International Parity Relations and Economic Shock: Evidence from Swiss Franc Unpegging
Bibliographic record
Abstract
In this paper, we examine the association between the macroeconomic variables - interest and inflation rate, and the expected spot rate of Swiss franc against Euro around the abandonment of the ceiling on the Swiss franc by the Swiss National Bank (SNB), January 15, 2015, using the two international parity relationships, International Fisher effect (IFE) and Purchase Power Parity (PPP). We use the regression analysis to examine the significance of change in daily interest rates and monthly inflation rates on the change in actual daily spot rates. While our empirical results indicate no significant statistical relationship between the two inputs before unpeg period, our additional analysis examining both the magnitude and directional deviation of the actual spot rate compared to the spot rate for both unpeg and peg period predicted using the two parity relations suggest that spot rates predicted based on the IFE relations, in general, is relatively better in predicting the daily spot rate compared to that of the PPP relations. Although both parity relations are not perfect models for predicting daily exchange rates, they can be used as a framework to guide financiers to gain additional insight regarding the short-term directional trend of the spot rate.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".