by Zhi-Bin Lai. / Thesis submitted in: December 1998. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 111-116). / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- ICA Model --- p.1 / Chapter 1.2 --- ICA Algorithms --- p.3 / Chapter 1.3 --- Foreign Exchange Rate Scheme --- p.9 / Chapter 1.4 --- Problem Motivation --- p.10 / Chapter 1.5 --- Main Contribution of the Thesis --- p.10 / Chapter 1.6 --- Other Contribution of the Thesis --- p.11 / Chapter 1.7 --- Organization of the Thesis --- p.11 / Chapter 2 --- Heuristic Dominant ICs Sorting --- p.13 / Chapter 2.1 --- L1 Norm Sorting --- p.13 / Chapter 2.2 --- Lp Norm (L3 Norm) Sorting --- p.14 / Chapter 2.3 --- Problem Motivation --- p.15 / Chapter 2.4 --- Determination of Dominant ICs --- p.15 / Chapter 2.5 --- ICA in Foreign Exchange Rate Markets --- p.16 / Chapter 2.6 --- Comparison of Two Heuristic Methods --- p.16 / Chapter 2.6.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.18 / Chapter 2.6.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.21 / Chapter 2.6.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.24 / Chapter 2.6.4 --- Experiment 4: US Dollar vs French Franc --- p.27 / Chapter 3 --- Forward Selection under MSE Measurement --- p.30 / Chapter 3.1 --- Order-Sorting Criterion --- p.30 / Chapter 3.2 --- Order Sorting Approaches --- p.30 / Chapter 3.3 --- Forward Selection Approach --- p.31 / Chapter 3.4 --- Comparison of Three Dominant ICs Sorting Methods --- p.32 / Chapter 3.4.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.33 / Chapter 3.4.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.37 / Chapter 3.4.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.41 / Chapter 3.4.4 --- Experiment 4: US Dollar vs French Franc --- p.45 / Chapter 4 --- Backward Elimination Tendency Error --- p.49 / Chapter 4.1 --- Tendency Error Scheme --- p.49 / Chapter 4.2 --- Order-Sorting Criterion --- p.50 / Chapter 4.3 --- Order Sorting Approaches --- p.50 / Chapter 4.4 --- Backward Elimination Tendency Error Approach --- p.51 / Chapter 4.5 --- Determination of Dominant ICs --- p.52 / Chapter 4.6 --- Comparison Between Three Approaches --- p.53 / Chapter 4.6.1 --- Experiment Results on USD-SWF Return --- p.53 / Chapter 4.6.2 --- Experiment Results on USD-AUD Return --- p.57 / Chapter 4.6.3 --- Experiment Results on USD-CAD Return --- p.61 / Chapter 4.6.4 --- Experiment Results on USD-FRN Return --- p.65 / Chapter 5 --- Other Analysis of ICA in Foreign Exchange Rate Markets --- p.69 / Chapter 5.1 --- Variance Characteristics of ICs and PCs --- p.69 / Chapter 5.2 --- Reconstruction Ability between PCA and ICA --- p.70 / Chapter 5.3 --- Properties of Independent Components --- p.70 / Chapter 5.4 --- Autocorrelation --- p.73 / Chapter 5.5 --- Rescaled Analysis --- p.73 / Chapter 6 --- Conclusion and Further Work - --- p.78 / Chapter 6.1 --- Conclusion --- p.78 / Chapter 6.2 --- Further Work --- p.79 / Chapter A --- Fast Implement of LPM Algorithm --- p.80 / Chapter A.1 --- Review of Selecting Subsets from Regression Variables --- p.80 / Chapter A.2 --- Unconstrained Gradient Based Optimization Methods Survey --- p.85 / Chapter A.3 --- Characteristics of the Original LPM Algorithm --- p.88 / Chapter A.4 --- Constrained Learning Rate Adaptation Method --- p.89 / Chapter A.5 --- Gradient Descent with Momentum Method --- p.98

Wu, Tujin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves [47]-49). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgments --- p.iii / Chapter I. --- Introduction --- p.1 / Chapter II. --- China´ةs Economic Transition and Literature Review --- p.6 / Chapter II.1. --- Export-led Strategy and Exchange Rate Evolution --- p.6 / Chapter II.2. --- Literature review of exchange rate misalignment --- p.10 / Chapter III. --- Theories Background --- p.14 / Chapter 1. --- Purchasing Power Parity and Balassa Samuelson Hypothesis --- p.14 / Chapter 2. --- Modified Balassa Samuelson Hypothesis --- p.17 / Chapter IV. --- Empirical Estimation --- p.21 / Chapter 1. --- Cross-Section Estimate --- p.21 / Chapter 2. --- Time Series Estimation --- p.25 / Chapter 3. --- Policy proposal in the duration of price revaluation --- p.36 / Chapter V. --- Summary --- p.44

This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.

This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.

Thesis (doctoral) - Freie Universität, Berlin, 2004. / "with 12 figures and tables". Includes bibliographical references ( p. [143]-155).

The main purpose of this study is to investigate relationship between foreign exchange reserves and RMB exchange rate. In order to obtain a precise result, foreign trade situation and GDP are also considered. The monthly data is collected over period 1994 to 2011, and processed through ADF test, Johansen test, and Granger causality test. Final results indicate that there is a long-term equilibrium relationship existing between foreign exchange reserves and RMB exchange rate. Moreover, any changes of foreign exchange reserves would lead to the fluctuation of RMB exchange rate but not vice versa. At last, the dummy variables are added into regression model to test influence from the reform of RMB exchange rate regime. Results suggest that regime reform not only increase flexibility of RMB exchange rate, but also slow down the accumulation of foreign exchange reserves.

Thesis (doctoral)--Freie Universität, Berlin, 2004. / EAN: 9786610701315 (electronic bk.). Title from e-book title screen (viewed Oct. 15, 2007). Description based on print version record. Includes bibliographical references (p. [143]-155).

This study has its foundation on a model developed by Holden, Holden and Suss (1979). The model is on the determinants of the flexibility of an exchange rate. These determinants are: the openness of an economy; the level of economic development; the diversification of the external sector; geographical concentration of trade; the mobility of capital and the inflation differential. In the present study, the model by Holden, et al is adapted in order to determine whether SADC forms an optimum currency area or not. SADC has a number of objectives which it aims to achieve. One of these objectives is the formation of a monetary union in the future. This is the widest objective for SADC and the path towards achieving this is the establishment of a Trade Protocol that aims to form a Free Trade Area in the region. A number of criteria have to be assessed in order to determine whether SADC does form an optimum criteria or not. The Holden et. al model forms the basis for this assessment. The model reveals that SADC does not form an optimum currency area. SADC has not yet converged on the criteria for a monetary union. / Thesis (M.Com.)-University of Natal, Durban, 2000.

<p>This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices.</p>

This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.