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.

The cardiovascular hemodynamic responses to various levels of orthostatic stress in children

The ability of the cardiovascular system to quickly and efficiently adapt to an orthostatic stress is vital for the human body to function on earth. The way in which the various aspects of the cardiovascular system work together to counteract an orthostatic stress has been previously quantified in the adult population. However, there are still many unknowns surrounding the topic of how the cardiovascular system functions to cope with this same stress in children. The purpose of this study was to describe the cardiovascular hemodynamic adaptations to various levels of orthostatic stress induced using a lower body negative pressure (LBNP) chamber in pre-pubertal boys. A secondary purpose was to determine indices of baroreceptor sensitivity (BRS) at both rest and during low levels of LBNP in this same pediatric sample. Finally, this study aimed to compare the relative responses to LBNP between the children and adults. To complete the study 20 healthy pre-pubertal boys and adult males (9.3 ± 1.1 and 23 ± 1.8 years of age respectively) were recruited and randomly exposed to three levels of LBNP (15, 20 and 25 mmHg). At rest and during the application of the LBNP heart rate (HR), manual and bcat-by-beat systolic (SBP), diastolic (DBP) and mean arterial blood pressure (MAP) were monitored continuously. Aortic diameter was measured at rest and peak aortic blood velocity (PV) was recorded continuously for at least I minute during each baseline and LBNP condition. From the raw data HR, stroke volume (SV), cardiac output (Q), total peripheral resistance (TPR), low frequency baroreceptor sensitivity (LF BRS), high frequency baroreceptor sensitivity (HF BRS) and LFIIIF ratio were calculated. At rest, llR wa'i higher and SBP, SV, Q and LF/HF ratio were lower in the children compared to the adult males (pgJ.05). In response to the increasing LEN!> IIR and TPR increased, and LF BRS. SV and Q decreased in the adult group (pSf).05). while the same levels of LBNP caused an increase in TPR and a decrease in SBP, SV and Q in the children (pSf).05). Although not significant, the LF/HF ratio in the adult group showed an increasing trend in response to increased negative pressure (p=O.088). As for resting BRS, there were no significant differences in LF or HF BRS between the children and the adults despite a tendency for both measures to be 18% lower in the children. Also the LF/HF ratio was almost significantly greater in the adults compared to the children (p=O.057). In addition, a comparison between the relative adult and child responses to LBNP yielded no significant group by level interactions. This result should be taken with caution though, as the low sample size and high measurement variability generated very low statistical power for this analysis. In conclusion, the results of this study suggest that the hemodynamic adaptations to an orthostatic stress were less pronounced in the prepubertal males, most likely due to an underdeveloped autonomic system. These results need to be strengthened by further research before any implications can be derived for health care purposes.

The effects of yeast inoculation rate and acclimatization to juice on icewine fermentation /

Icewine is an intensely sweet, unique dessert wine fennented from the juice of grapes that have frozen naturally on the vine. The juice pressed from the frozen grapes is highly concentrated, ranging from a minimum of 35° Brix to approximately 42° Brix. Often Icewine fennentations are sluggish, taking months to reach the desired ethanol level, and sometimes become stuck. In 6 addition, Icewines have high levels of volatile acidity. At present, there is no routine method of yeast inoculation for fennenting Icewine. This project investigated two yeast inoculum levels, 0.2 gIL and 0.5 gIL. The fennentation kinetics of inoculating these yeast levels directly into the sterile Icewine juice or conditioning the cells to the high sugar levels using a step wise acclimatization procedure were also compared. The effect of adding GO-FERM, a yeast nutrient, was also assessed. In the sterile fennentations, yeast inoculated at 0.2 gIL stopped fennenting before the required ethanol level was achieved, producing only 7.8% (v/v) and 8.1 % (v/v) ethanol for the direct and conditioned inoculations, respectively. At 0.5 gIL, the stepwise conditioned cells fennented the most sugar, producing 12.2% (v/v) ethanol, whereas the direct inoculum produced 10.5% (v/v) ethanol. The addition of the yeast nutrient GO-FERM increased the rate of biomass accumulation, but reduced the ethanol concentration in wines fennented at 0.5 gIL. There was no significant difference in acetic acid concentration in the final wines across all treatments. Fennentations using unfiltered Icewine juice at the 0.5 gIL inoculum level were also compared to see if the effects of yeast acclimatization and micronutrient addition had the same impact on fennentation kinetics and yeast metabolite production as observed in the sterile-filtered juice fennentations. In addition, a full descriptive analysis of the finished wines was carried out to further assess the impact of yeast inoculation method on Icewine sensory quality. At 0.5 gIL, the stepwise conditioned cells fennented the most sugar, producing 11.5% (v/v) ethanol, whereas the direct inoculum produced 10.0% (v/v) ethanol. The addition of the yeast nutrient GO-FERM increased the peak viable cell numbers, but reduced the ethanol concentration in wines fennented at 0.5 gIL. There was a significant difference 7 in acetic acid concentration in the final wines across all treatments and all treatments affected the sensory profiles of the final wines. Wines produced by direct inoculation were described by grape and raisin aromas and butter flavour. The addition of GO-FERM to the direct inoculation treatment shifted the aroma/flavour profiles to more orange flavour and aroma, and a sweet taste profile. StepWise acclimatizing the cells resulted in wines described more by peach and terpene aroma. The addition of GO-FERM shifted the profile to pineapple and alcohol aromas as well as alcohol flavour. Overall, these results indicate that the addition of GO-FERM and yeast acclimatization shortened the length of fermentation and impacted the sensory profiles of the resultant wines.

