Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Water exchange rates of water-soluble manganese(III) porphyrins of therapeutical potential.

The activation parameters and the rate constants of the water-exchange reactions of Mn(III)TE-2-PyP(5+) (meso-tetrakis(N-ethylpyridinium-2-yl)porphyrin) as cationic, Mn(III)TnHex-2-PyP(5+) (meso-tetrakis(N-n-hexylpyridinium-2-yl)porphyrin) as sterically shielded cationic, and Mn(III)TSPP(3-) (meso-tetrakis(4-sulfonatophenyl)porphyrin) as anionic manganese(iii) porphyrins were determined from the temperature dependence of (17)O NMR relaxation rates. The rate constants at 298 K were obtained as 4.12 x 10(6) s(-1), 5.73 x 10(6) s(-1), and 2.74 x 10(7) s(-1), respectively. On the basis of the determined entropies of activation, an interchange-dissociative mechanism (I(d)) was proposed for the cationic complexes (DeltaS(double dagger) = approximately 0 J mol(-1) K(-1)) whereas a limiting dissociative mechanism (D) was proposed for Mn(III)TSPP(3-) complex (DeltaS(double dagger) = +79 J mol(-1) K(-1)). The obtained water exchange rate of Mn(III)TSPP(3-) corresponded well to the previously assumed value used by Koenig et al. (S. H. Koenig, R. D. Brown and M. Spiller, Magn. Reson. Med., 1987, 4, 52-260) to simulate the (1)H NMRD curves, therefore the measured value supports the theory developed for explaining the anomalous relaxivity of Mn(III)TSPP(3-) complex. A magnitude of the obtained water-exchange rate constants further confirms the suggested inner sphere electron transfer mechanism for the reactions of the two positively charged Mn(iii) porphyrins with the various biologically important oxygen and nitrogen reactive species. Due to the high biological and clinical relevance of the reactions that occur at the metal site of the studied Mn(iii) porphyrins, the determination of water exchange rates advanced our insight into their efficacy and mechanism of action, and in turn should impact their further development for both diagnostic (imaging) and therapeutic purposes.

Can exchange rates forecast commodity prices?

We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Hydraulic redistribution of soil water by roots affects whole-stand evapotranspiration and net ecosystem carbon exchange.

*Hydraulic redistribution (HR) of water via roots from moist to drier portions of the soil occurs in many ecosystems, potentially influencing both water use and carbon assimilation. *By measuring soil water content, sap flow and eddy covariance, we investigated the temporal variability of HR in a loblolly pine (Pinus taeda) plantation during months of normal and below-normal precipitation, and examined its effects on tree transpiration, ecosystem water use and carbon exchange. *The occurrence of HR was explained by courses of reverse flow through roots. As the drought progressed, HR maintained soil moisture above 0.15 cm(3) cm(-3) and increased transpiration by 30-50%. HR accounted for 15-25% of measured total site water depletion seasonally, peaking at 1.05 mm d(-1). The understory species depended on water redistributed by the deep-rooted overstory pine trees for their early summer water supply. Modeling carbon flux showed that in the absence of HR, gross ecosystem productivity and net ecosystem exchange could be reduced by 750 and 400 g C m(-2) yr(-1), respectively. *Hydraulic redistribution mitigated the effects of soil drying on understory and stand evapotranspiration and had important implications for net primary productivity by maintaining this whole ecosystem as a carbon sink.

Bottlenose dolphins exchange signature whistles when meeting at sea.

The bottlenose dolphin, Tursiops truncatus, is one of very few animals that, through vocal learning, can invent novel acoustic signals and copy whistles of conspecifics. Furthermore, receivers can extract identity information from the invented part of whistles. In captivity, dolphins use such signature whistles while separated from the rest of their group. However, little is known about how they use them at sea. If signature whistles are the main vehicle to transmit identity information, then dolphins should exchange these whistles in contexts where groups or individuals join. We used passive acoustic localization during focal boat follows to observe signature whistle use in the wild. We found that stereotypic whistle exchanges occurred primarily when groups of dolphins met and joined at sea. A sequence analysis verified that most of the whistles used during joins were signature whistles. Whistle matching or copying was not observed in any of the joins. The data show that signature whistle exchanges are a significant part of a greeting sequence that allows dolphins to identify conspecifics when encountering them in the wild.