A complementary test for ADF test with an application to the exchange rates returns

This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series. Supportive of Ahamada (2004), this study finds that the cumulative sums of squares procedure in Inclán and Tiao (1994) is useful to complement the ADF test. As illustration, the ADF test indicates that there is no unit root in the returns of Japanese yen/US dollar, British pound/ US dollar and Swiss franc/US. However, the complementary test reveals that each of these returns contains heterogeneous variance. To sum, it can be concluded that these exchange rate returns are covariance nonstationary although there is no unit root.cumulative sums of squares; covariance nonstationary; exchange rate returns

Forecasting performance of Logistic STAR exchange rate model: The original and reparameterised versions

Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its symmetrical distribution matches that of the symmetrical exchange rate adjustment behaviour. In contrast, another specification of STAR model, namely the LSTAR (logistic STAR) model is discarded by most researchers in priori in their exchange rate modeling exercises due to its undesired property of being asymmetry. This study is the first of its kind in examining the validity of this hypothesis that the ESTAR exchange rate model is superior to LSTAR exchange rate model on the basis of forecasting accuracy. Based on the experience of the adjustment process of two nominal exchange rates, we find that the hypothesis is merely theoretical since we fail to provide consistent empirical evidence in favour of the null hypothesis. This warrants us that we need not be too pessimistic on the usage of LSTAR model in exchange rate study. In our effort to rekindle the usage of LSTAR model, we further reparameterized the original version into the so-called absolute version, which has symmetrical distribution properties, in accordance with the well-known symmetrical adjustment process of exchange rate. The resulting ALSTAR model has proven to be a more promising model in the sense that it has improved significantly from its original version as well as the ESTAR model, which has thus far been deemed the most appropriate nonlinear exchange rate model.LSTAR; ESTAR; forecasting accuracy; nonlinear; exchange rate

Revisiting Purchasing Power Parity for Central Asian Countries Using Threshold Cointegration Tests

This study finds evidence supportive of the Purchasing Power Parity for Azerbaijan and Kazakhstan using threshold cointegration tests. This finding suggests the existence of an asymmetry relationship between exchange rate and relative prices. The asymmetric relationship may be due to the heavily regulated price and exchange rate systems in these transition economies for the benefits of trade competiveness.Purchasing Power Parity, Asymmetry, Threshold Cointegration; Transition Economies, Central Asia

Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia

The finding of exchange rate–relative price nonlinear cointegration relationship in Malaysia, among others, suggests that nonlinear Purchasing Power Parity (PPP) equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby deducing effective policy actions. Moreover, economists who wish to extend the simple PPP exchange rate model into the more complicated monetary exchange models may do so comfortably, at least in the text of Malaysia. Nonetheless, such attempt should be tailored in a nonlinear way to suit the nonlinear characteristic of exchange rate behaviour

Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia

Using nonlinear unit root tests developed by Kapetanios et al. (2003), we find strong evidence that the Consumer Price Index (CPI) and Wholesale Price Index (WPI) based Malaysian Ringgit – U.S. Dollar (MYR/USD) real exchange rates are nonlinear stationary, implying that MYR/USD nominal exchange rate and relative price are cointegrated regardless of price indices. The results in this study are supportive of Purchasing Power Parity (PPP) and are more robust than previous study, which did not take the nonlinear exchange rate adjustment behavior into consideration. Few principle implications may be drawn from this study. First, nonlinear PPP equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby deducing effective policy actions. Second, the effort of Bank Negara Malaysia (BNM) in managing the Ringgit in certain fluctuation bands has successfully maintained Malaysian’s macroeconomics equilibrium in the sample period of study. Third, economists who wish to extend the simple PPP exchange rate model into the more complicated monetary exchange models may do so comfortably, at least in the text of Malaysia. Nonetheless, such attempt should be tailored in a nonlinear way to suit the nonlinear characteristic of exchange rate behaviour.Exchange rate; Nonlinearity; stationarity; Purchasing Power Parity; Exponential Smooth Transition Autoregressive (ESTAR), Malaysia.

