WorldWideScience

Sample records for fixed exchange rates

  1. Fixed Exchange Rates and Trade

    OpenAIRE

    Michael W. Klein; Jay C. Shambaugh

    2004-01-01

    A classic argument for a fixed exchange rate is its promotion of trade. Empirical support for this, however, is mixed. While one branch of research consistently shows a small negative effect of exchange rate volatility on trade, another, more recent, branch presents evidence of a large positive impact of currency unions on trade. This paper helps resolve this disconnect. Our results, which use a new data-based classification of fixed exchange rate regimes, show a large, significant effect of ...

  2. Bretton Woods Fixed Exchange Rate System versus Floating Exchange Rate System

    OpenAIRE

    Geza, Paula; Giurca Vasilescu, Laura

    2011-01-01

    One of the most important issues of monetary policy is to find out whether the state should intervene among the exchange rates, taking into account the fact that changes in the exchange rates represent a significant transmission channel of the effects generated by the monetary policy. Taking into consideration the failure of fixed exchange rate regimes and the recent improvement of financial markets, the return in the near future to such a regime – as for example the Bretton Woods system –...

  3. Are Fixed Exchange Rates the Problem and Flexible Exchange Rates the Cure?

    OpenAIRE

    Paul Davidson

    2003-01-01

    This paper explains why once non-probabilistic (i.e., a non-ergodic stochastic system) uncertainty is introduced into an orthodox freely flexible exchange rate model, the concept of the elasticity of expectations explains the open economy system will be extremely unstable except under the most stationary of economic circumstances. Alternative fixed exchange rate systems are proposed which will help stabilize the open economy--even when real economic forces are volatile.

  4. Currency Substitution and the Fluctuations of Foreign-Exchange Reserves with Credibly Fixed Exchange Rates

    OpenAIRE

    Alberto Giovannini

    1991-01-01

    A fixed-exchange-rate system is characterized by two pillars: monetary policy coordination and foreign exchange reserves. This paper concentrates on the fluctuation of foreign exchange reserves by taking monetary policy coordination as given: the sustainability of the fixed exchange rate regime is insured via a cointegration restriction on the path of money supplies. The paper considers three types of cash-in-advance models of money demand. The first two types are more traditional models wher...

  5. Choice of exchange rate regimes for African countries: Fixed or Flexible Exchange rate regimes?

    OpenAIRE

    Simwaka, Kisu

    2010-01-01

    The choice of an appropriate exchange rate regime has been a subject of ongoing debate in international economics. The majority of African countries are small open economies and thus where the choice of the exchange rate regime is an important policy issue. Aside from factors such as interest rates and inflation, the exchange rate is one of the most important determinants of a country’s relative level of economic health. For this reason, exchange rates are among the most watched analyzed and ...

  6. Intertemporal adjustment and fiscal policy under a fixed exchange rate regime

    OpenAIRE

    Aloy, Marcel; Moreno-Dodson, Blanca; Nancy, Gilles

    2008-01-01

    The paper presents a dynamic model for small to medium open economies operating under a fixed exchange rate regime. The model provides a partial explanation of the channels through which fiscal and monetary policy affects the real exchange rate. An empirical investigation is conducted for the case of Argentina during the currency board period of 1991-2001. Empirical estimates show that fis...

  7. Autonomy and Effectiveness of Chinese Monetary Policy under the De Facto Fixed Exchange Rate System

    Institute of Scientific and Technical Information of China (English)

    Huayu Sun

    2009-01-01

    This paper uses monthly data to examine the autonomy and effectiveness of monetary policy in China under the de facto fixed exchange rate arrangement in place from 1998 to 2005. The results obtained from Granger causality tests in a vector autoregresslon framework indicate that: (i) China actually conducted independent monetary policy during the fired exchange rate period; and (ii) market-oriented policy measures are impotent in influencing real output and prices. The framework of the investigation into the autonomy of monetary policy adapts to the Chinese economic condition that primary loan and deposit rates are set by the central bank. Based on the empirical results, the present paper provides alternative strategies to improve the effectiveness of monetary policy in China, including developing the financial system and solidifying microeconoraic fundamentals instead of forcing the adaptation of a more flexible exchange rate regime.

  8. The feasibility of a fixed exchange rate regime for new EU-members: evidence from real exchange rates

    NARCIS (Netherlands)

    Candelon, B.; Kool, C.J.M.; Raabe, K.; van Veen, T.

    2005-01-01

    In this paper, we estimate fundamental bilateral real exchange rates for a group of eight accession countries using a panel-cointegration approach for the period 1993-2003. We document a significant positive link between productivity levels and the corresponding real exchange rate levels. Future ris

  9. The feasibility of a fixed exchange rate regime for new EU-members : Evidence from real exchange rates

    NARCIS (Netherlands)

    Candelon, B.; Kool, C.J.M.; Raabe, K.; Veen, van A.P. (Tom)

    2005-01-01

    In this paper, we estimate fundamental bilateral real exchange rates for a group of eight accession countries using a panel-cointegration approach for the period 1993-2003. We document a significant positive link between productivity levels and the corresponding real exchange rate levels. Future ris

  10. THE CURRENT ACCOUNT DEFICIT AND THE FIXED EXCHANGE RATE. ADJUSTING MECHANISMS AND MODELS.

    Directory of Open Access Journals (Sweden)

    HATEGAN D.B. Anca

    2010-07-01

    Full Text Available The main purpose of the paper is to explain what measures can be taken in order to fix the trade deficit, and the pressure that is upon a country by imposing such measures. The international and the national supply and demand conditions change rapidly, and if a country doesn’t succeed in keeping a tight control over its deficit, a lot of factors will affect its wellbeing. In order to reduce the external trade deficit, the government needs to resort to several techniques. The desired result is to have a balanced current account, and therefore, the government is free to use measures such as fixing its exchange rate, reducing government spending etc. We have shown that all these measures will have a certain impact upon an economy, by allowing its exports to thrive and eliminate the danger from excessive imports, or vice-versa. The main conclusion our paper is that government intervention is allowed in order to maintain the balance of the current account.

  11. Monetary policy under a quasi-fixed exchange rate regime. The case of France between 1987 and 1996

    Directory of Open Access Journals (Sweden)

    B. MOJON

    1999-12-01

    Full Text Available In this paper, I describe the implementation of monetary policy by the Banque de France between 1987 and 1996. This period was characterised by a quasi-fixed exchange rate for France, as the franc was never realigned within the European Monetary System (EMS. I build indicators of the stance of French monetary policy. These show the influence of the EMS constraint on French monetary policy. In particular, since 1987, the shocks of purely domestic French monetary policy (i.e. the variations of the interest rate around the rule of ERM peg target, have only had very little impact on the French economy.

  12. Exchange rate regime choice

    Directory of Open Access Journals (Sweden)

    Beker Emilija

    2006-01-01

    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.

  13. EXCHANGE RATE - REGIMES AND POLICIES

    Directory of Open Access Journals (Sweden)

    Novak Lučić

    2014-12-01

    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.

  14. Exchange Rate Policy and Endogenous Price Flexibility

    OpenAIRE

    Devereux, Michael B.

    2004-01-01

    A fixed exchange rate limits the ability of the real exchange rate to adjust to shocks, and tends to raise the volatility of real GDP. But adjustment may be enhanced if internal prices are more flexible under a fixed exchange rate. This Paper develops a model in which price setters incur a cost to retain the option of ex-post price flexibility. The benefit of flexibility is increasing in the variance of demand facing price-setters. We ask whether fixing the exchange rate is likely to increase...

  15. Fiscal or monetary dominance in a small, open economy with fixed exchange rate – the case of the Republic of Macedonia

    Directory of Open Access Journals (Sweden)

    Borce Trenovski

    2015-06-01

    Full Text Available Тaking into account the specific features of the Macedonian economy, as a small, open economy with a fixed exchange rate, the goal of this research is to contribute to the discussion of whether countries with such characteristics are under monetary or fiscal dominant regime and whether the dominance has changed over time and why. We use a recursive VAR model to determine whether budget balances in Macedonia were set exogenously and independently from public sector liabilities in the period 2000 – 2011. The results show that the cyclically adjusted balance of central government does not significantly respond to the public debt changes. Thus the basic conclusion is that in the analyzed period, a little attention is paid to the level od public liabilities (public debt in setting current discretionary fiscal policy, indicating that fiscal policy can undermine the goal of monetary policy and that it dominates over monetary policy.

  16. Evaluating China's Exchange Rate Regime

    Institute of Scientific and Technical Information of China (English)

    Charlie Xiao Feng

    2008-01-01

    @@ In 1994 China established a de facto currency peg.1 The dollar-RMB exchange rate was fixed at 8.28.The People's Bank of China(PBC) allowed the rate a narrow band of around .01 to .02 percent in which it could shift daily.The exchange rate program did not become newsworthy until U.S.Treasury Secretary John Snow's visit in 2003.In fact as a study by Frankel and Wei (2007)showed, the RMB's forward was actually selling at a discount against the dollar prior to Secretary Snow's visit to China and his subsequent report, signaling that investors were anticipating RMB depreciation.

  17. Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?

    OpenAIRE

    Dreger, Christian; Girardin, Eric

    2007-01-01

    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...

  18. Exchange Rate in Focus

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    China announced the reform of its decade-old RMB exchange rate regime last July, linking the RMB to a basket of currencies rather than the U.S. dollar alone, and allowing the RMB to appreciate 2 percent against the U.S. currency. Since then, different viewpoints on the new regime have been voiced. The People's Bank of China, the central bank, said in a statement in late March that it would further improve the system, broadening the foreign exchange market, increasing the flexibility of the RMB exchange r...

  19. Currency Exchange Rates.

    Science.gov (United States)

    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…

  20. Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation Real Exchange Rate Targets, Nominal Exchange Rate Policies, and Inflation

    Directory of Open Access Journals (Sweden)

    J. Saúl Lizondo

    1991-03-01

    Full Text Available 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 economy to the target, under certain conditions. However, this policy could also lead the economy to a process of accelerating inflation.

  1. The Exchange Rate Forecasting Puzzle

    OpenAIRE

    Francis Vitek

    2005-01-01

    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...

  2. MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING

    OpenAIRE

    Nwaobi, Godwin

    2008-01-01

    Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerened with the role of speculation in foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard, the adjustable-peg system, adjustable-parity system and the flexible exchange rate system. Yet, in 1997, when foreign exch...

  3. Exchange Rate Exposure: A f irm and Industry Level Investigation

    OpenAIRE

    Sadik Cukur

    2010-01-01

    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...

  4. Adoption and Abandonment of Dual Exchange Rate Systems Adoption and Abandonment of Dual Exchange Rate Systems

    Directory of Open Access Journals (Sweden)

    Jose Saul Lizondo

    1990-03-01

    Full Text Available Adoption and Abandonment of Dual Exchange Rate Systems When facing persistent balance of payments problems, some countries have resorted to a dual exchange rate system as an alternative to a uniform exchange rate adjustment. Typically, under the dual system, certain selected transactions take place at a fixed official exchange rate, while there remaining transactions are effected at a more depreciated rate, which is usually determined by market forces. This paper examines the circumstances that lead to the adoption of a dual system, and the conditions under which the foreign exchange market can be unified successfully or a later stage. In this paper, the adoption of the dual system is linked to the unsustainability of a crawling peg (or a fixed exchange rate system in the presence of large budgret deficits. We show that the initiai spiral between the financial at the commercial exchange rates and the extent of capital flight largely depends on whether the switch in regime is anticipated or unanticipated. Although the dual system improves the external position of the economy, to the extent that there is no change in domestic noticies the country will continue to experience a deficit in the balance of payments. A correction of these policies is the only enduring solution to the external imbalance, and a precondition for a successful unification of the foreirg exchange market. If the economv unifies the foreign exchange market into a crawling peg, the financial exchahnge rate could be an adequate indicator of the initlal level of which the new exchange rate should be set if a capital outflow is to be avoided. If the economy instead moves to a flexible exchange rate system, the initial value of the exchange rate could be higher or lower than the prevailing financial exchange rate.

  5. Real exchange rate fluctuations, endogenous tradability and exchange rate regime

    OpenAIRE

    Kanda Naknoi

    2005-01-01

    This paper, empirically and theoretically, studies variance decomposition of real exchange rate. We find that deviations from the law of one price for traded goods drive most real exchange rates. However, the relative price of nontraded goods is also important for some countries maintaining stable exchange rate. We propose an explanation based on dynamics of comparative advantage. Our model predicts that comovement of terms of trade and productivity differentials of the nontraded and the expo...

  6. Capital Flows, Exchange Rate Flexibility, and the Real Exchange Rate

    OpenAIRE

    Jean-Louis Combes; Patrick Plane; Tidiane Kinda

    2011-01-01

    This paper analyzes the impact of capital inflows and exchange rate flexibility on the real exchange rate in developing countries based on panel cointegration techniques. The results show that public and private flows are associated with a real exchange rate appreciation. Among private flows, portfolio investment has the highest appreciation effect-almost seven times that of foreign direct investment or bank loans-and private transfers have the lowest effect. Using a de facto measure of excha...

  7. Exchange Rates, Innovations and Forecasting

    OpenAIRE

    Wolff, Christian C

    1987-01-01

    In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively accurate ex post exchange rate forecasts. Often the results compare favourably with those obtained from the naive random walk forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that...

  8. Second-order schedules of token reinforcement with pigeons: effects of fixed- and variable-ratio exchange schedules.

    Science.gov (United States)

    Foster, T A; Hackenberg, T D; Vaidya, M

    2001-09-01

    Pigeons' key pecks produced food under second-order schedules of token reinforcement, with light-emitting diodes serving as token reinforcers. In Experiment 1, tokens were earned according to a fixed-ratio 50 schedule and were exchanged for food according to either fixed-ratio or variable-ratio exchange schedules, with schedule type varied across conditions. In Experiment 2, schedule type was varied within sessions using a multiple schedule. In one component, tokens were earned according to a fixed-ratio 50 schedule and exchanged according to a variable-ratio schedule. In the other component, tokens were earned according to a variable-ratio 50 schedule and exchanged according to a fixed-ratio schedule. In both experiments, the number of responses per exchange was varied parametrically across conditions, ranging from 50 to 400 responses. Response rates decreased systematically with increases in the fixed-ratio exchange schedules, but were much less affected by changes in the variable-ratio exchange schedules. Response rates were consistently higher under variable-ratio exchange schedules than tinder comparable fixed-ratio exchange schedules, especially at higher exchange ratios. These response-rate differences were due both to greater pre-ratio pausing and to lower local rates tinder the fixed-ratio exchange schedules. Local response rates increased with proximity to food under the higher fixed-ratio exchange schedules, indicative of discriminative control by the tokens.

  9. Exchange Rate Predictions

    OpenAIRE

    Yablonskyy, Karen

    2012-01-01

    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...

  10. Exchange Rate Predictions

    OpenAIRE

    Yablonskyy, Karen

    2012-01-01

    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...

  11. Exchange Rates and Old People.

    Science.gov (United States)

    Dowd, James J.

    1980-01-01

    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)

  12. Yuan Exchange Rate 'Properly Adjusted'

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

      The currency exchange rate was "properly adjusted" this year and takes into account effects on the country's neighbors and the world, Premier Wen Jiabao said at a regional meeting in Malaysia.……

  13. Escape Clauses and Targeting of the Real Exchange Rate: The Case of Nominal Exchange Rate Pegging

    Directory of Open Access Journals (Sweden)

    Pablo González M.

    2010-08-01

    Full Text Available

    We consider an economy under a fixed exchange rate system, but with bounds (a minimum level or a band on the real exchange rate. The international price of the tradable good is characterized by the continuous arrival of shocks that change its level. In a model with microfoundations, we investigate the effects of targeting the real exchange rate through nominal exchange rate changes that preclude the real exchange from trespassing the imposed bounds.

    A stochastic general equilibrium model with two goods and fixed non-tradable goods price level is developed. We analyze the cases in which a lower bound or a band on the real exchange rate is introduced. The general conclusion is that when bounds are established, then welfare effects can be expected, which are generated at the expense of the levels of consumption that go in the opposite direction than what the policy intended. This short-run effect is present even in the case the targeting policy is never exercised. This result is similar to the one we find in the target zones literature, in the sense that just the existence of this tolerance band changes the behavior of the economy.

    An interesting result is that, in the case in which home goods prices are fixed, the imposition of the band on the real exchange rate does not change its behavior within the band. However, this result is not true of other real variables in the economy. In other words, although the targeted variable within the band behaves identically to the case in which there are no bounds, the rest of the real variables in the economy behave differently, even if the targeted variable remains within the band and the escape clause is not triggered.

  14. On forecasting Exchange Rate Volatility.

    OpenAIRE

    Hafner, Christian

    2003-01-01

    In an efficient market, foreign exchange rates have to guarantee absence of triangular arbitrage. This note shows that the no-arbitrage condition can be exploited for forecasting the volatility of a single rate by using the information contained in the other rates. Linearly transforming the volatility forecasts of a bivariate model is shown to be more efficient than using a univariate model for the cross-rate.

  15. 远期汇率期限结构的相对稳定点的研究%The Study of Fix Points on the Term Structure Curve of Forward Exchange Rates

    Institute of Scientific and Technical Information of China (English)

    李小平; 冯芸; 吴冲锋

    2009-01-01

    随着金融全球化的加深,国家之间的货币政策的关联越来越大,各国利率的调整对远期汇率市场的影响错综复杂.本文研究当两国同时调整利率时,远期汇率曲线上相对稳定点的存在性和唯一性.首先,从理论上解决了当两国利率调整引起利率期限结构发生各种变动时,远期汇率期限结构曲线在利率凋整前后是否存在相对稳定点和稳定点是否唯一的问题.其次,本文结合美加两国的宏观经济形势变化和货币政策的具体实践,选择了美联储和加拿大央行调息的五个示例,从实证的角度检验了前面的理论,实证结果表明:当利率期限结构和即期汇率满足一定的条件时,利率调整前后远期汇率曲线存在相对稳定点.%With the deepening of financial globalization, the links between the monetary policies of some e-conomies are getting closer ancl closer, therefore, the impact of interest rate adjustment on the forward curve becomes intricate and complex. In this paper, we study the existence and uniqueness of fixed points on the forward curve when two economics adjust their target interest rates. At first, we propose the condi-tion for existence and uniqueness of fixed points on the forward curve, when the term structure of interest rate occurs various changes caused by interest rate adjustment. Then, based on the macroeconomic situa-tions and monetary policy implemented by U. S. and Canada, we select five typical cases to verify the theo-ry, which are common in the real monetary policy. The empirical results show that there exist some fixed points on the forward curve when the term structure of interest rates and spot exchange rate meet certain conditions.

  16. Nominal exchange rate flexibility and real exchange rate adjustment : evidence from dual exchange rates in developing countries

    OpenAIRE

    Cheung, Yin-Wong; Lai, Kon-Sun

    2005-01-01

    This study investigates whether exchange rate flexibility aids real exchange rate adjustment based on intra-period data on dual exchange rates from developing countries. Specifically, it analyzes whether the flexible parallel market rate produces faster or slower real exchange rate adjustment than the much less flexible official rate does. Half-life estimates of adjustment speeds are obtained using fractional time series analysis. We find no systematic evidence that greater exchange rate flex...

  17. Multiple exchange and high-energy fixed-angle scattering

    CERN Document Server

    Halliday, I G; Orzalesi, C A; Tau, M

    1975-01-01

    The application of the eikonal ansatz to fermion fermion elastic scattering with Abelian vector gluon exchanges is discussed. The behaviours of the elastic scattering amplitude and the elastic form factor are considered and an important mechanism for fixed angle high energy elastic scattering is identified. (6 refs).

  18. SPECTRAL ANALYSIS OF EXCHANGE RATES

    Directory of Open Access Journals (Sweden)

    ALEŠA LOTRIČ DOLINAR

    2013-06-01

    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

  19. Exchange Rate Deregulation and Industrial Performance: An ...

    African Journals Online (AJOL)

    FIRST LADY

    Key Words: Exchange Rate, Deregulation, Industrial Performance, Co- integration ... and exchange risk there from. In fact ... factors underscore the importance of exchange rate to the economic well being of ..... Wearing. Apparel, Footwear,.

  20. CHANGES IN EXCHANGE RATE REGIMES

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    Carmen SANDU (TODERASCU

    2014-06-01

    Full Text Available The experience of recentyears showsthat it hasa fundamentalroleformation mechanismof the exchange rateinmacroeconomic stabilization. Global economiccrises, oil shockshave shownthe difficultyoffloatingsustainabilitybyparticipants in the system. EuropeanMonetary System, focused onconcertedfloatingcurrenciestoECU, was formedunder the conditionsin which somecountries have adoptedregional monetaryarrangements(EU countries, with suchbasescurrencyregimeshybridthat combinesspecific mechanismsto those offixedratefree floating. This paperaims to demonstratethe important role thatithasthe choice ofexchange rateregimeas abasic elementin thefoundationofmacroeconomic stabilizationinstruments. Consideredan expression of thestateof the domestic economyandinternationalcompetitiveness, the exchange rate is determined bya complex set ofexternal factorsorinternalstabilityisa prerequisite forthe crisis.

  1. Value-Added Exchange Rates

    OpenAIRE

    Rudolfs Bems; Robert C. Johnson

    2012-01-01

    This paper updates the conceptual foundations for measuring real effective exchange rates (REERs) to allow for vertical specialization in trade. We derive a value-added REER describing how demand for the value added that a country produces changes as the price of its value added changes relative to competitors. We then compute this index for 42 countries from 1970-2009 using trade measured in value added terms and GDP deflators. There are substantial differences between value-added and conven...

  2. The impact of exchange rate uncertainty on exports: the case of Turkey

    OpenAIRE

    Orhan KARACA; Saatcioğlu, Cem

    2004-01-01

    In this paper we examined the relationship between exchange rate uncertainty and exports in Turkey. Sample period of the study is 1981, May 1, the date Turkey introduced flexible exchange rate system after quiting fixed exchange rate system, and 2001, February 22 when exchange rates were left floating. The results of this study, in which quarterly data are used, indicate that exchange rate uncertainty affects exports negatively in Turkey. This finding is valid both for long-run and short-run.

  3. Exchange rate rebounds after foreign exchange market interventions

    Science.gov (United States)

    Hoshikawa, Takeshi

    2017-03-01

    This study examined the rebounds in the exchange rate after foreign exchange intervention. When intervention is strongly effective, the exchange rate rebounds at next day. The effect of intervention is reduced slightly by the rebound after the intervention. The exchange rate might have been 67.12-77.47 yen to a US dollar without yen-selling/dollar-purchasing intervention of 74,691,100 million yen implemented by the Japanese government since 1991, in comparison to the actual exchange rate was 103.19 yen to the US dollar at the end of March 2014.

  4. Exchange Rate Volatility in BRICS Countries

    OpenAIRE

    2012-01-01

    This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and the coefficient of variation of the rates of change of the real exchange rates. We found that most variables are integrated of order two except the third-country exchange rate volatilities which are st...

  5. The RMB Exchange Rate Keeps Increasing

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    @@ In July 2005, the People's Bank of China officially announced that it would adopt a manageable floating exchange rate, adjusted according to a basket of currencies based on market supply and demand. On that day, the exchange rate of the RMB to the U.S. Dollar increased by 21 percent, and since then the RMB exchange rate has gradually turned to a more flexible exchange rate convention, rather than focusing on the Dollar only.

  6. Why PPP Real Exchange Rates Mislead

    OpenAIRE

    Larry A Sjaastad

    1998-01-01

    This paper investigates the properties of the purchasing-power-parity (PPP) real exchange rate as a proxy for the true real exchange rate, which is defined as the relative price of traded goods. It finds that the PPP real exchange rate is prone to measurement error and examines the nature of that error. Measurement error is defined as the fraction of the variance of the PPP real exchange rate that has no counterpart in the true real exchange rate. That measurement error is estimated for seven...

  7. Analysis of the Chinese Exchange Rate Stability

    Directory of Open Access Journals (Sweden)

    Youngrok Cheng

    1998-03-01

    Full Text Available Asian Financial Crisis now is moving to a relatively stable phase, and at this time, whether Chinese RMB will depreciate is raising the concern of the outside world. If we simply consider economic factors, we will find REER (Real Effective Exchange Rate increased around 10%, where depreciation factors are lurking. However, after Vice Premier Zhu Rongji took the responsibility of economic operation and fixed the fundamental key of developing stably, many foreign departments present good impetus of development. After that, Foreign Exchange Rate Reservation increases and major focus is put on long-term operation for debt structure. On the contrary, If Chinese RMB depreciates dramatically, there will be some uneasiness towards domestic economy and also the burden of paying debt should be increased, people may suffer the loss quite a lot. Especially even we consider the responsibility as the central country in this region and the political & economical factors causing the harmonious atmosphere of Sino-American relationship, it can be predicted that Chinese RMB cannot depreciate dramatically within 1-2 years.

  8. The determinants of exchange rate in Croatia

    Directory of Open Access Journals (Sweden)

    Manuel BENAZIC

    2016-06-01

    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.

  9. Government spending shocks, sovereign risk and the exchange rate regime

    NARCIS (Netherlands)

    Bonam, D.; Lukkezen, J.H.J.

    2014-01-01

    Keynesian theory predicts output responses upon a fiscal expansion in a small open economy to be larger under fixed than floating exchange rates. We analyse the effects of fiscal expansions using a New Keynesian model and find that the reverse holds in the presence of sovereign default risk. By rais

  10. Government spending shocks, sovereign risk and the exchange rate regime

    NARCIS (Netherlands)

    Bonam, D.; Lukkezen, J.H.J.|info:eu-repo/dai/nl/358211875

    2014-01-01

    Keynesian theory predicts output responses upon a fiscal expansion in a small open economy to be larger under fixed than floating exchange rates. We analyse the effects of fiscal expansions using a New Keynesian model and find that the reverse holds in the presence of sovereign default risk. By

  11. An Essay on the Foreign Exchange Rate Expectations in Brazil

    Directory of Open Access Journals (Sweden)

    Ana Luiza Louzada Pereira

    2005-06-01

    Full Text Available This article analyses the behavior of the Brazilian exchange rate (Real/US dollar and the corresponding values forecasted by the market agents, from 2001 (November to 2004 (may. We use the data-base of the Brazilian Central Bank, called Sistema de Expectativas de Mercado, which has been created in 1999. We evaluate the rational expectations hypothesis (REH for the exchange rate market, comparing the mean value predicted by some Brazilian financial institutions with the daily exchange rate that has really occurred (PTAX. The particular arrangement of the data-base allows us to make the analysis in two different ways: with fixed-event forecasts. The main result suggests that the Brazilian exchange rate market support the weak form of the REH, for short horizons of forecasting.

  12. Exchange Rate Behavior and Exchange Rate Puzzles: Why the XVIII Century Might Help.

    OpenAIRE

    Torres-Sánchez, R. (Rafael); Gómez-Biscarri, J. (Javier); Pérez-de-Gracia, F. (Fernando)

    2005-01-01

    This article explores the behavior of exchange rates in Spain during the XVIII century. We posit that exchange rates were the result of both government intervention over nominal values of currencies and the estimate that the market of bills of exchange- gave to the value of the currency. We analyze the exchange rates quoted in London on three Spanish cities between 1699 and 1826. After a brief overview of the functioning of the Spanish monetary system and of exchange rate determination, we as...

  13. Model Uncertainty and Exchange Rate Forecasting

    OpenAIRE

    Kouwenberg, Roy; Markiewicz, Agnieszka; Verhoeks, Ralph; Zwinkels, Remco

    2013-01-01

    textabstractWe propose a theoretical framework of exchange rate behavior where investors focus on a subset of economic fundamentals. We find that any adjustment in the set of predictors used by investors leads to changes in the relation between the exchange rate and fundamentals. We test the validity of this framework via a backward elimination rule which captures the current set of fundamentals that best predicts the exchange rate. Out-of-sample forecasting tests show that the backward elimi...

  14. Market Sentiment and Exchange Rate Directional Forecasting

    OpenAIRE

    Vasilios Plakandaras; Theophilos Papadimitriou; Periklis Gogas; Konstantinos Diamantaras

    2014-01-01

    The microstructural approach to the exchange rate market claims that order flows on a currency can accurately reflect the short-run dynamics its exchange rate. In this paper, instead of focusing on order flows analysis we employ an alternative microstructural approach: we focus on investors' sentiment on a given exchange rate as a possible predictor of its future evolution. As a proxy of investors' sentiment we use StockTwits posts, a message board dedicated to finance. Within StockTwits inve...

  15. The Independent Monetary Policy under the Fixed Exchange Regime

    OpenAIRE

    Gang Gong; Jian Gao

    2006-01-01

    Using a macro-econometric model that is specified for the current Chinese economy, we investigate the performance of monetary policy in China with the assumption (which anyway will occur in the near future) that capital market was opened. Our purpose is to find how the monetary authority should response to a variety of external shocks by applying different policy tools (including required reserve ratio, buying and selling foreign exchange, the open market operation, the discount rate among ot...

  16. THE CASE FOR AN INTERMEDIATE EXCHANGE RATE REGIME

    OpenAIRE

    JOHN WILLIAMSON

    2007-01-01

    The argument that any exchange rate regimes other than firmly fixed and freely floating rates were infeasible — the so-called bipolarity thesis — acquired great popularity in the wake of the Asian crisis of a decade ago, but it has almost vanished today. One reason is surely the unkind empirical evidence, which shows that intermediate regimes — measured as those where both reserve and exchange rate changes lie in an intermediate range — are not in fact tending to disappear (Levy Yeyati and St...

  17. Evaluating benchmarks for Norwegian exchange rate forecasting

    OpenAIRE

    Adrik, Samir

    2016-01-01

    In this thesis, we compare the out-of-sample forecasting abilities of three fundamental exchange rate models (EqCM) against the random walk (without drift), RW. The objective of the thesis is to see how well the RW model preforms against fundamental exchange rate models that in the literature have proven to be better at forecasting the Norwegian exchange rate. These models were tested on an out-of-sample period (2009:1-2015:4) that include two characteristic exchange rate regimes. The models ...

  18. 12 CFR 619.9170 - Fixed interest rate.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Fixed interest rate. 619.9170 Section 619.9170 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM DEFINITIONS § 619.9170 Fixed interest rate. The rate of interest specified in the note or loan document which will prevail as the...

  19. The foreign exchange rate exposure of nations

    OpenAIRE

    Entorf, Horst; Möbert, Jochen; Sonderhof, Katja

    2006-01-01

    Following the well-known approach by Adler and Dumas (1984), we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current trade balance variables of corresponding economies.

  20. The tail index of exchange rate returns

    NARCIS (Netherlands)

    C.G. Koedijk (Kees); M. Schafgans (Marcia); C.G. de Vries (Casper)

    1990-01-01

    textabstractIn the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat-tailed. Three problems, however, persist: (1) Which class of distribution functions is most appropriate? (2) Are the parameters of the distribution invariant

  1. Model Uncertainty and Exchange Rate Forecasting

    NARCIS (Netherlands)

    R.R.P. Kouwenberg (Roy); A. Markiewicz (Agnieszka); R. Verhoeks (Ralph); R.C.J. Zwinkels (Remco)

    2013-01-01

    textabstractWe propose a theoretical framework of exchange rate behavior where investors focus on a subset of economic fundamentals. We find that any adjustment in the set of predictors used by investors leads to changes in the relation between the exchange rate and fundamentals. We test the validit

  2. Modeling And Forecasting Exchange-Rate Shocks

    OpenAIRE

    Andreou, A. S.; Zombanakis, George A.; Likothanassis, S. D.; Georgakopoulos, E.

    1998-01-01

    This paper considers the extent to which the application of neural networks methodology can be used in order to forecast exchange-rate shocks. Four major foreign currency exchange rates against the Greek Drachma as well as the overnight interest rate in the Greek market are employed in an attempt to predict the extent to which the local currency may be suffering an attack. The forecasting is extended to the estimation of future exchange rates and interest rates. The MLP proved to be highly ...

  3. Exchange rate regimes and monetary arrangements

    Directory of Open Access Journals (Sweden)

    Ivan Ribnikar

    2005-06-01

    Full Text Available There is a close relationship between a country’s exchange rate regime and monetary arrangement and if we are to examine monetary arrangements then exchange rate regimes must first be analysed. Within the conventional and most widely used classification of exchange rate regimes into rigid and flexible or into polar regimes (hard peg and float on one side, and intermediate regimes on the other there, is a much greater variety among intermediate regimes. A more precise and, as will be seen, more useful classification of exchange rate regimes is the first topic of the paper. The second topic is how exchange rate regimes influence or determine monetary arrangements and monetary policy or monetary policy regimes: monetary autonomy versus monetary nonautonomy and discretion in monetary policy versus commitment in monetary policy. Both topics are important for countries on their path to the EU and the euro area

  4. Is a more stable exchange rate associated with reduced exchange rate pass-through?

    OpenAIRE

    2007-01-01

    Pass-through from the nominal effective exchange rate to import prices is modelled within a regime-switching environment. Evidence suggests that exchange rate pass through can be characterised as regime-specific where the probability of switching between regimes is influenced by the extent of exchange rate volatility.

  5. Apparent exchange rate mapping with diffusion MRI.

    Science.gov (United States)

    Lasič, Samo; Nilsson, Markus; Lätt, Jimmy; Ståhlberg, Freddy; Topgaard, Daniel

    2011-08-01

    Water exchange through the cell membranes is an important feature of cells and tissues. The rate of exchange is determined by factors such as membrane lipid composition and organization, as well as the type and activity of aquaporins. A method for noninvasively estimating the rate of water exchange would be useful for characterizing pathological conditions, e.g., tumors, multiple sclerosis, and ischemic stroke, expected to be associated with a change of the membrane barrier properties. This study describes the filter exchange imaging method for determining the rate of water exchange between sites having different apparent diffusion coefficients. The method is based on the filter-exchange pulsed gradient spin-echo NMR spectroscopy experiment, which is here modified to be compatible with the constraints of clinical MR scanners. The data is analyzed using a model-free approach yielding maps of the apparent exchange rate, here being introduced in analogy with the concept of the apparent diffusion coefficient. Proof-of-principle experiments are performed on microimaging and whole-body clinical scanners using yeast suspension phantoms. The limitations and appropriate experimental conditions are examined. The results demonstrate that filter exchange imaging is a fast and reliable method for characterizing exchange, and that it has the potential to become a powerful diagnostic tool.

  6. Computational Intelligence in Exchange-Rate Forecasting

    OpenAIRE

    Andreou, Andreas S.; Zombanakis, George A.

    2006-01-01

    This paper applies computational intelligence methods to exchange rate forecasting. In particular, it employs neural network methodology in order to predict developments of the Euro exchange rate versus the U.S. Dollar and the Japanese Yen. Following a study of our series using traditional as well as specialized, non-parametric methods together with Monte Carlo simulations we employ selected Neural Networks (NNs) trained to forecast rate fluctuations. Despite the fact that the data series hav...

  7. Factor Model Forecasts of Exchange Rates

    OpenAIRE

    Charles Engel; Nelson C. Mark; Kenneth D. West

    2012-01-01

    We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate processes. We apply the technique to a panel of bilateral U.S. dollar rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by Taylor r...

  8. Exchange Rate Forecasting with Information Flow Approach

    Directory of Open Access Journals (Sweden)

    Irena Mačerinskienė

    2016-06-01

    Full Text Available The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can forecast the exchange rate, the most significant information flows are distinguished. The results lead to further development of the information flow approach as a tool to forecast exchange rate fluctuations.

  9. RMB Exchange Rate Reform: Past and Future

    Institute of Scientific and Technical Information of China (English)

    Li Zhen

    2009-01-01

    @@ 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.

  10. The foreign exchange rate rate exposure of nations

    OpenAIRE

    Entorf, Horst; Moebert, Jochen; Sonderhof, Katja

    2007-01-01

    Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current trade balance variables of corresponding economies.

  11. Fiscal deficits, exchange rate crises and inflation.

    NARCIS (Netherlands)

    van Wijnbergen, S.J.G.

    1991-01-01

    This article extends earlier work on unsustainable monetary policies by endogenizing the regime switch that ultimately restores sustainability. Within this framework we analyze exchange rate based stabilization programs and shows how constraints on Central Bank borrowing during an exchange crisis in

  12. The Choice of Exchange Rate Regime: The Relevance of International Experience to China's Decision

    Institute of Scientific and Technical Information of China (English)

    JohnWilliamson

    2005-01-01

    The Chinese exchange rate has been the focus of discussion for many months, with both internal and external considerations seemingly pointing to the desirability of a currency revaluation. This paper draws from the lessons of international experience with exchangerate regimes in the period since Worm War Two. It lays out the conditions necessary to validate a fixed exchange rate and some intermediate regimes that might work when a fixed rate is inappropriate. It then discusses what the analysis implies for contemporary China.

  13. Determination of the optimal exchange rate via control of the domestic interest rate in Nigeria

    OpenAIRE

    Virtue Ekhosuehi; Sunday Ogbonmwan

    2014-01-01

    We consider an economic scenario where the government seeks to achieve a favourable balance-of-payments over a fixed planning horizon through exchange rate policy and control of the domestic interest rate. We view the dynamics of such an economy as a bounded optimal control problem where the exchange rate is the state variable and the domestic interest rate is the control variable. The idea of balance-of-payments is used as a theoretical underpinning to specify the objective function. By assu...

  14. On the Weight Distribution of Fixed-Rate Raptor Codes

    OpenAIRE

    Lázaro Blasco, Francisco; Paolini, Enrico; Liva, Gianluigi; Bauch, Gerhard

    2015-01-01

    In this paper Raptor code ensembles with linear random precodes in a fixed-rate setting are considered. An expression for the average distance spectrum is derived and this expression is used to obtain the asymptotic exponent of the weight distribution. The asymptotic growth rate analysis is then exploited to develop a necessary and sufficient condition under which the fixed-rate Raptor code ensemble exhibits a strictly positive typical minimum distance.

  15. International trade and exchange rate volatility

    NARCIS (Netherlands)

    J.M.A. Viaene (Jean-Marie); C.G. de Vries (Casper)

    1992-01-01

    textabstractFor currencies with well developed forward markets several papers have investigated the conjectured negative relationship between trade and short term exchange rate volatility, without being very successful. A theoretical explanation for the empirical anomalies is provided by solving

  16. Exchange rate regimes and external financial stability

    Directory of Open Access Journals (Sweden)

    Stoica Ovidiu

    2016-01-01

    Full Text Available Financial stability within the framework of the global financial crisis has become a common topic for researchers and practitioners. In order to analyse the impact of exchange rate regimes on financial stability we use both the de jure and de facto exchange rate classifications. We apply the model to a 1999-2010 annual data sample for 135 countries and territories, grouped by the level of economic development. Our second focus is the investigation of the effects of the exchange rate regimes in three economic integration areas (member countries of the European Union 27, the Southern Common Market, and the Association of Southeast Asian Nations on financial stability. Our results generally support the central banks’ concerns that the flexibility of exchange rate regimes should be reduced in order to sustain financial stability; however, the findings are not robust when using alternative regime classifications.

  17. Exporter Price Response to Exchange Rate Changes

    DEFF Research Database (Denmark)

    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...... theoretical contributions to the litterature on pricing-to-market and exchange rate pass-through....

  18. Commodity Currencies and the Real Exchange Rate

    OpenAIRE

    Paul Cashin; Luis Felipe Céspedes; Ratna Sahay

    2003-01-01

    This paper examines whether the real exchange rates of commodity-exporting countries and the real prices of their commodity exports move together over time. Using IMF data on the world prices of 44 commodities and national commodity export shares, we construct new monthly indices of national commodity export prices for 58 commodity-exporting countries over 1980-2002. Evidence of a longrun relationship between national real exchange rate and real commodity prices is found for about onethird of...

  19. Second-order schedules of token reinforcement: comparisons of performance under fixed-ratio and variable-ratio exchange schedules.

    Science.gov (United States)

    Webbe, F M; Malagodi, E F

    1978-09-01

    Rats' lever pressing produced tokens according to a 20-response fixed-ratio schedule. Sequences of token schedules were reinforced under a second-order schedule by presentation of periods when tokens could be exchanged for food pellets. When the exchange period schedule was a six-response fixed ratio, patterns of completing the component token schedules were bivalued, with relatively long and frequent pauses marking the initiation of each new sequence. Altering the exchange period schedule to a six-response variable ratio resulted in sharp reductions in the frequency and duration of these initial pauses, and increases in overall rates of lever pressing. These results are comparable to those ordinarily obtained under simple fixed-ratio and variable-ratio schedules.

  20. Estimating the effects of Exchange and Interest Rates on Stock ...

    African Journals Online (AJOL)

    Estimating the effects of Exchange and Interest Rates on Stock Market in ... The need to empirically determine the predictive power of exchange rate and ... Keywords: Exchange rate, interest rate, All-share index, multiple regression models

  1. DOES CURRENCY SUBSTITUTION AFFECT EXCHANGE RATE VOLATILITY?

    Directory of Open Access Journals (Sweden)

    Hisao Kumamoto

    2014-10-01

    Full Text Available This study investigates the impacts of the degree of currency substitution on nominal exchange rate volatility in seven countries (Indonesia, the Philippines, the Czech Republic, Hungary, Poland, Argentina, and Peru. We use the Threshold ARCH model to consider the ratchet effect of currency substitution and sample periods in the 2000s, during which time the economies of the sample countries stabilized, while the U.S. dollar and euro depreciated against other major currencies following the recent global financial crisis. The presented empirical analyses show that the degree of currency substitution has significant positive effects on the conditional variance of the depreciation rate of the nominal exchange rate in most sample countries. Moreover, a shock to the depreciation rate of the nominal exchange rate has asymmetric effects on the conditional variance, depending on the sign. One possible explanation for these differential effects is the existence of the ratchet effect of currency substitution.

  2. Choice of optimal exchange rate system For the Republic of Croatia

    OpenAIRE

    Dražen Koški

    2008-01-01

    The aim of research whose results are presented in this article was to choose the optimal system of exchange rate for the Republic of Croatia, of course before its accession to EU. The analyzed exchange rate systems here range from free-floating exchange rate to system without domestic currency in circulation. Naturally, the classification of International Monetary Fond is included in it. After that, the comparison of basic economic advantages and disadvantages of the fixed exchan...

  3. Who cares about volatility? A tale of two exchange-rate systems.

    OpenAIRE

    Sylvain Leduc

    2001-01-01

    On an international level, countries often engage in vigorous debate about which type of exchange-rate system to follow – fixed or flexible? A question central to that debate is: Does one particular exchange-rate system promote a more stable economic environment?

  4. Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?

    OpenAIRE

    Guangfeng Zhang; Qiong Zhang; Muhammad Tariq Majeed

    2013-01-01

    Using two measures of private information and high-frequency transaction data from the leading interdealer electronic broking system Reuters D2000-2, we examine the association between exchange rate return and contemporaneous order flow and the predictability power of lagged order flow on the future exchange rate return. Our empirical analysis demonstrates that at high frequency (5, 10, 15, 20, 25, and 30 min) there exists strong positive association between exchange rate returns and contempo...

  5. Apparent exchange rate imaging in anisotropic systems

    DEFF Research Database (Denmark)

    Sønderby, Casper Kaae; Lundell, Henrik M; Søgaard, Lise V;

    2014-01-01

    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 ...... 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...

  6. How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility

    Directory of Open Access Journals (Sweden)

    Nissan Liviatan

    1992-03-01

    Full Text Available How Much to Commit to an Exchange Rate Rule? Balancing Credibility and Flexibility There are different ways in which policy-makers back their commitment to a fixed exchange rate. A regime where countries can devalue unilaterally represents a weaker commitment than one where a devaluation needs to be agreed upon with other parties (e.g. the European monetary system. Full dollarization, understood here as full replacement of the domestic currency by the U.S. dollar, is an extreme commitment to a fixed exchange rate. Indeed, it is a especial case of a fixed exchange rate.The central message of this paper is that the cost of reneging is a key reason holding policymakers back from making strong commitments on their exchange rate policy. The stronger the commitment to an exchange rate rule, the more costly it is to deviate from it. The paper develops a Barro-Gordon type model in which the policymaker has to decide the degree of commitment under uncertainty.It is shown that, even for policy makers that have a strong preference for maintaining the fixed exchange rate, there are circunstances under which they will choose to devalue. This will happen when the economy is hit by an adverse shock and the costs of adhering to the fixed exchange rate are larger than those associated with devaluing.The model provides useful insights to understand why many high inflation economies have not adopted full dollarizarion as a way to stabilize prices. Our emphasis on the cost of reneging stands in contrast with most existing works, which single out the desire to rely on seigniorage as the main motive for stopping short of full dollarization. Strong commitments will only be made once there is a good chance that the policy maker will not renege, and by then they might not be necessary. We illustrate the main points of the paper with examples from Latin American countries.

  7. Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

    OpenAIRE

    2004-01-01

    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...

  8. Exchange rate arrangements: From extreme to "normal"

    Directory of Open Access Journals (Sweden)

    Beker Emilija

    2006-01-01

    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.

  9. Bank Liquidity and Exchange Rate Regimes

    OpenAIRE

    Bunda, Irina; Desquilbet, Jean-Baptiste

    2003-01-01

    International audience; Combining panel data on bank liquidity at the individual level and data on their macroeconomic environment, for a sample of commercial banks in emerging countries between 1995 and 2000, we show that their exists a “bank liquidity smile across exchange rate regimes”. In extreme regimes at both ends of the line, i.e. for pure floating exchange rate regimes at one end and currency boards and dollarized economies at the other end, bank assets are more liquid than in interm...

  10. Exchange-rate forecasts and asymmetric loss: empirical evidence for the yen/dollar exchange rate

    DEFF Research Database (Denmark)

    Stadtmann, Georg; Pierdzioch; Rülke

    2012-01-01

    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...

  11. Apparent exchange rate for breast cancer characterization.

    Science.gov (United States)

    Lasič, Samo; Oredsson, Stina; Partridge, Savannah C; Saal, Lao H; Topgaard, Daniel; Nilsson, Markus; Bryskhe, Karin

    2016-05-01

    Although diffusion MRI has shown promise for the characterization of breast cancer, it has low specificity to malignant subtypes. Higher specificity might be achieved if the effects of cell morphology and molecular exchange across cell membranes could be disentangled. The quantification of exchange might thus allow the differentiation of different types of breast cancer cells. Based on differences in diffusion rates between the intra- and extracellular compartments, filter exchange spectroscopy/imaging (FEXSY/FEXI) provides non-invasive quantification of the apparent exchange rate (AXR) of water between the two compartments. To test the feasibility of FEXSY for the differentiation of different breast cancer cells, we performed experiments on several breast epithelial cell lines in vitro. Furthermore, we performed the first in vivo FEXI measurement of water exchange in human breast. In cell suspensions, pulsed gradient spin-echo experiments with large b values and variable pulse duration allow the characterization of the intracellular compartment, whereas FEXSY provides a quantification of AXR. These experiments are very sensitive to the physiological state of cells and can be used to establish reliable protocols for the culture and harvesting of cells. Our results suggest that different breast cancer subtypes can be distinguished on the basis of their AXR values in cell suspensions. Time-resolved measurements allow the monitoring of the physiological state of cells in suspensions over the time-scale of hours, and reveal an abrupt disintegration of the intracellular compartment. In vivo, exchange can be detected in a tumor, whereas, in normal tissue, the exchange rate is outside the range experimentally accessible for FEXI. At present, low signal-to-noise ratio and limited scan time allows the quantification of AXR only in a region of interest of relatively large tumors.

  12. Large Devaluations and the Real Exchange Rate

    Science.gov (United States)

    Burstein, Ariel; Eichenbaum, Martin; Rebelo, Sergio

    2005-01-01

    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…

  13. Hybrid empirical mode decomposition- ARIMA for forecasting exchange rates

    Science.gov (United States)

    Abadan, Siti Sarah; Shabri, Ani; Ismail, Shuhaida

    2015-02-01

    This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial crisis causing the exchange rates are fixed to 3.800 from 2nd of September 1998 until 21st of July 2005. Thus, the chosen data in this paper is the post-July 2005 data, starting from August 2005 to July 2010. The comparative study using root mean square error (RMSE) and mean absolute error (MAE) showed that the EMD-ARIMA outperformed the single-ARIMA and the random walk benchmark model.

  14. Fixed-rate compressed floating-point arrays

    Energy Technology Data Exchange (ETDEWEB)

    2014-03-30

    ZFP is a library for lossy compression of single- and double-precision floating-point data. One of the unique features of ZFP is its support for fixed-rate compression, which enables random read and write access at the granularity of small blocks of values. Using a C++ interface, this allows declaring compressed arrays (1D, 2D, and 3D arrays are supported) that through operator overloading can be treated just like conventional, uncompressed arrays, but which allow the user to specify the exact number of bits to allocate to the array. ZFP also has variable-rate fixed-precision and fixed-accuracy modes, which allow the user to specify a tolerance on the relative or absolute error.

  15. Optimal bank portfolio choice under fixed-rate deposit insurance

    OpenAIRE

    Anlong Li

    1991-01-01

    An analysis of the investment decisions of a bank whose deposits are fully insured under fixed-rate insurance, showing how banks dynamically adjust their investment portfolios in response to market information and how this flexibility affects both investment decisions and the fair cost of deposit insurance.

  16. Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?

    DEFF Research Database (Denmark)

    Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex

    2015-01-01

    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....

  17. A panel data investigation of real exchange rate misalignment and growth

    Directory of Open Access Journals (Sweden)

    Flávio Vilela Vieira

    2012-09-01

    Full Text Available The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples, which means that a more depreciated (appreciated real exchange rate helps (harms long-run growth. The estimated coefficients are higher for developing and emerging countries.

  18. Political Economy of Exchange Rate Regimes: A Panel Data Analysis of Selected European Countries

    Directory of Open Access Journals (Sweden)

    Ahmet BEŞKAYA

    2015-06-01

    Full Text Available The aim of this study is to investigate the effects of economic and political factors on the choice of exchange rate regimes. In order to achieve this goal, we apply for Binary Choice Panel Probit Model to examine the relationships between exchange rate regimes and financial depth, real exchange rate, capital inflow and democracy. Our data covers the period of 1980-2013 for the selected EU countries, namely, Austria, Germany, Belgium, France, Denmark, England, Sweden and Italy. Estimation results demonstrates that the choice of fixed exchange rate regime become disadvantageous and flexible exchange rate turn out to be the right choice as financial depth, real exchange rate, capital inflow and democratization increases.

  19. RMB Exchange Rate Forecast Approach Based on BP Neural Network

    Science.gov (United States)

    Ye, Sun

    RMB exchange rate system has reformed since July, 2005. This article chose RMB exchange rate data during a period from July, 2005 to September 2010 to establish BP neural network model to forecast RMB exchange rate in the future by using MATLAB software. The result showed that BP neural network is effective to forecast RMB exchange rate and also indicated that RMB exchange rate will continue to appreciate in the future.

  20. Forecasting Exchange Rates with Mixed Models

    Directory of Open Access Journals (Sweden)

    Laura Maria Badea

    2013-06-01

    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.

  1. New Chapter in Exchange Rate Reform

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    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...

  2. From monetary to exchange rate targets

    Directory of Open Access Journals (Sweden)

    M.J. ARTIS

    2013-12-01

    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. 

  3. Exchange Rate Forecasting with Information Flow Approach

    OpenAIRE

    Irena Mačerinskienė; Andrius Balčiūnas

    2016-01-01

    The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can for...

  4. Forecasting Exchange Rate Using Neural Networks

    OpenAIRE

    Raksaseree, Sukhita

    2009-01-01

    The artificial neural network models become increasingly popular among researchers and investors since many studies have shown that it has superior performance over the traditional statistical model. This paper aims to investigate the neural network performance in forecasting foreign exchange rates based on backpropagation algorithm. The forecast of Thai Baht against seven currencies are conducted to observe the performance of the neural network models using the performance criteria for both ...

  5. Forecasting Exchange Rates with Commodity Convenience Yields

    OpenAIRE

    Beutler, Toni

    2012-01-01

    This paper investigates whether commodity convenience yields - the yields that accrue to the holders of physical commodities - can predict the exchange rate of commodity-exporters' currencies. Predictability is a consequence of the fact that i) convenience yields are useful predictors for commodity prices and ii) commodity currencies have a strong relationship with commodity prices. The empirical evidence indicates that there is a significant relationship between aggregate measures of conveni...

  6. ECONOMETRIC MODELS FOR DETERMING THE EXCHANGE RATE

    Directory of Open Access Journals (Sweden)

    Mihaela BRATU

    2012-05-01

    Full Text Available The simple econometric models for the exchange rate, according to recent researches, generates the forecasts with the highest degree of accuracy. This type of models (Simultaneous Equations Model, MA(1 Procedure, Model with lagged variables is used to describe the evolution of the average exchange rate in Romanian in January 1991-March 2012 and to predict it on short run. The best forecasts, in terms of accuracy, on the forecasting horizon April-May 2012 were those based on a Simultaneous Equations Model that takes into account the Granger causality. An almost high degree of accuracy was gotten by combining the predictions based on MA(1 model with those based on the simultaneous equations model, when INV weighting scheme was applied (the forecasts are inversely weighted to their relative mean squared forecast error. The lagged variables Model provided the highest prediction errors. The importance of knowing the best exchange rate forecasts is related to the improvement of decision-making and the building of the monetary policy.

  7. Some stylised facts about the exchange rate behaviour of Central European currencies

    Directory of Open Access Journals (Sweden)

    Jan Vejmělek

    2016-04-01

    Full Text Available The paper investigates developments of exchange rate time series of Central European currencies and tries to find evidence of some stylised facts. Statistical methods and an econometric approach to the univariate time series modelling of high-frequency data, i.e., daily, are used. The main conclusions are as follows: (1 All the CE nominal exchange time series are not stationary: nevertheless, stationarity of all the return time series was confirmed. (2 Volatility clustering was proven and the GARCH modelling approach was successfully applied, including asymmetric modelling of volatility. (3 The more flexible an exchange rate regime is, the more volatile the respective currency. This is true for both nominal and real exchange rates. While nominal volatility is lower than real volatility in a system of fixed or less flexible exchange rates, the opposite is true for flexible systems: exchange rate volatility is higher in nominal terms than in real terms.

  8. Stochastic Simulation of the Exchange Rate

    Directory of Open Access Journals (Sweden)

    Anamaria ALDEA

    2007-01-01

    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.

  9. Choice of optimal exchange rate system For the Republic of Croatia

    Directory of Open Access Journals (Sweden)

    Dražen Koški

    2008-12-01

    Full Text Available The aim of research whose results are presented in this article was to choose the optimal system of exchange rate for the Republic of Croatia, of course before its accession to EU. The analyzed exchange rate systems here range from free-floating exchange rate to system without domestic currency in circulation. Naturally, the classification of International Monetary Fond is included in it. After that, the comparison of basic economic advantages and disadvantages of the fixed exchange rate in relation to floating exchange rate were carried out. Although the question is about the extreme systems, disregarding the system without domestic currency in circulation, their comparison makes possible completely satisfactory basis for the right conclusions on the choice of optimal exchange rate system for the Republic of Croatia. Considering its economic particularities, the system of managed-floating exchange rate without proclaimed exchange direction in advance is certainly optimal for the Republic of Croatia. Namely, within the framework of this system the limited floating exchange rates decrease the foreign exchange risk allowing to monetary authorities, at least partly, the independent monetary policy

  10. The structure of public debt and the choice of exchange rate regime

    OpenAIRE

    Michael Bleaney; F Gulcin Ozkan

    2011-01-01

    This paper explores the relationship between the denomination of public debt and the choice of exchange rate regime. Three types of debt (nominal, indexed, and foreign) and two regimes (fixed and flexible) are considered. Indexed debt is insulated against unexpected inflation. The real (domestic-currency) value of foreign debt is subject to valuation effects from real exchange rate shocks. The `fear-of-floating' result, that foreign debt makes pegging more attractive, is shown to hold unambig...

  11. On the Benefits of Exchange Rate Flexibility under Endogenous Tradedness of Goods

    OpenAIRE

    Kanda Naknoi; Michael Kumhof; Douglas Laxton

    2005-01-01

    Previous efforts to compare the costs and benefits of fixed versus flexible exchange rate regimes have ignored the fact that it takes significant resources and time to develop export markets, and they have not included an analysis of the firm-level decision to enter or exit export markets. This paper develops a dynamic stochastic general equilibrium model to analyze the effects of endogenous tradedness of goods on the welfare gains from exchange rate flexibility. The actual range of traded go...

  12. NATREX AND DETERMINATION OF REAL EXCHANGE RATE OF RMB

    Institute of Scientific and Technical Information of China (English)

    Holger van Eden; LIU Bin; Gerbert Romyn; YANG Xiaoguang

    2001-01-01

    ]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.

  13. Statistical Analysis Regarding the Evolutions of the Euro Exchange Rate and the Dollar Exchange Rate, in Romania

    Directory of Open Access Journals (Sweden)

    Gabriela OPAIT

    2016-04-01

    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.

  14. Fiscal Policy and Welfare under Different Exchange Rate Regimes

    DEFF Research Database (Denmark)

    Østrup, Finn

    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...

  15. Extensive and intensive margins and the choice of exchange rate regimes

    OpenAIRE

    Picard, Pierre M.; Hamano, Masashige

    2013-01-01

    This paper studies how the choice of fixed or flexible exchange rate regimes is affected by the existence of intensive and extensive margins. We study two models where firms enter during or before each period of production. We show how the the choice of those regimes depend on the level and the volatily of the intensive and extensive margins as well as on the congruence between consumers' preferences and the supply and diversity of products. We show that fixed exchange rate regimes are prefer...

  16. Exchange-Rate Unification with Black Market Leakages; Russia 1992

    OpenAIRE

    Goldberg, L. S.

    1993-01-01

    In 1992 Russia unified the multiple exchange rates that had applied to international transactions. This paper describes the multiple exchange rate system that existed in Russia prior to mid-1992 and undertakes a theoretical exploration of the effects of the exchange rate unification that took place in July 1992. The model developed here allows for leakages between official and black markets and permits flexibility of the exchange rates in both official and parallel currency markets. Within th...

  17. Forecasting Exchange Rate Volatility in the Presence of Jumps

    OpenAIRE

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    2005-01-01

    We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of exchange rate futures options, allowing calculation of option implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized exchange rate v...

  18. Understanding the Gains from Wage Flexibility: The Exchange Rate Connection

    OpenAIRE

    Gal??, Jordi; Monacelli, Tommaso

    2015-01-01

    We study the gains from increased wage flexibility and their dependence on exchange rate policy, using a small open economy model with staggered price and wage setting. Two results stand out: (i) the impact of wage adjustments on employment is smaller the more the central bank seeks to stabilize the exchange rate, and (ii) an increase in wage flexibility often reduces welfare, and more likely in economies under an exchange rate peg or an exchange rate-focused monetary policy. Our findings cal...

  19. Friedman Redux; External Adjustment and Exchange Rate Flexibility

    OpenAIRE

    Atish R. Ghosh; Mahvash S Qureshi; Tsangarides, Charalambos G.

    2014-01-01

    Milton Friedman argued that flexible exchange rates would facilitate external adjustment. Recent studies find surprisingly little robust evidence that they do. We argue that this is because they use composite (or aggregate) exchange rate regime classifications, which often mask very heterogeneous bilateral relationships between countries. Constructing a novel dataset of bilateral exchange rate regimes that differentiates by the degree of exchange rate flexibility, as well as by direct and ind...

  20. The Determinants of Exchange Rate Regimes in Emerging Market Economies

    OpenAIRE

    Mehmet Guclu

    2008-01-01

    The choice of exchange rate regime has become one of the most important issues one more time in many economies after the financial crises in recent years. In the wake of the financial crises, many countries, especially emerging market economies, opted for floating exchange rate regimes by forsaking the pegged regimes. Consequently, an old debate on the choice and determinants of exchange rate regimes has been triggered. Economists have started to debate what appropriate exchange rate regime f...

  1. Forecasting the Euro exchange rate using vector error correction models

    NARCIS (Netherlands)

    Aarle, B. van; Bos, M.; Hlouskova, J.

    2000-01-01

    Forecasting the Euro Exchange Rate Using Vector Error Correction Models. — This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on the monetary approach of ex

  2. Essays on exchange rate policy in developing countries

    NARCIS (Netherlands)

    Khamfula, Y.A.

    1999-01-01

    The breakdown of the Bretton Woods system of pegged exchange rates has since 1971 given developing countries a wider range of choice with regard to their exchange rate regimes than had previously existed. With the emergence of a variety of exchange rate regimes, increasing attention has been given t

  3. Fundamentals and the Equilibrium of Real Exchange Rate of an Emerging Economy: Estimating the Exchange Rate Misalignment in Malaysia

    National Research Council Canada - National Science Library

    Jauhari Dahalan; Mohammed Umar; Hussin Abdullah

    2016-01-01

    .... Based on the suggestion of the weak exogeneity and unit vector analysis, the study estimates the equilibrium and sustainable equilibrium real exchange rate based on the behavioural equilibrium exchange rate (BEER...

  4. Fundamentals and the Equilibrium of Real Exchange Rate of an Emerging Economy: Estimating the Exchange Rate Misalignment in Malaysia

    National Research Council Canada - National Science Library

    Jauhari Dahalan; Mohammed Umar; Hussin Abdullah

    2016-01-01

      To evaluate the existence of possible over and under valuation of exchange rate for Malaysia, the study examines the nature of misalignment in the equilibrium real exchange rate and its systemic...

  5. Forecasting Foreign Currency Exchange Rates for Air Force Budgeting

    Science.gov (United States)

    2015-03-26

    Corte et al., 2008). Artificial neural networks (self- learning algorithms trained on historical data) show robust exchange rate predictions in midst...original study. Auction theory provides another method of forecasting exchange rates. The international exchange market for currencies acts as an... auction , and the future options on currencies may give insight into forecasting the exchange rate. If there are many traders for the currency, the

  6. Stock prices, exchange rates and causality in Malaysia: a note

    OpenAIRE

    2006-01-01

    This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange ...

  7. The Exchange Rate Exposure of Danish Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    1999-01-01

    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 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 GARCH(1...

  8. Do Exchange Rates Really Help Forecasting Commodity Prices?

    DEFF Research Database (Denmark)

    Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet

    Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export...... 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...

  9. Secretion systems and signal exchange between nitrogen-fixing rhizobia and legumes.

    Science.gov (United States)

    Nelson, Matthew S; Sadowsky, Michael J

    2015-01-01

    The formation of symbiotic nitrogen-fixing nodules on the roots and/or stem of leguminous plants involves a complex signal exchange between both partners. Since many microorganisms are present in the soil, legumes and rhizobia must recognize and initiate communication with each other to establish symbioses. This results in the formation of nodules. Rhizobia within nodules exchange fixed nitrogen for carbon from the legume. Symbiotic relationships can become non-beneficial if one partner ceases to provide support to the other. As a result, complex signal exchange mechanisms have evolved to ensure continued, beneficial symbioses. Proper recognition and signal exchange is also the basis for host specificity. Nodule formation always provides a fitness benefit to rhizobia, but does not always provide a fitness benefit to legumes. Therefore, legumes have evolved a mechanism to regulate the number of nodules that are formed, this is called autoregulation of nodulation. Sequencing of many different rhizobia have revealed the presence of several secretion systems - and the Type III, Type IV, and Type VI secretion systems are known to be used by pathogens to transport effector proteins. These secretion systems are also known to have an effect on host specificity and are a determinant of overall nodule number on legumes. This review focuses on signal exchange between rhizobia and legumes, particularly focusing on the role of secretion systems involved in nodule formation and host specificity.

  10. Exchange rate regimes and macroeconomic instabilities in Sub-Saharan Africa

    Directory of Open Access Journals (Sweden)

    Yaya Camara Seydou

    2015-01-01

    Full Text Available This article addresses macroeconomic instabilities according to exchange rate regimes in Sub-Saharan Africa (SSA. Based on International Monetary Fund's exchange rate regimes de facto classification, the global sample, SSA, is first divided into two subsamples, which are countries within CFA franc zone (ZCFA and those outside CFA franc zone (HZCFA, and then into four categories, which are the Western Economic and Monetary Union (WAEMU, the Central African Economic and Monetary Community, the countries CFA franc zone with fix exchange rate regimes(HZCFA-FIX, and the countries outside CFA franc zone with flexible exchange rate regimes(HZCFA-FLEX. By applying advanced statistical and econometric methods upon internal and external macroeconomic equilibrium conditions, we show that the inflation, the GDP (or the output and the real exchange rate (RER are very volatile in SSA. However, we found out that they are more volatile in the group HZCFA comparatively to the group ZCFA. We also found out that they are higher in the group HZCFA-FIX than the group HZCFA-FLEX. Moreover, we found out that a high instability of the inflation is combined with those of the output and the RER.

  11. EU enlargement and new member countries' involvement in the exchange rates system

    Directory of Open Access Journals (Sweden)

    Vlatka Bilas

    2005-08-01

    Full Text Available For each country, joining the union is a unique process, considering advantages and disadvantages which a country can thus obtain. In order to fulfill conditions for the EU accession, transition countries must achieve different convergence criteria. Expansion of the EU brings along many challenges including coordination of policies and conducting a common monetary policy. After joining the EU new members are expected to have a minimum of two years of participation in the Exchange Rate Mechanism 2 before accepting euro. ERM2 can be a flexible and efficient framework for the determination of a appropriate level of irrevocable exchange rate fixing according to euro, as well as for achieving macroeconomic stability. Even though, considering demands for complete abolition of capital controls and high capital mobility, fixed exchange rate with fluctuation margins of ±15% is to become sensitive to the capital movements and speculative attacks.

  12. THE REAL EXCHANGE RATE DETERMINATION: EMPIRICAL EVIDENCE FROM MALAYSIA

    OpenAIRE

    WONG HOCK TSEN

    2014-01-01

    This study examines the real exchange rate determination in Malaysia. The result of the autoregressive distributed lag approach shows that an increase in the real interest rate differential, productivity differential, the real oil price or reserve differential will lead to an appreciation of the real exchange rate in the long run. The real oil price and reserve differential are important in the real exchange rate determination. The dynamic ordinary least squares (DOLS) estimator shows about t...

  13. Second-order schedules of token reinforcement: comparisons of performance under fixed-ratio and variable-ratio exchange schedules1

    Science.gov (United States)

    Webbe, Frank M.; Malagodi, E. F.

    1978-01-01

    Rats' lever pressing produced tokens according to a 20-response fixed-ratio schedule. Sequences of token schedules were reinforced under a second-order schedule by presentation of periods when tokens could be exchanged for food pellets. When the exchange period schedule was a six-response fixed ratio, patterns of completing the component token schedules were bivalued, with relatively long and frequent pauses marking the initiation of each new sequence. Altering the exchange period schedule to a six-response variable ratio resulted in sharp reductions in the frequency and duration of these initial pauses, and increases in overall rates of lever pressing. These results are comparable to those ordinarily obtained under simple fixed-ratio and variable-ratio schedules. PMID:16812101

  14. World currency exchange rate cross-correlations

    Science.gov (United States)

    Droå¼dż, S.; Górski, A. Z.; Kwapień, J.

    2007-08-01

    World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 May 2005. Such a dynamics turns out to predominantly involve one outstanding eigenvalue of the correlation matrix. The magnitude of this eigenvalue depends however crucially on which currency is used as a base currency for the remaining ones. Most prominent it looks from the perspective of a peripheral currency. This largest eigenvalue is seen to systematically decrease and thus the structure of correlations becomes more heterogeneous, when more significant currencies are used as reference. An extreme case in this later respect is the USD in the period considered. Besides providing further insight into subtle nature of complexity, these observations point to a formal procedure that in general can be used for practical purposes of measuring the relative currencies significance on various time horizons.

  15. 31 CFR 359.10 - What is the fixed rate of return?

    Science.gov (United States)

    2010-07-01

    ... possibly be less than the fixed rate or negative in deflationary situations. In all cases, however, the... 31 Money and Finance: Treasury 2 2010-07-01 2010-07-01 false What is the fixed rate of return? 359... BONDS, SERIES I General Information § 359.10 What is the fixed rate of return? The Secretary, or...

  16. Management of exchange rate regimes in emerging Asia

    Directory of Open Access Journals (Sweden)

    Ramkishen S. Rajan

    2012-04-01

    Full Text Available This paper revisits the issue of exchange rate regimes in emerging Asia over the decade 1999–2009. It finds that while Asia is home to a wide array of exchange rate regimes, there are signs of gradual movement toward somewhat greater exchange rate flexibility in many of the regional countries. There appears to be evidence of an apparent “fear of appreciation” which is manifested in asymmetric exchange rate intervention—i.e., a willingness to allow depreciations but reluctance to allow appreciations. This policy of effective exchange rate undervaluation is rather unorthodox from a neoclassical sense, but is consistent with a development policy centered on suppressing the price of non-tradable goods relative to tradables (i.e., real exchange rate undervaluation.

  17. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    of 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 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....

  18. Real Shocks Unemployment and the Equilibrium Real Exchange Rate

    OpenAIRE

    Hee-Ho Kim

    2002-01-01

    We develop a model of exogenous shocks on the real exchange rate between two large countries. We alter the model by introducing unemployment to consider the issue of how unemployment in a country can significantly change the effects of real shocks on the exchange rate. Introducing unemployment adds flexibility in production that can alter the magnitudes and even signs of shocks to the real exchange rate. These changes occur because of intersectoral differences in labor demand elasticities, as...

  19. Adaptive Forecasting of Exchange Rates with Panel Data

    OpenAIRE

    Morales-Arias, Leonardo; Dross, Alexander

    2010-01-01

    This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii) cyclical and confidence indices. Exchange rate forecasts at various horizons are obtained from each of the potential predictors using single market, mean group and pooled estimates by means of rolling wind...

  20. Impact of Exchange Rate on Foreign Private Investment in Pakistan

    Directory of Open Access Journals (Sweden)

    Muhammad Asif

    2013-10-01

    Full Text Available This study is focused on analyzing exchange rates on foreign private investment in Pakistan. Times series data from periods 1973 to 2012 was used for the analysis. The results of estimation suggest that an exchange rate and gross domestic product are the most important variable that affects private foreign investment in Pakistan. Exchange rate was recommended to be more market responsive compared to the other variables of the model

  1. Assessing Asian Equilibrium Exchange Rates as Policy Instruments

    OpenAIRE

    MASUJIMA Yuki

    2015-01-01

    This paper attempts to estimate the quarterly equilibrium exchange rates (EER) of nine Asian currencies (Japan, China, Korea, Hong Kong, Singapore, Thailand, Indonesia, Malaysia, and Philippines) with the Behavioral Equilibrium Exchange Rates (BEER) from 2006 to 2014. The BEER was compared with the Fundamental Equilibrium Exchange Rates (FEER) published biannually by the Peterson Institute for International Economics. While four Asian currencies tend to be undervalued in the Peterson's FEER a...

  2. Investigating the asymmetric relationship between inflation-output growth exchange rate changes

    Science.gov (United States)

    Chu, Jenq Fei; Sek, Siok Kun

    2017-08-01

    The relationship between inflation-output growth or output variation has long been studied. In this study, we extend the investigation under two exchange rate flexibility/regime in four Asian countries (Indonesia, Korea, Philippines and Thailand) that have experienced drastic exchange rate regime changes aftermath the financial crisis of 1997. These countries have switched from fixed/rigid exchange rate regime to flexible exchange rate and inflation targeting (IT) regime after the crisis. Our main objective is to compare the inflation-output trade-off relationship in the pre-IT and post-IT periods as a tool to evaluate the efficiency of monetary policy. A nonlinear autoregressive distributed lags (NARDL) model is applied to capture the asymmetric effects of exchange rate changes (increases and decreases). The data ranging from 1981M1 onwards till 2016M3. Our results show that exchange rate has asymmetric effect on inflation both short-run and long-run with larger impact in the post-IT period under flexible regime. Depreciation of exchange rate has leads to higher inflation. Furthermore, we find evidences on the relationship between inflation and growth in both short-run and long-run, but the trade-off only detected in the short run both in the pre- and post-IT periods.

  3. Measuring real exchange rate misalignment in Croatia: cointegration approach

    Directory of Open Access Journals (Sweden)

    Irena Palić

    2014-12-01

    Full Text Available The purpose of the paper is to analyze misalignment of the real exchange rate in Croatia. The misalignment analysis is conducted using the permanent equilibrium exchange rate approach. The equilibrium real exchange rate is computed using the cointegration approach whereby the real exchange rate and its fundamentals, namely terms of trade, net foreign assets and the ratio of prices of tradables to non-tradables are included in cointegration analysis. The Hodrick and Prescott filter is used to obtain permanent values of the equilibrium real exchange rate. The real exchange rate misalignment is computed as the deviation of the RER from its permanent equilibrium level. Four overvaluation periods and three undervaluation periods are recorded in Croatia in the observed period. Overvaluation periods are more often and of longer duration than undervaluation periods. However, the real exchange rate does not deviate largely from its estimated equilibrium value in the observed period, and it is neither overvalued nor undervalued constantly, but the periods alternate. Considering the results of the analysis, together with the empirical characteristics of Croatian economy, namely the high foreign currency indebtedness, highly euroized economy and underdeveloped export oriented sector, the depreciation of the real exchange rate is not recommended to economic policy makers and the current Croatian exchange rate policy is appropriate.

  4. Exchange rate reform:progress,challenges and prospects

    Institute of Scientific and Technical Information of China (English)

    陈东琪; 张岸元; 王元

    2009-01-01

    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.

  5. Exchange Rate Movement and Foreign Direct Investment in Asean Economies

    National Research Council Canada - National Science Library

    Lily, Jaratin; Kogid, Mori; Mulok, Dullah; Thien Sang, Lim; Asid, Rozilee

    2014-01-01

    .... 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...

  6. The Renminbi Exchange Rate Reform and the Rebalancing of China’s Growth Model

    Institute of Scientific and Technical Information of China (English)

    JIANBO; SONG; SEAN; MACKINNON; SONGTAO; TAN

    2015-01-01

    This paper posits that a proper way to estimate the Renminbi(RMB) exchange rate is to base the evaluation on the Balassa-Samuelson effect, and that the optimal way to facilitate China’s growth model transformation is gradual RMB internationalization and capital account liberalization. Regression estimates show that the gross domestic product per capita growth rate, or the productivity growth rate, has strong explanatory validity when estimating the RMB exchange rate. The findings further assert that, as the growth of gross fixed capital formation slows, and the growth of household consumption speeds up, China’s economic growth will be sustained. The RMB exchange rate regime is one in which gradual reforms must yield to interest rates levels and hence should only be revalued conditionally.

  7. Statistical properties of the yuan exchange rate index

    Science.gov (United States)

    Wang, Dong-Hua; Yu, Xiao-Wen; Suo, Yuan-Yuan

    2012-06-01

    We choice the yuan exchange rate index based on a basket of currencies as the effective exchange rate of the yuan and investigate the statistical properties of the yuan exchange rate index after China's exchange rate system reform on the 21st July 2005. After dividing the time series into two parts according to the change in the yuan exchange rate regime in July 2008, we compare the statistical properties of the yuan exchange rate index during these two periods. We find that the distribution of the two return series has the exponential form. We also perform the detrending moving average analysis (DMA) and the multifractal detrending moving average analysis (MFDMA). The two periods possess different degrees of long-range correlations, and the multifractal nature is also unveiled in these two time series. Significant difference is found in the scaling exponents τ(q) and singularity spectra f(α) of the two periods obtained from the MFDMA analysis. Besides, in order to detect the sources of multifractality, shuffling and phase randomization procedures are applied to destroy the long-range temporal correlation and fat-tailed distribution of the yuan exchange rate index respectively. We find that the fat-tailedness plays a critical role in the sources of multifractality in the first period, while the long memory is the major cause in the second period. The results suggest that the change in China's exchange rate regime in July 2008 gives rise to the different multifractal properties of the yuan exchange rate index in these two periods, and thus has an effect on the effective exchange rate of the yuan after the exchange rate reform on the 21st July 2005.

