Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?

The forward premium anomaly refers to the situation where the slope coefficient in a regression of spot returns on the lagged interest rate differential is negative and significantly different to unity. This paper explores some of the asymmetries and non linearities present in the anomaly and the apparent rejection of Uncovered Interest Parity (UIP). The methodology is motivated by some recent economic theory literature on transactions costs, the limits to speculation and hysteresis. The paper estimates Logistic Smooth Transition Dynamic Regression (LSTR) models with the transition variable being the lagged forward premium for a range of currencies. An inner regime with foreign interest rates exceeding US rates is found to be consistent with the anomaly. While a third and outer regime with US interest rates exceeding foreign rates indicates convergence towards UIP. Detailed Monte Carlo experiments support the finding that an LSTR data generating process can indeed induce the forward premium anomaly. While the methodology appears promising in terms of uncovering important non linear and asymmetric behavior in the relationship, it should be noted that parameter estimation uncertainty indicates quite wide confidence intervals on the estimated transition functions. Hence, the accurate prediction of states, or regimes where UIP has a high probability of holding, is quite hard.Forward premium anomaly, Uncovered Interest Parity, Non-linearity, LSTR models

Deflated BiCGStab for linear equations in QCD problems

The large systems of complex linear equations that are generated in QCD problems often have multiple right-hand sides (for multiple sources) and multiple shifts (for multiple masses). Deflated GMRES methods have previously been developed for solving multiple right-hand sides. Eigenvectors are generated during solution of the first right-hand side and used to speed up convergence for the other right-hand sides. Here we discuss deflating non-restarted methods such as BiCGStab. For effective deflation, both left and right eigenvectors are needed. Fortunately, with the Wilson matrix, left eigenvectors can be derived from the right eigenvectors. We demonstrate for difficult problems with kappa near kappa_c that deflating eigenvalues can significantly improve BiCGStab. We also will look at improving solution of twisted mass problems with multiple shifts. Projecting over previous solutions is an easy way to reduce the work needed.Comment: 7 pages, 4 figures, presented at the XXV International Symposium on Lattice Field Theory, 30 July - 4 August 2007, Regensburg, German

The Scalar Sector and the Eta -> 3 Pi Problem

First, recent work on light scalar mesons, which is of possible interest in connection with the strong coupling region of QCD is briefly discussed. Then a very short highlighting of a paper concerned with an application to the eta -> 3 pi problem is presented.Comment: 7 pages LaTeX, 4 eps figures, talk at SCGT02 conference at Nagoy

Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes

This paper investigates the relationship between exchange rate pass-through and exchange rate appreciations/depreciations and inflation by estimating nonlinear time series models. Motivated by theoretical and empirical results in the literature, the paper proposes new econometric models that can characterize nonlinear and asymmetric dynamics between import prices and exchange rate changes in a parsimonious fashion. Findings show the presence of complete and incomplete pass-through regimes depending upon the magnitude of appreciations of a currency and inflation rates both in the short-run and in the long-run. Results also reveal threshold effects and asymmetry in the pass-through relationship over appreciations/depreciations as well as inflationary and disinflationary periods. Findings have important macroeconomic policy implications.Conditional CAPM

Parton Distribution Functions with Twisted Mass Fermions

We present a first Wilson twisted mass fermion calculation of the matrix element between pion states of the twist-2 operator, which is related to the the lowest moment of the valence quark parton distribution function in a pion. Using Wilson twisted mass fermions in the quenched approximation we demonstrate that can be computed at small pseudoscalar meson masses down to values of order 250 MeV. We investigate the scaling behaviour of this physically important quantity by applying two definitions of the critical mass and observe a scaling compatible with the expected O(a^2) behaviour in both cases. A combined continuum extrapolation allows to obtain reliable results for at very small pseudoscalar meson masses, which previously could not be explored by lattice QCD simulations.Comment: 15 pages, 3 figure

Parameter identification of induction motor

Numerous recent techniques of induction motor parameters calculating are hard to be done and expensive. Accurate calculations of the parameters of these motors would allow savings in different prospective like energy and cost. The major problem in calculating induction motor parameters is that it\u27s hard to measure output power precisely and without harm during the operation of the machines. It will be better to find other way to find out the output power with certain amount of inputs like input voltage and current.;Particle swarm optimization (PSO) and genetic algorithms (GAs) are often used to estimate quantities from limited information. They belong to a class of weak search procedures, that is, they do not provide the best solution, but one close to it. It is a randomized process in which follows the principles of evolution.;In this thesis genetic algorithm and partial swarm optimization are used to identify induction motor parameters. The inputs used to estimate electrical and mechanical parameters are measured stator voltages and currents. The estimated parameters compare well with the actual parameters. Data Acquisition (DAQ) is used to obtain these variable with the help of LABVIEW software. The induction motor used is a 7.5-hp with a constant frequency and in free acceleration. IEEE standard test of 7.5-hp induction motor is used to compare with performance of the simulated and measured data obtained. According to the output results, method of optimizing induction machine can be used in different models of induction motor