Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets

Existing empirical evidence suggests that the Uncovered Interest Rate Parity (UIRP) condition may not hold due to an exchange risk premium. For a panel data set of eleven emerging European economies we decompose this exchange risk premium into an idiosyncratic (country-specific) elements and a common factor using a principal components approach. We present evidence of a stationary idiosyncratic component and nonstationary common factor. This result leads to the conclusion of a nonstationary risk premium for these countries and a violation of the UIRP in the long-run, which is in contrast to previous studies often documenting a stationary premium in developed countries. Furthermore, we report that the variation in the premium is largely attributable to a common factor influenced by economic developments in the United States.

Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship

In this paper we empirically examine the relationship between the real exchange rate and real interest rate differentials using recent econometric methods robust to potential structural breaks. Generally, our study provides evidence of this relationship in the long-run context. More specifically, we first focus on the UK-US relationship, and interestingly find limited evidence of this long-run relationship using traditional methods. But when an approach robust to endogenously determined structural breaks is employed, we find evidence that the real interest rate differential is an important determinant of the real exchange rate. Secondly, in order to investigate the relevance of structural shifts in a more global context, we carry out multiple country analysis. While providing evidence of this long-run relationship, European data suggest that the presence of structural breaks is not very common across countries and is indeed country-specific.

3-Regime symmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric e¤ects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold e¤ects by encompassing other existing models, such as TAR models. We apply our methodology to three di¤erent exchange rate data-sets, one for developing countries, and o¢ cial nominal exchange rates, the sec- ond emerging market economies using black market exchange rates and the third for OECD economies.

What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care

This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors. The proposed techniques are applied to a data set from Germany considering the demand for health care. A package for the free statistical software environment R is provided.

Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables

This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate fficial interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.

Equilibrium Exchange Rate Determination and Multiple Structural Changes

The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more general smooth transition (STR) function than has hitherto been employed, which is able to capture structural changes along the (long-run) equilibrium path, and show that this is consistent with our economic model. Our framework allows for a gradual adjustment between regimes and allows for under- and/or over-valued exchange rate adjustments. Using monthly and quarterly data for up to twenty OECD countries, we apply our methodology to investigate the univariate time series properties of CPI-based real exchange rates with both the U.S. dollar and German mark as the numeraire currencies. The empirical results show that, for more than half of the quarterly series, the evidence in favour of the stationarity of the real exchange rate was clearer in the sub-sample period post-1980.

Inflation Uncertainty, Exchange Rate Depreciation and Volatility: Evidence from Ghana, Mozambique and Tanzania

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the underlying currency loses value. We conjecture that a reverse causation, which further weakens the currency, may be mitigated by price stability. Data from Ghana, Mozambique and Tanzania support this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which has enjoyed a more stable inflation despite all countries adopting similar macro-policies since early 1990s.

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.

Energetics of RecA-mediated recombination reactions. Without ATP hydrolysis RecA can mediate polar strand exchange but is unable to recycle.

We demonstrate that the step of DNA strand exchange during RecA-mediated recombination reaction can occur equally efficiently in the presence or absence of ATP hydrolysis. The polarity of strand exchange is the same when instead of ATP its non-hydrolyzable analog adenosine-5'-O-(3-thiotriphosphate) is used. We show that the ATP dependence of recombination reaction is limited to the post-exchange stages of the reactions. The low DNA affinity state of RecA protomers, induced after ATP hydrolysis, is necessary for the dissociation of RecA-DNA complexes at the end of the reaction. This dissociation of RecA from DNA is necessary for the release of recombinant DNA molecules from the complexes formed with RecA and for the recycling of RecA protomers for another round of the recombination reaction.

