Post-Bretton Woods evidence on PPP under different exchange rate regimes

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the International Monetary Fund (IMF) into three categories. Panel unitroot tests and panel cointegration are used to examine the Purchasing Power Parity (PPP) hypothesis. The latter test is used to check for both the weak and strong forms of PPP. The panel unit-root tests show no evidence of PPP and suggest there is no difference in the behaviour of exchange rates across different regimes. However, failure to detect PPP across any of the regimes could be due to structural breaks. This assumption is reinforced by the results of cointegration tests, which suggest that there exists at least a weak form of PPP for the different regimes. The evidence for strong PPP decreases as the exchange rate regime moves away from a flexible exchange rate regime.

Exchange rate forecasting using a combined parametric and nonparametric self-organising modelling approach

Financial prediction has attracted a lot of interest due to the financial implications that the accurate prediction of financial markets can have. A variety of data driven modellingapproaches have been applied but their performance has produced mixed results. In this study we apply both parametric (neural networks with active neurons) and nonparametric (analog complexing) self-organisingmodelling methods for the daily prediction of the exchangerate market. We also propose acombinedapproach where the parametric and nonparametricself-organising methods are combined sequentially, exploiting the advantages of the individual methods with the aim of improving their performance. The combined method is found to produce promising results and to outperform the individual methods when tested with two exchangerates: the American Dollar and the Deutche Mark against the British Pound.

Steric stabilization and dissolution characteristics of aqueous suspensions of pharmaceutical interest

The adsorption of two qroups of nonionic surface active agents and a series of hiqh molecular weiqht hydrophilic polymer fractions onto a polystyrene latex and a drug substance diloxanide furoate B.P. has been investigated. The presence of pores within the drug surface has been demonstrated and this is shown to increase the adsorption of low molecular weight polymer species. Differences in the maximum amount of polymer adsorbed at both solid-solution interfaces have been ascribed to the different hydrophobicities of the surface as determined by contact angle measurements. Adsorbed layer thicknesses of polymer on polystyrene latex have been determined by three techniques: microelectrophoresis, intensity fluctuation spectroscopy and by viscometric means. These results, in combination with adsorption data, were used to interpret the configuration of the adsorbed polymer molecules at the interface. The type of druq suspension produced on adsorbing the different polymers in the absence of electrostatic stabilization was correlated with theoretical prediuctions of suspension characteristics deduced from potential energy diagrams, The agreement was good for the adsorption of short chain length surfactants, but for the polyvinylalcohols, discrepancies were found between experiment and theory. This was attributed to the inappropriate use of a mean segment density approximation within the adsorbed layer to calculate attractive potentials between particles. A maximum in the redispersibility values for suspensions coated with adsorbed nonylphenylethoxylates was attributed to "partial static stabilization" of the particles in conjunction with the attractive forces operating in the sediment between bare surface patches on neighbouring particles. No significant change in the dissolution of the drug was observed when nonylphenylethoxylates were adsorbed due to desorption upon contact with the dissolution medium. Pluronic F68 and all the polyvinylalcohol fractions caused a reduction in the dissolution rate which is explained by the decreased diffusion of drug' through the adsorbed polymer layer.

Patterning effects in WDM RZ-DBPSK SMF/DCF optical transmission at 40 Gbit/s channel rate

Summary form only given. In this paper an important new example of a system with strong and nontrivial patterning effects is presented. There has been much interest lately in the implementation of the differential phase shift-keying (PSK) modulation format for long-haul and ultra long-haul fibre communications and, in particular, the differential binary PSK (DBPSK) modulation format, where data is encoded into the optical phase. The results of a direct computation of the error statistics for an SMF/DCF RZ-DBPSK 5-channel WDM RZ-DBPSK link with hybrid Raman/EDFA amplification at 40 Gbit/s per channel, with a channel separation of 100 GHz are presented. The statistics of bit triplets and quantify strong pattern-dependent ISI are obtained.

