An empirical analysis of the Australian dollar swap spreads

This paper examines the relationship between the Australian dollar interest rate swap spread and the term structure of the interest rates, and also the determinants of interest rate swap spreads. For this purpose, we estimate the term structure of interest rates using the parsimonious fitting function of Nelson and Siegel [Journal of Business 60 (1987) 476] for the Australian government bonds and Australian interest rate swaps for certain maturities that are not available. We analyse the swap spread over the term structure of the government bonds and how changes in swap determinants affect the changes in swap spreads. The sample period covers the daily interval from 6 December 1996 to 31 December 1999.

Volatility dynamics in the term structure of Latin American sovereign international bonds

We examine the nature of volatility dynamics in the term structure of sovereign bonds issued in international markets by major Latin American countries. Focusing only on the U.S. dollar-denominated sovereign international bonds, this study shows the heterogeneous nature of volatility effects that affect the term structure of individual countries in Latin America. Considering the significance of the Argentine credit event in the region, we also account for any change in dynamics following the Argentine default in 2001 by subsampling the pre- and postdefault windows. We also find some evidence of liquidity-driven volatility interaction in the term structure.

Testing the expectations hypothesis for interest rate term structure : some Australian evidence

Many test results are found inconsistent with the expectations hypothesis of the term structure. The aim of this paper is to re-examine the expectations hypothesis of the term structure using the Australian interest rate data from 1969(7) to 1995(7). We start with the cointegration test on R_t, r_t, and S_t followed by the Granger causality test from S_t to ∇ r_t. Finally we carry out the VAR model of cross-equation restrictions test. Our findings show that there is no conclusive rejection of the expectations hypothesis of the term structure.

‘Interest’ in Kierkegaard’s structure of consciousness

Kierkegaard’s identification of “consciousness” with “interest” (interesse) in his unfinished work Johannes Climacus adds a distinctive dimension to his phenomenology of subjectivity. Commentators, however, have largely identified interesse with lidenskab (“passion”), a conflation I argue to be mistaken, or have otherwise failed to note the structural implications of interesse for Kierkegaard’s account of cognition. I draw out these implications and argue that the Climacan account of interest as the experience of finding ourselves in-between ideality and reality implies, in the context of Kierkegaard’s trichotomous ontology of consciousness, a form of non-thetic self-referentiality built into cognition itself. This self-referentiality also has the intriguing implication of making consciousness itself inherently teleological.

Weight, physical activity and dietary behavior change in young mothers : short term results of the HeLP-her cluster randomized controlled trial

Background
Preventing weight gain rather than treating established obesity is an important economic and public health response to the rapidly increasing rates of obesity worldwide. Treatment of established obesity is complex and costly requiring multiple resources. Preventing weight gain potentially requires fewer resources to reach broad population groups, yet there is little evidence for successful interventions to prevent weight gain in the community. Women with children are an important target group because of high rates of weight gain and the potential to influence the health behaviors in family members.

Methods
The aim of this cluster randomized controlled trial was to evaluate the short term effect of a community-based self-management intervention to prevent weight gain. Two hundred and fifty mothers of young children (mean age 40 years ± 4.5, BMI 27.9 kg/m2 ± 5.6) were recruited from the community in Melbourne, Australia. The intervention group (n = 127) attended four interactive group sessions over 4 months, held in 12 local primary schools in 2006, and was compared to a group (n = 123) receiving a single, non-interactive, health education session. Data collection included self-reported weight (both groups), measured weight (intervention only), self-efficacy, dietary intake and physical activity.

