Bayesian estimation of co-integrating thresholds in the term structure of interest rates.

Threshold Error Correction Models are used to analyse the term structure of interest Rates. The paper develops and uses a generalisation of existing models that encompasses both the Band and Equilibrium threshold models of [Balke and Fomby ((1997) Threshold cointegration. Int Econ Rev 38(3):627–645)] and estimates this model using a Bayesian approach. Evidence is found for threshold effects in pairs of longer rates but not in pairs of short rates. The Band threshold model is supported in preference to the Equilibrium model.

Comparison of survival rates of captive-reared and wild-bred Mauritius kestrels (Falco punctatus) in a re-introduced population

Re-introduction is a technique widely used in the conservation of threatened bird species. With advances in aviculture the use of captive-produced individuals as the release stock is becoming more commonplace, and ideally, survival of captive-produced, released individuals should be no different from their wild-bred counterparts. During the late 1980s the Critically Endangered Mauritius kestrel (Falco punctatus) was successfully re-introduced into the Bambous mountain range, Mauritius, some 30 years after its local extinction. Between 1987 and 2001 the developing population was closely monitored enabling us to construct re-sighting histories for 88 released and 284 wild-bred kestrels. We used age-structured models in the survival analysis software program MARK to determine if an individual's origin influenced its subsequent survival. Our analysis indicated no compelling evidence for reduced survival among juvenile captive-reared and released individuals, relative to their wild-bred counterparts, across the majority of cohorts and only limited evidence of a cohort-specific effect. This study illustrates that despite the lack of a formal experimental approach it is still feasible to conduct an assessment of re-introduction outcomes and techniques.

Comparison of survival rates of captive-reared and wild-bred Mauritius kestrels (falco punctatus) in a re-introduced population

Re-introduction is a technique widely used in the conservation of threatened bird species. With advances in aviculture the use of captive-produced individuals as the release stock is becoming more commonplace, and ideally, survival of captive-produced, released individuals should be no different from their wild-bred counterparts. During the late 1980s the Critically Endangered Mauritius kestrel (Falco punctatus) was successfully re-introduced into the Bambous mountain range, Mauritius, some 30 years after its local extinction. Between 1987 and 2001 the developing population was closely monitored enabling us to construct re-sighting histories for 88 released and 284 wild-bred kestrels. We used age-structured models in the survival analysis software program MARK to determine if an individual's origin influenced its subsequent survival. Our analysis indicated no compelling evidence for reduced survival among juvenile captive-reared and released individuals, relative to their wild-bred counterparts, across the majority of cohorts and only limited evidence of a cohort-specific effect. This study illustrates that despite the lack of a formal experimental approach it is still feasible to conduct an assessment of re-introduction outcomes and techniques. (C) 2003 Elsevier Ltd. All rights reserved.

The impact of exchanges rates on international real estate portfolio allocation

This paper, examines whether the asset holdings and weights of an international real estate portfolio using exchange rate adjusted returns are essentially the same or radically different from those based on unadjusted returns. The results indicate that the portfolio compositions produced by exchange rate adjusted returns are markedly different from those based on unadjusted returns. However following the introduction of the single currency the differences in portfolio composition are much less pronounced. The findings have a practical consequence for the investor because they suggest that following the introduction of the single currency international investors can concentrate on the real estate fundamentals when making their portfolio choices, rather than worry about the implications of exchange rate risk.

Universal scaling of production rates across mammalian lineages

Over many millions of years of independent evolution, placental, marsupial and monotreme mammals have diverged conspicuously in physiology, life history and reproductive ecology. The differences in life histories are particularly striking. Compared with placentals, marsupials exhibit shorter pregnancy, smaller size of offspring at birth and longer period of lactation in the pouch. Monotremes also exhibit short pregnancy, but incubate embryos in eggs, followed by a long period of post-hatching lactation. Using a large sample of mammalian species, we show that, remarkably, despite their very different life histories, the scaling of production rates is statistically indistinguishable across mammalian lineages. Apparently all mammals are subject to the same fundamental metabolic constraints on productivity, because they share similar body designs, vascular systems and costs of producing new tissue.

