A Soft Edge Target Zone Model: Theory And Application To Hong Kong

Hong Kong’s currency is pegged to the US dollar in a currency board arrangement. In autumn 2003, the Hong Kong dollar appreciated from close to 7.80 per US dollar to 7.70, as investors feared that the currency board would be abandoned. In the wake of this appreciation, the monetary authorities revamped the one-sided currency board mechanism into a symmetric two-sided system with a narrow exchange rate band. This paper reviews the characteristics of the new currency board arrangement and embeds a theoretical soft edge target zone model typifying many intermediate regimes, to explain the notable achievement of speculative peace and credibility since May 2005.

Especulative (sic) attack on exchange rate target zone regime : the uncertainty case

We present a continuous time target zone model of speculative attacks. Contrary to most of the literature that considers the certainty case, i.e., agents know for sure the Central Bank behavior in the future, we build uncertainty into the madel in two different ways. First, we consider the case in whicb the leveI of reserves at which the central bank lets the regime collapse is uncertain. Alternatively, we ana1ize the case in which, with some probability, the government may cbange its policy reducing the initially positive trend in domestic credito In both cases, contrary to the case of a fixed exchange rate regime, speculators face a cost of launching a tentative attack that may not succeed. Such cost induces a delay and may even prevent its occurrence. At the time of the tentative attack, the exchange rate moves either discretely up, if the attack succeeds, or down, if it fails. The remlts are consistent with the fact that, typically, an attack involves substantial profits and losses for the speculators. In particular, if agents believed that the government will control fiscal imbalances in the future, or alternatively, if they believe the trend in domestic credit to be temporary, the attack is postponed even in the presence of a signal of an imminent collapse. Finally, we aIso show that the timing of a speculative attack increases with the width of the target zone.

The role of mobile belts for the longevity of deep cratonic lithosphere: The crumple zone model

Many Archean cratons are surrounded by Proterozoic mobile belts that have experienced episodes of tectonic re-activation over their lifetimes. This suggests that mobile belt lithosphere may be associated with long lived, inherited weakness. It is proposed that the proximity of this weakness can increase the longevity of deep Archean lithosphere by buffering Archean cratons from mantle derived stresses. The physical plausibility of this idea is explored through numerical simulations of mantle convection that include continents and allow for material rheologies that model the combined brittle and ductile behavior of the lithosphere. Within the simulations, the longevity of deep cratonic lithosphere does increase if it is buffered by mobile belts that can fail at relatively low stress levels.

Off-the-Record Target Zones: Theory with an Application to Hong Kongs Currency Board

This paper provides a modelling framework for evaluating the exchange rate dynamics of a target zone regime with undisclosed bands. We generalize the literature to allow for asymmetric one-sided regimes. Market participants' beliefs concerning an undisclosed band change as they learn more about central bank intervention policy. We apply the model to Hong Kong's one-sided currency board mechanism. In autumn 2003, the Hong Kong dollar appreciated from close to 7.80 per US dollar to 7.70, as investors feared that the currency board would be abandoned. In the wake of this appreciation, the monetary authorities finally revamped the regime as a symmetric two-sided system with a narrow exchange rate band.

Experimental validation of a fracture model for pearlitic steel bars based on the cohesive zone model

Congreso internacional celebrado en Praga sobre modelos numéricos de fractura en el campo de la ciencia de materiales y estructuras.

Experimental validation of a fracture model for pearlitic steel bars based on the cohesive zone model

Steel is, together with concrete, the most widely used material in civil engineering works. Not only its high strength, but also its ductility is of special interest, since it allows for more energy to be stored before failure. A better understanding of the material behaviour before failure may lead to better structural safety strategies.

Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége = Empirical models of exchange rate target zones

A sávosan rögzített devizaárfolyamok elméleti és gyakorlati vizsgálatai a nemzetközi közgazdaságtan egyik legnépszerűbb témaköre volt a kilencvenes évek elején. A gyakorlati módszerek közül az alkalmazások és hivatkozások száma tekintetében az úgynevezett eltolódással igazítás módszere emelkedett ki. A módszert alkalmazó szerzők szerint amíg a lebegő árfolyamú devizák előrejelzése céltalan feladatnak tűnik, addig sávos árfolyam esetén az árfolyam sávon belüli helyzetének előrejelzése sikeresen végezhető. E tanulmány bemutatja, hogy az Európai Monetáris Rendszer és az északeurópai államok sávos árfolyamrendszereinél e módszer alkalmazásával adódott eredmények például a lebegő árfolyamú amerikai dollárra és az egységgyökfolyamatok többségére is érvényesek. A tanulmány feltárja e látszólagos ellentmondás okait, és bemutat egy olyan, a sávos árfolyamrendszerek főbb megfigyelt jellemzőire épülő modellt, amelynek keretei között a sávon belüli árfolyam előrejelzése nem feltétlenül lehetséges, mert a leértékelés előtti időszakban a sávon belüli árfolyam alakulása kaotikus lehet. / === / Following the development of the first exchange rate target zone model at the end of the eighties dozens of papers analyzed theoretical and empirical topics of currency bands. This paper reviews different empirical methods to analyze the credibility of the band and lays special emphasis on the most widely used method, the so-called drift-adjustment method. Papers applying that method claim that while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper shows that the results achieved by applications to EMS and Nordic currencies are not specific to data of target zone currencies. For example, application to US dollar and even to most unit root processes leads qualitatively to the same. This paper explores the solutions of this puzzle and shows a model of target zones in which the exchange rate within the band is not necessarily predictable since the process might follow chaotic dynamics before devaluation.

How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes

This paper analyzes the linkages between the credibility of a target zone regime, the volatility of the exchange rate, and the width of the band where the exchange rate is allowed to fluctuate. These three concepts should be related since the band width induces a trade-off between credibility and volatility. Narrower bands should give less scope for the exchange rate to fluctuate but may make agents perceive a larger probability of realignment which by itself should increase the volatility of the exchange rate. We build a model where this trade-off is made explicit. The model is used to understand the reduction in volatility experienced by most EMS countries after their target zones were widened on August 1993. As a natural extension, the model also rationalizes the existence of non-official, implicit target zones (or fear of floating), suggested by some authors.

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.

Realisation of a Target Classifier For Noise Sources in the Ocean

This thesis addresses one of the emerging topics in Sonar Signal Processing.,viz.the implementation of a target classifier for the noise sources in the ocean, as the operator assisted classification turns out to be tedious,laborious and time consuming.In the work reported in this thesis,various judiciously chosen components of the feature vector are used for realizing the newly proposed Hierarchical Target Trimming Model.The performance of the proposed classifier has been compared with the Euclidean distance and Fuzzy K-Nearest Neighbour Model classifiers and is found to have better success rates.The procedures for generating the Target Feature Record or the Feature vector from the spectral,cepstral and bispectral features have also been suggested.The Feature vector ,so generated from the noise data waveform is compared with the feature vectors available in the knowledge base and the most matching pattern is identified,for the purpose of target classification.In an attempt to improve the success rate of the Feature Vector based classifier,the proposed system has been augmented with the HMM based Classifier.Institutions where both the classifier decisions disagree,a contention resolving mechanism built around the DUET algorithm has been suggested.

Simulation of delamination in composites under quasi-static and fatigue loading using cohesive zone models

Es desenvolupa una eina de disseny per l'anàlisi de la tolerància al dany en composites. L'eina pot predir el inici i la propagació de fisures interlaminars. També pot ser utilitzada per avaluar i planificar la necessitat de reparar o reemplaçar components durant la seva vida útil. El model desenvolupat pot ser utilitzat tan per simular càrregues estàtiques com de fatiga. El model proposat és un model de dany termodinàmicament consistent que permet simular la delaminació en composites sota càrregues variables. El model es formula dins el context de la Mecànica del Dany, fent ús dels models de zona cohesiva. Es presenta un metodologia per determinar els paràmetres del model constitutiu que permet utilitzar malles d'elements finits més bastes de les que es poden usar típicament. Finalment, el model és també capaç de simular la delaminació produïda per càrregues de fatiga.

