Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations

Survey data provide a measure of exchange rate expectations that is superior to the commonly-used forward exchange rate in the respect that it does notinclude a risk premium. We use survey data and the technique of bootstrapping to test a number of propositions of interest. We are able to reject static or "randomwalk" expectations for both nominal and real exchange rates. Expected depreciation is large in magnitude. There is even statistically significant unconditional bias: during the 1981-85 "strong dollar period" the market persistently over estimated depreciation of the dollar. Expected depreciation is also variable, contrary to some recent claims. The expected future spot rate can be viewed as inelastic with respect to the contemporaneous spot rate, in that it also puts weight on other variables: the lagged expected spot rate (as in adaptive expectations), the lagged actual spot rate (distributed lag expectations), or a long-run equilibrium rate (regressive expectations). In one irnportant case, the relatively low weight that investors' expectations put on the contemporaneous spot rate constitutes a statistical rejection of rational expectations: we find that prediction errors are correlated with expected depreciation, so that investors would do better if they always reduced fractionally the magnitude of expected depreciation. This is the same result found by Bilson, Fama, and many others, except that it can no longer be attributed to a risk premium.

Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data

Three surveys of exchange rate expectations allow us to measure directly the expected rates of return on yen versus dollars. Expectations of yen appreciation against the dollar have been (1) consistently large, (2) variable, and (3) greater than the forward premium, implying that investors were willing to accept a lower expected return on dollar assets. At short-term horizons expectations exhibit bandwagon effects, while at longer-term horizons they show the reverse. A 10 percent yen appreciation generates the expectation of a further appreciation of 2.4 percent over the following week, for example, but a depreciation of 3.4 percent over the following year. At any horizon, investors would do better to reduce the absolute magnitude of expected depreciation. The true spot rate process behaves more like a random walk.

Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations

Survey data on exchange rate expectations are used to divide the forward discount into expected depreciation and a risk premium. Our starting point is the common test oh whether the forward discount is an unbiased predictor of future changes in the spot rate. We use the surveys to decompose the bias into a protion attributable to the risk premium and a portion attributable to systematic prediction errors. The survey data suggest that our findings of both unconditional and conditional bias are overwhelmingly due to systematic expectational errors. Regressions of future changes in the spot rate against the forward discount do not yield insights into the sign, size or variability of the risk premium as is usually thought.We test directly the hypothesis of perfect substitutability, and find support for it on that changes in the forward discount reflect, one for one , changes in expected depreciation. The "random-walk" view that expected depreciation is zero os thus rejected; expected depreciation is even significantly more variable than the risk premium. In fact, investors would do better if they always reduced fractionally the magnitude of expected depreciation. This is the same result that Bilson and many others have found with forward market data, but now it cannot be attributed to a risk premium.

Conditional Mean-Variance Efficiency of the U.S. Stock Market

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH process. The data estimate reasonably the coefficient of relative risk aversion, though are unable to reject investor risk neutrality. We reject the restrictions implied by MVE, although changing conditional variances improve statistically upon measured market efficiency. We find that unrestricted asset-share and ARCH models help forecast excess returns. Once MVE is imposed, however, this forecasting ability disappears.

Event-by-event analysis : possible testing ground for the nuclear matter equation of state

Intranuclear cascade calculations and fluid dynamical predictions of the kinetic energy flow are compared for collisions of 40Ca + 40Ca and 238U + 238U. The aspect ratio, R13, as obtained from the global analysis, is independent of the bombarding energy for the intranuclear cascade model. Fluid dynamics, on the other hand, predicts a dramatic increase of R13 at medium energies Elab≲200 MeV/nucleon. In fact, R13(Elab) directly reflects the incompressibility of the nuclear matter and can be used to extract the nuclear equation of stat at high densities. Distortions of the flow tensor due to few nucleon scattering are analyzed. Possible procedures to remove this background from experimental data are discussed

The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with most tests of MVE. we can put an explicit interpretation on the alternative hypothesis -- a general linear Tobin portfolio choice model. We reject the restrictions implied by MVE.

Implementation and performance of SIBYLS: a dual endstation small-angle X-ray scattering and macromolecular crystallography beamline at the Advanced Light Source.

The SIBYLS beamline (12.3.1) of the Advanced Light Source at Lawrence Berkeley National Laboratory, supported by the US Department of Energy and the National Institutes of Health, is optimized for both small-angle X-ray scattering (SAXS) and macromolecular crystallography (MX), making it unique among the world's mostly SAXS or MX dedicated beamlines. Since SIBYLS was commissioned, assessments of the limitations and advantages of a combined SAXS and MX beamline have suggested new strategies for integration and optimal data collection methods and have led to additional hardware and software enhancements. Features described include a dual mode monochromator [containing both Si(111) crystals and Mo/B(4)C multilayer elements], rapid beamline optics conversion between SAXS and MX modes, active beam stabilization, sample-loading robotics, and mail-in and remote data collection. These features allow users to gain valuable insights from both dynamic solution scattering and high-resolution atomic diffraction experiments performed at a single synchrotron beamline. Key practical issues considered for data collection and analysis include radiation damage, structural ensembles, alternative conformers and flexibility. SIBYLS develops and applies efficient combined MX and SAXS methods that deliver high-impact results by providing robust cost-effective routes to connect structures to biology and by performing experiments that aid beamline designs for next generation light sources

Comparison of nuclear transport models with 800A-MeV La + La data

Nuclear transport models including density- and momentum-dependent mean-field effects are compared to intranuclear-cascade models and tested on recent data on inclusive p-like cross sections for 800A-MeV La+La. We find a remarkable agreement between most model calculations but a systematic disagreement with the measured yield at 20°, possibly indicating a need for modification of nuclear transport properties at high densities

Inclusive neutron cross-sections at forward angles from Nb Nb and Au Au collisions at 800-MeV/nucleon

Inclusive neutron spectra were measured at 0°, 4°, 8°, 15°, 30°, and 42° from Nb-Nb and Au-Au collisions at 800 MeV/nucleon. A peak that originates from neutron evaporation from the projectile appears in the spectra at angles out to 8°. The shapes and magnitudes of the spectra are compared with those calculated from models of nucleus-nucleus collisions. The differential cross sections for Au-Au collisions are about four times those for Nb-Nb collisions. The predictions of the Vlasov-Uehling-Uhlenbeck (VUU) and QMD theories agree with the angular distributions of the differential cross sections except at small angles; the VUU prediction overestimates the angular distributions from a few degrees to about 20°, whereas the QMD prediction underestimates the angular distributions below 8°. The Firestreak model overestimates the angular distribution for Nb-Nb collisions and underestimates it for Au-Au collisions. Also, the VUU and QMD models agree with the measured double-differential cross sections in more angular and energy regions than the Firestreak and intranuclear cascade models; however, none of the models can account for the peaks at small angles (θ≤15°)