Results
Mean measured weight decreased significantly in the intervention group (-0.78 kg 95% CI; -1.22 to -0.34, p < 0.001). Comparing groups using self-reported weight, both the intervention and comparison groups decreased weight, -0.75 kg (95% CI; -1.57 to 0.07, p = 0.07) and -0.72 kg (95% CI; -1.59 to 0.14 p = 0.10) respectively with no significant difference between groups (-0.03 kg, 95% CI; -1.32 to 1.26, p = 0.95). More women lost or maintained weight in the intervention group. The intervention group tended to have the greatest effect in those who were overweight at baseline and in those who weighed themselves regularly. Intervention women who rarely self-weighed gained weight (+0.07 kg) and regular self-weighers lost weight (-1.66 kg) a difference of -1.73 kg (95% CI; -3.35 to -0.11 p = 0.04). The intervention reported increased physical activity although the difference between groups did not reach significance. Both groups reported replacing high fat foods with low fat alternatives and self-efficacy deteriorated in the comparison group only.

Conclusion
Both a single health education session and interactive behavioral intervention will result in a similar weight loss in the short term, although more participants in the interactive intervention lost or maintained weight. There were small non-significant changes to physical activity and changes to fat intake specifically replacing high fat foods with low fat alternatives such as fruit and vegetables. Self-monitoring appears to enhance weight loss when part of an intervention.

Annual variation in the distribution of summer snowdrifts in the Kosciuszko alpine area, Australia, and its effect on the composition and structure of alpine vegetation

Australian alpine ecosystems are expected to diminish in extent as global warming intensifies. Alpine vegetation patterns are influenced by the duration of snow cover including the presence of snowdrifts in summer, but there is little quantitative information on landscape-scale relationships between vegetation patterns and the frequency of occurrence of persistent summer snowdrifts in the Australian alps. We mapped annual changes in summer snowdrifts in the Kosciuszko alpine region, Australia, from Landsat TM images and modelled the frequency of occurrence of persistent summer snowdrifts from long-term records (1954–2003) of winter snow depth. We then compared vegetation composition and structure among four classes that differed in the frequency of occurrence of persistent summer snowdrifts. We found a curvilinear relationship between annual winter snow depth and the area occupied by persistent snowdrifts in the following summer (r²=0.9756). Only 21 ha (0.42% of study area) was predicted to have supported summer snowdrifts in 80% of the past 50 years, while 440 ha supported persistent summer snow in 10% of years. Mean cover and species richness of vascular plants declined significantly, and species composition varied significantly, as the frequency of summer snow persistence increased. Cushion plants and rushes were most abundant where summer snowdrifts occurred most frequently, and shrubs, grasses and sedges were most abundant in areas that did not support snowdrifts in summer. The results demonstrate strong regional relationships between vegetation composition and structure and the frequency of occurrence of persistent summer snowdrifts. Reductions in winter snow depth due to global warming are expected to lead to substantial reductions in the extent of persistent summer snowdrifts. As a consequence, shrubs, grasses and sedges are predicted to expand at the expense of cushion plants and rushes, reducing landscape vegetation diversity. Fortunately, few vascular plant species (e.g. Ranunculus niphophilus) appear to be totally restricted to areas where summer snow occurs most frequently. The results from this study highlight potential indicator species that could be monitored to assess the effects of global warming on Australian alpine environments.

Real interest rates, inflation and the open economy : a regime-switching perspective on Australia and New Zealand

We investigate the time-series properties of Australian and New Zealand real interest rates within a Markov-switching framework. This enables us to identify characteristics in real interest rate behavior hitherto unacknowledged. We find that rates switch between alternative stationary regimes characterized by differing means, speeds of mean-reversion and volatility. For New Zealand, high rates of inflation increase the probability of remaining in a regime characterized by a faster speed of adjustment. Further application of this methodology considers the real interest rate differential between Australia and New Zealand and points to differing regimes based on volatility rather than persistence.

The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves : empirical evidence from China

This article examines the long-run and short-run relationship between China's real exchange rate, foreign exchange reserves and the real interest rate differential between China and the United States using monthly data from 1980 to 2002. Extensive testing for unit roots allowing for up to two structural breaks in the trend indicates that the variables are not integrated of the same order. Thus, the bounds testing approach to cointegration is used, which finds that there is a single long-run relationship between the three variables. In the long run the real exchange rate has a statistically significant positive effect on foreign exchange reserves. The coefficient on the real interest rate differential is also positive, but is statistically insignificant. In the short-run it is found that the relationship between the real exchange rate, real interest rate differential and foreign exchange reserves is non-monotonic.

