Forecasting exchange rates with linear and nonlinear models

In this paper the exchange rate forecasting performance of neural network models are evaluated against random walk and a range of time series models. There are no guidelines available that can be used to choose the parameters of neural network models and therefore the parameters are chosen according to what the researcher considers to be the best. Such an approach, however, implies that the risk of making bad decisions is extremely high which could explain why in many studies neural network models do not consistently perform better than their time series counterparts. In this paper through extensive experimentation the level of subjectivity in building neural network models is considerably reduced and therefore giving them a better chance of performing well. Our results show that in general neural network models perform better than traditionally used time series models in forecasting exchange rates.

Monetary models of exchange rates and sweep programs

Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries. In this paper we investigate whether using a more stable underlying money demand function results in improvements in forecasts of monetary models of exchange rates. More specifically, we use a sweepadjusted measure of US monetary aggregate M1 which has been shown to have a more stable money demand function than the official M1 measure. The results suggest that the monetary models of exchange rates contain information about future movements of exchange rates but the success of such models depends on the stability of money demand functions and the specifications of the models.

A dinâmica da taxa de câmbio no Brasil face às operações swap (2002-2015)

This dissertation investigates, based on the Post-Keynesian theory and on its concept of monetary economy of production, the exchange rate behavior of the Brazilian Real in the presence of Brazilian Central Bank's interventions by means of the so-called swap transactions over 2002-2015. Initially, the work analyzes the essential properties of an open monetary economy of production and, thereafter, it presents the basic propositions of the Post-Keynesian view on the exchange rate determination, highlighting the properties of foreign exchange markets and the peculiarities of the Brazilian position into the international monetary and financial system. The research, thereby, accounts for the various segments of the Brazilian foreign exchange market. To accomplish its purpose, we first do a literature review of the Post-Keynesian literature about the topic. Then, we undertake empirical exams of the exchange rate determination using two statistical methods. On the one hand, to measure the volatility of exchange rate, we estimate Auto-regressive Conditional Heteroscedastic (ARCH) and Generalized Auto-regressive Conditional Heteroscedastic (GARCH) models. On the other hand, to measure the variance of the exchange rate in relation to real, financial variables, and the swaps, we estimate a Vector Auto-regression (VAR) model. Both experiments are performed for the nominal and real effective exchange rates. The results show that the swaps respond to exchange rate movements, trying to offset its volatility. This reveals that the exchange rate is, at least in a certain magnitude, sensitive to swaps transactions conducted by the Central Bank. In addition, another empirical result is that the real effective exchange rate responds more to the swaps auctions than the nominal rate.

Forecasting exchange rates in the presence of instabilities

Many exchange rate papers articulate the view that instabilities constitute a major impediment to exchange rate predictability. In this thesis we implement Bayesian and other techniques to account for such instabilities, and examine some of the main obstacles to exchange rate models' predictive ability. We first consider in Chapter 2 a time-varying parameter model in which fluctuations in exchange rates are related to short-term nominal interest rates ensuing from monetary policy rules, such as Taylor rules. Unlike the existing exchange rate studies, the parameters of our Taylor rules are allowed to change over time, in light of the widespread evidence of shifts in fundamentals - for example in the aftermath of the Global Financial Crisis. Focusing on quarterly data frequency from the crisis, we detect forecast improvements upon a random walk (RW) benchmark for at least half, and for as many as seven out of 10, of the currencies considered. Results are stronger when we allow the time-varying parameters of the Taylor rules to differ between countries. In Chapter 3 we look closely at the role of time-variation in parameters and other sources of uncertainty in hindering exchange rate models' predictive power. We apply a Bayesian setup that incorporates the notion that the relevant set of exchange rate determinants and their corresponding coefficients, change over time. Using statistical and economic measures of performance, we first find that predictive models which allow for sudden, rather than smooth, changes in the coefficients yield significant forecast improvements and economic gains at horizons beyond 1-month. At shorter horizons, however, our methods fail to forecast better than the RW. And we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients variability to incorporate in the models, as the main factors obstructing predictive ability. Chapter 4 focus on the problem of the time-varying predictive ability of economic fundamentals for exchange rates. It uses bootstrap-based methods to uncover the time-specific conditioning information for predicting fluctuations in exchange rates. Employing several metrics for statistical and economic evaluation of forecasting performance, we find that our approach based on pre-selecting and validating fundamentals across bootstrap replications generates more accurate forecasts than the RW. The approach, known as bumping, robustly reveals parsimonious models with out-of-sample predictive power at 1-month horizon; and outperforms alternative methods, including Bayesian, bagging, and standard forecast combinations. Chapter 5 exploits the predictive content of daily commodity prices for monthly commodity-currency exchange rates. It builds on the idea that the effect of daily commodity price fluctuations on commodity currencies is short-lived, and therefore harder to pin down at low frequencies. Using MIxed DAta Sampling (MIDAS) models, and Bayesian estimation methods to account for time-variation in predictive ability, the chapter demonstrates the usefulness of suitably exploiting such short-lived effects in improving exchange rate forecasts. It further shows that the usual low-frequency predictors, such as money supplies and interest rates differentials, typically receive little support from the data at monthly frequency, whereas MIDAS models featuring daily commodity prices are highly likely. The chapter also introduces the random walk Metropolis-Hastings technique as a new tool to estimate MIDAS regressions.