Dependence of Indian monsoon rainfall on moisture fluxes across the Arabian Sea and the impact of coupled model sea surface temperature biases

The Arabian Sea is an important moisture source for Indian monsoon rainfall. The skill of climate models in simulating the monsoon and its variability varies widely, while Arabian Sea cold sea surface temperature (SST) biases are common in coupled models and may therefore influence the monsoon and its sensitivity to climate change. We examine the relationship between monsoon rainfall, moisture fluxes and Arabian Sea SST in observations and climate model simulations. Observational analysis shows strong monsoons depend on moisture fluxes across the Arabian Sea, however detecting consistent signals with contemporaneous summer SST anomalies is complicated in the observed system by air/sea coupling and large-scale induced variability such as the El Niño-Southern Oscillation feeding back onto the monsoon through development of the Somali Jet. Comparison of HadGEM3 coupled and atmosphere-only configurations suggests coupled model cold SST biases significantly reduce monsoon rainfall. Idealised atmosphere-only experiments show that the weakened monsoon can be mainly attributed to systematic Arabian Sea cold SST biases during summer and their impact on the monsoon-moisture relationship. The impact of large cold SST biases on atmospheric moisture content over the Arabian Sea, and also the subsequent reduced latent heat release over India, dominates over any enhancement in the land-sea temperature gradient and results in changes to the mean state. We hypothesize that a cold base state will result in underestimation of the impact of larger projected Arabian Sea SST changes in future climate, suggesting that Arabian Sea biases should be a clear target for model development.

Migração em profundidade pré-empilhamento utilizando os atributos cinemáticos do empilhamento por superfície de reflexão comum

O empilhamento por superfície de reflexão comum (ou empilhamento SRC), conhecido como empilhamento CRS, do inglês Commom reflection surface, constitui-se em um novo método para o processamento sísmico na simulação de seções afastamento nulo (AN) e afastamento comum (AC). Este método é baseado em uma aproximação paraxial hiperbólica de segunda ordem dos tempos de trânsito de reflexão na vizinhança de um raio central. Para a simulação de seção AN, o raio central é um raio normal, enquanto que para a simulação de uma seção AC o raio central é um raio de afastamento finito. Em adição à seção AN, o método de empilhamento SRC também fornece estimativas dos atributos cinemáticos do campo de onda, sendo aplicados, por exemplo, na determinação (por um processo de inversão) da velocidade intervalar, no cálculo do espalhamento geométrico, na estimativa da zona de Fresnel, e também na simulação de eventos de tempos de difrações, este último tendo uma grande importância para a migração pré-empilhamento. Neste trabalho é proposta uma nova estratégia para fazer uma migração em profundidade pré-empilhamento, que usa os atributos cinemáticos do campo de onda derivados do empilhamento SRC, conhecido por método CRS-PSDM, do inglês CRS based pre-stack depth migration. O método CRS-PSDM usa os resultados obtidos do método SRC, isto é, as seções dos atributos cinemáticos do campo de onda, para construir uma superfície de tempos de trânsito de empilhamento, ao longo da qual as amplitudes do dado sísmico de múltipla cobertura são somadas, sendo o resultado da soma atribuído a um dado ponto em profundidade, na zona alvo de migração que é definida por uma malha regular. Similarmente ao método convencional de migração tipo Kirchhoff (K-PSDM), o método CRS-PSDM precisa de um modelo de velocidade de migração. Contrário ao método K-PSDM, o método CRS-PSDM necessita apenas computar os tempos de trânsito afastamento nulo, ao seja, ao longo de um único raio ligando o ponto considerado em profundidade a uma dada posição de fonte e receptor coincidentes na superfície. O resultado final deste procedimento é uma imagem sísmica em profundidade dos refletores a partir do dado de múltipla cobertura.