A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models

We propose an alternative approach to obtaining a permanent equilibrium exchange rate (PEER), based on an unobserved components (UC) model. This approach offers a number of advantages over the conventional cointegration-based PEER. Firstly, we do not rely on the prerequisite that cointegration has to be found between the real exchange rate and macroeconomic fundamentals to obtain non-spurious long-run relationships and the PEER. Secondly, the impact that the permanent and transitory components of the macroeconomic fundamentals have on the real exchange rate can be modelled separately in the UC model. This is important for variables where the long and short-run effects may drive the real exchange rate in opposite directions, such as the relative government expenditure ratio. We also demonstrate that our proposed exchange rate models have good out-of sample forecasting properties. Our approach would be a useful technique for central banks to estimate the equilibrium exchange rate and to forecast the long-run movements of the exchange rate.

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.

Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate

Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors' forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a period of low interest rates, this study is also related to the forward premium puzzle and the currency carry trade strategy. We obtain the following results. First, with the same forecast horizon, exchange rate forecasts are homogeneous among different industry types, but within the same industry, exchange rate forecasts differ if the forecast time horizon is different. In particular, investors tend to undervalue the future exchange rate for long term forecast horizons; however, in the short run they tend to overvalue the future exchange rate. Second, while forecast errors are found to be partly driven by interest rate spreads, evidence against the UIRP is provided regardless of the forecasting time horizon; the forward premium puzzle becomes more significant in shorter term forecasting errors. Consistent with this finding, our coefficients on interest rate spreads provide indirect evidence of the yen carry trade over only a short term forecast horizon. Furthermore, the carry trade seems to be active when there is a clear indication that the interest rate will be low in the future.

Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model

This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro-Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro-Dollar exchange rate closely followed the values implied by the PEER. The only significant deviations from the PEER occurred in the years immediately before and after the introduction of the single European currency. The forecasting exercise shows that incorporating economic fundamentals provides a better long-run exchange rate forecasting performance than a random walk process.

"Million Dollar Baby": Eutanasia y compromiso

Million Dollar Baby no es sólo una película sobre la eutanasia. Es, también, una película sobre la dureza de la vida, la soledad y el fracaso, y sobre la ilusión, el esfuerzo y la fidelidad. Es una película donde la eutanasia aparece en su contexto y donde, por eso,podemos percibir mejor su sentido. Apenas la última media hora de la película se ocupa de la Maggie enferma que desea morir y del Frankie que duda sobre si debe ayudarla o no; pero uno puede entender mejor la situaciónde ambos cuando conoce la trayectoria de cada uno y su relación previa. Ésta, diría yo, es una primera y fundamental enseñanza de la película: los problemas asociados con la eutanasia, como cualesquiera otros problemas éticos, no pueden considerarse aisladamente.

"Million Dollar Baby": Eutanasia y compromiso

Million Dollar Baby no es sólo una película sobre la eutanasia. Es, también, una película sobre la dureza de la vida, la soledad y el fracaso, y sobre la ilusión, el esfuerzo y la fidelidad. Es una película donde la eutanasia aparece en su contexto y donde, por eso,podemos percibir mejor su sentido. Apenas la última media hora de la película se ocupa de la Maggie enferma que desea morir y del Frankie que duda sobre si debe ayudarla o no; pero uno puede entender mejor la situaciónde ambos cuando conoce la trayectoria de cada uno y su relación previa. Ésta, diría yo, es una primera y fundamental enseñanza de la película: los problemas asociados con la eutanasia, como cualesquiera otros problemas éticos, no pueden considerarse aisladamente.

Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar?

In this article we examine the convenience of dollarization for Ecuador today. As Ecuador is strongly integrated financially and commercially with the United States, the exchange rate pass-through should be zero. However, we sustain that rising rates of imports from trade partners other than the United States and subsequent real effective exchange rate depreciations are causing the pass-through to move away from zero. Here, in the framework of the Vector Error Correction Model, we analyse the impulse response function and variance decomposition of the inflation variable. We show that the developing economy of Ecuador is importing inflation from its main trading partners, most of them emerging countries with appreciated currencies. We argue that if Ecuador recovered both its monetary and exchange rate instruments it would be able to fight against inflation. We believe such an analysis could be extended to other countries with pegged exchange rate regimes.

Raspberry Pi: a 35-dollar device for viewing DICOM images

Raspberry Pi is a low-cost computer created with educational purposes. It uses Linux and, most of times, freeware applications, particularly a software for viewing DICOM images. With an external monitor, the supported resolution (1920 × 1200 pixels) allows for the set up of simple viewing workstations at a reduced cost.

Prévisions du taux de rendement hebdomadaire d'un contrat futures sur le taux de change dollar américain/ dollar canadien.

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Le "Dollar Cost Averaging", modèle conditionnel d'investissement, et modèle de régression prévisionnel.

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Effets de la politique fiscale sur le cours du dollar canadien.

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