Leg Clubs® : a clinically and cost-effective approach to lower limb management

Leg ulcers affect 55000-90000 people, predominantly aged over 65, in the UK at any one time. Traditional care, delivered in people’s homes by district nurses or in GP clinics, is costly and often not effective, with slow healing rates and a high incidence of recurrence. A social model of leg ulcer clinics developed by the author has been shown to improve healing and reduce recurrence within a highly cost-effective framework that delivers genuine patient empowerment, public health education and social outreach. This paper outlines the rationale for the Leg Club, its clinical and social impact, and the infrastructure behind it. It also considers the challenges to establishing and running a Leg Club.

Study of H/D exchange rates to derive the strength of intramolecular hydrogen bonds in halo substituted organic building blocks: An NMR spectroscopic investigation

Rates of hydrogen/deuterium (H/D) exchange determined by H-1 NMR spectroscopy are utilized to derive the strength of hydrogen bonds and to monitor the electronic effects in the site-specific halogen substituted benzamides and anilines. The theoretical fitting of the time dependent variation of the integral areas of H-1 NMR resonances to the first order decay function permitted the determination of HID exchange rate constants (k) and their precise half-lives (t(1/2)) with high degree of reproducibility. The comparative study also permitted the unambiguous determination of relative strength of hydrogen bonds and the contribution from electronic effects on the HID exchange rate. (C) 2015 Elsevier B.V. All rights reserved.

Aspects of the washout of salmonid eggs. 1. Observations on the physical characteristics of real and artificial eggs, their rate of fall in a water column and their pattern of settlement in an experimental channel

When salmonid redds are disrupted by spates, the displaced eggs will drift downstream. The mean distance of travel, the types of locations in which the eggs resettle and the depth of reburial of displaced eggs are not known. Investigation of these topics under field conditions presents considerable practical problems, though the use of artificial eggs might help to overcome some of them. Attempts to assess the similarities and/or differences in performance between real and artificial eggs are essential before artificial eggs can validly be used to simulate real eggs. The present report first compares the two types of egg in terms of their measurable physical characteristics (e.g. dimensions and density). The rate at which eggs fall in still water will relate to the rate at which they are likely to resettle in flowing water in the field. As the rate of fall will be influenced by a number of additional factors (e.g. shape and surface texture) which are not easily measured directly, the rates of fall of the two types of egg have been compared directly under controlled conditions. Finally, comparisons of the pattern of settlement of the two types of egg in flowing water in an experimental channel have been made. Although the work was primarily aimed at testing the value of artificial eggs as a simulation of real eggs, several side issues more directly concerned with the properties of real eggs and the likely distance of drift in natural streams have also been explored. This is the first of three reports made on this topic by the author in 1984.

Application of static and dynamic enclosures for determining dimethyl sulfide and carbonyl sulfide exchange in Sphagnum peatlands: Implications for the magnitude and direction of flux

A static enclosure method was applied to determine the exchange of dimethyl sulfide (DMS) and carbonyl sulfide (OCS) between the surface of Sphagnum peatlands and the atmosphere. Measurements were performed concurrently with dynamic (flow through) enclosure measurements with sulfur-free air used as sweep gas. This latter technique has been used to acquire the majority of available data on the exchange of S gases between the atmosphere and the continental surfaces and has been criticized because it is thought to overestimate the true flux of gases by disrupting natural S gas gradients. DMS emission rates determined by both methods were not statistically different between 4 and >400 nmol m−2 h−1, indicating that previous data on emissions of at least DMS are probably valid. However, the increase in DMS in static enclosures was not linear, indicating the potential for a negative feedback of enclosure DMS concentrations on efflux. The dynamic enclosure method measured positive OCS flux rates (emission) at all sites, while data using static enclosures indicated that OCS was consumed from the atmosphere at these same sites at rates of 3.7 to 55 nmol m−2 h−1. Measurements using both enclosure techniques at a site devoid of vegetation showed that peat was a source of both DMS and OCS. However, the rate of OCS efflux from decomposing peat was more than counterbalanced by OCS consumption by vegetation, including Sphagnum mosses, and net OCS uptake occurred at all sites. We propose that all wetlands are net sinks for OCS.

