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.

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.

Foraging ecology and parental behaviour in the common tern (Sterna hirundo)

One component of successful parenting is related to efficiency in foraging behaviour. The relationships among chick feeding, the size and type of food package, and length of parental foraging trips has not been well studied in seabirds. In addition, relatively few data have been collected on the activities of seabirds when foraging away from the nest site. The objectives of this study were: (1) to contrast productivity, feeding rate, and attendance patterns of individuals carrying a novel transmitter with a control group of birds; (2) to use radio-telemetry to assess the variability in foraging locations within and between individual male Common Terns; (3) to determine the seasonal variation in chick diet; (4) to determine for each transmittered bird, the relationships among the foraging patterns, parental behaviour, and seasonal reproductive success. The study took place over two years (1990-91) on a concrete breakwater 1 km offshore on Lake Erie near Port Colbome, Ontario. Ten pairs of terns in 1990 and 12 pairs in 1991 were radio-tracked by boat or car during the chick rearing stage. Concurrent behavioural observations documented the time each sex spent foraging or at the nest. The frequency and prey species composition of feeds to chicks were also recorded. The transmitters had negligible effects on the feeding frequency and brood attendance patterns of transmitter carrying birds. Peak nesting transmittered birds in 1990 and 1991 exhibited some inter-individual variability in foraging locations, however intraindividual variability was low. Birds foraged primarily to the west and northwest of the colony. Late nesters exhibited greater inter-individual variability, however intra-individual variability remained low for most birds. Neither group demonstrated sufficient variability to support the regular use of this colony as an "information centre". Individual transmittered birds had unique and predictable foraging patterns, and corresponding differences in feeding frequencies and brood attendance patterns, yet productivity was essentially equal between nests due to the impact and importance of stochastic events. Individuals that were recaptured in 1991 exhibited very similar foraging patterns to 1990, suggesting littie variability between years. Conservation of foraging patterns between years may have potential implications for mate choice decisions in future breeding seasons. Prey species delivered to chicks differed between morning and evening for peak and late nesters in 1990, but not 1991. Peak nesters in 1990 fed significantiy more Rainbow Smelt fOsmerus mordM) than Emerald Shiner (Notropis atherinoidesV this trend was reversed for late nesters who also fed large numbers of unidentified larval fish. No significant differences were found in 1991. Seasonal changes in prey species delivered to chicks is believed to be attributable to the temperature tolerances of the smelt and shiners, and the presence of large schools of larval fish during the late nesting season.

Foraging ecology and parental care of common terns (Sterna hirundo) nesting in Windermere Basin, Lake Ontario

The relationships among chick feeding, size and type of prey item, and foraging time away from the brood have not been well studied in seabirds. This study investigated spatial and temporal patterns of foraging and chick-provisioning among 23 radio-tagged male common terns nesting at Hamilton Harbour, Lake Ontario during 1991 and 1992. Telemetry data were collected concurrently with behavioural observations from an elevated blind. Terns fitted with transmitters did not differ from controls with respect to either brood attendance, patterns of chick mortality, species and size distributions of prey delivered to offspring, or chick-provisioning rates. There was a clear separation of parental roles: males were primarily responsible for feeding chicks while females allocated more time to brood attendance. The prey species most commonly delivered to chicks by adults were rainbow smelt (Osmerus mordax) and alewife (A/osa pseudoharengus), followed in importance by larval fish, emerald shiner (Notropis antherinoides), salmonids, and fathead minnows (Pimepha/es prome/as). The relative proportions of various fish speCies delivered to chicks by males differed over the course of each breeding season, and there was also much variability in species composition of prey between years. Sizes of prey delivered to chicks also differed between sampling periods. The modal size of fish brought to chicks during Peak 1991 was 1.5 bill lengths, while the majority of prey in Late 1991 were small larval fish. The reverse trend occurred in 1992 when small fish were delivered to chicks predominantly during the Peak nesting period. During periods when predominantly small fish were delivered to chicks, the foraging activity of radio-tagged males was concentrated within a two kilometer radius of the colony. The observed variation in prey composition and foraging locations during the study likely reflects temporal variation in the availability of prey in the vicinity of the colony. Males delivered fish to chicks at a constant rate, while females 4 increased their feeding frequency over the first six to ten brood days. The mean length of fish delivered to chicks by adults increased significantly with increasing chick age. As a group, within each nesting period, transmittered males either foraged predominantly in the same directional bearing (north during Peak 1991, south during Late 1992), or concentrated foraging activity in the immediate vicinity of the colony (Late 1991, Peak 1992). However, individual radio-tagged males exhibited unique and predictable foraging patterns, often favouring specific locations within these areas and differing in their secondary foraging patterns. Overall, the Lake Ontario shoreline between NCB Bay" (3.5 km south of colony) and the lift bridge canal (4 km north of colony) was the foraging area used most frequently by radiotagged males during the chick-rearing period. Foraging patterns of transmittered males at Windermere Basin are similar to patterns of peak-nesting common terns, but differ from those of late-nesters, at a nearby colony (Port Colborne, Lake Erie). Differences between the foraging patterns of late-nesting terns at these colonies likely reflect differences in annual patterns of fish availability between the two locations. No relationship was found between foraging proficiency of adults and survival of offspring. Stochastic factors, such as predation by black-crowned nightherons (Nycticorax nycticorax) and adverse weather conditions during the early stages of chick rearing, may be more important determinants of common tern breeding success than parental quality or fish availability.

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.