M.Com. (Economics) / This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...

by So Wai-man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 294-302. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.xii / LIST OF APPENDICES --- p.xvi / ACKNOWLEDGEMENT --- p.xvii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Importance of Real Exchange Rate Movement --- p.1 / Concepts and Hypotheses --- p.2 / The Purchasing Power Parity (PPP) Doctrine --- p.2 / Real Exchange Rate --- p.6 / Long Run Economic Series --- p.9 / Conclusion --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.11 / Introduction --- p.11 / Literatures In Purchasing Power Parity --- p.12 / Literatures In Real Exchange Rates --- p.18 / Conclusions --- p.23 / Chapter III. --- METHODOLOGY --- p.25 / Introduction --- p.25 / Construction of Real Exchange Rate --- p.25 / Economic Time Series & Stationarity --- p.29 / Box-Jenkins Models --- p.32 / Autoregressive (AR) Models --- p.33 / Moving Average (MA) Models --- p.34 / Autoregressive Moving Average (ARMA) Models --- p.35 / Autoregressive Integrated Moving Average (ARIMA) Models --- p.35 / Random Walk Hypothesis --- p.36 / Unit Root Tests --- p.37 / The Dickey-Fuller Test --- p.38 / The Augmented Dickey-Fuller Test --- p.39 / The Sims Test --- p.40 / Hypothesis --- p.42 / The Dickey-Fuller Test --- p.42 / The Augmented Dickey-Fuller Test --- p.42 / The Sims Test --- p.43 / Conclusions --- p.44 / Chapter IV. --- EMPIRICAL RESULTS --- p.45 / Description of Data and Movement of Real Exchange Rates --- p.45 / Tentative AR(1) Models for Real Exchange Rates --- p.48 / Original Series: Whole Period --- p.49 / Original Series: Fixed Rate Period --- p.49 / Original Series: Floating Rate Period --- p.50 / Logarithmic Series: Whole Period --- p.50 / Logarithmic Series: Fixed Rate Period --- p.51 / Logarithmic Series: Floating Rate Period --- p.51 / The Dickey-Fuller Test Statistics --- p.52 / The Augmented Dickey-Fuller Test Statistics --- p.56 / The Sims Test Statistics --- p.59 / Summary of Empirical Results --- p.62 / Chapter V. --- SUMMARY AND CONCLUSIONS --- p.64 / Highlights of the Findings of this Study --- p.64 / Policy Implications --- p.65 / Conclusions --- p.66 / Limitations --- p.67 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.294

Previous research has shown that the productivity of sows housed in an Electronic Sow Feeding (ESF) system is affected by the housing management (static vs. dynamic), stage of gestation at mixing and parity. Familiarity has also been shown to affect the behaviour of group-housed sows. Thus, the objective of this experiment was to determine how the previously mentioned social factors affect the behaviour, physiology and productivity of sows housed in an ESF system. Sows were regrouped into either the static and dynamic pens. Within an introduction group, a subgroup of up to 24 focals sows was observed. The focal sows were chosen based on whether they were mixed pre vs. post-implantation (<12 vs. >46 days post-breeding), familiar vs. unfamiliar with group mates and parity (1st vs. 2nd and 3rd vs. 4th +). Aggression at mixing and at the feeder, injury scores, feeder entry order, space usage, salivary cortisol and farrowing productivity was recorded. The data was analyzed using Proc-Mixed and the General Model for SAS. Housing did not have a significant effect on the any of the parameters examined. Young sows had significantly more piglets born alive when housed in a dynamic system, while old sows had more piglets born alive when housed in a static system (p=0.03). Pre-implant sows initiated more aggressive encounters than post-implant sows (p=0.01). Post-implant sows ate later in the feeding cycle (p=0.03), rested on the slats more (p<0.001) and had higher salivary cortisol concentrations (p=0.0008). However, the cortisol concentrations increased throughout gestation for all sows (p<0.001). Familiarity did not have an effect on any of the variables examined except, familiar sows spent more time lying against the wall (p=0.03) and unfamiliar sows spent more time lying in the centre of the solid area of the pen (p=0.02). Old sows were involved in more aggressive encounters (p=0.04), spent more time fighting at mixing (p=0.02) and laid against the wall more (p<0.001). Young sows tended to received more scratches (p=0.07), ate later in the feeding cycle (p<0.001) and spent more time lying on the slats (p<0.001). Intermediate sows had significantly lower salivary cortisol concentrations (p=0.003). There was not a difference between the static and dynamic management systems. Sows should not be mixed until after embryonic implantation because they are more docile. The intermediate sows underwent the least amount of social stress due to their intermediate position within the dominance hierarchy.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