Fine structure of shear bands formed during hot deformation of two austenitic steels

Shear bands formed during both cold and hot plastic deformation have been linked with several proposed mechanisms for the formation of ultrafine grains. The aim of the present work was to undertake a detailed investigation of the microstructural and crystallographic characteristics of the shear bands formed during hot deformation of a 22Cr-19Ni-3Mo (mass%) austenitic stainless steel and a Fe-30 mass%Ni based austenitic model alloy. These alloys were subjected to deformation in torsion and plane strain compression (PSC), respectively, at temperatures of 900°C and 950°C and strain rates of 0.7s_-1 and 10s_-1, respectively. Transmission electron microscopy and electron backscatter diffraction in conjunction with scanning electron microscopy were employed in the investigation. It has been observed that shear bands already started to form at moderate strains in a matrix of pre-existing microbands and were composed of fine, slightly elongated subgrains (fragments). These bands propagated along a similar macroscopic path and the subgrains, present within their substructure, were rotated relative to the surrounding matrix about axes approximately parallel to the sample radial and transverse directions for deformation in torsion and PSC, respectively. The subgrain boundaries were largely observed to be non-crystallographic, suggesting that the subgrains generally formed via multiple slip processes. Shear bands appeared to form through a co-operative nucleation of originally isolated subgrains that gradually interconnected with the others to form long, thin bands that subsequently thickened via the formation of new subgrains. The observed small dimensions of the subgrains present within shear bands and their large misorientations clearly indicate that these subgrains can serve as potent nucleation sites for the formation of ultrafine grain structures during both subsequent recrystallisation, as observed during the present PSC experiments, and phase transformation.

The short-term responses of small mammals to wildfire in semiarid mallee shrubland, Australia

Context. Wildfire is a major driver of the structure and function of mallee eucalypt- and spinifex-dominated landscapes. Understanding how fire influences the distribution of biota in these fire-prone environments is essential for effective ecological and conservation-based management.

Aims. We aimed to (1) determine the effects of an extensive wildfire (118 000 ha) on a small mammal community in the mallee shrublands of semiarid Australia and (2) assess the hypothesis that the fire-response patterns of small mammals can be predicted by their life-history characteristics.

Methods. Small-mammal surveys were undertaken concurrently at 26 sites: once before the fire and on four occasions following the fire (including 14 sites that remained unburnt). We documented changes in small-mammal occurrence before and after the fire, and compared burnt and unburnt sites. In addition, key components of vegetation structure were assessed at each site.

Key results. Wildfire had a strong influence on vegetation structure and on the occurrence of small mammals. The mallee ningaui, Ningaui yvonneae, a dasyurid marsupial, showed a marked decline in the immediate post-fire environment, corresponding with a reduction in hummock-grass cover in recently burnt vegetation. Species richness of native small mammals was positively associated with unburnt vegetation, although some species showed no clear response to wildfire.

Conclusions. Our results are consistent with the contention that mammal responses to fire are associated with their known life-history traits. The species most strongly affected by wildfire, N. yvonneae, has the most specific habitat requirements and restricted life history of the small mammals in the study area. The only species positively associated with recently burnt vegetation, the introduced house mouse, Mus domesticus, has a flexible life history and non-specialised resource requirements.

Implications. Maintaining sources for recolonisation after large-scale wildfires will be vital to the conservation of native small mammals in mallee ecosystems.

The relationship between exchange rates, interest rates and Australian bank returns

Although there has been significant research on US financial intermediaries' stock returns and sensitivity to interest yields, there has only been limited research on Australian bank stock returns and key macro variables, such as interest rates and exchange rates. The aim of this article is to examine this relationship for four major Australian banks, namely the Australia New Zealand bank (ANZ), the Commonwealth Bank of Australia (CBA), the National Australia Bank (NAB) and the Westpac Banking Corporation (WBC). We use the EGARCH model and examine the relationship using monthly data covering the period 1992 to 2007. The results suggest that for all four banks: (1) there is a similar and statistically significant negative relationship between interest rates and stock returns; and (2) there is evidence of an increase in returns during the period of appreciation of the Australian dollar.

