Jansen, DJ; De Haan, J
This paper studies the reaction of the conditional mean and volatility of the euro-dollar exchange rate to statements by European Central Bank and national central bank officials. We focus on comments on monetary policy and the external value of the euro. We find that the Bundesbank has dominated
Full Text Available Will the Dollar remain the dominant international currency (mainly as a reserve currency? To answer this question, the paper presents in the first part the opinions of the most prominent experts concerning the determinant factors of an international currency status, in the two sphere of utilization: public and private. The most important are: the magnitude of the economies of emission, the externalities of network, the liquidity of their financial market, the confidence in their stability. Then there follows the evaluations concerning the two international currencies, Dollar and Euro, from these perspectives. Finally, the paper evaluates their role as measure of value, instrument of reserve and instrument of payment in the international economic relations. In the second part, the paper evaluates the recent tendencies of the exchange rate Euro/Dollar (2006-2008 from the point of view of fundamentals. After a period of depreciation, from the middle of the year 2008 until now, the dollar marked an unexpected appreciation towards the euro. But, the global financial and economic crisis increases the incertitude concerning the evolution of the exchange rate euro/dollar. Undoubtedly the two currencies will remain the prominent international currencies and the dollar the main reserve currency. Finally the paper presents Mundell’s proposal of stabilization of the binomial euro/dollar.
This paper studies the effect of macroeconomic "news" (market now-cast errors related to the flow of data releases on macroeconomic fundamentals) on the daily USD/EUR exchange rate. I consider a large number of real-time macroeconomic announcements from both the US and the euro-zone, and the related market expectations as reported by Bloomberg. For the euro-zone I also study country level announcements for the four biggest economies (Germany, France, Italy, Spain). The results for the whole s...
...)). Abstract: The Federal Reserve proposes to implement the mandatory Report of Selected Money Market Rates (FR... used in the analysis of current money market conditions. The FR 2420 would collect data for three.... Excluded from Eurodollar transactions are: Demand deposits (as defined on the Schedule E of the Call Report...
Turnbull, Stuart M; Milne, Frank
A simple introduction to contingent claim valuation of risky assets in a discrete time, stochastic interest-rate economy is provided. Taking the term structure of interest rates as exogenous, closed-form solutions are derived for European options written on (1) Treasury bills, (2) interest-rate forward contracts, (3) interest-rate futures contracts, (4) Treasury bonds, (5) interest-rate caps, (6) stock options, (7) equity forward contracts, (8) equity futures contracts, (9) Eurodollar liabili...
Virtually all financial innovation in the U.S. money market during the past 20 years has centered on interest rate derivatives, including futures and swaps. Furthermore, money market futures--especially futures contracts on Eurodollar time deposits--have been at the vanguard of the recent explosion of trading activity in interest rate derivatives. While futures markets traditionally have been viewed as markets for the transfer of price risk, recent research shows that they may serve other imp...
The following topics are discussed: the implications for a developing nation's economy of acquiring nuclear plants with the attendant high capital cost but low operating cost; political factors and safeguards provisions; turnkey versus non-turnkey contracts; spreading exchange and other risks through multi-national consortia; maximising local content; cash flow considerations; availability of aid or other direct government to government loans; packaging of export finance from different countries; downpayments and local costs; eurodollar markets, bank syndications and bond issues, and domestic markets; available security, central bank or government guarantees; special considerations, barter deals, leasing, and finance for the fuel cycle
Likhtenshtein, Gertz [Ben-Gurion Univ. of the Negev, Beersheba (Israel). Dept. of Chemistry
Finally filling a gap in the literature for a text that also adopts the chemist's view of this hot topic, Professor Likhtenshtein, an experienced author and internationally renowned scientist, considers different physical and engineering aspects in solar energy conversion. From theory to real-life systems, he shows exactly which chemical reactions take place when converting light energy, providing an overview of the chemical perspective from fundamentals to molecular harvesting systems and solar cells. This essential guide will thus help researchers in academia and industry better understand solar energy conversion, and so ultimately help this promising, multibillion euro/dollar field to expand. (orig.)
The paper discusses the following topics: The implications for a developing nation's economy of acquiring nuclear plants with the attendant high capital cost but low operating cost; political factors and safeguards provisions; turnkey versus non-turnkey contracts; spreading exchange and other risks through multi-national consortia; maximizing local content; cash flow considerations; availability of aid or other direct government to government loans; packaging of export finance from different countries; downpayments and local costs; Eurodollar markets, bank syndications and bond issues, domestic markets; available security, central bank or government guarantees; special considerations, barter deals, leasing; and finance for the fuel cycle. (author)
Blondy, J.; Papon, P.
