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Essays in the study and modelling of exchange rate volatilitySucarrat, Genaro 28 September 2006 (has links)
The thesis is a contribution to the literature on the study and modelling of exchange rate variability, and contains seven chapters. Chapter 1 motivates the study by providing a historical context about its importance, sketches the main themes of the thesis, and gives an overview of the Norwegian economy since the empirical studies are on the Norwegian krone against the Euro exchange rate. Chapter 2 makes a distinction between period and within-period exchange rate variability, a distinction which is of special interest when studying variability across different exchange rate regimes. Also, the exponential model of variability (EMOV) is put forward as a particularly convenient framework for explanatory exchange rate variability modelling. Chapter 3 makes full fuse of these ideas in studying the impact of market activity on exchange rate variability in the case of Norway. The main findings of this study are that the impact of short-term change in market activity, as measured by relative week-to-week changes in quoting frequency, is positive and statistically significant for both definitions of variability, and that the impact is relatively stable across three different exchange rate regimes. Also, our results do not suggest that the persistence in variability can be explained by persistence in the level of quoting. Chapter 4 undertakes an out-of-sample forecast evaluation of general to specific (GETS) modelling of exchange rate volatility, and our results suggest GETS-derived models are particularly useful in conditional forecasting. Chapter 5 studies the relation between exchange rate variability, market activity and heterogeneity using a measure of spot NOK/EUR transaction volume from banks within Norway's regulatory borders. Our results do not support the hypothesis that short-term Norwegian market activity has an impact on variability. However, we do find some support of the hypothesis that large and small banks have an opposite impact through their long-term activity. Chapter 6 proposes a solution to a shortcoming in the first stage of David F. Hendry's reduction theory by interpreting the underlying outcome space as a set of possible worlds made up of indeterministic and historically inherited particulars. Finally, chapter 7 concludes and provides suggestions for further research.
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Optimal Capacity Investment, and Pricing Across International Markets Under Exchange Rate Uncertainty and Duopoly CompetitionAhmed, Anas A. 11 May 2010 (has links)
In this dissertation we investigate joint optimal capacity investment, pricing and production decisions for a multinational manufacturer who faces exchange rate uncertainties. We consider a manufacturer that sells its product in both domestic and foreign markets over a multiperiod season. Because of long-lead times, the capacity investment must be committed before the selling season begins. The exchange rate between the two countries fluctuates across period and the demand in both markets is price dependent. In the first part, the model considers three scenarios: (1) early commitment to price and quantity with central sourcing, (2) postponement of prices and quantities with central sourcing, and (3) local sourcing. We derive the optimal capacity and the optimal prices for each scenario, and investigate the impact of the exchange rate parameters and the length of the selling season on optimal capacity investment, production allocation, and pricing decisions. We observe that while the price and production decisions in the domestic market are independent of the exchange rate under early commitment and local sourcing scenarios, the exchange rate between two countries directly impacts these decisions under the postponement setting. We identify thresholds and gain insights on investment costs, market potentials, exchange rate drifts, and selling season length for the choice of entering a foreign market under all scenarios. In the second part of this dissertation, we consider a duopoly competition in the foreign country. We consider a single period setting and we model the exchange rate as a random variable. We assume two scenarios: (1) Exogenous Model, where the price of the foreign manufacturer is set a priori, and (2) Endogenous Model, where the prices are set simultaneously based on a Nash Game outcome. In the Exogenous Model, we study the impact of exchange rate and foreign manufacturer's price on optimal capacity and prices. In the Endogenous Model, we investigate the impact of competition and exchange rate on optimal capacities and optimal prices. We show how competition can impact the decision of the home manufacturer to enter the foreign market.
