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.

An examination of the effects of government purchases in an open economy

This paper examines the effects of permanent and transitory changes in government purchases in the context of a model of a small open economy that produces and consumes both traded and nontraded goods. The model incorporates an equilibrium interpretation of the business cycle that emphasizes the responsiveness of agents to intertemporal relative price changes. It is demonstrated that transitory increases in government purchases lead to an appreciation of the real exchange rate and an ambiguous change (although a likely worsening) in the current account, while permanent increases have an ambiguous impact on the real exchange rate and no effect on the current account. When agents do not know whether a given increase in government purchases is permanent or transitory the effect is a weighted average of these separate effects. The weights depend on the relative variances of the transitory and permanent components of government purchases. © 1985.

The evolutionary origins of human patience: temporal preferences in chimpanzees, bonobos, and human adults.

To make adaptive choices, individuals must sometimes exhibit patience, forgoing immediate benefits to acquire more valuable future rewards [1-3]. Although humans account for future consequences when making temporal decisions [4], many animal species wait only a few seconds for delayed benefits [5-10]. Current research thus suggests a phylogenetic gap between patient humans and impulsive, present-oriented animals [9, 11], a distinction with implications for our understanding of economic decision making [12] and the origins of human cooperation [13]. On the basis of a series of experimental results, we reject this conclusion. First, bonobos (Pan paniscus) and chimpanzees (Pan troglodytes) exhibit a degree of patience not seen in other animals tested thus far. Second, humans are less willing to wait for food rewards than are chimpanzees. Third, humans are more willing to wait for monetary rewards than for food, and show the highest degree of patience only in response to decisions about money involving low opportunity costs. These findings suggest that core components of the capacity for future-oriented decisions evolved before the human lineage diverged from apes. Moreover, the different levels of patience that humans exhibit might be driven by fundamental differences in the mechanisms representing biological versus abstract rewards.

Sound the alarm: fraud in neuroscience.

We expect scientists to follow a code of honor and conduct and to report their research honestly and accurately, but so-called scientific misconduct, which includes plagiarism, faked data, and altered images, has led to a tenfold increase in the number of retractions over the past decade. Among the reasons for this troubling upsurge is increased competition for journal placement, grant money, and prestigious appointments. The solutions are not easy, but reform and greater vigilance is needed.

Crowdfunding the Azolla fern genome project: a grassroots approach.

Much of science progresses within the tight boundaries of what is often seen as a "black box". Though familiar to funding agencies, researchers and the academic journals they publish in, it is an entity that outsiders rarely get to peek into. Crowdfunding is a novel means that allows the public to participate in, as well as to support and witness advancements in science. Here we describe our recent crowdfunding efforts to sequence the Azolla genome, a little fern with massive green potential. Crowdfunding is a worthy platform not only for obtaining seed money for exploratory research, but also for engaging directly with the general public as a rewarding form of outreach.

Do You Want to Hear the Bad News? The Value of Diagnostic Tests for Alzheimer's Disease.

OBJECTIVE: The diagnosis of Alzheimer's disease (AD) remains difficult. Lack of diagnostic certainty or possible distress related to a positive result from diagnostic testing could limit the application of new testing technologies. The objective of this paper is to quantify respondents' preferences for obtaining AD diagnostic tests and to estimate the perceived value of AD test information. METHODS: Discrete-choice experiment and contingent-valuation questions were administered to respondents in Germany and the United Kingdom. Choice data were analyzed by using random-parameters logit. A probit model characterized respondents who were not willing to take a test. RESULTS: Most respondents indicated a positive value for AD diagnostic test information. Respondents who indicated an interest in testing preferred brain imaging without the use of radioactive markers. German respondents had relatively lower money-equivalent values for test features compared with respondents in the United Kingdom. CONCLUSIONS: Respondents preferred less invasive diagnostic procedures and tests with higher accuracy and expressed a willingness to pay up to €700 to receive a less invasive test with the highest accuracy.