Profitability and Stability in International Currency Markets

A number of recent empirical studies have rejected the hypothesis that forward exchange rates are unbiased forecasts of future spot exchange rates. This result implies that there have been opportunities for speculative profit during the post Bretton Woods period. Observers of the floating rate system have also noted that exchange rates have been more volatile than they were anticipated to be in the 1960's. In this paper, the link between the volatility of exchange rates and the existence of opportunities for speculative profit is explored. The question answered in the paper is the following: if there were no opportunities for speculative profit, would exchange rates have been more stable? The answer is yes. This answer implies that speculation (intervention) based upon the forecasting equation described in the paper would be both profitable and stabilizing.

The Profitability of Currency Speculation

This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities resulted in considerable improvements in risk-adjusted returns on capital.

Mothers\u27 March on Polio Announcements

Several announcements from organizers of the March of Dimes Mothers\u27 March on Bangor\u27s west side in the winter of 1954. Announcers explain the need to prevent polio, and identify themselves as Mrs. Irving Fadden, Mrs. John Townsend, Mrs. John F. O\u27Brien, Mrs. Robert G. Finn, Mrs. Gladys Gifford, Mrs. Aubrey Hill, Mrs. Morris Kelley and Mrs. Dwight Russell.https://digitalcommons.library.umaine.edu/wlbz_station_records/1117/thumbnail.jp

Easterner, Vol. 25, No. 24 (misprint), May 16, 1974

This issue includes articles about student concerns about the health center, the hiring of John F. O\u27Neill as Graduate School of Social Work Dean, a grant awarded to biology professor Raymond Soltero to study Long Lake and the Spokane River, the Northwest Collegiate Women\u27s Track Meet, which was held at Eastern, and a complaint by English professor Charles Minor on non-compliance with Affirmative Action. This issue is part of volume 24, even though it is mistakenly listed as volume 25.https://dc.ewu.edu/student_newspapers/1577/thumbnail.jp

Dynamic Adjustment and the Demand for International Reserves

Although there have been a large number of empirical studies of the demand for international reserves, there have not been many successful demonstrations that deviations of the actual stock of reserves from the target level defined by the demand function trigger a process of adjustment. This paper presents new evidence which suggests that central banks do have a target level of international reserve holdings, and that the adjustment of actual reserves towards the target level is quite rapid. In addition, an economic theory of the speed of adjustment is presented and tested. The evidence suggests that central banks adjust more rapidly to reserve deficiencies than to surpluses, that the speed of adjustment is positively related to the divergence between the actual level of reserves and the target level, and that countries which hold abnormally large quantities of reserves do so, in part, in order to adjust more slowly. Finally, the paper examines the applicability of the model to the current regime of managed flexible exchange rates. The evidence suggests that the move towards greater exchange rate flexibility has not significantly altered the reserve holding behavior of the world's central banks.

The "Speculative Efficiency" Hypothesis

The hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets. This paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact, the term "speculative efficiency" is used to characterize the state envisaged under the hypothesis. If a market is subject to efficient speculation, the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price. The expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model. Although the paper is primarily concerned with testing this hypothesis in the foreign exchange market, the methodology introduced in the paper is of general application to all futures markets.

Using lifetime fecundity to compare management strategies: a case history for striped bass

Abstract. --To evaluate possible regulatory schemes for restoring the stocks of striped bass Morone saxatilis in Rhode Island coastal waters, we constructed a computer simulation model ofa cohort's expected lifetime egg production. The model demonstrated that the expected increase in egg production from a proposed increase in minimum legal harvestable size (from 17 to 24 in) also could be achieved by an alternate management regime which, unlike the proposed size increase, would allow continued use of traditional fishing gears. The alternative regime increased the minimum size (but only to 18 in) and simultaneously reduced instantaneous fishing mortality from 0.45 to 0.30. Our findings of equivalence between the two regimes are reasonably robust to errors in population parameters. We then used the simulation model to generate curves of egg production per female recruit under a wide range of regulatory regimes. Such curves can illustrate the potential effects of management measures on depleted stocks. land Department of Environmental Management (DEM) was to propose regulations that were considered equivalent to the 24-in limit in restoration potential, but which would allow the continuing participation of the traditional net fisheries on a limited scale. This was accomplished by specifying only a modest increase in minimum size (to 18 in rather than 24 in TL), but simultaneously specifying a reduction in instantaneous fishing mortality (F). The reduction was to be achieved through additional closed seasons, gear restrictions, and area closures. We devised an egg production model for comparing these management regimes and used the model to generate expected egg production curves for a wide range of regulatory conditions. This report illustrates, by example, the production of such curves, which form an additional tool for managing depleted stocks. A prior version of this manuscript was released as Technical Report 84-6 of the University of Rhode Island Graduate School of Oceanography and Technical Report 84-17 of the Oceanography Department of Old Dominion University. Description of the Model As stock replenishment is currently a major goal of Atlantic coast striped bass management, the 40

Volume 2, Number 3 - December 1921

Volume 2, Number 3 - December 1921. 38 pages including covers and advertisements. Contents O\u27Brien, Peter P., Christmas (verse) Walsh, John P., Christmas Customs Creaby, John, Anchor (verse) Cheney, John J., Faithful Sight Heffernan, Fred W., Give (verse) Redmond, Paul J., The Unknowing Chamuel Keleher, James, One and Seven The Walrus, Said the Walrus to the Carpenter Walsh, John P., Horace, Boox III, Ode XXX Fogarty, John A., Editorials College Chronicle McKenna, John B., Athletic