Are Different-Currency Assets Imperfect Substitutes?

This paper provides a new test for whether different-currency assets are imperfect substitutes. The test exploits that under floating rates, changing public currency demand has no direct effect on monetary fundamentals, current or future. Price effects from imperfect substitutability are clearly present: the immediate price impact of public trades is 0.44 percent per 1 billion dollar (of which, about 80 percent persists indefinitely). This estimate is applicable to intervention trades in the special case when they are indistinguishable from private trades (i.e., when interventions are sterilized, anonymous, and provide no monetary-policy signal).

Are Different-Currency Assets Imperfect Substitutes?

This paper provides a new test for whether different-currency assets are imperfect substitutes. Past work on imperfect substitutability in foreign exchange falls into two groups: (1) tests using measures of asset supply and (2) tests using measures of central-bank asset demand. We address the demand side, but we use a broad measure of public demand rather than focusing on demand by central banks. Under floating rates, changing public demand has no direct effect on monetary fundamentals, current or future. This provides an opportunity to test for price effects from imperfect substitutability. We develop and estimate a micro portfolio balance model that has both Walrasian and microstructure features. Price effects from imperfect substitutability are clearly present: the immediate price impact of public trades is 0.44 percent per $1 billion (of which, about 80 percent persists indefinitely). This estimate is applicable to intervention trades in the special case when they are indistinguishable from private trades (i.e., when interventions are sterilized, anonymous, and provide no monetary-policy signal).

Portfolio Balance, Price Impact, and Secret Intervention

This paper tests the portfolio-balance approach to exchange rate determination in a new way. Past work on portfolio balance in foreign exchange falls into two groups: (1) tests using measures of asset supply and (2) tests using measures of central-bank asset demand. We address the demand side, but we use a broad measure of public demand, rather than focusing on demand by central banks. Under floating rates, changing public demand has no direct effect on interest rates, current or future. This provides an opportunity to test for portfolio-balance effects on price. We develop and estimate a micro portfolio-balance model that has both Walrasian and microstructure features. Portfolio-balance effects are clearly present: the immediate price impact of public trades is 0.44 percent per $1 billion (of which, about 80 percent persists indefinitely). This estimate is applicable to central-bank trades as well, as long as they are sterilized, secret, and provide no monetary-policy signal. Intervention of this type is most effective when the flow of macroeconomic news is strong.

Exchange Rate Fundamentals and Order Flow

We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals.

Homeowners? Repeat-Sale Gains, Dual Agency and Repeated Use of the Same Agent

Previous studies of dual agency, where one agent serves both buyer and seller in a transaction, use hedonic models. Repeat-sale methods can test for the price effect of accepting dual agency. Dual agency does not show convincing effects on expected gain, which would occur if there was a systematic bias, or on heteroscedasticity, which would occur if there are large effects that are rare. Earlier researchers could not test for the effect of an owner picking a listing agent who was the earlier selling agent. Consistently positive mean abnormal price gains come from this choice, as well as signi?cant heteroscedasticity.

Effective anisotropies and energy barriers of magnetic nanoparticles with Néel surface anisotropy

Magnetic nanoparticles with Néel surface anisotropy, different internal structures, surface arrangements, and elongation are modeled as many-spin systems. The results suggest that the energy of many-spin nanoparticles cut from cubic lattices can be represented by an effective one-spin potential containing uniaxial and cubic anisotropies. It is shown that the values and signs of the corresponding constants depend strongly on the particle's surface arrangement, internal structure, and shape. Particles cut from a simple cubic lattice have the opposite sign of the effective cubic term, as compared to particles cut from the face-centered cubic lattice. Furthermore, other remarkable phenomena are observed in nanoparticles with relatively strong surface effects. (i) In elongated particles surface effects can change the sign of the uniaxial anisotropy. (ii) In symmetric particles (spherical and truncated octahedral) with cubic core anisotropy surface effects can change the sing of the latter. We also show that the competition between the core and surface anisotropies leads to a new energy that contributes to both the second- and fourth-order effective anisotropies. We evaluate energy barriers ΔE as functions of the strength of the surface anisotropy and the particle size. The results are analyzed with the help of the effective one-spin potential, which allows us to assess the consistency of the widely used formula ΔE/V= K∞ +6 Ks /D, where K∞ is the core anisotropy constant, Ks is a phenomenological constant related to surface anisotropy, and D is the particle's diameter. We show that the energy barriers are consistent with this formula only for elongated particles for which the surface contribution to the effective uniaxial anisotropy scales with the surface and is linear in the constant of the Néel surface anisotropy. © 2007 The American Physical Society