledge of market data.
South Africa's 40 years of experience with capital controls on residents and non-residents (1961-2001) reads like a collection of examples of perverse unanticipated effects of legislation and regulation.We show that the presence of capital controls on residents and non-residents, enabled the South African Reserve Bank (SARB) to target domestic interest rates (and or the exchange rate) via interventions in the (commercial) foreign exchange market.This provides an early rationale for anchoring ...
Exchange rate regimes and the monetary policy are the key instruments governments use to achieve their economic and financial objectives. Moreover, due to global financial crisis the latter instruments get more importance. Empirical evidences show that exchange rate regimes in Kosovo and its monetary policy throughout their development were mainly influenced by different political and historical developments. In regard of Euroisation of monetary system in Kosovo it was found that this action ...
Full Text Available The officially proclaimed foreign exchange policy of the Croatian National Bank (CNB is a managed float with a discretionary right of intervention on the Croatian kuna/euro foreign exchange (FX market in order to maintain price stability. This paper examines the validity of three monetary policy hypotheses: the stability of the nominal exchange rate, the stability of exchange rate changes, and the exchange rate to inflation pass-through effect. The CNB claims a direct FX to inflation rate pass-through channel for which we find no evidence, but we find a strong link between FX rate changes and changes in M4, as well as between M4 changes and inflation. Changes in foreign investment Granger cause changes in monetary aggregates that further Granger cause inflation. Changes in FX rate Granger cause a reaction in M4 that indirectly Granger causes a further rise in inflation. Vector Autoregression Impulse Response Functions of changes in FX rate, M1, M4, and CPI confirm the Granger causalities in the established order.
Full Text Available Exports of a country is one of the main factors indicating economic health of a country and fluctuating exchange rates and relative price can significantly affect the level of exports and it is an alarming situation for a country when its exports are affected by exchange rate volatility. Impact of exchange rate volatility and relative price on trade has been a heated debate in the field of finance and most of work has been done on aggregate and bilateral trade. Few researches are found on product basis especially in the scenario of Pakistan. This research will provide an overview of the exports of 13 different products from Pakistan. Secondary data is used to analyze the impact of exchange rate instability on the exports of different products from Pakistan to all over the world. Significance of the study depends on the right choice of estimation method. We use auto regressive distributive lags (ARDL method to check the relationship of two main variables. Glass, meat and paper & board products show that relative price affects negatively to exports so Government should make policies to strengthen the exports of these three products. Government can provide subsidies on these products in order to boost up the exports and make these products competitive in international market. Under the shadow of our results we conclude that exchange rate volatility has significant negative relationship with the exports of food processing machinery, grapes, meat and petroleum products so government needs to be focused on it when exchange rate are highly instable. Iron & steel bars show short run negative impact of exchange rate however this impact is adjusted in the long run.
This paper investigates the RMB exchange rate from a long-run viewpoint. Whether China's rapid economic growth brought about real exchange rate appreciation between 1975 and 2002 is empirically examined, based on a supply-side model, the Balassa-Semuelson Hypothesis (BSH). The same test is conducted on Japan, Hong Kong, Korea, Malaysia,Singapore, Thailand, the Philippines, Indonesia and India. Our result indicates that the BSH only exists where the industrial structure has been upgraded and the economy has been successfully transformed from an agricultural economy to a manufacturing economy.Interestingly, China, among those where the BSH does not present, appears to be upgrading its industrial and trade structure. We then try to answer the question of why past rapid growth has no significant relationship with the RMB real exchange rate and what factors are underlying the trend of the RMB real exchange rate. We expect an appreciating trend of RMB real exchange rate in the foreseeable future, presuming that China's industrial upgrading process continues and the factors pertaining to the BSH's prediction, such as rise of wage rates in both tradables and nontradables, become more significant.
LIN Zhen-Quan; KE Jian-Hong; YE Gao-Xiang
We further study the kinetic behavior of the exchange-driven growth with birth and death for the case of birth rate kernel being less than that of death based on the mean-field theory. The symmetric exchange rate kernel is K(k,j) = K'(k,j) = Ikjv, and the birth and death rates are proportional to the aggregate's size. The long time asymptotic behavior of the aggregate size distribution ak(t) is found to obey a much unusual scaling law with an exponentially growing scaling function φ(x) = exp(x).
