Our results complement the recent ̄ndings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the speci ̄cs of the time series process. The novelty of the approach we apply is in emphasizing the information content of the data in distinguishing between the competing processes. Stationa...

A code-based cryptosystem is considered secure if the best known attack against it is information-set decoding. Stern’s algorithm and its improvements are well optimized and the complexity is reasonably well understood. However, these algorithms only handle codes over F2. This paper presents a generalization of Stern’s information-set-decoding algorithm for decoding linear codes over arbitrary ...

Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current oat? Christopher F. Baum Boston College Chestnut Hill, MA 02467 USA John T. Barkoulas Louisiana Tech University Ruston, LA 71272 USA Mustafa Caglayan Koç University Istanbul, Turkey This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rate...

This paper studies the effect of real effective exchange rate (REER) volatility on economic growth as well as the euro’s effect on REER volatility. We first show that, after a plausible endogeneity correction, REER volatility is negatively associated with growth in a 1980~2011 panel of OECD countries. One standard deviation volatility decrease is associated with about two percentage points (0.8...

This paper assesses liquidity conditions in foreign exchange (FX) spot and derivatives markets using intra-day data against the background of FX dealers’ response to recent regulatory changes. Given that FX swap markets are by some measures even deeper that the spot market, an assessment of FX liquidity requires taking such instruments into account. We find that spot and swap market liquidity i...

We examine empirically the conjecture that limits to speculation in the foreign exchange market may induce nonlinearities in the spot-forward relationship and in the process driving the deviations from the uncovered interest rate parity (UIP) condition. Our empirical results provide strong evidence of important nonlinearities which are consistent with a model of deviations from UIP with two ext...

This paper contributes to the existing literature on dating currency crisis in three ways. First, we combine the Monte Carlo simulation with a modified Hill’s estimator method to obtain more robust results and efficiently deal with bias variance tradeoff in identifying extreme values. Second, we propose a systematic way to choose the reference country in building the Exchange Market Pressure in...

Article history: Received 15 May 2014 Received in revised form 14 January 2015 Accepted 14 January 2015 Available online 22 January 2015 This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short mem...

Today many argue that there appears to be an epidemic case of “fear of floating”. Some have further claimed that credible inflation targeting – a popular regime choice today – and fear of floating are identical regimes. This paper takes a different view. We modify Calvo and Reinhart’s (2002) approach to analyze the behavior of exchange rates, reserves, interest rates and inflation across 88 exc...

This paper proposes a di¤erent empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Di¤erent from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: develope...