Modeling foreign exchange rate pass-through using the exponential GARCH

In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers' prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers' prices are within the range of -1.02% (for the Textiles sector) and -17.22% (for the Meat sector). The contemporaneous Pricing-To-Market (PTM) coefficients are within the range of -72.84% (for the Fuels sector) and -8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of changes in FX rate and producers' prices vary substantially, as do asymmetry and volatility estimates before equilibrium is achieved.

Connectionist-based rules describing the pass-through of individual goods prices into trend inflation in the United States

This paper demonstrates a mechanism whereby rules can be extracted from a feedforward neural network trained to characterize the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes in the growth rate(s) of individual commodities and the economy-wide rate of growth of consumer prices. Monthly price data are encoded and used to train a group of candidate connectionist architectures. One candidate is selected for rule extraction, using a custom decompositional extraction algorithm that generates rules in human-readable and machine-executable form. Rule and network accuracy are compared, and comments are made on the relationships expressed within the discovered rules. The types of discovered relationships could be used to guide monetary policy decisions.

Pricing-to-market for UK export sector

This thesis investigates the pricing-to-market (PTM) behaviour of the UK export sector. Unlike previous studies, this study econometrically tests for seasonal unit roots in the export prices prior to estimating PTM behaviour. Prior studies have seasonally adjusted the data automatically. This study’s results show that monthly export prices contain very little seasonal unit roots implying that there is a loss of information in the data generating process of the series when estimating PTM using seasonally-adjusted data. Prior studies have also ignored the econometric properties of the data despite the existence of ARCH effects in such data. The standard approach has been to estimate PTM models using Ordinary Least Square (OLS). For this reason, both EGARCH and GJR-EGARCH (hereafter GJR) estimation methods are used to estimate both a standard and an Error Correction model (ECM) of PTM. The results indicate that PTM behaviour varies across UK sectors. The variables used in the PTM models are co-integrated and an ECM is a valid representation of pricing behaviour. The study also finds that the price adjustment is slower when the analysis is performed on real prices, i.e., data that are adjusted for inflation. There is strong evidence of auto-regressive condition heteroscedasticity (ARCH) effects – meaning that the PTM parameter estimates of prior studies have been ineffectively estimated. Surprisingly, there is very little evidence of asymmetry. This suggests that exporters appear to PTM at a relatively constant rate. This finding might also explain the failure of prior studies to find evidence of asymmetric exposure in foreign exchange (FX) rates. This study also provides a cross sectional analysis to explain the implications of the observed PTM of producers’ marginal cost, market share and product differentiation. The cross-sectional regressions are estimated using OLS, Generalised Method of Moment (GMM) and Logit estimations. Overall, the results suggest that market share affects PTM positively.Exporters with smaller market share are more likely to operate PTM. Alternatively, product differentiation is negatively associated with PTM. So industries with highly differentiated products are less likely to adjust their prices. However, marginal costs seem not to be significantly associated with PTM. Exporters perform PTM to limit the FX rate effect pass-through to their foreign customers, but they also avoided exploiting PTM to the full, since to do so can substantially reduce their profits.

Resonance studies of artificial earth satellites

Orbit determination from artificial satellite observations is a key process in obtaining information about the Earth and its environment. A study of the perturbations experienced by these satellites enables knowledge to be gained of the upper atmosphere, the gravity field, ocean tides, solid-Earth tides and solar radiation. The gravity field is expressed as a double infinite series of associated Legendre functions (tesseral harmonics). In contemporary global gravity field models the overall geoid is well determined. An independent check on these gravity field harmonics of a particular order may be made by analysis of satellites that pass through resonance of that order. For such satellites the perturbations of the orbital elements close to resonance are analysed to derive lumped harmonic coefficients. The orbital parameters of 1984-106A have been determined at 43 epochs, during which time the satellite was close to 14th order resonance. Analysis of the inclination and eccentricity yielded 6 lumped harmonic coefficients of order 14 whilst analysis of the mean motion yielded additional pairs of lumped harmonics of orders 14, 28 and 42, with the 14th order harmonics superseding those obtained from analysis of the inclination. This thesis concentrates in detail on the theoretical changes of a near-circular satellite orbit perturbed by the Earth's gravity field under the influence of minimal air-drag whilst in resonance with the Earth. The satellite 1984-106A experienced the interesting property of being temporarily trapped with respect to a secondary resonance parameter due to the low air-drag in 1987. This prompted the theoretical investigation of such a phenomenon. Expressions obtained for the resonance parameter led to the determination of 8 lumped harmonic coefficients, coincidental to those already obtained. All the derived lumped harmonic values arc used to test the accuracy of contemporary gravity field models and the underlying theory in this thesis.

Pricing-to-market using EGARCH-error correction model

In this paper, the authors use an exponential generalized autoregressive conditional heteroscedastic (EGARCH) error-correction model (ECM), that is, EGARCH-ECM, to estimate the pass-through effects of foreign exchange (FX) rates and producers’ prices for 20 U.K. export sectors. The long-run adjustment of export prices to FX rates and producers’ prices is within the range of -1.02% (for the Textiles sector) and -17.22% (for the Meat sector). The contemporaneous pricing-to-market (PTM) coefficient is within the range of -72.84% (for the Fuels sector) and -8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of FX rate and producers’ prices fluctuate substantially as are asymmetry and volatility estimates before equilibrium is achieved.

Thermalized polarization dynamics of a discrete optical-waveguide system with four-wave mixing

Statistical mechanics of two coupled vector fields is studied in the tight-binding model that describes propagation of polarized light in discrete waveguides in the presence of the four-wave mixing. The energy and power conservation laws enable the formulation of the equilibrium properties of the polarization state in terms of the Gibbs measure with positive temperature. The transition line T=∞ is established beyond which the discrete vector solitons are created. Also in the limit of the large nonlinearity an analytical expression for the distribution of Stokes parameters is obtained, which is found to be dependent only on the statistical properties of the initial polarization state and not on the strength of nonlinearity. The evolution of the system to the final equilibrium state is shown to pass through the intermediate stage when the energy exchange between the waveguides is still negligible. The distribution of the Stokes parameters in this regime has a complex multimodal structure strongly dependent on the nonlinear coupling coefficients and the initial conditions.

Effect of electron-phonon coupling on transmission through Luttinger liquid hybridized with resonant level

We show that electron-phonon coupling strongly affects transport properties of the Luttinger liquid hybridized with a resonant level. Namely, this coupling significantly modifies the effective energy-dependent width of the resonant level in two different geometries, corresponding to the resonant or antiresonant transmission in the Fermi gas. This leads to a rich phase diagram for a metal-insulator transition induced by the hybridization with the resonant level.

Electrical charge effect on osmotic flow through pores

An electrostatic model for osmotic flow through circular cylindrical pores is developed to describe the reflection coefficient for the membrane transport in the presence of surface charges on the pore wall and the solute. For a spherical solute placed at an arbitrary radial position in the pore, the electrical potential was computed by a spectral element method applied to the Poisson-Boltzmann equation together with the condition of electrical neutrality. The interaction energy between the surface charges was used to estimate the osmotic reflection coefficient. The proposed model predicts that even for a small Debye length compared to the pore radius, the repulsive electrostatic interaction between the surface charges could significantly increase the osmotic flow through the pore.