The Euro exchange rate market efficiency and the risk premium: an empirical analysis with an ecm model

The purpose of this work is to investigate the efficiency of the current Euro spot and current forward exchange rates. Within the past three decades there have been large movements in the exchange rate markets and often these movements were not related with the changes in the “fundamentals” of the economy. On the other hand, the exchange rate market efficiency implies that, if the market is efficient, there is no remaining ex ante opportunities for making profits through speculation. Hence, testing for efficiency involves the joint hypothesis of a specific risk premium and rationality. We analysed the relationship between spot and forward rates of the Euro against the British pound and the US dollar. For one of the two exchange rates (EU/UK), we reject the hypothesis of efficiency and a further analysis on the presence of a risk premium shows that it is consistent and time varying

Conspiracy Theories and Evidential Self-Insulation

What are conspiracy theories? And what, if anything, is epistemically wrong with them? I offer an account on which conspiracy theories are a unique way of holding a belief in a conspiracy. Specifically, I take conspiracy theories to be self-insulating beliefs in conspiracies. On this view, conspiracy theorists have their conspiratorial beliefs in a way that is immune to revision by counter-evidence. I argue that conspiracy theories are always irrational. Although conspiracy theories involve an expectation to encounter some seemingly disconfirming evidence (allegedly planted by the conspirators), resistance to all counter- evidence cannot be justified on these grounds

CEBAF at Higher Energies

This report summarizes topics in hadron spectroscopy and production which could be addressed at CEBAF with an energy upgrade to $E_\gamma=8$ GeV and beyond. The topics discussed include conventional meson and baryon spectroscopy, spectroscopy of exotica (especially molecules and hybrids), CP and CPT tests using $\phi$ mesons, and new detector and accelerator options.Comment: (A Workshop held at CEBAF, Newport News, Virginia, 14-16 April 1994): 11 pages and 1 figure (available as hard copy from the authors), ORNL/CCIP/94-15.Working Group Report on Hadron Spectroscopy and Productio

Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?

This paper investigates whether monetary policy has asymmetric effects on stock returns of the EUM countries at aggregate levels and, for six industry portfolios in France, Italy, Germany, Belgium and Netherlands respectively. In this work, a different measures of monetary policy innovation is adopted. The empirical results, in line with results from previous studies, indicate that for the EUM stock markets there is statistically significant relationship between policy innovations and stock markets returns. This finding is consistent with the hypothesis that positive monetary policy shock (e.g. contractionary policy) is an event that decrease future cash flow. Moreover, the finding from country size and industry portfolios indicate that monetary policy have larger asymmetric effect in industry portfolios of big countries (Italy, France and Germany) compared to the same industry portfolios of small countries (Netherlands and Belgium). However, the sign of the impact is for both groups the same. The policy implications of the analysis can be summarized as follows: if the ECB follows a contractionary monetary policy then the effect on the stock market returns will be lengthier and larger in bear markets. On the other hand, following the same policy, the effect of the ECB actions on the EMU stock markets returns will be smaller in bull markets. The results suggest that monetary policy is not neutral, at least in the short run and, moreover, that there is some role for anticipated ECB monetary policy to affect the stock market but that this role will also have asymmetric impacts on each single EMU country’s stock market.Monetary Policy, Markov-switching, Stock returns.

Hadronic physics at KLOE

New KLOE results on scalar mesons, $\gamma\gamma$ physics and $\eta$ physics are presented.Comment: 4 pages, 5 postscript figures, contributed to the Proceedings of CIPANP 2009: 10th Conference on the Intersections of Particle and Nuclear Physics, San Diego, USA, 26-31 May, 200

Inflation Persistance and Credibility in Turkey During the Nineties

This study assesses the credibility of disinflation programs in Turkey during the nineties, where several programs of reform took place. We investigate the credibility of these policies building on a previous research made by Agenor and Taylor (1993). The model is based on two assumptions: (i) inflation is a serially correlated process; (ii) the definition of a proxy that is able to measure the degree of credibility of a programme. The empirical results show that there was a sharp loss of credibility at the end of the 1991 and at the beginning of the 1994 and during the Asian crisis. The Program that the Central Bank implemented after the crisis was able to increase the level of credibility of the CBRT policies. Loss of credibility is registered during the end of the 1995, while various political events took place and during the 1997 following the world economic conditions and the outflow of capitals

Efficiency and News in Exchange Rate Market. The Euro/Dollar Case

The aim of the paper is twofold: the first one is to examine the theoretical points that constitute literature on exchange rate market efficiency. We give a quick look to the long run, in which high or low efficiency results from the adjustment velocity of prices and production in goods market. We then go to examine literature conclusions about the short run. The second aim is to test the efficiency for the US dollar against the Euro foreign exchange market with a `news’ exchange rate model using daily data over a period of 19 months. In the model we use, as proxies of ‘news’, variables generated by the residuals from a VAR model. Our results are consistent with the hypothesis that the forward exchange rate is not an unbiased predictor of the future spot rate. That is, we reject the hypothesis of efficiency and we show the importance of the ‘news’ in determining short-run movements in the exchange rate markets. The general conclusion we reach is that the euro dollar exchange rate market, from its birth to august 2000, is not efficient because expectations could not be rational, i.e. operators cannot predict risks coming from stock exchange and from uncertainty on future values of economic variables