Current Float Research Articles

Maintenance scheduling under multiple resource constraints using a project scheduling technique

The work presented in this paper deals with the scheduling problem under multiple resource constraints. A heuristic method called the current float technique of resources scheduling under multiple resource constraints is applied to solve this problem. The maintainance activities of some machines of coal handling plant of a thermal power station is considered. The activities are arranged in network diagram and a schedule is developed which will give the information of current status of activities, utilization of resources and idle resources.

Simplified Method of Discharge Measurement for Micro-Hydropower Capacity Assessment: A Case Study for a Small-Scale Agricultural Irrigation Canal

Discharge flow rates were used to assess and determines the hydropower capacity of water source. It is known that the procedure for discharge measurement using common methods requires multiple parameters. These parameters were measured respectively to determine the water power. In reality, water flow may not the same in the succeeding times. Therefore, parameters should be measured simultaneously will give a more relevant water profile assessment. Likewise, these common methods are not feasible during heavy water flow. With these, the study develops two things; 1.) the adjustment factors of different common methods in measuring water discharge, and 2.) the simplified method of weir method. The simplified approach of weir method measures the water discharged by measuring the overflow head of water above the weir crest. A simultaneous data observation was performed in the experiment to develop the simplified approach of weir method and derived adjustment factors of each method. The result shows that 3-point method of current flow-meter and float method gives almost the same as true discharge value. The true discharge value of the simplified method of weir method is multiplied by the adjusted factor equal to 0.81.

Exchange rate volatility and Turkish commodity trade with the rest of the world

Since advent of the current float, like many other currencies the Turkish lira has followed a volatile path. Several previous studies have assessed the impact of this volatility on Turkish exports and imports using aggregate trade flows of Turkey. Not much significant effects are found. In this paper, we use disaggregated Turkish imports and exports of 61 industries that trade with the rest of the world and find that exchange rate volatility has short-run significant impact on the imports of 39 industries and exports of 23 industries. The short-run effects last into the long run in almost half of the industries.

Reexamining Yen Real Exchange Rate Dynamics by Recursive Mean Adjustment

PPP asserts that the real exchange rate is a mean reverting stochastic process around its long-run equilibrium level. However, despite its popularity and extensive studies empirical validity of PPP remains elusive due to mixed empirical evidence. This paper revisits the empirical evidence of purchasing power parity by recursive mean adjustment (RMA) proposed by So and Shin (1999). Using the current float quarterly yen-based real exchange rate data I find that the unit-root test with the RMA estimator rejects the null of a unit root for only 2 out of 14 G7 and Asian/Pacific rim countries. Also the RMA-based confidence intervals for persistence parameter show that only 1 out of 14 countries has less than unity as upper bound at the 90% confidence intervals. This finding is in line with the findings from previous studies that yen real exchange rate can be better approximated as nonstationary process.

Examining the evidence of purchasing power parity by recursive mean adjustment

This paper revisits the empirical evidence of purchasing power parity under the current float by recursive mean adjustment (RMA) proposed by So and Shin (1999). We first report superior power of the RMA-based unit root test in finite samples relative to the conventional augmented Dickey–Fuller (ADF) test via Monte Carlo experiments for 16 linear and nonlinear autoregressive data generating processes. We find that the more powerful RMA-based unit root test rejects the null hypothesis of a unit root for 16 out of 20 current float real exchange rates relative to the US dollar, while the ADF test rejects only 5 at the 10% significance level. We also find that the computationally simple RMA-based asymptotic confidence interval can provide useful information regarding the half-life of the real exchange rate.

VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored

Cheung et al. (2004) use a vector error correction model (VECM) for the current float nominal exchange rate and relative price data and claim that the sluggish purchasing power parity (PPP) reversion is primarily driven by the nominal exchange rate, not by relative price adjustment, which is at odds with the conventional sticky-price models. Our major findings are as follows. First, we suggest cases where VECMs are of limited usefulness, even when all the variables in the system are not weakly exogenous. Second, using century-long exchange rates, we find that the relative price plays an important role for PPP reversion when real shocks occur. Third, protracted hump-shaped responses of real exchange rates are frequently observed when there is a relative price shock, leading to sluggish adjustments toward PPP. Nominal exchange rate shocks generate humped dynamics much less frequently.