  8. Exchange rate misalignment, capital accumulation and income distribution: Theory and evidence from the case of Brazil

    Directory of Open Access Journals (Sweden)

    Oreiro José Luis

    2013-01-01

    Full Text Available This article analyzes the relationship between economic growth, income distribution and real exchange rate within the neo-Kaleckian literature, through the construction of a nonlinear macrodynamic model for an open economy in which investment in fixed capital is assumed to be a quadratic function of the real exchange rate. The model demonstrates that the prevailing regime of accumulation in a given economy depends on the type of currency misalignment, so if the real exchange rate is overvalued, then the regime of accumulation will be profit-led, but if the exchange rate is undervalued, then the accumulation regime is wage-led. Subsequently, the adherence of the theoretical model to data is tested for Brazil in the period 1994/Q3-2008/Q4. The econometric results are consistent with the theoretical non-linear specification of the investment function used in the model, so that we can define the existence of a real exchange rate that maximizes the rate of capital accumulation for the Brazilian economy. From the estimate of this optimal rate we show that the real exchange rate is overvalued in 1994/Q3- 2001/Q1 and 2005/Q4-2008/Q4 and undervalued in the period 2001/Q2-2005/Q3. As a direct corollary of this result, it follows that the prevailing regime of accumulation in the Brazilian economy after the last quarter of 2005 is profit-led.

  9. The difficulties of the Chinese and Indian exchange rate regimes

    Directory of Open Access Journals (Sweden)

    Ila Patnaik

    2009-06-01

    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.

  10. Do Exchange Rates Really Help Forecasting Commodity Prices?

    DEFF Research Database (Denmark)

    Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet

    Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export pr...

  11. Unpredictable After All? A short note on exchange rate predictability

    NARCIS (Netherlands)

    G.A. Moerman (Gerard)

    2001-01-01

    textabstractEarlier research has shown that it is very hard to outperform the random walk model with respect to forecasting exchange rates. In this paper we propose an extension to the regular regime-switching model in order to capture the exchange rate dynamics. The model is extended by including m

  12. IMPROVING THE EFFECTIVENESS OF EXCHANGE RATE POLICY IN CONTEMPORARY VIETNAM

    Directory of Open Access Journals (Sweden)

    The Dong Phung

    2014-01-01

    Full Text Available The article discusses the issue of effectiveness of exchange rate policy in contemporary Vietnam, along with the assessment of the mechanism of this policy from 1989 to the present day. The author analyzes constraints of implementing the exchange rate policy in the past and gives recommendations aimed at improving its efficiency nowadays.

  13. Effectiveness of Exchange Rate in Pakistan: Causality Analysis

    Directory of Open Access Journals (Sweden)

    Rana Ejaz Ali Khan

    2012-06-01

    Full Text Available The study analyzed the effectiveness of exchange rate on macroeconomic variables of Pakistan. The precise objective of the study is to examine the causality between exchange rate, trade, inflation, FDI and GDP through a series of models. On the annual time series data for the years 1980-2009 unit root test for stationarity, Johansen’s cointegration test for long-run equilibrium relationship between the variables for each model and Granger Causality test to check the causality between the variables is applied. The main findings are as: there is no long-run equilibrium relationship between exchange rate and inflation, but there exists long-run equilibrium relationship between exchange rate and trade. Thereis also long-run equilibrium relationship between exchange rate and FDI and causality runs in both directions, i.e. exchange rate to FDI and FDI to exchange rate. Finally, there is long-run equilibrium relationship between exchange rate and GDP but causality doesnot run in either direction.

  14. Restarted Exchange Rate Reform Raises New Doubts on RMB Appreciation

    Institute of Scientific and Technical Information of China (English)

    Zhang Xueqing

    2010-01-01

    @@ 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.

  15. Monetary models and exchange rate determination: The Nigerian ...

    African Journals Online (AJOL)

    Monetary models and exchange rate determination: The Nigerian evidence. ... income levels and real interest rate differentials provide better forecasts of the naira-US dollar ... in this regard is that monetary policy should be positively predicted.

  16. Monetary and Fiscal Policies' Efficiency and the Determination of a Nominal Equilibrium Exchange Rate

    OpenAIRE

    Emil Stavrev

    2000-01-01

    The author of this paper constructs a continuous time macro-econometric model of the Czech economy. The model is assembled as a system of twelve non-linear differential equations. The model is put into use to determine the nominal equilibrium exchange rate of the Czech koruna in a macro-economic framework. The paper also investigates the effectiveness of monetary and fiscal policies in the presence of a fixed exchange-rate regime and massive capital inflows. The search for an equilibrium poin...

  17. Optimal Exchange Rate Policy:The Influence of Price-Setting and Asset Markets

    OpenAIRE

    Charles Engel

    2000-01-01

    This paper examines optimal exchange-rate policy in two-country sticky-price general equilibrium models in which households and firms optimize over an infinite horizon in an environment of uncertainty. The models are in the vein of the new open-economy macroeconomics' as exemplified by Obstfeld and Rogoff (1995, 1998, 2000). The conditions under which fixed or floating exchange rates yield higher welfare depend on the exact nature of price stickiness and on the degree of risk-sharing opportun...

  18. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    of 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 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.......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...

  19. Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

    OpenAIRE

    Frankel, Jeffrey A.; Kenneth Froot

    1990-01-01

    The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First, the bias observed in the forward discount as a predictor of the future spot rate is not attributable to an exchange risk premium, as is conventionally believed. Second, at short horizons forecasters t...

  20. Exchange rate formation in Ukraine and its impact on macroeconomic indicators

    OpenAIRE

    2014-01-01

    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.

  1. The relationship between exchange rate and macroeconomic variables in China

    Directory of Open Access Journals (Sweden)

    Chi Wei Su

    2012-06-01

    Full Text Available The objective of this study is to provide evidences on the relationship betweenRenminbi (RMB exchange rate and macroeconomic variables in China, as well asguidelines for reform of RMB exchange rate regime. The long-run equilibriumrelationship between RMB exchange rate and macroeconomic variables of Chinais examined by applying the non-parametric rank tests proposed by Breitung.Furthermore, this study uses the threshold error-correction model (TECM todetect the nonlinear casual relationship between RMB exchange rate andmacroeconomic variables that are nonlinear forms. The results show that RMBexchange rate and macroeconomic variables have nonlinear relationship witheach other. In the long run, these results demonstrate solid evidence that RMBexchange rate and macroeconomic variables support the hypothesis of anasymmetrical error-correction process in China. Our results have important policyimplications for Chinese government under study.

  2. Modeling the Volatility of Exchange Rates: GARCH Models

    Directory of Open Access Journals (Sweden)

    Fahima Charef

    2017-03-01

    Full Text Available The modeling of the dynamics of the exchange rate at a long time remains a financial and economic research center. In our research we tried to study the relationship between the evolution of exchange rates and macroeconomic fundamentals. Our empirical study is based on a series of exchange rates for the Tunisian dinar against three currencies of major trading partners (dollar, euro, yen and fundamentals (the terms of trade, the inflation rate, the interest rate differential, of monthly data, from jan 2000 to dec-2014, for the case of the Tunisia. We have adopted models of conditional heteroscedasticity (ARCH, GARCH, EGARCH, TGARCH. The results indicate that there is a partial relationship between the evolution of the Tunisian dinar exchange rates and macroeconomic variables.

  3. The Interaction between Technical Currency Trading and Exchange Rate Fluctuations

    OpenAIRE

    Schulmeister, Stephan

    2005-01-01

    This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of exchange-rate trends and not from taking winning positions relatively frequently. I then show that technical models exert an excess demand pressure on currency markets. When these models produce trading signal...

  4. Monetary and exchange rate regimes changes: The cases of Poland, Czech Republic, Slovakia and Republic of Serbia

    Directory of Open Access Journals (Sweden)

    Josifidis Kosta

    2009-01-01

    Full Text Available The paper explores (former transition economies, Poland, Czech Republic, Slovakia and the Republic of Serbia, concerning abandonment of the exchange rate targeting and fixed exchange rate regimes and movement toward explicit/implicit inflation targeting and flexible exchange rate regimes. The paper identifies different subperiods concerning crucial monetary and exchange rate regimes, and tracks the changes of specific monetary transmission channels i.e. exchange rate channel, interest rate channel, indirect and direct influences to the exchange rate, with variance decomposition of VAR/VEC model. The empirical results indicate that Polish monetary strategy toward higher monetary and exchange rate flexibility has been performed smoothly, gradually and planned, compared to the Slovak and, especially, Czech case. The comparison of three former transition economies with the Serbian case indicate strong and persistent exchange rate pass-through, low interest rate pass-through, significant indirect and direct influence to the exchange rate as potential obstacles for successful inflation targeting in the Republic of Serbia.

  5. Target zones and exchange rates : An empirical investigation

    OpenAIRE

    Bekaert, G.R.J.; Gray, S. F.

    1997-01-01

    In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the existing literature. We find evidence of two types of jumps in exchange rates. Realignment jumps are those that are associated with the periodic realignments of the target zone and within-the-band jumps are those that can be accommodated within the current target zone. The exchange rate may jump outside the current target zone band, i...

  6. Real exchange rate persistence and the excess return puzzle

    DEFF Research Database (Denmark)

    Juselius, Katarina; Assenmacher, Katrin

    2017-01-01

    The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation of the domestic-foreign interest rate differential from the expected change in the nominal exchange rate. Using the I(2......) cointegrated VAR model, much of the excess return puzzle disappears when an uncertainty premium in the foreign exchange market, proxied by the persistent PPP gap, is introduced. Self-reinforcing feedback mechanisms seem to cause the persistence in the Swiss-US parity conditions. These results support imperfect...

  7. Effects of interest and exchange rate policies on Brazilian exports

    Directory of Open Access Journals (Sweden)

    Cláudia Maria Sonaglio

    2016-01-01

    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.

  8. Macroeconomic stabilization and intervention policy under an exchange rate band

    NARCIS (Netherlands)

    Beetsma, R.M.W.J.; van der Ploeg, F.

    1998-01-01

    Macroeconomic stabilization and foreign exchange market interventions are investigated for a small open economy with a nominal exchange rate band. In a first-best situation, a band is not advisable from a stabilization perspective, even though with money demand shocks no welfare losses are incurred.

  9. Macroeconomic stabilization and intervention policy under an exchange rate band

    NARCIS (Netherlands)

    Beetsma, R.M.W.J.; van der Ploeg, F.

    1998-01-01

    Macroeconomic stabilization and foreign exchange market interventions are investigated for a small open economy with a nominal exchange rate band. In a first-best situation, a band is not advisable from a stabilization perspective, even though with money demand shocks no welfare losses are incurred.

  10. FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America

    Directory of Open Access Journals (Sweden)

    Silvia Dal Bianco

    2017-02-01

    Full Text Available This paper investigates the impact of price and real exchange rate volatility on Foreign Direct Investment (FDI inflows in a panel of 10 Latin American and Caribbean countries, observed between 1990 and 2012. Both price and exchange rate volatility series are estimated through the Generalized Autoregressive Conditional Heteroscedasticity model (GARCH. Our results obtained, employing the Fixed Effects estimator, confirm the theory of hysteresis and option value, in so far as a statistically significant negative effect of exchange rate volatility on FDI is found. Price volatility, instead, turns out to be positive but insignificant. Moreover, we show that human capital and trade openness are key for attracting foreign capital. From the policy perspective, our analysis suggests the importance of stabilization policies as well as the policy of government credibility in promoting trade openness and human capital formation.

  11. An empirical study of exchange rate pass-through in China

    Directory of Open Access Journals (Sweden)

    Jin Xiaowen

    2012-01-01

    Full Text Available This paper seeks to estimate exchange rate pass-through in China and investigate its relationship with monetary policy. Linear and VAR models are applied to analyze robustness. The linear model shows that, over the long run, a 1% appreciation of NEER causes a decline in the CPI inflation rate of 0.132% and PPI inflation rate of 0.495%. The VAR model supports the results of the linear model, suggesting a fairly low CPI pass-through and relatively higher PPI pass-through. Furthermore, this paper finds that, with the fixed exchange rate regime, CPI pass-through remains higher. The exchange rate regimes influence on CPI pass through, combined with the fact that appreciation diminishes inflation, suggests that the Chinese government could pursue a more flexible exchange rate policy. In addition, reasons for low exchange rate pass-through for CPI are analyzed. The analysis considers price control, basket and weight of Chinese price indices, distribution cost, and imported and non-tradable share of inputs.

  12. On equilibrium real exchange rates in euro area: Special focus on behavioral equilibrium exchange rates in Ireland and Greece

    Directory of Open Access Journals (Sweden)

    Klára Plecitá

    2012-01-01

    Full Text Available This paper focuses on the intra-euro-area imbalances. Therefore the first aim of this paper is to identify euro-area countries exhibiting macroeconomic imbalances. The subsequent aim is to estimate equilibrium real exchange rates for these countries and to compute their degrees of real exchange rate misalignment. The intra-area balance is assessed using the Cluster Analysis and the Principle Component Analysis; on this basis Greece and Ireland are selected as the two euro-area countries with largest imbalances in 2010. Further the medium-run equilibrium exchange rates for Greece and Ireland are estimated applying the Behavioral Equilibrium Exchange Rate (BEER approach popularised by Clark and MacDonald (1998. In addition, the long-run equilibrium exchange rates are estimated using the Permanent Equilibrium Exchange Rate (PEER model. Employing the BEER and PEER approaches on quarterly time series of real effective exchange rates (REER from 1997: Q1 to 2010: Q4 we identify an undervaluation of the Greek and Irish REER around their entrance to the euro area. For the rest of the period analysed their REER is broadly in line with estimated BEER and PEER levels.

  13. Rate of oxygen isotope exchange between selenate and water.

    Science.gov (United States)

    Kaneko, Masanori; Poulson, Simon R

    2012-04-17

    The rate of oxygen isotope exchange between selenate and water was investigated at conditions of 10 to 80 °C and pH -0.6 to 4.4. Oxygen isotope exchange proceeds as a first-order reaction, and the exchange rate is strongly affected by reaction temperature and pH, with increased rates of isotope exchange at higher temperature and lower pH. Selenate speciation (HSeO(4)(-) vs SeO(4)(2-)) also has a significant effect on the rate of isotope exchange. The half-life for isotope exchange at example natural conditions (25 °C and pH 7) is estimated to be significantly in excess of 10(6) years. The very slow rate of oxygen isotope exchange between selenate and water under most environmental conditions demonstrates that selenate-δ(18)O signatures produced by biogeochemical processes will be preserved and hence that it will be possible to use the value of selenate-δ(18)O to investigate the biogeochemical behavior of selenate, in an analogous fashion to the use of sulfate-δ(18)O to study the biogeochemical behavior of sulfate.

  14. Dynamic Relationship between Crude Oil Price, Exchange Rate and ...

    African Journals Online (AJOL)

    DrNneka

    that uses the Granger causality test and generalized variance decomposition analysis ... observed between the Nigerian stock market and crude oil prices and the ... changing oil prices on stock prices and exchange rates an important guide to.

  15. A re-examination of the exchange rate overshooting hypothesis

    African Journals Online (AJOL)

    kirstam

    long-run equilibrium relationship between the exchange rate and the ...... The model shows that there is a negative relationship between the lagged ..... international portfolio flows: Evidence from Africa's capital markets', International.

  16. Noninvasive detection of gas exchange rate by near infrared spectroscopy

    Science.gov (United States)

    Xu, Guodong; Mao, Zongzhen; Wang, Bangde

    2008-12-01

    In order to study the relationship among the oxygen concentration in skeletal muscle tissues and the heart rate (HR), oxygen uptake (VO2), respiratory exchange ratio (RER) during incremental running exercises on a treadmill, a near-infrared spectroscopy muscle oxygen monitor system is employed to measure the relative change in muscle oxygenation, with the heart rate, oxygen uptake, production of carbon dioxide (VCO2) and respiratory exchange ratio are recorded synchronously. The results indicate parameters mentioned above present regular changes during the incremental exercise. High correlations are discovered between relative change of oxy-hemoglobin concentration and heart rate, oxygen uptake, respiratory exchange ratio at the significance level (P=0.01). This research might introduce a new measurement technology and/or a novel biological monitoring parameter to the evaluation of physical function status, control the training intensity, estimation of the effectiveness of exercise. Keywords: near-infrared spectroscopy; muscle oxygen concentration; heart rate; oxygen uptake; respiratory exchange ratio.

  17. MONETARY SHOCKS AND REAL EXCHANGE RATE FLUCTUATIONS IN CEE COUNTRIES

    Directory of Open Access Journals (Sweden)

    Nataša Erjavec

    2012-12-01

    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.

  18. Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct ...

    African Journals Online (AJOL)

    1970 and 2005. Exchange rate volatility and inflation uncertainty were estimated .... and suitable investment climate ranked very high on the policy agenda of the new ..... The various poverty reduction strategies should be properly managed to.

  19. Exchange rate movements and export market dynamics: evidence from China

    National Research Council Canada - National Science Library

    Xiaobing Huang

    2017-01-01

    This paper highlights the relationship between foreign exchange rate fluctuations and firms' export market dynamics using a Chinese firm-level production data and a firm-level trade data over the period of 2000-2006...

  20. The effect of exchange rate on marketing margin

    Directory of Open Access Journals (Sweden)

    Leila Torki

    2014-03-01

    Full Text Available This study presents a new structural model that incorprates price linkage and marketing marketing margin identity into a common framework. The inclusiom of exchange rate expands the framework to include goods traded in different currencies. This allows emprical estimates to be made of how changes in domestic prices exchange rates and middlemen costs are transmitted to foreign prices and the international marketing margin. The framework is emprically applied to international marketing channel using farmed apple data to investigate how Iranian export prices exchange rates and middlemen costs affect turkey wholesale prices and the marketing margin. Results suggest that the markets are via complete price and exchange rate pass through purely competitive and that the marketing margin only increase when costs of marketing service increase.

  1. Exchange rate and monetary fundamentals: Long run relationship revisited

    Directory of Open Access Journals (Sweden)

    Bhanja Niyati

    2015-01-01

    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.

  2. Statistical Analysis of the Exchange Rate of Bitcoin: e0133678

    National Research Council Canada - National Science Library

    Jeffrey Chu; Saralees Nadarajah; Stephen Chan

    2015-01-01

      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...

  3. Intervention analysis of Nigeria's foreign exchange rate | Mosugu ...

    African Journals Online (AJOL)

    ... multiple regression model under the assumptions of ordinary least squares method (OLS) and intervention model ... and Coefficient of Determination (R2) were used to determine the model that best describe Nigeria's foreign exchange rate.

  4. Secret in Exchange Rate & Foreign Trade?

    Institute of Scientific and Technical Information of China (English)

    Tang Jintao

    2009-01-01

    @@ China's import and export growth in November has dropped drastically.Year-on-year export growth rate dropped from 19.2 percent to -2.2percent and the year-on-year import growth rate dropped from 15.6 percent to -17.9 percent. The trade surplus amounted to 40.09billion U.S. dollars. This is the first time in China's exports monthly negative growth dating back to June 2001 (see Chart 1 ).

  5. Exchange rate dynamics in crawling-band systems

    OpenAIRE

    José L Torres; M. Isabel Campos

    2007-01-01

    In this note we show that an exchange rate crawling-band system can borrow a portion of those aspects of a target zone that lead to its stabilizing effects on the exchange rate, depending on the relationship between the crawl rate and the drift of the fundamentals process. If the crawl rate is sufficiently high (with respect to the drift), the crawling-band is similar to a free float regime. As the crawl rate decreases, the crawling-band system collapses to a standard target zone.

  6. Exchange Rate Uncertainty in Money-Based Stabilization Programs

    OpenAIRE

    R. Armando Morales

    1998-01-01

    Complementing the explanation provided by Calvo and Vegh (1994) for money-based stabilization programs, exchange rate uncertainty introduced to a particular version of the portfolio approach with imperfect competition in the banking system leads to a bias toward appreciation that is directly related to the divergence of expectations and that dampens the interaction between portfolio movements and the real exchange rate. Based on Frankel-Froot, uncertainty exists when the fundamental equilibri...

  7. Statistical Analysis of the Exchange Rate of Bitcoin.

    Science.gov (United States)

    Chu, Jeffrey; Nadarajah, Saralees; Chan, Stephen

    2015-01-01

    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.

  8. How is Macro News Transmitted to Exchange Rates? (December 2003)

    OpenAIRE

    Martin D.D. Evans

    2005-01-01

    This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

  9. How is Macro News Transmitted to Exchange Rates?

    OpenAIRE

    Martin D.D. Evans; Lyons, Richard K.

    2003-01-01

    This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

  10. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

    OpenAIRE

    Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio; Spagnolo, Nicola

    2015-01-01

    This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility state. ...

  11. Kinetic isotope effects for fast deuterium and proton exchange rates.

    Science.gov (United States)

    Canet, Estel; Mammoli, Daniele; Kadeřávek, Pavel; Pelupessy, Philippe; Bodenhausen, Geoffrey

    2016-04-21

    By monitoring the effect of deuterium decoupling on the decay of transverse (15)N magnetization in D-(15)N spin pairs during multiple-refocusing echo sequences, we have determined fast D-D exchange rates kD and compared them with fast H-H exchange rates kH in tryptophan to determine the kinetic isotope effect as a function of pH and temperature.

  12. Decision Making Tool to Hedge Exchange Rate Risk

    OpenAIRE

    Fraire, Francisco; Leatham, David J.

    2006-01-01

    New econometric and statistical techniques have been used in recent years to provide with exchange rates forecasting models that can statistically outperform a random walk. In particular, a model that uses the term structure of forward premia into a regime-switching vector error correction model has proven to be successful at such a task. In this paper, we propose that the exchange rate fluctuations are not solely influenced by the economic fundamentals of those countries involved in the exch...

  13. Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons

    OpenAIRE

    Hui Jun ZHANG; Dufour, Jean-Marie; Galbraith, John W.

    2013-01-01

    Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for interpreting exchange rate movements, financial market monitoring and monetary policy. Basic economic reasoning on currency demand suggests that the currencies of countries whose exports depend heavily ...

  14. The effect of exchange rate on marketing margin

    OpenAIRE

    Leila Torki; AhmadAli Rezaei; Shekofeh Nagheli

    2014-01-01

    This study presents a new structural model that incorprates price linkage and marketing marketing margin identity into a common framework. The inclusiom of exchange rate expands the framework to include goods traded in different currencies. This allows emprical estimates to be made of how changes in domestic prices exchange rates and middlemen costs are transmitted to foreign prices and the international marketing margin. The framework is emprically applied to international marketing channel ...

  15. Real Exchange Rate and Commodity Prices in a Neoclassical Model

    OpenAIRE

    Reinhart, Carmen

    1988-01-01

    This paper represents a neoclassical model that explains the observed empirical relationship between government spending and world commodity supplies and the real exchange rate and real commodity prices. It is shown that fiscal expansion and increasing world commodity supplies simultaneously lead to an appreciation of the real exchange rate and a decline in relative commodity prices. The structural model is estimated and its forecasting performance is compared to a variety of models. We fin...

  16. Statistical Analysis of the Exchange Rate of Bitcoin

    Science.gov (United States)

    Chu, Jeffrey; Nadarajah, Saralees; Chan, Stephen

    2015-01-01

    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

  17. Statistical Analysis of the Exchange Rate of Bitcoin.

    Directory of Open Access Journals (Sweden)

    Jeffrey Chu

    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.

  18. ANALYSIS OF MACROECONOMIC DETERMINANTS OF EXCHANGE RATE VOLATILITY IN INDIA

    Directory of Open Access Journals (Sweden)

    Anita Mirchandani

    2013-01-01

    Full Text Available The Foreign Exchange Market in India has undergone substantial changes over last decade. It is imperative by the excessive volatility of Indian Rupee causing its depreciation against major dominating currencies in international market. This research has been carried out in order to investigate various macroeconomic variables leading to acute variations in the exchange rate of a currency. An attempt has been made to review the probable reasons for the depreciation of the Rupee and analyse different macroeconomic determinants that have impact on the volatility of exchange rate and their extent of correlation with the same.

  19. Capital Controls and the Real Exchange Rate

    NARCIS (Netherlands)

    van Wijnbergen, S.J.G.

    1990-01-01

    Capital import taxes lower (raise) world (home) interest rates. This shifts home expenditure from the present to the future and foreign expenditure from the future to today. With identical home and foreign expenditure patterns, the change in the composition of world expenditure has no effects on

  20. 78 FR 29063 - Survey of Urban Rates for Fixed Voice and Fixed Broadband Residential Services

    Science.gov (United States)

    2013-05-17

    .... Further, we are mindful that non-recurring charges are often part of marketing strategies and may be...-specific marketing initiatives. We are concerned about developing a rate floor and benchmark based on... carriers whose intrastate rates are not minimally reasonable.'' Because bundles are marketing devices...

  1. Analysis of proton exchange kinetics with time-dependent exchange rate.

    Science.gov (United States)

    Rutkowska-Wlodarczyk, Izabela; Kierdaszuk, Borys; Wlodarczyk, Jakub

    2010-04-01

    Mass spectrometry is used to probe the kinetics of hydrogen-deuterium exchange in lysozyme in pH 5, 6 and 7.4. An analysis based on a Verhulst growth model is proposed and effectively applied to the kinetics of the hydrogen exchange. The data are described by a power-like function which is based on a time-dependence of the exchange rate. Experimental data ranging over many time scales is considered and accurate fits of a power-like function are obtained. Results of fittings show correlation between faster hydrogen-deuterium exchange and increase of pH. Furthermore a model is presented that discriminates between easily exchangeable hydrogens (located in close proximity to the protein surface) and those protected from the exchange (located in the protein interior). A possible interpretation of the model and its biological significance are discussed.

  2. Neural Network Based Forecasting of Foreign Currency Exchange Rates

    Directory of Open Access Journals (Sweden)

    S. Kumar Chandar

    2014-06-01

    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.

  3. THE CORRELATION BETWEEN THE EXCHANGE RATE AND THE DIRECT FOREIGN INVESTMENTS

    Directory of Open Access Journals (Sweden)

    Halmi Mirela

    2012-07-01

    Full Text Available Since the fall of the monetary system from Bretton Woods, based on a system of fixed rates, numerous theoretical and empirical articles have emerged through which the volatility of the exchange rate and the commercial influxes was analyzed and the identification of specific connections regarding the transmission of the effects of the modification of the exchange rapport of a currency in economy was tried. The general idea from these works start from the uncertainties regarding the evolution of a currency in comparison to another and their effects on the goods and services balance of a state. Important works from the domain are evaluated. The authors are renowned researchers in the area of international finances and some of them are part of the personnel of the most important international finance-banking institutions such as the International Monetary Fund and the Bank of International Settlements. The studies regarding the relation between the exchange rates and the direct foreign investments are contradictory: some do not find a significant influence of the exchange rate and other demonstrate that there is a strong connection between the two variables. If a connection between the two variables is established, it remains to be settled if the connection is direct or reversed. The Granger causality test identified the characteristics of the relation between the direct foreign investments and the exchange rate. The conclusions of the research mark out the complex nature of the relation between the two variables, the results being extremely heterogeneous from one country to another.

  4. Exchange Rate Regimes – A periodical overview and a critical analysis of exchange rate regimes in Kosovo

    OpenAIRE

    Flamur Bunjaku

    2015-01-01

    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 ...

  5. Modeling cesium ion exchange on fixed-bed columns of crystalline silicotitanate granules

    Energy Technology Data Exchange (ETDEWEB)

    Latheef, I.M.; Huckman, M.E.; Anthony, R.G.

    2000-05-01

    A mathematical model is presented to simulate Cs exchange in fixed-bed columns of a novel crystalline silicotitanate (CST) material, UOP IONSIV IE-911. A local equilibrium is assumed between the macropores and the solid crystals for the particle material balance. Axial dispersed flow and film mass-transfer resistance are incorporated into the column model. Cs equilibrium isotherms and diffusion coefficients were measured experimentally, and dispersion and film mass-transfer coefficients were estimated from correlations. Cs exchange column experiments were conducted in 5--5.7 M Na solutions and simulated using the proposed model. Best-fit diffusion coefficients from column simulations were compared with previously reported batch values of Gu et al. and Huckman. Cs diffusion coefficients for the column were between 2.5 and 5.0 x 10{sup {minus}11} m{sup 2}/s for 5--5.7 M Na solutions. The effect of the isotherm shape on the Cs diffusion coefficient was investigated. The proposed model provides good fits to experimental data and may be utilized in designing commercial-scale units.

  6. Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate

    Directory of Open Access Journals (Sweden)

    Mance Davor

    2015-04-01

    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.

  7. Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models.

    Science.gov (United States)

    Nortey, Ezekiel Nn; Ngoh, Delali D; Doku-Amponsah, Kwabena; Ofori-Boateng, Kenneth

    2015-01-01

    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.

  8. The Impact of Real Exchange Rate on Employment in Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2015-10-01

    Full Text Available Unemployment is a big economical and social issue for each country, in particular for Albania, which is a country that comes from a centralized system where the state ensured full employment. In the struggle of applying the transition to market economy, each government had to face the two-digit levels of unemployment. Because of this, the application of the right policies in order to decrease the level of unemployment has been in the centre of the program of each government in Albania. The objective of this paper is to show if the undervaluation or overvaluation of the real exchange rate can affect in a significant way the level of employment in Albania and that to answer the question, if the real exchange rate can be used as a political instrument for the reduction of the level of unemployment. There are relatively few works that study the impact of real exchange rate on the Albanian economy and in my knowledge there is not a previous work on employment and real exchange rate relationship in Albania, so this can be considered as the first study that attempt to assess this relationship. To evaluate the link between the real exchange rate and the level of employment the Johansen procedure and Vector Error Correction Term method is used. The result of the study demonstrates not statistically significant impact of real exchange rate on level of employment, suggesting that the increase of competition of the country through the real exchange rate doesn’t improve the condition of the employment in Albania, so the Albanian government should implement other strategies to increase the level of employment in the country.

  9. Exchange Rate Instability and Sectoral Exports: Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Muhammad Haseeb

    2014-12-01

    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.

  10. Real Exchange Rate in China: A Long-run Perspective

    Institute of Scientific and Technical Information of China (English)

    Haihong Gao

    2006-01-01

    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.

  11. Short-run Exchange-Rate Dynamics: Theory and Evidence

    DEFF Research Database (Denmark)

    Carlson, John A.; Dahl, Christian Møller; Osler, Carol L.

    of currency markets, it accurately reflects the constraints and objectives faced by the major participants, and it fits key stylized facts concerning returns and order flow. With respect to macroeconomics, the model is consistent with most of the major puzzles that have emerged under floating rates.......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...

  12. Football and exchange rates: empirical support for behavioral economics.

    Science.gov (United States)

    Eker, Gulin; Berument, Hakan; Dogan, Burak

    2007-10-01

    Recently, economic theory has been expanded to incorporate emotions, which have been assumed to play an important role in financial decisions. The present study illustrates this by showing a connection between the sports performance of popular national football teams (Besiktas, Fenerbahce, and Galatasaray) and performance of the Turkish economy. Specifically, a significant positive association was found between the success of three major professional Turkish football teams and the exchange rate of the Turkish lira against the U.S. dollar. The effect of the football success of several Turkish football teams on the exchange rate of the Turkish lira was examined using the simultaneous multiple regression model with predictor measures of wins, losses, and ties for different combinations of teams to predict the depreciation rate of the Turkish lira between the years 1987 and 2003. Wins by Turkish football teams against foreign (non-Turkish) rivals increased with exchange rate depreciation of the Turkish lira against the U.S. dollar.

  13. Exchange-Driven Growth with Birth Rate Less Than Death

    Institute of Scientific and Technical Information of China (English)

    LIN Zhen-Quan; KE Jian-Hong; YE Gao-Xiang

    2005-01-01

    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).

  14. Rate theory on water exchange in aqueous uranyl ion

    Science.gov (United States)

    Dang, Liem X.; Vo, Quynh N.; Nilsson, Mikael; Nguyen, Hung D.

    2017-03-01

    We report a classical rate theory approach to predict the exchange mechanism that occurs between water and aqueous uranyl ion. Using our water and ion-water polarizable force field and molecular dynamics techniques, we computed the potentials of mean force for the uranyl ion-water pair as a function of different pressures at ambient temperature. These potentials of mean force were used to calculate rate constants using transition rate theory; the transmission coefficients also were examined using the reactive flux method and Grote-Hynes approach. The computed activation volumes are positive; thus, the mechanism of this particular water-exchange is a dissociative process.

  15. Negative Policy Rates, Banking Flows and Exchange Rates

    OpenAIRE

    Khayat, Anwar

    2015-01-01

    Setting negative nominal rates is one of the unconventional policies implemented after the Great Recession to overcome the Zero Lower Bound. Using data from the euro area and Denmark, I assess the impact of introducing a negative interest rate on reserves. I find that it did put a depreciation pressure on the currency due to a reversal in banking flows. This effect is not only caused by policy differentials, but also by a distinct impact of going into negative territory from lowering interest...

  16. An Efficient Implementation of Fixed Failure-Rate Ratio Test for GNSS Ambiguity Resolution

    Science.gov (United States)

    Hou, Yanqing; Verhagen, Sandra; Wu, Jie

    2016-01-01

    Ambiguity Resolution (AR) plays a vital role in precise GNSS positioning. Correctly-fixed integer ambiguities can significantly improve the positioning solution, while incorrectly-fixed integer ambiguities can bring large positioning errors and, therefore, should be avoided. The ratio test is an extensively used test to validate the fixed integer ambiguities. To choose proper critical values of the ratio test, the Fixed Failure-rate Ratio Test (FFRT) has been proposed, which generates critical values according to user-defined tolerable failure rates. This contribution provides easy-to-implement fitting functions to calculate the critical values. With a massive Monte Carlo simulation, the functions for many different tolerable failure rates are provided, which enriches the choices of critical values for users. Moreover, the fitting functions for the fix rate are also provided, which for the first time allows users to evaluate the conditional success rate, i.e., the success rate once the integer candidates are accepted by FFRT. The superiority of FFRT over the traditional ratio test regarding controlling the failure rate and preventing unnecessary false alarms is shown by a simulation and a real data experiment. In the real data experiment with a baseline of 182.7 km, FFRT achieved much higher fix rates (up to 30% higher) and the same level of positioning accuracy from fixed solutions as compared to the traditional critical value. PMID:27347949

  17. An Efficient Implementation of Fixed Failure-Rate Ratio Test for GNSS Ambiguity Resolution

    Directory of Open Access Journals (Sweden)

    Yanqing Hou

    2016-06-01

    Full Text Available Ambiguity Resolution (AR plays a vital role in precise GNSS positioning. Correctly-fixed integer ambiguities can significantly improve the positioning solution, while incorrectly-fixed integer ambiguities can bring large positioning errors and, therefore, should be avoided. The ratio test is an extensively used test to validate the fixed integer ambiguities. To choose proper critical values of the ratio test, the Fixed Failure-rate Ratio Test (FFRT has been proposed, which generates critical values according to user-defined tolerable failure rates. This contribution provides easy-to-implement fitting functions to calculate the critical values. With a massive Monte Carlo simulation, the functions for many different tolerable failure rates are provided, which enriches the choices of critical values for users. Moreover, the fitting functions for the fix rate are also provided, which for the first time allows users to evaluate the conditional success rate, i.e., the success rate once the integer candidates are accepted by FFRT. The superiority of FFRT over the traditional ratio test regarding controlling the failure rate and preventing unnecessary false alarms is shown by a simulation and a real data experiment. In the real data experiment with a baseline of 182.7 km, FFRT achieved much higher fix rates (up to 30% higher and the same level of positioning accuracy from fixed solutions as compared to the traditional critical value.

  18. An Efficient Implementation of Fixed Failure-Rate Ratio Test for GNSS Ambiguity Resolution.

    Science.gov (United States)

    Hou, Yanqing; Verhagen, Sandra; Wu, Jie

    2016-06-23

    Ambiguity Resolution (AR) plays a vital role in precise GNSS positioning. Correctly-fixed integer ambiguities can significantly improve the positioning solution, while incorrectly-fixed integer ambiguities can bring large positioning errors and, therefore, should be avoided. The ratio test is an extensively used test to validate the fixed integer ambiguities. To choose proper critical values of the ratio test, the Fixed Failure-rate Ratio Test (FFRT) has been proposed, which generates critical values according to user-defined tolerable failure rates. This contribution provides easy-to-implement fitting functions to calculate the critical values. With a massive Monte Carlo simulation, the functions for many different tolerable failure rates are provided, which enriches the choices of critical values for users. Moreover, the fitting functions for the fix rate are also provided, which for the first time allows users to evaluate the conditional success rate, i.e., the success rate once the integer candidates are accepted by FFRT. The superiority of FFRT over the traditional ratio test regarding controlling the failure rate and preventing unnecessary false alarms is shown by a simulation and a real data experiment. In the real data experiment with a baseline of 182.7 km, FFRT achieved much higher fix rates (up to 30% higher) and the same level of positioning accuracy from fixed solutions as compared to the traditional critical value.

  19. 38 CFR 3.32 - Exchange rates for foreign currencies.

    Science.gov (United States)

    2010-07-01

    ... foreign currencies. 3.32 Section 3.32 Pensions, Bonuses, and Veterans' Relief DEPARTMENT OF VETERANS... Exchange rates for foreign currencies. When determining the rates of pension or parents' DIC or the amounts... entitled, income received or expenses paid in a foreign currency shall be converted into U.S....

  20. A Role Play on Export Decisions and the Exchange Rate.

    Science.gov (United States)

    Cotterell, Ann

    1987-01-01

    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)

  1. The Determinants of Real Exchange Rate Volatility in Nigeria

    African Journals Online (AJOL)

    Rahel

    of the economy, government expenditures, interest rate movements as well as the lagged ... econometrics, together with the increasing availability of high quality data, ... market, Former U.S. Federal Reserve Board Chairman Alan Greespan once ... Juthathip (2009) results for developing Asia showed that real exchange rate.

  2. Exchange Rate Movement and Foreign Direct Investment in Asean Economies

    Directory of Open Access Journals (Sweden)

    Jaratin Lily

    2014-01-01

    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.

  3. Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?

    Directory of Open Access Journals (Sweden)

    Marcelo Cunha Medeiros

    2006-12-01

    Full Text Available The forward exchange rate is widely used in international finance whenever the analysis of the expected depreciation is needed. It is also used to identify currency risk premium. The difference between the spot rate and the forward rate is supposed to be a predictor of the future movements of the spot rate. This prediction is hardly precise. The fact that the forward rate is a biased predictor of the future change in the spot rate can be attributed to a currency risk premium. The bias can also be attributed to systematic errors of the future depreciation of the currency. This paper analyzes the nature of the risk premium and of the prediction errors in using the forward rate. It will look into the efficiency and rationality of the futures market in Brazil from April 1995 to December 1998, a period of controled exchange rates.