PSD modifications of FHRV due to interpolation and CTG storage rate

Cardiotocographic data provide physicians information about foetal development and permit to assess conditions such as foetal distress. An incorrect evaluation of the foetal status can be of course very dangerous. To improve interpretation of cardiotocographic recordings, great interest has been dedicated to foetal heart rate variability spectral analysis. It is worth reminding, however, that foetal heart rate is intrinsically an uneven series, so in order to produce an evenly sampled series a zero-order, linear or cubic spline interpolation can be employed. This is not suitable for frequency analyses because interpolation introduces alterations in the foetal heart rate power spectrum. In particular, interpolation process can produce alterations of the power spectral density that, for example, affects the estimation of the sympatho-vagal balance (computed as low-frequency/high-frequency ratio), which represents an important clinical parameter. In order to estimate the frequency spectrum alterations of the foetal heart rate variability signal due to interpolation and cardiotocographic storage rates, in this work, we simulated uneven foetal heart rate series with set characteristics, their evenly spaced versions (with different orders of interpolation and storage rates) and computed the sympatho-vagal balance values by power spectral density. For power spectral density estimation, we chose the Lomb method, as suggested by other authors to study the uneven heart rate series in adults. Summarising, the obtained results show that the evaluation of SVB values on the evenly spaced FHR series provides its overestimation due to the interpolation process and to the storage rate. However, cubic spline interpolation produces more robust and accurate results. © 2010 Elsevier Ltd. All rights reserved.

PSD modifications of FHRV due to CTG storage rate

Cardiotocographic data provide physicians information about foetal development and, through assessment of specific parameters (like accelerations, uterine contractions, ...), permit to assess conditions such as foetal distress. An incorrect evaluation of foetal status can be of course very dangerous. In the last decades, to improve interpretation of cardiotocographic recordings, great interest has been dedicated to FHRV spectral analysis. It is worth reminding that FHR is intrinsically an uneven series and that to obtain evenly sampled series, many commercial cardiotocographs use a zero-order interpolation (storage rate of CTG data equal to 4 Hz). This is not suitable for frequency analyses because interpolation introduces alterations in the FHR power spectrum. In particular, this interpolation process can produce artifacts and an attenuation of the high-frequency components of the PSD that, for example, affects the estimation of the sympatho-vagal balance (SVB - computed as low-frequency/high-frequency ratio), which represents an important clinical parameter. In order to estimate the frequency spectrum alterations due to zero-order interpolation and other CTG storage rates, in this work, we simulated uneven FHR series with set characteristics, their evenly spaced versions (with different storage rates) and computed SVB values by PSD. For PSD estimation, we chose the Lomb method, as suggested by other authors in application to uneven HR series. ©2009 IEEE.

Nagyobb kockázat, nagyobb növekedési ütem - kockázat nélkül nincs növekedés! Hozzászólás Thomas Piketty A tőke a 21. században című könyvéhez (Why are interest rates higher than growth rates? A comment on Thomas Piketty's Capital in the Twenty-First Century)

E rövid írás aktualitását az adja, hogy nemrégen jelent meg magyarul Thomas Piketty híres könyve: A tőke a 21. században. A könyv központi gondolata, hogy az elmúlt kétszáz év átlagában a gazdaság átlagos növekedési üteme, a g jelentősen elmarad az r értékétől, vagyis a tőke átlagos hozamától. A nevezetes r>g összefüggés egyik lehetséges oka, hogy az r szórása nagyobb, mint a g-é. A nagyobb szórás mögött nagyobb kockázati motívumok állhatnak. Ebből következően a Piketty által javasolt adókat jelentős mértékben a pénzügyi tőkének kellene viselnie. ____ The immediacy of this note derives from the fact that Picatty's famous Capital in the Twenty-First Century has been recently published in Hungarian. The central issue in the book is that taking the average of 200 years, the mean growth rate g is lower than the average return on capital r. One possible explanation of this famous r > g inequality may be that the standard deviation of r is greater than that of g because of the greater appetite for risk. The implication to draw from this is that financial capital should bear the majority of the taxes being suggested by Piketty.

