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Rate Dynamics (rate + dynamics)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	75%

Distribution within Business, Economics, Finance and Accounting

General & Introductory Finance & Investments	66%
General & Introductory Economics	16%

Kinds of Rate Dynamics

exchange rate dynamics

Selected Abstracts

Short Rate Dynamics and Regime Shifts,

INTERNATIONAL REVIEW OF FINANCE, Issue 3 2009
HAITAO LI
ABSTRACT We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits strong mean reversion and high volatility. In our model, the sensitivity of interest rate volatility to the level of interest rate is much lower than what is commonly found in the literature. We also show that the findings of nonlinear drift in Aït-Sahalia and Stanton, using nonparametric methods, are consistent with our regime-switching model. [source]

Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis

THE JOURNAL OF FINANCE, Issue 5 2003
Carol L. Osler Associate Professor
This paper documents clustering in currency stop-loss and take-profit orders, and uses that clustering to provide an explanation for two familiar predictions from technical analysis: (1) trends tend to reverse course at predictable support and resistance levels, and (2) trends tend to be unusually rapid after rates cross such levels. The data are the first available on individual currency stop-loss and take-profit orders. Take-profit orders cluster particularly strongly at round numbers, which could explain the first prediction. Stop-loss orders cluster strongly just beyond round numbers, which could explain the second prediction. [source]

FX Trading and Exchange Rate Dynamics

THE JOURNAL OF FINANCE, Issue 6 2002
Martin D. D. Evans
I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results:(1) Much of the short-term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over anyhorizon. [source]

Real Exchange Rate Dynamics Under The Current Float: A Re,Examination

THE MANCHESTER SCHOOL, Issue 2 2003
Michael Bleaney
Augmented Dickey,Fuller regressions on pooled (but not individual) real exchange rates for the post,1973 period consistently reject the unit root null, even after accounting for cross,sectional dependence. The inference that the series is stationary, however, is not necessarily correct, because these tests strongly over,reject the null in certain circumstances, particularly when the series has a stochastic unit root. We find that bilateral real exchange rates against the US dollar have a stochastic unit root. Out,of,sample prediction exercises for an autoregressive model confirm these findings. [source]

Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission,

INTERNATIONAL FINANCE, Issue 2 2009
Silvio Colarossi
This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making method, in the communication strategy and in the operational framework of a central bank. Through a generalized autoregressive conditional heteroscedasticity (GARCH) specification, we show that the United States and the euro area displayed a limited but significant spillover of volatility from money market to longer-term rates. We then checked the stability of this phenomenon in the most recent period of improved policy-making and found empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely disappeared. [source]

Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2010
Caroline Jardet
Abstract At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2009
David G. McMillan
Abstract Recent empirical finance research has suggested the potential for interest rate series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in-sample and out-of-sample performance with a linear alternative. Using short- and long-term interest rates we report evidence that a logistic smooth-transition error-correction model is able to best characterize the data and provide superior out-of-sample forecasts, especially for the short rate, over both linear and non-linear alternatives. This model suggests that market dynamics differ depending on whether the deviations from long-run equilibrium are above or below the threshold value. Copyright © 2007 John Wiley & Sons, Ltd. [source]

Generalized long memory processes, failure of cointegration tests and exchange rate dynamics

JOURNAL OF APPLIED ECONOMETRICS, Issue 4 2006
Aaron D. Smallwood
This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long memory GARMA process. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Adaptive steering control of a farm tractor with varying yaw rate properties

JOURNAL OF FIELD ROBOTICS (FORMERLY JOURNAL OF ROBOTIC SYSTEMS), Issue 6-7 2009
J. Benton Derrick
This paper presents a novel application of a model reference adaptive control (MRAC) system to control the lateral position of a farm tractor tracking a straight path. Farm tractors can be configured with various implements, and the tractor yaw rate dynamics vary with each implement. It is desired that the lateral position response of the farm tractor remain consistent with respect to different implement configurations. Therefore, a MRAC system is implemented on the farm tractor to compensate for yaw rate plant variations by adapting the feed-forward yaw rate controller. Simulation results of the algorithm are shown that display poor performance due to neglected steering actuator dynamics and saturation. Modifications are made to the algorithm to account for the steering actuator properties, and more simulated results are presented that display ideal performance. Finally, the MRAC algorithm is implemented on a John Deere 8420 farm tractor, and experimental results are presented. © 2009 Wiley Periodicals, Inc. [source]

Impact of deposit ageing on thermal fouling: Lumped parameter model

AICHE JOURNAL, Issue 2 2010
Edward.
Abstract The thermal and hydraulic performance of heat exchangers can be seriously impaired by the formation of fouling deposits on the heat transfer surfaces. The thermal effect of fouling can be complicated when the deposit is subject to ageing, represented here as a change in deposit thermal conductivity (but not thickness) over time. In this article, we revisit the ageing concept for crude oil fouling proposed by Nelson (Refiner Nat Gas Manufacturer. 1934;13:271,276, 292,298), using a numerical model incorporating first order kinetics to generate quantitative comparisons of different ageing rates. Results are reported for lumped parameter systems (which also simulate point measurement methods commonly used in laboratory testing) that demonstrate that ageing can have a substantial influence on the rate of heat transfer and hence on the surface temperature and rate of fouling. Rapid ageing (compared with the rate of deposition) does not pose problems, but slow ageing, or the use of constant heat fluxes in experiments, can lead to modified thermal fouling behavior. It is concluded that deposit ageing dynamics should be considered alongside deposition rate dynamics when interpreting experimental fouling data and when modeling fouling behavior in support of heat exchanger design or operation. © 2009 American Institute of Chemical Engineers AIChE J, 2010 [source]

Excess returns, portfolio choices and exchange rate dynamics.