  4. Chinese Yuan after Chinese Exchange Rate System Reform

    Institute of Scientific and Technical Information of China (English)

    Eiji Ogawa; Michiru Sakane

    2006-01-01

    In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including the Balassa-Samuelson effect on the Chinese yuan. It was found that the Chinese government generated a statistically significant but small change in exchange rate policy during the sample period until 25 January 2006. It was not identifted that the Chinese monetary authority is adopting the currency basket system because the change is too small in the economic sense. It is indicated that the Chinese government should take account of the productivity growth of countries composing the currency basket in order to operate a currency basket regime.

  5. Exchange Rate Prediction using Neural – Genetic Model

    Directory of Open Access Journals (Sweden)

    MECHGOUG Raihane

    2012-10-01

    Full Text Available Neural network have successfully used for exchange rate forecasting. However, due to a large number of parameters to be estimated empirically, it is not a simple task to select the appropriate neural network architecture for exchange rate forecasting problem.Researchers often overlook the effect of neural network parameters on the performance of neural network forecasting. The performance of neural network is critically dependant on the learning algorithms, thenetwork architecture and the choice of the control parameters. Even when a suitable setting of parameters (weight can be found, the ability of the resulting network to generalize the data not seen during learning may be far from optimal. For these reasons it seemslogical and attractive to apply genetic algorithms. Genetic algorithms may provide a useful tool for automating the design of neural network. The empirical results on foreign exchange rate prediction indicate that the proposed hybrid model exhibits effectively improved accuracy, when is compared with some other time series forecasting models.

  6. EXCHANGE RATE AND ECONOMIC GROWTH. THE CASE OF ROMANIA

    Directory of Open Access Journals (Sweden)

    Nicolae Ghiba

    2010-12-01

    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.

  7. Modeling and predicting historical volatility in exchange rate markets

    Science.gov (United States)

    Lahmiri, Salim

    2017-04-01

    Volatility modeling and forecasting of currency exchange rate is an important task in several business risk management tasks; including treasury risk management, derivatives pricing, and portfolio risk evaluation. The purpose of this study is to present a simple and effective approach for predicting historical volatility of currency exchange rate. The approach is based on a limited set of technical indicators as inputs to the artificial neural networks (ANN). To show the effectiveness of the proposed approach, it was applied to forecast US/Canada and US/Euro exchange rates volatilities. The forecasting results show that our simple approach outperformed the conventional GARCH and EGARCH with different distribution assumptions, and also the hybrid GARCH and EGARCH with ANN in terms of mean absolute error, mean of squared errors, and Theil's inequality coefficient. Because of the simplicity and effectiveness of the approach, it is promising for US currency volatility prediction tasks.

  8. The response of industry stock returns to market, exchange rate and interest rate risks

    OpenAIRE

    Hyde, Stuart J

    2007-01-01

    This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividend...

  9. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    OpenAIRE

    Chin Diew Lai; Penm, Jack H. W.; Tim Brailsford

    2006-01-01

    One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of ...

  10. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    OpenAIRE

    2006-01-01

    One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Phil...

  11. A Positive Theory of Fixed-Rate Funds-Supplying Operations in an Accommodative Financial Environment

    OpenAIRE

    Junnosuke Shino

    2011-01-01

    This paper studies bidding behaviors in fixed-rate funds-supplying auctions using a simple game-theoretic model. While the existing literature argues that such auction schemes are vulnerable to the overbidding problem, the bid-to-cover ratio for the Bank of Japan's current fixed-rate operations has remained stable. We modify the stylized repo game by incorporating the current framework of fixed-rate funds-supplying auctions operated by the Bank of Japan and the accommodative financial environ...

  12. Government Spending and Real Exchange Rate Case of Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2013-04-01

    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

  13. Government Spending and Real Exchange Rate Case of Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2013-04-01

    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.

  14. E-Commerce and Exchange Rate Exposure Management

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    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...

  15. Exchange Rate Exposure Management: "Speculation" in Non-Financial Companies

    DEFF Research Database (Denmark)

    Aabo, Tom

    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 solvency (value......"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...

  16. E-Commerce and Exchange Rate Exposure Management

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    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...

  17. 13 CFR 120.213 - What fixed interest rates may a Lender charge?

    Science.gov (United States)

    2010-01-01

    ... Lender charge? 120.213 Section 120.213 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION... have a reasonable fixed interest rate. SBA periodically publishes the maximum allowable rate in the... government determines the interest rate on direct loans. SBA publishes the rate periodically in the...

  18. Forecasting of Foreign Currency Exchange Rate Using Neural Network

    Directory of Open Access Journals (Sweden)

    Dr. S. Kumar Chandar

    2015-02-01

    Full Text Available Foreign exchange market is the largest and the most important one in the world. Foreign exchange transaction is the simultaneous selling of one currency and buying of another currency. It is essential for currency trading in the international market. In this paper, we have investigated Artificial Neural Networks based prediction modelling of foreign exchange rates using five different training algorithms. The model was trained using historical data to predict four foreign currency exchange rates against Indian Rupee. The forecasting performance of the proposed system is evaluated by using statistical metric and compared. From the results, it is confirmed that the new approach provided an improve technique to forecast foreign exchange rate. It is also an effective tool and significantly close prediction can be made using simple structure. Among the five models, Levenberg-Marquardt based model outperforms than other models and attains comparable results. It also demonstrates the power of the proposed approach and produces more accurate prediction. In conclusion, the proposed scheme can improve the forecasting performance significantly when measured on three commonly used metrics.

  19. THE IMPLICATIONS OF VARYING EXCHANGE RATES FOR THE INTERNATIONAL TRADE

    Directory of Open Access Journals (Sweden)

    Sandu Carmen

    2011-07-01

    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.

  20. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets

    OpenAIRE

    Ledenyov, Dimitri O.; Ledenyov, Viktor O.

    2015-01-01

    The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the qua...

  1. Foreign exchange rate entropy evolution during financial crises

    Science.gov (United States)

    Stosic, Darko; Stosic, Dusan; Ludermir, Teresa; de Oliveira, Wilson; Stosic, Tatijana

    2016-05-01

    This paper examines the effects of financial crises on foreign exchange (FX) markets, where entropy evolution is measured for different exchange rates, using the time-dependent block entropy method. Empirical results suggest that financial crises are associated with significant increase of exchange rate entropy, reflecting instability in FX market dynamics. In accordance with phenomenological expectations, it is found that FX markets with large liquidity and large trading volume are more inert - they recover quicker from a crisis than markets with small liquidity and small trading volume. Moreover, our numerical analysis shows that periods of economic uncertainty are preceded by periods of low entropy values, which may serve as a tool for anticipating the onset of financial crises.

  2. Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

    NARCIS (Netherlands)

    Chambers, M.J.; McCrorie, J.R.

    2004-01-01

    This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals.We show that the model estimated by Gardeazabal, Reg´ulez and V´azquez (International Economic Review, 1997) is not identified and demonstrate how to spec

  3. The credibility of the European exchange rate mechanism

    NARCIS (Netherlands)

    Knot, K.H.W.; Sturm, J.E.; de Haan, J.

    Using a panel data approach and three different credibility measures, we argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the Exchange Rate Mechanism of the EMS. In contrast to most previous research, which focuses upon the

  4. RMB's Exchange Rate Policy Shift Creates Opportunity for Neighboring Countries

    Institute of Scientific and Technical Information of China (English)

    Xiao Yingying

    2010-01-01

    @@ The Chinese Yuan showed a trend to rise against the U.S. Dollar after the announcement of the People's Bank of China, Chinas central bank, to proceed further with the reform of the Yuan's exchange rate regime. Other Asian currencies followed the upward move.

  5. The limiting distribution of extremal exchange rate yields

    NARCIS (Netherlands)

    M.C.A.B. Hols (Martien); C.G. de Vries (Casper)

    1991-01-01

    textabstractSeveral nonnested fat-tailed distributions have been advocated for modelling exchange rate returns. Instead of directly estimating these nonnested distributions we investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of

  6. The credibility of the European exchange rate mechanism

    NARCIS (Netherlands)

    Knot, K.H.W.; Sturm, J.E.; de Haan, J.

    1998-01-01

    Using a panel data approach and three different credibility measures, we argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the Exchange Rate Mechanism of the EMS. In contrast to most previous research, which focuses upon the credibili

  7. EFFECTS OF THE APPLICATION OF TARGETING THE EXCHANGE RATE POLICY IN MACEDONIA

    Directory of Open Access Journals (Sweden)

    KRUME NIKOLOSKI

    2016-02-01

    Full Text Available The monetary system and monetary – credit policy in the Republic of Macedonia were built after the country gained independence from the previous federal community, when Macedonia faced problems such as: termination of many plants, increase in unemployment, increase in budget and foreign trade deficit as well as high inflation rate. The macroeconomic stability narrowly understood as reducing the inflation rate, was the first measure of the economic policy, undertaken along with the monetary independence of Macedonia. In a small and open economy, the exchange rate policy has particular importance in the control of the inflation rate and beyond: in the real economic trends. The strategy of targeting the denar exchange rate was accepted and applied with the expectation that it would act in that direction, hence the monetary policy was focused on maintaining fixed exchange rate against the euro. The determination of the country to join the European Union and to become a member of other international financial organizations is yet another reason for choosing this strategy.

  8. Exchange rate and interest rate distribution and volatility under the Portuguese target zone

    Directory of Open Access Journals (Sweden)

    Portugal Duarte António

    2010-01-01

    Full Text Available The aim of this study is to analyse the exchange rate and interest rate distribution and volatility under the participation of the Portuguese economy in the Exchange Rate Mechanism (ERM of the European Monetary System (EMS based on some of the main predictions of the target zone literature. Portugal adopted this exchange rate target zone from April 6 1992 until December 31 1998. During this period, the exchange rate distribution reveals that the majority of the observations lie close to the central parity, thus rejecting one of the key predictions of the Paul Krugman (1991 model. The analysis of the data also shows that exchange rate volatility tended to increase as the exchange rate approached the edges of the band, contrary to the predictions of the basic model. Interest rate differential volatility, on the other hand, seemed to behave in line with theoretical predictions. This suggests an increase in the credibility of monetary policy, allowing us to conclude that the adoption of a target zone has contributed decisively to the creation of the macroeconomic stability conditions necessary for the participation in the European Monetary Union (EMU. The Portuguese integration process should therefore be considered as an example to be followed by other small open economies in transition to the euro area.

  9. Covariation of synaptonemal complex length and mammalian meiotic exchange rates.

    Science.gov (United States)

    Lynn, Audrey; Koehler, Kara E; Judis, LuAnn; Chan, Ernest R; Cherry, Jonathan P; Schwartz, Stuart; Seftel, Allen; Hunt, Patricia A; Hassold, Terry J

    2002-06-21

    Analysis of recombination between loci (linkage analysis) has been a cornerstone of human genetic research, enabling investigators to localize and, ultimately, identify genetic loci. However, despite these efforts little is known about patterns of meiotic exchange in human germ cells or the mechanisms that control these patterns. Using recently developed immunofluorescence methodology to examine exchanges in human spermatocytes, we have identified remarkable variation in the rate of recombination within and among individuals. Subsequent analyses indicate that, in humans and mice, this variation is linked to differences in the length of the synaptonemal complex. Thus, at least in mammals, a physical structure, the synaptonemal complex, reflects genetic rather than physical distance.

  10. CASH FLOW IMPLICATIONS OF FIXED VERSUS VARIABLE INTEREST RATE DEBT STRUCTURES

    OpenAIRE

    Moe, Lonn; Thompson, Jerry L.

    1984-01-01

    The objective of this study was to discover the magnitude of the effect variable rate loans have on net operating cash flow over the period from 1968 to 1981. This was done by comparing a variable rate loan model with a fixed rate loan model under varying debt loads for four farm types.

  11. CASH FLOW IMPLICATIONS OF FIXED VERSUS VARIABLE INTEREST RATE DEBT STRUCTURES

    OpenAIRE

    Moe, Lonn; Thompson, Jerry L.

    1984-01-01

    The objective of this study was to discover the magnitude of the effect variable rate loans have on net operating cash flow over the period from 1968 to 1981. This was done by comparing a variable rate loan model with a fixed rate loan model under varying debt loads for four farm types.

  12. Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model

    Directory of Open Access Journals (Sweden)

    Kaijian He

    2014-01-01

    Full Text Available Exchange rate is one of the key variables in the international economics and international trade. Its movement constitutes one of the most important dynamic systems, characterized by nonlinear behaviors. It becomes more volatile and sensitive to increasingly diversified influencing factors with higher level of deregulation and global integration worldwide. Facing the increasingly diversified and more integrated market environment, the forecasting model in the exchange markets needs to address the individual and interdependent heterogeneity. In this paper, we propose the heterogeneous market hypothesis- (HMH- based exchange rate modeling methodology to model the micromarket structure. Then we further propose the entropy optimized wavelet-based forecasting algorithm under the proposed methodology to forecast the exchange rate movement. The multivariate wavelet denoising algorithm is used to separate and extract the underlying data components with distinct features, which are modeled with multivariate time series models of different specifications and parameters. The maximum entropy is introduced to select the best basis and model parameters to construct the most effective forecasting algorithm. Empirical studies in both Chinese and European markets have been conducted to confirm the significant performance improvement when the proposed model is tested against the benchmark models.

  13. Rate of radiocarbon retention onto calcite by isotope exchange

    Energy Technology Data Exchange (ETDEWEB)

    Lempinen, Janne; Lehto, Jukka [Helsinki Univ. (Finland). Lab. of Radiochemistry

    2016-11-01

    Radiocarbon ({sup 14}C) is a top priority class radionuclide associated with the long-term safety of spent nuclear fuel disposal. Dissolved inorganic radiocarbon can be retained in bedrock via isotope exchange with calcite (CaCO{sub 3}) at solubility equilibrium with groundwater. In the present study, the rate of the isotope exchange process was investigated on synthetic calcite using batch experiments. Experiments were performed in solutions with a calcium concentration of 0.0002-0.1 M, including two synthetic reference groundwaters. The radiocarbon activity in the solutions decreased exponentially as a function of time, thus following first-order kinetics. The rate of isotope exchange was quantified from an exponential fit to the activity data over time. The rate of radiocarbon retention increased as a function of the calcium activity. The isotope exchange half-life was only 4.3 days at calcium ion activities over 0.01. This half-life is very much shorter than the half-life of {sup 14}C or the time scale of groundwater movements; consequently calcite can effectively retain radiocarbon from brackish and saline groundwaters.

  14. The theory and crisis of free floating exchange rates

    Directory of Open Access Journals (Sweden)

    R. TAMBORINI

    2013-12-01

    Full Text Available Following the end of the Bretton Woods system faith in a freely floating exchange rate regime, and in particular the complete Laissez-faire policy of the US after 1980, was supported by a large and influential literature - the so-called "stock theory of the exchange rate" - which has had almost absolute dominance in the field. The present work is of primarily a theoretical nature, calling attention to the recent drastic change of opinion regarding the efficiency of foreign exchange markets, of expectations and speculation. In contrast to the previously held belief, agents that anticipate the market are now accused of inefficient, if not irrational behaviour; they are said to be misinterpreting or violating the "hard data" that should lead the market on the path of equilibrium. According to the author, this new vein is challenging, yet the new "bad" deus ex machina is as unconvincing as its "good" predecessors. Thus, the focus is precisely on the fundamental factors of the dynamics of exchange rates in the current environment of integrated finance.

  15. Interactions between heart rate variability and pulmonary gas exchange efficiency in humans.

    Science.gov (United States)

    Sin, Peter Y W; Webber, Matthew R; Galletly, Duncan C; Ainslie, Philip N; Brown, Stephen J; Willie, Chris K; Sasse, Alexander; Larsen, Peter D; Tzeng, Yu-Chieh

    2010-07-01

    The respiratory component of heart rate variability (respiratory sinus arrhythmia, RSA) has been associated with improved pulmonary gas exchange efficiency in humans via the apparent clustering and scattering of heart beats in time with the inspiratory and expiratory phases of alveolar ventilation, respectively. However, since human RSA causes only marginal redistribution of heart beats to inspiration, we tested the hypothesis that any association between RSA amplitude and pulmonary gas exchange efficiency may be indirect. In 11 patients with fixed-rate cardiac pacemakers and 10 healthy control subjects, we recorded R-R intervals, respiratory flow, end-tidal gas tension and the ventilatory equivalents for carbon dioxide and oxygen during 'fast' (0.25 Hz) and 'slow' paced breathing (0.10 Hz). Mean heart rate, mean arterial blood pressure, mean arterial pressure fluctuations, tidal volume, end-tidal CO(2), and were similar between pacemaker and control groups in both the fast and slow breathing conditions. Although pacemaker patients had no RSA and slow breathing was associated with a 2.5-fold RSA amplitude increase in control subjects (39 +/- 21 versus 97 +/- 45 ms, P exchange efficiency during variable-frequency paced breathing observed in prior human work is not contingent on RSA being present. Therefore, whether RSA serves an intrinsic physiological function in optimizing pulmonary gas exchange efficiency in humans requires further experimental validation.

  16. Exchange Rate Regimes – A periodical overview and a critical analysis of exchange rate regimes in Kosovo

    Directory of Open Access Journals (Sweden)

    Flamur Bunjaku

    2015-03-01

    Full Text Available 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 generated macro - financial stability in terms of inflation and price fluctuation. However, in terms of microeconomic aspects, the unilateral adaptation of Euro as the official currency of Kosovo failed to provide microeconomic advantages such as to export stimulation, and so forth. The main exchange rate regime systems were discussed focusing in their advantages and disadvantages, and it was concluded that there is no commonly accepted theory regarding the optimality of exchange rate regimes. In addition, the global financial crisis impact in the financial system of Kosovo is also discussed and it was found that negative impacts of global financial crisis were moderate and indirect.

  17. Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

    Directory of Open Access Journals (Sweden)

    Chin Diew Lai

    2006-09-01

    Full Text Available One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Philippines, and Thailand. For Malaysia, no significant causal relation is found from the rate of interest to exchange rates, as the authorities in Malaysia did not actively adopt a high interest rate policy to defend the currency.

  18. The oil cycle, the Federal Reserve, and the monetary and exchange rate policies of Qatar

    OpenAIRE

    2015-01-01

    Supporters of the Arab oil-exporting countries’ decades-long fixed exchange rate regime argue that since, oil is traded in United States (US) dollars, pegging to the dollar is optimal. However, the weakening relationship between oil prices and the US economy in terms of the Federal Reserve’s expansionary monetary stance amid soaring oil prices for much of the previous decade has raised questions about the viability of the peg. Using Qatar as a case study, this paper empirically analyzes wheth...

  19. TESTING MONETARY EXCHANGE RATE MODELS WITH PANEL COINTEGRATION TESTS

    Directory of Open Access Journals (Sweden)

    Szabo Andrea

    2015-07-01

    Full Text Available The monetary exchange rate models explain the long run behaviour of the nominal exchange rate. Their central assertion is that there is a long run equilibrium relationship between the nominal exchange rate and monetary macro-fundamentals. Although these models are essential tools of international macroeconomics, their empirical validity is ambiguous. Previously, time series testing was prevalent in the literature, but it did not bring convincing results. The power of the unit root and the cointegration tests are too low to reject the null hypothesis of no cointegration between the variables. This power can be enhanced by arranging our data in a panel data set, which allows us to analyse several time series simultaneously and enables us to increase the number of observations. We conducted a weak empirical test of the monetary exchange rate models by testing the existence of cointegration between the variables in three panels. We investigated 6, 10 and 15 OECD countries during the following periods: 1976Q1-2011Q4, 1985Q1-2011Q4 and 1996Q1-2011Q4. We tested the reduced form of the monetary exchange rate models in three specifications; we have two restricted models and an unrestricted model. Since cointegration can only be interpreted among non-stationary processes, we investigate the order of the integration of our variables with IPS, Fisher-ADF, Fisher-PP panel unit root tests and the Hadri panel stationary test. All the variables can be unit root processes; therefore we analyze the cointegration with the Pedroni and Kao panel cointegration test. The restricted models performed better than the unrestricted one and we obtained the best results with the 1985Q1-2011Q4 panel. The Kao test rejects the null hypotheses – there is no cointegration between the variables – in all the specifications and all the panels, but the Pedroni test does not show such a positive picture. Hence we found only moderate support for the monetary exchange rate models.

  20. HEDGER BEHAVIOUR AND ITS IMPACT ON ORDER FLOW AND EXCHANGE RATE ON FOREIGN EXCHANGE MARKETS

    Directory of Open Access Journals (Sweden)

    Skoupil Lubomír

    2015-12-01

    Full Text Available The paper introduces the author’s original model which describes the main behavioural traits of the foreign exchange hedger who is trying to minimise her FX market risk exposure and secure foreign currency liquidity, in order to be able to settle her liabilities in a  timely manner. This behaviour is then analysed in the context of several exogenous shocks to prices and exchange rates and implications of how order flow and exchange rates react to this behaviour are drawn based on the theoretical framework. In Chapter 2, the conclusions on expected patterns in exchange rate evolution reached in the theoretical part are tested using the fuzzy clustering technique. The hypotheses reached in the theoretical section were partially supported by the empirical analysis: some of the expected patterns were revealed by the data during shock periods of prices of Brent Oil, Dow Jones Industrial Index, Standard and Poor’s 500 and four currency pairs (EURUSD, USDJPY, USDCAD, EURCZK

  1. The Optimum Plate to Plate Spacing for Maximum Heat Transfer Rate from a Flat Plate Type Heat Exchanger

    Science.gov (United States)

    Ambarita, Himsar; Kishinami, Koki; Daimaruya, Mashashi; Tokura, Ikuo; Kawai, Hideki; Suzuki, Jun; Kobiyama, Mashayosi; Ginting, Armansyah

    The present paper is a study on the optimum plate to plate spacing for maximum heat transfer rate from a flat plate type heat exchanger. The heat exchanger consists of a number of parallel flat plates. The working fluids are flowed at the same operational conditions, either fixed pressure head or fixed fan power input. Parallel and counter flow directions of the working fluids were considered. While the volume of the heat exchanger is kept constant, plate number was varied. Hence, the spacing between plates as well as heat transfer rate will vary and there exists a maximum heat transfer rate. The objective of this paper is to seek the optimum plate to plate spacing for maximum heat transfer rate. In order to solve the problem, analytical and numerical solutions have been carried out. In the analytical solution, the correlations of the optimum plate to plate spacing as a function of the non-dimensional parameters were developed. Furthermore, the numerical simulation is carried out to evaluate the correlations. The results show that the optimum plate to plate spacing for a counter flow heat exchanger is smaller than parallel flow ones. On the other hand, the maximum heat transfer rate for a counter flow heat exchanger is bigger than parallel flow ones.

  2. Image data rate converter having a drum with a fixed head and a rotatable head

    Science.gov (United States)

    Billingsley, F. C. (Inventor)

    1973-01-01

    A data-rate converter is disclosed comprising a rotatable data-storing drum with at least one fixed read/record head and a rotatable read/record head. The latter is rotatable in a circular path about the drum axis of rotation. The drum is positionable in any one of a plurality of axial positions with respect to the heads, so that at least one drum track is aligned with the fixed head in one drum position and with the rotatable head in another drum position. When a track is aligned with the fixed head, data may be recorded therin or read out therefrom at a rate which is a function of drum rotation, while when aligned with the rotatable head, data may be recorded or read out at a rate which is a function of the rates and directions of rotation of both the drum and the head.

  3. Exchange Rate Expectations, Currency Crises, and the Pricing of American Depositary Receipts

    OpenAIRE

    Eichler, Stefan

    2012-01-01

    I.1 Motivation Exchange rates are a key issue in international economics and politics. While the determinants of exchange rates have been extensively studied in previous works, this dissertation contributes to the literature by deriving exchange rate expectations from stock market (ADR) data and analyzing their determinants. This exercise is done for three cases where one has to resort to exchange rate expectations since the national exchange rate is either manipulated by the central bank...

  4. On the spillover of exchange rate risk into default risk

    Directory of Open Access Journals (Sweden)

    Božović Miloš

    2009-01-01

    Full Text Available In order to reduce the exchange-rate risk, banks in emerging markets are typically denominating their loans in foreign currencies. However, in the event of a substantial depreciation of the local currency, the payment ability of a foreign-currency borrower may be reduced significantly, exposing the lender to additional default risk. This paper analyses how the exchange-rate risk of foreign currency loans spills over into default risk. We show that in an economy where foreign currency loans are a dominant source of financing economic activity, depreciation of the local currency establishes a negative feedback mechanism that leads to higher default probabilities, reduced credit supply, and reduced growth. This finding has some important implications that may be of special interest for regulators and market participants in emerging economies.

  5. VaR: Exchange Rate Risk and Jump Risk

    Directory of Open Access Journals (Sweden)

    Fen-Ying Chen

    2010-01-01

    Full Text Available Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital for investors in highly integrated global financial markets. Second, in general, the analytical VaR solution is more accurate than historical simulations in terms of backtesting and Christoffersen's independence test (1998 for small portfolios and large portfolios. In other words, the proposed model is reliable not only for a portfolio on specific stocks but also for a large portfolio. Third, the model can be regarded as the extension of that of Kupiec (1999 and Chen and Liao (2009.

  6. THE IMPACT OF THE EXCHANGE RATE ON THE COMMERCIALS FLOWS

    Directory of Open Access Journals (Sweden)

    Mihaela IAVORSCHI

    2015-04-01

    Full Text Available The liberalization of capital movements between states and of the trade of goods and services, are one of the most important phenomena in the current world economy. The purpose of the present study, in the case of Romania, is to answer the question whether the interventions by means of the exchange rate of the national currency contributes to the fluidization and improvement of the commercial trades. The study demonstrates that the leu devaluation does not lead to a substantial increase of the exports. As a mechanism of influence of the commercials flows, the exchange rate has a short-term influence and the economy requires structural reforms, meant to stimulate the growth of the economic competitiveness.

  7. TESTING FOR LONG MEMORY IN THE ASIAN FOREIGN EXCHANGE RATES

    Institute of Scientific and Technical Information of China (English)

    Abdol S. SOOFI; Shouyang WANG; Yuqin ZHANG

    2006-01-01

    In this paper, we use the plug-in and Whittle methods that are based on spectral regression analysis to test for the long memory property in 12 Asian/dollar daily exchange rates. The results according to the plug-in method show that with the exception of Chinese renminbi all series may have long memory properties. The results based on the Whittle method, on the other hand, show that only Japanese yen and Malaysian ringgit may have long memory properties. It is well known that inference about the differencing parameter, d, in presence of structural break in a series entails considerable difficulties. Therefore, given the financial crisis of 1997-1998 in Asia, further tests for unravelling of the memory property and presence of structural break in the exchange rate series are required.

  8. Exchange Rate Volatility and Trade among the Asia Pacific Countries

    Directory of Open Access Journals (Sweden)

    Saang Joon Baak

    2004-06-01

    Full Text Available The purpose of this paper is to investigate the impact of exchange rate volatility on exports among 14 Asia Pacific countries, where various measures to raise the intra-region trade are being implemented. Specifically, this paper estimates a gravity model, in which the dependent variable is the product of the exports of two trading countries. In addition, it also estimates a unilateral exports model, in which the dependent variable is not the product of the exports of two trading countries but the exports from one country to another. By doing this, the depreciation rate of the exporting country's currency value can be included as one of the explanatory variables affecting the volume of exports. As the explanatory variables of the export volume, the gravity model adopts the product of the GDPs of two trading counties, their bilateral exchange rate volatility, their distance, a time trend and dummies for the share of the border line, the use of the same language, and the APEC membership. In the case of the unilateral exports model, the product of the GDPs is replaced by the GDP of the importing country, and the depreciation rate of the exporting country's currency value is dded. In addition, considering that the export volume will also depend on various onditions of the exporting country, dummies for exporting countries are also included as an explanatory variable. The empirical tests, using annual data for the period from 1980 to 2002, detect a significant negative impact of exchange rate volatility on the volume of exports. In addition, various tests using the data for sub-sample periods indicate that the negative impact had been weakened since 1989, when APEC had launched, and surged again from 1997, when the Asian financial crisis broke out. This finding implies that the impact of exchange rate volatility is time-dependent and that it is significantlynegative at least in the present time. This phenomenon is noticed regardless which estimation

  9. Changes in Blood Pressure and Heart Rate during Fixed-Interval Responding in Squirrel Monkeys

    Science.gov (United States)

    DeWeese, Jo

    2009-01-01

    Episodic and sustained increases in heart rate and mean arterial blood pressure can occur with recurring patterns of schedule-controlled behavior. Most previous studies were conducted under fixed-ratio schedules, which maintained a consistent high rate of responding that alternated with periods of no responding during times when the schedule was…

  10. THE IMPLICATIONS OF VARYING EXCHANGE RATES FOR THE INTERNATIONAL TRADE

    OpenAIRE

    Sandu Carmen

    2011-01-01

    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 tra...

  11. INTERNATIONAL FINANCE AND THE RISK OF EXCHANGE RATE

    OpenAIRE

    Garcia Villegas, Emilio; Facultad de Ciencias Contables, Universidad Nacional Mayor de San Marcos

    2014-01-01

    Three major aspects are highlighted in international finance), international risks b) international opportunities and c) market imperfections. International risk-financial risks become relevant and insids them the risk of exchange rate that during the last years due to constant fluctuations of currencies like the U.S. dollar, Japanese yen, pound sterling and the euro have impacted economic and financial situation of enterprises. In recent years has been real important to strengthen the senior...

  12. RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL

    Directory of Open Access Journals (Sweden)

    Muhammad Kashif

    2008-07-01

    Full Text Available This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the best performance among all the models.

  13. Forecasting daily and monthly exchange rates with machine learning techniques

    OpenAIRE

    Papadimitriou, Theophilos; Gogas, Periklis; Plakandaras, Vasilios

    2013-01-01

    We combine signal processing to machine learning methodologies by introducing a hybrid Ensemble Empirical Mode Decomposition (EEMD), Multivariate Adaptive Regression Splines (MARS) and Support Vector Regression (SVR) model in order to forecast the monthly and daily Euro (EUR)/United States Dollar (USD), USD/Japanese Yen (JPY), Australian Dollar (AUD)/Norwegian Krone (NOK), New Zealand Dollar (NZD)/Brazilian Real (BRL) and South African Rand (ZAR)/Philippine Peso (PHP) exchange rates. After th...

  14. Chilean Nominal Exchange Rate: Forecasting Based Upon Technical Analysis

    OpenAIRE

    Ana María Abarca; Felipe Alarcón; Pablo Pincheira; Jorge Selaive

    2007-01-01

    : This work presents a review of the main indicators used in the technical analysis of the peso-dollar parity. We explain the interpretations carried out by technical analysts of these indicators and perform forecasting analysis of the Relative Strength Index (RSI) to predict exchange rate returns at daily frequency. The predictive exercises are done using both in-sample and out-of-sample techniques, and report a robust forecasting ability for horizons within 7 weeks.

  15. MODELING THE CURRENCY EXCHANGE RATE. METHODS AND PRINCIPLES

    OpenAIRE

    Suslov, Mark; Tregub, Ilona

    2015-01-01

    Since currency market is strongly and rapidly developing then it becomes more attractive area for investments, but, also, economic conditions force almost everyone be more financially educated and ready for changes in economic conditions. Currency is the money we pay for the goods and services in our country, but some of them are importing to our country or expressed in foreign currency values. Unfortunately, nobody can predict exact exchange rate, but there is a possibility to get ready for ...

  16. Policy and Current Account Determination under Floating Exchange Rates

    OpenAIRE

    Hans Genberg; Alexander K. Swoboda

    1989-01-01

    The determinants of current account imbalances under floating exchange rates are analyzed. The analysis provides a framework within which the sources of, and the remedies for, the current account imbalances between the United States, Japan, and the Federal Republic of Germany can be discussed. The effects of various government policies are emphasized, in particular the differences between expenditure-changing and expenditure-switching policies. Short-run and long-run considerations are invest...

  17. Exchange rate system and policy in the present world

    Directory of Open Access Journals (Sweden)

    Grubišić Zoran

    2005-01-01

    Full Text Available The choice of exchange rate regime is important, not only in terms of its effect on trade flows, but also with respect to inflation expectations. Countries facing disinflation may find that pegs regimes are more appropriate solution. But where the trade balance account is significantly deteriorated and growth has been sluggish, a more flexible regime might be called for. The natural classification in eighties and early nineties suggests that intermediate regimes may provide important advantages – to capture some of the benefits of both extremes while avoiding many of the costs. However today many experts predicted that exchange rate regimes would move in a "bipolar" manner to the extremes of "hard" pegs or free floats. An increasing number of countries did announce their intent to allow greater exchange rate flexibility. But, in practice, countries had a "fear of floating ". Distinction is made among advanced, emerging and other developing countries. Emerging markets have stronger links to international capital markets than do other developing economies. Thus, while non-emerging market developing economies may gain credibility through pegging their exchange rates, emerging markets find it harder to do so and could benefit from investing in "learning to float". More advanced economies with their access to international capital market are best positioned to enjoy the benefits of flexibility. It is found that the proportion of countries adopting intermediate regimes has indeed been shrinking in favor of greater flexibility or greater fixity, especially for countries more integrated with international markets. But, there is no final conclusion on the idea that intermediate regimes will dissapear.

  18. Imperfect Exchange Rate Passthrough: Strategic Pricing and Menu Costs

    OpenAIRE

    Ghosh, Atish; Wolf, Holger

    2001-01-01

    A large body of literature finds that exporters do not pass nominal exchange rate movements fully through to destination market prices over short time horizons. This imperfect passthrough has been widely attributed to strategic “pricing-to-market”, whereby exporters deliberately accept changes in the home currency value of export prices in order to gain or defend market share. We show that imperfect passthrough in the short run may also arise from simple menu costs. In contrast to strategic p...

  19. Ion exchanger in the brain: Quantitative analysis of perineuronally fixed anionic binding sites suggests diffusion barriers with ion sorting properties

    Science.gov (United States)

    Morawski, Markus; Reinert, Tilo; Meyer-Klaucke, Wolfram; Wagner, Friedrich E.; Tröger, Wolfgang; Reinert, Anja; Jäger, Carsten; Brückner, Gert; Arendt, Thomas

    2015-12-01

    Perineuronal nets (PNs) are a specialized form of brain extracellular matrix, consisting of negatively charged glycosaminoglycans, glycoproteins and proteoglycans in the direct microenvironment of neurons. Still, locally immobilized charges in the tissue have not been accessible so far to direct observations and quantifications. Here, we present a new approach to visualize and quantify fixed charge-densities on brain slices using a focused proton-beam microprobe in combination with ionic metallic probes. For the first time, we can provide quantitative data on the distribution and net amount of pericellularly fixed charge-densities, which, determined at 0.4-0.5 M, is much higher than previously assumed. PNs, thus, represent an immobilized ion exchanger with ion sorting properties high enough to partition mobile ions in accord with Donnan-equilibrium. We propose that fixed charge-densities in the brain are involved in regulating ion mobility, the volume fraction of extracellular space and the viscosity of matrix components.

  20. 12 CFR Appendix A to Subpart A of... - Minimum Capital Components for Interest Rate and Foreign Exchange Rate Contracts

    Science.gov (United States)

    2010-01-01

    ... foreign exchange rate contracts than for interest rate contracts. e. No potential future credit exposure... certain cases, credit exposures arising from the interest rate and foreign exchange instruments covered by... calculating potential future credit exposure to a netting counterparty for foreign exchange rate contracts and...

  1. The Impact of Exchange Rate Volatility on Exports in Turkey

    Directory of Open Access Journals (Sweden)

    Harun Yuksel

    2016-02-01

    Full Text Available This paper empirically investigates the impact of exchange rate volatility, export prices and weighed GDP of most of the trading partners of Turkey on aggregate exports for the period from 2003:2 to 2010:12. The primary focus is the impact of exchange rate volatility on exports from Turkey. To achieve this purpose, various approaches were employed previously. In line with the previous studies, the OLS regression method was employed. Appropriate tests to ensure the reliability of the analysis were undertaken. Time series data were used for the analysis. Cross correlation to determine the relationship between the pairs of variables was utilized. Our results indicated that there was a negative relationship between exports and volatility; however, this relationship was not significant at a level of 5%. Even though there were many studies exploring the impact of the volatility of the exchange rate on exports, there was no consensus for validation of the results among these various studies. This topic was chosen since there were few studies about Turkey's case, while in contrast, there have been innumerable studies made outside of Turkey.

  2. 26 CFR 1.989(b)-1 - Definition of weighted average exchange rate.

    Science.gov (United States)

    2010-04-01

    ... 26 Internal Revenue 10 2010-04-01 2010-04-01 false Definition of weighted average exchange rate. 1... average exchange rate. For purposes of section 989(b)(3) and (4), the term “weighted average exchange rate” means the simple average of the daily exchange rates (determined by reference to a qualified source...

  3. Optimal choice of an exchange rate regime: a critical literature review

    OpenAIRE

    Ouchen, Mariam

    2013-01-01

    This paper set out to review the main theories and empirical methods employed in selecting an appropriate exchange rate regime.In order to achieve this, the paper is organized as follows : Section 2 introduces the distinct classifications of exchange regimes(de jure exchange rate regimes versus the facto exchange rate regimes), and the different theoretical approaches which illustrate how an optimal exchange rate regime is determined . Despite their initial popularity, the theoretical consi...

  4. Random walk theory and exchange rate dynamics in transition economies

    Directory of Open Access Journals (Sweden)

    Gradojević Nikola

    2010-01-01

    Full Text Available This paper investigates the validity of the random walk theory in the Euro-Serbian dinar exchange rate market. We apply Andrew Lo and Archie MacKinlay's (1988 conventional variance ratio test and Jonathan Wright's (2000 non-parametric ranks and signs based variance ratio tests to the daily Euro/Serbian dinar exchange rate returns using the data from January 2005 - December 2008. Both types of variance ratio tests overwhelmingly reject the random walk hypothesis over the data span. To assess the robustness of our findings, we examine the forecasting performance of a non-linear, nonparametric model in the spirit of Francis Diebold and James Nason (1990 and find that it is able to significantly improve upon the random walk model, thus confirming the existence of foreign exchange market imperfections in a small transition economy such as Serbia. In the last part of the paper, we conduct a comparative study on how our results relate to those of other transition economies in the region.

  5. L-harmonic functions with polynomial growth of a fixed rate

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    Yau made the following conjecture:For a complete noncompact manifold with nonnegative Ricci curvature the space of harmonic functions with polynomial growth of a fixed rate is finite dimensional.we extend the result on the Laplace operator to that on the symmetric diffusion operator,and prove the space of L-harmonic functions with polynomial growth of a fixed rate is finitedimensional,when m-dimensional Bakery-Emery Ricci curvature of the symmetric diffusion operator on the complete noncompact Riemannian manifold is nonnegative.

