Position Errors Caused by GPS Height of Instrument Blunders

Height of instrument (HI) blunders in GPS measurements cause position errors. These errors can be pure vertical, pure horizontal, or a mixture of both. There are different error regimes depending on whether both the base and the rover both have HI blunders, if just the base has an HI blunder, or just the rover has an HI blunder. The resulting errors are on the order of 30 cm for receiver separations of 1000 km for an HI blunder of 2 m. Given the complicated nature of the errors, we believe it would be difficult, if not impossible, to detect such errors by visual inspection. This serves to underline the necessity to enter GPS HI's correctly.

Position Errors Caused by GPS HI Blunders

Height of instrument (HI) blunders in GPS measurements cause position errors. These errors can be pure vertical, pure horizontal, or a mixture of both. There are different error regimes depending on whether both the base and the rover both have HI blunders, if just the base has an HI blunder, or just the rover has an HI blunder. The resulting errors are on the order of 30 cm for receiver separations of 1000 km for an HI blunder of 2 m. Given the complicated nature of the errors, we believe it would be difficult, if not impossible, to detect such errors by visual inspection. This serves to underline the necessity to enter GPS HIs correctly.

Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five newly emerging East Asian stock markets during the Asian financial crisis. The evidence shows that the conditional variances of stock market returns and depreciation rates exhibit time-varying characteristics for all countries. Domestic currency depreciation and its uncertainty adversely affects stock market returns across countries. The significant effects of foreign exchange market events on stock market returns suggest that international fund managers who invest in the newly emerging East Asian stock markets must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.

Interbank Markets under Currency Boards

This paper analyzes interbank markets under currency boards. Under such an environment, problematic endogeneity issues common to other monetary regimes do not arise. Using daily data from the interbank markets in Bulgaria and Lithuania we show, that contrary to the existing literature, overnight interest rates tend to decrease towards the end of the reserve holding period. Empirical results are supported by a finite horizon heterogeneous agents model showing that interest rates tend to decrease in the case of excess aggregate reserves in the banking system. Results contrast with Quir'os and Mendiz'abal (2006) who find that interest rates should be increasing regardless of the outstanding aggregate liquidity in the market. We also show that responsiveness of banks to interest rate changes diminishes as the end of reserve holding period approaches. Under certain circumstances this could lead to multiple equilibria with increasing or decreasing interest rates.

Monetary Policy Under a Currency Board

The consensus view is that central banks under currency boards do not have tools for active monetary policy. In this paper, we analyze the foreign exchange fee as a monetary policy instrument that can be used by a central bank under a currency board. We develop a general equilibrium model showing that changes in this fee may have the same effects as a change in the monetary policy stance. Thus central banks under the currency board are shown to have an avenue to implement active monetary policy.

Using Leading Indicators to Forecast US Home Sales in a Bayesian VAR Framework

This paper uses Bayesian vector autoregressive models to examine the usefulness of leading indicators in predicting US home sales. The benchmark Bayesian model includes home sales, the price of homes, the mortgage rate, real personal disposable income, and the unemployment rate. We evaluate the forecasting performance of six alternative leading indicators by adding each, in turn, to the benchmark model. Out-of-sample forecast performance over three periods shows that the model that includes building permits authorized consistently produces the most accurate forecasts. Thus, the intention to build in the future provides good information with which to predict home sales. Another finding suggests that leading indicators with longer leads outperform the short-leading indicators.