An empirical examination of exchange-rate credibility determinants in the EMS

This paper provides empirical evidence on the determinants of exchange rate credibility under the European Monetary System (EMS). To that end, we have considered both economic variables and political factors using data of eight currencies participating in the Exchange Rate Mechanism, covering the complete EMS history (1979-1998). Our results suggest that the level of international reserves, the real interest rate and right-wing governments would have positively affected the credibility of a given central parity, while the unemployment rate and the inflation rate would have negative influenced such credibility.Credibility, Political variables, Exchange rates, European Monetary System

El método generalizado de los momentos. Un survey

The aim of this paper is present a sinopsis of a particular estimation method development by Hansen (1982), and called Generalized Moments Method (GMM), that is utilized into dynamic economic models which equilibrium solution is a Euler's equation. Parameter estimations are obtained minimizing a criterium function of instrumental variables. Once the parameters of the model has been estimated, this method allows to constructing a test based in this function that would be able assets if the economic model is rejected empirically.Este artículo pretende realizar una síntesis de un método de estimación desarrollado por Hansen (1982), denominado Método Generalizado de los Momentos (MGM), el cual es útil en aquellos modelos definidos sobre economías dinámicas, cuya solución de equilibrio está representada por ecuaciones de Euler. Las estimaciones de los parámetros se obtienen minimizando la función criterio de las variables instrumentales. Una vez estimado los parámetros del modelo, este método permite construir un contraste basado en la función criterio que nos ayuda a valorar si el modelo económico planteado es aceptable empíricamente

Post-EMS exchange risk trends: A comparative perspective between Euro, British Pound and Japanese Yen excess returns against US Dollar

This paper studies the exchange rate risk of Euro, Pound and Yen against US Dollar before and after the EMU. The key question is to analyse the impact of the Euro to exchange rate risks. The risk is measured by estimating risk price coefficient (RPC) from an excess return equation. A conditional heteroskedastic variance model with time-varying mean is estimated for this purpose. Recursive estimates are used to examine the evolution of the parameters and to find out time-varying risk premia. Results show that after a period of adaptation following the introduction of the Euro, the Euro/US Dollar RPC decreased.Exchange rate risk, GARCH-M, risk-price, times series, recursive estimation

Revisiting Rose's common currency debate

The main objective of this research is to revisit the estimation of the effect of a common currency on international trade by applying the new methodology proposed by Helpman, Melitz and Rubistein (2008) and incorporating tourism to the theoretical framework. Rose (2000) estimates an empirical model of bilateral trade, finding a significant coefficient for a currency union variable of 1.2, suggesting an effect of currency unions on trade of over a 200%. Rose (2000)’s finding did not receive full acceptance and further research was consequently devoted to find reasons of such high effect. This still remains as a major puzzle in the International Economics. Rose and Van Wincoop (2001) hold that there may still be some omitted factors that drives countries to both participate in currency unions and trade more. In this research a gravity equation for trade is estimated controlling by international tourism.Common currency, tourism, gravity equation

On the impact of exchange rate regimes on tourism

The main objective of this paper is to analyze the effect of the exchange rate arrangements on international tourism. The ambiguity of literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. On the basis of a gravity equation we estimate a moderate effect of a currency union on tourism of almost 12%. Furthermore, we estimate a gravity equation for international trade, obtaining that the common currency effect on trade is reduced when tourism is introduced as a regressor. This suggests that tourism flows may contribute to explain the excessive magnitude of the estimated effect of a common currency on trade in this literature. Finally, we analyze the impact of several de facto exchange rate arrangements on tourism, finding that less flexible exchange rates promotes tourism flows.Tourism, Exchange Rate Regime, Common Currency

On the Credibility of a Target Zone: Evidence from the EMS

We provide some new evidence on the credibility of the Exchange Rate Mechanism of the European Monetary System. To that end, we use of several credibility indicators, analysing the complete EMS history. We also compare the prediction qualities of the different indicators, and apply them to the experience of the new ERM linking the currencies of non-euro area Member States to the euro.Exchange rates, European Monetary System.