  6. L-harmonic functions with polynomial growth of a fixed rate

    Institute of Scientific and Technical Information of China (English)

    ZHOU ChaoHui; CHEN ZhiHua

    2009-01-01

    Yau made the following conjecture: For a complete noncompact manifold with nonnegative Ricci curvature the space of harmonic functions with polynomial growth of a fixed rate is finite dimensional,we extend the result on the Laplace operator to that on the symmetric diffusion operator,and prove the space of L-harmonic functions with polynomial growth of a fixed rate is finitedimensional,when m-dimensional Bakery-Emery Ricci curvature of the symmetric diffusion operator on the complete noncompact Riemannian manifold is nonnegative.

  7. Moment generating function approach to pricing interest rate and foreign exchange rate claims

    NARCIS (Netherlands)

    Dijkstra, T.K.; Yao, Y.

    2002-01-01

    This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are

  8. INTEREST-RATE DIFFERENTIALS AND EXCHANGE-RATE POLICIES IN AUSTRIA, THE NETHERLANDS, AND BELGIUM

    NARCIS (Netherlands)

    KNOT, K; DEHAAN, J

    In this paper, the small, but persistent interest rate differentials via-a-vis Germany which have existed in Austria, the Netherlands, and Belgium are analysed. These interest differentials may be thought of to consist of three parts: expected exchange rate movements within the band, expected

  9. Moment generating function approach to pricing interest rate and foreign exchange rate claims

    NARCIS (Netherlands)

    Dijkstra, T.K.; Yao, Y.

    2002-01-01

    This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are avai

  10. Oil Prices and Interest Rates: Do They Determine the Exchange Rate?

    Science.gov (United States)

    Law, I. A.; Old, J. L.

    1986-01-01

    Argues that the relationship between the British pound sterling, interest rates, and oil prices has been overemphasized by economic commentators because they ignored a basic economic theory about the determination of the exchange rate. Provides an example and suggestions for follow up instruction. (Author/JDH)

  11. INTEREST-RATE DIFFERENTIALS AND EXCHANGE-RATE POLICIES IN AUSTRIA, THE NETHERLANDS, AND BELGIUM

    NARCIS (Netherlands)

    KNOT, K; DEHAAN, J

    1995-01-01

    In this paper, the small, but persistent interest rate differentials via-a-vis Germany which have existed in Austria, the Netherlands, and Belgium are analysed. These interest differentials may be thought of to consist of three parts: expected exchange rate movements within the band, expected change

  12. Moment generating function approach to pricing interest rate and foreign exchange rate claims

    NARCIS (Netherlands)

    Dijkstra, T.K.; Yao, Y.

    2002-01-01

    This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are avai

  13. Exchange Flow Rate Measurement Technique in Density Different Gases

    Directory of Open Access Journals (Sweden)

    Motoo Fumizawa

    2012-04-01

    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.

  14. Effective Exchange Rates in Central and Eastern European Countries: Cyclicality and Relationship with Macroeconomic Fundamentals

    Directory of Open Access Journals (Sweden)

    Stavárek Daniel

    2015-06-01

    Full Text Available This paper examines the evolution of effective exchange rates in nine Central and Eastern European countries in terms of development trends, volatility and cyclicality. Consequently, it provides direct empirical evidence on the nature of the relationship between effective exchange rates and selected macroeconomic fundamentals, addressing a key precondition of numerous exchange rate determination models and theories that attempt to explain the role of exchange rates in the economy. The results suggest that flexible exchange rate arrangements are reflected in both nominal and real effective exchange rates having higher volatility and variability. Furthermore, the results provide mixed evidence in terms of intensity, direction and cyclicality, but show a weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for money supply. Consequently, using fundamentals for the determination of exchange rates and using the exchange rate to explain economic development may be of limited use for the countries analyzed.

  15. Is the Exchange Rate Predictable in the Long-Run?

    OpenAIRE

    Soowon Mo; Wookil Cho

    1994-01-01

    The short-run and long-run forecasts of exchange rates based on the three structural models are compared to those based on the random walk model. The long—run forecasts are generated by the error—correction equations of the Johansen's multivariate cointegration technique. The results show that while the random walk model outperforms the structural models in the short—run forecasting, the structural models outperform the random walk in the long—run forecasting. Our results indicate tha...

  16. Impact of Rate Design Alternatives on Residential Solar Customer Bills. Increased Fixed Charges, Minimum Bills and Demand-based Rates

    Energy Technology Data Exchange (ETDEWEB)

    Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Davidson, Carolyn [National Renewable Energy Lab. (NREL), Golden, CO (United States); McLaren, Joyce [National Renewable Energy Lab. (NREL), Golden, CO (United States); Miller, John [National Renewable Energy Lab. (NREL), Golden, CO (United States)

    2015-09-01

    With rapid growth in energy efficiency and distributed generation, electric utilities are anticipating stagnant or decreasing electricity sales, particularly in the residential sector. Utilities are increasingly considering alternative rates structures that are designed to recover fixed costs from residential solar photovoltaic (PV) customers with low net electricity consumption. Proposed structures have included fixed charge increases, minimum bills, and increasingly, demand rates - for net metered customers and all customers. This study examines the electricity bill implications of various residential rate alternatives for multiple locations within the United States. For the locations analyzed, the results suggest that residential PV customers offset, on average, between 60% and 99% of their annual load. However, roughly 65% of a typical customer's electricity demand is non-coincidental with PV generation, so the typical PV customer is generally highly reliant on the grid for pooling services.

  17. Döviz Kuru Belirsizliğinin İhracata Etkisi : Türkiye Örneği = The Impact of Exchange Rate Uncertainty on Exports : the Case of Turkey

    Directory of Open Access Journals (Sweden)

    Orhan KARACA

    2004-06-01

    Full Text Available In this paper we examined the relationship between exchange rate uncertainty and exports in Turkey. Sample period of the study is 1981, May 1, the date Turkey introduced flexible exchange rate system after quiting fixed exchange rate system, and 2001, February 22 when exchange rates were left floating. The results of this study, in which quarterly data are used, indicate that exchange rate uncertainty affects exports negatively in Turkey. This finding is valid both for long-run and short-run.

  18. ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES

    Directory of Open Access Journals (Sweden)

    Josip Arnerić

    2010-12-01

    Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

  19. 73 Impact of Exchange Rate on Balance of Payment in Nigeria (Pp ...

    African Journals Online (AJOL)

    User

    2011-07-21

    Jul 21, 2011 ... Introduction. Exchange rate refers to the price of one currency (the domestic currency) in ... instrument is that our foreign trade structure did not satisfy the condition for ..... "Real response association with exchange rate action.

  20. 76 FR 6128 - Energy Exchange International, LLC; Supplemental Notice That Initial Market-Based Rate Filing...

    Science.gov (United States)

    2011-02-03

    ...-000] Energy Exchange International, LLC; Supplemental Notice That Initial Market-Based Rate Filing... the above-referenced proceeding Energy Exchange International, LLC's application for market-based rate...

  1. Investigations on Cationic Exchange Capacity and Unused Bed Zone according to operational conditions in a Fixed Bed Reactor for water lead removal by a natural zeolite

    Directory of Open Access Journals (Sweden)

    Barthélemy JP.

    2006-01-01

    Full Text Available In this study, attention has been focused on the behaviour of the Cationic Exchange Capacity (CEC and the Unused Bed Zone (UBZ, according to the operating parameters (bed length: L, column diameter: D, particle diameter: d and fl ow rate: Q in a Fixed Bed Reactor (FBR. The investigations are performed for a single-component study of lead on New Zealand clinoptilolite at 25 ± 1°C. The results show a constant operating CEC of 1.00 ± 0.015 meq.g-1 which is independent of the operational parameters listed above. The performance of the operations expressed as UBZ, shows an optimum for the ratio L/D (bed length and column diameter fi xed at 18.1, for Q = 2.9 BV.h-1 (bed volume per hour and particle diameter d = 0.38 mm (the ratio particle diameter on column diameter d/D at 0.057. This maximum performance is reached with the lowest UBZ value of 5.6% of the operating CEC. Overall interpretation drawn from the results according to UBZ shows that decreasing the particles size improves the performance of ion exchange process; as well as decreasing the fl ow rate. Nevertheless, the increase of L/D to a certain extent does not improve ion exchange performances.

  2. Particle loading rates for HVAC filters, heat exchangers, and ducts.

    Science.gov (United States)

    Waring, M S; Siegel, J A

    2008-06-01

    The rate at which airborne particulate matter deposits onto heating, ventilation, and air-conditioning (HVAC) components is important from both indoor air quality (IAQ) and energy perspectives. This modeling study predicts size-resolved particle mass loading rates for residential and commercial filters, heat exchangers (i.e. coils), and supply and return ducts. A parametric analysis evaluated the impact of different outdoor particle distributions, indoor emission sources, HVAC airflows, filtration efficiencies, coils, and duct system complexities. The median predicted residential and commercial loading rates were 2.97 and 130 g/m(2) month for the filter loading rates, 0.756 and 4.35 g/m(2) month for the coil loading rates, 0.0051 and 1.00 g/month for the supply duct loading rates, and 0.262 g/month for the commercial return duct loading rates. Loading rates are more dependent on outdoor particle distributions, indoor sources, HVAC operation strategy, and filtration than other considered parameters. The results presented herein, once validated, can be used to estimate filter changing and coil cleaning schedules, energy implications of filter and coil loading, and IAQ impacts associated with deposited particles. The results in this paper suggest important factors that lead to particle deposition on HVAC components in residential and commercial buildings. This knowledge informs the development and comparison of control strategies to limit particle deposition. The predicted mass loading rates allow for the assessment of pressure drop and indoor air quality consequences that result from particle mass loading onto HVAC system components.

  3. The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations

    Directory of Open Access Journals (Sweden)

    Chae-Shick Chung

    1998-09-01

    Full Text Available This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression of the exchange rate has indicated the level of the exchange rate yesterday could explain the circumstance of the change of exchange rate today. Meanwhile, the policy of the US exchange rate will affect the exchange rate of Korea won against US dollar and the volatility of foreign exchange rate. In the present situation of Korean economy in which the liberalization of capital and the independence of the central bank has been established, the choosing range of the exchange system could only be completely changeable exchange rate system or exchange rate system of multilateral arrangement like Europe. However, in terms of the condition of the world economy, the introduction of the latter system is too early. There is an idea that under the changeable exchange rate system which is the only choice, it is the right time to activate the main body of private economy, the financial derivatives market in which the exchange risk could be trade-off. Government should work on and create a policy that would be able to satisfy the expectations of the market participants.

  4. Exchange Rate Instability: Japan's Micro-Macro Experiences and Implications for China

    Institute of Scientific and Technical Information of China (English)

    Mamoru Ishida

    2006-01-01

    Since 1985, the yen-dollar exchange rates repeatedly fluctuated and climbed to a level that could not be justified by economic fundamentals. The impacts on the Japanese economy were serious and far-reaching.Since 21 July 2005, China has been moving toward a more flexible exchange rate regime. Keeping RMB exchange rates basically stable and providing Chinese industries with means to hedge exchange rate risks are essential for China's sound economic development.

  5. The exchange rate arrangements-government finance relationship and the impact on debt management

    Directory of Open Access Journals (Sweden)

    Silvia Trifonova

    2016-06-01

    Full Text Available The choice of exchange rate regime can have a significant impact on the development of the national economy, which affects the main economic indicators. Traditionally, researchers consider the effects of certain types of exchange rate regimes on economic indicators such as gross domestic product, inflation, current account, real exchange rate and investments, but is it possible that the exchange rate regime can also reflect the country's government finance and thus influence the management of public debt?

  6. How do Macroeconomic and Political Variables Affect the Flexibility of Exchange Rate Regime?

    OpenAIRE

    Mehmet Guclu

    2009-01-01

    The choice of exchange rate regime has become one of the most important issues once more in many economies after the financial crises in recent years. In the wake of the financial crises, many countries, especially emerging market economies, opted for floating exchange rate regimes by forsaking the pegged regimes. Consequently, an old debate on the choice and determinants of exchange rate regimes has been triggered. Economists have started to debate what appropriate exchange rate regime for a...

  7. Stock market information and the relationship between real exchange rate and real interest rates

    OpenAIRE

    Junttila, Juha-Pekka; Korhonen, Marko

    2013-01-01

    In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent monthly observations from the U.K., Japan, Canada and Eurozone, all relative to the U.S. We show that the introduction of stock market information is highly relevant for the functioning of the RERI hypot...

  8. 48 CFR 1552.216-73 - Fixed rates for services-indefinite delivery/indefinite quantity contract.

    Science.gov (United States)

    2010-10-01

    ... CLAUSES Texts of Provisions and Clauses 1552.216-73 Fixed rates for services—indefinite delivery... rates for services in indefinite delivery/indefinite quantity contracts. When the contract contains... option periods. Fixed Rates for Services—Indefinite Delivery/Indefinite Quantity Contract (APR 1984)...

  9. The Effect of Monetary Policy on Exchange Rates : How to Solve the Puzzles

    NARCIS (Netherlands)

    Kumah, F.Y.

    1996-01-01

    Recent empirical research on the effects of monetary policy shocks on exchange rate fluctuations have encountered the exchange rate puzzle and th e forward discount bias puzzle.The exchange rate puzzle is the tendency of the domestic currency (of non-US G-7 countries) to depreciate against the US

  10. A Firm-Specific Analysis of the Exchange-Rate Exposure of Dutch Firms

    NARCIS (Netherlands)

    A. de Jong (Abe); J. Ligterink; V. Macrae

    2002-01-01

    textabstractWe examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50% of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a

  11. A firm-specific exposure analyis of the exchange-rate exposure of Dutch firms

    NARCIS (Netherlands)

    de Jong, A.; Ligterink, J.; Macrae, V.

    2006-01-01

    We examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50 per cent of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a

  12. Capital Controls and Foreign Investor Subsidies Implicit in South Africa's Dual Exchange Rate System

    NARCIS (Netherlands)

    van der Windt, P.C.; Schaling, E.; Huizinga, H.P.

    2007-01-01

    Both in theory and practice, capital controls and dual exchange rate systems can be part of a country's optimal tax policy. We first show how a dual exchange rate system can be interpreted as a tax (or subsidy) on international capital income. We show that a dual exchange rate system, with separate

  13. A firm-specific exposure analyis of the exchange-rate exposure of Dutch firms

    NARCIS (Netherlands)

    de Jong, A.; Ligterink, J.; Macrae, V.

    2006-01-01

    We examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50 per cent of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a depreciati

  14. The Effect of Monetary Policy on Exchange Rates : How to Solve the Puzzles

    NARCIS (Netherlands)

    Kumah, F.Y.

    1996-01-01

    Recent empirical research on the effects of monetary policy shocks on exchange rate fluctuations have encountered the exchange rate puzzle and th e forward discount bias puzzle.The exchange rate puzzle is the tendency of the domestic currency (of non-US G-7 countries) to depreciate against the US do

  15. Liaison of Exchange Rate and Macroeconomic Variables: A Case Study of Pakistan

    Directory of Open Access Journals (Sweden)

    Aneel Salman

    2015-12-01

    Full Text Available Exchange rate plays a significant role in the economic growth of a country because it has also a close relationship to some major macroeconomic variables like Gross Domestic Product (GDP, interest rate, current account and inflation etc. All these variables are adversely affected by uncertainty or fluctuations in exchange rate. The objective of this paper was to find out the relationship between the exchange rate and other above mentioned macroeconomic variables. The paper not only described the relationship but also defined the nature of the relationship between the selected variables. The results showed that exchange rate has a long run relationship to GDP, inflation, interest rate and current account. Granger Causality test concluded that there was unidirectional causal relationship between exchange rate and GDP and the direction of causal relationship run from exchange rate to GDP. There were also some policy implications suggested for the stability in exchange rate and removing the adverse effects of uncertainty in Pakistan.

  16. Solvent Exchange in Liquid Methanol and Rate Theory

    Energy Technology Data Exchange (ETDEWEB)

    Dang, Liem X.; Schenter, Gregory K.

    2016-01-01

    To enhance our understanding of the solvent exchange mechanism in liquid methanol, we report a systematic study of this process using molecular dynamics simulations. We use transition state theory, the Impey-Madden-McDonald method, the reactive flux method, and Grote-Hynes theory to compute the rate constants for this process. Solvent coupling was found to dominate, resulting in a significantly small transmission coefficient. We predict a positive activation volume for the methanol exchange process. The essential features of the dynamics of the system as well as the pressure dependence are recovered from a Generalized Langevin Equation description of the dynamics. We find that the dynamics and response to anharmonicity can be decomposed into two time regimes, one corresponding to short time response (< 0.1 ps) and long time response (> 5 ps). An effective characterization of the process results from launching dynamics from the planar hypersurface corresponding to Grote-Hynes theory. This results in improved numerical convergence of correlation functions. This work was supported by the U.S. Department of Energy, Office of Science, Office of Basic Energy Sciences, Division of Chemical Sciences, Geosciences, and Biosciences. The calculations were carried out using computer resources provided by the Office of Basic Energy Sciences.

  17. The Appropriate Model and Dependence Measures of Thailand’s Exchange Rate and Malaysia’s Exchange Rate: Linear, Nonlinear and Copulas Approach

    Directory of Open Access Journals (Sweden)

    Pisit Leeahtam

    2011-10-01

    Full Text Available The objectives of this study are to find the fitting model and dependence measures of both Thailand’s exchange rate and Malaysia’s exchange rate during, between, and after the World’s recent financial crises based on linear, nonlinear and empirical copula approaches.The results of the study confirm that the nonlinear model (NNTs is an appropriate model for Thailand’s exchange rate return in percentage during the periods of 2008-2011but not for Malaysia’s exchange rate return. Based on empirical copula approach, the dependence measures are very small between Thailand’s exchange and Malaysia’s exchange. This seems to suggest that when global economy is affected by World’s financial crisis, the nonlinear approach should be used to predict Thailand’s exchange rate return in percentage. In addition, it suggests that both the nonlinear and linear approaches should be used to predict the Malaysia’s exchange rate return in percentage. Moreover, the relationship between the exchange rate of Thailand and that of Malaysia is not strong.This is also true for the currencies of both countries.

  18. Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

    Science.gov (United States)

    Muniandy, S. V.; Lim, S. C.; Murugan, R.

    2001-12-01

    In this paper, we investigate the fractal scaling behaviors of foreign currency exchange rates with respect to Malaysian currency, Ringgit Malaysia. These time series are examined piecewise before and after the currency control imposed in 1st September 1998 using the monofractal model based on fractional Brownian motion. The global Hurst exponents are determined using the R/ S analysis, the detrended fluctuation analysis and the method of second moment using the correlation coefficients. The limitation of these monofractal analyses is discussed. The usual multifractal analysis reveals that there exists a wide range of Hurst exponents in each of the time series. A new method of modelling the multifractal time series based on multifractional Brownian motion with time-varying Hurst exponents is studied.

  19. Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India

    OpenAIRE

    Kumar, Sundaram

    2009-01-01

    The purpose of this paper is to investigate the relationship between macroeconomic parameters like Exchange rate and foreign institutional investment with stock returns in India, in particular at National Stock Exchange. I find that both stock returns and exchange rate are integrated of order one. The Engle–Granger Cointegration test is then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and exchange rates at 5% significance level. Moreover, ...

  20. Percieved Relationship between Exchange Rate, Interest Rate and Economic Growth in Nigeria: 1970-2010

    Directory of Open Access Journals (Sweden)

    S. A. J Obansa

    2013-07-01

    Full Text Available This study was specifically embarked upon to establish empirically the relationship exiting among Exchange rate, Interest rate and economic growth in Nigerian economy over the period of 1970-2010. Fundamentally, the period of the study was fractured into two prominent distinctions of economic era - the regulation era and the deregulation era. The study adopted vector auto- regression (VAR technique, with specific emphasis on Impulse Response factor and the Forecast Error Variance Decomposition. The result indicated that Exchange rate had a stronger impact on Economic growth than Interest rate. Particularly, Interest rate impact was found to be positive but however declined as the time horizon increased. It had a little impact on Economic growth in the period of regulation than in the deregulation era. The conclusion arising from the study shows that Exchange rate liberalization was good to Nigerian Economy as it promotes Economic growth. Interest rate liberalization on the other hand does not make an appreciable impact on the Economic growth as it undermines investment drive. The paper therefore recommends that Interest rate liberalization and deregulation should be replaced with the policy of Interest rate regulation as obtained in the 1970s and early 1980s. Normal 0 false false false EN-US X-NONE AR-SA /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin:0in; mso-para-margin-bottom:.0001pt; text-align:justify; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin;}

  1. Financial crisis and exchange rates in emerging economies: An empirical analysis using PPP-UIP-Framework

    Directory of Open Access Journals (Sweden)

    Abdul Rashid

    2014-01-01

    Full Text Available This paper empirically investigates the effects of 2008 financial crisis on exchange rate determination in PPP-UIP framework for four emerging countries, using monthly date over the period 1981-2012. The results suggest that the recent financial crisis led to change the role of exchange rate determinants in exchange rate determination. The findings also reveal that the effects of financial crisis on the exchange rate are different in all the four emerging economies. The findings of the study are of significant for policy makers in designing effective policies in order to reduce the effects of financial crisis on exchange rates.

  2. What Is Its Purpose?——"Advancing RMB Exchange Rate Formation Mechanism"

    Institute of Scientific and Technical Information of China (English)

    Yao Yujie; You Zhixin; Wang Tao

    2010-01-01

    Spokesperson from People's Bank of China said on June 19th, "further advance the reform in RMB exchange rate formation mechanism, and strengthen the flex-ibility of RMB exchange rate." This is the first time for China central bank give a clear attitude on reform in RMB exchange rate, which attracts great attention for global market. Does strengthening the flexibility of RMB exchange rate mean that RMB will appreciate again? Why the central bank announces the news at this moment? How to choose the time for the reform in RMB exchange rate formation mechanism?

  3. Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

    OpenAIRE

    Nortey, Ezekiel NN; Ngoh, Delali D; Doku-Amponsah, Kwabena; Ofori-Boateng, Kenneth

    2015-01-01

    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, t...

  4. Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

    OpenAIRE

    Nortey, Ezekiel NN; Ngoh, Delali D; Doku-Amponsah, Kwabena; Ofori-Boateng, Kenneth

    2015-01-01

    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, t...

  5. Determination of the enzyme reaction rate in a differential fixed-bed reactor: a case study

    Directory of Open Access Journals (Sweden)

    Baruque Filho E.A.

    2001-01-01

    Full Text Available The reaction rate of starch hydrolysis catalyzed by a glucoamylase covalently bound to chitin particles was measured in a Differential Fixed-Bed Reactor (DFBR. Under selected test conditions the initial reaction rate may represent biocatalyst activity. Some aspects which influence measurement of the initial reaction rate of an immobilized enzyme were studied: the amount of desorbed enzyme and its hydrolytic activity, the extent of pore blockage of the biocatalyst caused by substrate solution impurities and the internal and external diffusional mass transfer effects. The results showed that the enzyme glucoamylase was firmly bound to the support, as indicated by the very low amount of desorbed protein found in the recirculating liquid. Although this protein was very active, its contribution to the overall reaction rate was negligible. It was observed that the biocatalyst pores were susceptible to being blocked by the impurities of the starch solution. This latter effect was accumulative, increasing with the number of sequential experiments carried out. When the substrate solution was filtered before use, very reliable determinations of immobilized enzyme reaction rates could be performed in the DFBR. External and internal diffusional resistences usually play a significant role in fixed-bed reactors. However, for the experimental system studied, internal mass transfer effects were not significant, and it was possible to select an operational condition (recirculation flow rate value that minimized the external diffusional limitations.

  6. Exchange rate exposure of firms and the demand for foreign exchange derivatives in Brazil: did hedge or speculatiom matter?

    Directory of Open Access Journals (Sweden)

    Fernando Nascimento de Oliveira

    2012-12-01

    Full Text Available This paper examines empirically how the demand of foreign exchange derivatives by Brazilian corporations is related to their exchange rate exposure. With the help of an original database of 74,567 contracts written from 1999 to 2002 between corporations and financial institutions, we were able to identify the corporations that speculated and the ones that hedged with foreign exchange derivatives during this period. Our results show that the exchange rate exposure is positively related to the foreign operational exposures for firms that speculated and negatively related for firms that hedged in 2002. For the other years of the sample period, speculation or hedge did not affect the relationship between the exchange rate exposure and the foreign operational exposure of firms.

  7. Design of a fixed-bed ion-exchange process for the treatment of rinse waters generated in the galvanization process using Laminaria hyperborea as natural cation exchanger.

    Science.gov (United States)

    Mazur, Luciana P; Pozdniakova, Tatiana A; Mayer, Diego A; Boaventura, Rui A R; Vilar, Vítor J P

    2016-03-01

    In this study, the removal of zinc from galvanization wastewaters was performed in a fixed bed column packed with brown macro-algae Laminaria hyperborea, acting as a natural cation exchanger (resin). The rinse wastewater presents a zinc concentration between 9 and 22 mg/L, a high concentration of light metals (mainly Na and Ca), a high conductivity (0.5-1.5 mS/cm) and a low organic content (DOC = 7-15 mg C/L). The zinc speciation diagram showed that approximately 80% of zinc is in the form of Zn(2+) and ≅20% as ZnSO4, considering the effluent matrix. From all operational conditions tested for zinc uptake (17 treatment of 2.4 m(3)/day of galvanization wastewater, resulting in an estimated reactants cost of 2.44 €/m(3).

  8. Australian Universities' Strategic Goals of Student Exchange and Participation Rates in Outbound Exchange Programmes

    Science.gov (United States)

    Daly, Amanda; Barker, Michelle

    2010-01-01

    International student exchange programmes are acknowledged as one aspect of a broader suite of internationalisation strategies aimed at enhancing students' intercultural understanding and competence. The decision to participate in an exchange programme is dependent on both individual and contextual factors such as student exchange policies and…

  9. Australian Universities' Strategic Goals of Student Exchange and Participation Rates in Outbound Exchange Programmes

    Science.gov (United States)

    Daly, Amanda; Barker, Michelle

    2010-01-01

    International student exchange programmes are acknowledged as one aspect of a broader suite of internationalisation strategies aimed at enhancing students' intercultural understanding and competence. The decision to participate in an exchange programme is dependent on both individual and contextual factors such as student exchange policies and…

  10. A Simple Scheme for Improved Performance of Fixed Outage Rate Cellular System

    Directory of Open Access Journals (Sweden)

    Hussein M.A. Basi

    2004-01-01

    Full Text Available The traffic characteristic of mobile cellular systems is rather distinct from that of a fixed telephone network. However the system planning and design are still carried out with the tools of conventional traffic theory. In the recent days much work is being done in the performance evaluation of mobile or cellular communication systems in order to develop a system with greater efficiency. The useful parameters to estimate the performance of the system are voice quality, frequency spectrum efficiency and Grade of Service (GOS. The grade of service will be affected due to outage of channels. In this study, a new scheme is proposed to reduce lost calls due to channel outage in the fixed rate outage cellular system. In this proposed scheme the call will never dropped but may be delayed. The system performance is evaluated for different conditions and the results are discussed.

  11. Keep Floating; Rising interest rates have upset many floating rate borrowers. But it doesn't make sense to switch to a fixed rate now as rates are expected to plunge

    National Research Council Canada - National Science Library

    Sushmita Choudhury

    2006-01-01

    .... If there is anybody smiling through all this it is the fixed rate borrowers. They don't have to worry about rising interest rates because everything in their loan is fixed-the interest rate, the EMI and the term...

  12. Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models

    Directory of Open Access Journals (Sweden)

    Andreea – Cristina PETRICĂ

    2017-03-01

    Full Text Available The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH, since the conditional variance is time-varying. The analysis takes into account daily quotations of EUR/RON exchange rate over the period of 04th January 1999 to 13th June 2016. Thus, we are modeling heteroscedasticity by applying different specifications of GARCH models followed by looking for significant parameters and low information criteria (minimum Akaike Information Criterion. All models are estimated using the maximum likelihood method under the assumption of several distributions of the innovation terms such as: Normal (Gaussian distribution, Student’s t distribution, Generalized Error distribution (GED, Student’s with fixed df. Distribution, and GED with fixed parameter distribution. The predominant models turned out to be EGARCH and PARCH models, and the empirical results point out that the best model for estimating daily returns of EUR/RON exchange rate is EGARCH(2,1 with Asymmetric order 2 under the assumption of Student’s t distributed innovation terms. This can be explained by the fact that in case of EGARCH model, the restriction regarding the positivity of the conditional variance is automatically satisfied.

  13. MANAGING EXCHANGE RATE VOLATILITY : A COMPARATIVE COUNTERFACTUAL ANALYSIS OF SINGAPORE 1994 TO 2003

    OpenAIRE

    Peter Wilson; Henry Ng Shang Ren

    2006-01-01

    The objective of this paper is see how well Singapore’s exchange rate regime has coped with exchange rate volatility before and after the Asian financial crisis by comparing the performance of Singapore’s actual regime in minimising the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US$ against some counterfactual regimes and the corresponding performance of eight other East Asian countries. In contrast to previous counterfactual exercises, such as...

  14. Forecasting the NOK/USD Exchange Rate with Machine Learning Techniques

    OpenAIRE

    Theophilos Papadimitriou; Periklis Gogas; Vasilios Plakandaras

    2013-01-01

    In this paper, we approximate the empirical findings of Papadamou and Markopoulos (2012) on the NOK/USD exchange rate under a Machine Learning (ML) framework. By applying Support Vector Regression (SVR) on a general monetary exchange rate model and a Dynamic Evolving Neuro-Fuzzy Inference System (DENFIS) to extract model structure, we test for the validity of popular monetary exchange rate models. We reach to mixed results since the coefficient sign of interest rate differential is in favor o...

  15. Multifractality and value-at-risk forecasting of exchange rates

    Science.gov (United States)

    Batten, Jonathan A.; Kinateder, Harald; Wagner, Niklas

    2014-05-01

    This paper addresses market risk prediction for high frequency foreign exchange rates under nonlinear risk scaling behaviour. We use a modified version of the multifractal model of asset returns (MMAR) where trading time is represented by the series of volume ticks. Our dataset consists of 138,418 5-min round-the-clock observations of EUR/USD spot quotes and trading ticks during the period January 5, 2006 to December 31, 2007. Considering fat-tails, long-range dependence as well as scale inconsistency with the MMAR, we derive out-of-sample value-at-risk (VaR) forecasts and compare our approach to historical simulation as well as a benchmark GARCH(1,1) location-scale VaR model. Our findings underline that the multifractal properties in EUR/USD returns in fact have notable risk management implications. The MMAR approach is a parsimonious model which produces admissible VaR forecasts at the 12-h forecast horizon. For the daily horizon, the MMAR outperforms both alternatives based on conditional as well as unconditional coverage statistics.

  16. The Credit-Risk Decision Mechanism on Fixed Loan Interest Rate with Imperfect Information

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    In this paper, decision mechanism of credit-risk for banks is studied when the loan interest rate is fixed with asymmetry information in credit market. We give out the designs of rationing and non-rationing on credit risky decision mechanism when collateral value provided by an entrepreneur is not less than the minimum demands of the bank. It shows that under the action of the mechanism, banks could efficiently identify the risk size of the project. Finally, the condition of the project investigation of bank is given over again.

  17. Modelling of the change in national exchange rate model depending on the economic parameters of a natural gas cogeneration system: Turkey case

    Energy Technology Data Exchange (ETDEWEB)

    Inan, Aslan; Izgi, Ercan; Ay, Selim [Department of Electrical Engineering, Faculty of Electric-Electronics, Technical University of Yildiz, 34349 Istanbul (Turkey)

    2009-04-15

    In this paper, to what extent a cogeneration system's fixed and variable costs and profits are affected from the exchange rate model implemented in the country is examined. An autoproductor system, as known, uses a part of its electrical energy production for its own requirements while selling the remaining energy to the regional energy corporation. As a function of the load factor and the fuel cost, the production cost and energy sale income of the system are influenced much by the exchange rate model of the country. A cost analysis of a natural gas cogeneration (autoproductor) system has been performed for the numerical application, based on the monetary program supported by the IMF commenced in January 2000. In order to investigate the effect of the change in exchange rate model (introducing the floating exchange rate model) on the fuel cost, both the characteristics of the IMF program and some various forecasting methods have been utilized. (author)

  18. Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates

    Science.gov (United States)

    Lahmiri, Salim

    2017-01-01

    This paper proposes a new methodology to investigate presence of chaos in exchange rate time series by combining wavelet transform and Lyapunov exponent estimation. In particular, stationary wavelet transform (SWT) is applied to exchange rate original time series for decomposition purpose. As a result, approximation and details coefficients are extracted. They are used to represent long and short term dynamics of the original exchange rate time series. Then, largest Lyapunov exponent is estimated for each type of dynamics to check for presence of chaos. Our methodology is applied to several Moroccan exchange rate time series. The empirical results show that, in general, the hypothesis of chaotic structure is accepted for currency levels but it is rejected for currency returns on both long and short dynamics. In addition, long and short dynamics exhibit different chaotic patterns in some exchange rate time series. Our approach may be useful to understand chaotic behaviour in original exchange rate time series.

  19. Peso Problems, Bubbles, and Risk in the Empirical Assessment of Exchange-Rate Behavior

    OpenAIRE

    Maurice Obstfeld

    1987-01-01

    One of the most puzzling aspects of the post-1973 floating exchange rate system has been the apparently inefficient predictive performance of forward exchange rates. This paper explores some aspects of each of three leading explanations of forward-rate behavior. The paper first develops a simple rational-expectations model of the "peso problem" that generates some key empirical regularities of the foreign exchange market: seemingly predictable and conditionally heteroskedastic forward forecas...

  20. An exchange rate determination model for central banks'interventions in financial markets

    Institute of Scientific and Technical Information of China (English)

    林浚清; 黄祖辉; 战明华

    2002-01-01

    We establish an exchange rate determination model for central banks' interventiorm in financial markets.The model shows that central banks can adjuct exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination.It specifies potetial policy instruments for central banks as well as their policy effects.Based on these effects,feasible matches of policy instruments in contingent intervention are put forth.

  1. An exchange rate determination model for central banks' interventions in financial markets

    Institute of Scientific and Technical Information of China (English)

    林浚清; 黄祖辉; 战明华

    2002-01-01

    We establish an exchange rate determination model for central banks' in terventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different instruments may h ave different effects on exchange rate determination. It specifies potential pol icy instruments for central banks as well as their policy effects. Based on thes e effects, feasible matches of policy instruments in contingent intervention are put forth.

  2. Exchange Rates: Predictable but not Explainable? Data Mining with Leading Indicators and Technical Trading Rules

    OpenAIRE

    Brandl, Bernd

    2005-01-01

    This paper presents a data mining approach to forecasting exchange rates. It is assumed that exchange rates are determined by both fundamental and technical factors. The balance of fundamental and technical factors varies for each exchange rate and frequency. It is difficult for forecasters to establish the relative relevance of different kinds of factors given this mixture; therefore the utilization of data mining algorithms is advantageous. The approach applied uses a genetic...

  3. The Causal Relationship Between Exchange Rates and Inflation in Turkey:1984-2003

    OpenAIRE

    2006-01-01

    In this study, we investigate empirically the causal relationship between nominal exchange rates and inflation by using high-frequency data of nominal exchange rates and inflation of Turkey. To determine the appropriate Granger causality relations, unit root and cointegtration models are used. With time-series techniques, this study provides evidence that a long-run relationship between nominal exchange rates and inflation exist. However, our results indicate that a causal relationship occurs...

  4. Moscow Black Markets and Official Markets for Foreign Exchange: How Much Flexiblity in Flexible Rates?

    OpenAIRE

    Goldberg, L S

    1992-01-01

    Flexible exchange-rate systems often are not recommended for countries undergoing economic transition. In late 1989, the former Soviet Union instituted exchange-rate flexibility on the limited share of enterprise international transactions channelled through the auction and. later, interbank markets for foreign-currency trade. This paper details the regulatory evolution of this system and analyses the impact of announced and implemented policy initiatives on two sets of flexible exchange rate...

  5. Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil

    Directory of Open Access Journals (Sweden)

    Benjamin Miranda Tabak

    2007-06-01

    Full Text Available This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.

  6. ANALYSIS OF EXCHANGE RATE LINKED SUBSIDIES FOR NON-PRICE EXPORT PROMOTION: THE CASE OF COTTON

    OpenAIRE

    Paudel, Laxmi; Adhikari, Murali; Houston, Jack E.; Kinnucan, Henry W.

    2002-01-01

    An equilibrium displacement framework was developed to evaluate the effect of exchange rate linked subsidies for non-price export promotion for US cotton. Study results show that an increase in promotion expenditure increased the dollar value and producer welfare of cotton growers. The gross gain to the domestic cotton producers from the exchange-rate linked subsidy scheme was positive. These evidences support exchange rate linked subsidies for US cotton export promotion.

  7. ON THE CURRENT RMB EXCHANGE RATE REGIME AFFECTING THE EFFECTIVENESS OF MONETARY POLICY

    Institute of Scientific and Technical Information of China (English)

    黄燕君

    2001-01-01

    The current exchange rate regime of China is just like the US dollar-pegged exchange rate regime, which weakens the effectiveness of monetary policy but increases the effectiveness of fiscal policy. Since the scope of implementing the fiscal policy is quite narrow, it is necessary to promote the effectiveness of monetary policy by enlarging the elasticity of the RMB exchange rate regime so as to stimulate the rapid development of the Chinese economy effectively.

  8. Political Economy of Exchange Rate Regimes: A Panel Data Analysis of Selected European Countries

    OpenAIRE

    Beşkaya, Ahmet; Havanur ERGÜN

    2015-01-01

    The aim of this study is to investigate the effects of economic and political factors on the choice of exchange rate regimes. In order to achieve this goal, we apply for Binary Choice Panel Probit Model to examine the relationships between exchange rate regimes and financial depth, real exchange rate, capital inflow and democracy. Our data covers the period of 1980-2013 for the selected EU countries, namely, Austria, Germany, Belgium, France, Denmark, England, Sweden and Italy. Estimation res...

