The instability of international financial markets, as exhibited by persistent periodic crises, is an important issue for all market participants. This paper presents an alternative agent-based network theory of financial crises derived from recent developments in complexity science, and applies it to short-term currency crises. The theory, despite being parsimonious, is capable of generating c...

This paper shows that high-frequency, irregularly-spaced, FX data can generate non-normality, conditional heteroskedasticity, and leptokurtosis when aggregated into fixed-interval, calendar time even when these features are absent in the original D.G.P. Furthermore, we introduce a new approach to modeling these high-frequency irregularly spaced data based on the Poisson regression model. The ne...

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, obtained from Reuters on special order. We provide evidence on the frequency, size and duration of round-trip and one-way arbitrage opportu...

This study re-examines the validity of Purchasing Power Parity (PPP) by focusing on the real effective exchange rates (REERs) for the post-Bretton Woods period, using newly developed unit root tests that account for both nonlinearity and smooth temporary multiple breaks in the data. The tests are applied to the REERs of 23 developed countries and are able to reject the null hypothesis of a unit...

This paperÕs estimates and tests of Fed intervention pro®ts are the ®rst that explicitly adjust for foreign-exchange risk premia; failure to adjust may grossly a€ect estimated pro®ts. Pro®ts appear economically and statistically signi®cant, whether risk premia are modeled as time-constant or as appreciationÕs market beta depending on Fed intervention. The estimates are sensitive to the method o...

The purpose of this study is to investigate the impact of exchange rate misalignment on inflation persistence. For this purpose, Vector Auto Regression method and Markov Switching model is used for quarterly data during 1989:4 -2014:3. The results show that, the impact of liquidity growth and exchange rate misalignment on inflation persistence is positive. On the other hand, GDP growth has a ne...

Murine monoclonal antibody (iiiAh) F31 detects a heat-stable antigen (URO-8) found in the acidic lipid fraction of renal cancer cell extracts. Serological analysis of inAI» F31 reactivity was assayed on 176 human cell lines, inAh F31 reacted with 38 of 45 renal cancers, a subpopulation of cells in primary cultures of normal renal epithelia, and two of 13 colon, two of 15 lung, and four of five...