On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.

Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

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.

Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.

Consumer Confidence and Yield Spreads in Europe

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding the usefulness of the slope of the term structure of interest rates to predict real economic conditions and, in particular, recessions by using a direct measure of expectations. A linear combination of European yield spreads explains a surprising 93.7% of the variability of the Economic Sentiment Indicator. Yield spreads seem to be a key determinant of consumer confidence in Europe.

Why Economists Reject Long-Term Fisheries Management Plans?

Most fisheries agencies conduct biological and economic assessments independently. This independent conduct may lead to situations in which economists reject management plans proposed by biologists. The objective of this study is to show how to find optimal strategies that may satisfy biologists and economists' conditions. In particular we characterize optimal fishing trajectories that maximize the present value of a discounted economic indicator taking into account the age-structure of the population as in stock assessment methodologies. This approach is applied to the Northern Stock of Hake. Our main empirical findings are: i) Optimal policy may be far away from any of the classical scenarios proposed by biologists, ii) The more the future is discounted, the higher the likelihood of finding contradictions among scenarios proposed by biologists and conclusions from economic analysis, iii) Optimal management reduces the risk of the stock falling under precautionary levels, especially if the future is not discounted to much, and iv) Optimal stationary fishing rate may be very different depending on the economic indicator used as reference.

New Nuclear SNP Markers Unravel the Genetic Structure and Effective Population Size of Albacore Tuna (Thunnus alalunga)

In the present study we have investigated the population genetic structure of albacore (Thunnus alalunga, Bonnaterre 1788) and assessed the loss of genetic diversity, likely due to overfishing, of albacore population in the North Atlantic Ocean. For this purpose, 1,331 individuals from 26 worldwide locations were analyzed by genotyping 75 novel nuclear SNPs. Our results indicated the existence of four genetically homogeneous populations delimited within the Mediterranean Sea, the Atlantic Ocean, the Indian Ocean and the Pacific Ocean. Current definition of stocks allows the sustainable management of albacore since no stock includes more than one genetic entity. In addition, short-and long-term effective population sizes were estimated for the North Atlantic Ocean albacore population, and results showed no historical decline for this population. Therefore, the genetic diversity and, consequently, the adaptive potential of this population have not been significantly affected by overfishing.