Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore

The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the domestic-US interest differentials under the two exchange-rate regimes during the Asian Financial Crisis as well as the pre- and post-crisis periods. Using a bivariate generalized autoregressive conditional heteroscedasticity model, we also investigate whether there is any change in the correlation between the domestic and US interest rates due to the Asian Financial Crisis.

Tests of Functional Form and Heteroscedasticity

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasticity in the presence of data transformation. We present LM statistics based on the expected information matrix. For cases (i) and (ii), this is done assuming the Box-Cox transformation. For case (iii), the test does not depend on whether the functional form is estimated or pre-specified. Small-sample properties of the tests are assessed by Monte Carlo simulation, and comparisons are made with the likelihood ratio test and other versions of LM test. The results show that the expected-information based LM test has the most appropriate finite-sample empirical siFunctional Form, Hetersocedasticity, Lagrange Multiplier Test

Tests of Functional Form and Heteroscedasticity

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasticity in the presence of data transformation. We present LM statistics based on the expected information matrix. For cases (i) and (ii), this is done assuming the Box-Cox transformation. For case (iii), the test does not depend on whether the functional form is estimated or pre-specified. Small-sample properties of the tests are assessed by Monte Carlo simulation, and comparisons are made with the likelihood ratio test and other versions of LM test. The results show that the expected-information based LM test has the most appropriate finite-sample empirical sizeFunctional Form, Heterscedasticity, Lagrange Multiplier Test

A Multivariate GARCH Model with Time-Varying correlations

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the MLE of the varying- correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation

An Optimal and Distributed Method for Voltage Regulation in Power Distribution Systems

This paper addresses the problem of voltage regulation in power distribution networks with deep-penetration of distributed energy resources, e.g., renewable-based generation, and storage-capable loads such as plug-in hybrid electric vehicles. We cast the problem as an optimization program, where the objective is to minimize the losses in the network subject to constraints on bus voltage magnitudes, limits on active and reactive power injections, transmission line thermal limits and losses. We provide sufficient conditions under which the optimization problem can be solved via its convex relaxation. Using data from existing networks, we show that these sufficient conditions are expected to be satisfied by most networks. We also provide an efficient distributed algorithm to solve the problem. The algorithm adheres to a communication topology described by a graph that is the same as the graph that describes the electrical network topology. We illustrate the operation of the algorithm, including its robustness against communication link failures, through several case studies involving 5-, 34-, and 123-bus power distribution systems.Comment: To Appear in IEEE Transaction on Power System

On the basins of attraction of parallel connected buck switching converters

Author name used in this publication: Chi K. TseRefereed conference paper2005-2006 > Academic research: refereed > Refereed conference paperVersion of RecordPublishe

Study of stability regions in parallel connected boost converters

Author name used in this publication: Chi K. TseRefereed conference paper2006-2007 > Academic research: refereed > Refereed conference paperVersion of RecordPublishe

Classification of parallel dc/dc converters part I : circuit theory

Author name used in this publication: Chi K. TseRefereed conference paper2007-2008 > Academic research: refereed > Refereed conference paperVersion of RecordPublishe

Circuit theoretic classification of parallel connected dc-dc converters

Author name used in this publication: Chi K. Tse2006-2007 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe