Pricing Currency Risk: Facts and Puzzles from Currency Boards

Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during crisis times. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors, related to devaluation expectations and risk perceptions.

Pricing currency risk : facts and puzzles from currency boards

The authors investigate the patterns and determinants of the currency risk premium in two currency boards-Argentina and Hong Kong. Despite the presumed rigidity of currency boards, currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during times of crisis. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors related to devaluation expectations and risk perceptions.Environmental Economics&Policies,Fiscal&Monetary Policy,Economic Theory&Research,Banks&Banking Reform,Payment Systems&Infrastructure,Environmental Economics&Policies,Fiscal&Monetary Policy,Economic Theory&Research,Macroeconomic Management,Banks&Banking Reform

Strongly Variable z=1.48 FeII and MgII Absorption in the Spectra of z=4.05 GRB 060206

We report on the discovery of strongly variable FeII and MgII absorption lines seen at z=1.48 in the spectra of the z=4.05 GRB 060206 obtained between 4.13 to 7.63 hours (observer frame) after the burst. In particular, the FeII line equivalent width (EW) decayed rapidly from 1.72+-0.25 AA to 0.28+-0.21 AA, only to increase to 0.96+-0.21 AA in a later date spectrum. The MgII doublet shows even more complicated evolution: the weaker line of the doublet drops from 2.05+-0.25 AA to 0.92+-0.32 AA, but then more than doubles to 2.47+-0.41 AA in later data. The ratio of the EWs for the MgII doublet is also variable, being closer to 1:1 (saturated regime) when the lines are stronger and becoming closer to 2:1 (unsaturated regime) when the lines are weaker, consistent with expectations based on atomic physics. We have investigated and rejected the possibility of any instrumental or atmospheric effects causing the observed strong variations. Our discovery of clearly variable intervening FeII and MgII lines lends very strong support to their scenario, in which the characteristic size of intervening patches of MgII ``clouds'' is comparable to the GRB beam size, i.e, about 10^16 cm. We discuss various implications of this discovery, including the nature of the MgII absorbers, the physics of GRBs, and measurements of chemical abundances from GRB and quasar absorption lines.Comment: 14 pages, 3 figures, 1 table; ApJ Letters, accepte

A new synthetic library of the Near-Infrared CaII triplet indices. I.Index Definition, Calibration and Relations with stellar atmospheric parameters

Adopting the SPECTRUM package, we have synthesized a set of 2,890 Near-InfraRed (NIR) synthetic spectra with a resolution and wavelength sampling similar to the SDSS and the forthcoming LAMOST spectra. During the synthesis, we have applied the `New grids of ATLAS9 Model Atmosphere' to provide a grid of local thermodynamic equilibrium (LTE) model atmospheres. This synthetic stellar library is composed of 1,350 solor scaled abundance (SSA) and 1,530 non-solar scaled abundance (NSSA) spectra, grounding on which we have defined a new set of NIR CaII triplet indices and an index CaT as the sum of the three. Then, these defined indices have been automatically measured on the synthetic spectra and calibrated with the indices computed on the observational spectra from the INDO-U.S. stellar library. In order to check the effect of alpha-element enhancement on the so-defined CaII indices, we have compared indices measured on the SSA spectra with those on the NSSA ones at the same terns of stellar parameters (Teff, log g, [Fe/H]), and luckily, little influences of alpha-element enhancement has been found. Furthermore, comparisons of synthetic indices with the observational ones from the INDO-U.S. spectra, the SDSS-DR7, and DR8 spectroscopic survey have been presented respectively for dwarfs and giants in detail. Finally, a new synthetic library of NIR CaII indices has been founded for deeper studies on the NIR waveband of stellar spectra, and is particularly appropriate for the SDSS and the forthcoming LAMOST stellar spectra. Later on, we have regressed the strength of the CaT index as a function of stellar parameters for both dwarfs and giants after a series of experimental investigations into relations of the indices with stellar parameters. Ultimately, a supplemental experimentation has been carried out to show that spectral noises do have effects on our set of NIR CaII indices.Comment: 37 pages, 24 figures, and accepted for publication in A

MIUSCAT: extended MILES spectral coverage. I. Stellar populations synthesis models

We extend the spectral range of our stellar population synthesis models based on the MILES and CaT empirical stellar spectral libraries. For this purpose we combine these two libraries with the Indo-U.S. to construct composite stellar spectra to feed our models. The spectral energy distributions (SEDs) computed with these models and the originally published models are combined to construct composite SEDs for single-age, single-metallicity stellar populations (SSPs) covering the range 3465 - 9469\AA at moderately high, and uniform, resolution (FWHM=2.51\AA). The colours derived from these SSP SEDs provide good fits to Galactic globular cluster data. We find that the colours involving redder filters are very sensitive to the IMF, as well as a number of features and molecular bands throughout the spectra. To illustrate the potential use of these models we focus on the NaI doublet at 8200 \AA and with the aid of the newly synthesized SSP model SEDs we define a new IMF-sensitive index that is based on this feature, which overcomes various limitations from previous index definitions for low velocity dispersion stellar systems. We propose an index-index diagram based on this feature and the neighboring CaII triplet at 8600 \AA, to constrain the IMF if the age and [Na/Fe] abundance are known. Finally we also show a survey-oriented spectrophotometric application which evidences the accurate flux calibration of these models for carrying out reliable spectral fitting techniques. These models are available through our user-friendly website.Comment: 16 pages, 17 figures, 2 tables; MNRAS in press. Model predictions available at our website: http://miles.iac.e

In and out star formation in z~1.5 quiescent galaxies from rest-frame UV spectroscopy and the far-infrared

We present a sample of 34 spectroscopically confirmed BzK-selected ~1e11 Msun quiescent galaxies (pBzK) in the COSMOS field. The targets were initially observed with VIMOS on the VLT to facilitate the calibration of the photometric redshifts of massive galaxies at z >~ 1.5. Here we describe the reduction and analysis of the data, and the spectrophotometric properties of these pBzK galaxies. In particular, using a spatially resolved median 2D spectrum, we find that the fraction of stellar populations with ages <1 Gyr is at least 3 times higher in the outer regions of the pBzK galaxies than in their cores. This results in a mild age gradient of ~<0.4 Gyr over ~6 kpc and suggests either the occurrence of widespread rejuvenation episodes or that inside-out quenching played a role in the passivization of this galaxy population. We also report on low-level star formation rates derived from the [OII]3727A emission line, with SFR_OII = 3.7-4.5 Msun/yr. This estimate is confirmed by an independent measurement on a separate sample of similarly-selected quiescent galaxies in the COSMOS field, using stacked far-infrared data (SFR_FIR = 2-4 Msun/yr). This second, photometric sample also displays significant excess at 1.4 GHz, suggestive of the presence of radio-mode AGN activity