Econometric models in foreign exchange market

According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.

Radiogenic isotopes in the Mediterranean Sea: water mass exchange and precessional variability during the Messinian

During the late Miocene, exchange between the Mediterranean Sea and Atlantic Ocean changed dramatically, culminating in the Messinian Salinity Crisis (MSC). Understanding Mediterranean-Atlantic exchange at that time could answer the enigmatic question of how so much salt built up within the Mediterranean, while furthering the development of a framework for future studies attempting to understand how changes may have impacted global thermohaline circulation. Due to their association with specific water masses at different scales, radiogenic Sr, Pb, and Nd isotope records were generated from various archives contained within marine deposits to endeavour to understand better late Miocene Mediterranean-Atlantic exchange. The archives used include foraminiferal calcite (Sr), fish teeth and bone (Nd), dispersed authigenic ferromanganese oxyhydroxides (Nd, Pb), and a ferromanganese crust (Pb). The primary focus is on sediments preserved at one end of the Betic corridor, a gateway that once connected the Mediterranean to the Atlantic through southern Spain, although other locations are investigated. The Betic gateway terminated within several marginal sub-basins before entering the Western Mediterranean; one of these is the Sorbas Basin, a well-studied location whose sediments have been astronomically tuned at high temporal resolution, providing the necessary age control for sub-precessional resolution records. Since the climatic history of the Mediterranean is strongly controlled by precessional changes in regional climate, the aim was to produce records at high (sub-precessional) temporal resolution, to be able to observe clearly any precessional cyclicity driven by regional climate which could be superimposed over longer trends. This goal was achieved for all records except the ferromanganese crust record. The 87Sr/86Sr isotope record (Ch. 3) shows precessional frequency excursions away from the global seawater curve. As precessional frequency oscillations are unexpected for this setting, a numerical box model was used to determine the mechanisms causing the excursions. To enable parameterisation of model variables, regional Sr characteristics, data from general circulation model HadCM3L, and new benthic foraminiferal assemblage data are employed. The model results imply that the Sorbas Basin likely had a positive hydrologic budget in the late Miocene, very different to that of today. Moreover, the model indicates that the mechanism controlling the Sr isotope ratio of Sorbas Basin seawater was not restriction, but a lack of density-driven exchange with the Mediterranean. Beyond improving our understanding of how marginal Mediterranean sub-basins may evolve different isotope signatures, these results have implications for astronomical tuning and stratigraphy in the region, findings which are crucial considering the geological and climatic history of the late Miocene Mediterranean is based entirely on marginal deposits. An improved estimate for the Nd isotope signature of late Miocene Mediterranean Outflow (MO) was determined by comparing Nd isotope signatures preserved in the deeper Alborán Sea at ODP Site 978 with literature data as well as the signature preserved in the Sorbas Basin (Ch. 4; -9.34 to -9.92 ± 0.37 εNd(t)). It was also inferred that it is unlikely that Nd isotopes can be used reliably to track changes in circulation within the shallow settings characteristic of the Mediterranean-Atlantic connections; this is significant in light of a recent publication documenting corridor closure using Nd isotopes. Both conclusions will prove useful for future studies attempting to understand changes in Mediterranean-Atlantic exchange. Excursions to high values, with precessional frequency, are also observed in the radiogenic Pb isotope record for the Sorbas Basin (Ch. 5). Widening the scope to include locations further away from the gateways, records were produced for late Miocene sections on Sicily and Northern Italy, and similar precessional frequency cyclicity was observed in the Pb isotope records for these sites as well. Comparing these records to proxies for Saharan dust and available whole rock data indicates that, while further analysis is necessary to draw strong conclusions, enhanced dust production during insolation minima may be driving the observed signal. These records also have implications for astronomical tuning; peaks in Pb isotope records driven by Saharan dust may be easier to connect directly to the insolation cycle, providing improved astronomical tuning points. Finally, a Pb isotope record derived using in-situ laser ablation performed on ferromanganese crust 3514-6 from the Lion Seamount, located west of Gibraltar within the MO plume, has provided evidence that plume depth shifted during the Pliocene. The record also suggests that Pb isotopes may not be a suitable proxy for changes in late Miocene Mediterranean-Atlantic exchange, since the Pb isotope signatures of regional water masses are too similar. To develop this record, the first published instance of laser ablation derived 230Thexcess measurements are combined with 10Be dating.