Effect of diurnal cycling temperatures on cardiovascular- ventilatory function in statically-acclimated rainbow trout, Salmo gairdneri

Four groups of rainbow trout, Salmo gairdneri, were acclimated to 2°, 10°, and 18°e, and to a diurnal temperature cycle (100 ± 4°C). To evaluate the influence of cycling temperatures in terms of an immediate as opposed to acclimatory response various ventilatory-cardiovascular rate functions were observed for trout, either acclimated to cycling temperatures or acclimated to constant temperatures and exposed to a diurnal temperature cycle for the first time (10° ± 4°C for trout acclimated to 10°C; 18°+ 4°C for trout acclimated to l8°e). Gill resistance and the cardiac to ventilatory rate ratio were then calculated. Following a post preparatory recovery period of 36 hr, measurements were made over a 48 hour period with the first 24 hours being at constant temperature in the case of statically-acclimated fish followed by 24 hours under cyclic temperature conditions. Trout exhibited marked changes in oxygen consumption (Vo ) with temp- 2 erature both between acclimation groups, and in response to the diurnal temperature cycle. This increase in oxygen uptake appears to have been achieved by adjustment of ventilatory and, to some extent, cardiovascular activity. Trout exhibited significant changes in ventilatory rate (VR), stroke volume (Vsv), and flow (VG) in response to temperature. Marked changes in cardiac rate were also observed. These findings are discussed in relation to their importance in convective oxygen transport via water and blood at the gills and tissues. Trout also exhibited marked changes in pressure waveforms associated with the action of the resp; ratory pumps with temperature. Mean differenti a 1 pressure increased with temperature as did gill resistance and utilization. This data is discussed in relation to its importance in diffusive oxygen transport and the conditions for gas exchange at the gills. With one exception, rainbow trout were able to respond to changes in oxygen demand and availability associated with changes in temperature by means of adjustments in ventilation, and possibly pafusion, and the conditions for gas exchange at the gills. Trout acclimated to 18°C, however, and exposed to high cyclic temperatures, showed signs of the ventilatory and cardiovascular distress problems commonly associated with low circulating levels of oxygen in the blood. It appears these trout were unable to fully meet the oxygen requirements associated with c~ling temperatures above 18°C. These findings were discussed in relation to possible limitations in the cardiovascular-ventilatory response at high temperatures. The response of trout acclimated to cycling temperatures was generally similar to that for trout acclimated to constant temperatures and exposed to cycling temperatures for the first time. This result suggested that both groups of fish may have been acclimated to a similar thermal range, regardless of the acclimation regime employed. Such a phenomenon would allow trout of either acclimation group to respond equally well to the imposed temperature cycle. Rainbow trout showed no evidence of significant diurnal rhythm in any parameters observed at constant temperatures (2°, 10°, and 18° C), and under a 12/12 light-dark photoperiod regime. This was not taken to indicate an absence of circadian rhythms in these trout, but rather a deficiency in the recording methods used in the study.

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.

Macroeconomic News and LOB in Foreign Exchange ECN Market

We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.