Explains that the goal of this exercise is to encourage an understanding of the effects of exchange rate changes and the use of forward rates. Provides a role play that involves students working in groups to decide whether to export a consignment of golf trollies to Italy and shortbread to Canada. (BSR)
K.S. Madhava Rao; Anjana Ramachandran
The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual makes better investments and minimizes losses when equipped with an understanding of market sentiments in weekly or monthly exchange returns. In the approach suggested here, a typical market sentiment is defined on the basis of the certain function of the mean ...
Vivien Lewis; Agnieszka Markiewicz
Rational expectations models fail to explain the disconnect between the exchange rate and macroeconomic fundamentals. In line with survey evidence on the behaviour of foreign exchange traders, we introduce model misspecification and learning into a standard monetary model. Agents use simple forecasting rules based on a restricted information set. They learn about the parameters and performance of different models and can switch between forecasting rules. We compute the implied post-Bretton Wo...
A nonlinear exchange rate model based on the famous Dornbusch (1976) overshhoting model is modified to allow for explicit consideration of the sources of supply and demand in the foreign exchange market along the lines suggested by Kouri (1983). Imperfect substitutability between domestic and foreign assets and finite speed of adjustment are intorduced into the foreign exchnage market. Portfolio considerations dictate that the function describing the fraction of wealth domestic residents desi...
This paper examines, in a one-good two-country Cournot competition model, the implication of European VAT reform on the nominal exchange rate parities which will be pegged in the third stage of monetary union. As result of the reform, the deutchmark needs to be reevaluated so as to prevent generating systematic external disequilibrium of some other European countries, which is inconsistent with pegging nominal exchange parities of European currencies.
Globalisation has affected the relationship between the trade balance and the real exchange rate in two ways. On the one hand, the growth of trade taking place within industries makes the trade balance more sensitive to real exchange movements. On the other hand, a higher degree of vertical specialisation and more global supply chains act to reduce this sensitivity. The relative importance of these two effects varies across countries. According to the estimates presented in this article, chan...
Full Text Available The inflows of foreign direct investment (FDI are important for a country's economic development, but the world market for FDI has become more competitive. This paper empirically analyses the exchange rate movements and foreign direct investment (FDI relationship using annual data on ASEAN economies, that is, Malaysia, the Philippines, Thailand, and Singapore. By employing ARDL bounds test approach, the empirical results show the existence of significant long-run cointegration between exchange rate and FDI for the case of Singapore, Malaysia, and the Philippines with all countries recording negative coefficient implying that the appreciation of Singapore dollar, Malaysian ringgit, and the Philippine peso has a positive impact on FDI inflows. Using the ECM based ARDL approach for causality test, both Singapore and the Philippines show long-run bidirectional causality between exchange rate and FDI whereas long-run unidirectional causality running from the exchange rate to FDI in Malaysia. Furthermore, this study also found that short-run unidirectional causality running from the exchange rate to FDI exists in Singapore.
Full Text Available This study investigates the dynamic relationship between exchange rate volatility and foreign private investment in Nigeria from 1980 to 2011. The rational for this study is the realization that a viable exchange rate regime that is stable and predictable presents rich vista for inflow of foreign investment. We employed the Error Correction Model (ECM after a battery of preliminary investigations which include the Augmented Dickey Fuller (ADF test for stationarity and the Engle and Granger two-step cointegration procedure. Our finding include among other things that; exchange rate volatility has a very weak effect on the inflow of Foreign Direct Investment (FDI to Nigeria, both in the long run and in the short run and that exchange rate volatility has a weak effect on foreign portfolio investment in the short run but a strong positive effect in the long run. Based on our findings, an array of recommendation were made, which include the need for policy makers to develop sound exchange rate management system in the country, inter alia.