Change in the persistence of the real exchange rates

We investigate the existence of multiple structural changes in the persistence of a broad sample of Real Exchange Rate (RER) using a new methodology proposed by Kejriwal et al. (2009). The application of this procedure shows that RER persistence has been unstable during the twentieth century. Yoon (2009) reaches the noteworthy conclusion that stationary RERs are more likely to be found in fixed nominal exchange rate regimes than in floating ones. Nevertheless, we find no support for this conclusion when the deterministic trend is withdrawn from the equation specification and the sample is extended by a decade with data belonging to the current float.

Purchasing Power Parity Under the Current Float

Purchasing power parity (PPP) is an important benchmark model in international finance. Recent literature emphasizes that panel unit root tests have higher power than univariate unit root tests. The results from the ADF unit root test also support the recent literature. Using four panel data unit root tests for the 1990:1 - 2006:3 period, we re-examine the PPP both for developed countries and emerging market economies during the floating exchange rate period. Our empirical results fail to support long-run PPP for both developed countries and emerging market economies.

Mean Reversion in G-10 Nominal Exchange Rates

AbstractAccording to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in out-of-sample forecasts mean reversion models beat random walks significantly in some forecast periods. For monthly data, the range of expected USD-DEM appreciation rates exceeds 15% per year in the mean reversion model. Mean reversion places strong restrictions on international models: over the sample period, the G-10 had to run monetary policies consistent with stable long-run nominal rates.

The common-trend and transitory dynamics in real exchange rate fluctuations

This study examines the behaviour of both Common Trend (CT) and transitory components of Real Exchange Rate (RER) fluctuations under the current float. The CT component is in most cases found to be sizeable, albeit its relative importance can vary considerably across major currencies and its estimate can be sensitive to whether or not long-run Purchasing Power Parity (PPP) is imposed on the data. Further analysis suggests that both CT and transitory innovations are linked much more to interest rate changes than to productivity changes. Accordingly, it is interest rate, not productivity, disturbances that drive the highly persistent RER.

Testing for PPP in developing countries using confirmatory analysis and different base countries: an application to Asian countries

Previous studies on PPP have tested either the null hypothesis of non-stationary or the null of a stationary real exchange rate and used the US as the base country and focused on industrialized countries. It has been argued that testing either null is insufficient to confirm the presence of PPP. It has also been noticed that the results are sensitive to the choices of the base country; for instance, the US versus Germany. In contrast to previous studies, this paper uses different unit root tests, confirmatory analysis, and different base countries to test PPP for a sample of developing countries in Asia during the current float. Overall, the results do not seem to be sensitive to the choice of the base country, and joint rejections are not present but joint non-rejections are far more common. Using Perron's test, which allows for a one-time break in the series, the results indicate evidence of stationarity for Indonesia, Korea, Malaysia and Thailand when the US is the base country. When Japan is the base country, evidence of stationarity is detected only for Indonesia.

Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under the Current Float

Using panel unit root tests, we examine purchasing power parity (PPP) for US dollar real exchange rates of developing countries during the current floating rate period. Since evidence of PPP may vary from period to period, we examine the data for moving 10-year periods from 1976–85 up to 1990–99. We organize panels based on country characteristics influencing the validity of PPP. Those characteristics include openness, inflation, and the level and growth rate of per capita GDP. Although we find stronger evidence of PPP after 1980, our examination of panel data over 15 10-year periods yields only limited support for PPP.

Resource constrained project scheduling using simulation

Resource allocation is one of the most important issues of construction management. Two problems of resource allocation are of concern: resource levelling and resource scheduling. Traditionally, the resource scheduling problem is solved using either heuristic methods or optimization techniques. When heuristic methods are used, resource scheduling is treated as a subsequent problem for the CPM analysis. In this paper, the resource scheduling problem is handled using simulation, where logic dependence and resource availability limits are considered simultaneously during the time scheduling process. Simulation is applied to the resource scheduling problem at the project level. A simulation system called SIRBUS is used to schedule construction projects under resource constraints. Constant resource demand of activities is assumed, and the activity once started cannot be interrupted. Six example projects previously solved by different heuristic methods are re-solved using simulation. The results are compared with the latest heuristic models: current float technique and ranked positional weight method. In addition to the advantage that resource availability is considered during time scheduling as a starting point, which is an apparent feature of simulation, SIRBUS gives good results compared with existing heuristic methods.

