7,580 research outputs found
Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition
Real Interest Parity (RIP) has been considered as the necessary rule to justify the exchange rates regime and the extent of financial integration among countries. This study of RIP condition is particularly important for the Asia Pacific economies that have undergone a series of currency crisis and financial turmoil. We incorporate three major analyses that cover the post liberalization period prior to the Asia financial crisis (1984-1997). First, we investigate the dynamic linkages of real interest rates among ASEAN-5 economies. Second, we assess the behavior of real interest differentials of Japan-ASEAN. Third, we examine the additional transmission channels of real interest rates from the US, Hong Kong, South Korea and Taiwan. Our findings suggest that there have been substantial integration among the ASEAN-5 and the East Asian with both the US and Japanese capital markets. However, the US-dominant hypothesis is more recognized. In addition, most countries are found vulnerable to external shocks and there is less monetary autonomy given that Asian economies have converged speedy to their equilibrium rates following the impulse from the US and the Japanese real interest rates. To great extent, our empirical evidence supports the recent proposal of common currency area as an alternative regime, not only to fight against systemic failures or monetary instability, but also to avoid the macroeconomic trilemma.Real interest parity, mean reversion, half-life, financial integration, common currency
International Parities among China and Her Major Trading Partners in Asia Pacific
As China’s role in world economy has steadily grown, her importance to the international trading and finance has also increased apace. A joint investigation of the international parity conditions for China and her thirteen major trading partners in Asia Pacific is thus conducted. Monthly observations and sub-samples within 1986-2007 are being considered to accentuate the effects of institutional changes and financial crisis. Advanced econometric procedures including the heterogeneous panel and endogenous break tests for unit root and correction factor model for half-life estimation are utilized in the analyses. Our findings reveal that first, endogenous and exponential breaks are confirmed for the real exchange and real interest differential series, which mostly occur in 1988, 1993/94 and 1997/98. Second, RIP holds better than PPP, suggesting the greater financial integration than trade integration among APEC-China. The undervalued exchange rate regime may exert some drawbacks against the PPP theorem. Third, both parities tend to hold better in the post-liberalization and post-crisis era, attributed not only to the financial liberalization process among APEC economies, but also to the Chinese trade policy and the regional commitment for the ASEAN+3+2+1 cooperation. Fourth, APEC members have has improved their ability to absorb external shocks as indicated by the shortened half-life reported overtime, especially when the post-crisis era is included.PPP, RIP, Non-linear Endogenous Breaks, Panel Unit Root Tests, Economic Integration
A sequential Monte Carlo approach to computing tail probabilities in stochastic models
Sequential Monte Carlo methods which involve sequential importance sampling
and resampling are shown to provide a versatile approach to computing
probabilities of rare events. By making use of martingale representations of
the sequential Monte Carlo estimators, we show how resampling weights can be
chosen to yield logarithmically efficient Monte Carlo estimates of large
deviation probabilities for multidimensional Markov random walks.Comment: Published in at http://dx.doi.org/10.1214/10-AAP758 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
Large deviation theory has provided important clues for the choice of
importance sampling measures for Monte Carlo evaluation of exceedance
probabilities. However, Glasserman and Wang [Ann. Appl. Probab. 7 (1997)
731--746] have given examples in which importance sampling measures that are
consistent with large deviations can perform much worse than direct Monte
Carlo. We address this problem by using certain mixtures of exponentially
twisted measures for importance sampling. Their asymptotic optimality is
established by using a new class of likelihood ratio martingales and renewal
theory.Comment: Published at http://dx.doi.org/10.1214/105051606000000664 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Optimization of cholesterol removal, growth and fermentation patterns of Lactobacillus acidophilus ATCC 4962 in the presence of mannitol, fructo-oligosaccharide and inulin: a response surface methodology approach
Aims: To optimize cholesterol removal by Lactobacillus acidophilus ATCC 4962 in the presence of prebiotics, and study the growth and fermentation patterns of the prebiotics. Methods and Results: Lactobacillus acidophilus ATCC 4962 was screened in the presence of six prebiotics, namely sorbitol, mannitol, maltodextrin, hi-amylose maize, fructo-oligosaccharide (FOS) and inulin in order to determine the best combination for highest level of cholesterol removal. The first-order model showed that the combination of inoculum size, mannitol, FOS and inulin was best for removal of cholesterol. The second-order polynomial regression model estimated the optimum condition of the factors for cholesterol removal by L. acidophilus ATCC 4962 to be 2.64% w/v inoculum size, 4.13% w/v mannitol, 3.29% w/v FOS and 5.81% w/v inulin. Analyses of growth, mean doubling time and short-chain fatty acid (SCFA) production using quadratic models indicated that cholesterol removal and the production of SCFA were growth associated. Conclusions: Optimum cholesterol removal was obtained from the fermentation of L. acidophilus ATCC 4962 in the presence of mannitol, FOS and inulin. Cholesterol removal and the production of SCFA appeared to be growth associated and highly influenced by the prebiotics. Significance and Impact of the Study: Response surface methodology proved reliable in developing the model, optimizing factors and analysing interaction effects. The results provide better understanding on the interactions between probiotic and prebiotics for the removal of cholesterol
Evaluation of high density polyethylene plastic bag performance towards edge and point stresses using taguchi method
Plastic bag are widely used due to it is low cost and convenience for packaging items. The problem with the strength of the plastic bag tends to tear easily and perforated. This study aims to validate the simulation results of High Density Polyethylene (HDPE) plastic towards HDPE plastic bags manufactured in UTHM and thus to evaluate the performance of plastic bag towards mass, edge and point stresses. The tensile test simulation was conducted using Solidworks 2017 to validate the HDPE plastic material properties by comparing the tensile test performed according to ASTM D882-18. The real life application was conducted to validate the simulation result by comparing plastic film’s displacement with different mass applied. Taguchi Method was used to arrange the edge and point stress test parameter with varied angle, mass, length and distance between the loads. The result showed that the error percentage for all loads was lower than 10.00 % for simulation compared to experimental tensile test. It also showed that error percentage was less than 5.00 % by comparing real life application and simulation results for displacement of plastic film. For mass stress test, the loads with 5.0 kg square base has the highest stress acted on the plastic film’s surface which is 22.399 MPa. For edge stress test, sample D with 1.0 kg, 20 mm of edge’s length and 20 ° of edge’s angle have highest maximum stress and displacement acted on plastic film’s surface which are 34.086 MPa and 84.94 mm respectively. For point stress test, sample G with 1.0 kg, 10 ° of angle and 30 mm of the distance between the point load have highest maximum stress and displacement acted on surface of plastic film which are 50.676 MPa and 63.64 mm accordingly. Both sample D and G were perforated since the maximum stress acted was exceed the tensile strength of HDPE plastic which is 28.4 MPa. The validation of HDPE plastic towards HDPE plastic bag manufactured in UTHM was proven from the result obtained. The plastic bag’s performance towards mass, edge and point stresses was successfully evaluated by using Finite Element Analysis and Taguchi Method
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