Linkages between property asset returns and interest rates: evidence for the UK

This paper considers the effect of short- and long-term interest rates, and interest rate spreads upon real estate index returns in the UK. Using Johansen's vector autoregressive framework, it is found that the real estate index cointegrates with the term spread, but not with the short or long rates themselves. Granger causality tests indicate that movements in short term interest rates and the spread cause movements in the returns series. However, decomposition of the forecast error variances from VAR models indicate that changes in these variables can only explain a small proportion of the overall variability of the returns, and that the effect has fully worked through after two months. The results suggest that these financial variables could potentially be used as leading indicators for real estate markets, with corresponding implications for return predictability.

Cambium non est mutuum: exchange and interest rates in medieval Europe

A major gap in our understanding of the medieval economy concerns interest rates, especially relating to commercial credit. Although direct evidence about interest rates is scattered and anecdotal, there is much more surviving information about exchange rates. Since both contemporaries and historians have suggested that exchange and rechange transactions could be used to disguise the charging of interest in order to circumvent the usury prohibition, it should be possible to back out the interest rates from exchange rates. The following analysis is based on a new dataset of medieval exchange rates collected from commercial correspondence in the archive of Francesco di Marco Datini of Prato, c.1383-1411. It demonstrates that the time value of money was consistently incorporated into market exchange rates. Moreover, these implicit interest rates are broadly comparable to those received from other types of commercial loan and investment. Although on average profitable, the return on any individual exchange and rechange transaction did involve a degree of uncertainty that may have justified their non-usurious nature. However, there were also practical reasons why medieval merchants may have used foreign exchange transactions as a means of extending credit.

Classifying monetary economics: fields and methods from past to future

We propose a simple, yet sufficiently encompassing, classification scheme of monetary economics. It comprises three fundamental fields and six recent areas that expand within and across these fields. The elements of our scheme are not found together and in their mutual relationships in earlier studies of the relevant literature; neither does this attempt aim to produce a relatively complete systematization. Our intention in taking stock is not finality or exhaustiveness. We rather suggest a viewpoint and a possible ordering of the accumulating knowledge. Our purpose is to promote discussion on the evolving nature and internal consistency of monetary economics at large.

Unravelling the rationale of 'overgrazing' and stocking rates in the beef production systems of Central Brazil using a bi-criteria compromise programming model

In Central Brazil, the long-term sustainability of beef cattle systems is under threat over vast tracts of farming areas, as more than half of the 50 million hectares of sown pastures are suffering from degradation. Overgrazing practised to maintain high stocking rates is regarded as one of the main causes. High stocking rates are deliberate and crucial decisions taken by the farmers, which appear paradoxical, even irrational given the state of knowledge regarding the consequences of overgrazing. The phenomenon however appears inextricably linked with the objectives that farmers hold. In this research those objectives were elicited first and from their ranking two, ‘asset value of cattle (representing cattle ownership)' and ‘present value of economic returns', were chosen to develop an original bi-criteria Compromise Programming model to test various hypotheses postulated to explain the overgrazing behaviour. As part of the model a pasture productivity index is derived to estimate the pasture recovery cost. Different scenarios based on farmers' attitudes towards overgrazing, pasture costs and capital availability were analysed. The results of the model runs show that benefits from holding more cattle can outweigh the increased pasture recovery and maintenance costs. This result undermines the hypothesis that farmers practise overgrazing because they are unaware or uncaring about overgrazing costs. An appropriate approach to the problem of pasture degradation requires information on the economics, and its interplay with farmers' objectives, for a wide range of pasture recovery and maintenance methods. Seen within the context of farmers' objectives, some level of overgrazing appears rational. Advocacy of the simple ‘no overgrazing' rule is an insufficient strategy to maintain the long-term sustainability of the beef production systems in Central Brazil.