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Modeling of strain rate effects on clay in simple shearJung, Byoung Chan 16 August 2006 (has links)
The objective of this research is the development of a new constitutive model to describe the behavior of cohesive soils under time dependent loading. In the work presented here, the modified SIMPLE DSS model is expanded to account for the effects of strain rate on clays in simple shear conditions. The response of clay soils is highly dependent on the rate of strain for both effective stress path and stress-strain behavior. The undrained shear strength is strongly influenced by strain rate both in monotonic and cyclic simple shear tests. Nevertheless, the few available experimental results cover a very limited range of loading conditions and rates. The existing literature established that the soil response display a unique relationship between shear strength and log scale of strain rate. To include the effects of strain rate, the modified simple effective stress model starts with two assumptions: (1) a specific shear strength corresponds to a specific strain rate in a unique relation; and (2) the effect of strain rate does not change the failure envelope. The proposed model is developed from the original SIMPLE DSS model, based on an effective stress formulation in a reduced stress space, and utilizing concepts related to the framework of bounding surface plasticity. The proposed model evaluationwas carried out comparing model simulations with results of simple shear tests on Boston Blue Clay and San Francisco Young Bay Mud. The model capability is useful especially in strain rate dependent responses for both monotonic and cyclic behavior, including irregular loading and step-changed condition. It was found that undrained shear strength in simple shear is directly related to strain rate effects and the responses in cyclic test show the more rate dependent behavior than those in monotonic test. The proposed model is able to predict the increase in undrained shear strength for higher strain rate.
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Essays in the study and modelling of exchange rate volatilitySucarrat, Genaro 28 September 2006 (has links)
The thesis is a contribution to the literature on the study and modelling of exchange rate variability, and contains seven chapters. Chapter 1 motivates the study by providing a historical context about its importance, sketches the main themes of the thesis, and gives an overview of the Norwegian economy since the empirical studies are on the Norwegian krone against the Euro exchange rate. Chapter 2 makes a distinction between period and within-period exchange rate variability, a distinction which is of special interest when studying variability across different exchange rate regimes. Also, the exponential model of variability (EMOV) is put forward as a particularly convenient framework for explanatory exchange rate variability modelling. Chapter 3 makes full fuse of these ideas in studying the impact of market activity on exchange rate variability in the case of Norway. The main findings of this study are that the impact of short-term change in market activity, as measured by relative week-to-week changes in quoting frequency, is positive and statistically significant for both definitions of variability, and that the impact is relatively stable across three different exchange rate regimes. Also, our results do not suggest that the persistence in variability can be explained by persistence in the level of quoting. Chapter 4 undertakes an out-of-sample forecast evaluation of general to specific (GETS) modelling of exchange rate volatility, and our results suggest GETS-derived models are particularly useful in conditional forecasting. Chapter 5 studies the relation between exchange rate variability, market activity and heterogeneity using a measure of spot NOK/EUR transaction volume from banks within Norway's regulatory borders. Our results do not support the hypothesis that short-term Norwegian market activity has an impact on variability. However, we do find some support of the hypothesis that large and small banks have an opposite impact through their long-term activity. Chapter 6 proposes a solution to a shortcoming in the first stage of David F. Hendry's reduction theory by interpreting the underlying outcome space as a set of possible worlds made up of indeterministic and historically inherited particulars. Finally, chapter 7 concludes and provides suggestions for further research.
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Influence of Immigration on the Unemployment Rate : -the Case of DenmarkTroshchenkov, Sergii January 2011 (has links)
No description available.
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Nonlinear adjusted process of industry countries' exchange rate¡Gempirical analysis of Panel STAR modelCheng, Wei-chun 25 June 2010 (has links)
Abstract
The purpose of this paper is to research the countries' exchange rates. The paper is organized around the empirical modeling method which is devised by Van Dijk, D.; Terӓsvirta, T.; Franses, P.H.(2002) and Van Dijk, D.; Terӓsvirta, T.; González, A.(2005). It consists of estimation, specification tests, and forecast stages.
The data is chosen from 1974M1 to 2008M12. We set the data from 1974M1 to 2003M12 as in-sample period, and from 2003M1 to 2008M12 as out-of-sample period. The macroeconomic variables considered in this paper include nominal exchange rates and real exchange rates.
We get four important empirical results in this paper. First, the STAR model shows that every countries exists ¡§eleventh month effects¡¨. Second, the coefficient of nonlinear in Denmark¡¦s, France¡¦s, Germany¡¦s, Italy¡¦s, Spain¡¦s and UK¡¦s model are statistically significant. This result implies that the government of Japan had been intervening significantly in foreign exchange markets. And the government of other countries had been not intervening in foreign exchange markets. Third, the gamma value of the Panel model is statistically significant but slight. We can conclude that nominal exchange rates and real exchange rates exist relationship in long terms but not in short terms. Fourth, the forecast abilities of two models are almost better than random walk model.
