Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations

Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this apper. In contrast to other studies we use expectations instead of realised data. Therefore we analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. Using expected short- and long-term interest rates and business expectations as explanatory variables we estimate latent structural models to explain expected exchange rates. A special hypothesis is whether exchange rate expectations are formed according to monetary models. The currencies included in the study are US dollar, British pound, Japanese yen, French franc and Italian lire, each defined against the German mark. A major finding of the analysis is that expected GDP is the most important variable (from the set of our variables) for the determination of exchange rate expectations. For the DM/US dollar expectations a Mundell-Fleming type model is compatible with the data. This means, that increasing interest rates will led to an appreciation of the corresponding currency. The opposite result have been found for French franc and Italian lire where high expected interest rates indicate a weak currency.

What's on their mind: do exchange rate forecasters stick to theoretical models?

Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this paper. In contrast to other studies we use expectations data instead of observable variables. Therefore we analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. The economic exchange rate models included in our study are purchasing power parity, the flexible-price monetary model, the sticky-price monetary model and the Mundell-Fleming model. These models are the theoretical basis for the estimation of latent structural models using the categorical expectations data of the ZEW financial market survey. The expectation variables used to explain expected exchange rates are short term interest rates, long term interest rates and business expectations. Our results show that the flexible-price monetary model is clearly rejected, but the sticky-price monetary model (in case of DM/Pound Sterling and DM/Yen) and the Mundell-Fleming model (in case of DM/US-Dollar) are both compatible with the estimated parameters. --Exchange rate modelling,Expectations,Survey data,Categorical Data

Renewable Fuels and Chemicals from the Organic Fraction of Municipal Solid Waste

Municipal solid waste (MSW) is any non-industrial waste produced in households and public or commercial institutions. 3.4 billion tonnes of MSW will be produced annually by 2050, but unsustainable practices like landfilling and incineration currently dominate MSW management. The organic fraction of MSW (OMSW) typically comprises ~50% lignocellulose-rich material but is underexplored as a biomanufacturing feedstock. This thesis investigated OMSW as a feedstock for producing renewable biofuels and chemicals. Uniquely, the OMSW-derived fibre used in this project was produced via a commercial autoclave pre-treatment from a realistic and reproducible MSW mixture. The OMSW fibre was subjected to comprehensive compositional analysis and hydrolysis, and OMSW hydrolysate was analysed for sugars, metals and marker inhibitors to evaluate fermentability. Waste residues were investigated as a feedstock for biogas production. Next, the growth and productivity of eight diverse and biotechnologically useful microbial species was characterised on OMSW fibre hydrolysate supplemented with 1% yeast extract and the best candidate was further characterised and improved for industrial applications. The OMSW fibre contained a large polysaccharide fraction, comprising 38% cellulose and 4% hemicellulose. Hydrolysate of OMSW fibre was high in D-glucose and D-xylose, low in inhibitors, deficient in nitrogen and phosphate and abundant in potentially toxic metals. Hydrolysis residues contained a six-fold greater metal concentration but generated 33.4% more biomethane in anaerobic digestion compared to unhydrolysed fibre. Microbial screening identified three species that robustly and efficiently fermented OMSW fibre hydrolysate: Saccharomyces cerevisiae, Zymomonas mobilis and Rhodococcus opacus. These species could theoretically produce 139 Kg and 136 Kg of ethanol and 91 Kg of triacylglycerol (TAG) per tonne of OMSW, respectively. R. opacus had the highest fermentation productivity, concurrently using D-glucose and D-xylose and producing TAG to 72% of maximum theoretical yield. Expression of a heterologous thioesterase in R. opacus to augment lauric acid production proved unsuccessful and requires further work. Overall, this study showed that OMSW is a promising renewable feedstock for biomanufacturing. The microorganisms identified through this work grew robustly and efficiently on OMSW fibre hydrolysate and are promising candidates for developing an OMSW biorefining platform