  9. Design and simulation of heat exchangers using Aspen HYSYS, and Aspen exchanger design and rating for paddy drying application

    Science.gov (United States)

    Janaun, J.; Kamin, N. H.; Wong, K. H.; Tham, H. J.; Kong, V. V.; Farajpourlar, M.

    2016-06-01

    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.

  10. Does Asia's choice of exchange rate regime affect Europe's exposure to US shocks?

    National Research Council Canada - National Science Library

    B Markovic; L Povoledo

    2011-01-01

    .... This happens because, without nominal exchange rate flexibility, Asian firms react to the shocks originating in the United States by implementing significant price adjustments, which in turn affect...

  11. The intraday effects of central bank intervention on exchange rate spreads

    DEFF Research Database (Denmark)

    Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman

    2013-01-01

    We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention...... purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from...... those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty...

  12. Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

    Directory of Open Access Journals (Sweden)

    Guangfeng Zhang

    2014-01-01

    Full Text Available This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

  13. Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    Real options like the ability to reallocate production resources can lead to an asymmetric exchange rate exposure. Using a stock market approach in which the exchange rate exposure is derived from the information content in the stock prices this study examines the extra-market exchange rate...... exposures of a group of blue chip, industrial companies listed on the Copenhagen Stock Exchange. In these companies the existence of real options is an integrated part of the exchange rate exposure management process. The result of the stock market approach is mixed. Statistically significant asymmetric...... dependency in real options decision analysis partly disqualifies the stock market approach as a potent vehicle for identifying asymmetric exchange rate exposures caused by real options....

  14. Examining the reaction of monetary policy to exchange rate changes: A nonlinear ARDL approach

    Science.gov (United States)

    Manogaran, Lavaneesvari; Sek, Siok Kun

    2017-04-01

    Previous studies showed the exchange rate changes can have significant impacts on macroeconomic performance. Over fluctuation of exchange rate may lead to economic instability. Hence, monetary policy rule tends to react to exchange rate changes. Especially, in emerging economies where the policy-maker tends to limit the exchange rate movement through interventions. In this study, we seek to investigate how the monetary policy rule reacts to exchange rate changes. The nonlinear autoregressive distributed lag (NARDL) model is applied to capture the asymmetric effect of exchange rate changes on monetary policy reaction function (interest rate). We focus the study in ASEAN5 countries (Indonesia, Malaysia, Philippines, Thailand and Singapore). The results indicated the existence of asymmetric effect of exchange rates changes on the monetary reaction function for all ASEAN5 countries in the long-run. Where, in majority of the cases the monetary policy is reacting to the appreciation and depreciation of exchange rate by raising the policy rate. This affirms the intervention of policymakers with the `fear of floating' behavior.

  15. The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange

    Directory of Open Access Journals (Sweden)

    Arash Dourandish

    2014-10-01

    Full Text Available Financial markets are one of the most crucial markets in every country. Stock exchange market and exchange market are the most sensitive sectors of financial market. These markets are affected by fluctuations and business cycles in the economy and they reflect economic changes to the economy. On the other hand, disturbance in one or both markets cause concerns among policy makers. Dynamic interactions between these two markets encourage policy makers and researchers to carry out some analysis considering more details. In this study, effects of volatility of exchange market and agricultural processing industries stock market on themselves and each other have been investigated by GARCH model. Weekly data between April 2006 and January of 20014 was used. The results show that the past volatility of exchange market affects the current volatility of this market. The past shock in exchange market has effects on the current volatility of this market , the current volatility of food and beverage industries as well as the sugar industry market. Also, the past shock in sugar industries market affects its current volatility and the current volatility of exchange market and food and beverages industries market. Because changes in exchange rate affect revenues and costs of the mentioned industries, preventing the exchange rate market from fluctuations and putting it in stable by making balance between demand and supply, also controlling the central bank and other regulatory agencies will prevent these two markets from fluctuations. It is, therefore, recommended that policy makers impose monetary and financial policies that reduce volatility in capital and exchange markets.

  16. A study on the effect of interest rate on performance of stock exchange: A case study of Tehran Stock Exchange

    Directory of Open Access Journals (Sweden)

    Akram Javanbakht

    2013-05-01

    Full Text Available Interest rate plays an important role on financial market in any different sectors from real state to auto industry. An increase on interest rates will increase cost of borrowing money from banks, which reduces profitability. The proposed study of this paper investigates the relationship between bank interest rates on performance of stock exchange over the period 2001-2010. The proposed study categorizes interest rates into five different categories including short-term interest rate, special short-term rate, one-year, two-year, three-year, four-year and five-year terms. The results of performing regression analysis have confirmed that there are some positive and meaningful relationship between interest rate in all groups and performance of stock exchange.

  17. ANALYSIS OF EXPECTED AND NON-EXPECTED IMPACTS OF INTEREST RATE, EXCHANGE RATE AND INFLATION IN BRAZILIAN MARKET

    Directory of Open Access Journals (Sweden)

    Marcelo Brutti Righi

    2012-05-01

    Full Text Available This paper examined the expected and non-expected impacts for interest rates, exchange and inflation rates in the Brazilian market. For this purpose, was applied the ARIMA model to estimate the expected value of the first differences of these variables, under a sample of 383 weekly observations for the period from 02/03/2003 to 19/12/2007. Finally, the results indicate that only unexpected shocks in the exchange rate on stock returns were significant.

  18. Explore the Application of Financial Engineering in the Management of Exchange Rate Risk

    Directory of Open Access Journals (Sweden)

    Yang Liu

    2015-01-01

    Full Text Available In the background where the domestic enterprises commonly have a weak protection consciousness against the exchange rate risk, this article makes a deep analysis based on the definition of exchange rate risk and its cause. By comparison of the traditional management method of exchange rate risk with another one based on financial engineering tools, it also deeply analyzes the method to use the financial engineering technology in the management of exchange rate risk, and concludes the primary purpose of exchange rate risk management is for hedging. This article proposes an optimal analysis method in two aspects, namely the minimum risk and maximum efficiency, for the forward-based optimal hedging, and proposes an optimal analysis method of dynamic hedging for the optimal hedging of option-based tools. Based on the description of the application of financial tools in foreign exchange futures, forward contract, currency exchange and foreign exchange option, it makes an empirical analysis on the management of foreign exchange risk by taking an assumed T company as the carrier and based on the trading tools of forward foreign exchange and currency option, which describes the operation procedure of financial tools in a more direct way and proves the efficiency of the optimal analysis method of this article.

  19. Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?

    DEFF Research Database (Denmark)

    Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman

    This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to formulate...... exert a significant influence on the exchange rate spread, but in opposite directions: intervention purchases of the smaller currency, on average, reduce the spread while intervention sales, on average, increase the spread. We also show that intervention only affects the exchange rate spread when...

  20. Exchange rate dynamics, structural breaks, and central bank interventions in Colombia

    Directory of Open Access Journals (Sweden)

    Jorge Mario Uribe

    2015-12-01

    Full Text Available We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014. We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effective. We find that the exchange rate can be described either by a random walk or by a trend-stationary model with multiple breaks. In neither cases do we find any evidence that the exchange rate was affected by the Central Bank interventions.

  1. Exchange frequency in replica exchange molecular dynamics

    Science.gov (United States)

    Sindhikara, Daniel; Meng, Yilin; Roitberg, Adrian E.

    2008-01-01

    The effect of the exchange-attempt frequency on sampling efficiency is studied in replica exchange molecular dynamics (REMD). We show that sampling efficiency increases with increasing exchange-attempt frequency. This conclusion is contrary to a commonly expressed view in REMD. Five peptides (1-21 residues long) are studied with a spectrum of exchange-attempt rates. Convergence rates are gauged by comparing ensemble properties between fixed length test REMD simulations and longer reference simulations. To show the fundamental correlation between exchange frequency and convergence time, a simple model is designed and studied, displaying the same basic behavior of much more complex systems.

  2. RATE LAW AND ITS MOMENT EXPRESSIONS FOR PELLICULAR ION EXCHANGE MATERIALS OF VARIOURS SHAPES

    Institute of Scientific and Technical Information of China (English)

    YangGengliang; ZhangXiaomin; 等

    1994-01-01

    In this paper,the kinetic moment expressions and rate laws are derived for pellicular ion exchange materials with various geometrical forms under the conditions that ion exchange rate is controlled by both the partical diffusion and the film diffusion in finite solution volume.In addition,for strong acidic cation ion exchange fibre,by using the equations obtained we calculated the partical diffusion coefficients and the transfer coefficients in the film under different experimental conditions.

  3. Optimal and Sustainable Exchange Rate Regimes; A Simple Game-Theoretic Approach

    OpenAIRE

    Masahiro Kawai

    1992-01-01

    This paper examines the question of how to design an optimal and sustainable exchange rate regime in a world economy of two interdependent countries. It develops a Barro-Gordon type two-country model and compares noncooperative equilibria under different assumptions of monetary policy credibility and different exchange rate regimes. Using a two-stage game approach to the strategic choice of policy instruments, it identifies optimal (in a Pare to sense) and sustainable (self-enforcing) exchang...

  4. Trade openness, real exchange rates and job reallocation : Evidence from Belgium

    NARCIS (Netherlands)

    I. Colantone (Italo)

    2012-01-01

    textabstractThis paper investigates the impact of real exchange rate movements on job reallocation at the industry level. The analysis focuses on the manufacturing sector of Belgium, using data for 82 NACE 3-digit industries, over the time span 1996-2002. I find that real exchange rate changes do ha

  5. Exchange-rate determination : is there a role for macroeconomic fundamentals?

    NARCIS (Netherlands)

    Jong, E. de

    1997-01-01

    This paper reviews recent trends in exchange rate modelling with a view toward assessing new claims that macroeconomic variables are useful for explaining exchange rates. The application to co-integration techniques and the use of larger datasets have led to more empirical evidence in favour of both

  6. Trade openness, real exchange rates and job reallocation : Evidence from Belgium

    NARCIS (Netherlands)

    I. Colantone (Italo)

    2012-01-01

    textabstractThis paper investigates the impact of real exchange rate movements on job reallocation at the industry level. The analysis focuses on the manufacturing sector of Belgium, using data for 82 NACE 3-digit industries, over the time span 1996-2002. I find that real exchange rate changes do ha

  7. THE EVOLUTION OF CURRENCY RELATIONS IN THE LIGHT OF MAJOR EXCHANGE RATE ADJUSTMENT THEORIES

    Directory of Open Access Journals (Sweden)

    Sergiy TKACH

    2014-07-01

    Full Text Available This paper examines the impact of major exchange rate adjustment theories on the global monetary system. The reasons of the previous organization forms of monetary relations collapse at the global level are defined. The main achievements and failures of major exchange rate theories are described.

  8. Exchange Rate Exposures and Strategies of Industrial Companies: An Empirical Study

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy.......This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy....

  9. A Bayesian analysis of the unit root in real exchange rates

    NARCIS (Netherlands)

    P.C. Schotman (Peter); H.K. van Dijk (Herman)

    1991-01-01

    textabstractWe propose a posterior odds analysis of the hypothesis of a unit root in real exchange rates. From a Bayesian viewpoint the random walk hypothesis for real exchange rates is a posteriori as probable as a stationary AR(1) process for four out of eight time series investigated. The French

  10. Exchange Rate Exposures and Strategies of Industrial Companies: An Empirical Study

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy.......This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy....

  11. Predicting Offender-Generated Exchange Rates: Implications for a Theory of Sentence Severity

    Science.gov (United States)

    May, David C.; Wood, Peter B.; Mooney, Jennifer L.; Minor, Kevin I.

    2005-01-01

    We solicited offender-generated exchange rates between prison and several noncustodial sanctions from a sample of 588 offenders currently serving community-based punishments. We then regressed these exchange rates on demographic, attitudinal, and correctional experience indicators. Males, Blacks, older offenders, offenders with prison experience,…

  12. Review of Air Exchange Rate Models for Air Pollution Exposure Assessments

    Science.gov (United States)

    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...

  13. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

    NARCIS (Netherlands)

    S.M. Hammoudeh (Shawkat); Y. Yuan (Yuan); M.J. McAleer (Michael)

    2010-01-01

    textabstractThis paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct a

  14. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

    NARCIS (Netherlands)

    S.M. Hammoudeh (Shawkat); Y. Yuan (Yuan); M.J. McAleer (Michael)

    2010-01-01

    textabstractThis paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct

  15. Air-water Gas Exchange Rates on a Large Impounded River Measured Using Floating Domes (Poster)

    Science.gov (United States)

    Mass balance models of dissolved gases in rivers typically serve as the basis for whole-system estimates of greenhouse gas emission rates. An important component of these models is the exchange of dissolved gases between air and water. Controls on gas exchange rates (K) have be...

  16. The Impact of Real Exchange Rate on Economic Growth in Albania

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2014-02-01

    Full Text Available Real exchange rate is one of the most important economic variables, especially in today's conditions of integration processes, the removal of trade barriers and increasing direct competition between countries. Real exchange rate affects economy, through its impact on key economic variables, such as employment, inflation and especially economic growth. Changes in the real exchange rate affect the competitiveness of domestic products, resulting in increased exports or imports, affecting trade balance e growth. Also changes in the real exchange rate affect investment and capital accumulation, which are directly linked with economic growth. The aim of this paper is to study the possible impact of the real exchange rate on economic growth in Albania, to answer the question whether the real exchange rate can be used as an instrument of policy. Johansen cointegration method and Vector Error Correction Model is used in this paper to identify the longterm and short-term impact of real exchange rate on economic growth in Albania. Results of the study indicate that the real exchange rate has no significant impact on the Albanian economy, suggesting that policies to promote economic growth, both in the short and long term should not rely on this variable.

  17. Determinants of the ZAR/USD exchange rate and policy implications: A simultaneous-equation model

    Directory of Open Access Journals (Sweden)

    Yu Hsing

    2016-12-01

    Full Text Available This paper examines the determinants of the South African rand/US dollar (ZAR/USD exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the US stock price and the South African inflation rate and negatively influenced by the 10-year US government bond yield, South African real GDP, the South African stock price, and the US inflation rate. The adoption of a free floating exchange rate regime has reduced the value of the rand vs. the US dollar.

  18. External Shocks and Monetary Policy. Does it Pay to Respond to Exchange Rate Deviations?

    National Research Council Canada - National Science Library

    Caputo, Rodrigo

    2009-01-01

    .... We conclude that, in the face of most of the external shocks, a policy rule that responds to exchange rate misalignments smooths inflation and output variability, while marginally increasing interest rate fluctuations...

  19. Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia

    Directory of Open Access Journals (Sweden)

    Isabel Cristina Ruiz

    2005-04-01

    Full Text Available This paper re-examines the effects of inflation and exchange rate uncertainty on real economic activity. The existent literatura has treated both issues as separate subject matters. It has emphasized either the issue of inflation uncertainty or exchange rate uncertainty on economic growth or on different measures of economic activity. This paper attempts dealing with both issues by analyzing the magnitudes and direction of the effect of both: inflation and exchange rate uncertainty on real economic activity. By introducing dummy variables, we control for monetary policy change (the change to inflation targeting and flexible exchange rate. By using a generalized autoregressive conditional variance (GARCH model of inflation and exchange rates, the conditional variances of the model’s forecast errors were extracted as measures of uncertainty. The results suggest that higher levels of inflation Granger cause more uncertainty and viceversa for the Colombian economy. Also, only inflation uncertainty matters for output by exerting a negative influence

  20. RMB Exchange Rate Regime:Suggestions on Further Reform and Exit Strategy

    Institute of Scientific and Technical Information of China (English)

    LiJing

    2003-01-01

    Since 2000,the focus of the study of the RMB exchange rate has transferred from debate on whether it should appreciate or depreciate to the overall phanning and the envisaged improvement of the RMB exchange rate regime.Many scholoars have suggested that if is the best time for reforming the current RMB exchange rate regime for greater exchange rate flexibility.Meanwhile,the IMF,while speaking highly of China's economic performance and its flexible economic policies,also has sugested that China should take advantage of its WTO accession to reform the RMB exchange rate system.There is little doubt,however,that a great deal of ground has to be covered before consensus can be reached on the strategy and concrete steps for carrying out the reform.

  1. Conquering the Summit With Firm Strides——Review on the restarted RMB exchange rate reform

    Institute of Scientific and Technical Information of China (English)

    Zhang Ming

    2010-01-01

    @@ On the evening of June 19th 2010, the central bank of China released that "on further advancing the reform in RMB exchange rate formation mechanism and strengthen-ing the flexibility of RMB rate". There were three key points. First, "now that global economy is steadily recovering, and the recovering trend in China is strengthened, it is necessary to further advance reform in RMB exchange rate formation mechanism, and strengthen the flexibility of RMB rate."

  2. Research of heat exchange rate of the pulsating heat pipe

    Directory of Open Access Journals (Sweden)

    Kravets V. Yu.

    2010-02-01

    Full Text Available Given article presents experimental research of heat transfer characteristics of the pulsating heat pipe (PHP which consists of seven coils with 1 mm inner diameter. Water was used as the heat carrier. PHP construction, measuring circuit and research technique are presented. It is shown that under PHP functioning there are two characteristic modes of operation, which can be distinguished by values of thermal resistance. PHP heat exchange features are disclosed.

  3. East Asia’s Foreign Exchange Rate Policies

    Science.gov (United States)

    2009-07-16

    At the other extreme, Japan, the Philippines, and South Korea have usually allowed their currencies to float freely in foreign exchange ( forex ...China, Indonesia, Malaysia, Singapore, Taiwan, Thailand, and Vietnam allow their currency to adjust in value in forex markets so long as the...There were also reports that Korea sold more dollars for won in early April 2008.7 At the time, some forex analysts claimed that the new South Korean

  4. Exchange rate volatility and oil prices shocks and its impact on economic sustainability

    Directory of Open Access Journals (Sweden)

    Khuram Shaf

    2015-01-01

    Full Text Available Impact of exchange rate volatility has received a great attention from the last century, its importance is certain in all sectors of the economy and it affects welfare as well as social life of the economy. Exchange rate between two currencies tells the value of one currency in terms of others one. Depreciation/Appreciation of exchange rate affects economic growth in terms of trade and shifts income to/from exporting countries from/to importing countries. The factors affecting exchange rate are inflation, interest rate, foreign direct investment, government consumption expenditure and balance of trade. This research study examines the impact of oil prices and exchange rate volatility on economic growth in Germany based on 40-year annual data. Cointegration technique is applied to check the impact of macroeconomic variables on exchange rate in the long run and short run. It is estimated that imports, exports, inflation, interest rate, government consumption expenditure and foreign direct investment had significant impacts on real effective exchange rate in the long run and short run. Sin addition, Engle Granger results indicate that relationship was significant for the long run and its error correction adjustment mechanism (ECM in short a run is significant and correctly signed for Germany.

  5. The Empirical Research of the Impact of GDP and Exchange Rate on Foreign Exchange Reserve Scale in China-Based on Quantile Regression Model

    OpenAIRE

    2013-01-01

    Based on the relevant data from 1985 to 2010, this thesis uses a quantile regression model to make an empirical research about the effect of GDP and exchange rate on foreign exchange reserve. The findings show that: Both GDP and exchange rate have a remarkable influence on the size of foreign exchange reserve and the effect of exchange rate on foreign exchange reserve is higher than GDP at mean place and middle and lower quantile, smaller than GDP at higher quantile. At all the examined quant...

  6. Computational Investigation and Hydrogen/Deuterium Exchange of the Fixed Charge Derivative Tris(2,4,6-Trimethoxyphenyl)Phosphonium: Implications for the Aspartic Acid Cleavage Mechanism

    Energy Technology Data Exchange (ETDEWEB)

    Herrmann, Kristin A.; Wysocki, Vicki H.; Vorpagel, Erich R.

    2005-05-25

    Aspartic acid (Asp)-containing peptides with the fixed charge derivative tris(2,4,6-trimethoxyphenyl) phosphonium (tTMP-P+) were explored computationally and experimentally by H/D exchange and fragmentation studies in order to probe the phenomenon of selective cleavage C-terminal to Asp in the absence of a ''mobile'' proton. Ab initio modeling of the tTMP-P+ electrostatic potential demonstrates the positive charge is distributed on the phosphonium group and therefore is not initiating or directing fragmentation as would a ''mobile'' proton. Geometry optimizations and vibrational analyses of different aspartic acid conformations show the aspartic acid structure with a hydrogen bond between the side chain hydroxy and backbone carbonyl lies 2.8 kcal/mol above the lowest energy conformer. In reactions with D2O, the phosphonium-derived doubly charged peptide (H+)P+LDIFSDF rapidly exchanges all 12 of its exchangeable hydrogens for deuterium and also displays a non-exchanging population. With no added proton, P+LDIFSDF exchanges a maximum of four of eleven exchangeable hydrogens for deuterium. No exchange is observed when all acidic groups are converted to the corresponding methyl esters. Together, these H/D exchange results indicate that the acidic hydrogens are ''mobile locally'' because they are able to participate in exchange even in the absence of an added proton. Fragmentation of two distinct (H+)P+LDIFSDF ion populations shows the non-exchanging population displays selective cleavage, while the exchanging population fragments more evenly across the peptide backbone. This result demonstrates that H/D exchange can sometimes distinguish between and provide a means of separation of different protonation motifs, and that these protonation motifs can have an effect on the fragmentation.

  7. Inventories of Asian textile producers, US cotton exports, and the exchange rate

    Directory of Open Access Journals (Sweden)

    Durmaz Nazif

    2014-01-01

    Full Text Available The present paper develops a model with US cotton exports depending on the stock-to-use ratio, trade weighted exchange rates, and the relative cotton prices. The role of inventories in cotton consumption is examined in five textile producing cotton importers, China, Indonesia, Thailand, South Korea, and Taiwan. Cotton inventory dynamics is diverse among Asian textile producers. Relative prices have negative effect in all markets as expected. Exchange rate elasticities show that effects should be examined for each separate market. Changes in rates of depreciation also have stronger effects than exchange rate. Results reveal that these countries are not all that homogenous.

  8. Impact of Exchange Rate Fluctuation to the Romanian Foreign Currency Reserve

    Directory of Open Access Journals (Sweden)

    Lavinia Diana Vasile

    2006-10-01

    Full Text Available In this article, we intend to indentify the impact of the currency rate of exchange variation of the two main currencies which represent Romania’s foreign currency reserve and the stress test it submits the latter. Up to the present moment there not established a cause-effect relationship or correlation between the foreign currency exchage rate was variation and the foreign currency reserve. In this respect we used an econometrics model based on cointegration analysis of the three series of data corresponding to the period of time 31.01.1995-31.06.2006 (the EURO exchange rate, the USD exchange rate and the foreign currency reserve.

  9. Numerical Exploration of Kaldorian Interregional Macrodynamics: Enhanced Stability and Predominance of Period Doubling under Flexible Exchange Rates

    Directory of Open Access Journals (Sweden)

    Toichiro Asada

    2010-01-01

    Full Text Available We present a discrete two-regional Kaldorian macrodynamic model with flexible exchange rates and explore numerically the stability of equilibrium and the possibility of generation of business cycles. We use a grid search method in two-dimensional parameter subspaces, and coefficient criteria for the flip and Hopf bifurcation curves, to determine the stability region and its boundary curves in several parameter ranges. The model is characterized by enhanced stability of equilibrium, while its predominant asymptotic behavior when equilibrium is unstable is period doubling. Cycles are scarce and short-lived in parameter space, occurring at large values of the degree of capital movement β. By contrast to the corresponding fixed exchange rates system, for cycles to occur sufficient amount of trade is required together with high levels of capital movement. Rapid changes in exchange rate expectations and decreased government expenditure are factors contributing to the creation of interregional cycles. Examples of bifurcation and Lyapunov exponent diagrams illustrating period doubling or cycles, and their development into chaotic attractors, are given. The paper illustrates the feasibility and effectiveness of the numerical approach for dynamical systems of moderately high dimensionality and several parameters.

  10. A comparative study of United States and China exchange rate behavior: A co integration analysis

    Directory of Open Access Journals (Sweden)

    Khuram Shafi

    2015-02-01

    Full Text Available Exchange rates always affect the prices of the imports and export of products and services in which countries are trading with other parts of the world. Therefore, exchange rate calculation is one of the essential issues for making appropriate policies. This research investigates the determinants of trade, i.e. import, export, industrial growth, consumption level and oil prices fluctuation, which bring changes in exchange rate and their influence eventually on balance of payments. Data of defined variables was collected on yearly basis for China and USA for thirty one years. By applying cointegration, it is estimated that there existed a long run relationship in both countries. USA and China had significant and correct signs on the short run dynamic and some of the factors did not. Exchange rate did not granger cause balance of payment and balance of payment did not granger cause exchange rate. In conclusion, we found that determinants of balance of trade could affect the exchange rates, also, these rates had considerable effect (positive or negative on balance of payments. In this twofold study, we found relationship of exchange rate with selected determinants of trade, and also examined their bilateral effect, and then made contrast of both countries.

  11. The Effects of Workers’ Remittances on Exchange Rate Volatility and Exports Dynamics -New Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Adnan Khurshid

    2017-03-01

    Full Text Available This study examines the impact of remittances on the exchange rate and exports in Pakistan, using the system GMM aproach on annual data series. We carry out a full sample Granger causality test along with the sub-sample rolling window approach using monthly data series to find the causal relationship between remittances (REM and the exchange rate (EXR. The System GMM results reveal that remittances depreciate the exchange rate and have a positive influence on export competitiveness. In addition to this, the remittance inflow appreciates the exchange rate only if it is used for savings and negatively affects competitiveness if it is channeled towards consumption. The change in exchange rate regime from multiple to flexible depreciated the exchange rate while, the global financial crises uplifted the currency rate and negatively affect the exports. The results show the bidirectional causal relationship between remittances and the exchange rate. The outcomes further reveal that the parameters in the VAR model are unstable, which is a clear indication of the presence of structural changes. The rolling window estimation approach with time-varying characteristics finds bi-directional causality between REM and the EXR in the different sub-samples. The results of this study fall in line with the portfolio model proposed by Mussa (1984 which states that the flow of remittances causes appreciation. The sub-sample causality is related to significant economic events, which means the results are not a statistical artifact.

  12. Fixed target combined with spectral mapping: approaching 100% hit rates for serial crystallography.

    Science.gov (United States)

    Oghbaey, Saeed; Sarracini, Antoine; Ginn, Helen M; Pare-Labrosse, Olivier; Kuo, Anling; Marx, Alexander; Epp, Sascha W; Sherrell, Darren A; Eger, Bryan T; Zhong, Yinpeng; Loch, Rolf; Mariani, Valerio; Alonso-Mori, Roberto; Nelson, Silke; Lemke, Henrik T; Owen, Robin L; Pearson, Arwen R; Stuart, David I; Ernst, Oliver P; Mueller-Werkmeister, Henrike M; Miller, R J Dwayne

    2016-08-01

    The advent of ultrafast highly brilliant coherent X-ray free-electron laser sources has driven the development of novel structure-determination approaches for proteins, and promises visualization of protein dynamics on sub-picosecond timescales with full atomic resolution. Significant efforts are being applied to the development of sample-delivery systems that allow these unique sources to be most efficiently exploited for high-throughput serial femtosecond crystallography. Here, the next iteration of a fixed-target crystallography chip designed for rapid and reliable delivery of up to 11 259 protein crystals with high spatial precision is presented. An experimental scheme for predetermining the positions of crystals in the chip by means of in situ spectroscopy using a fiducial system for rapid, precise alignment and registration of the crystal positions is presented. This delivers unprecedented performance in serial crystallography experiments at room temperature under atmospheric pressure, giving a raw hit rate approaching 100% with an effective indexing rate of approximately 50%, increasing the efficiency of beam usage and allowing the method to be applied to systems where the number of crystals is limited.

  13. Measuring a hidden coordinate: Rate-exchange kinetics from 3D correlation functions

    Science.gov (United States)

    Berg, Mark A.; Darvin, Jason R.

    2016-08-01

    Nonexponential kinetics imply the existence of at least one slow variable other than the observable, that is, the system has a "hidden" coordinate. We develop a simple, but general, model that allows multidimensional correlation functions to be calculated for these systems. Homogeneous and heterogeneous mechanisms are both included, and slow exchange of the rates is allowed. This model shows that 2D and 3D correlation functions of the observable measure the distribution and kinetics of the hidden coordinate controlling the rate exchange. Both the mean exchange time and the shape of the exchange relaxation are measurable. However, complications arise because higher correlation functions are sums of multiple "pathways," each of which measures different dynamics. Only one 3D pathway involves exchange dynamics. Care must be used to extract exchange dynamics without contamination from other processes.

  14. Measuring a hidden coordinate: Rate-exchange kinetics from 3D correlation functions.

    Science.gov (United States)

    Berg, Mark A; Darvin, Jason R

    2016-08-07

    Nonexponential kinetics imply the existence of at least one slow variable other than the observable, that is, the system has a "hidden" coordinate. We develop a simple, but general, model that allows multidimensional correlation functions to be calculated for these systems. Homogeneous and heterogeneous mechanisms are both included, and slow exchange of the rates is allowed. This model shows that 2D and 3D correlation functions of the observable measure the distribution and kinetics of the hidden coordinate controlling the rate exchange. Both the mean exchange time and the shape of the exchange relaxation are measurable. However, complications arise because higher correlation functions are sums of multiple "pathways," each of which measures different dynamics. Only one 3D pathway involves exchange dynamics. Care must be used to extract exchange dynamics without contamination from other processes.

  15. Fixed Exchange Rates and Possibilities of Financial Crisis: Solarizar or Dollarization of Peruvian Economy?

    OpenAIRE

    2003-01-01

    This working paper has been elaborated with the aim to provide Peruvian policymakers and scholars-academics with economic related concepts and views about the best Monetary Anchor for a Central Bank to deal with control of inflation as well as to prevent them far from possibilities of undesirable financial crisis. We must acknowledge that some causes of financial crisis in developing countries and developed countries like European are very similar such as historical high Fiscal Deficit, Publi...

  16. Exchange rate prediction with multilayer perceptron neural network using gold price as external factor

    Directory of Open Access Journals (Sweden)

    Mohammad Fathian

    2012-04-01

    Full Text Available In this paper, the problem of predicting the exchange rate time series in the foreign exchange rate market is going to be solved using a time-delayed multilayer perceptron neural network with gold price as external factor. The input for the learning phase of the artificial neural network are the exchange rate data of the last five days plus the gold price in two different currencies of the exchange rate as the external factor for helping the artificial neural network improving its forecast accuracy. The five-day delay has been chosen because of the weekly cyclic behavior of the exchange rate time series with the consideration of two holidays in a week. The result of forecasts are then compared with using the multilayer peceptron neural network without gold price external factor by two most important evaluation techniques in the literature of exchange rate prediction. For the experimental analysis phase, the data of three important exchange rates of EUR/USD, GBP/USD, and USD/JPY are used.

  17. The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

    Directory of Open Access Journals (Sweden)

    Naghdi Yazdan

    2015-08-01

    Full Text Available Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking, extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI. Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.

  18. Equilibrium exchange rate assessment in Serbia using the IMF external sustainability approach

    Directory of Open Access Journals (Sweden)

    Pažun Brankica

    2014-01-01

    Full Text Available The exchange rate has always been a topical issue, particularly in the last two decades, at the time of strong world economy globalisation, as well as liberalization of international flows of goods, services and factors of production, which has resulted in stronger trade and financial integration. There has been a rise in the share of trade in world GDP. Growing developing countries contribute significantly to this growth, which is evident from the data that show increase of their share in world trade , as well as their importance in international capital flows. One of the most important concepts in open macroeconomics is the equilibrium real exchange rate - ERER. Deviations of the real exchange rate are considered to be the cause of the loss of competitiveness and economic slowdown, as well as possible currency crisis (overvaluation and undervaluation. Disadvantages of traditional concepts in exchange rate assessment which are very often reflected in unsuccessful empirical results, motivate experts to seek alternative models to assist in equilibrium exchange rate analysis. This paper aims to present one of three complementary methodologies used by the International Monetary Fund, for the equilibrium real exchange rate assessment in Serbia, as well as the deviation of the real exchange rate from its (estimated equilibrium, that is external sustainability approach.

  19. Public Debt Tipping Point Studies Ingnore How Exchange Rate Changes May Create A Financial Meltdowns

    OpenAIRE

    Pope, Robin; Selten, Reinhard

    2012-01-01

    In studies concluding that public debt may hamper GDP, the debt tipping effects are estimated as if there were a single world currency. This means that such studies ignore the likely biggest cause of changes in growth rates, namely damage from exchange rate liquidity shocks because we do not live in the fairyland of a single world currency. The conclusions of these studies are accordingly invalid. They deflect attention from a prime danger, namely an exchange-rate-precipitated global meltdown...

  20. The choice of exchange rate regimes: An empirical analysis for transition economies

    OpenAIRE

    von Hagen, Jürgen; Zhou, Jizhong

    2002-01-01

    We analyze the choice of exchange rate regimes of the 25 transition economies in Europe and the CIS after 1990. The empirical results show that the traditional Optimum Currency Area considerations provide relevant guidance for the exchange rate regime choices in these countries. Moreover, regime choices are influenced by inflation rates, cumulative inflation differentials, and the availability of international reserves. That is, macroeconomic stabilization and the ability to commit to a credi...

  1. Floating Exchange Rate Regime and Changing Dynamics of the Foreign Exchange Market in Turkey

    Directory of Open Access Journals (Sweden)

    Senkan Aldemir

    2011-07-01

    Full Text Available The aim of this study was to determine the changes caused by the implementations of currency basket peg and floating exchange regime on domestic foreign exchange market dynamics through the estimation of weights for the reserve currencies in the currency basket. Elasticity coefficients of Turkish Lira against seven currencies were estimated for two sampling periods (1995:01-1999:07 and 2002:01-2008:01 using generalized vector autoregression method. The study focuses on Turkish economy. The scope of the study represents a quite new field of investigation which is analyzed only to a limited extent in the literature. The main contribution of the study was that the study extended the empirical model which was taken as a basis in the majority of the studies on currency basket and the analyses which estimated using vector autoregression method whose sampling was limited to Asia countries, using generalized impulse response normalization approach. The findings obtained from the first period support the weights of currencies in announced basket of currencies. It was observed that Pound Sterling had a significant weight in domestic foreign exchange market dynamics in the second period.

  2. Estimation of the Behavioral Equilibrium Real Exchange Rate of the Czech Koruna

    Directory of Open Access Journals (Sweden)

    Vít Pošta

    2013-11-01

    Full Text Available Purpose of the article: The paper examines the behavior of the real exchange rate in the Czech Republic. It focuses on the analysis of its driving forces with the emphasis on the turbulences which have been lately seen in the financial and real sector of the economy. Methodology/methods: Real equilibrium exchange rate can be estimated using various approaches ranging from purely statistical to fully structural models. In this paper it is estimated using the BEER methodology, i.e. behavioral equilibrium exchange rate. The BEER approach as applied here rests on building vector error correction models which relate the behavior of the actual real exchange rate to various economic fundamentals from both the real and financial sector of the economy. Scientific aim: The estimated behavioral equilibrium exchange rate serves as a benchmark to which the actual behavior of real exchange rate is compared. The paper also points to various problems that are faced when estimating the real equilibrium exchange rate in a posttransitive economy. Findings: Three variants of the model, which differ in the respective fundamental variables inluded in the estimation, are estimated in the paper. The gap between the estimated real equilibrium exchange rate and real exchange rate as well as the key determinants of the real equilibrium exchange rate are analyzed and compared. The models show that the misalignment between the real exchange rate and fundamentals have narrowed in the recession and post recession period. The key drivers of the real equilibrium exchange rate are the productivity differential, real interest rate differential and net foreign assets. Conclusions: (limits, implications etc The relatively short time series for the Czech economy, especially for some of the variables, do not enable to make reliable estimation of models which would include all of the variables discussed in this paper. This paper is a part of a research project financed

  3. Survival and complication rates of implant-supported fixed partial dentures with cantilevers: a systematic review.

    Science.gov (United States)

    Zurdo, José; Romão, Cristina; Wennström, Jan L

    2009-09-01

    The objective of the present systematic review was to analyze the potential effect of incorporation of cantilever extensions on the survival rate of implant-supported fixed partial dental prostheses (FPDPs) and the incidence of technical and biological complications, as reported in longitudinal studies with at least 5 years of follow-up. A MEDLINE search was conducted up to and including November 2008 for longitudinal studies with a mean follow-up period of at least 5 years. Two reviewers performed screening and data abstraction independently. Prosthesis-based data on survival/failure rate, technical complications (prosthesis-related problems, implant loss) and biological complications (marginal bone loss) were analyzed. The search provided 103 titles with abstract. Full-text analysis was performed of 12 articles, out of which three were finally included. Two of the studies had a prospective or retrospective case-control design, whereas the third was a prospective cohort study. The 5-year survival rate of cantilever FPDPs varied between 89.9% and 92.7% (weighted mean 91.9%), with implant fracture as the main cause for failures. The corresponding survival rate for FPDPs without cantilever extensions was 96.3-96.2% (weighted mean 95.8%). Technical complications related to the supra-constructions in the three included studies were reported to occur at a frequency of 13-26% (weighted mean 20.3%) for cantilever FPDPs compared with 0-12% (9.7%) for non-cantilever FPDPs. The most common complications were minor porcelain fractures and bridge-screw loosening. For cantilever FPDPs, the 5-year event-free survival rate varied between 66.7% and 79.2% (weighted mean 71.7%) and between 83.1% and 96.3% (weighted mean 85.9%) for non-cantilever FPDPs. No statistically significant differences were reported with regard to peri-implant bone-level change between the two prosthetic groups, either at the prosthesis or at the implant level. Data on implant-supported FPDPs with cantilever

  4. Simultaneous experimental determination of labile proton fraction ratio and exchange rate with irradiation radio frequency power-dependent quantitative CEST MRI analysis.