This paper proposes an overview and a prospective glance on the oil barrel price. It indicates the relevant indicators: Brent quotation, euro/dollar parity, economic activity indicators, world oil consumption distribution, crude oil production, refining capacity. It briefly presents the involved stake holders: crude oil producers, oil refiners, refined product dealers, and the OPEC. It discusses the major retrospective trends: evolution in relationship with geopolitical events and energy policies, strong correlation between oil demand and economic growth, prevalence of OPEC, growing importance of national oil companies. An emerging trend is noticed: growing role of emerging countries on the crude market. Some prospective issues are discussed: duration and intensity of economic recession, separation between economic growth and energy consumption, pace and ambition level of policies of struggle against climate change, exploitable resources, and geopolitical hazards. Four evolution hypotheses are discussed
Full Text Available This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events’ time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.
This study explores the dynamic interaction between stock market returns and changes in nominal exchange rates. Many financial variables are known to exhibit fat tails and autoregressive variance structure. It is well-known that unconditional covariance and correlation coefficients also vary significantly over time and multivariate generalized autoregressive model (MGARCH) is able to capture the time-varying variance-covariance matrix for stock market returns and changes in exchange rates. The model is applied to daily Euro-Dollar exchange rates and two stock market indexes from the US economy: Dow-Jones Industrial Average Index and S&P500 Index. The news impact surfaces are also drawn based on the model estimates to see the effects of idiosyncratic shocks in respective markets.
Matsushita, Raul; Gleria, Iram; Figueiredo, Annibal; Silva, Sergio da
Based on long-range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [M. Ausloos, K. Ivanova, Physica A 286 (2000) 353; K. Ivanova, M. Ausloos, False EUR exchange rates vs DKK, CHF, JPY and USD. What is a strong currency? in: H. Takayasu (Ed.), Empirical Sciences in Financial Fluctuations: The Advent of Econophysics, Springer-Verlag, Berlin, 2002, pp. 62-76]. They conclude that pound and euro are in practice the same currency. We assess the long-range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing
Aste, T.; Di Matteo, Tiziana; Tumminello, M.; Mantegna, R. N.
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al.,1 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have found that triangular loops and 4 element cliques have important and significant relations with the market structure and properties. Here we apply this filtering procedure to the analysis of correlation in two different kind of interest rate time series (16 Eurodollars and 34 US interest rates).
Waheeb, Waddah; Ghazali, Rozaida; Herawan, Tutut
Time series forecasting has gained much attention due to its many practical applications. Higher-order neural network with recurrent feedback is a powerful technique that has been used successfully for time series forecasting. It maintains fast learning and the ability to learn the dynamics of the time series over time. Network output feedback is the most common recurrent feedback for many recurrent neural network models. However, not much attention has been paid to the use of network error feedback instead of network output feedback. In this study, we propose a novel model, called Ridge Polynomial Neural Network with Error Feedback (RPNN-EF) that incorporates higher order terms, recurrence and error feedback. To evaluate the performance of RPNN-EF, we used four univariate time series with different forecasting horizons, namely star brightness, monthly smoothed sunspot numbers, daily Euro/Dollar exchange rate, and Mackey-Glass time-delay differential equation. We compared the forecasting performance of RPNN-EF with the ordinary Ridge Polynomial Neural Network (RPNN) and the Dynamic Ridge Polynomial Neural Network (DRPNN). Simulation results showed an average 23.34% improvement in Root Mean Square Error (RMSE) with respect to RPNN and an average 10.74% improvement with respect to DRPNN. That means that using network errors during training helps enhance the overall forecasting performance for the network.
Full Text Available Time series forecasting has gained much attention due to its many practical applications. Higher-order neural network with recurrent feedback is a powerful technique that has been used successfully for time series forecasting. It maintains fast learning and the ability to learn the dynamics of the time series over time. Network output feedback is the most common recurrent feedback for many recurrent neural network models. However, not much attention has been paid to the use of network error feedback instead of network output feedback. In this study, we propose a novel model, called Ridge Polynomial Neural Network with Error Feedback (RPNN-EF that incorporates higher order terms, recurrence and error feedback. To evaluate the performance of RPNN-EF, we used four univariate time series with different forecasting horizons, namely star brightness, monthly smoothed sunspot numbers, daily Euro/Dollar exchange rate, and Mackey-Glass time-delay differential equation. We compared the forecasting performance of RPNN-EF with the ordinary Ridge Polynomial Neural Network (RPNN and the Dynamic Ridge Polynomial Neural Network (DRPNN. Simulation results showed an average 23.34% improvement in Root Mean Square Error (RMSE with respect to RPNN and an average 10.74% improvement with respect to DRPNN. That means that using network errors during training helps enhance the overall forecasting performance for the network.