Unravelling the rationale of 'overgrazing' and stocking rates in the beef production systems of Central Brazil using a bi-criteria compromise programming model

In Central Brazil, the long-term, sustainability of beef cattle systems is under threat over vast tracts of farming areas, as more than half of the 50 million hectares of sown pastures are suffering from. degradation. Overgrazing practised to maintain high stocking rates is regarded as one of the main causes. High stocking rates are deliberate and crucial decisions taken by the farmers, which appear paradoxical, even irrational given the state of knowledge regarding the consequences of overgrazing. The phenomenon however appears inextricably linked with the objectives that farmers hold. In this research those objectives were elicited first and from their ranking two, 'asset value of cattle (representing cattle ownership and 'present value of economic returns', were chosen to develop an original bi-criteria Compromise Programming model to test various hypotheses postulated to explain the overgrazing behaviour. As part of the model a pasture productivity index is derived to estimate the pasture recovery cost. Different scenarios based on farmers' attitudes towards overgrazing, pasture costs and capital availability were analysed. The results of the model runs show that benefits from holding more cattle can outweigh the increased pasture recovery and maintenance costs. This result undermines the hypothesis that farmers practise overgrazing because they are unaware or uncaring caring about overgrazing costs. An appropriate approach to the problem of pasture degradation requires information on the economics,and its interplay with farmers' objectives, for a wide range of pasture recovery and maintenance methods. Seen within the context of farmers' objectives, some level of overgrazing appears rational. Advocacy of the simple 'no overgrazing' rule is an insufficient strategy to maintain the long-term sustainability of the beef production systems in Central Brazil. (C) 2004 Elsevier Ltd. All rights reserved.

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.

Pb-210-Ra-226 and Ra-228-Th-232 systematics in young arc lavas: implications for magma degassing and ascent rates

New data show that island arc rocks have (Pb-210/Ra-226)(o) ratios which range from as low as 0.24 up to 2.88. In contrast, (Ra-22S/Th-232) appears always within error of I suggesting that the large Ra-226-excesses observed in arc rocks were generated more than 30 years ago. This places a maximum estimate on melt ascent velocities of around 4000 m/year and provides further confidence that the Ra-226 excesses reflect deep (source) processes rather than shallow level alteration or seawater contamination. Conversely, partial melting must have occurred more than 30 years prior to eruption. The Pb-210 deficits are most readily explained by protracted magma degassing. Using published numerical models, the data suggest that degassing occurred continuously for periods up to several decades just prior to eruption but no link with eruption periodicity was found. Longer periods are required if degassing is discontinuous, less than 100% efficient or if magma is recharged or stored after degassing. The long durations suggest much of this degassing occurs at depth with implications for the formation of hydrothermal and copper-porphyry systems. A suite of lavas erupted in 1985-1986 from Sangeang Api volcano in the Sunda arc are characterised by deficits of Pb-210 relative to Ra-226 from which 6-8 years of continuous Rn-222 degassing would be inferred from recent numerical models. These data also form a linear (Pb-210)/Pb-(Ra-226)/Pb array which might be interpreted as a 71-year isochron. However, the array passes through the origin suggesting displacement downwards from the equiline in response to degassing and so the slope of the array is inferred not to have any age significance. Simple modelling shows that the range of (Ra-226)/Pb ratios requires thousands of years to develop consistent with differentiation occurring in response to cooling at the base of the crust. Thus, degassing post-dated, and was not responsible for magma differentiation. The formation, migration and extraction of gas bubbles must be extremely efficient in mafic magma whereas the higher viscosity of more siliceous magmas retards the process and can lead to Pb-210 excesses. A possible negative correlation between (Pb-210/Ra-226)(o) and SO2 emission rate requires further testing but may have implications for future eruptions. (C) 2004 Elsevier B.V. All rights reserved.

Pb-210-Ra-226 and Ra-228-Th-232 systematics in young arc lavas: implications for magma degassing and ascent rates

New data show that island arc rocks have (Pb-210/Ra-226)(o) ratios which range from as low as 0.24 up to 2.88. In contrast, (Ra-22S/Th-232) appears always within error of I suggesting that the large Ra-226-excesses observed in arc rocks were generated more than 30 years ago. This places a maximum estimate on melt ascent velocities of around 4000 m/year and provides further confidence that the Ra-226 excesses reflect deep (source) processes rather than shallow level alteration or seawater contamination. Conversely, partial melting must have occurred more than 30 years prior to eruption. The Pb-210 deficits are most readily explained by protracted magma degassing. Using published numerical models, the data suggest that degassing occurred continuously for periods up to several decades just prior to eruption but no link with eruption periodicity was found. Longer periods are required if degassing is discontinuous, less than 100% efficient or if magma is recharged or stored after degassing. The long durations suggest much of this degassing occurs at depth with implications for the formation of hydrothermal and copper-porphyry systems. A suite of lavas erupted in 1985-1986 from Sangeang Api volcano in the Sunda arc are characterised by deficits of Pb-210 relative to Ra-226 from which 6-8 years of continuous Rn-222 degassing would be inferred from recent numerical models. These data also form a linear (Pb-210)/Pb-(Ra-226)/Pb array which might be interpreted as a 71-year isochron. However, the array passes through the origin suggesting displacement downwards from the equiline in response to degassing and so the slope of the array is inferred not to have any age significance. Simple modelling shows that the range of (Ra-226)/Pb ratios requires thousands of years to develop consistent with differentiation occurring in response to cooling at the base of the crust. Thus, degassing post-dated, and was not responsible for magma differentiation. The formation, migration and extraction of gas bubbles must be extremely efficient in mafic magma whereas the higher viscosity of more siliceous magmas retards the process and can lead to Pb-210 excesses. A possible negative correlation between (Pb-210/Ra-226)(o) and SO2 emission rate requires further testing but may have implications for future eruptions. (C) 2004 Elsevier B.V. All rights reserved.

