The Experts below are selected from a list of 4536 Experts worldwide ranked by ideXlab platform
Marcel Fratzscher - One of the best experts on this subject based on the ideXlab platform.
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the Scapegoat theory of exchange rates the first tests
Journal of Monetary Economics, 2015Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:Abstract The Scapegoat theory of exchange rates ( Bacchetta and van Wincoop, 2004 , Bacchetta and van Wincoop, 2013 ) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “Scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange Scapegoats for 12 exchange rates, we find empirical evidence that supports the Scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed.
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the Scapegoat theory of exchange rates the first tests
Social Science Research Network, 2014Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and a decade of proprietary data on order flow, we find empirical evidence that strongly supports the empirical implications of the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates. The findings have implications for exchange rate modelling, suggesting that a more accurate understanding of exchange rates requires taking into account the role of Scapegoat factors and their time-varying nature.
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the Scapegoat theory of exchange rates the first tests
Research Papers in Economics, 2012Co-Authors: Marcel Fratzscher, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and proprietary data on order flow, we find empirical evidence that strongly supports the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates.
Gabriele Zinna - One of the best experts on this subject based on the ideXlab platform.
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the Scapegoat theory of exchange rates the first tests
Journal of Monetary Economics, 2015Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:Abstract The Scapegoat theory of exchange rates ( Bacchetta and van Wincoop, 2004 , Bacchetta and van Wincoop, 2013 ) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “Scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange Scapegoats for 12 exchange rates, we find empirical evidence that supports the Scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed.
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the Scapegoat theory of exchange rates the first tests
Social Science Research Network, 2014Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and a decade of proprietary data on order flow, we find empirical evidence that strongly supports the empirical implications of the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates. The findings have implications for exchange rate modelling, suggesting that a more accurate understanding of exchange rates requires taking into account the role of Scapegoat factors and their time-varying nature.
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the Scapegoat theory of exchange rates the first tests
Research Papers in Economics, 2012Co-Authors: Marcel Fratzscher, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and proprietary data on order flow, we find empirical evidence that strongly supports the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates.
Lucio Sarno - One of the best experts on this subject based on the ideXlab platform.
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the Scapegoat theory of exchange rates the first tests
Journal of Monetary Economics, 2015Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:Abstract The Scapegoat theory of exchange rates ( Bacchetta and van Wincoop, 2004 , Bacchetta and van Wincoop, 2013 ) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “Scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange Scapegoats for 12 exchange rates, we find empirical evidence that supports the Scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed.
-
the Scapegoat theory of exchange rates the first tests
Social Science Research Network, 2014Co-Authors: Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and a decade of proprietary data on order flow, we find empirical evidence that strongly supports the empirical implications of the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates. The findings have implications for exchange rate modelling, suggesting that a more accurate understanding of exchange rates requires taking into account the role of Scapegoat factors and their time-varying nature.
-
the Scapegoat theory of exchange rates the first tests
Research Papers in Economics, 2012Co-Authors: Marcel Fratzscher, Lucio Sarno, Gabriele ZinnaAbstract:This paper provides an empirical test of the Scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange Scapegoats for 12 currencies and proprietary data on order flow, we find empirical evidence that strongly supports the Scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates.
Benoit Baudry - One of the best experts on this subject based on the ideXlab platform.
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Scapegoat: Spotting abnormal resource usage in component-based reconfigurable software systems
Journal of Systems and Software, 2016Co-Authors: Inti Gonzalez-herrera, Johann Bourcier, Erwan Daubert, Walter Rudametkin, Olivier Barais, François Fouquet, Jean-marc Jézéquel, Benoit BaudryAbstract:Modern component frameworks support continuous deployment and simultaneous execution of multiple software components on top of the same virtual machine. However , isolation between the various components is limited. A faulty version of any one of the software components can compromise the whole system by consuming all available resources. In this paper, we address the problem of efficiently identifying faulty software components running simultaneously in a single virtual machine. Current solutions that perform permanent and extensive monitoring to detect anomalies induce high overhead on the system, and can, by themselves, make the system unstable. In this paper we present an optimistic adaptive monitoring system to determine the faulty components of an application. Suspected components are finely analyzed by the monitoring system, but only when required. Unsuspected components are left untouched and execute normally. Thus, we perform localized just-in-time monitoring that decreases the accumulated overhead of the monitoring system. We evaluate our approach on two case studies against a state-of-the-art monitoring system and show that our technique correctly detects faulty components, while reducing overhead by an average of 93%.
Inti Gonzalez-herrera - One of the best experts on this subject based on the ideXlab platform.
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Scapegoat: Spotting abnormal resource usage in component-based reconfigurable software systems
Journal of Systems and Software, 2016Co-Authors: Inti Gonzalez-herrera, Johann Bourcier, Erwan Daubert, Walter Rudametkin, Olivier Barais, François Fouquet, Jean-marc Jézéquel, Benoit BaudryAbstract:Modern component frameworks support continuous deployment and simultaneous execution of multiple software components on top of the same virtual machine. However , isolation between the various components is limited. A faulty version of any one of the software components can compromise the whole system by consuming all available resources. In this paper, we address the problem of efficiently identifying faulty software components running simultaneously in a single virtual machine. Current solutions that perform permanent and extensive monitoring to detect anomalies induce high overhead on the system, and can, by themselves, make the system unstable. In this paper we present an optimistic adaptive monitoring system to determine the faulty components of an application. Suspected components are finely analyzed by the monitoring system, but only when required. Unsuspected components are left untouched and execute normally. Thus, we perform localized just-in-time monitoring that decreases the accumulated overhead of the monitoring system. We evaluate our approach on two case studies against a state-of-the-art monitoring system and show that our technique correctly detects faulty components, while reducing overhead by an average of 93%.
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Scapegoat: an Adaptive monitoring framework for Component-based systems
2014Co-Authors: Inti Gonzalez-herrera, Johann Bourcier, Erwan Daubert, Walter Rudametkin, Olivier Barais, François Fouquet, Jean-marc JézéquelAbstract:Modern component frameworks support continuous deployment and simultaneous execution of multiple software components on top of the same virtual machine. However, isolation between the various components is limited. A faulty version of any one of the software components can compromise the whole system by consuming all available resources. In this paper, we address the problem of efficiently identifying faulty software components running simultaneously in a single virtual machine. Current solutions that perform permanent and extensive monitoring to detect anomalies induce high overhead on the system, and can, by themselves, make the system unstable. In this paper we present an optimistic adaptive monitoring system to determine the faulty components of an application. Suspected components are finely instrumented for deeper analysis by the monitoring system, but only when required. Unsuspected components are left untouched and execute normally. Thus, we perform localized just-in-time monitoring that decreases the accumulated overhead of the monitoring system. We evaluate our approach against a state-of-the-art monitoring system and show that our technique correctly detects faulty components, while reducing overhead by an average of 80%.
