290,728 research outputs found
Does intervention explain the forward discount puzzle?
No full textAn investigation of the impact of U.S. and German central-bank interventions on the forward discount puzzle for two exchange rates-the German mark/U.S. dollar and the Japanese yen/U.S. dollar-using official 1985-91 data. The evidence on the importance of intervention is strongest for the DM/$. However, the direction of the impact is inconsistent with the findings of Flood and Rose (1996) if periods of intervention are viewed as equivalent to fixed-rate regimes.Foreign exchange - Law and legislation
Forward-facing 2
No full textThis data set is generated using the Coppelia Sim.The second forward-facing camera dataset is also created using cameras with 120o field of view attached to each robot and accessed programmatically.
However, unlike forward-facing Dataset 1, every 75-frame sequence will be horizontally concatenated with sequences from the other robots at the same time .
The final sequence will be 75 images of size 64x512 pixels. 436 instances are generated after concatenating the robots’ camera data. </p
Structural change in the forward discount: a Bayesian analysis of forward rate unbiasedness hypothesis
No full textUsing Bayesian methods, we reexamine the empirical evidence from Sakoulis et al. (2010) regarding structural breaks in the forward discount for G-7 countries. Our Bayesian framework allows the number and pattern of structural changes in level and variance to be endogenously determined. We find different locations of breakpoints for each currency; mostly, fewer breaks are present. We find little evidence of moving toward stationarity in the forward discount after accounting for structural change. Our findings suggest that the existence of structural change is not a viable justification for the forward discount anomaly.Bayesian method, structural change, forward discount anomaly, Gibbs-sampling
International trade, hedging and the demand for forward contracts
No full textThere is a huge literature on the effects of uncertainty on trade levels. One very strong result of that literature is that uncertainty should not matter, as long as well developed forward markets exist. The empirical implications of this result, however, are hard to find in the data. We model terms of trade uncertainty in a small open economy with uncertainty stemming from abroad and derive the equilibrium demand for forward contracts. It turns out that risk averse agents will not buy forwards at an actuarially fair price, thus rendering both the full-hedge theorem and the separation theorem of the aforementioned literature obsolete. Using real world data for Germany we calibrate our model. We find that in equilibrium risk averse agents will buy forward cover only for nvestment reasons. The amount of forwards purchased is around 20% of equilibrium imports. This is broadly in accordance with empirical observed ratios. --forward contracts,terms of trade uncertainty,hedging
Forward produced hadrons in mu p and mu d scattering and investigation of the charge structure of the nucleon
No full textAshman J, Badelek B, Baum G, et al. Forward produced hadrons in Mu p and Mu d scattering and investigation of the charge structure of the nucleon. Z.Phys. C. 1991;52(3):361-387
Laser-induced forward transfer on compliant receivers
No full textLaser-induced forward transfer (LIFT) is a technique for the transfer of materials in solid or liquid phase. During LIFT a thin film (donor) previously coated onto a transparent carrier substrate is transferred by the explosive expansion of a small part of the donor volume after the absorption of a laser pulse at the interface of donor and carrier, accelerating a part of the thin film (flyer) towards a receiving substrate (receiver) [1]. When transferring a solid flyer via LIFT, it is possible to preserve its phase and physical properties, however such an intact transfer also depends strongly on the mechanical properties of the flyer and the receiver, and the flyer’s velocity during transfer. For inelastic materials and high flyer velocities the resulting stresses on impact can exceed the flyer’s mechanical strength and thus cause its undesirable shattering. To mitigate this effect, we have introduced a compliant polymer film capping the receiver and have studied experimentally the effect of such a film on the morphology and adhesion of a LIFTed deposit. Furthermore we modelled via finite element software (Comsol Multiphysics®) the impact of a flyer onto such a receiver for different material parameters and transfer conditions, and compared it to the case of LIFT onto a bare glass receiver
The forex forward puzzle: The career risk hypothesis.
No full textPrior work variously ascribes the forward puzzle -the low slope in the Fama (1984) regression of the exchange rate change on the forward premium- to various model misspecications or statistical problems with non-stationary forward premia, but no single theory fully succeeds in explaining the puzzle. In this paper we simultaneously address the model-misspecification problem and the non-stationarity issue. On the basis of competing hypotheses about the risk premium we consider the nonlinear models that specify the Fama beta as approximately quadratic or spline functions of the forward premium. We estimate these relations using overlapping one-month observations for ERM-member exchange and forward rates against the DEM. The standard deviations are calculated under the Monte Carlo Method for overlapping observations. Wald test confirms the presence of such nonlinearities, and the models outperform the Fama in terms of various in the goodness-of-fit measures, but the spline adds little relative to the simple quadratic. To handle the non-stationary forward premium problem, we decompose the forward premium into a long-memory co-movement component and a short-term filtered forward premium. In regressions that link exchange-rate changes to the long-memory co-movement component the forward puzzle worsens, while it is substantially reduced when, instead, the filtered component isused as the regressor, suggesting that the filtered component loads relatively heavily on expectations and the slow-moving trend on the missing variable. Beta appears to be an inverse-U-shaped function of the forward premium. This contradicts the Bansal risk premium and the transaction-cost/limit-to-arbitrage hypotheses, but is consistent with a Fallen-angel effect, where traders or portfolio managers shun long positions in assets with danger signals like forward discounts.Forward puzzle; Peso problem; Risk premium; Tests; Uncovered interest parity;
The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence
No full textThis paper studies the forward premium puzzle in an environment where private agents do not perfectly observe the shocks that drive monetary policy. Private agents optimally update their conditional expectations by means of the Kalman filter. The transition dynamics associated with Kalman filtering lead to fixed time-effects and conditional heteroskedasticity in the forward premium regression. I provide evidence for the presence of time-effects in the forward premium regression and find that the forward premium puzzle is significantly weakened. In particular, a 1 percent increase in the 1-month interest differential is expected to be accompanied by an additional 0.34 percent depreciation of the currency in the following month.Forward premium puzzle, imperfect information, Kalman filter, fixed time-effects
Multiple openings of forward markets: experimental evidence
No full textWe test the strategic motive to sell forward in experimental Cournot duopoly and quadropoly environments with multiple forward markets. Using random matching, we test two versions of forward markets with finite (Allaz and Vila, 1993) and indefinite number of periods. We find that the results for the Allaz and Vila (1993) model are remarkably close to the predicted theoretical results for both duopolies and quadropolies. We then test a version of the model to allow for indefinitely many periods. There are multiple equilibria in this theoretical model, including both the competitive and collusive outcomes. We find that the initial "collusive hypothesis" is not ratified, and that outcomes are nearly competitive. Sales take place mostly in the first few openings of futures markets. Again, these results hold for both duopolies and quadropolies.
The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly
No full textThe forward premium anomaly is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of cross-country differences between forward interest rates rather than spot interest rates with dramatic results. These forward interest rate differentials have statistically and economically significant forecast power for annual exchange rate movements, both in- and out-of-sample, and the signs and magnitudes of the corresponding coefficients are consistent with economic theory. Forward interest rates also forecast future spot interest rates and future inflation. Thus, we attribute much of the forward premium anomaly to the anomalous behavior of short-term interest rates, not to a breakdown of the link between fundamentals and exchange rates.
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