Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets

This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets.Exchange rate regimes; Development economics

Testing Uncovered Interest Parity: A Continuous-Time Approach

Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate continuous-time model for exchange rates and forward premia robust to temporal aggregation, unlike the discrete time models in the literature. We obtain the UIP restrictions on the continuous-time model parameters, which we estimate efficiently, and propose a novel specification test that compares estimators at different frequencies. Our empirical results based on correctly specified models reject UIP.Exchange rates; Econometric and statistical methods

Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical methodology to test for such non-linear features with the returns on any benchmark portfolio. They estimate the portfolio of options that best approximates the returns of a given hedge fund, account for this search in the statistical testing of the contingent claim features, and test whether the identified non-linear features have a positive value. The authors find that not all categories of funds exhibit significant non-linearities, and that only a few strategies as a group provide significant value to investors. Individual funds may still provide value in an otherwise poorly performing category.Econometric and statistical methods; Financial institutions

CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market movements have been taken into account with a three-factor asset pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co-movement between sovereign bond pricing errors. Downgrades of sovereign ratings are used as proxies for a shock. We find empirical support for contagion and portfolio shift for a number of countries on the basis of our definition.Financial linkages, financial crisis, Granger causality, international

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry trade fundamentals and maximal Sharpe ratios) on the prices of risk to obtain plausible decompositions of forward curves. The forecasts of interest rates and exchange rates from the restricted model match those from international survey data. Unspanned macroeconomic variables are important drivers of international term and foreign exchange risk premia as well as expected exchange rate changes.Asset Pricing; Exchange rates; Interest rates

McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to previous estimates of this rule, the monetary authorities in Canada, Germany and the U.K. respond to nominal exchange rate movements. Our model is also able to replicate the forward premium puzzle.Exchange rates; Interest rates; Transmission of monetary policy

Can Affine Term Structure Models Help Us Predict Exchange Rates?

The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. In addition, the model is able to reproduce the forward premium puzzle.Exchange rates; Interest rates; Econometric and statistical methods

Oracion que en la solemne fiesta ... hicieron los dos ... Cabildos de la Ciudad de Badajoz en accion de gracias... nacimiento de los dos infantes Carlos y Felipe ...

Sign.: A-C\p4\s, D\p3\

Comunicación interna y gestión organizacional de docentes de la Escuela Material de Guerra - Chorrillos, 2019

La investigación tuvo como objetivo determinar si existe relación entre la Comunicación interna y la gestión organizacional del personal docente y administrativo de la Escuela de Material de Guerra - Chorrillos, 2019. El tipo de investigación fue correlacional, con diseño de investigación no experimental, transversal. La población objetivo del estudio estuvo conformada por los docentes, administrativos de la Escuela de Material de Guerra ? Chorrillos en el año mencionado, los cuales fueron en cantidad de 56. Se calculó el estadístico de correlación coeficiente de correlación de Pearson que fue de r= 0.861, determinando que existe una asociación muy alta entre las variables de estudio, Comunicación interna y Gestión organizacional del personal docente y administrativo de la Escuela de Material de Guerra - Chorrillos, 2019, además, estadísticamente se rechaza la hipótesis nula y se acepta la hipótesis alternaTesi

Propuesta de mejora de reducción de tiempos de producción para incrementar la productividad a traves de las herramientas lean manufacturing, en la empresa Fenix S. A., Lima, 2022

En la presente investigación, se tuvo como objetivo determinar en qué medida las herramientas Lean Manufacturing reduce el tiempo de producción para incrementar la productividad y los ingresos en la empresa Fénix S.A., Lima, 2022. La investigación es de tipo aplicada, con enfoque cuantitativo y con diseño pre experimental. Se diseñó y se desarrolló la herramienta SMED y 5S, con los cuales se logró reducir el tiempo de Set up de la máquina de 53.23 a 31.63 minutos, la eficacia de 79 a 96%, la eficiencia del proceso de impresión de 91 a 97%, la productividad de 72 a 85% después de la propuesta de mejora. Finalmente, se realizó una evaluación económica a través de los indicadores financieros (VAN, TIR e IR) en la empresa Fénix S.A, donde se logró como resultado un VAN de S/. 53,591.18, con un TIR de 71% y con ello se pudo determinar que el proyecto es viable. También, se obtuvo un IR de S/. 2.88, lo que quiere decir que por cada sol investido se obtiene una ganancia de S/. 1.88.The objective of this research was to determine to what extent Lean Manufacturing tools reduce production time to increase productivity and income in the company Fénix S.A., Lima, 2022. The research is applied, with a quantitative approach and a pre-experimental design. The SMED and 5S tools were designed and developed, with which the machine set up time was reduced from 53.23 to 31.63 minutes, the efficiency from 79 to 96%, the efficiency of the printing process from 91 to 97%, and the productivity from 72 to 85% after the improvement proposal. Finally, an economic evaluation was carried out through financial indicators (NPV, IRR and IR) in the company Fénix S.A., where the result was an NPV of S/. 53,591.18, with an IRR of 71% and thus it was possible to determine that the project is viable. Also, an IR of S/. 2.88 was obtained, which means that for each sol invested, a profit of S/. 1.88 was obtained