Experimentació amb un receptor software GPS-Galileo d'alta sensibilitat per a entorns interiors

Este proyecto se centra en el análisis de señales GPS, utilizando un receptor software desarrollado con Matlab en un proyecto de investigación para la Agencia Espacial Europea (ESA), llevado a cabo por parte del departamento de Telecomunicaciones e Ingeniería de Sistemas de la ETSE. Este software utiliza técnicas de procesado de señal de alta sensibilidad (HS-GNSS) que permite al usuario determinar su posición en entornos de difícil propagación como puede ser el caso de los escenarios interiores. Los datos experimentales se analizan en función del nivel de multipath que afecta a la señal de cada uno de los satélites, y la degradación que los escenarios interiores provocan en las señales, a causa del mobiliario, paredes, personas, etc. Para analizar los datos experimentales, se ha utilizado una métrica presentada en el congreso internacional EuCAP 2009, con la que es posible caracterizar las señales en función del nivel de multipath.

Desarrollo de software para el procesado numérico en tarjetas gráficas

Debido al gran número de transistores por mm2 que hoy en día podemos encontrar en las GPU convencionales, en los últimos años éstas se vienen utilizando para propósitos generales gracias a que ofrecen un mayor rendimiento para computación paralela. Este proyecto implementa el producto sparse matrix-vector sobre OpenCL. En los primeros capítulos hacemos una revisión de la base teórica necesaria para comprender el problema. Después veremos los fundamentos de OpenCL y del hardware sobre el que se ejecutarán las librerías desarrolladas. En el siguiente capítulo seguiremos con una descripción del código de los kernels y de su flujo de datos. Finalmente, el software es evaluado basándose en comparativas con la CPU.

Amplification efficiency: linking baseline and bias in the analysis of quantitative PCR data.

Despite the central role of quantitative PCR (qPCR) in the quantification of mRNA transcripts, most analyses of qPCR data are still delegated to the software that comes with the qPCR apparatus. This is especially true for the handling of the fluorescence baseline. This article shows that baseline estimation errors are directly reflected in the observed PCR efficiency values and are thus propagated exponentially in the estimated starting concentrations as well as 'fold-difference' results. Because of the unknown origin and kinetics of the baseline fluorescence, the fluorescence values monitored in the initial cycles of the PCR reaction cannot be used to estimate a useful baseline value. An algorithm that estimates the baseline by reconstructing the log-linear phase downward from the early plateau phase of the PCR reaction was developed and shown to lead to very reproducible PCR efficiency values. PCR efficiency values were determined per sample by fitting a regression line to a subset of data points in the log-linear phase. The variability, as well as the bias, in qPCR results was significantly reduced when the mean of these PCR efficiencies per amplicon was used in the calculation of an estimate of the starting concentration per sample.

The MIGCLIM R package - seamless integration of dispersal constraints into projections of species distribution models

The MIGCLIM R package is a function library for the open source R software that enables the implementation of species-specific dispersal constraints into projections of species distribution models under environmental change and/or landscape fragmentation scenarios. The model is based on a cellular automaton and the basic modeling unit is a cell that is inhabited or not. Model parameters include dispersal distance and kernel, long distance dispersal, barriers to dispersal, propagule production potential and habitat invasibility. The MIGCLIM R package has been designed to be highly flexible in the parameter values it accepts, and to offer good compatibility with existing species distribution modeling software. Possible applications include the projection of future species distributions under environmental change conditions and modeling the spread of invasive species.

Gene expression databases and data mining.

The DNA microarray technology has arguably caught the attention of the worldwide life science community and is now systematically supporting major discoveries in many fields of study. The majority of the initial technical challenges of conducting experiments are being resolved, only to be replaced with new informatics hurdles, including statistical analysis, data visualization, interpretation, and storage. Two systems of databases, one containing expression data and one containing annotation data are quickly becoming essential knowledge repositories of the research community. This present paper surveys several databases, which are considered "pillars" of research and important nodes in the network. This paper focuses on a generalized workflow scheme typical for microarray experiments using two examples related to cancer research. The workflow is used to reference appropriate databases and tools for each step in the process of array experimentation. Additionally, benefits and drawbacks of current array databases are addressed, and suggestions are made for their improvement.