Marvillet, Ch. [CEA, 38 - Grenoble (France). GRETh
The investigation carried out by the `heat exchangers` network has revealed a number of points which should be noted here at the beginning of this presentation. It has been observed that most of today`s products (fin and tube heat exchangers) are designed along traditional lines. However despite this `conservatism`, a lot of attention is found on the technical and innovative techniques used in other areas of the world (particularly in Japan). Moreover, some of these innovative techniques (micro fin tubes, louvered fins) tend to be more frequently applied than others, and their gradual introduction into products which are `made in the EEC` is to be expected. The purpose of this paper is to respond, at least partially, to the interest shown by the industries contacted. during this investigation in these new techniques. In the first chapter, an overview of the information available today on high performance thermal heat exchange surfaces will be given. Micro-fin tubes and louvered fins will be the two surfaces considered in the first part of this document. According to this investigation, the fin and tube heat exchanger remains the only product available today for evaporating and condensing refrigerant applications using air as the fluid to be treated. Other technological solutions exist, however; brazed fin and plate heat exchangers commonly used in applications where compactness is an essential quality will be examined in the second part of this document. Moreover, the use of fluids which will replace CFCS in the years to come, and the possible comeback of ammonia will certainly have consequences on the design of evaporators and condensers. In the third part of this document the effects of these changes on fin and tube heat exchangers will be evaluated, and the first published results of the use of substitution fluids will be discussed. (author) 16 refs.
Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to another. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence between paired exchange rates. However, for asymptotic-independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations.
Full Text Available This study analyses the consequences of productive government spending on the international transmission of fiscal policy. A standard result in the new open economy macroeconomics literature is that a fiscal shock depreciates the exchange rate. I demonstrate that the response of the exchange rate depends on the productivity of government spending. If productivity is sufficiently high, a fiscal shock appreciates the exchange rate. It is also shown that the introduction of productive government spending increases both domestic and foreign welfare, when compared with the case where government spending is wasted. This is because productive government spending has a positive effect on private consumption in both countries in a two country NOEM model.
Full Text Available Considering the difficulties created by the economic crisis, many exporters have criticized the National Bank of Romania (NBR’s policy regarding the exchange rate evolution. They argue that depreciation is a necessary condition for recovery and not financial stability. On the contrary, Romania cannot afford a shock in the exchange rate level. The risk associated with such a measure is too high for an emerging country and it annihilates any export competitive advantages. Therefore, depreciation may delay the imperative of Romanian economic recovery. A solid economic recovery should have as starting point a financial system sound and stable. Excessive exchange rate depreciation jeopardizes the financial soundness of banks and the borrower’s ability to repay their loans. Therefore, it creates inflationary flare-ups, particularly dangerous for the economy of any state.
Bruno Larue; Jean-Philippe Gervais
Unification of the black and official exchange rates and increasing the rate of crawl of the official rate are the competing prescriptions to reduce inefficiencies caused by the black market premia. Pinto (1991) showed that the removal of implicit export taxes could force governments to raise inflation to finance their budget deficit. Park (1995) and Morris (1995) demonstrated that unification need not raise the steady-state level of inflation. In this paper, we investigate the inflation-blac...
Craig Burnside; Martin Eichenbaum; Sergio Rebelo
Currency crises that coincide with banking crises tend to share four elements. First, governments provide guarantees to domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before the crises. Finally, when the currency/banking collapse occurs interest rates rise and there is a persistent decline in output. This paper proposes an explanation for these regularities. We show that government guarantees lower interest rates, and g...
Full Text Available Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.JEL Classification: E62; F31Various studies have found that governmentspending can lead to overestimation orunderestimation of the real exchange rate, depending on the composition of theseexpenditures. The purpose of this paper is toassess the impact of government spendingon real exchange rate in Albania. In this paper is used a log liner model with quarterlydata. Other explanatory variables in this model are: foreign direct investment, remittances,real GDP per capita, openness. Variables are tested for unit root and cointegration. Theresults indicate that government spendingis associated with overvaluation of realexchange rate in Albania.JEL Classification: E62; F31
This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 – 2014, resp. 2003 – 2012 in case of cash flow analysis. Stock prices exposure analysis showed that significant number of these firms is exposed: 18.4 % of publicly listed companies were significantly exposed in period 2007 – 2014 which is significantly higher than in...
Harris Dellas; George Tavlas
We examine the implications of a regional fixed exchange rate regime for global exchange rate volatility. We find that the concept of the optimum currency area plays a key role. There are significant effects on the volatility of the remaining flexible parities when the countries participating in the regional peg ¡V the ¡§ins¡¨ ¡V are not an optimum currency area. Or, but to a smaller extent, when the ¡§ins¡¨ and the ¡§outs¡¨ are asymmetric with regard to labor market flexibility and monetary ...