Productivity Shocks, Monetary Shocks, and the Short- and Long-run Dynamics of Exchange Rates and Relative Prices

This study evaluates the individual roles of monetary and productivity shocks in real exchange rate fluctuations under the current float. Using a cointegration model of exchange rates and relative prices, the innovations are decomposed into transitory and common-trend parts. Both transitory and common-trend innovations are found to explain a significant portion of real exchange rate fluctuations, albeit their relative importance can vary across major currencies. Further analysis suggests that common-trend innovations are ascribed mostly to productivity shocks, whereas transitory innovations are governed by monetary shocks. The allowance for productivity shocks, however, appears insufficient to fully explain the high persistence of real exchange rates.

Is Purchasing Power Parity Overvalued?

The purpose of this paper is to re-examine the hypothesis of long-run Purchasing Power Parity among industrial countries under the current float using the panel data approach. We propose a new finite-sample panel data unit-root test procedure that allows for a general serial correlation structure and arbitrary contemporaneous correlation in model innovations across countries. This procedure is then applied to the recently developed panel data unit-root tests of Im, Pesaran and Shin (1996) and of Maddala and Wu (1999). The test results show sufficient evidence against the unit-root null for most samples. By comparing our results with the existing ones in the literature, we found that the method of assuming a restrictive serial correlation structure tends to weaken evidence against the unit-root null.

Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates

The extraordinary difficulty in uncovering parity reversion in yen-based real exchange rates has often been ascribed to a missing trend variable. This study identifies an alternative explanation and shows that the puzzling behavior of real yen rates may stem from long-memory dynamics, which undermine unit-root tests in their ability to detect mean reversion. The long-memory findings are consistent with the long swings in yen exchange rates during the current float. Further analysis also reveals evidence of non-monotonic reversion toward parity.

Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?

This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17 countries and WPI-based rates for 12 countries, demonstrate that the unit-root hypothesis is robust against both fractional alternatives and structural breaks. This evidence suggests rejection of the doctrine of absolute long-run purchasing power parity during the post-Bretton Woods era.

Some new stylized facts of floating exchange rates

This paper re-examines real exchange rate behavior of OECD currencies under the current float using the more extensive dataset that an additional decade's worth of experience has made available. What emerges is a new set of stylized facts, which suggest that the problems of the current float were not, as commonly believed, generic to that system but in fact rather specific, being largely confined to one sub-period — the early and mid-1980s — and one currency — the US dollar. This dollar behavior ranks as one of the important puzzles of the past 25 years.

Increasing evidence of purchasing power parity over the current float

We conduct unit root tests of real exchange rates with the United States dollar and the German mark as base currencies. Using samples of data which begin in 1973 and end between 1982 and 1996, we find that, as the sample is extended, the evidence of PPP strengthens with panel, but not univariate, methods. Because of the sharp rise and fall of the dollar in the early 1980s, rejections of the unit root null do not monotonically increase with the sample size. The evidence of PPP is uniformly stronger when the mark is used as the base currency.

International Financial Relations Under the Current Float: Evidence from Panel Data

This paper uses multi-country data for the period 1973-1994 to investigate five key conditions in international finance- purchasing power parity, the Fisher equation, uncovered interest parity, and the equity-return analogues of the latter two. The results are largely consistent with theoretical expectations. Over the long run, purchasing power parity, uncovered interest parity and the Fisher effect prove to be rather good first approximations. The equity-return relations, though somewhat less so are nevertheless much better behaved than past studies would lead one to expect. Average rates of equity returns keep pace with inflation within countries in almost all instances; across countries, they are positively correlated with average rates of inflation. This is particularly the case when the data period is extended to include earlier decades.