Abstract: This paper examines long-range dependence or longmemory
of financial time series on the exchange rate data by the
fractional Brownian motion (fBm). The principle of spectral density
function in Section 2 is used to find the range of Hurst parameter (H)
of the fBm. If 0< H
Abstract: A Novel fuzzy neural network combining with support vector learning mechanism called support-vector-based fuzzy neural networks (SVBFNN) is proposed. The SVBFNN combine the capability of minimizing the empirical risk (training error) and expected risk (testing error) of support vector learning in high dimensional data spaces and the efficient human-like reasoning of FNN.
Abstract: In this work, the autoregressive vectors are used to
know dynamics of the Agricultural export and import, and the real
effective exchange rate (REER). In order to analyze the interactions,
the impulse- response function is used in decomposition of variance,
causality of Granger as well as the methodology of Johansen to know
the relations co integration. The REER causes agricultural export and
import in the sense of Granger. The influence displays the
innovations of the REER on the agricultural export and import is not
very great and the duration of the effects is short. It displays that
REER has an immediate positive effect, after the tenth year it
displays smooth results on the agricultural export. Evidence of a
vector exists co integration, In short run, REER has smaller effects
on export and import, compared to the long-run effects.
Abstract: Tourism industry is an important sector in Malaysia economy and this motivates the examination of long-run relationships between tourist arrivals from three selected European countries in Malaysia and four possible determinants; relative prices, exchange rates, transportation cost and relative prices of substitute destination. The study utilizes data from January 1999 to September 2008 and employs standard econometric techniques that include unit root test and cointegration test. The estimated demand model indicates that depreciation of local currency and increases in prices at substitute destination have positive impact on tourist arrivals while increase in transportation cost has negative impact on tourist arrivals. In addition, the model suggests that higher rate of increase in local prices relative to prices at tourist country of origin may not deter tourists from coming to Malaysia
Abstract: This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently exhibited a bi-directional causal relationship between any two of three indicators. Unlike Pan et al. (2007) and Phylaktis and Ravazzolo (2005), we found that such cointegration is influenced by three characteristics: capital control; flexibility in foreign exchange rates; and the ratio of trade to GDP. These characteristics are the result of liberalization in each Asian country. This implies that liberalization policies are effective on improving the cointegration between any two of financial markets and current account for ten Asian countries.
Abstract: The main aim of this paper is to develop and calibrate
an econometric model for modeling prices of long term electricity
futures contracts. The calibration of our model is performed on data
from EEX AG allowing us to capture the specific features of German
electricity market. The data sample contains several structural breaks
which have to be taken into account for modeling. We model the data
with an ARIMAX model which reveals high correlation between the
price of electricity futures contracts and prices of LT futures
contracts of fuels (namely coal, natural gas and crude oil). Besides
this, also a share price index of representative electricity companies
traded on Xetra, spread between 10Y and 1Y German bonds and
exchange rate between EUR and USD appeared to have significant
explanatory power over these futures contracts on EEX.
Abstract: Recognizing behavioral patterns of financial markets
is essential for traders. Japanese candlestick chart is a common tool to
visualize and analyze such patterns in an economic time series. Since
the world was introduced to Japanese candlestick charting, traders
saw how combining this tool with intelligent technical approaches
creates a powerful formula for the savvy investors.
This paper propose a generalization to box counting method of
Grassberger-Procaccia, which is based on computing the correlation
dimension of Japanese candlesticks instead commonly used 'close'
points. The results of this method applied on several foreign
exchange rates vs. IRR (Iranian Rial). Satisfactorily show lower
chaotic dimension of Japanese candlesticks series than regular
Grassberger-Procaccia method applied merely on close points of
these same candles. This means there is some valuable information
inside candlesticks.
Abstract: The focus of this paper is to construct daily time series
exchange rate forecast models of Samoan Tala/USD and Tala/AUD
during the year 2008 to 2012 with neural network The performance
of the models was measured by using varies error functions such as
Root Square mean error (RSME), Mean absolute error (MAE), and
Mean absolute percentage error (MAPE). Our empirical findings
suggest that AR (1) model is an effective tool to forecast the
Tala/USD and Tala/AUD.
