Measuring the Economic Significance of Structural Exchange Rate Models

This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and out-of-sample forecasting) than a simple Random Walk model.

The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics.

The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics.

Dynamin-SNARE interactions control trans-SNARE formation in intracellular membrane fusion.

The fundamental processes of membrane fission and fusion determine size and copy numbers of intracellular organelles. Although SNARE proteins and tethering complexes mediate intracellular membrane fusion, fission requires the presence of dynamin or dynamin-related proteins. Here we study these reactions in native yeast vacuoles and find that the yeast dynamin homologue Vps1 is not only an essential part of the fission machinery, but also controls membrane fusion by generating an active Qa SNARE-tethering complex pool, which is essential for trans-SNARE formation. Our findings provide new insight into the role of dynamins in membrane fusion by directly acting on SNARE proteins.

Peptide substrate specificity of the membrane-bound metalloprotease of Leishmania.

The promastigote surface protease (PSP) of Leishmania is a neutral membrane-bound zinc enzyme. The protease has no exopeptidase activity and does not cleave a large selection of substrates with chromogenic and fluorogenic leaving groups at the P1' site. The substrate specificity of the enzyme was studied by using natural and synthetic peptides of known amino acid sequence. The identification of 11 cleavage sites indicates that the enzyme preferentially cleaves peptides at the amino side when hydrophobic residues are in the P1' site and basic amino acid residues in the P2' and P3' sites. In addition, tyrosine residues are commonly found at the P1 site. Hydrolysis is not, however, restricted to these residues. These results have allowed the synthesis of a model peptide, H2N-L-I-A-Y-L-K-K-A-T-COOH, which is cleaved by PSP between the tyrosine and leucine residues with a kcat/Km ratio of 1.8 X 10(6) M-1 s-1. Furthermore, a synthetic nonapeptide overlapping the last four amino acids of the prosequence and the first five residues of mature PSP was found to be cleaved by the protease at the expected site to release the mature enzyme. This result suggests a possible autocatalytic mechanism for the activation of the protease. Finally, the hydroxamate-derivatized dipeptide Cbz-Tyr-Leu-NHOH was shown to inhibit PSP competitively with a KI of 17 microM.

Strain specific variation of outer membrane proteins of wild Yersinia pestis strains subjected to different growth temperatures

Three Yersinia pestis strains isolated from humans and one laboratory strain (EV76) were grown in rich media at 28§C and 37§C and their outer membrane protein composition compared by sodium dodecyl sulphate polyacrylamide gel electrophoresis (SDS-Page). Several proteins with molecular weights ranging from 34 kDa to 7 kDa were observed to change in relative abundance in samples grown at different temperatures. At least seven Y. pestis outer membrane proteins showed a temperature-dependent and strain-specific behaviour. Some differences between the outer membrane proteins of full-pathogenic wild isolates and the EV76 strain could aldso be detected and the relevance of this finding on the use of laboratory strains as a reference to the study of Y. pestis biological properties is discuted.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate

Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors' forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a period of low interest rates, this study is also related to the forward premium puzzle and the currency carry trade strategy. We obtain the following results. First, with the same forecast horizon, exchange rate forecasts are homogeneous among different industry types, but within the same industry, exchange rate forecasts differ if the forecast time horizon is different. In particular, investors tend to undervalue the future exchange rate for long term forecast horizons; however, in the short run they tend to overvalue the future exchange rate. Second, while forecast errors are found to be partly driven by interest rate spreads, evidence against the UIRP is provided regardless of the forecasting time horizon; the forward premium puzzle becomes more significant in shorter term forecasting errors. Consistent with this finding, our coefficients on interest rate spreads provide indirect evidence of the yen carry trade over only a short term forecast horizon. Furthermore, the carry trade seems to be active when there is a clear indication that the interest rate will be low in the future.

Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging

The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both intermediate and final commodities to be traded in the international and futures markets, and the exporters/importers to face production shock, domestic factor costs and a random price. Applying mean-variance expected utility, we find that a rise in the expected exchange rate can raise both supply and demand for commodities and reduce domestic prices if the exchange rate elasticity of supply is greater than that of demand. Whether higher volatilities of exchange rate and foreign futures price can reduce the optimal spot position of domestic traders depends on the correlation between the exchange rate and the foreign futures price. Even though the forward exchange market is unbiased, and there is no correlation between commodity prices and exchange rates, the exchange rate can still affect domestic trading and prices through offshore hedging and international trade if the traders are interested in their profit in domestic currency. It illustrates how the world prices and foreign futures prices of commodities and their volatility can be transmitted to the domestic market as well as the dynamic relationship between intermediate and final goods prices. The equilibrium prices depends on trader behaviour i.e. who trades or does not trade in the foreign commodity futures and domestic forward currency markets. The empirical result applying a two-stage-least-squares approach to Thai rice and rubber prices supports the theoretical result.