Growth of the lava dome and extrusion rates at Soufrière Hills Volcano, Montserrat, West Indies: 2005–2008

The third episode of lava dome growth at Soufrière Hills Volcano began 1 August 2005 and ended 20 April 2007. Volumes of the dome and talus produced were measured using a photo-based method with a calibrated camera for increased accuracy. The total dense rock equivalent (DRE) volume of extruded andesite magma (306 ± 51 Mm3) was similar within error to that produced in the earlier episodes but the average extrusion rate was 5.6 ± 0.9 m3s−1 (DRE), higher than the previous episodes. Extrusion rates varied in a pulsatory manner from <0.5 m3s−1 to ∼20 m3s−1. On 18 May 2006, the lava dome had reached a volume of 85 Mm3 DRE and it was removed in its entirety during a massive dome collapse on 20 May 2006. Extrusion began again almost immediately and built a dome of 170 Mm3 DRE with a summit height 1047 m above sea level by 4 April 2007. There were few moderate-sized dome collapses (1–10 Mm3) during this extrusive episode in contrast to the first episode of dome growth in 1995–8 when they were numerous. The first and third episodes of dome growth showed a similar pattern of low (<0.5 m3s−1) but increasing magma flux during the early stages, with steady high flux after extrusion of ∼25 Mm3

Association between ovarian follicle development and pregnancy rates in dairy cows undergoing spontaneous oestrous cycles

Ovarian follicle development continues in a wave-like manner during the bovine oestrous cycle giving rise to variation in the duration of ovulatory follicle development. The objectives of the present study were to determine whether a relationship exists between the duration of ovulatory follicle development and pregnancy rates following artificial insemination (AI) in dairy cows undergoing spontaneous oestrous cycles, and to identify factors influencing follicle turnover and pregnancy rate and the relationship between these two variables. Follicle development was monitored by daily transrectal ultrasonography from 10 days after oestrus until the subsequent oestrus in 158 lactating dairy cows. The cows were artificially inseminated following the second observed oestrus and pregnancy was diagnosed 35 days later. The predominant pattern of follicle development was two follicle waves (74.7%) with three follicle waves in 22.1% of oestrous cycles and four or more follicle waves in 3.2% of oestrous cycles. The interval from ovulatory follicle emergence to oestrus (EOI) was 3 days longer (P < 0.0001) in cows with two follicle waves than in those with three waves. Ovulatory follicles from two-wave oestrous cycles grew more slowly but were approximately 2 mm larger (P < 0.0001) on the day of oestrus. Twin ovulations were observed in 14.2% of oestrous cycles and occurred more frequently (P < 0.001) in three-wave oestrous cycles; consequently EOI was shorter in cows with twin ovulations. Overall, 57.0% of the cows were diagnosed pregnant 35 days after AI. Linear logistic regression analysis revealed an inverse relationship between EOI and the proportion of cows diagnosed pregnant, among all cows (n = 158; P < 0.01) and amongst those with single ovulations (n = 145; P < 0.05). Mean EOI was approximately I day shorter (P < 0.01) in cows that became pregnant than in non-pregnant cows; however, pregnancy rates did not differ significantly among cows with different patterns of follicle development. These findings confirm and extend previous observations in pharmacologically manipulated cattle and show, for the first time, that in dairy cows undergoing spontaneous oestrous cycles, natural variation in the duration of post-emergence ovulatory follicle development has a significant effect on pregnancy rate, presumably reflecting variation in oocyte developmental competence.