Abstract: Appropriate ventilation in a classroom is helpful for
enhancing air exchange rate and student concentration. This study
focuses on the effects of fenestration in a four-story school building by
performing numerical simulation of a building when considering
indoor and outdoor environments simultaneously. The wind profile
function embedded in PHOENICS code was set as the inlet boundary
condition in a suburban environment. Sixteen fenestration
combinations were compared in a classroom containing thirty seats.
This study evaluates mean age of air (AGE) and airflow pattern of a
classroom on different floors. Considering both wind profile and
fenestration effects, the airflow on higher floors is channeled toward
the area near ceiling in a room and causes older mean age of air in the
breathing zone. The results in this study serve as a useful guide for
enhancing natural ventilation in a typical school building.
Abstract: This study investigates the relationship between 10
year bond value, Yen/U.S dollar exchange rate, non-farm payrolls (all
employs) and crude oil to U.S. Dow Jones Sustainability Index. A
GARCH model is used to test these relationships for the period
January 1st 1999 to January 31st 2008 using monthly data. Results
show that an increase of the 10 year bond and non farm payrolls (all
employs) lead to an increase of the D.J.S.I returns. On the contrary
the volatility of the Yen/U.S dollar exchange rates as well as the
increase of crude oil returns has negative effects on the U.S D.J.S.I
returns. This study aims at assisting investors to understand the
influences certain macroeconomic indicators have on the companies-
stock returns as reported by the D.J.S.I.
Abstract: The purpose of this study was primarily assessing how important economic factors namely: The Thai export price of white rice, the exchange rate, and the world rice consumption affect the overall Thai white rice export, using historical data during the period 1989-2013 from the Thai Rice Exporters Association, and Food and Agricultural Organization of the United Nations. The co-integration method, regression analysis, and error correction model were applied to investigate the econometric model. The findings indicated that in the long-run, the world rice consumption, the exchange rate, and the Thai export price of white rice were the important factors affecting the export quantity of Thai white rice respectively, as indicated by their significant coefficients. Meanwhile, the rice export price was an important factor affecting the export quantity of Thai white rice in the short-run. This information is useful in the business, export opportunities, price competitiveness, and policymaker in Thailand.
Abstract: The European countries that during the past two
decades based their exchange rate regimes on currency board
arrangement (CBA) are usually analysed from the perspective of
corner solution choice’s stabilisation effects. There is an open
discussion on the positive and negative background of a strict
exchange rate regime choice, although it should be seen as part of the
transition process towards the monetary union membership. The
focus of the paper is on the Baltic countries that after two decades of
a rigid exchange rate arrangement and strongly influenced by global
crisis are finishing their path towards the euro zone. Besides the
stabilising capacity, the CBA is highly vulnerable regime, with
limited developing potential. The rigidity of the exchange rate (and
monetary) system, despite the ensured credibility, do not leave
enough (or any) space for the adjustment and/or active crisis
management. Still, the Baltics are in a process of recovery, with fiscal
consolidation measures combined with (painful and politically
unpopular) measures of internal devaluation. Today, two of them
(Estonia and Latvia) are members of euro zone, fulfilling their
ultimate transition targets, but de facto exchanging one fixed regime
with another.
The paper analyses the challenges for the CBA in unstable
environment since the fixed regimes rely on imported stability and
are sensitive to external shocks. With limited monetary instruments,
these countries were oriented to the fiscal policies and used a
combination of internal devaluation and tax policy measures. Despite
their rather quick recovery, our second goal is to analyse the long
term influence that the measures had on the national economy.
Abstract: There are many debates now regarding undervalued
and overvalued currencies currently traded on the world financial
market. This paper contributes to these debates from a theoretical
point of view. We present the three most commonly used methods of
estimating the equilibrium real effective exchange rate (REER):
macroeconomic balance approach, external sustainability approach
and equilibrium real effective exchange rate approach in the reduced
form. Moreover, we discuss key concepts of the calculation of the
real exchange rate (RER) based on applied explanatory variables:
nominal exchange rates, terms of trade and tradable and non-tradable
goods. Last but not least, we discuss the three main driving forces
behind real exchange rates movements which include terms of trade,
relative productivity growth and the interest rate differential.