    Science.gov (United States)

    Sun, Phillip Zhe; Wang, Yu; Xiao, Gang; Wu, Renhua

    2013-01-01

    Chemical exchange saturation transfer (CEST) imaging is sensitive to dilute proteins/peptides and microenvironmental properties, and has been increasingly evaluated for molecular imaging and in vivo applications. However, the experimentally measured CEST effect depends on the CEST agent concentration, exchange rate and relaxation time. In addition, there may be non-negligible direct radio-frequency (RF) saturation effects, particularly severe for diamagnetic CEST (DIACEST) agents owing to their relatively small chemical shift difference from that of the bulk water resonance. As such, the commonly used asymmetry analysis only provides CEST-weighted information. Recently, it has been shown with numerical simulation that both labile proton concentration and exchange rate can be determined by evaluating the RF power dependence of DIACEST effect. To validate the simulation results, we prepared and imaged two CEST phantoms: a pH phantom of serially titrated pH at a fixed creatine concentration and a concentration phantom of serially varied creatine concentration titrated to the same pH, and solved the labile proton fraction ratio and exchange rate per-pixel. For the concentration phantom, we showed that the labile proton fraction ratio is proportional to the CEST agent concentration with negligible change in the exchange rate. Additionally, we found the exchange rate of the pH phantom is dominantly base-catalyzed with little difference in the labile proton fraction ratio. In summary, our study demonstrated quantitative DIACEST MRI, which remains promising to augment the conventional CEST-weighted MRI analysis.

  5. Putting the Cart before the Horse? Capital Account Liberalization and Exchange Rate Flexibility in China

    Institute of Scientific and Technical Information of China (English)

    EswarPrasad; ThomasRumbaugh; QingWang

    2005-01-01

    This paper reviews the issues involved in moving towards greater exchange rate flexibility and capital account liberalization in China. A more flexible exchange rate regime would allow China to operate a more independent monetary policy, providing a useful buffer against domestic and external shocks. At the same time, weaknesses in China 's financial system suggest that capital account liberalization poses significant risks and should be a lower priority in the short term. This paper concludes that greater exchange rate flexibility is in China's own interest and that, along with a more stable and robust financial system, it should be regarded as a prerequisite for undertaking a substantial liberalization of the capital account.

  6. Using fuzzy neural networks for RMB/USD real exchange rate forecasting

    Institute of Scientific and Technical Information of China (English)

    HUI Xiao-feng; LI Zhe; WEI Qing-quan

    2005-01-01

    In order to aim at improving the forecasting performance of the RMB/USD exchange rate, this paper proposes a new architecture of fuzzy neural networks based on fuzzy logic, and the method of point differential,which guarantees not only the direction of weight correction, but also the needed precision for the BP algorithm.In applying genetic algorithms for optimal performance, this approach, in the forecasting of the RMB/USD real exchange rate from 1994 to 2000, obviously outperforms typical BP Neural Networks and exhibits a higher capacity in regard to nonlinear, time-variablility, and illegibility of the exchange rate.

  7. Comparing Linear and Non-linear Benchmarks of Exchange Rate Forecasting

    OpenAIRE

    SJ Retief, M Pretorius and I Botha

    2015-01-01

    Throughout the past 3 decades, the random walk model served as exchange rate forecasting benchmark to verify that a model is able to outperform a random process. However, its application as forecasting benchmark is contradictory. Rather than serving as a benchmark that explains exchange rate behaviour, it serves as a benchmark of what we do not understand in exchange rate forecasting – the random component. In order to accommodate for the observed mean reverting and non-linear patterns in e...

  8. Common factors and the exchange rate: results from the Brazilian case

    Directory of Open Access Journals (Sweden)

    Wilson Rafael de Oliveira Felício

    2014-03-01

    Full Text Available This paper studies the usefulness of factor models in explaining the dynamics of the exchange rate Real / Dollar from January 1999 to August 2011. The paper verifies that the inclusion of factors embedded on the common movements of exchange rates of a set of countries significantly improves the in-sample and out-of-sample predictive power of the models comprising only macroeconomic fundamentals commonly used in the literature to forecast the exchange rate. The paper also links the information contained in the factors to global shocks like the demand for dollars - a "dollar effect", volatility and liquidity of global financial markets.

  9. Forecasting TRY/USD Exchange Rate with Various Artificial Neural Network Models

    Directory of Open Access Journals (Sweden)

    Cagatay Bal

    2017-02-01

    Full Text Available Exchange rate forecasting is one of the most common subjects among the forecasting problem field. Researchers and academicians from many different disciplines proposed various approaches for better exchange rate forecasting. In recent years, for solving the stated forecasting problem artificial neural networks have become successful tool to obtain solutions. Many different artificial neural networks have been used, developed and still developing for even better and trustable forecasts. In this study, TRY/USD exchange rate forecasting is modeled with different learning algorithms, activations functions and performance measures. Various Artificial Neural Network (ANN models for better forecasting were investigated, compared and the obtained forecasting results interpreted respectively. The results of the application show that Variable Learning Rate Backpropagation learning algorithm with tan-sigmoid activation function has the best performance for TRY/USD exchange rate forecasting.

  10. Long Term Validity of Monetary Exchange Rate Model: Evidence from Turkey

    Directory of Open Access Journals (Sweden)

    Ugur Ahmet

    2014-03-01

    Full Text Available In this study, it was analyzed if there is a long term relationship among the nominal exchange rate and monetary fundamentals within the periods of 1998:1-2011:2 in Turkey. This relationship has been analysed by using structural VAR (SVAR model. Besides, Granger causality test and Dolado-Lütkepohl Granger causality test were used to determine if there were a causality relationship among the nominal exchange rate and monetary fundamentals. As a result of the SVAR model, the relationship among the series related to nominal exchange rate and money supply, GDP, interest rate in Turkey in long term were not determined and at the end of causality tests, causality relationship among the nominal exchange rate and monetary fundamentals were not determined.

  11. Financial imbalances, the dollar exchange rate and international monetary policy.

    Directory of Open Access Journals (Sweden)

    R. TRIFFIN

    2013-12-01

    Full Text Available The continuous and spectacular rise of the dollar on the global foreign exchange market, despite the equally spectacular current account deficit of the U.S. balance of payments, is something that no economist would have dreamed to be possible. Everyone will agree that the answer to the puzzle lies in the fact that the transactions in the current account now constitute only a small part of the gross currency movements, in fact dominated by capital movements. What needs to be explained then is the sheer volume of the total net capital that finances the deficit. The present work considers this paradox, the dollar’s role in the world monetary system and medium and long-term perspectives for the world financial system.

  12. Catalytic Intermediate Pyrolysis of Napier Grass in a Fixed Bed Reactor with ZSM-5, HZSM-5 and Zinc-Exchanged Zeolite-A as the Catalyst

    Directory of Open Access Journals (Sweden)

    Isah Yakub Mohammed

    2016-03-01

    Full Text Available The environmental impact from the use of fossil fuel cum depletion of the known fossil oil reserves has led to increasing interest in liquid biofuels made from renewable biomass. This study presents the first experimental report on the catalytic pyrolysis of Napier grass, an underutilized biomass source, using ZSM-5, 0.3HZSM-5 and zinc exchanged zeolite-A catalyst. Pyrolysis was conducted in fixed bed reactor at 600 °C, 30 °C/min and 7 L/min nitrogen flow rate. The effect of catalyst-biomass ratio was evaluated with respect to pyrolysis oil yield and composition. Increasing the catalyst loading from 0.5 to 1.0 wt % showed no significant decrease in the bio-oil yield, particularly, the organic phase and thereafter decreased at catalyst loadings of 2.0 and 3.0 wt %. Standard analytical methods were used to establish the composition of the pyrolysis oil, which was made up of various aliphatic hydrocarbons, aromatics and other valuable chemicals and varied greatly with the surface acidity and pore characteristics of the individual catalysts. This study has demonstrated that pyrolysis oil with high fuel quality and value added chemicals can be produced from pyrolysis of Napier grass over acidic zeolite based catalysts.

  13. A Probe into the Choices of Exchange Rates in the Financial Cooperation in Sino- ASEAN Region%中国东盟区域金融合作:汇率制选择探析

    Institute of Scientific and Technical Information of China (English)

    张家寿

    2004-01-01

    The development of Sino-ASEAN financial cooperation is moving ahead and is inconvertible. In order to solve the problem of the exchange rates, careful study should be put into a reasonable mechanism that deals with exchange rates so as to promote and stabilize the development of the economy in that area. Through a careful study on the changes of exchange rates, fixed exchange rate mechanism, the advantage and disadvantage of the floating rates, the control of the capital market, the target areas of the exchange rates and the potential causes of currency crisis in the international monetary system, this essay discusses the potential problems which might arise in Sino-ASEAN financial cooperation.

  14. Exchange rate exposure of firms and the demand for foreign exchange derivatives in Brazil: did hedge or speculatiom matter?

    Directory of Open Access Journals (Sweden)

    Fernando Nascimento de Oliveira

    2012-12-01

    Full Text Available This paper examines empirically how the demand of foreign exchange derivatives by Brazilian corporations is related to their exchange rate exposure. With the help of an original database of 74,567 contracts written from 1999 to 2002 between corporations and financial institutions, we were able to identify the corporations that speculated and the ones that hedged with foreign exchange derivatives during this period. Our results show that the exchange rate exposure is positively related to the foreign operational exposures for firms that speculated and negatively related for firms that hedged in 2002. For the other years of the sample period, speculation or hedge did not affect the relationship between the exchange rate exposure and the foreign operational exposure of firms.Este artigo analisa empiricamente como a demanda de derivativos de câmbio por firmas brasileiras está relacionada as suas exposições cambiais. Coma ajuda de umbanco de dados original de 74.567 contratos entre firmas e instituições financeiras de 1999 a 2002, somos capazes de identificar que empresas especularam e que empresas fizeram hedge durante o período. Nossos resultados mostram que a exposição operacional cambial das firmas está positivamente relacionada com a exposição cambial das firmas que especularam e negativamente relacionada com as firmas que fizeram hedge em 2002. Para os outros anos do período amostral, a especulação ou hedge não afetaram a relação entre a exposição operacional cambial e a exposição operacional das firmas brasileiras.

  15. Measurement of amide hydrogen exchange rates with the use of radiation damping.

    Science.gov (United States)

    Fan, Jing-Song; Lim, Jackwee; Yu, Binhan; Yang, Daiwen

    2011-09-01

    A simple method for measuring amide hydrogen exchange rates is presented, which is based on the selective inversion of water magnetization with the use of radiation damping. Simulations show that accurate exchange rates can be measured despite the complications of radiation damping and cross relaxation to the exchange process between amide and water protons. This method cannot eliminate the contributions of the exchange-relayed NOE and direct NOE to the measured exchange rates, but minimize the direct NOE contribution. In addition, the amides with a significant amount of such indirect contributions are possible to be identified from the shape of the exchange peak intensity profiles or/and from the apparent relaxation rates of amide protons which are extracted from fitting the intensity profiles to an equation established here for our experiment. The method was tested on ubiquitin and also applied to an acyl carrier protein. The amide exchange rates for the acyl carrier protein at two pHs indicate that the entire protein is highly dynamic on the second timescale. Low protection factors for the residues in the regular secondary structural elements also suggest the presence of invisible unfolded species. The highly dynamic nature of the acyl carrier protein may be crucial for its interactions with its substrate and enzymes.

  16. Gauge fixing and renormalisation scale independence of tunneling rate in abelian Higgs model and in the Standard Model

    CERN Document Server

    Lalak, Zygmunt; Olszewski, Paweł

    2016-01-01

    We explicitly show perturbative gauge fixing independence of the tunneling rate to a stable radiatively induced vacuum in the abelian Higgs model. We work with a class of $R_\\xi$ gauges in the presence of both dimensionless and dimensionful gauge fixing parameters. We show that Nielsen identities survive the inclusion of higher order oparators and compute the tunnelling rate to the vacua modified by the nonrenormalisable operators in a gauge invariant manner. We also discuss implications of this method for the complete Standard Model.

  17. Prediction of the Scale Removal Rate in Heat Exchanger Piping

    Directory of Open Access Journals (Sweden)

    Najwa S. Majeed

    2010-01-01

    Full Text Available The possibility of predicting the mass transfer controlled CaCO3 scale removal rate has been investigated.Experiments were carried out using chelating agents as a cleaning solution at different time and Reynolds’s number. The results of CaCO3 scale removal or (mass transfer rate (as it is the controlling process are compared with proposed model of prandtl’s and Taylor particularly based on the concept of analogy among momentum and mass transfer.Correlation for the variation of Sherwood number ( or mass transfer rate with Reynolds’s number have been obtained .

  18. PEE-PEO block copolymer exchange rate between micelles is detergent and temperature activated

    Science.gov (United States)

    Schantz, Allen; Saboe, Patrick; Lee, Hee-Young; Sines, Ian; Butler, Paul; Bishop, Kyle; Maranas, Janna; Kumar, Manish

    We examine the kinetics of polymer chain exchange between polymer/detergent micelles, a system relevant to the synthesis of protein-containing biomimetic membranes. Although chain exchange between polymer aggregates in water is too slow to observe, adding detergent allows us to determine chain exchange rates using time-resolved small-angle neutron scattering (TR-SANS). We examine a membrane-protein-relevant, vesicle-forming ultra-short polymer, Poly(ethyl ethylene)20-Poly(ethylene oxide)18 (PEE20-PEO18). PEE20-PEO18 is solubilized in mixed micelles with the membrane-protein-compatible non-ionic detergent octyl- β -D-glucoside (OG). We show that OG activates block copolymer exchange, and obtain rate constants at two detergent concentrations above the CMC (critical micellar concentration) of OG. We find that chain exchange increases two orders of magnitude when temperature increases from 308 to 338 K, and that even a 1 mg/mL increase in OG concentration leads to a noticeable increase in exchange rate. We also calculate the activation energy for chain exchange and find that it is much higher than for lipid exchange. These findings explain the need for high detergent concentration and/or temperature to synthesize densely packed polymer/protein membranes.

  19. The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach

    Directory of Open Access Journals (Sweden)

    Vincent Brémond

    2016-07-01

    Full Text Available The aim of this paper is to study the relationship between the effective exchange rate of the dollar and the oil price dynamics from 1976 to 2013. We explore the links between financial factors (exchange rate, monetary policy, international liquidity and the oil price volatility. Using a Bayesian time-varying parameter vector auto-regressive estimation we demonstrate that the “historical coincidence” of oil and financial crises can be explained by the specificities of the relationship between these two commodities. The results of this paper are twofold. The US Dollar effective exchange rate elasticity of crude oil prices is not constant across time and remains negative from 1989: a depreciation of the effective exchange rate of the dollar triggers an increase of crude oil prices. This paper also demonstrates the contagion of financial commodities markets development upon the global economy.

  20. The evolutionary synchronization of the exchange rate system in ASEAN+6

    Science.gov (United States)

    Feng, Xiaobing; Hu, Haibo; Wang, Xiaofan

    2010-12-01

    Although there are extensive researches on the behavior of the world currency network, the complexity of the Asian regional currency system is not well understood regardless of its importance. Using daily exchange rates this paper examines exchange rate co-movements in the region before and after the China exchange rate reform. It was found that the correlation between Asian currencies and the US Dollar, the previous regional key currency has become weaker and intra-Asia interactions have increased. Cross sample entropy and cross entropy approaches are also applied to examine the synchrony behavior among the Asian currencies. The study also shows that the Asian exchange rate markets featured are neither stochastic nor efficient. These findings may shed some light on the in-depth understanding of collective behaviors in a regional currency network; they will also lay a theoretical foundation for further policy formulation in Asian currency integration.

  1. Dataset for Probabilistic estimation of residential air exchange rates for population-based exposure modeling

    Data.gov (United States)

    U.S. Environmental Protection Agency — This dataset provides the city-specific air exchange rate measurements, modeled, literature-based as well as housing characteristics. This dataset is associated with...

  2. Econometric analysis of exchange rate in Serbia and its influence on agricultural sector

    Directory of Open Access Journals (Sweden)

    Pažun Brankica

    2016-01-01

    Full Text Available This paper attempts to empirically estimate equilibrium exchange rate level of Serbian dinar. In that purpose reduced form equilibrium real exchange rate approach (ERER is used, developed by IMF's Consultative Group on Exchange Rate Issues (CGER. The research was made by using ARDL approach in the single-country analysis. It has been started from dynamic model which has described relation between real effective exchange rate and a set of fundamental variables. Bound test has been provided due to determination of the long-term relationship existence between variables. F-statistics has been used for long-term relationship testing between dependent variable and set of indicators. Since assumptions were met, least squares method was used for coefficient estimation. The results have shown constant dinar's overvaluation over medium term.

  3. EXCHANGE RATE VOLATILITY AND U.S. AUTO-INDUSTRY EXPORTS: A PANEL COINTEGRATION APPROACH

    Directory of Open Access Journals (Sweden)

    Veysel Avsar

    2013-10-01

    Full Text Available Intermediate goods are often neglected in the empirical studies of the impact of exchange rate volatility on bilateral trade flows. Using import unit values of 58 motor vehicle products and 193 auto-parts, which are classified by the 10-digit level of Harmonized Tariff Schedule (HTS, this study examines the impact of exchange rate volatility on the U.S. automotive industry exports and imports (both motor-vehicle products and auto-parts from 37 major trading partners for the period of 1996.01 to 2008.4 by using panel data cointegration techniques. We obtain substantial heterogeneity in terms of the impact of exchange rate volatility for final and intermediate goods. We also find support for the positive hypothesis that exchange rate volatility may lead to greater levels of trade.

  4. The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters

    National Research Council Canada - National Science Library

    Fakhri Hasanov; Jeyhun Mikayilov; Cihan Bulut; Elchin Suleymanov; Fuzuli Aliyev

    2017-01-01

    .... In order to fill this gap and given the increasing importance of these economies in the world’s energy markets, this paper examines the role of oil prices in the movement of real effective exchange rates of the above...

  5. Dynamic Links between Exchange Rates and Stock Prices in Malaysia: An Asymmetric Cointegration analysis

    National Research Council Canada - National Science Library

    Hamisu Sadi ALI; Umar MUKHTAR; Ganthi Selvi MANIAM

    2015-01-01

    The present article used a monthly data and applied Enders and Siklos (2001) asymmetric cointegration analysis to examine the impact of exchange rates on stock prices in Malaysia for the period of 1999-2014...

  6. Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

    National Research Council Canada - National Science Library

    Koberstein, Achim; Lukas, Elmar; Naumann, Marc

    2013-01-01

    In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands...

  7. Mixed Multifractal Analysis of Crude Oil, Gold and Exchange Rate Series

    Science.gov (United States)

    Dai, Meifeng; Shao, Shuxiang; Gao, Jianyu; Sun, Yu; Su, Weiyi

    2016-11-01

    The multifractal analysis of one time series, e.g. crude oil, gold and exchange rate series, is often referred. In this paper, we apply the classical multifractal and mixed multifractal spectrum to study multifractal properties of crude oil, gold and exchange rate series and their inner relationships. The obtained results show that in general, the fractal dimension of gold and crude oil is larger than that of exchange rate (RMB against the US dollar), reflecting a fact that the price series in gold and crude oil are more heterogeneous. Their mixed multifractal spectra have a drift and the plot is not symmetric, so there is a low level of mixed multifractal between each pair of crude oil, gold and exchange rate series.

  8. IMPAC OF VOLATILITY EXCHANGE RATES ON INDONESIAN ELECTRONIC IMPORTS FROM INTRA AND EXTRA ASEAN

    Directory of Open Access Journals (Sweden)

    Imam Muklis

    2011-09-01

    Full Text Available This study analyzes the effects of exchange rates volatility and Gross Domestic Product (GDP onelectronic commodity import demand in Indonesia from intra and extra ASEAN. It applies an ErrorCorrection Model along with Dickey-Fuller and Augmented Dickey-Fuller tests. It finds that Indonesianimport demand for electronic commodity is significantly affected by GDP only in the shortrun. It also finds that exchange rates volatility in the short run have a negative effect on import demandfrom intra ASEAN and have a positive effect from extra ASEAN. In the long term, Indonesianimport demand from extra ASEAN is positively affected only by exchange rates volatility.Keywords: Exchange rates volatility, error correction model, gross domestic product, ASEANJEL classification numbers: F14, F31

  9. Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia

    Directory of Open Access Journals (Sweden)

    D. Burakov

    2016-06-01

    Full Text Available In this paper, we investigate long and short-term impact of changes in oil prices and the exchange rate on prices of seven groups of agricultural products in Russia (buckwheat, grain crops, potatoes, oat, wheat, rye, barley. In this paper, Granger causality approach is applied to test long-run interlinkages with monthly data from January 1999 to October 2015. For testing the response of agricultural prices to sudden shocks in oil prices and exchange rate in the short run, we use impulse-response techniques. The results of impulse response analysis show that agricultural prices are not particularly sensitive to changes in oil prices and the exchange rate of Russian ruble in the short term, except for imported commodities. In the long run, Granger causal relationship between agricultural prices and oil prices is missing, and with exchange rate is observed only in case of imported agricultural goods.

  10. Numerical Exploration of Kaldorian Macrodynamics: Enhanced Stability and Predominance of Period Doubling and Chaos with Flexible Exchange Rates

    Directory of Open Access Journals (Sweden)

    Toichiro Asada

    2008-01-01

    Full Text Available We explore a discrete Kaldorian macrodynamic model of an open economy with flexible exchange rates, focusing on the effects of variation of the model parameters, the speed of adjustment of the goods market α, and the degree of capital mobility β. We determine by a numerical grid search method the stability region in parameter space and find that flexible rates cause enhanced stability of equilibrium with respect to variations of the parameters. We identify the Hopf-Neimark bifurcation curve and the flip bifurcation curve, and find that the period doubling cascades which leads to chaos is the dominant behavior of the system outside the stability region, persisting to large values of β. Cyclical behavior of noticeable presence is detected for some extreme values of a state parameter. Bifurcation and Lyapunov exponent diagrams are computed illustrating the complex dynamics involved. Examples of attractors and trajectories are presented. The effect of the speed of adaptation of the expected rate is also briefly discussed. Finally, we explore a special model variation incorporating the “wealth effect” which is found to behave similarly to the basic model, contrary to the model of fixed exchange rates in which incorporation of this effect causes an entirely different behavior.

  11. The Role of Exchange Rates in Korea’s Commodity Trade with China

    Directory of Open Access Journals (Sweden)

    Gab-Je Jo

    2010-12-01

    Full Text Available In this paper I investigate the link between Korea's trade balance and the exchange rate, using both aggregated and disaggregated data. Employing the bounds testing approach to cointegration, and error-correction modeling, when I use the aggregate trade balance as a dependent variable, I find no support for the J-curve in the short-run; and also find that in the long-run, the exchange rate had a significant positive impact on the trade balance. However, in both the short and the long-run, I find that the exchange rate does not play a significant role in deterIn this paper I investigate the link between Korea's trade balance and the exchange rate, using both aggregated and disaggregated data. Employing the bounds testing approach to cointegration, and error-correction modeling, when I use the aggregate trade balance as a dependent variable, I find no support for the J-curve in the short-run; and also find that in the long-run, the exchange rate had a significant positive impact on the trade balance. However, in both the short and the long-run, I find that the exchange rate does not play a significant role in determining the bilateral trade balance between Korea and China, nor does it improve the disaggregated trade balance. This is because the exchange rate elasticity of the trade balance depends on the nature of the commodity. Especially if the commodity is an intermediate good or a raw material, the exchange rate elasticity in trade balance could be inelastic because the demand for the intermediate good is a derived demand from the final good.

  12. The contribution of the ECU to exchange rate stability. A reply

    Directory of Open Access Journals (Sweden)

    H. JAGER

    2013-12-01

    Full Text Available A brief reply to Sarcinelli’s criticism of the authors’ article The private ECU’s potential impact on Global and European exchange-rate stability (1988. The authors rebut the criticisms and seek to clarify their reasoning. They maintain their core hypothesis that the growth of the ECU does not necessarily enhance the stability of exchange rates but may lead to instability too.

  13. Gold Price, Stock Price and Exchange rate Nexus: The Case of India

    OpenAIRE

    Srinivasan P

    2014-01-01

    The paper investigates the causal nexus between gold price, stock price and exchange rate in India through the Autoregressive Distributed Lag (ARDL) bounds testing approach and Granger Causality test. Using monthly time series data, the empirical analysis is carried out for the period from June 1990 to April 2014. Our analysis reveals that gold price and stock price tend to have long-run relationship with exchange rate in India. Besides, there is no evidence of stable long-run cointegration r...

  14. Currency Allocation of Public External Debt and Synchronization Indicators of Exchange Rate Volatility

    OpenAIRE

    Martin Melecky

    2010-01-01

    This paper uses synchronization indicators of domestic and foreign fundamentals to choose suitable currency allocation of public external debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model that predicts that not only traditional optimum currency area (OCA) variables, but also variables considered by the literature on currency preferences, such as money velocity, should be relevant for explaining exchange rate volatility. I...

  15. Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers

    OpenAIRE

    Michael G. Papaioannou

    2009-01-01

    This paper presents conventional and alternative exchange-rate risk measures for government bonds, and outlines liability management operations for dealing with currency exposure. These risk measures and liability management operations are analyzed from the perspective of a sovereign debt manager. In particular, we examine the VaR statistic as a prominent measure of exchange rate risk exposure, along with an integrated VaR approach for the simultaneous estimation of a bonded portfolio’s int...

  16. Exchange rates and individual good's price misalignment: Some preliminary evidence of long-horizon predictability

    OpenAIRE

    Dong, Wei; Nam, Deokwoo

    2011-01-01

    When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate. Although purchasing-power-parity fundamentals, in general, have only weak predictability, currency misalignment may be indicated by price differentials for some goods, which could then have predictive power for subsequent re-ev...

  17. THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL

    OpenAIRE

    Tabak, Benjamin M.

    2006-01-01

    This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in...

  18. Exchange Rate Volatility and Macroeconomic War: A Comparative Study of India and Pakistan

    OpenAIRE

    Khuram Shafi; Liu Hua; Zahra Idrees; Amna Nazeer

    2015-01-01

    Exchange rate has proved its behavior in determining the country economic position in this age of globalization and trade liberalization. Therefore, this research investigates that the determinants of trade i.e. Import, export, industrial growth, consumption level and oil prices fluctuation brings changes in exchange rate and its influence eventually on balance of payments in comparison of Indian and Pakistani economies. Data of defined variables is collected on annual basis of India and Paki...

  19. Understanding the oil price-exchange rate nexus for the Fiji islands

    Energy Technology Data Exchange (ETDEWEB)

    Narayan, Paresh Kumar [School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Melbourne (Australia); Narayan, Seema [School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology, Melbourne (Australia); Prasad, Arti [Department of Economics, Faculty of Business and Economics, Monash University (Australia)

    2008-09-15

    In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar. (author)

  20. The Monetary Approach to the Exchange Rate; Rational Expectations, Long-Run Equilibrium and Forecasting

    OpenAIRE

    Ronald Macdonald; Taylor, Mark P.

    1992-01-01

    We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dyn...

  1. DYNAMIC PERSPECTIVE ON THE TRIANGLE FOREIGN DIRECT INVESTMENTS – EXCHANGE RATE – CAPITAL MARKET

    OpenAIRE

    2011-01-01

    This paper focuses on the triangular causal relationship between foreign direct investments, exchange rate and capital market at the level of the CEE countries. For this purpose, we use the weight of market capitalization of listed companies into GDP as proxy for the degree corresponding to the stock market development, the variability of the exchange rate as proxy for the macroeconomic environment and weight of foreign direct investments into GDP as a proxy for the country’s capacity to attr...

  2. The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7

    OpenAIRE

    Shyh-Wei Chen; Tzu-Chun Chen

    2011-01-01

    We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists among the exchange rates and stock prices for the UK and France. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two financial market...

  3. Stock Prices and the Monetrary Model of Exchange Rate: An Empirical Investigation.

    OpenAIRE

    Broom, S.; Morley, B.

    2003-01-01

    This paper develops an alternative version of the monetary model of exchange rate determination, which incorporates a stock price measure. This model is then tested using data from Canada and the USA, applying the cointegration and error correction methodology. In contrast to many previous tests of the monetary model, this version produces evidence of cointegration and stock prices have a highly significant effect on the exchange rate in both the short and long run. In addition the restricted...

  4. Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

    OpenAIRE

    Bartram, Söhnke M.

    2007-01-01

    This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with ...

  5. Regimes cambiais: um modelo alternativo para o Brasil Exchange rate rules: an alternative model for Brazil

    Directory of Open Access Journals (Sweden)

    Manoel Carlos de Castro Pires

    2005-04-01

    Full Text Available After the collapse of the Bretton Woods system, many frameworks of exchange rate have been proposed. The aim of this paper is to propose an alternative rule of exchange rate and evaluate the case for Brazil. The analysis of the Brazilian case made necessary the evaluation of auxiliary instruments for its implementation. The paper proposes the use of capital controls or scape clauses.

  6. What do we know about real exchange rate non-linearities?

    DEFF Research Database (Denmark)

    Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas;

    This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against co...... model performs clearly better. An empirical application of these tests suggests that real exchange rates may indeed be explained by Markov-Switching dynamics....

  7. AN EMPIRICAL ANALYSIS OF THE BLACK MARKET EXCHANGE RATE IN IRAN

    OpenAIRE

    Abbas Valadkhani

    2003-01-01

    The Iranian rial has been depreciated on average about 12 per cent per annum during the last four decades. This paper examines the long- and short-run determinants of the black market exchange rate employing the cointegration techniques and the annual time series data from 1960 to 2000. Broadly consistent with previous studies, it is found that the black market exchange rate is cointegrated with inflation, real GDP and the import price index. However, in the short run only high inflation and ...

  8. Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

    OpenAIRE

    Bartram, Söhnke M.

    2007-01-01

    This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with ...

  9. Determination of the Electron Self-Exchange Rates of Blue Copper Proteins by Super-WEFT NMR Spectroscopy

    DEFF Research Database (Denmark)

    Ma, Lixin; Philipp, Else Astrid; Led, Jens J.

    2001-01-01

    Anabaena variabilis plastocyanin, blue copper proteins, electron self-exchange rates, electron transfer, super-WEFT NMR......Anabaena variabilis plastocyanin, blue copper proteins, electron self-exchange rates, electron transfer, super-WEFT NMR...

  10. 固定床不同床深下的米格列醇离子交换性研究%Ion exchange behavior of miglitol in different fixed-bed depth

    Institute of Scientific and Technical Information of China (English)

    章结兵; 张小里; 李红亚; 赵彬侠

    2012-01-01

    为考察米格列醇在固定床树脂不同堆积高度下的离子交换吸附行为,采用称量不同量的D001树脂装入离子交换柱中,通过固定床堆积高度的改变,在上样液流速和浓度固定前提下研究米格列醇溶液与树脂间的离子交换规律性,并结合床深服务时间(BDST)模型对此条件下固定床透过曲线进行分析评价.结果表明:固定床堆积高度的增加,提高了树脂与米格列醇溶液间的接触时间和树脂总的可交换离子数,有利于离子交换过程的进行,树脂的吸附质量和吸附率都得到了相应提高,堆积高度的增加使饱和点时间变长,吸附效率变小;对固定床透过曲线进行BDST模型拟合分析,结果表明:该模型与实验值间具有很高的相关系数,计算的相关参数间差异很小,对于该离子交换体系,表明BDST模型能很好地应用于该体系的离子交换吸附过程.%In order to investigate the ion exchange adsorption behavior of miglitol in different fixed bed depth, the different quantitative D001 resins were placed into ion exchange column, and the ion exchange law of miglitol and resins was studied by changing the stack height of fixed bed in premise of the same flow velocity and fixed concentration of sample. In this condition, the breakthrough curves of fixed bed were analyzed and evaluated based on the bed depth service time ( BDST) model. The results show that the contact time of ion exchange and the total exchangeable ion numbers of resins are increased with the augment of the fixed-bed stack height, which is more favorable to ion exchange process. The adsorption capacity and adsorption rate of resin are also increased accordingly. The higher stack height of fixed bed can prolong the equilibrium point time and lower the adsorption efficiency. In addition, the mathematics model of BDST was used to fit the experimental data of fixed-bed breakthrough curves, which shows a high correlation coefficient

  11. The Role of Private Information in Short-term Fluctuations of Won/Dollar Exchange Rates

    Directory of Open Access Journals (Sweden)

    Haesik Park

    1999-12-01

    Full Text Available In this paper, we have examined the short-run movement of the won/dollar exchange rate using information obtained from the inter-bank market in Korea. First, we constructed the hourly measure of excess demand for dollar and used it as a proxy for the trading pattern of market participants. To construct this time series, we relied on the bid and ask won/dollar exchange rates collected on the two-minute interval. We then estimated the structural VAR model consisting of the actually observed won/dollar exchange rate and the proxied trading pattern of market participants to see if private information, as opposed to public information, is relevant for explaining the hourly movement of the won/dollar exchange rate. Private information is found to account for more 30% of hourly variations of the won/dollar exchange rate. Next, we constructed the trading pattern of market participants on a daily basis using the same data set employed to build the hourly measure. We then examined whether private information is useful for predicting the daily won/dollar exchange rate movement. We found that the forecast model using both private and public information reduces out-of-sample forecast errors of an alternative model relying only on public information by 20~25%. Also, the out-of-sample forecast of the model using both private and public information is found to be more accurate than the random walk model.

  12. Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach

    Science.gov (United States)

    Hussain, Muntazir; Zebende, Gilney Figueira; Bashir, Usman; Donghong, Ding

    2017-01-01

    Most empirical literature investigates the relation between oil prices and exchange rate through different models. These models measure this relationship on two time scales (long and short terms), and often fail to observe the co-movement of these variables at different time scales. We apply a detrended cross-correlation approach (DCCA) to investigate the co-movements of the oil price and exchange rate in 12 Asian countries. This model determines the co-movements of oil price and exchange rate at different time scale. The exchange rate and oil price time series indicate unit root problem. Their correlation and cross-correlation are very difficult to measure. The result becomes spurious when periodic trend or unit root problem occurs in these time series. This approach measures the possible cross-correlation at different time scale and controlling the unit root problem. Our empirical results support the co-movements of oil prices and exchange rate. Our results support a weak negative cross-correlation between oil price and exchange rate for most Asian countries included in our sample. The results have important monetary, fiscal, inflationary, and trade policy implications for these countries.

  13. Trade rules and exchange rate misalignments: in search for a WTO solution

    Directory of Open Access Journals (Sweden)

    Vera Thorstensen

    2014-09-01

    Full Text Available The debate on the link between trade rules and rules on exchange rates is raising the attention of experts on international trade law and economics. The main purpose of this paper is to analyze the impacts of exchange rate misalignments on tariffs as applied by the WTO - World Trade Organization. It is divided into five sections: the first one explains the methodology used to determine exchange rate misalignments and also presents its results for Brazil, U.S. and China; the second summarizes the methodology applied to calculate the impacts of exchange rate misalignments on the level of tariff protection through an exercise of "misalignment tariffication"; the third examines the effects of exchange rate variations on tariffs and their consequences for the multilateral trading system; the fourth one creates a methodology to estimate exchange rates against a currency of the World and a proposal to deal with persistent and significant misalignments related to trade rules. The conclusions are present in the last section.

  14. The performance of one belt and one road exchange rate: Based on improved singular spectrum analysis

    Science.gov (United States)

    Lai, Lin; Guo, Kun

    2017-10-01

    ;One Belt and One Road; strategy in China is on push of foreign trade openness at northwest, southwest and northeast, absorption of the excess capacity and new support for economic increase. However, the fluctuation in RMB exchange rate with the countries along the road is unstable so related Chinese enterprises will face high risk of exchange rate. Precise explanation or prediction for exchange rate has been the challengeable hop point in the international finance. This paper decomposed the One Belt One Road Exchange Rate Index (OBORR) and the RMB Effective Exchange Rate Index (CNYX) into trend term, market fluctuation term and noise term using improved singular spectrum analysis (SSA). It turns out that the increasing velocity of OBORR is greater than that of CNYX in the long term, and there is dynamic lead-lag structure in the medium term. In the short term, the fluctuation range and frequency of OBORR are greater than those of CNYX, which means there will be more exchange rate risks in One Belt and One Road countries.

  15. Forecasting of currency exchange rates using an adaptive ARMA model with differential evolution based training

    Directory of Open Access Journals (Sweden)

    Minakhi Rout

    2014-01-01

    Full Text Available To alleviate the limitations of statistical based methods of forecasting of exchange rates, soft and evolutionary computing based techniques have been introduced in the literature. To further the research in this direction this paper proposes a simple but promising hybrid prediction model by suitably combining an adaptive autoregressive moving average (ARMA architecture and differential evolution (DE based training of its feed-forward and feed-back parameters. Simple statistical features are extracted for each exchange rate using a sliding window of past data and are employed as input to the prediction model for training its internal coefficients using DE optimization strategy. The prediction efficiency is validated using past exchange rates not used for training purpose. Simulation results using real life data are presented for three different exchange rates for one–fifteen months’ ahead predictions. The results of the developed model are compared with other four competitive methods such as ARMA-particle swarm optimization (PSO, ARMA-cat swarm optimization (CSO, ARMA-bacterial foraging optimization (BFO and ARMA-forward backward least mean square (FBLMS. The derivative based ARMA-FBLMS forecasting model exhibits worst prediction performance of the exchange rates. Comparisons of different performance measures including the training time of the all three evolutionary computing based models demonstrate that the proposed ARMA-DE exchange rate prediction model possesses superior short and long range prediction potentiality compared to others.

  16. Stationarity test with a direct test for heteroskedasticity in exchange rate forecasting models

    Science.gov (United States)

    Khin, Aye Aye; Chau, Wong Hong; Seong, Lim Chee; Bin, Raymond Ling Leh; Teng, Kevin Low Lock

    2017-05-01

    Global economic has been decreasing in the recent years, manifested by the greater exchange rates volatility on international commodity market. This study attempts to analyze some prominent exchange rate forecasting models on Malaysian commodity trading: univariate ARIMA, ARCH and GARCH models in conjunction with stationarity test on residual diagnosis direct testing of heteroskedasticity. All forecasting models utilized the monthly data from 1990 to 2015. Given a total of 312 observations, the data used to forecast both short-term and long-term exchange rate. The forecasting power statistics suggested that the forecasting performance of ARIMA (1, 1, 1) model is more efficient than the ARCH (1) and GARCH (1, 1) models. For ex-post forecast, exchange rate was increased from RM 3.50 per USD in January 2015 to RM 4.47 per USD in December 2015 based on the baseline data. For short-term ex-ante forecast, the analysis results indicate a decrease in exchange rate on 2016 June (RM 4.27 per USD) as compared with 2015 December. A more appropriate forecasting method of exchange rate is vital to aid the decision-making process and planning on the sustainable commodities' production in the world economy.

