The relationship between exchange rates, interest rates and Australian bank returns

Although there has been significant research on US financial intermediaries' stock returns and sensitivity to interest yields, there has only been limited research on Australian bank stock returns and key macro variables, such as interest rates and exchange rates. The aim of this article is to examine this relationship for four major Australian banks, namely the Australia New Zealand bank (ANZ), the Commonwealth Bank of Australia (CBA), the National Australia Bank (NAB) and the Westpac Banking Corporation (WBC). We use the EGARCH model and examine the relationship using monthly data covering the period 1992 to 2007. The results suggest that for all four banks: (1) there is a similar and statistically significant negative relationship between interest rates and stock returns; and (2) there is evidence of an increase in returns during the period of appreciation of the Australian dollar.

The effects of government deficit on equilibrium real exchange rates and stock prices

This paper studies the effect of government deficits on equilibrium real exchange rates and stock prices. The theoretical part modifies a two-country cash-in-advance model like used in Lucas(1982) and Sargent(1987) in order to accommodate an exchange rate market and a government that pursues fiscal and monetary policy targets. The implied result is that unanticipated shocks in government deficits raise expectations of both taxes and inflation and, therefore, are associated with real exchange rate devaluations and lower stock prices. This finding is strongly supported by empirical evidence for a group of 19 countries, representing 76% of world production

Trade regulation of exchange rates

O presente estudo busca analisar o quadro regulatório internacional referente a medidas cambiais que trazem impactos no comércio. O artigo pretende explorar como a questão do câmbio se relaciona à OMC e afeta seus instrumentos e princípios para, em seguida, buscar dispositivos nos Acordos da OMC que poderiam ser aplicados à questão cambial a fim de reequilibrar os impactos causados pelos desalinhamentos cambiais no comércio internacional

Gas exchange rates, plant height, yield components, and productivity of upland rice as affected by plant regulators

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Gas exchange rates at different vapor pressure deficits and water relations of 'Pera' sweet orange plants with citrus variegated chlorosis (CVC)

Net photosynthesis (A) and transpiration rates (E), stomatal conductance (g), water use efficiency (WUE), intrinsic water use efficiency (IWUE) and internal leaf CO2 concentration (C) in response to different vapor pressure deficit (1.2 and 2.5 kPa) were investigated in 'Pera' sweet orange plants affected by citrus variegated chlorosis (CVC), a disease caused by Xylella fastidiosa. All plants were well watered and leaf water potential (Pw) was also measured by the psychrometric technique. Results showed that healthy plants responded to higher vapor pressure deficit (VPD), lowering its net photosynthesis and transpiration rates, and stomatal conductance. However, diseased plants presented no clear response to VPD, showing lower A, E and g for both VPDs studied and very similar values to these variables in healthy plants at the highest VPD. Internal leaf CO2 concentration also decreased for healthy plants when under the highest VPD, and surprisingly, the same pattern of response was found in plants with CVC. These results, the lower Psi(w) and higher WUE values for diseased plants, indicated that this disease may cause stomatal dysfunction and affect the water resistance through xylem vessels, which ultimately may play some role in photosynthetic metabolism. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Equilibrium real exchange rates, misalignment and competitiveness in the Southern Cone

Includes bibliography

Los tipos de cambio duales y el desarrollo económico = Dual exchange rates and economic development

Publicado separadamente en cada idioma

Volatile organic compounds at the air-sea interface : gas exchange rates, oceanic emissions and the effect of ocean acidification