Abstract: There are little subjects in macroeconomics that are so
widely discussed, but at the same time controversial and without a
clear solution such as the choice of exchange rate regime. National
authorities need to take into consideration numerous fundamentals,
trying to fulfil goals of economic growth, low and stable inflation
and international stability. This paper focuses on the countries of ex-
Yugoslavia and their exchange rate history as independent states. We
follow the development of the regimes in 6 countries during the
transition through the financial crisis of the second part of the 2000s
to the prospects of their final goal: full membership in the European
Union. Main question is to what extent has the exchange regime
contributed to their economic success, considering other objective
factors.
Abstract: The current situation in the eurozone raises a number of topics for discussion and to help in finding an answer to the question of whether a common currency is a more suitable means of coping with the impact of the financial crisis or whether national currencies are better suited to this. The economic situation in the EU is now considerably volatile and, due to problems with the fulfilment of the Maastricht convergence criteria, it is now being considered whether, in their further development, new member states will decide to distance themselves from the euro or will, in an attempt to overcome the crisis, speed up the adoption of the euro. The Czech Republic is one country with little interest in adopting the euro, justified by the fact that a better alternative to dealing with this crisis is an independent monetary policy and its ability to respond flexibly to the economic situation not only in Europe, but around the world. One attribute of the crisis in the Czech Republic and its mitigation is the freely floating exchange rate of the national currency. It is not only the Czech Republic that is attempting to alleviate the impact of the crisis, but also new EU member countries facing fresh questions to which theory have yet to provide wholly satisfactory answers. These questions undoubtedly include the problem of inflation targeting and the choice of appropriate instruments for achieving financial stability. The difficulty lies in the fact that these objectives may be contradictory and may require more than one means of achieving them. In this respect we may assume that membership of the euro zone might not in itself mitigate the development of the recession or protect the nation from future crises. We are of the opinion that the decisive factor in the development of any economy will continue to be the domestic economic policy and the operability of market economic mechanisms. We attempt to document this fact using selected countries as examples, these being the Czech Republic, Poland, Hungary, and Slovakia.
Abstract: Daily production of information and importance of the sequence of produced data in forecasting future performance of market causes analysis of data behavior to become a problem of analyzing time series. But time series that are very complicated, usually are random and as a result their changes considered being unpredictable. While these series might be products of a deterministic dynamical and nonlinear process (chaotic) and as a result be predictable. Point of Chaotic theory view, complicated systems have only chaotically face and as a result they seem to be unregulated and random, but it is possible that they abide by a specified math formula. In this article, with regard to test of strange attractor and biggest Lyapunov exponent probability of chaos on several foreign exchange rates vs. IRR (Iranian Rial) has been investigated. Results show that data in this market have complex chaotic behavior with big degree of freedom.
Abstract: In July 2012, an indoor/outdoor monitoring
programme was undertaken in two university sports facilities: a
fronton and a gymnasium. Comfort parameters (temperature, relative
humidity, CO and CO2) and total volatile organic compounds
(VOCs) were continuously monitored. Concentrations of NO2,
carbonyl compounds and individual VOCs were obtained. Low
volume samplers were used to collect particulate matter (PM10). The
minimum ventilation rates stipulated for acceptable indoor air quality
were observed in both sports facilities. It was found that cleaning
activities may have a large influence on the VOC levels. Acrolein
was one of the most abundant carbonyl compounds, showing
concentrations above the recommended limit. Formaldehyde was
detected at levels lower than those commonly reported for other
indoor environments. The PM10 concentrations obtained during the
occupancy periods ranged between 38 and 43μgm-3 in the fronton and
from 154 to 198μgm-3 in the gymnasium.
Abstract: Gold passbook is an investing tool that is especially
suitable for investors to do small investment in the solid gold. The gold
passbook has the lower risk than other ways investing in gold, but its
price is still affected by gold price. However, there are many factors
can cause influences on gold price. Therefore, building a model to
predict the price of gold passbook can both reduce the risk of
investment and increase the benefits. This study investigates the
important factors that influence the gold passbook price, and utilize
the Group Method of Data Handling (GMDH) to build the predictive
model. This method can not only obtain the significant variables but
also perform well in prediction. Finally, the significant variables of
gold passbook price, which can be predicted by GMDH, are US dollar
exchange rate, international petroleum price, unemployment rate,
whole sale price index, rediscount rate, foreign exchange reserves,
misery index, prosperity coincident index and industrial index.