We investigate which type of diffusion equation is most appropriate to describe the time evolution of foreign exchange rates. We modify the geometric diffusion model assuming a non-exponential time evolution and the stochastic term is the sum of a Wiener noise and a jump process. We find the resulting diffusion equation to obey the Kramers–Moyal equation. Analytical solutions are obtained using the characteristic function formalism and compared with empirical data. The analysis focus on the first four central moments considering the returns of foreign exchange rate. It is shown that the proposed model offers a good improvement over the classical geometric diffusion model.
Benczúr, Péter; Kónya, István
This paper develops a flexible price, two-sector nominal growth model, in order to study the role of the exchange rate regime in capital accumulation (convergence). We adopt a standard model of a small open economy with traded and nontraded goods, and enrich its structure with costly investment and a preference for real money holdings. We find that (i) the choice of exchange rate regime influences the transition dynamics of a small open economy, (ii) a one-sector model does not adequately cap...
Mark David Witte
This paper introduces a method that leads to more accurate estimates of the proportion of the border effect attributable to the nominal price/nominal exchange rate relationship. Employing this method on data from “How Wide is the Border?” (1996), this paper finds that the proportion of the border effect directly attributable to a volatile exchange rate and incomplete pass-through varies from good to good. Some goods have a small proportion of their border effect caused by the nominal price/no...
The aim of this paper is to address the impact of E-commerce on the balance between real hedging and financial hedging in the context of exchange rate exposure management in non-financial companies. A cross-case study of industrial companies highlights the inadequacy in taking a partial and static...... financial approach when managing exchange rate exposures. The paper argues that the emergence of E-commerce - by reducing the cost of obtaining, analyzing and allocating information - affects the dynamics of the markets and the dynamics of the company in such a way that a general tilt towards real hedging...
Adding oil prices to the monetary model of exchange rates, we find that oil prices significantly explain movements in the value of the U.S. dollar (USD) against major currencies from the 1970s to 2008. Our long-run and forecasting results are remarkably consistent with an oil-exchange rate relationship. Increases in real oil prices lead to a significant depreciation of the USD against net oil exporter currencies, such as Canada, Mexico, and Russia. On the other hand, the currencies of oil importers, such as Japan, depreciate relative to the USD when the real oil price goes up. (author)
"Speculation" in non-financial companies in relation to exchange rate exposure management constitutes one of the contributing factors behind corporate (or more widespread) crises. Deviations from benchmark positions constitute speculation. An empirical study of Danish non-financial companies finds...... that the larger the company (ability) and the larger its relative sale on foreign markets (relevance), the more likely the company will be to benchmark its exchange rate exposures. However, at the same time the very same factors (size and foreign sale) lead to more extensive speculation. Financial...
Full Text Available The benefit of international trade is a more efficient employment of the productive forces of the world. (John Stuart Mill The exchange rate is a primary factor that influences economy. This instrument is used by some countries in order to improve the lack of balance caused as a result of the financial crisis felt in many countries considered by then infallible. The negative effects of the financial crisis can also be found in the decreased volume of commodities involved in international trade exchanges, as a consequence of modified prices and decreased offer. The globalizing trend leads to a constant expansion of exchanges between countries and to the consolidation of international cooperation. Except that economic interdependence generates an increased risk under the influence of economic, financial, monetary or political factors. The currency risk can generate either a gain or loss during foreign trade operations. The long period of RON depreciation made possible the entry of Romanian products on the international markets due to their prices. Sheltered by the gain generated by the evolution of the exchange rate, most of the exporters were not concerned by the increase of product competitiveness or by avoiding the currency risk. The fact that, for many years, the evolution of the exchange rate generated substantial losses for the exporters shows that risk coverage in Romania is, in most cases, a purely theoretical concept.
The air-side particulate fouling in the heat exchangers of HVAC applications degrades the performance of cooling capacity, pressure drop across a heat exchanger, and indoor air quality. Indoor and outdoor air contaminants foul heat exchangers. The purpose of this study is to investigate the fouling characteristics trough accelerated tests. The fouling characteristics are analyzed as functions of a dust concentration (1.28 and 3.84 g/m3), a face velocity (0.5, 1.0, and 1.5 m/s), and a surface condition. The cooling capacity in the slitted finned-tube heat exchangers at the face velocity of 1 m/s decreases about 2% and the pressure drop increases up to 57%. The rate of build-up of fouling is observed to be 3 times slower for this three-fold reduction of dust concentration whilst still approaching the same asymptotic level