Macroeconomic News and Exchange Rates: Evidence of Unstable Effect

Although the link between macroeconomic news announcements and exchange rates is well documented in recent literature, this connection may be unstable. By using a broad set of macroeconomic news announcements and high frequency forex data for the Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov 1, 2004 to Mar 31, 2014, we obtain two major findings with regards to this instability. First, many macroeconomic news announcements exhibit unstable effects with certain patterns in foreign exchange rates. These news effects may change in magnitude and even in their sign over time, over business cycles and crises within distinctive contexts. This finding is robust because the results are obtained by applying a Two-Regime Smooth Transition Regression Model, a Breakpoints Regression Model, and an Efficient Test of Parameter Instability which are all consistent with each other. Second, when we explore the source of this instability, we find that global risks and the reaction by central bank monetary policy to these risks to be possible factors causing this instability.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate, we introduce the savings-investment rate differential (SID). Investigating each country through a vector autoregression (VAR) model, we observe extremely insignificant coefficient estimates of the historical SIDs upon the present FX rates. We also report similar findings through the panel VAR approach. We thus conclude that the historical SIDs are useless in forecasting the FX rate. Nonetheless, the coefficients of the past FX rates upon the current SIDs for both the country-specific and the panel VAR models are statistically significant. Therefore, we conclude that the historical FX rates can conversely predict the SID to some degree. Specifically, depreciation in the domestic currency would cause the increase in the SID.

Pressure dependence of spin fluctuations in metallic glasses Zrâ â Niâ â ,Zrâ â (Nix/Feâ â â -x)â â and /Zrx/feâ â â -x

The superconducting transition temperature Tc of metallic glasses ZrxFelOO-x (x=80, 75), Zr75(NixFelOO-x)25 (x=75, 50, 25), and CU2SZr75 were measured under quasi-hydrostatic pressure up to 8 OPa (80kbar). The volume (pressure) dependence of the electron-phonon coupling parameters Aep for CU25Zr75 was calculated using the McMillan equatio11. Using this volume dependence of Aep and the modified McMillan equation which incorporates spin-fluctuations, the volume dependence of the spin fluctuation parameter, Asf, was determined in Zr75Ni25, ZrxFelOO-x , a11d Zr75(NixFelOO-x)25. It was found that with increasing pressure, spinfluctuations are suppressed at a faster rate in ZrxFe lOO-x and Zr75(NixFelOO-x)25, as Fe concentration is increased. The rate of suppression of spin-fluctuations with pressure was also found to be higher in Fe-Zr glasses than in Ni-Zr glasses of similar composition.

Orientation of Non-Native 2-Monosubstituted and 2,3-Disubstituted 1,4-Naphthoquinones in the A1 binding site of PSI and the effect on the rate of electron transfer : an electron paramagnetic resonance spectroscopy study

The proce-ss ofoxygenic photosynthesis is vital to life on Earth. the central event in photosynthesis is light induced electron transfer that converts light into energy for growth. Ofparticular significance is the membrane bound multisubunit protein known as Photosystem I (PSI). PSI is a reaction centre that is responsible for the transfer of electrons across the membrane to reduce NADP+ to NADPH. The recent publication ofa high resolution X-ray structure of PSI has shown new information about the structure, in particular the electron transfer cofactors, which allows us to study it in more detail. In PSI, the secondary acceptor is crucial for forward electron transfer. In this thesis, the effect of removing the native acceptor phylloquinone and replacing it with a series of structurally related quinones was investigated via transient electron paramagnetic resonance (EPR) experiments. The orientation of non native quinones in the binding site and their ability to function in the electron transfer process was determined. It was found that PSI will readily accept alkyl naphthoquinones and anthraquinone. Q band EPR experiments revealed that the non-native quinones are incorporated into the binding site with the same orientation of the headgroup as in the native system. X band EPR spectra and deuteration experiments indicate that monosubstituted naphthoquinones are bound to the Al site with their side group in the position occupied by the methyl group in native PSI (meta to the hydrogen bonded carbonyl oxygen). X band EPR experiments show that 2, 3- disubstituted methyl naphthoquinones are also incorporated into the Al site in the same orientation as phylloquinone, even with the presence of a halogen- or sulfur-containing side chain in the position normally occupied by the phytyl tail ofphylloquinone. The exception to this is 2-bromo-3-methyl --.- _. -. - -- - - 4 _._ _ _ - _ _ naphthoquinone which has a poorly resolved spectrum, making determination of the orientation difficuh. All of the non-native quinones studied act as efficient electron acceptors. However, forward electron transfer past the quinone could only be demonstrated for anthraquinone, which has a more negative midpoint potential than phylloquinone. In the case of anthraquinone, an increased rate of forward electron transfer compared to native PSI was found. From these results we can conclude that the rate ofelectron transfer from Al to Fx in native PSI lies in the normal region ofthe Marcus Curve.

Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.