Transmisión internacional de las rentabilidades y volatilidades entre NYSE e IBEX35

En este trabajo se realiza un estudio de la dinámica a corto plazo seguida por las rentabilidades y las volatilidades condicionadas entre el mercado NYSE y el mercado IBEX35 mediante una aproximación discreta. Para ello, se utiliza una especificación multivariante para la media y varianza condicionada que permiten, mediante procesos de generación de datos del tipo vectorial autorregresivo (VAR) y GARCH multivariante, analizar la respuesta dinámica simulada del sistema y estimar las covarianzas condicionadas de ambos mercados. Los resultados muestran cómo la respuesta de cada mercado a las innovaciones producidas en cada país es casi inmediata, siendo mayor la correspondiente el mercado doméstico que al mercado extranjero, y cómo la covarianza condicionada es variable en el tiempo en ambos mercados

Colloidal Synthesis of Gold Semishells

This work describes a novel and scalable colloid chemistry strategy to fabricate gold semishells based on the selective growth of gold on Janus silica particles (500 nm in diameter) partly functionalized with amino groups. The modulation of the geometry of the Janus silica particles allows us to tune the final morphology of the gold semishells. This method also provides a route to fabricating hollow gold semishells through etching of the silica cores with hydrofluoric acid. The optical properties were characterized by visible near-infrared (vis-NIR) spectroscopy and compared with simulations performed using the boundary element method (BEM). These revealed that the main optical features are located beyond the NIR region because of the large core size

Prediction of Subjective Refraction From Anterior Corneal Surface, Eye Lengths, and Age Using Machine Learning Algorithms

Purpose: To develop a machine learning regression model of subjective refractive prescription from minimum ocular biometry and corneal topography features. Methods: Anterior corneal surface parameters (Zernike coefficients and keratometry), axial length, anterior chamber depth, and age were posed as features to predict subjective refractions. Measurements from 355 eyes were split into training (75%) and test (25%) sets. Different machine learning regression algorithms were trained by 10-fold cross-validation, optimized, and tested. A neighborhood component analysis provided features’ normalized weights in predictions. Results: Gaussian process regression algorithms provided the best models with mean absolute errors of around 1.00 diopters (D) in the spherical component and 0.15 D in the astigmatic components. Conclusions: The normalized weights showed that subjective refraction can be predicted by only keratometry, age, and axial length. Increasing the topographic description detail of the anterior corneal surface implied by a high-order Zernike decomposition versus adjustment to a spherocylindrical surface is not reflected as improved subjective refraction prediction, which is poor, mainly in the spherical component. However, the highest achievable accuracy differs by only 0.75 D from that of other works with a more exhaustive eye refractive elements description. Although the chosen parameters may have not been the most efficient, applying machine learning and big data to predict subjective refraction can be risky and impractical when evaluating a particular subject at statistical extremes. Translational Relevance: This work evaluates subjective refraction prediction by machine learning from the anterior corneal surface and ocular biometry. It shows the minimum biometric information required and the highest achievable accuracy.Objetivo: El desarrollo de un modelo de regresión de aprendizaje automático prescripción refractiva subjetiva a partir de las características mínimas de la biometría ocular y la superficie corneal. Métodos: Los parámetros de la superficie corneal anterior (coeficientes de Zernike y queratometría), además de longitudes axiales y de cámara anterior, edades y las refracciones subjetivas no ciclopléjicas de 355 ojos se dividieron en un conjunto de entrenamiento (75%) y otro de test (25%) y se entrenaron diferentes algoritmos de regresión de aprendizaje automático mediante validación cruzada 10 veces, se optimizaron y se probaron sobre el conjunto test. Resultados: Los algoritmos de regresión del proceso gaussiano proporcionaron los mejores modelos con un error absoluto medio fue de alrededor de 1.00 D en el componente esférico y de 0.25 D en los componentes astigmáticos. Conclusiones: Los pesos normalizados mostraron que la refracción subjetiva puede predecirse utilizando únicamente la queratometría, la edad y la longitud axial como características. El aumento del detalle de la descripción topográfica de la superficie corneal anterior que supone una descomposición de Zernike de alto orden frente al ajuste a una superficie esferocilíndrica realizado por queratometría no se refleja en una mejora de la predicción de la refracción subjetiva, que es pobre, en cualquier caso, principalmente en el componente esférico. Sin embargo, la máxima precisión alcanzada difiere en sólo 0,75 D de la de otros trabajos con una descripción más exhaustiva de los elementos refractivos del ojo. De todos modos, el aprendizaje automático y los datos masivos aplicados a la predicción de la refracción subjetiva pueden ser arriesgados y poco prácticos cuando se evalúa a un sujeto concreto en los extremos estadísticos, aunque los parámetros elegidos puedan no haber sido los más ineficaces. Relevancia Traslativa: El trabajo evalúa la predicción de la refracción subjetiva mediante aprendizaje automático a partir de la superficie corneal anterior y la biometría ocular, mostrando la mínima información biométrica requerida y la máxima precisión alcanzable