Previous research has shown that the productivity of sows housed in an Electronic Sow Feeding (ESF) system is affected by the housing management (static vs. dynamic), stage of gestation at mixing and parity. Familiarity has also been shown to affect the behaviour of group-housed sows. Thus, the objective of this experiment was to determine how the previously mentioned social factors affect the behaviour, physiology and productivity of sows housed in an ESF system. Sows were regrouped into either the static and dynamic pens. Within an introduction group, a subgroup of up to 24 focals sows was observed. The focal sows were chosen based on whether they were mixed pre vs. post-implantation (<12 vs. >46 days post-breeding), familiar vs. unfamiliar with group mates and parity (1st vs. 2nd and 3rd vs. 4th +). Aggression at mixing and at the feeder, injury scores, feeder entry order, space usage, salivary cortisol and farrowing productivity was recorded. The data was analyzed using Proc-Mixed and the General Model for SAS. Housing did not have a significant effect on the any of the parameters examined. Young sows had significantly more piglets born alive when housed in a dynamic system, while old sows had more piglets born alive when housed in a static system (p=0.03). Pre-implant sows initiated more aggressive encounters than post-implant sows (p=0.01). Post-implant sows ate later in the feeding cycle (p=0.03), rested on the slats more (p<0.001) and had higher salivary cortisol concentrations (p=0.0008). However, the cortisol concentrations increased throughout gestation for all sows (p<0.001). Familiarity did not have an effect on any of the variables examined except, familiar sows spent more time lying against the wall (p=0.03) and unfamiliar sows spent more time lying in the centre of the solid area of the pen (p=0.02). Old sows were involved in more aggressive encounters (p=0.04), spent more time fighting at mixing (p=0.02) and laid against the wall more (p<0.001). Young sows tended to received more scratches (p=0.07), ate later in the feeding cycle (p<0.001) and spent more time lying on the slats (p<0.001). Intermediate sows had significantly lower salivary cortisol concentrations (p=0.003). There was not a difference between the static and dynamic management systems. Sows should not be mixed until after embryonic implantation because they are more docile. The intermediate sows underwent the least amount of social stress due to their intermediate position within the dominance hierarchy.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

Efficient market exist such that financial market make the absence of arbitrage opportunity on intertemporal asset price, There are special existence due to volatility clustering effect provides that the conditional volatility predictor could control, applying on derivative such as option¡Bcurrency exchange¡Bswap¡Bexist possible arbitrage profits ,in this paper involve that forward market efficiency and how to prototype concrete, now we apply parity theory including covered interest parity and uncovered interest parity, then the study of both covered (CIP)and uncovered interest parity (UIP) plus FME are tested in the 30 and 90 forward markets for the NTD/USD exchange rate to examine market efficiency on using GARCH-M,EGARCH models , In the empirical tests, we find the NTS/USD dollar interest rate spread have I(o) property ,Results are provided for interest rate on stationarity indicating that interest differential is stationary ,the result also imply stationary relationship between Taiwan and USA on money policy, Using Taylor(1989) ¡As covered interest arbitrage models, The empirical results show lower positive profit opportunities on NTD or US returns, covered interest parity may hold because NTS/US exchange market after reopening becomes more efficient than market after reopening, the central bank money policy intervention is influential but we test market efficiency hypotheses on basis of Domowitz and Hakkio¡]1985¡^¡As ARCH-M model deeply employing GARCH-M¡BEGARCH models to estimate Risk Premium¡Athen employ Felmingham (2003.2) ¡As regression equation to test forward market efficiency , the empirical results shows that not only CIP¡BUIP theory fail but also Forward Market Efficiency hypotheses cannot hold ,then future spot rates could be predicted by forward rates are worthy of investigate., It may indicate that foreign securities are imperfect substitutes for domestic ones of equivalent maturity and that market participants, implying that there is arbitrage profit opportunity between Taiwan and the USA, there are many arguments to discuss whether forward rates as an unbiased predictor of future spot rate ,Forward Market efficiency give the presence of the time varying premium on different place, Ultimately, therefore, the unbiased nature of forward rates is an empirical, and not a theoretical, issue¡C

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Thesis (Ph. D.)--University of Washington, 2000. / Vita. Includes bibliographical references (leaves 98-101).

This study is concerned with the behaviour of exchange rate movements focusing specifically on purchasing power parity (PPP) and the non-stationarity of real exchange rates, for a number of East Asian currencies during their recent floating periods. As one of the most important building blocks in international economies, PPP forms a core component of several models of exchange rate determination, and it is the most intensively tested hypothesis in open-economy macroeconomics. Nevertheless, in contrast to the relative abundance of research on the currencies of industrialised countries, very few studies on East Asian currencies have been carried out, leaving an important gap in the literature. Using recent advances in time series analysis, the results reveal for the East Asian countries that there existed long-run comovement between the nominal exchange rate and domestic and foreign price levels, but that the strict PPP condition claimed by the theory did not hold. This implied that any deviation from the PPP equilibrium was permanent and that there was little tendency for the real exchange rate to be mean reverting. Further investigation suggested that the real exchange rate was cointegrated with fundamentals, with most of the variables entering the cointegration vector significantly, suggesting that the movements of real exchange rate were driven by these factors. Investigating the dynamic paths of the real exchange rate and the long-run relationship (cointegrating relationship) in response to exogenous shocks also revealed that the real exchange rates did not revert to their pre-shock equilibrium, but that the long-run relationship did. It took, normally three to five years, for the real exchange rate to reach and settle down to a new equilibrium and even if the effect of shocks on the long-run relationship was transitory, the speed of convergence to the equilibrium was slow. The results also showed that the effects of shocks vary from one country to another. This meant that there was no universal panacea to deal with fluctuations in real exchange rates, as they were influenced by a country's natural endowment, stage in industrialisation, as well as monetary and exchange policies.