Essays in exchange rates and international finance
Bibliographic record
Abstract
This thesis is based on four essays in exchange rates and international finance.The first essay, examined in the second chapter, considers the long-run performance of the flexible-price monetary model as well as the real interest differential monetary model to explain the dollar-yen exchange rate during a period of high international capital mobility.We apply the Johansen methodology to quarterly data over the period 1980:01-2009:04 and show that the inadequacy of the two monetary models is due to the breakdown of their underlying building-blocks, money demand stability and purchasing power parity.In particular, modifying the monetary models by adjusting them for real stock prices to capture the stability of money demands on one hand and also for real economic variables such as productivity differential, relative government spending, and real oil price to explain the persistence in the real exchange rate on the other provide long-run relationships that appear consistent with the monetary models.Our findings of long-run weak exogeneity tests also emphasise the importance of the extended models employed here.The second essay, examined in the third chapter, is on the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010.Bivariate GARCH-BEKK models are estimated to produce evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional causality in the euro area and Switzerland.Furthermore, causality-invariance from stock returns to exchange rate changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional causality-in-variance in the US and Canada.These findings imply limited opportunities for investors to diversify their assets during this period.The third essay, examined in the fourth chapter, considers the impact of net bond and net equity portfolio flows on exchange rate changes.Two-state Markov-switching models are estimated for the exchange rate of the US vis-a-vis Canada, the euro area, Japan and the UK.Our results suggest that the relationship between net portfolio flows ix
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
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 | 0.002 | 0.010 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.003 | 0.002 |
| Science and technology studies | 0.001 | 0.003 |
| Scholarly communication | 0.004 | 0.005 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.002 | 0.005 |
| Insufficient payload (model declined to judge) | 0.007 | 0.002 |
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".