Oceans are key sources and sinks in the global budgets of significant atmospheric trace gases, termed Volatile Organic Compounds (VOCs). Despite their low concentrations, these species have an important role in the atmosphere, influencing ozone photochemistry and aerosol physics. Surprisingly, little work has been done on assessing their emissions or transport mechanisms and rates between ocean and atmosphere, all of which are important when modelling the atmosphere accurately.rnA new Needle Trap Device (NTD) - GC-MS method was developed for the effective sampling and analysis of VOCs in seawater. Good repeatability (RSDs <16 %), linearity (R2 = 0.96 - 0.99) and limits of detection in the range of pM were obtained for DMS, isoprene, benzene, toluene, p-xylene, (+)-α-pinene and (-)-α-pinene. Laboratory evaluation and subsequent field application indicated that the proposed method can be used successfully in place of the more usually applied extraction techniques (P&T, SPME) to extend the suite of species typically measured in the ocean and improve detection limits. rnDuring a mesocosm CO2 enrichment study, DMS, isoprene and α-pinene were identified and quantified in seawater samples, using the above mentioned method. Based on correlations with available biological datasets, the effects of ocean acidification as well as possible ocean biological sources were investigated for all examined compounds. Future ocean's acidity was shown to decrease oceanic DMS production, possibly impact isoprene emissions but not affect the production of α-pinene. rnIn a separate activity, ocean - atmosphere interactions were simulated in a large scale wind-wave canal facility, in order to investigate the gas exchange process and its controlling mechanisms. Air-water exchange rates of 14 chemical species (of which 11 VOCs) spanning a wide range of solubility (dimensionless solubility, α = 0:4 to 5470) and diffusivity (Schmidt number in water, Scw = 594 to 1194) were obtained under various turbulent (wind speed at ten meters height, u10 = 0:8 to 15ms-1) and surfactant modulated (two different sized Triton X-100 layers) surface conditions. Reliable and reproducible total gas transfer velocities were obtained and the derived values and trends were comparable to previous investigations. Through this study, a much better and more comprehensive understanding of the gas exchange process was accomplished. The role of friction velocity, uw* and mean square slope, σs2 in defining phenomena such as waves and wave breaking, near surface turbulence, bubbles and surface films was recognized as very significant. uw* was determined as the ideal turbulent parameter while σs2 described best the related surface conditions. A combination of both uw* and σs2 variables, was found to reproduce faithfully the air-water gas exchange process. rnA Total Transfer Velocity (TTV) model provided by a compilation of 14 tracers and a combination of both uw* and σs2 parameters, is proposed for the first time. Through the proposed TTV parameterization, a new physical perspective is presented which provides an accurate TTV for any tracer within the examined solubility range. rnThe development of such a comprehensive air-sea gas exchange parameterization represents a highly useful tool for regional and global models, providing accurate total transfer velocity estimations for any tracer and any sea-surface status, simplifying the calculation process and eliminating inevitable calculation uncertainty connected with the selection or combination of different parameterizations.rnrn

Formation of Exchange Rates on the Russian Market: Dynamics and Modelling

Galina Kovaleva. The Formation of the Exchange Rate on the Russian Market: Dynamics and Modelling. The Russian financial market is fast becoming one of the major sectors of the Russian economy. Assets have been increasing steadily, while new market segments and new financial market instruments have emerged. Kovaleva attempted to isolate the factors influencing exchange rates, determine patterns in the dynamic changes to the rouble/dollar exchange rate, construct models of the processes, and on the basis of these activities make forecasts. She studied the significance of economic indicators influencing the rouble/dollar exchange rate at different times, and developed multi-factor econometric models. In order to reveal the inner structure of the financial indicators and to work out ex-post forecasts for different time intervals, she carried out a series of calculations with the aim of constructing trend-cyclical (TC) and harmonic models, and Box and Jenkins models. She found that: 1. The Russian financial market is dependant on the rouble/dollar exchange rate. Its dynamics are formed under the influence of the short-term state treasury notes and government bonds markets, interbank loans, the rouble/DM exchange rate, the inflation rate, and the DM/dollar exchange rate. The exchange rate is influenced by sales on the Moscow Interbank Currency Exchange and the mechanism of those sales. 2. The TC model makes it possible to conduct an in-depth study of the structure of the processes and to make forecasts of the dynamic changes to currency indicators. 3. The Russian market is increasingly influenced by the world currency market and its prospects are of crucial interest for the world financial community.

Bilateral exchange rates and jobs

We study the labor market effects of realignment in fixed bilateral exchange rates, such as China's peg to the US dollar. We employ the open economy model by de Melo and Robinson to identify the core parameters of the real, trade side of the economy driving the unemployment effects of bilateral exchange rate realignment. A small open economy version of the model is explored analytically and a large multicountry version numerically. Analytics in the small open economy model show that unemployment effects of adjusting of a bilateral peg hinge on the fraction exported to and imported from the trading partner. A larger fraction exported to and a smaller fraction imported from the trading partner make it more likely that revaluation of a trading partner's currency has beneficial effects. Numerics in the large economy model show that Chinese revaluation can generate both positive and negative unemployment effects depending upon underlying parameter values. Adverse unemployment effects can go along with an improving trade balance.

Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era

We apply the efficient unit-roots tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1998) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one real exchange rates, the null hypothesis of a unit root can be rejected at the 10% significance level or better using the Elliot et al (1996) DF-GLS test. The unit-root null hypothesis is also rejected for one additional real exchange rate when we allow for one endogenously determined break in the time series of the real exchange rate as in Perron (1997). In all, we find favorable evidence to support long-run purchasing power parity in nineteen out of twenty-one real exchange rates. Second, we find no strong evidence to suggest that the use of non-U.S. dollar-based real exchange rates tend to produce more favorable result for long-run PPP than the use of U.S. dollar-based real exchange rates as Lothian (1998) has concluded.