Association between ovarian follicle development and pregnancy rates in dairy cows undergoing spontaneous oestrous cycles

Ovarian follicle development continues in a wave-like manner during the bovine oestrous cycle giving rise to variation in the duration of ovulatory follicle development. The objectives of the present study were to determine whether a relationship exists between the duration of ovulatory follicle development and pregnancy rates following artificial insemination (AI) in dairy cows undergoing spontaneous oestrous cycles, and to identify factors influencing follicle turnover and pregnancy rate and the relationship between these two variables. Follicle development was monitored by daily transrectal ultrasonography from 10 days after oestrus until the subsequent oestrus in 158 lactating dairy cows. The cows were artificially inseminated following the second observed oestrus and pregnancy was diagnosed 35 days later. The predominant pattern of follicle development was two follicle waves (74.7%) with three follicle waves in 22.1% of oestrous cycles and four or more follicle waves in 3.2% of oestrous cycles. The interval from ovulatory follicle emergence to oestrus (EOI) was 3 days longer (P < 0.0001) in cows with two follicle waves than in those with three waves. Ovulatory follicles from two-wave oestrous cycles grew more slowly but were approximately 2 mm larger (P < 0.0001) on the day of oestrus. Twin ovulations were observed in 14.2% of oestrous cycles and occurred more frequently (P < 0.001) in three-wave oestrous cycles; consequently EOI was shorter in cows with twin ovulations. Overall, 57.0% of the cows were diagnosed pregnant 35 days after AI. Linear logistic regression analysis revealed an inverse relationship between EOI and the proportion of cows diagnosed pregnant, among all cows (n = 158; P < 0.01) and amongst those with single ovulations (n = 145; P < 0.05). Mean EOI was approximately I day shorter (P < 0.01) in cows that became pregnant than in non-pregnant cows; however, pregnancy rates did not differ significantly among cows with different patterns of follicle development. These findings confirm and extend previous observations in pharmacologically manipulated cattle and show, for the first time, that in dairy cows undergoing spontaneous oestrous cycles, natural variation in the duration of post-emergence ovulatory follicle development has a significant effect on pregnancy rate, presumably reflecting variation in oocyte developmental competence.

Production and dissolution rates of earthworm-secreted calcium carbonate

Earthworms secrete granules of calcium carbonate. These are potentially important in soil biogeochemical cycles and are routinely recorded in archaeological studies of Quaternary soils. Production rates of calcium carbonate granules by the earthworm Lumbricus terrestris L. were determined over 27 days in a range of soils with differing chemical properties (pH, organic matter content, water holding capacity, bulk composition, cation exchange capacity and exchangeable cations). Production rate varied between soils, lay in the range 0–0.043 mmolCaCO3 (0–4.3 mg) earthworm−1 d−1 with an average rate of 8 × 10−3 mmolCaCO3 (0.8 mg) earthworm−1 d−1 and was significantly correlated (r = 0.68, P ≤ 0.01) with soil pH. In a second experiment lasting 315 days earthworms repeatedly (over periods of 39–57 days) produced comparable masses of granules. Converting individual earthworm granule production rates into fluxes expressed on per hectare of land per year basis depends heavily on estimates of earthworm numbers. Using values of 10–20 L. terrestris m−2 suggests a rate of 18– 3139 molCaCO3 ha−1 yr−1. Data obtained from flow-through dissolution experiments suggest that at near neutral pH, granule geometric surface areanormalised dissolution rates are similar to those for other biogenic and inorganic calcium carbonate. Fits of the data to the dissolution relationship r = k(1 − ˝)n where r = dissolution rate, k = a rate constant, ˝ = relative saturation and n = the reaction order gave values of k = 1.72 × 10−10 mol cm−2 s−1 and n = 1.8 for the geometric surface area-normalised rates and k = 3.51 × 10−13 mol cm−2 s−1 and n = 1.8 for the BET surface area-normalised rates. In 196 day leaching column experiments trends in granule dissolution rate referenced to soil chemistry corresponded to predictions made by the SLIM model for dissolution of limestone in soil. If soil solution approaches saturation with respect to calcium carbonate granule dissolution will slow or even stop and granules be preserved indefinitely. Granules have the potential to be a small but significant component of the biogeochemical cycling of C and Ca in soil.

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.