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.

Radiative rates and electron impact excitation rates for H-like Ar XVIII

Aims. In this paper we report on calculations for energy levels, radiative rates, collision strengths, and effective collision strengths for
transitions among the lowest 25 levels of the n ≤ 5 configurations of H-like Ar xviii.
Methods. The general-purpose relativistic atomic structure package (grasp) andDirac atomic R-matrix code (darc) are adopted for
the calculations.
Results. Radiative rates, oscillator strengths, and line strengths are reported for all electric dipole (E1), magnetic dipole (M1), electric
quadrupole (E2), and magnetic quadrupole (M2) transitions among the 25 levels. Furthermore, collision strengths and effective
collision strengths are listed for all 300 transitions among the above 25 levels over a wide energy (temperature) range up to 800 Ryd
(107.4 K).

Energy levels, radiative rates, and electron impact excitation rates for transitions in OVII

Aims.
In this paper we report calculations for energy levels, radiative rates, and electron impact excitation rates for transitions in O vii.
Methods.
The grasp (general-purpose relativistic atomic structure package) is adopted for calculating energy levels and radiative
rates. For determining the collision strengths and subsequently the excitation rates, the Dirac atomic R-matrix code (darc) and the
flexible atomic code (fac) are used.
Results.
Oscillator strengths, radiative rates, and line strengths are reported for all E1, E2, M1, and M2 transitions among the lowest
49 levels of O vii. Collision strengths have been averaged over a Maxwellian velocity distribution, and the resulting effective collision
strengths are reported over a wide temperature range below 2 × 106 K. Additionally, lifetimes are also listed for all levels.
Key words.

Radiative rates and electron impact excitation rates for H-like Fe XXVI

Aims. In this paper we report on calculations for energy levels, radiative rates, collision strengths, and effective collision strengths for transitions among the lowest 25 levels of the n $\le$ 5 configurations of H-like Fe XXVI.
Methods. The general-purpose relativistic atomic structure package (GRASP) and Dirac atomic R-matrix code (DARC) are adopted for the calculations.
Results. Radiative rates, oscillator strengths, and line strengths are reported for all electric dipole (E1), magnetic dipole (M1), electric quadrupole (E2), and magnetic quadrupole (M2) transitions among the 25 levels. Furthermore, collision strengths and effective collision strengths are reported for all the 300 transitions among the above 25 levels over a wide energy (temperature) range up to 1500 Ryd (107.7 K). Comparisons are made with earlier available results and the accuracy of the data is assessed.

MEASUREMENT AND CALCULATION OF ABSOLUTE SINGLE AND MULTIPLE CHARGE EXCHANGE CROSS SECTIONS FOR Feq+ IONS IMPACTING H2O

Charge exchange (CE) plays a fundamental role in the collisions of solar- and stellar-wind ions with lunar and planetary exospheres, comets, and circumstellar clouds. Reported herein are absolute cross sections for single, double, triple, and quadruple CE of Feq+ (q = 5-13) ions with H2O at a collision energy of 7q keV. One measured value of the pentuple CE is also given for Fe9+ ions. An electron cyclotron resonance ion source is used to provide currents of the highly charged Fe ions. Absolute data are derived from knowledge of the target gas pressure, target path length, and incident and charge-exchanged ion currents. Experimental cross sections are compared with new results of the n-electron classical trajectory Monte Carlo approximation. The radiative and non-radiative cascades following electron transfers are approximated using scaled hydrogenic transition probabilities and scaled Auger rates. Also given are estimates of cross sections for single capture, and multiple capture followed by autoionization, as derived from the extended overbarrier model. These estimates are based on new theoretical calculations of the vertical ionization potentials of H2O up to H2O10+.

Energy levels, radiative rates and electron impact excitation rates for transitions in He-like Li II, Be III, B IV and C V

We report calculations for energy levels, radiative rates and electron impact excitation rates for transitions in He-like Li II, Be III, B IV and C V. grasp (general-purpose relativistic atomic structure package) is adopted for calculating energy levels and radiative rates. For determining the collision strengths and subsequently the excitation rates, the Dirac atomic R-matrix code (darc) is used. Oscillator strengths, radiative rates and line strengths are reported for all E1, E2, M1 and M2 transitions among the lowest 49 levels of each ion. Collision strengths have been averaged over a Maxwellian velocity distribution and the effective collision strengths so obtained are reported over a wide temperature range up to 10(6) K. Comparisons have been made with similar data obtained from the flexible atomic code (FAC) to highlight the importance of resonances, included in calculations from darc, in the determination of effective collision strengths. Discrepancies between the collision strengths from darc and fac, particularly for weak transitions and at low energies, have also been discussed. Additionally, lifetimes are also listed for all calculated levels of the above four ions.