Menna, P.; Capra, M.; D'Acunto, A.; Del Ciello, R.; Molinas, P.; Virdis, M.
Based upon the more meaningful changing recorded within the Italian energy sector in the year 2000, the Studies Department of ENEA (the Italian National board for new technologies, energy and environment) prepared the 'Rapporto Energia e Ambiente 2000', which provides a picture of the country energy and energy-related activities concerning the environment. In this paper, it is only provided a summary of the whole work. The complete report can be downloaded from the ENEA main page (www.enea.it). Italy gross domestic product (Gdp) grew by almost 3% in the year 2000, mostly sustained by an increase in the industrial production and services, as well. At the same time the total energy consumption rose to almost 185 Mtoe (+1% over 1999). Because Gdp grew more than the energy consumption, the energy intensity decreases in the year 2000. Almost 82% of the Italian energy needs (mainly oil and gas, even if electricity imports are increasing) depend upon imports. This heavy burden makes Italy particularly sensitive to both the oil price fluctuations and the euro/dollar exchange rate. Transportation absorbs a large and growing share of the energy consumption while showing quite an impact on the environment. From the supply side, renewable energy sources appear very promising because they allow the use of local resources, promote local development and may create new jobs, in area of the country with less favourable economic conditions. First among the European countries, a market mechanism to increase the use of renewable by establishing that a share of the whole electricity production (currently set at 2%) has to come from renewable has been introduced. However among the OECD countries, Italy records the lowest rate of R/D investments to GDP. This rate should more than double if the new opportunities coming from the development of innovative energy technologies have to be fully exploited [it
Full Text Available The growth and popularity of social media platforms have generated a new social interaction environment thus a new collaboration and communication network among individuals. These platforms own tremendous amount of data about users’ behaviors and sentiments since people create, share or exchange their information, ideas, pictures or video using them. One of these popular platforms is Twitter, which via its voluntary information sharing structure, provides researchers data potential of benefit for their studies. Based on Twitter data, in this study a multilingual sentiment detection framework is proposed to compute European Gross National Happiness (GNH. This framework consists of a novel data collection, filtering and sampling method, and a newly constructed multilingual sentiment detection algorithm for social media big data, and tested with nine European countries (United Kingdom, Germany, Sweden, Turkey, Portugal, The Netherlands, Italy, France and Spain and their national languages over a six year period. The reliability of the data is checked with peak/troughs comparison for special days from Wikipedia news lists. The validity is checked with a group of correlation analyses with OECD Life Satisfaction survey reports’, Euro-Dollar and other currency exchanges, and national stock market time series data. After validity and reliability confirmations, the European GNH map is drawn for six years. The main problem addressed is to propose a novel multilingual social media sentiment analysis framework for calculating GNH for countries and change the way of OECD type organizations’ survey and interview methodology. Also, it is believed that this framework can serve more detailed results (e.g., daily or hourly sentiments of society in different languages.
net income at June 30, 2017, by the following three notable items: - Impairment of mining assets in the amount of 317 million euro, of which 285 million euro in respect of the Imouraren mine in Niger. This amount includes additional impairment compared with the closing at June 30, 2017, in the amount of 210 million euro, of which 178 million euro in respect of the Imouraren mine in Niger. It is related to both the adverse change in the euro-dollar exchange rate and the unfavorable movement in market price anticipations, as illustrated by the UxC Q3 curve published in early September 2017, which led the group to update its own internal price curve forecast earlier than expected. - Impairment of the Comurhex II plant, which has amounted to 164 million euro since January 1, 2017. This amount includes additional impairment of 46 million euro compared with that recognized at June 30, 2017, in line with the unfavorable change in the euro/dollar exchange rate over the period and, to a lesser extent, conversion market prices. - As part of the implementation of NewCo's new tax consolidation scope, 113 million euro of deferred tax assets were recorded in respect of temporary differences to offset pre-existing deferred tax liabilities. This resulted in a tax expense for the period in the amount of 49 million euro. As before, and as a precautionary measure, no deferred tax assets were recognized in respect of tax loss carry-forwards of entities scheduled to form part of NewCo's tax consolidation scope. With the exception of these three notable items, NewCo's financial performance to the end of August was in line with that presented upon publication of the half-year financial statements to June 30, 2017. Furthermore, concerning the back end production difficulties mentioned in the Press Release published on July 27, 2017 upon approval of the accounts to June 30, 2017: - The Hague site has now returned to production levels in line with expectations, but without entirely eliminating