Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium

In this paper, we examine exchange rates in Vietnam’s transitional economy. Evidence of long-run equilibrium are established in most cases through a single co-integrating vector among endogenous variables that determine the real exchange rates. This supports relative PPP in which ECT of the system can be combined linearly into a stationary process, reducing deviation from PPP in the long run. Restricted coefficient vectors ß’ = (1, 1, -1) for real exchange rates of currencies in question are not rejected. This empirics of relative PPP adds to found evidences by many researchers, including Flre et al. (1999), Lee (1999), Johnson (1990), Culver and Papell (1999), Cuddington and Liang (2001). Instead of testing for different time series on a common base currency, we use different base currencies (USD, GBP, JPY and EUR). By doing so we want to know the whether theory may posit significant differences against one currency? We have found consensus, given inevitable technical differences, even with smallerdata sample for EUR. Speeds of convergence to PPP and adjustment are faster compared to results from other researches for developed economies, using both observed and bootstrapped HL measures. Perhaps, a better explanation is the adjustment from hyperinflation period, after which the theory indicates that adjusting process actually accelerates. We observe that deviation appears to have been large in early stages of the reform, mostly overvaluation. Over time, its correction took place leading significant deviations to gradually disappear.

Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Water exchange rates of water-soluble manganese(III) porphyrins of therapeutical potential.

The activation parameters and the rate constants of the water-exchange reactions of Mn(III)TE-2-PyP(5+) (meso-tetrakis(N-ethylpyridinium-2-yl)porphyrin) as cationic, Mn(III)TnHex-2-PyP(5+) (meso-tetrakis(N-n-hexylpyridinium-2-yl)porphyrin) as sterically shielded cationic, and Mn(III)TSPP(3-) (meso-tetrakis(4-sulfonatophenyl)porphyrin) as anionic manganese(iii) porphyrins were determined from the temperature dependence of (17)O NMR relaxation rates. The rate constants at 298 K were obtained as 4.12 x 10(6) s(-1), 5.73 x 10(6) s(-1), and 2.74 x 10(7) s(-1), respectively. On the basis of the determined entropies of activation, an interchange-dissociative mechanism (I(d)) was proposed for the cationic complexes (DeltaS(double dagger) = approximately 0 J mol(-1) K(-1)) whereas a limiting dissociative mechanism (D) was proposed for Mn(III)TSPP(3-) complex (DeltaS(double dagger) = +79 J mol(-1) K(-1)). The obtained water exchange rate of Mn(III)TSPP(3-) corresponded well to the previously assumed value used by Koenig et al. (S. H. Koenig, R. D. Brown and M. Spiller, Magn. Reson. Med., 1987, 4, 52-260) to simulate the (1)H NMRD curves, therefore the measured value supports the theory developed for explaining the anomalous relaxivity of Mn(III)TSPP(3-) complex. A magnitude of the obtained water-exchange rate constants further confirms the suggested inner sphere electron transfer mechanism for the reactions of the two positively charged Mn(iii) porphyrins with the various biologically important oxygen and nitrogen reactive species. Due to the high biological and clinical relevance of the reactions that occur at the metal site of the studied Mn(iii) porphyrins, the determination of water exchange rates advanced our insight into their efficacy and mechanism of action, and in turn should impact their further development for both diagnostic (imaging) and therapeutic purposes.

Can exchange rates forecast commodity prices?

We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Hydraulic redistribution of soil water by roots affects whole-stand evapotranspiration and net ecosystem carbon exchange.

*Hydraulic redistribution (HR) of water via roots from moist to drier portions of the soil occurs in many ecosystems, potentially influencing both water use and carbon assimilation. *By measuring soil water content, sap flow and eddy covariance, we investigated the temporal variability of HR in a loblolly pine (Pinus taeda) plantation during months of normal and below-normal precipitation, and examined its effects on tree transpiration, ecosystem water use and carbon exchange. *The occurrence of HR was explained by courses of reverse flow through roots. As the drought progressed, HR maintained soil moisture above 0.15 cm(3) cm(-3) and increased transpiration by 30-50%. HR accounted for 15-25% of measured total site water depletion seasonally, peaking at 1.05 mm d(-1). The understory species depended on water redistributed by the deep-rooted overstory pine trees for their early summer water supply. Modeling carbon flux showed that in the absence of HR, gross ecosystem productivity and net ecosystem exchange could be reduced by 750 and 400 g C m(-2) yr(-1), respectively. *Hydraulic redistribution mitigated the effects of soil drying on understory and stand evapotranspiration and had important implications for net primary productivity by maintaining this whole ecosystem as a carbon sink.