Dual-conditioning of Sludge using Chitosan and Metal Cations

Sludge dewatering is important in sludge management and disposal. In practice, chemical conditioners are often introduced to aid sludge dewatering. This study investigated the simultaneous application of chitosan and metal cations as dual-conditioners to improve sludge dewaterability. The dewatering performance of sludge was evaluated using three common measurements, i.e. capillary suction time, specific resistance to filtration, and moisture content of the filtered sludge cake. The effectiveness of metal cations in sludge conditioning and dewatering was found, in ascending order, to be Na+ < K+ ≈ Mg2+ < Ca2+ < Al3+ < Fe3+. Dual-conditioning using chitosan and metal cations further enhanced dewaterability. Cations may have significant effects on sludge conditioning by neutralization of negative surface charges, bridging of floc components, and the salting out effect, leading to improved dewaterability when used in conjunction with chitosan

Nutrigenomic Analysis of Diet-Gene Interactions on Functional Supplements for Weight Management

Recent advances in molecular biology combined with the wealth of information generated by the Human Genome Project have fostered the emergence of nutrigenomics, a new discipline in the field of nutritional research. Nutrigenomics may provide the strategies for the development of safe and effective dietary interventions against the obesity epidemic. According to the World Health Organization, more than 60% of the global disease burden will be attributed to chronic disorders associated with obesity by 2020. Meanwhile in the US, the prevalence of obesity has doubled in adults and tripled in children during the past three decades. In this regard, a number of natural dietary supplements and micronutrients have been studied for their potential in weight management. Among these supplements, (–)-hydroxycitric acid (HCA), a natural extract isolated from the dried fruit rind of Garcinia cambogia, and the micronutrient niacin-bound chromium(III) (NBC) have been shown to be safe and efficacious for weight loss. Utilizing cDNA microarrays, we demonstrated for the first time that HCA-supplementation altered the expression of genes involved in lipolytic and adipogenic pathways in adipocytes from obese women and up-regulated the expression of serotonin receptor gene in the abdominal fat of rats. Similarly, we showed that NBC-supplementation up-regulated the expression of myogenic genes while suppressed the expression of genes that are highly expressed in brown adipose tissue in diabetic obese mice. The potential biological mechanisms underlying the observed beneficial effects of these supplements as elucidated by the state-of-the-art nutrigenomic technologies will be systematically discussed in this review

The Tale Of The Twin Deficits Nexus: An Alternative Procedure

An insight of the particular story of twin deficits nexus among the four ASEAN economies are presented in this paper. The mixture of empirical results detected in this study spanning from Keynesian proposition (the Philippines), current account targeting in Indonesia and Thailand while a bi-directional causality for Malaysia. Disparities among these countries empirical regularities suggest that the reformation of a policy (or experience) of another country is not applicable in other country. Different scenario in a country brings out different policy tools. Practically the real solution in reforming the appropriate policies lies on the coherent package of budget cut with some complementary policies such like productivity improvement, monetary and exchange rate

Assessing the forecastibility of ESTAR Models: Evidence from ringgit/yen Rate

The purpose of this paper is to contribute to the debate on the relevance of nonlinear forecasts in the financial markets. To that end, this study forecasts the yen-based ringgit by using the Exponential Smooth Transition Autoregressive (ESTAR) model. When formally assessed for forecast accuracy, the results reveal that the ESTAR out-of-sample predictors statistically outperform both the linear AR and random walk models at standard significant levels. The hypothesis of equal forecasting accuracy between ESTAR models and the random walk model is formally rejected based on the Fisher sign test. This paper offers some evidence on the ability to forecast exchange rates using nonlinear methods. Hence, we conclude that linear models are not always the optimal for forecasting exchange rate as there is some forecast accuracy that can be gained by considering the nonlinearity inherent in the exchange rate

On Autoregressive Order Selection Criteria

This study investigates the performance of various commonly applied order selection criteria in selecting order of Autoregressive (AR) process. The most important finding of this study is that Akaike’s information criterion, Schwarz information criterion, Hannan-Quinn criterion, final prediction error and Bayesian information criterion perform considerably well in estimating the true autoregressive order, even in small sample. Besides, there is no significant gain in differentiating these criteria unless one has a considerable large sample size. This study contributes to the empirical literature by providing helpfully guidelines regarding the use of order selection criteria in determining the autoregressive order