Evaluating forecasts from SETAR models of exchange rates

We consider the forecasting performance of two SETAR exchange rate models proposed by Kräger and Kugler [J. Int. Money Fin. 12 (1993) 195]. Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the data can be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the ‘state of nature’. Evaluation based on traditional measures, such as (root) mean squared forecast errors, may mask the superiority of the non-linear models. Generalized impulse response functions are also calculated as a means of portraying the asymmetric response to shocks implied by such models.

Public real estate and the term structure of interest rates: a cross-country study

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Pose Refinement of Active Models using Forces in 3D

A new algorithm is described for refining the pose of a model of a rigid object, to conform more accurately to the image structure. Elemental 3D forces are considered to act on the model. These are derived from directional derivatives of the image local to the projected model features. The convergence properties of the algorithm is investigated and compared to a previous technique. Its use in a video sequence of a cluttered outdoor traffic scene is also illustrated and assessed.

Bt cotton, pesticides, labour and health - A case study of smallholder farmers in the Makhathini Flats, Republic of South Africa

This paper describes some of the results of a detailed farm-level survey of 32 small-scale cotton farmers in the Makhathini Flats region of South Africa. The aim was to assess and measure some of the impacts (especially in terms of savings in pesticide and labour as well as benefits to human health) attributable to the use of insect-tolerant Bt cotton. The study reveals a direct cost benefit for Bt growers of SAR416 ($51) per hectare per season due to a reduction in the number of insecticide applications. Cost savings emerged in the form of lower requirements for pesticide, but also important were reduced requirements for water and labour. The reduction in the number of sprays was particularly beneficial to women who do some spraying and children who collect water and assist in spraying. The increasing adoption rate of Bt cotton appears to have a health benefit measured in terms of reported rates of accidental insecticide poisoning. These appear to be declining as the uptake of Bt cotton increases. However, the understanding of refugia and their management by local farmers are deficient and need improving. Finally, Bt cotton growers emerge as more resilient in absorbing price fluctuations.

Interpreting the response of a dryland river system to Late Quaternary climate change

A U-series calcrete chronology has been constructed for three Late Quaternary terrace units, termed the D1, D2 and D3 terraces in age descending order, from the Rio Aguas river system of the Sorbas basin, southeast Spain. The D1 terrace formed between 30,300 +/- 4400 year BP and 12,140 +/- 360 year BP, correlating well with the Last Glacial Maximum when rates of sediment supply would have increased greatly, because of higher rates of weathering, reduced vegetation cover and weak soil development. The D2 terrace formed between 12,800 +/- 1100 year BP and 9,600 +/- 530 year BP, correlating well with the Younger Dryas event. The D3 terrace could only be poorly constrained to the early Holocene and no unequivocal cause could be assigned to this period of aggradation. The sedimentology and geomorphology of the D2 terrace suggests, however, that the aggradation of this unit was a response to diapirism/karstic processes occurring within the underlying Messinian gypsum strata and the subsequent damming of the Aguas system. Therefore, despite its coincident occurrence with the Younger Dryas, aggradation of the D2 terrace is unrelated to climate change. The style of this response, controlled predominantly by the characteristics of the underlying bedrock, makes correlating the terrace record of the Aguas with other systems in the Mediterranean unreliable. This study, therefore, highlights the problems of correlating fluvial sequences in regions of variable tectonics, climatic history and bedrock geology and emphasises the need to properly understand the main controls on individual fluvial systems before any attempt is made to correlate their depositional histories. (C) 2004 Elsevier Ltd. All rights reserved.