Empirical study of exchange rates in Brazil, Canada and the Caribbean

This dissertation examines the monetary models of exchange rate determination for Brazil, Canada, and two countries in the Caribbean, namely, the Dominican Republic and Jamaica. With the exception of Canada, the others adopted the floating regime during the past ten years.^ The empirical validity of four seminal models in exchange rate economics were determined. Three of these models were entirely classical (Bilson and Frenkel) or Keynesian (Dornbusch) in nature. The fourth model (Real Interest Differential Model) was a mixture of the two schools of economic theory.^ There is no clear empirical evidence of the validity of the monetary models. However, the signs of the coefficients of the nominal interest differential variable were as predicted by the Keynesian hypothesis in the case of Canada and as predicted by the Chicago theorists in the remaining countries. Moreover, in case of Brazil, due to hyperinflation, the exchange rate is heavily influenced by domestic money supply.^ I also tested the purchasing power parity (PPP) for this same set of countries. For both the monetary as well as the PPP hypothesis, I tested for co-integration and applied ordinary least squares estimation procedure. The error correction model was also used for the PPP model, to determine convergence to equilibrium.^ The validity of PPP is also questionable for my set of countries. Endogeinity among the regressors as well as the lack of proper price indices are the contributing factors. More importantly, Central Bank intervention negate rapid adjustment of price and exchange rates to their equilibrium value. However, its forecasting capability for the period 1993-1994 is superior compared to the monetary models in two of the four cases.^ I conclude that in spite of the questionable validity of these models, the monetary models give better results in the case of the "smaller" economies like the Dominican Republic and Jamaica where monetary influences swamp the other determinants of exchange rate. ^

The Becker-Döring equations with exponentially size-dependent rate coefficients

This paper is concerned with an analysis of the Becker-Döring equations which lie at the heart of a number of descriptions of non-equilibrium phase transitions and related complex dynamical processes. The Becker-Döring theory describes growth and fragmentation in terms of stepwise addition or removal of single particles to or from clusters of similar particles and has been applied to a wide range of problems of physicochemical and biological interest within recent years. Here we consider the case where the aggregation and fragmentation rates depend exponentially on cluster size. These choices of rate coefficients at least qualitatively correspond to physically realistic molecular clustering scenarios such as occur in, for example, simulations of simple fluids. New similarity solutions for the constant monomer Becker-Döring system are identified, and shown to be generic in the case of aggregation and fragmentation rates that depend exponentially on cluster size.

Cow, farm, and management factors during the dry period that determine the rate of clinical mastitis after calving

The purpose of the research was to investigate cow characteristics, farm facilities, and herd management strategies during the dry period to examine their joint influence on the rate of clinical mastitis after calving. Data were collected over a 2-yr period from 52 commercial dairy farms throughout England and Wales. Cows were separated for analysis into those housed for the dry period (8,710 cow-dry periods) and those at pasture (9,964 cow-dry periods). Multilevel models were used within a Bayesian framework with 2 response variables, the occurrence of a first case of clinical mastitis within the first 30 d of lactation and time to the first case of clinical mastitis during lactation. A variety of cow and herd management factors were identified as being associated with an increased rate of clinical mastitis and these were found to occur throughout the dry period. Significant cow factors were increased parity and at least one somatic cell count ≥200,000 cells/mL in the 90 d before drying off. A number of management factors related to hygiene were significantly associated with an increased rate of clinical mastitis. These included measures linked to the administration of dry-cow treatments and management of the early and late dry-period accommodation and calving areas. Other farm factors associated with a reduced rate of clinical mastitis were vaccination with a leptospirosis vaccine, selection of dry-cow treatments for individual cows within a herd rather than for the herd as a whole, routine body condition scoring of cows at drying off, and a pasture rotation policy of grazing dry cows for a maximum of 2 wk before allowing the pasture to remain nongrazed for a period of 4 wk. Models demonstrated a good ability to predict the farm incidence rate of clinical mastitis in a given year, with model predictions explaining over 85% of the variability in the observed data. The research indicates that specific dry-period management strategies have an important influence on the rate of clinical mastitis during the next lactation.