  17. Exchange rate volatility and export growth in India: An ARDL bounds testing approach

    Directory of Open Access Journals (Sweden)

    P. Srinivasan

    2013-07-01

    Full Text Available This paper empirically investigates the impact of exchange rate volatility on the real exports in India using the ARDL bounds testing procedure proposed by Pesaran et al. (2001. Using annual time series data, the empirical analyses has been carried out for the period 1970 to 2011. The study results confirm that real exports are cointegrated with exchange rate volatility, real exchange rate, gross domestic product and foreign economic activity. Our findings indicate that the exchange rate volatility has significant negative impact on real exports both in the short-run and long-run, implying that higher exchange rate fluctuation tends to reduce real exports in India. Besides, the real exchange rate has negative short-run and positive long-run effects on real exports. The empirical results reveal that GDP has a positive and significant impact on India’s real exports in the long-run, but the impact turns out to be insignificant in the short-run. In addition, the foreign economic activity exerts significant negative and positive impact on real exports in the short-run and long-run, respectively.

  18. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  19. The Effect of Exchange Rate Volatility on Iran’s Raisin Export

    Directory of Open Access Journals (Sweden)

    2014-10-01

    Full Text Available Exchange rate volatility is one of the effective and ambiguous factors in agricultural product export. Considering the importance of agricultural trade to avoid single-product economy, the main aim of this study was to investigate the impact of exchange rate volatility on the Raisin export of Iran during the years1959-2011. For this purpose, exchange rate volatility index was estimated using Moving Average Standard Deviation (MASD. Then, the impact of exchange rate volatility on the value of Raisin export was examined using Johansen's and Juselius's cointegration method and Vector Error Correction Model (VECM.The results showed that in the long-term and short-term there is a significant relationship between Raisin exports and its main variables (weighted average of Gross income of importers, Wholesale Prices, real exchange rate, Value-added of agricultural sector; as according to the theory it has negative relationship with exchange rate volatility. The error correction coefficient sentence ECM (-1 significantly and its sign was negative as expected. The value of this coefficient is equal to the -0/20 and indicates that about 20 percent of Raisin exports imbalance from its long-term value, after of a period will be Elapse.

  20. Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN

    Directory of Open Access Journals (Sweden)

    Chi Xie

    2015-01-01

    Full Text Available There are various models to predict financial time series like the RMB exchange rate. In this paper, considering the complex characteristics of RMB exchange rate, we build a nonlinear combination model of the autoregressive fractionally integrated moving average (ARFIMA model, the support vector machine (SVM model, and the back-propagation neural network (BPNN model to forecast the RMB exchange rate. The basic idea of the nonlinear combination model (NCM is to make the prediction more effective by combining different models’ advantages, and the weight of the combination model is determined by a nonlinear weighted mechanism. The RMB exchange rate against US dollar (RMB/USD and the RMB exchange rate against Euro (RMB/EUR are used as the empirical examples to evaluate the performance of NCM. The results show that the prediction performance of the nonlinear combination model is better than the single models and the linear combination models, and the nonlinear combination model is suitable for the prediction of the special time series, such as the RMB exchange rate.

  1. Impact of exchange rate depreciation on the balance of payments: Empirical evidence from Nigeria

    Directory of Open Access Journals (Sweden)

    Martins Iyoboyi

    2014-12-01

    Full Text Available The paper investigates the impact of exchange rate depreciation on the balance of payments (BOP in Nigeria over the period 1961–2012. The analysis is based on a multivariate vector error correction framework. A long-term equilibrium relationship was found between BOP, exchange rate and other associated variables. The empirical results are in favour of bidirectional causality between BOP and other variables employed. Results of the generalized impulse response functions suggest that one standard deviation innovation on exchange rate reduces positive BOP in the medium and long term, while results of the variance decomposition indicate that a significant variation in Nigeria’s BOP is not due to changes in exchange rate movements. The policy implication is that exchange rate depreciation which has been preponderant in Nigeria since the mid-1980s has not been very useful in promoting the country’s positive BOP. It is recommended that growth in the real sector should be improved to enhance exports, create employment, curb inflation and reduce poverty, while cutting non-productive imports, attracting foreign private investment and implementing well coordinated macroeconomic policies that impact inflation positively and stimulate exchange rate stability.

  2. Examination of the effects of public spending and trade policy on real exchange rate in Cameroon

    Directory of Open Access Journals (Sweden)

    Victalice Ngimanang ACHAMOH

    2015-11-01

    Full Text Available The study adopts the inter-temporal model of Rodríguez (1989 and Edward (1989 extended in Elbadawi and Soto (1997 to empirically examine the effect of public expenditure and trade openness on the real exchange rate using Cameroon data from 1977 to 2010. After exploring some issues on exchange rate and reviewing the relevant literature, the study employs residual based-cointegration technique. All the variables were stationary at level form or first differences. Public spending significantly appreciates the real exchange likewise the trade openness variable in the longrun. The results of the study suggests that appreciation of real exchange rate could be prevented by contracting public spending or adopting restrictive trade measures especially in the long run.

  3. Exchange rate and oil price interactions in transition economies: Czech Republic, Hungary and Poland

    Directory of Open Access Journals (Sweden)

    Bayat Tayfur

    2015-01-01

    Full Text Available This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy’s high imported energy dependency.

  4. A Comparison of the Monetary Model and Artificial Neural Networks in Exchange Rate Forecasting

    Directory of Open Access Journals (Sweden)

    Filiz Ozkan

    2012-01-01

    Full Text Available Exchange value is one of the significant tools for investors in decision making. Since exchange values are volatile and they change within short periods, investors need an effective method to minimize the risk. This study compares the prediction performances of artificial neural networks, which is recently being used as an effective tool of prediction, and the monetary model, which is one of the methods to predict structural exchange rates. In this study exchange rates of Turkish Lira against US Dollar and Euro are predicted. In models, inflation levels for domestic and foreign countries, money supply, interest rates and economic indicators are used. The time period between 1986 and 2010 is covered for the USD and the time period between 1999 and 2010 is covered for the EU. Results of this study show that ANN, which is recently being used for the prediction problems, reached a high level prediction performance.

  5. Stress effect on conception rate in Nellore cows submmited to fixed time artificial insemination. Preliminary results

    Directory of Open Access Journals (Sweden)

    Fábio Luis Nogueira Natal

    2013-12-01

    Full Text Available In beef cattle, fixed time artificial insemination (FTAI provides a method to inseminate large numbers of females in a specific time, which result in economical gains due, among others, to a more uniform calf crop. However, FTAI requires frequent manipulation of animals in order to inject hormones and for clinical examination. Consequently, animals seemed stressed in less or higher extent at the time of insemination. This can be a problem because it has been demonstrated that application of an acute stress treatment (electric shock, confinement, restraint and rotation twice a day during the follicular phase of the oestrous cycle prevents the pre-ovulatory LH surge. This study aimed to evaluate if FTAI efficiency of Nellore cows is affected by the degree of stress observed at time of AI. Nellore cows (n=92 were treated (Day 0 with a progesterone intravaginal devise (Primer®, Tecnopec, São Paulo, Brazil containing 1 g of progesterone and injected with estradiol benzoate (2mg EB, Estrogin, AUSA, Brazil. Primer was removed on Day 8 (08:00 AM and administered one injection of cloprostenol (125 mcg, Prolise®, Tecnopec, São Paulo, Brazil. Twenty-four hours later, cows received 2 mg EB and insemination (semen from one sire was done on the afternoon (14:00 to 16:00 PM of day 10. At time of FTAI, the stress condition was classified as 1 (low, 2 (moderate or 3 (high according the reactivity of cows to enter in the squeeze chute and apparent nervous behavior. Pregnancy status was evaluated by transrectal ultrasound on day 40 after FTAI. Data were analyzed by Chi-square test. Cows with moderate or high degree of stress had lower conception rate than low stressed cows (P<0.01. These results suggest that cow temperament must be considered in the planning of FTAI programs. Studies are in progress in order to measure hormonal parameters (cortisol and Alpha amylase that better reflects the “fight-or-flight” response to immediate stressors in order to

  6. Multifractal analysis of managed and independent float exchange rates

    Science.gov (United States)

    Stošić, Darko; Stošić, Dusan; Stošić, Tatijana; Stanley, H. Eugene

    2015-06-01

    We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning between the two regimes. We find that after the transition from managed to independent float regime the changes in multifractal spectrum (position of maximum and width) indicate an increase in market efficiency. The observed changes are more pronounced for developed countries that have a well established trading market. After shuffling the series, we find that the multifractality is due to both probability density function and long term correlations for managed float regime, while for independent float regime multifractality is in most cases caused by broad probability density function.

  7. External Shocks and Monetary Policy. Does it Pay to Respond to Exchange Rate Deviations?

    Directory of Open Access Journals (Sweden)

    Rodrigo Caputo

    2009-03-01

    Full Text Available There is substantial evidence suggesting that central banks in open economies react to exchange rate fluctuations, in addition to expected inflation and output. In some developing countries this reaction is comparatively larger and it is nonlinear. In an estimated structural macromodel for Chile, this paper assesses the advantages and potential costs of adopting such a reaction function. We conclude that, in the face of most of the external shocks, a policy rule that responds to exchange rate misalignments smooths inflation and output variability, while marginally increasing interest rate fluctuations. On the other hand, for some domestic innovations such a rule performs poorly. When all the shocks are considered at the same time, this rule generates important welfare gains. Finally, when the volatility of external shocks rises, increasing the response to exchange rate misalignments brings welfare improvements. In fact, a more aggressive response to the exchange rate offsets the impact that greater external volatility has on output and inflation, at the cost of inducing higher interest rate fluctuations. In this way, one can interpret the nonlinear reaction to the exchange rate as an optimal response to a more volatile external environment.

  8. TRADE, EXCHANGE RATE AND AGRICULTURAL POLICIES IN MALAYSIA

    OpenAIRE

    Glenn Jenkins; Andrew Lai

    1989-01-01

    Malaysia, a country of approximately 16 million people which gained independence in 1957, relied heavily on trade to achieve substantial growth in GNP during the 1960s (6.7 percent per year) and 1970s (10.5 percent per year). In the period 1980-83, however, the rate slipped to 3.1 percent per year. Malaysia’s traditional exports are natural rubber and palm oil, but in the 1970s the country also became an important exporter of crude oil. During the study period (1960-83) government interventio...

  9. Peptide-Column Interactions and Their Influence on Back Exchange Rates in Hydrogen/Deuterium Exchange-MS

    Science.gov (United States)

    Sheff, Joey G.; Rey, Martial; Schriemer, David C.

    2013-07-01

    Hydrogen/deuterium exchange (HDX) methods generate useful information on protein structure and dynamics, ideally at the individual residue level. Most MS-based HDX methods involve a rapid proteolytic digestion followed by LC/MS analysis, with exchange kinetics monitored at the peptide level. Localizing specific sites of HDX is usually restricted to a resolution the size of the host peptide because gas-phase processes can scramble deuterium throughout the peptide. Subtractive methods may improve resolution, where deuterium levels of overlapping and nested peptides are used in a subtractive manner to localize exchange to smaller segments. In this study, we explore the underlying assumption of the subtractive method, namely, that the measured back exchange kinetics of a given residue is independent of its host peptide. Using a series of deuterated peptides, we show that secondary structure can be partially retained under quenched conditions, and that interactions between peptides and reversed-phase LC columns may both accelerate and decelerate residue HDX, depending upon peptide sequence and length. Secondary structure is induced through column interactions in peptides with a solution-phase propensity for structure, which has the effect of slowing HDX rates relative to predicted random coil values. Conversely, column interactions can orient random-coil peptide conformers to accelerate HDX, the degree to which correlates with peptide charge in solution, and which can be reversed by using stronger ion pairing reagents. The dependency of these effects on sequence and length suggest that subtractive methods for improving structural resolution in HDX-MS will not offer a straightforward solution for increasing exchange site resolution.

  10. Capital accumulation, structural change and real exchange rate in a Keynesian-Structuralist growth model

    Directory of Open Access Journals (Sweden)

    Oreiro José Luis

    2015-01-01

    Full Text Available The aim of this paper is to show at theoretical level that maintaining a competitive real exchange rate positively affects the economic growth of developing countries by means of a Keynesian-Structuralist model that combines elements of Kaleckian growth models with the balance of payments constrained growth models pioneered developed by Thirlwall. In this setting, the level of real exchange rate is capable, due to its effect over capital accumulation, to induce a structural change in the economy, making endogenous income elasticities of exports and imports. For reasonable parameter values it is shown that in steady-state growth there is two long-run equilibrium values for real exchange rate, one that corresponds to an under-valued currency and another that corresponds to an over-valued currency. If monetary authorities run exchange rate policy in order to target a competitive level for real exchange rate, than under-valued equilibrium is stable and the economy will show a high growth rate in the long-run.

  11. R&D on Resistive Heat Exchangers for HTS High Rated Current Leads%R&D on Resistive Heat Exchangers for HTS High Rated Current Leads

    Institute of Scientific and Technical Information of China (English)

    毕延芳

    2011-01-01

    The HTS current leads of superconducting magnets for large scale fusion devices and high energy particle colliders can reduce the power consumption for cooling by 2/3 compared with conventional leads. The resistive sections of high-rated current leads are usually made of a heat exchanger cooled by gas flow. The supply of the cooling mass flow incurs more than 90% of the cooling cost for the HTS leads. The mass flow rate requirement depends not only on the length and material of the resistive heat exchanger, but also on the heat transfer coefficient and HEX surface, the joint resistance at the cold end of a sheet-stack HEX with a larger specific presented in the paper. The test results of efficiency can be achieved. and its cooling approach. The design and operation surface and a much smaller hydraulic diameter are an HTS lead optimized for 8 kA show that a 98.4%

  12. Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from Iran and South Korea

    Directory of Open Access Journals (Sweden)

    Akbar Tavakoli

    2013-01-01

    Full Text Available The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis. An econometric multiple generalized autoregressive conditional heteroscedasticity (MGARCH BEKK method and the Rats software are applied to analyze a dynamic relationship between two markets in each country. The estimated results show a bidirectional relationship between two markets in South Korean economy and only a unidirectional relationship from exchange market to stock market in Iranian economy. The persistence of volatility transmission effects of each market on its own is also found in each economy. In the exchange market, this effect is in opposite direction in Iran compared to Korea, whereas in the stock market both effects are positive and almost the same in two economies. The policy implication of finding is clear. The financial policymakers should watch both stock and exchange markets in two economies to prevent the bidirectional volatility effects between two markets in Korea and the unidirectional volatility from the exchange market to sock market in Iran.

  13. Balassa-Samuelson Effect in Won/Dollar and Won/Yen Exchange Rates

    Directory of Open Access Journals (Sweden)

    Donghwan Oh

    2010-06-01

    Full Text Available This paper examines, using various models including a non-linear one, that the Balassa-Samuelson (BS effect can account for the persistence of deviations from PPP in the long-run movements of won/dollar and won/yen real exchange rates. In test for PPP hypothesis that incorporates the BS effect, using the generalized Johansen' cointegration method, it is found that a cointegration relationship exists between each of won/dollar and won/yen real exchange rate and the productivity variables of two countries. And in test for PPP hypothesis that incorporates other fundamentals such as cumulative current account balance, foreign exchange reserve, terms of trade as well as productivity differentials, using a behavioral equilibrium exchange rate approach, it is found that a cointegration relationship exists between each of won/dollar and won/yen real exchange rate and all of these fundamentals. However, the plus sign of the estimated coefficient of the productivity differentials variable, which means that domestic productivity improvement produces increase in each of won/dollar and won/yen real exchange rate is not coincident with the result that the BS effect expects theoretically. Finally, in test for PPP hypothesis that incorporates the BS effect, using a non-linear STAR model, it is found that the adjustment process in case of won/dollar real exchange rate from the long-run equilibrium level can be adequately explained by a non-linear LSTAR model. But, the evidence of diagnostic statistics, which shows the existence of autocorrelation of the residuals in most of lags, might suggest the inadequacy of LSTAR model specification.

  14. An Assessment Of The Stock Market And Exchange Rate Dynamics In Industrialized And Emerging Markets

    OpenAIRE

    Beer, F.; F. Hebein

    2011-01-01

    This paper adopts an Exponentional General Autoregressive Conditional Heteroskedasticity (EGARCH) framework to explore the relationship between stock prices and exchange rates for two groups of countries: emerging and developed economies. Results show that some positive significant price spillovers from the foreign exchange market to the stock market exist for Canada, Japan, the U.S and India. Findings also show for the developed countries, there is no persistence of volatility in the stock m...

  15. Chaoticity in the time evolution of foreign currency exchange rates in Turkey

    Science.gov (United States)

    Cakar, O.; Aybar, O. O.; Hacinliyan, A. S.; Kusbeyzi, I.

    Tools from chaos theory that have found recent use in analysing financial markets have been applied to the US Dollar and Euro buying and selling rates against the Turkish currency. The reason for choosing the foreign exchange rate in this analysis is the fact that foreign currency is an indicator of not only the globalization of economy but also savings and investment. In order to test the globality assumption and to ascertain the degree of involvement of local conditions in Turkey, the Euro and US dollar exchange rates have been subjected to the same analysis.

  16. ENVIRONMENTAL DEPENDENCES OF STAR FORMATION RATE (SFR, SPECIFIC STAR FORMATION RATE (SSFR AND STELLAR MASS AT FIXED LUMINOSITY

    Directory of Open Access Journals (Sweden)

    Xin-Fa Deng

    2013-01-01

    Full Text Available Using four volume-limited Main galaxy samples of the Sloan Digital Sky Survey Data Release 8 (SDSS DR8, we have investigated the environmental dependences of the SFR, SSFR and stellar mass at fixed luminosity. At fixed luminosity, we still observe strong environmental dependences of the SFR, SSFR and stellar mass of galaxies: galaxies in the lowest density regime preferentially have a higher SFR or SSFR and lower stellar mass than galaxies in the densest regime. This result suggests that the limitation or fixation of luminosity does not exert substantial influence on the environmental dependences of the SFR, SSFR and stellar mass of galaxies, which further shows that luminosity is not a fundamental parameter in correlations between galaxy properties and the environment.

  17. Empirical Tests of the Assumptions Underlying Models for Foreign Exchange Rates.

    Science.gov (United States)

    1984-03-01

    Martinengo (1980) extends a model by Dornbusch (1976) in which market equilibrium is formalized in terms of interest rates, level of prices, public...55-65. Dornbusch , R., "The Theory of Flexible Exchange Rate Regimes and Macroeconomic Policy", Scandinavian Journal of Economics, 78, 1976, pP. 255

  18. The Effect of Changes in Real Exchange Rates on Employment: Evidence from Manufacturing Industries in China,1980-2002

    Institute of Scientific and Technical Information of China (English)

    FAN Yanhui; SONG Wang

    2006-01-01

    This paper analyzes the effect of changes in real exchange rate on manufacturing employment.Our theoretical model predicts the positive effect of depreciation of real exchange rate on employment through a firm's expectation on changes in real exchange rate and the interaction between real exchange rate and a firm's import and domestic input.Using China's manufacturing data during the 1980-2003 period,we find that depreciation of real exchange rate promotes employment growth in manufacturing industries,while change in real exchange rate is not a significant factor in promoting wage growth.We also find that an increase in export share offsets partially the effects of real exchange rate on employment and real wages.

  19. The Effects of Exchange Rate Market in the Economy of Kosova

    Directory of Open Access Journals (Sweden)

    Argjira Kadrijaj Dushi

    2014-08-01

    Full Text Available From a conducted centralized economy, Kosovo‟s economy became a free market after 1999. This made the economy of Kosovo to face a lot of challenges. One of them and still a topic not studied among Kosovo economists is the Kosovo currency. Kosovo is not yet a member of EU but since 2002 is using euro currency. What are the advantages and disadvantages of using euro currency for the economy of Kosovo? This was not questionable in 2002, because Kosovo was still in the first steps of creating a financial system. But, today the importance of exchange rates in economy is crucial as a result of the internationalization of businesses, the constant increase of world trade with the national one and the rapid change of money transfer technology. In this research, through quantitative and qualitative methods is analyzed the development of exchange rate market in Kosovo and the effects of exchange rates movements in Kosovo economy, its GDP and inflation and in consumer price index. The research will point out the importance of exchange rates as an interest variable for some of Kosovo businesses and its effects in the transition economy of Kosovo which has not been exposed to exchange rates risk on macroeconomic variables.

  20. Palm Oil Price, Exchange Rate, and Stock Market: A Wavelet Analysis on the Malaysian Market

    Directory of Open Access Journals (Sweden)

    Buerhan Saiti

    2014-05-01

    Full Text Available The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these economic variables at different time intervals. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. We found that the wavelet cross-correlations between stock price and exchange rate skewed to the right at all levels with negative significant correlations which implies that the exchange rate leads the stock price. In the case of stock and commodity prices, there is no significant wavelet-crosscorrelation at first four levels. However, the wavelet cross-correlations skewed to the left at level 5 which implies that the stock price leads commodity price in the long-run. Finally, there is no significant wavelet cross-correlations at all levels as long as we concern between commodity price and exchange rate. It implies that there is no lead-lag relationship between commodity price and exchange rate.

  1. Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015

    Directory of Open Access Journals (Sweden)

    Ibrahim Waheed

    2016-06-01

    Full Text Available This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2, nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

  2. Study of influence of exchange rate change on the supply and demand of energy

    Energy Technology Data Exchange (ETDEWEB)

    Sohn, Y.H.; Shin, D.C. [Korea Energy Economics Institute, Euiwang (Korea, Republic of)

    1997-08-01

    The change of relative prices of trading goods and non-trading goods due to appreciation or depreciation of real exchange rates influences industrial structure and trading infrastructure by changing output, consumption, import and export, and prices of domestic economy. Considering that energy is used as intermediate input of all industrial sectors as well as in final consumption in the Korean economy which lacks energy resources and relies on imported energy resources, I believe that assessing the concrete effects of the real exchange rate change onto the energy industry must be a very important item in establishing effective energy policy. In this thesis, I measure the elasticity of the exchange rate as endogenous factors related to the energy industry using a CGE model that breaks down the energy industry. One (1) % depreciation of real exchange rate increases the domestic sales prices of all energy industry sectors, and the price increase ratios of petroleum and coal products are calculated as the highest among these. Petroleum and coal products show the highest price increase ratios while both the output and export decrease. On the other hand, depreciation increases the domestic sales prices of power generation, city gas, and heating sectors, but it is found to increase the output apart from petroleum and coal products. Depreciation of the real exchange rate is found to change the composition of the energy industry from petroleum and coal products to power generation, city gas, and heating sectors. 11 refs., 1 fig., 6 tabs.

  3. A study on the effects of exchange rate and foreign policies on Iranians dates export

    Directory of Open Access Journals (Sweden)

    Leila Khalighi

    2017-04-01

    Full Text Available The main purpose of this research was studying the impact of exchange rate on date export as one of the most important and greatest foreign currency income earned horticultural products in agriculture sector in Iran. Selected time period in this study was chosen between 1991 and 2011. For this purpose, ordinary least squares (OLS method has used to estimate the relationships between the value of date export and the variables taken from stationary tests. Library research method has used for the analysis. In this regard, required data have collected from various scientific and research resources. The results indicated that, exchange rate is a crucial factor for dates export and also for exporters. In addition, other factors specially government policies have been placed in export model. In this field, short-term outsourcing foreign policy has decreased the export value. Results also showed that, applying exchange rate unification policy without an appropriate exchange rate to encourage exporters has negative impact on dates export. Therefore, by applying exchange rate stabilization policy, according to inflation in the country, the potential exporters’ income has reduced and production costs have increased alternately.

  4. EXCHANGE

    Energy Technology Data Exchange (ETDEWEB)

    Boltz, J.C. (ed.)

    1992-09-01

    EXCHANGE is published monthly by the Idaho National Engineering Laboratory (INEL), a multidisciplinary facility operated for the US Department of Energy (DOE). The purpose of EXCHANGE is to inform computer users about about recent changes and innovations in both the mainframe and personal computer environments and how these changes can affect work being performed at DOE facilities.

  5. Foreign exchange risk and financial performance: The case of Turkey

    OpenAIRE

    İLHAN, Hüseyin

    2016-01-01

    ABSTRACT, i -- ÖZET, ii -- ACKNOWLEDGEMENTS, iii -- TABLE OF CONTENTS, iv -- LIST OF TABLES, vi -- ABBREVIATIONS, vii -- 1. INTRODUCTION, 1 -- 2. LITERATURE REVIEW, 2 -- 2.1. Exchange Rates, 2 -- 2.2. The Determinants of the Real Exchange Rate, 3 -- 2.3. Exchange Rate Changes, 3 -- 2.4. Exchange Rate Systems, 3 -- 2.4.1. Fixed Exchange Rate System, 4 -- 2.4.2. Flexible Exchange Rate Systems, 5 -- 2.5. Determinants of Currency, 7 -- 2.6. Models of Exchange Rate Determination, 8 -- 2.6.1. Parti...

  6. Effects of flow rate and temperature on cyclic gas exchange in tsetse flies (Diptera, Glossinidae).

    Science.gov (United States)

    Terblanche, John S; Chown, Steven L

    2010-05-01

    Air flow rates may confound the investigation and classification of insect gas exchange patterns. Here we report the effects of flow rates (50, 100, 200, 400 ml min(-1)) on gas exchange patterns in wild-caught Glossina morsitans morsitans from Zambia. At rest, G. m. morsitans generally showed continuous or cyclic gas exchange (CGE) but no evidence of discontinuous gas exchange (DGE). Flow rates had little influence on the ability to detect CGE in tsetse, at least in the present experimental setup and under these laboratory conditions. Importantly, faster flow rates resulted in similar gas exchange patterns to those identified at lower flower rates suggesting that G. m. morsitans did not show DGE which had been incorrectly identified as CGE at lower flow rates. While CGE cycle frequency was significantly different among the four flow rates (prate treatment variation. Using a laboratory colony of closely related, similar-sized G. morsitans centralis we subsequently investigated the effects of temperature, gender and feeding status on CGE pattern variation since these factors can influence insect metabolic rates. At 100 ml min(-1) CGE was typical of G. m. centralis at rest, although it was significantly more common in females than in males (57% vs. 43% of 14 individuals tested per gender). In either sex, temperature (20, 24, 28 and 32 degrees C) had little influence on the number of individuals showing CGE. However, increases in metabolic rate with temperature were modulated largely by increases in burst volume and cycle frequency. This is unusual among insects showing CGE or DGE patterns because increases in metabolic rate are usually modulated by increases in frequency, but either no change or a decline in burst volume.

  7. Does implied volatility of currency futures option imply volatility of exchange rates?

    Science.gov (United States)

    Wang, Alan T.

    2007-02-01

    By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011-1023] that long-maturity options tend to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange rates, a continuous-time relationship is developed. We provide evidence that implied volatilities may not be the simple average of future expected volatilities. By comparing the term-structure relationship of implied volatilities with the process of the underlying exchange rates, we find that long-maturity options are more consistent with the exchange rates process. In sum, short-maturity options overreact to the dynamics of underlying assets rather than long-maturity options overreacting to short-maturity options.

  8. EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS

    Directory of Open Access Journals (Sweden)

    Arintoko Arintoko

    2011-09-01

    Full Text Available This research estimates the exchange rate pass-through (ERPT into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM, with and without structural breaks. It uses the techniques of Zivot-Andrews and of Gregory-Hansen to test for structural breaks and cointegration with the structural breaks, respectively. The results show that with the control variables, inflation affects import prices and lower the pass-through for short term, in a condition of free floating exchange rate. In the short term, with the inclusion of structural breaks, significant inflation affects import prices and lowers the ERPT coefficient.  Keywords:    Exchange rate pass-through, inflation, structural breaks, cointegration, error-correction mechanismJEL classification numbers: C22, C32, E31, F41

  9. Inflation, exchange rate and efficacy of monetary policy in Nigeria: The empirical evidence

    Directory of Open Access Journals (Sweden)

    BigBen Chukwuma Ogbonna

    2016-01-01

    1986 – 2008. Estimates from a vector auto regression model (VAR of key macroeconomic variables demonstrate the weak link between money supply and inflation in the both time horizons, which suggests that the hypothesis that money supply is not an effective policy instrument for management of inflationary developments cannot be rejected for Nigeria. The results further suggest that in both time horizons, exchange rate has been identified as a singular most promising macroeconomic fundamental for both internal and external sectors adjustments. However, the deregulation of the domestic economy as occasioned by SAP has significantly diluted the efficacy of exchange rate as a monetary policy instrument for the management of Nigeria’s aggregate money stock and trade balance developments. These notwithstanding, the Central Bank of Nigeria can continue to play a stabilizing role in the economy through the continuation of prudent monetary policies and frequent interventions in exchange rate management to smooth out shocks.

  10. The Empirical Research of the Impact of GDP and Exchange Rate on Foreign Exchange Reserve Scale in China-Based on Quantile Regression Model

    Directory of Open Access Journals (Sweden)

    Lu Fang-Yuan

    2013-02-01

    Full Text Available Based on the relevant data from 1985 to 2010, this thesis uses a quantile regression model to make an empirical research about the effect of GDP and exchange rate on foreign exchange reserve. The findings show that: Both GDP and exchange rate have a remarkable influence on the size of foreign exchange reserve and the effect of exchange rate on foreign exchange reserve is higher than GDP at mean place and middle and lower quantile, smaller than GDP at higher quantile. At all the examined quantiles elastic coefficients of GDP and exchange rate are positive and among them, the elastic coefficients of GDP present us a reverse "V" model with the conditional distribution altering from low to high, that is, the impact of GDP on foreign exchange reserve shows an increasing trend when the latter is smaller, but begins to decrease when the latter reaches to a certain level; the elastic coefficients of exchange rate at lower quantiles are bigger than that of higher quantiles.

  11. Investigation the Impact of Exchange Rate Volatility on the Export of Agricultural Products

    Directory of Open Access Journals (Sweden)

    M. Jamalipour

    2016-10-01

    Full Text Available Introduction: Agricultural commodity export is a main attribute of developing countries and it is the basic force of development, however, developing countries have faced domestic and international instability in their markets and monetary and fiscal policies and these instabilities create a difficult condition for most of producers and exporters. Volatility in exchange market is one of the most important factor and vital concentrate for international trade especially agricultural commodity export. Because of this concern many studies have been conducted in this filed; (Aristotelous, 2001; Chen, 2009 and Sabuhoi and Piri, 2009 .Many of these studies has stated that exchange rate fluctuation has a negative impact on aggregated agricultural export; however, none of them has been focused on the effects of exchange rate fluctuation on exported value of important commodities in long run and short run. In recent years, exchange rate fluctuation has been raised about 6 percent since 2007 to 2010 and it seemed that this phenomenon has a negative impact on agricultural commodity export in Iran. To test this hypothesis exported value of three important commodity (date, orange and grape and exchange rate volatility since 1970 to 2013 have been used. Material and Methods: In order to examine the relation between real exchange rate volatility and export values of date, orange and grapes, first GARCH method has been used to draw out exchange rate volatility; then, Panel unite root test has been used to check the level of integration. Since real exchange rate is not heterogeneous for different cross sections Levi-Lin and Chow unit root test has been used for this variable and IPS test has been applied to export value. Pederoni co-integration test has been used to check the integration between these variables. Finally, FMOLS (Fully Modified Ordinary Least Square and DOLS (Dynamic Ordinary Least Square methods have been used to estimate long run and short run

  12. The Influence of International Parity on the Exchange Rate: Purchasing Power Parity and International Fisher Effect

    Directory of Open Access Journals (Sweden)

    Oana Mionel

    2012-02-01

    Full Text Available This article assesses the impact of the inflationand interest rates on the exchange rates.The analysis tests the relation between the inflation rate and the exchange rate by applying thePurchasing Power Parity Theory, while the relationbetween the interest rate and the inflation rate istested by applying the International Fisher EffectTheory. In order to test the Purchasing Power Paritythe study takes into account the period of time between 1990 – 2009, and the following countries –the USA, Germany, the UK, Switzerland, Canada, Japan and China. As for testing the InternationalFisher Effect Theory the period of time is the same, 1990 – 2009, but a few countries are different –the USA, Germany, the UK, Switzerland, Canada, Australia and New Zeeland. Thus, both theoriesanalyse the USA as home country.

  13. Effects of respiratory rate and tidal volume on gas exchange in total liquid ventilation.

    Science.gov (United States)

    Bull, Joseph L; Tredici, Stefano; Fujioka, Hideki; Komori, Eisaku; Grotberg, James B; Hirschl, Ronald B

    2009-01-01

    Using a rabbit model of total liquid ventilation (TLV), and in a corresponding theoretical model, we compared nine tidal volume-respiratory rate combinations to identify a ventilator strategy to maximize gas exchange, while avoiding choked flow, during TLV. Nine different ventilation strategies were tested in each animal (n = 12): low [LR = 2.5 breath/min (bpm)], medium (MR = 5 bpm), or high (HR = 7.5 bpm) respiratory rates were combined with a low (LV = 10 ml/kg), medium (MV = 15 ml/kg), or high (HV = 20 ml/kg) tidal volumes. Blood gases and partial pressures, perfluorocarbon gas content, and airway pressures were measured for each combination. Choked flow occurred in all high respiratory rate-high volume animals, 71% of high respiratory rate-medium volume (HRMV) animals, and 50% of medium respiratory rate-high volume (MRHV) animals but in no other combinations. Medium respiratory rate-medium volume (MRMV) resulted in the highest gas exchange of the combinations that did not induce choke. The HRMV and MRHV animals that did not choke had similar or higher gas exchange than MRMV. The theory predicted this behavior, along with spatial and temporal variations in alveolar gas partial pressures. Of the combinations that did not induce choked flow, MRMV provided the highest gas exchange. Alveolar gas transport is diffusion dominated and rapid during gas ventilation but is convection dominated and slow during TLV. Consequently, the usual alveolar gas equation is not applicable for TLV.

  14. pH and urea dependence of amide hydrogen-deuterium exchange rates in the beta-trefoil protein hisactophilin.

    Science.gov (United States)

    Houliston, R Scott; Liu, Chengsong; Singh, Laila M R; Meiering, Elizabeth M

    2002-01-29

    Amide hydrogen/deuterium exchange rates were measured as a function of pH and urea for 37 slowly exchanging amides in the beta-trefoil protein hisactophilin. The rank order of exchange rates is generally maintained under different solution conditions, and trends in the pH and urea dependence of exchange rates are correlated with the rank order of exchange rates. The observed trends are consistent with the expected behavior for exchange of different amides via global and/or local unfolding. Analysis of the pH dependence of exchange in terms of rate constants for structural opening and closing reveals a wide range of rates in different parts of the hisactophilin structure. The slowest exchanging amides have the slowest opening and closing rates. Many of the slowest exchanging amides are located in trefoil 2, but there are also some slow exchanging amides in trefoils 1 and 3. Slow exchangers tend to be near the interface between the beta-barrel and the beta-hairpin triplet portions of this single-domain structure. The pattern of exchange behaviour in hisactophilin is similar to that observed previously in interleukin-1 beta, indicating that exchange properties may be conserved among beta-trefoil proteins. Comparisons of opening and closing rates in hisactophilin with rates obtained for other proteins reveal clear trends for opening rates; however, trends in closing rates are less apparent, perhaps due to inaccuracies in the values used for intrinsic exchange rates in the data fitting. On the basis of the pH and urea dependence of exchange rates and optical measurements of stability and folding, EX2 is the main exchange mechanism in hisactophilin, but there is also evidence for varying levels of EX1 exchange at low and high pH and high urea concentrations. Equilibrium intermediates in which subglobal portions of structure are cooperatively disrupted are not apparent from analysis of the urea dependence of exchange rates. There is, however, a strong correlation between

  15. Self-other rating agreement and leader-member exchange (LMX): a quasi-replication.

    Science.gov (United States)

    Barbuto, John E; Wilmot, Michael P; Singh, Matthew; Story, Joana S P

    2012-04-01

    Data from a sample of 83 elected community leaders and 391 direct-report staff (resulting in 333 useable leader-member dyads) were reanalyzed to test relations between self-other rating agreement of servant leadership and member-reported leader-member exchange (LMX). Polynomial regression analysis indicated that the self-other rating agreement model was not statistically significant. Instead, all of the variance in member-reported LMX was accounted for by the others' ratings component alone.

  16. Testing the Expectation Theory of the Term Structure of Interest Rates in Turkish Fixed-Income Securities Market.

    Directory of Open Access Journals (Sweden)

    Mehmet ARSLAN

    2012-09-01

    Full Text Available This study empirically tests the expectations hypothesis of term structure of interest rates, in Turkish fixed-income securities market. In the study Johansen and Juselius (JJ test co-integration test has been applied to determine the existence of at least one common trend between short and long term bond interest rates, and it has determined. Therefore both r =0 and also r≤1 co-integration vector hypothesis have been rejected. In other words, based on the data covering January 3, 2003 through June 2010, and consist of 89 observation on each of the 8 different maturity ranging from 3 months to 5 years, it was determined that there were more than 1 co-integration ( r>1 vector in the series. The results indicate that in Turkish fixed-income securities market shorter-term interest rates effects longer-term interest rates. In fact, granger causality test applied and its results also confirm the findings cited above. Besides, the study is bearing some very important implications for Turkish monetary authorities that they could predict and observe behavior of the longer-term interest rates, and also inflation rates, based on the given change in short-term interest rates. In this aspect, this study is unique.

  17. Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?

    Directory of Open Access Journals (Sweden)

    Claudio Henrique Barbedo

    2009-07-01

    Full Text Available The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, it is the most important variable. This work investigates whether information embedded in this implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.

  18. E-Commerce and Exchange Rate Exposure Management: A Tilt towards Real Hedging

    DEFF Research Database (Denmark)

    Aabo, Tom

    2001-01-01

    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...

  19. Towards inflation targeting in Egypt: the relationship between exchange rate and inflation

    Directory of Open Access Journals (Sweden)

    Aliaa Khodeir

    2012-08-01

    Full Text Available Since the Egyptian economy has recently moved towards inflation targeting, it became very important to know whether exchange rate movements have serious inflationary implications or not. To investigate this subject, the study aims to analyse the relevance of inflation with the exchange rate by using the Granger-causality test. Two indicators of inflation will be used, the consumer price index (CPI and wholesale price index (WPI. In general, the results show a strong relationship between the two variables in a way that may give support to the application of ‘flexible inflation targeting regime instead of strict inflation targeting regime’.

  20. The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence from Four Transition Economies

    OpenAIRE

    Morales, Lucia

    2007-01-01

    This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen c...