Predicting swings in exchange rates with macro fundamentals

This paper investigates fundamentals-based exchange rate predictability from a different perspective. We focus on predicting currency swings (major trends in depreciation or appreciation) rather than on quantitative changes of exchange rates. Having used a nonparametric approach to identify swings in exchange rates, we examine the links between fundamentals and swings in exchange rates using both in-sample and out-of-sample forecasting tests. We use data from 12 developed countries, and our empirical evidence suggests that the uncovered interest parity fundamentals and Taylor rule model with interest rate smoothing are strong predictors of exchange rate swings.exchange rate swings, fundamentals

Bernanke Was Right: Currency Manipulation Policy in Emerging Foreign Exchange Markets

This paper examines the currency manipulation policy in the foreign exchange markets of thirteen emerging countries using a structural vector autoregressive (SVAR) framework to link the dynamics of real exchange rates and foreign reserves. It is found that for Korea, Singapore, and Taiwan, exchange rate shocks are the main source of fluctuations in foreign reserves over all time horizons. Empirical evidence suggests that these countries intervene substantially in the foreign exchange markets in order to promote export competitiveness.Official Intervention, Foreign Reserves

Does Monetary Policy Have Asymmetric Effects on Stock Returns?

This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of the stance of monetary policy are adopted. Empirical evidence from monthly returns on the standard & Poor 500 (S&P 500) price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it has been shown that contractionary monetary policy leads to a higher probability of switching to a recession in stock markets.Monetary Policy, Stock Returns, Markov-switching

On-line Search History-assisted Restart Strategy for Covariance Matrix Adaptation Evolution Strategy

Restart strategy helps the covariance matrix adaptation evolution strategy (CMA-ES) to increase the probability of finding the global optimum in optimization, while a single run CMA-ES is easy to be trapped in local optima. In this paper, the continuous non-revisiting genetic algorithm (cNrGA) is used to help CMA-ES to achieve multiple restarts from different sub-regions of the search space. The CMA-ES with on-line search history-assisted restart strategy (HR-CMA-ES) is proposed. The entire on-line search history of cNrGA is stored in a binary space partitioning (BSP) tree, which is effective for performing local search. The frequently sampled sub-region is reflected by a deep position in the BSP tree. When leaf nodes are located deeper than a threshold, the corresponding sub-region is considered a region of interest (ROI). In HR-CMA-ES, cNrGA is responsible for global exploration and suggesting ROI for CMA-ES to perform an exploitation within or around the ROI. CMA-ES restarts independently in each suggested ROI. The non-revisiting mechanism of cNrGA avoids to suggest the same ROI for a second time. Experimental results on the CEC 2013 and 2017 benchmark suites show that HR-CMA-ES performs better than both CMA-ES and cNrGA. A positive synergy is observed by the memetic cooperation of the two algorithms.Comment: 8 pages, 9 figure

Duality and Axionic Weak Gravity

The axionic weak gravity conjecture predicts the existence of instantons whose actions are less than their charges in appropriate units. We show that the conjecture is satisfied for the axion-dilaton-gravity system if we assume duality constraints on the higher derivative corrections in addition to positivity bounds which follow from unitarity, analyticity, and locality of UV scattering amplitudes. On the other hand, the conjecture does not follow if we assume the positivity bounds only. This presents an example where derivation of the weak gravity conjecture requires more detailed UV information than the consistency of scattering amplitudes.Comment: 17 pages, 4 figures, version published in PRD: comments added and typos fixed, generalised arguments in section 2.2, results unchange

Exploring the role of mechanical cues in T cell function

T lymphocytes are constantly subjected to mechanical cues from their microenvironment. The past few decades have seen a significant development in scientific research concerning the crucial role of biophysical forces in governing various T lymphocyte-mediated processes. Mounting research have confirmed that T lymphocyte activation is critically dependent on its capacity to sense and respond to mechanical forces which are generated during its interaction with cellular partners and with its microenvironment. Despite extensive research on the role of mechanical forces on T lymphocyte biology, no dedicated T lymphocyte-intrinsic mechanosensory module was identified until recently. In the following thesis, I have described the role of Piezo1 mechanosensors in T lymphocyte function, particularly in the contexts of T lymphocyte activation and migration. Upon interaction with cognate antigen presenting cells (APCs), T lymphocytes experience significant mechanical force which activates Piezo1 channels. Activated Piezo1 allows influx of extracellular calcium which triggers calpain-dependent polymerisation and remodelling of the actin cytoskeletal scaffold. This event is crucial for formation and stabilisation of the T cell-APC immunological synapse, thereby facilitating optimal T lymphocyte activation. Moreover, Piezo1-mediated mechanotransduction also plays a critical role in T lymphocyte chemotactic migration. Downregulation of Piezo1 resulted in dramatically impaired motility of T lymphocytes in response to stimulus. Thus, we have identified a previously unknown pathway of Piezo1- mediated mechanoregulation of T lymphocyte function