Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

The changing behaviour of the term structure of post-war US

Using U.S. interest rate data covering the period 1950:1-1992:7, this paper tests the rational expectations model of the term structure of interest rates. We show evidence that the rational expectations model of the term structure is supported by the data during the seventies and a period lasting from the mid-eighties to the end of the sample. However, during the …fties, sixties and a period that covers most of the Volcker’s office term (from September 1979 to April 1986) the term structure model is rejected by the data. Moreover, wefind evidence of regime changes in the short-term rate process and the term structure of interest rates. These regime switches roughly coincide with changes in the Federal Reserve chairman. The switches in monetary policy taking place when the chairmanship of the Federal Reserve changes therefore seem to play an important role in characterizing the term structure of interest rates.

Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation

This paper studies the comovement between output and inflation in the EU15 countries. Following den Haan (2000), I use the correlations of VAR forecast errors at different horizons in order to analyze the output-inflation relationship. The empirical results show that eight countries display a significant positive comovement between output and inflation. Moreover, the empirical evidence suggests that a Phillips curve phenomenom is more likely to be detected in countries where inflation is more stable.

Conferencia "Culture, Freedom and Christianity", presentada por Alberto de Onaindia en el Congress for Cultural Freedom, celebrado en Berlín en 1950.

Fecha: 2-7-1950 / Unidad de instalación: Carpeta 45 - Expediente 2-27 / Nº de pág.: 6 (mecanografiadas)

Can the change in the composition of the US GDP explain the Great Moderation? A test via oil price shocks

The paper investigates whether the growing GDP share of the services sector can contribute to explain the great moderation in the US. We identify and analyze three oil price shocks and use a SVAR analysis to measure their economic impact on the US economy at both the aggregate and the sectoral level. We find mixed support for the explanation of the great moderation in terms of shrinking oil shock volatilities and observe that increases (decreases) in oil shock volatilities are contrasted by a weakening (strengthening) in their transmission mechanism. Across sectors, services are the least affected by any oil shock. As the contribution of services to the GDP volatility increases over time, we conclude that a composition effect contributed to moderate the conditional volatility to oil shocks of the US GDP.

La estructura y propiedades magnéticos de las nanopartículas de Fe50Ni50 obtenidas mediante el método de explosión eléctrica de hilo

[Es]Actualmente ninguna área científica es ajena a la revolución de la nanociencia; las nanopartículas atraen el interés de muchos investigadores desde el punto de vista de la ciencia fundamental y para sus aplicaciones tecnológicas. Las nanopartículas ofrecen la posibilidad de fabricar sensores que sean capaces de detectar desde un virus hasta concentraciones de substancias patógenas que no pueden ser detectadas por los métodos convencionales. Hoy en día existes 82 tratamientos contra el cáncer basadas en la utilización de nanopartículas y los materiales composite con nanopartículas se utilizan como medio de protección frente la radiación del rango de microondas. En la rama de ciencias ambientales, las nanopartículas metálicas sirven como materiales anticontaminantes. En este trabajo se ha estudiado la estructura y las propiedades magnéticas de las nanopartículas de FeNi preparadas mediante el método de explosión eléctrica de hilo. Con la técnica de Rayos–X(DRX) se ha determinado que las nanopartículas se cristalizan en un sistema cúbico FCC con un parámetro de celda de 3.596 Å, también, se ha obtenido el tamaño de dominio coherente que es de 35 nm. La muestra se ha sometido a un programa de temperatura controlada para seguir la evolución de la estructura cristalina y del tamaño del cristal, tanto en atmósfera oxidante como en vacío. Para el aprendizaje de los microscopios utilizados en este trabajo, se ha asistido al curso “Fundamentos de microscopia electrónica de barrido y microanálisis” impartido por SGIker de la UPV/EHU. Se han empleado los microscopios electrónicos SEM y TEM para obtener imágenes de gran resolución de la muestra y analizar su contenido elemental. Partiendo de las imágenes sacadas por el SEM se ha calculado el valor medio del tamaño de las partículas de la muestra, 58 nm. Mediante el Mastersizer 2000 se ha medido el tamaño de las partículas y/o agregados por método de difracción láser, disgregando la muestra todo lo posible hasta conseguir el tamaño medio que se aproxime al de una sola partícula, 100nm. Por último, para la caracterización magnética se ha servido del VSM que mide el momento magnético de una muestra cuando ésta vibra en presencia de un campo magnético estático, consiguiendo una imanación de saturación de 125 emu/g. Hemos fabricado y caracterizado las nanopartículas magnéticas de hierro-níquel y los resultados obtenidos han sido enviados a un congreso especializado de ciencia de materiales (ISMANAM - 2013, Italia).

An Alternative View of the US Price-Dividend Ratio Dynamics

As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide evidence of prices significantly drifting apart from dividends while other episodes show prices anchoring back to dividends. This paper investigates the stationarity of this ratio in the context of a Markov- switching model à la Hamilton (1989) where an asymmetric speed of adjustment towards a unique attractor is introduced. A three-regime model displays the best regime identification and reveals that the first part of the 90’s boom (1985-1995) and the post-war period are characterized by a stationary state featuring a slow reverting process to a relatively high attractor. Interestingly, the latter part of the 90’s boom (1996-2000), characterized by a growing price-dividend ratio, is entirely attributed to a stationary regime featuring a highly reverting process to the attractor. Finally, the post-Lehman Brothers episode of the subprime crisis can be classified into a temporary nonstationary regime.

What Can the Brain Teach Us about Winemaking? An fMRI Study of Alcohol Level Preferences

Over the last few decades, wine makers have been producing wines with a higher alcohol content, assuming that they are more appreciated by consumers. To test this hypothesis, we used functional magnetic imaging to compare reactions of human subjects to different types of wine, focusing on brain regions critical for flavor processing and food reward. Participants were presented with carefully matched pairs of high- and low- alcohol content red wines, without informing them of any of the wine attributes. Contrary to expectation, significantly greater activation was found for low- alcohol than for high- alcohol content wines in brain regions that are sensitive to taste intensity, including the insula as well as the cerebellum. Wines were closely matched for all physical attributes except for alcohol content, thus we interpret the preferential response to the low- alcohol content wines as arising from top-down modulation due to the low alcohol content wines inducing greater attentional exploration of aromas and flavours. The findings raise intriguing possibilities for objectively testing hypotheses regarding methods of producing a highly complex product such as wine.