Measuring persistence in nominal exchange rate: Implications for Angola’s entrepreneurship and business development

The purpose of this paper is to measure the degree of persistence in the Kwanza to US Dollar exchange rate. First, our results indicate that nominal exchange rates both in levels and in first differences are I(0), thus implying that the relative purchasing power parity hypothesis for Angola is not rejected. Secondly, we find a significant degree of persistence in both the formal and informal nominal exchange rates. Thirdly, the degree of persistence in the official market is significantly lower than in the formal market, while In first differences, persistence in the official exchange rate is substantially higher than in the informal exchange rate. Lastly, we could not find strong evidence that persistence has changed in levels throughout the sample period. By contrast, there is significant evidence that persistence in first differences has consistently increased after September 2003. These results have important policy implications as the National Bank of Angola is preparing to change its monetary and exchange-rate policy focus to a more inflation-targeting regime and to a more a flexible (or low-managed) exchange-rate regime.

A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.

Developmental Rate Of Immatures Of Two Fly Species Of Forensic Importance: Sarcophaga (liopygia) Ruficornis And Microcerella Halli (diptera: Sarcophagidae).

Since insect species are poikilothermic organisms, they generally exhibit different growth patterns depending on the temperature at which they develop. This factor is important in forensic entomology, especially for estimating postmortem interval (PMI) when it is based on the developmental time of the insects reared in decomposing bodies. This study aimed to estimate the rates of development, viability, and survival of immatures of Sarcophaga (Liopygia) ruficornis (Fabricius 1794) and Microcerella halli (Engel 1931) (Diptera: Sarcophagidae) reared in different temperatures: 10, 15, 20, 25, 30, and 35 ± 1 °C. Bovine raw ground meat was offered as food for all experimental groups, each consisting of four replicates, in the proportion of 2 g/larva. To measure the evolution of growth, ten specimens of each group were randomly chosen and weighed every 12 h, from initial feeding larva to pupae, and then discarded. Considering the records of weight gain, survival rates, and stability of growth rates, the range of optimum temperature for the development of S. (L.) ruficornis is between 20 and 35 °C, and that of M. halli is between 20 and 25 °C. For both species, the longest times of development were in the lowest temperatures. The survival rate at extreme temperatures (10 and 35 °C) was lower in both species. Biological data such as the ones obtained in this study are of great importance to achieve a more accurate estimate of the PMI.

Estimated Disability-adjusted Life Years Averted By Long-term Provision Of Long Acting Contraceptive Methods In A Brazilian Clinic.