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Delayed neutron emission measurements for U-235 and Pu-239Chen, Yong 15 May 2009 (has links)
The delayed neutron emission rates of U-235 and Pu-239 samples were measured
accurately from a thermal fission reaction. A Monte Carlo calculation using the Geant4
code was used to demonstrate the neutron energy independence of the detector used in the
counting station.
A set of highly purified actinide samples (U-235 and Pu-239) was irradiated in these
experiments by using the Texas A&M University Nuclear Science Center Reactor. A fast
pneumatic transfer system, an integrated computer control system, and a
graphite-moderated counting system were constructed to perform all these experiments.
The calculated values for the five-group U-235 delayed neutron parameters and the
six-group Pu-239 delayed neutron parameters were compared with the values
recommended by Keepin et al. (1957) and Waldo et al. (1981). These new values differ
slightly from literature values. The graphite-moderated counting station and the
computerized pneumatic system are now operational for further delayed neutron
measurement.
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On the Convergence Rate in a Theorem of KlesovChen, Tsung-Wei 24 June 2004 (has links)
egin{abstract}
hspace*{1cm} Let $X_{1}$@, $X_{2}$@,$cdots$@, $X_{n}$ be a sequence of
independent
indentically distributed random variables ( i@. i@. d@.) and
$S_{n}=X_{1}+X_{2}+...+X_{n}$@. Denote
$lambda(varepsilon)=displaystylesum_{n=1}^{infty}P(|S_{n}|geq
nvarepsilon)$@. O.I. Klesov proved that if $EX_{1}=0$,
$EX_{1}^{2}=sigma ^{2}
eq 0$, $E|X_{1}|^{3}<infty$, then
$displaystylelim_{varepsilondownarrow0}varepsilon^{frac{3}{2}}(lambda(varepsilon)-frac{sigma^{2}}{varepsilon^{2}})=0$.
In this thesis, it is shown that if $EX_{1}=0$,
$EX_{1}^{2}=sigma ^{2}
eq 0$, $E|X_{1}|^{2+delta}<infty$ for
some $displaystyledeltain(frac{1}{2},1]$, then
$displaystylelim_{varepsilondownarrow0}varepsilon^{frac{3}{2}}(lambda(varepsilon)-frac{sigma^{2}}{varepsilon^{2}})=0$.
end{abstract}
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The Developed Patterns of China Renminbi Exchange RateWu, I-chun 08 February 2006 (has links)
The main purpose of the study is to investigate the exchange rate trend of China Renminbi from 1949 to nowadays, and predict the possibilities of the developed trend of China Renminbi in the future to investigate the problems of Chins Renminbi at present.
It can divide China Renminbi into three periods, there are Centrally Planned Economy Period (1949~1979), Export to Accumulate Foreign Reserve (1980~1993), and Economy Adjustment Period (1994 to nowadays). The rate standard of Renminbi is usually under the China Economy policy consideration. First of all, the China Renminbi of Centrally Planned Economy Period is based on the policy consideration of the heavy industrialization, and it tends to overvalue the rate exchange to decrease the import prime cost. This condition is similar to East Europe countries before Soviet Union dismissed. Second, the Export to Accumulate Foreign Reserve tends to decrease the export cost to solicit the business. And it tents to underestimate the rate exchange similar to Taiwan of 1970s and Japan after World War II, before Plaza Accord. Moreover, the Renminbi of Economy Adjustment Period overvalued the rate exchange, but it keeps stable. The overvalued and stable standard of rate exchange strengthens the export competition of China. At the same time, it accumulate great deal of Foreign reserve which similar to the development countries of Southeast Asian to adopt Fixed Exchange Rate Regime Pegged to US Dollar.
China accumulate great deal of foreign exchange because of the overvalued rate exchange, and it made the rate standard of Renminbi concerned by international. China can not self-contained after entering WTO, they have to face the opening market and the restriction of international regulations. China restricts itself by the textile industry, and they purchase foreign bond (American bond) to decrease the pressure of the appreciation of Renminbi. Even if the rate system of Renminbi has change from control the dollar to basket-pegged exchange rate regime, and it does not break away the connection between Hong Kong currencies. The Hong Kong currencies have risk of Hot Money. China still can not open their capital during the short term time to make the Renminbi floating and become convertible currency because of their economy circumstance; however, the expected long term rate of Renminbi revaluation is a necessary trend of the future.
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noneLee, Chin-Yu 01 August 2001 (has links)
none
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