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.

Calculation of the magnetic field penetration depth for high-Tc cuprate superconductors based on the Interlayer Pair Tunneling model /

In this work, the magnetic field penetration depth for high-Tc cuprate superconductors is calculated using a recent Interlayer Pair Tunneling (ILPT) model proposed by Chakravarty, Sudb0, Anderson, and Strong [1] to explain high temperature superconductivity. This model involves a "hopping" of Cooper pairs between layers of the unit cell which acts to amplify the pairing mechanism within the planes themselves. Recent work has shown that this model can account reasonably well for the isotope effect and the dependence of Tc on nonmagnetic in-plane impurities [2] , as well as the Knight shift curves [3] and the presence of a magnetic peak in the neutron scattering intensity [4]. In the latter case, Yin et al. emphasize that the pair tunneling must be the dominant pairing mechanism in the high-Tc cuprates in order to capture the features found in experiments. The goal of this work is to determine whether or not the ILPT model can account for the experimental observations of the magnetic field penetration depth in YBa2Cu307_a7. Calculations are performed in the weak and strong coupling limits, and the efi"ects of both small and large strengths of interlayer pair tunneling are investigated. Furthermore, as a follow up to the penetration depth calculations, both the neutron scattering intensity and the Knight shift are calculated within the ILPT formalism. The aim is to determine if the ILPT model can yield results consistent with experiments performed for these properties. The results for all three thermodynamic properties considered are not consistent with the notion that the interlayer pair tunneling must be the dominate pairing mechanism in these high-Tc cuprate superconductors. Instead, it is found that reasonable agreement with experiments is obtained for small strengths of pair tunneling, and that large pair tunneling yields results which do not resemble those of the experiments.

Magnetic and high pressure studies in the YPd5B3C3 system

The macroscopic properties of the superconducting phase in the multiphase compound YPd5B3 C.3 have been investigated. The onset of superconductivity was observed at 22.6 K, zero resistance at 21.2 K, the lower critical field Hel at 5 K was determined to be Hel (5) rv 310 Gauss and the compound was found to be an extreme type-II superconductor with the upper critical field in excess of 55000 Gauss at 15 K. From the upper and lower critical field values obtained, several important parameters of the superconducting state were determined at T = 15 K. The Ginzburg-Landau paramater was determined to be ~ > 9 corresponding to a coherence length ~ rv 80A and magnetic penetration depth of 800A. In addition measurements of the superconducting transition temperature Te(P) under purely hydrostatically applied pressure have been carried out. Te(P) of YPd5B3 C.3 decreases linearly with dTe/dP rv -8.814 X 10-5 Jstates near the Fermi level.