What is the contribution of the provision, at no cost for users, of long acting reversible contraceptive methods (LARC; copper intrauterine device [IUD], the levonorgestrel-releasing intrauterine system [LNG-IUS], contraceptive implants and depot-medroxyprogesterone [DMPA] injection) towards the disability-adjusted life years (DALY) averted through a Brazilian university-based clinic established over 30 years ago. Over the last 10 years of evaluation, provision of LARC methods and DMPA by the clinic are estimated to have contributed to DALY averted by between 37 and 60 maternal deaths, 315-424 child mortalities, 634-853 combined maternal morbidity and mortality and child mortality, and 1056-1412 unsafe abortions averted. LARC methods are associated with a high contraceptive effectiveness when compared with contraceptive methods which need frequent attention; perhaps because LARC methods are independent of individual or couple compliance. However, in general previous studies have evaluated contraceptive methods during clinical studies over a short period of time, or not more than 10 years. Furthermore, information regarding the estimation of the DALY averted is scarce. We reviewed 50 004 medical charts from women who consulted for the first time looking for a contraceptive method over the period from 2 January 1980 through 31 December 2012. Women who consulted at the Department of Obstetrics and Gynaecology, University of Campinas, Brazil were new users and users switching contraceptive, including the copper IUD (n = 13 826), the LNG-IUS (n = 1525), implants (n = 277) and DMPA (n = 9387). Estimation of the DALY averted included maternal morbidity and mortality, child mortality and unsafe abortions averted. We obtained 29 416 contraceptive segments of use including 25 009 contraceptive segments of use from 20 821 new users or switchers to any LARC method or DMPA with at least 1 year of follow-up. The mean (± SD) age of the women at first consultation ranged from 25.3 ± 5.7 (range 12-47) years in the 1980s, to 31.9 ± 7.4 (range 16-50) years in 2010-2011. The most common contraceptive chosen at the first consultation was copper IUD (48.3, 74.5 and 64.7% in the 1980s, 1990s and 2000s, respectively). For an evaluation over 20 years, the cumulative pregnancy rates (SEM) were 0.4 (0.2), 2.8 (2.1), 4.0 (0.4) and 1.3 (0.4) for the LNG-IUS, the implants, copper IUD and DMPA, respectively and cumulative continuation rates (SEM) were 15.1 (3.7), 3.9 (1.4), 14.1 (0.6) and 7.3 (1.7) for the LNG-IUS, implants, copper IUD and DMPA, respectively (P < 0.001). Over the last 10 years of evaluation, the estimation of the contribution of the clinic through the provision of LARC methods and DMPA to DALY averted was 37-60 maternal deaths; between 315 and 424 child mortalities; combined maternal morbidity and mortality and child mortality of between 634 and 853, and 1056-1412 unsafe abortions averted. The main limitations are the number of women who never returned to the clinic (overall 14% among the four methods under evaluation); consequently the pregnancy rate could be different. Other limitations include the analysis of two kinds of copper IUD and two kinds of contraceptive implants as the same IUD or implant, and the low number of users of implants. In addition, the DALY calculation relies on a number of estimates, which may vary in different parts of the world. LARC methods and DMPA are highly effective and women who were well-counselled used these methods for a long time. The benefit of averting maternal morbidity and mortality, child mortality, and unsafe abortions is an example to health policy makers to implement more family planning programmes and to offer contraceptive methods, mainly LARC and DMPA, at no cost or at affordable cost for the underprivileged population. This study received partial financial support from the Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP), grant # 2012/12810-4 and from the National Research Council (CNPq), grant #573747/2008-3. B.F.B., M.P.G., and V.M.C. were fellows from the scientific initiation programme from FAPESP. Since the year 2001, all the TCu380A IUD were donated by Injeflex, São Paulo, Brazil, and from the year 2006 all the LNG-IUS were donated by the International Contraceptive Access Foundation (ICA), Turku, Finland. Both donations are as unrestricted grants. The authors declare that there are no conflicts of interest associated with this study.

Determination Of Detergent And Dispensant Additives In Gasoline By Ring-oven And Near Infrared Hypespectral Imaging.

A method using the ring-oven technique for pre-concentration in filter paper discs and near infrared hyperspectral imaging is proposed to identify four detergent and dispersant additives, and to determine their concentration in gasoline. Different approaches were used to select the best image data processing in order to gather the relevant spectral information. This was attained by selecting the pixels of the region of interest (ROI), using a pre-calculated threshold value of the PCA scores arranged as histograms, to select the spectra set; summing up the selected spectra to achieve representativeness; and compensating for the superimposed filter paper spectral information, also supported by scores histograms for each individual sample. The best classification model was achieved using linear discriminant analysis and genetic algorithm (LDA/GA), whose correct classification rate in the external validation set was 92%. Previous classification of the type of additive present in the gasoline is necessary to define the PLS model required for its quantitative determination. Considering that two of the additives studied present high spectral similarity, a PLS regression model was constructed to predict their content in gasoline, while two additional models were used for the remaining additives. The results for the external validation of these regression models showed a mean percentage error of prediction varying from 5 to 15%.