250 Analysten, 1 Portfolio? : Eine ökonometrische Analyse von Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge

Im Oktober 1998 befragte das ZEW rund 250 Finanzexperten aus Banken, Versicherungen, Kapitalanlagegesellschaften und großen Industrieunternehmen nach ihren Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge. Dieses Papier untersucht in einem ersten Schritt, ob in Abhängigkeit der Branchenzugehörigkeit des befragten Experten signifikante Unterschiede in der Struktur seiner Anlageempfehlungen bestehen. Die Unterschiede äußern sich vor allem in der Aufteilung der Anlagen auf europäische Aktien und deutsche Immobilien. Während z.B. Teilnehmer aus Versicherungen und der Industrie mit einem höheren Renten- bzw. Immobilienanteil eher zu den vorsichtigen Anlageberatern gehören, weisen Banken und vor allem Kapitalanlagegesellschaften einen höheren Aktienanteil auf. Das Musterportfolio aus allen Empfehlungen kann somit in unterschiedliche für bestimmte Expertengruppen spezifische Portfolioempfehlungen aufgeteilt werden. In einem zweiten Schritt wird auf der Basis historischer Renditen des Zeitraumes Januar 1975 bis Dezember 1998 untersucht, inwiefern sich diese Unterschiede auf die Performance der Portfolios auswirken. Dazu werden verschiedene Anlagehorizonte des Investors unterstellt (5, 10 und 20 Jahre). Das höhere Risiko der Aktienanlage wirkt auf Sicht von fünf Jahren negativ auf das Gesamtrisiko der Portfolios, mit steigendem Anlagehorizont verschwindet dieser Unterschied jedoch zunehmend. Die Analyse zeigt also, dass sich bei langfristiger Anlage eine Übergewichtung von Aktien trotz der Möglichkeit starker Kurseinbrüche wie zuletzt im Oktober 1998 positiv auf die Performance der Portfolios auswirkt

Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations

Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this apper. In contrast to other studies we use expectations instead of realised data. Therefore we analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. Using expected short- and long-term interest rates and business expectations as explanatory variables we estimate latent structural models to explain expected exchange rates. A special hypothesis is whether exchange rate expectations are formed according to monetary models. The currencies included in the study are US dollar, British pound, Japanese yen, French franc and Italian lire, each defined against the German mark. A major finding of the analysis is that expected GDP is the most important variable (from the set of our variables) for the determination of exchange rate expectations. For the DM/US dollar expectations a Mundell-Fleming type model is compatible with the data. This means, that increasing interest rates will led to an appreciation of the corresponding currency. The opposite result have been found for French franc and Italian lire where high expected interest rates indicate a weak currency

G-Mind - German market indicator: Analyse des Stimmungsindikators und seiner Subkomponenten

Mitte September 1994 beauftragten die Vereinigten Wirtschaftsdienste (vwd) das Zentrum für Europäische Wirtschaftsforschung (ZEW), einen Indikator zu konstruieren, der die aktuelle Stimmung am deutschen Finanzmarkt widerspiegeln soll. Grundlage für die Berechnung des Indikators sind die monatlichen Ergebnisse des ZEW-Finanzmarkttests. Der G-Mind wird seit März 1995 veröffentlicht

What's on their Mind: Do Exchange Rate Forecasters Stick to Theoretical Models?

Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this paper. In contrast to other studies we use expectations data instead of observable variables. Therefore we analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. The economic exchange rate models included in our study are purchasing power parity, the flexible-price monetary model, the sticky-price monetary model and the Mundell-Fleming model