Effects of carbon dioxide on the searching behaviour of the root-feeding clover weevil Sitona lepidus (Coleoptera : Curculionidae)

The respiratory emission of CO2 from roots is frequently proposed as an attractant that allows soil-dwelling insects to locate host plant roots, but this role has recently become less certain. CO2 is emitted from many sources other than roots, so does not necessarily indicate the presence of host plants, and because of the high density of roots in the upper soil layers, spatial gradients may not always be perceptible by soil-dwelling insects. The role of CO2 in host location was investigated using the clover root weevil Sitona lepidus Gyllenhall and its host plant white clover (Trifolium repens L.) as a model system. Rhizochamber experiments showed that CO2 concentrations were approximately 1000 ppm around the roots of white clover, but significantly decreased with increasing distance from roots. In behavioural experiments, no evidence was found for any attraction by S. lepidus larvae to point emissions of CO2, regardless of emission rates. Fewer than 15% of larvae were attracted to point emissions of CO2, compared with a control response of 17%. However, fractal analysis of movement paths in constant CO2 concentrations demonstrated that searching by S. lepidus larvae significantly intensified when they experienced CO2 concentrations similar to those found around the roots of white clover (i.e. 1000 ppm). It is suggested that respiratory emissions of CO2 may act as a 'search trigger' for S. lepidus, whereby it induces larvae to search a smaller area more intensively, in order to detect location cues that are more specific to their host plant.

Solute movement through intact columns of cryoturbated Upper Chalk

Cryoturbated Upper Chalk is a dichotomous porous medium wherein the intra-fragment porosity provides water storage and the inter-fragment porosity provides potential pathways for relatively rapid flow near saturation. Chloride tracer movement through 43 cm long and 45 cm diameter undisturbed chalk columns was studied at water application rates of 0.3, 1.0, and 1.5 cm h(-1). Microscale heterogeneity in effluent was recorded using a grid collection system consisting of 98 funnel-shaped cells each 3.5 cm in diameter. The total porosity of the columns was 0.47 +/- 0.02 m(3) m(-3), approximately 13% of pores were >15 mu m diameter, and the saturated hydraulic conductivity was 12.66 +/- 1.31 m day(-1). Although the column remained unsaturated during the leaching even at all application rates, proportionate flow through macropores increased as the application rate decreased. The number of dry cells (with 0 ml of effluent) increased as application rate decreased. Half of the leachate was collected from 15, 19 and 22 cells at 0.3, 1.0, 1.5 cm h(-1) application rates respectively. Similar breakthrough curves (BTCs) were obtained at all three application rates when plotted as a function of cumulative drainage, but they were distinctly different when plotted as a function of time. The BTCs indicate that the columns have similar drainage requirement irrespective of application rates, as the rise to the maxima (C/C-o) is almost similar. However, the time required to achieve that leaching requirement varies with application rates, and residence time was less in the case of a higher application rate. A two-region convection-dispersion model was used to describe the BTCs and fitted well (r(2) = 0.97-0-99). There was a linear relationship between dispersion coefficient and pore water velocity (correlation coefficient r = 0.95). The results demonstrate the microscale heterogeneity of hydrodynamic properties in the Upper Chalk. Copyright (C) 2007 John Wiley & Sons, Ltd.

Bt cotton, pesticides, labour and health - A case study of smallholder farmers in the Makhathini Flats, Republic of South Africa

This paper describes some of the results of a detailed farm-level survey of 32 small-scale cotton farmers in the Makhathini Flats region of South Africa. The aim was to assess and measure some of the impacts (especially in terms of savings in pesticide and labour as well as benefits to human health) attributable to the use of insect-tolerant Bt cotton. The study reveals a direct cost benefit for Bt growers of SAR416 ($51) per hectare per season due to a reduction in the number of insecticide applications. Cost savings emerged in the form of lower requirements for pesticide, but also important were reduced requirements for water and labour. The reduction in the number of sprays was particularly beneficial to women who do some spraying and children who collect water and assist in spraying. The increasing adoption rate of Bt cotton appears to have a health benefit measured in terms of reported rates of accidental insecticide poisoning. These appear to be declining as the uptake of Bt cotton increases. However, the understanding of refugia and their management by local farmers are deficient and need improving. Finally, Bt cotton growers emerge as more resilient in absorbing price fluctuations.