Exchange Rate Predictability in a Changing World

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time Varying Parameters (TVP) estimated by Bayesian methods. In core out-of-sample results, we improve upon a random walk benchmark for at least half, and for as many as eight out of ten, of the currencies considered. This contrasts with a constant parameter Taylor rule model that yields a more limited improvement upon the benchmark. In further results, Purchasing Power Parity and Uncovered Interest Rate Parity TVP models beat a random walk benchmark, implying our methods have some generality in exchange rate prediction.

Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model

This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro-Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro-Dollar exchange rate closely followed the values implied by the PEER. The only significant deviations from the PEER occurred in the years immediately before and after the introduction of the single European currency. The forecasting exercise shows that incorporating economic fundamentals provides a better long-run exchange rate forecasting performance than a random walk process.

On the Sources of Uncertainty in Exchange Rate Predictability

We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We find that predictive models which allow for sudden rather than smooth, changes in coefficients significantly beat the random walk benchmark in out-of-sample forecasting exercise. Using innovative variance decomposition scheme, we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients' variability, as the main factors hindering models' forecasting performance. The uncertainty regarding the choice of the predictor is small.

Transaction Costs and Institutions: Investments in Exchange

This paper proposes a simple model for understanding transaction costs for their composition, size and policy implications. We distinguish between investments in institutions that facilitate exchange and the cost of conducting exchange itself. Institutional quality and market size are determined by the decisions of risk averse agents and conditions are discussed under which the efficient allocation may be decentralized. We highlight a number of differences with models where transaction costs are exogenous, including the implications for taxation and measurement issues.

Lectin receptors distribution in the surface membrane of Trypanosoma cruzi blood forms collected from mice submitted to specific treatment

The author investigated the distribution of lectin receptors on Trypanosoma cruzi blood forms collected from mice inoculated with, respectively, the drug-resistant and drug-sensitive strains VL-10 and CL, and treated with the two standard active nitroheterocyclic compounds nifurtimox and benznidazole used for treatment of human Chagas' disease. Blood trypomastigotes purified in Fycoll-Hypaque were incubated with fluorescein-labelled lectins Con A, WGA, EE, WFA, TPA and PNA and then microscopically examined. Neither qualitative or quantitative differences in the fluorescence intensity could be detected between parasites from VL-10 and CL strains submitted or not to treatment. The results suggest that both strains do not differ in their surface membrane carbohydrate moieties. Moreover, the rapid clearance of blood forms the drug-sensitive strain in animals treated with singlo doses of both compounds is not likely to depend on membrane alterations expressed by changes in the carbohydrate components. furthermore, resistance or sensitivity to drugs is not apparently related to carbohydrate distribution on T. cruzi blood forms.

Force-induced globule-coil transition in laminin binding protein and its role for viral-cell membrane fusion.

The specific interactions of the pairs laminin binding protein (LBP)-purified tick-borne encephalitis viral surface protein E and certain recombinant fragments of this protein, as well as West Nile viral surface protein E and certain recombinant fragments of that protein, are studied by combined methods of single-molecule dynamic force spectroscopy (SMDFS), enzyme immunoassay and optical surface waves-based biosensor measurements. The experiments were performed at neutral pH (7.4) and acid pH (5.3) conditions. The data obtained confirm the role of LBP as a cell receptor for two typical viral species of the Flavivirus genus. A comparison of these data with similar data obtained for another cell receptor of this family, namely human αVβ3 integrin, reveals that both these receptors are very important. Studying the specific interaction between the cell receptors in question and specially prepared monoclonal antibodies against them, we could show that both interaction sites involved in the process of virus-cell interaction remain intact at pH 5.3. At the same time, for these acid conditions characteristic for an endosome during flavivirus-cell membrane fusion, SMDFS data reveal the existence of a force-induced (effective already for forces as small as 30-70 pN) sharp globule-coil transition for LBP and LBP-fragments of protein E complexes. We argue that this conformational transformation, being an analog of abrupt first-order phase transition and having similarity with the famous Rayleigh hydrodynamic instability, might be indispensable for the flavivirus-cell membrane fusion process. Copyright © 2014 John Wiley & Sons, Ltd.