102 research outputs found
Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era
Foreign exchange ; Purchasing power
Predicting the Age of Astronomical Transients from Real-Time Multivariate Time Series
Astronomical transients, such as supernovae and other rare stellar
explosions, have been instrumental in some of the most significant discoveries
in astronomy. New astronomical sky surveys will soon record unprecedented
numbers of transients as sparsely and irregularly sampled multivariate time
series. To improve our understanding of the physical mechanisms of transients
and their progenitor systems, early-time measurements are necessary.
Prioritizing the follow-up of transients based on their age along with their
class is crucial for new surveys. To meet this demand, we present the first
method of predicting the age of transients in real-time from multi-wavelength
time-series observations. We build a Bayesian probabilistic recurrent neural
network. Our method can accurately predict the age of a transient with robust
uncertainties as soon as it is initially triggered by a survey telescope. This
work will be essential for the advancement of our understanding of the numerous
young transients being detected by ongoing and upcoming astronomical surveys.Comment: 6 pages, 4 figures. Accepted at the NeurIPS 2023 Machine Learning and
the Physical Sciences worksho
The 'Impossible Trinity' Hypothesis in an Era of Global Imbalances: Measurement and Testing
Surfing the Waves of Globalization: Asia and Financial Globalization in the Context of the Trilemma
Permanent and Selective Capital Account Management Regimes as an Alternative to Self-Insurance Strategies in Emerging-Market Economies
Purchasing power parity and uncovered interest rate parity: the United States 1974-1990
This paper examines the factors behind long-run movements of the dollar. Most recent work has concluded that structural exchange rate models explain only a small proportion of exchange rate movements. However, many economists still find the theory that links exchange rates and interest rates persuasive. We investigate the relationship between exchange rates, prices, and interest rates using multivariate maximum likelihood cointegration tests. In particular, we explicitly test for purchasing power parity and uncovered interest rate parity when using nominal exchange rates, and implicitly test for these two hypothesis when using real exchange rates. The conclusion that emerges from this study is that we almost always identify at least one cointegrating vector among the variables, but we can not verify the theoretical models that show how exchange rates and interest rates are linked.Interest rates ; Purchasing power ; Foreign exchange rates
Alternative Approaches to Real Exchange Rates and Real Interest Rates: Three Up and Three Down.
This paper examines the relationship between real exchange rates and real interest rates using three different approaches across four currencies and two horizons with 20 years of data. Each approach gives some encouragement that this relationship might hold, but each approach also encounters problems establishing the form or usefulness of the relationship. On balance, this paper contributes to the literature by finding more encouraging results than in earlier studies, but it still remains to be demonstrated that the real exchange rate-real interest rate relationship is the linchpin to explaining exchange rate movements. Copyright @ 1999 by John Wiley & Sons, Ltd. All rights reserved.
Alternative approaches to real exchange rates and real interest rates: three up and three down
This paper examines the relationship between real exchange rates and real interest rates using three different approaches across four currencies and two horizons with 20 years of data. Each approach gives some encouragement that this relationship might hold, but each approach also encounters problems establishing the form or usefulness of the relationship. On balance, this paper contributes to the literature by finding more encouraging results than in earlier studies, but it still remains to be demonstrated that the real exchange rate-real interest rate relationship is the linchpin to explaining exchange rate movements.Foreign exchange rates ; Interest rates
Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era
The structure and properties of the FRB multicountry model.Part I: Model description and simulation results
The FRB Multicountry Model (MCM) is a linked system of five quarterly national macroeconometric models of the United States, Canada, Germany, Japan, and the United Kingdom. The MCM emphasizes international linkages, and has equations for trade in goods and services, investment income flows, and exchange rates. This paper documents the current version of the MCM. The paper describes the theoretical structure of the model, and presents the empirical estimation results. The paper also describes a series of simulations of fiscal and monetary policy scenarios and external shocks. A complete listing of the model is given in an appendix.Econometric models ; International economic relations
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