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 3 2002
The yen/dollar case
First page of article [source]

Stress induced one-dimensional model for current oscillations at the Si/electrolyte contact

PHYSICA STATUS SOLIDI (C) - CURRENT TOPICS IN SOLID STATE PHYSICS, Issue 7 2009
Jürgen Grzanna
Abstract A cellular automata is introduced to model the locally resolved oxide thickness, the stress, and the etching rate dynamics at the silicon electrolyte contact along a macroscopically long line (1 mm). Short- and long-range interaction mechanisms are considered to achieve current oscillations. Extended chronoamperometric oscillations are obtained but finally, the oscillations become increasingly damped for the case of a locally acting stress and a locally varying etching rate. The additional incorporation of a small oscillating and long-range interacting nominal etching rate into the model leads to sustained oscillations. (© 2009 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim) [source]

FX Trading and Exchange Rate Dynamics

The pricing of foreign currency options under jump-diffusion processes

THE JOURNAL OF FUTURES MARKETS, Issue 7 2007
Chang Mo Ahn
In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jump-diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous trading and frictionless international capital markets. The domestic and foreign price level are introduced as state variables that contain jumps caused by monetary shocks and catastrophic events such as 9/11 or Hurricane Katrina. The domestic and foreign interest rates are stochastic and endogenously determined in the model and are shown to be critically affected by the jump risk of the foreign exchange. The model shows that the behavior of FX options is affected through the impact of state variables and parameters on the nominal interest rates. The model contrasts with those of M. Garman and S. Kohlhagen (1983) and O. Grabbe (1983), whose models have exogenously determined interest rates. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:669,695, 2007 [source]

Risk Management Lessons from ,Knock-in Knock-out' Option Disaster,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 1 2010
Jaeuk Khil
G14; G01 Abstract Currency knock-in knock-out (KIKO) options had been widely used for hedging exchange rate risks in Korean financial markets. However, as the Korean won moved in an unexpected direction during the global financial crisis period of 2007 and 2008, the hedging instruments incurred huge losses to the option holders. In this paper, we analyze the event from the viewpoint of risk assessment and management. We find that, first, if the option holders had assessed the risk levels with and without the KIKO options by using standard risk measures like value-at-risk or conditional value-at-risk, then many KIKO option contracts would not have been justifiable from the beginning. Second, having a proper view on the exchange rate dynamics turned out to be crucial for risk assessment and management. If the companies had a proper view instead of a myopic view on the exchange rate movement, then the KIKO options might not have been chosen. Finally, ,hedge-and-forget' behavior proved to be very costly and reckless. If the companies had continuously assessed and managed their risks, then the losses from the KIKO options could have been significantly mitigated. Some relevant pricing issues are also investigated. We find that most KIKO option contracts under study might not be significantly overpriced. However, potential impacts of the possible mispricing could be considerable in some cases. Nonetheless, the risk management failure proved to be more important for the KIKO option losses than the possible mispricing problem. [source]

Effects of pharmacological adrenergic and vagal modulation on fractal heart rate dynamics

CLINICAL PHYSIOLOGY AND FUNCTIONAL IMAGING, Issue 5 2001
Mikko P. Tulppo
Breakdown of short-term fractal-like behaviour of HR indicates an increased risk for adverse cardiovascular events and mortality, but the pathophysiological background for altered fractal HR dynamics is not known. Our aim was to study the effects of pharmacological modulation of autonomic function on fractal correlation properties of heart rate (HR) variability in healthy subjects. Short-term fractal scaling exponent (,1) along with spectral components of HR variability were analysed during the following pharmacological interventions in healthy subjects: (i) noradrenaline (NE) infusion (n=22), (ii) NE infusion after phentolamine (PHE) (n=8), (iii) combined NE + adrenaline (EPI) infusion (n=12), (iv) vagal blockade with high dose of atropine (n=10), (v) and vagal activation by low dose of atropine (n=10). Then ,1 decreased progressively during the incremental doses of NE (from 0·85 ± 0·250 to 0.55 ± 0·23, P<0·0001). NE also decreased the average HR (P<0·001) and increased the high frequency spectral power (P<0·001). Vagal blockade with atropine increased the ,1 value (from 0·82 ± 0·22 to 1·24 ± 0·41, P<0·05). Combined NE + EPI infusion and vagal activation with a low dose atropine did not result in any changes in ,1, and ,-adrenergic blockade by PHE did not completely reverse the effects of NE on ,1. Increased levels of circulating NE result in reduction of short-term correlation properties of HR dynamics. The results suggest that coactivation of cardiac vagal outflow at the time of high levels of a circulating sympathetic transmitter explains the breakdown of fractal-like behaviour of human HR dynamics. [source]