Bottlenose dolphins exchange signature whistles when meeting at sea.

The bottlenose dolphin, Tursiops truncatus, is one of very few animals that, through vocal learning, can invent novel acoustic signals and copy whistles of conspecifics. Furthermore, receivers can extract identity information from the invented part of whistles. In captivity, dolphins use such signature whistles while separated from the rest of their group. However, little is known about how they use them at sea. If signature whistles are the main vehicle to transmit identity information, then dolphins should exchange these whistles in contexts where groups or individuals join. We used passive acoustic localization during focal boat follows to observe signature whistle use in the wild. We found that stereotypic whistle exchanges occurred primarily when groups of dolphins met and joined at sea. A sequence analysis verified that most of the whistles used during joins were signature whistles. Whistle matching or copying was not observed in any of the joins. The data show that signature whistle exchanges are a significant part of a greeting sequence that allows dolphins to identify conspecifics when encountering them in the wild.

15N NMR relaxation data reveal significant chemical exchange broadening in the alpha-domain of human α-lactalbumin

Human alpha-lactalbumin (alpha-LA), a 123-residue calcium-binding protein, has been studied using (15)N NMR relaxation methods in order to characterize backbone dynamics of the native state at the level of individual residues. Relaxation data were collected at three magnetic field strengths and analyzed using the model-free formalism of Lipari and Szabo. The order parameters derived from this analysis are generally high, indicating a rigid backbone. A total of 46 residues required an exchange contribution to T(2); 43 of these residues are located in the alpha-domain of the protein. The largest exchange contributions are observed in the A-, B-, D-, and C-terminal 3(10)-helices of the alpha-domain; these residues have been shown previously to form a highly stable core in the alpha-LA molten globule. The observed exchange broadening, along with previous hydrogen/deuterium amide exchange data, suggests that this part of the alpha-domain may undergo a local structural transition between the well-ordered native structure and a less-ordered molten-globule-like structure.

Ag+- and Zn2+-exchange kinetics and antimicrobial properties of 11 angstrom tobermorites

Ag+- and Zn2+-exchanged zeolites zeolites and clays have been used as coatings and in composites to confer broad-spectrum antimicrobial properties on a range of technical and biomedical materials. 11 angstrom tobermorite is a bioactive layer lattice ion exchanger whose potential as a carrier for Ag+ and Zn2+ ions in antimicrobial formulations has not yet been explored. In view of this, batch Ag+- and Zn2+-exchange kinetics of two structurally distinct synthetic 11 angstrom tobermorites and their subsequent bactericidal action against Staphylococcus aureus and Pseudomonas aeruginosa are reported. During the exchange reactions, Ag+ ions were found to replace labile interlayer cations; whereas, Zn2+ ions also displaced structural Ca2+ ions from the tobermorite lattice. In spite of these different mechanisms, a simple pseudo-second-order model provided a suitable description of both exchange processes (R-2 >= 0.996). The Ag+- and Zn2+-exchanged tobermorite phases exhibited marked bacteriostatic effects against both bacteria, and accordingly, their potential for use as antimicrobial materials for in situ bone tissue regeneration is discussed. (C) 2008 Elsevier Ltd. All rights reserved.

The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs

The aim of this paper is to investigate the performance and persistence of 20 iShares MSCI country-specific exchange-traded funds (ETFs) in comparison with S&P 500 index over the period July 2001 to June 2006. There are several studies analysing mutual funds performance in past years, but very little is known about ETFs. In our analysis the Sharpe, Treynor and Sortino ratios are used as risk-adjusted performance measures. To evaluate performance persistence and therefore if there is any relationship among past performance and future performance, we apply to the Spearman Rank Correlation Coefficient and the Winner-loser Contingency Table. The main findings are at two levels. First, ETFs can beat the U.S. market index based on risk-adjusted performance measures. Second, there is evidence of ETFs performance persistence based on annual return.