250 Analysten, 1 Portfolio? Eine ökonometrische Analyse von Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge

Im Oktober 1998 befragte das ZEW rund 250 Finanzexperten aus Banken, Versicherungen, Kapitalanlagegesellschaften und großen Industrieunternehmen nach ihren Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge. Dieses Papier untersucht in einem ersten Schritt, ob in Abhängigkeit der Branchenzugehörigkeit des befragten Experten signifikante Unterschiede in der Struktur seiner Anlageempfehlungen bestehen. Die Unterschiede äußern sich vor allem in der Aufteilung der Anlagen auf europäische Aktien und deutsche Immobilien. Während z.B. Teilnehmer aus Versicherungen und der Industrie mit einem höheren Renten- bzw. Immobilienanteil eher zu den vorsichtigen Anlageberatern gehören, weisen Banken und vor allem Kapitalanlagegesellschaften einen höheren Aktienanteil auf. Das Musterportfolio aus allen Empfehlungen kann somit in unterschiedliche für bestimmte Expertengruppen spezifische Portfolioempfehlungen aufgeteilt werden. -- This study analyzes portfolio recommendations of financial experts, finding significant differences in portfoliostructure depending on the experts' institutional background. The recommendations stem from a survey of 250 financial experts from banks, insurance companies, investment funds and industrial enterprises. The respondents were asked to construct a portfolio of retirement savings using the following assets: European and foreign stocks and bonds, real estate and money market funds. The main differences in asset allocation are found for the shares of European stocks and real estate. Five portfolios constructed from the recommendations are compared using different performance and risk measures.Querschnittsanalyse,Portfolio-Analyse

G-Mind - German market indicator: Analyse des Stimmungsindikators und seiner Subkomponenten

Mitte September 1994 beauftragten die Vereinigten Wirtschaftsdienste (vwd) das Zentrum für Europäische Wirtschaftsforschung (ZEW), einen Indikator zu konstruieren, der die aktuelle Stimmung am deutschen Finanzmarkt widerspiegeln soll. Grundlage für die Berechnung des Indikators sind die monatlichen Ergebnisse des ZEW-Finanzmarkttests. Der G-Mind wird seit März 1995 veröffentlicht. … --

Robust microorganisms for biofuel and chemical production from municipal solid waste

BACKGROUND: Worldwide 3.4 billion tonnes of municipal solid waste (MSW) will be produced annually by 2050, however, current approaches to MSW management predominantly involve unsustainable practices like landfilling and incineration. The organic fraction of MSW (OMSW) typically comprises ~ 50% lignocellulose-rich material but is underexplored as a biomanufacturing feedstock due to its highly inconsistent and heterogeneous composition. This study sought to overcome the limitations associated with studying MSW-derived feedstocks by using OMSW produced from a realistic and reproducible MSW mixture on a commercial autoclave system. The resulting OMSW fibre was enzymatically hydrolysed and used to screen diverse microorganisms of biotechnological interest to identify robust species capable of fermenting this complex feedstock. RESULTS: The autoclave pre-treated OMSW fibre contained a polysaccharide fraction comprising 38% cellulose and 4% hemicellulose. Enzymatic hydrolysate of OMSW fibre was high in D-glucose (5.5% w/v) and D-xylose (1.8%w/v) but deficient in nitrogen and phosphate. Although relatively low levels of levulinic acid (30 mM) and vanillin (2 mM) were detected and furfural and 5-hydroxymethylfurfural were absent, the hydrolysate contained an abundance of potentially toxic metals (0.6% w/v). Hydrolysate supplemented with 1% yeast extract to alleviate nutrient limitation was used in a substrate-oriented shake-flask screen with eight biotechnologically useful microorganisms (Clostridium saccharoperbutylacetonicum, Escherichia coli, Geobacillus thermoglucosidasius, Pseudomonas putida, Rhodococcus opacus, Saccharomyces cerevisiae, Schizosaccharomyces pombe and Zymomonas mobilis). Each species' growth and productivity were characterised and three species were identified that robustly and efficiently fermented OMSW fibre hydrolysate without significant substrate inhibition: Z. mobilis, S. cerevisiae and R. opacus, respectively produced product to 69%, 70% and 72% of the maximum theoretical fermentation yield and could theoretically produce 136 kg and 139 kg of ethanol and 91 kg of triacylglycerol (TAG) per tonne of OMSW. CONCLUSIONS: Developing an integrated biorefinery around MSW has the potential to significantly alleviate the environmental burden of current waste management practices. Substrate-oriented screening of a representative and reproducible OMSW-derived fibre identified microorganisms intrinsically suited to growth on OMSW hydrolysates. These species are promising candidates for developing an MSW biorefining platform and provide a foundation for future studies aiming to valorise this underexplored feedstock