Credit risk of interest rate swaps : a comparative study of CIR and Monte Carlo simulation approach

This paper compares the credit risk profile for two types of model, the Monte Carlo model used in the existing literature, and the Cox, Ingersoll and Ross (CIR) model. Each of the profiles has a concave or hump-backed shape, reflecting the amortisation and diffusion effects. However, the CIR model generates significantly different results. In addition, we consider the sensitivity of these models of credit risk to initial interest rates, volatility, maturity, kappa and delta. The results show that the sensitivities vary across the models, and we explore the meaning of that variation.

Modeling volatility and changes in the swap spread

We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and to changes in the liquidity premium for government securities. Swap spread changes are negatively related to changes in the level of interest rates and changes in the slope of the term structure. We also find that there is a strong and significant volatility interaction among spreads for swaps of different maturities and that the process for the conditional variance of the spread is highly persistent across all maturities.

Microsatellite variation in the yellowhammer Emberiza citrinella : population structure of a declining farmland bird

In recent years, there has been much concern in the UK about population declines of widespread species in agricultural habitats. Conservation-orientated research on declining birds has focused on vital rates of survival and productivity. However, the environmental factors which may influence movements between populations of widespread species is poorly understood. Population genetic structure is an indirect description of dispersal between groups of individuals. To attempt to develop an understanding of genetic structuring in a widespread, but declining, farmland bird, we therefore investigated the yellowhammer, Emberiza citrinella, population in England and Wales using microsatellite data. Our first aim was to investigate whether there was genetic substructuring in the population. A second aim was to investigate if there was a relationship between genetic distances and various environmental variables. Finally, we analysed the microsatellite data for evidence of loss of genetic variation due to population decline. Our data showed a slight but significant structure within the yellowhammer population. This therefore cannot be considered a panmictic population. Our example from South Cumbria implies that high-altitude barriers may have a slight influence on population structure. However, on the whole, genetic distances between sample sites were not significantly correlated with geographical distances, degrees of population connectivity, high altitudes, or differences in precipitation between sites. Finally, we detected departures from mutation-drift equilibrium (excess heterozygosity), which is indicative of a loss of genetic variation through recent decline.

Structure of the analgesic μ-Conotoxin KIIIA and effects on the structure and function of disulfide deletion

μ-Conotoxin μ-KIIIA, from Conus kinoshitai, blocks mammalian neuronal voltage-gated sodium channels (VGSCs) and is a potent analgesic following systemic administration in mice. We have determined its solution structure using NMR spectroscopy. Key residues identified previously as being important for activity against VGSCs (Lys7, Trp8, Arg10, Asp11, His12, and Arg14) all reside on an α-helix with the exception of Arg14. To further probe structure−activity relationships of this toxin against VGSC subtypes, we have characterized the analogue μ-KIIIA[C1A,C9A], in which the Cys residues involved in one of the three disulfides in μ-KIIIA were replaced with Ala. Its structure is quite similar to that of μ-KIIIA, indicating that the Cys1−Cys9 disulfide bond could be removed without any significant distortion of the α-helix bearing the key residues. Consistent with this, μ-KIIIA[C1A,C9A] retained activity against VGSCs, with its rank order of potency being essentially the same as that of μ-KIIIA, namely, NaV1.2 > NaV1.4 > NaV1.7 ≥ NaV1.1 > NaV1.3 > NaV1.5. Kinetics of block were obtained for NaV1.2, NaV1.4, and NaV1.7, and in each case, both kon and koff values of μ-KIIIA[C1A,C9A] were larger than those of μ-KIIIA. Our results show that the key residues for VGSC binding lie mostly on an α-helix and that the first disulfide bond can be removed without significantly affecting the structure of this helix, although the modification accelerates the on and off rates of the peptide against all tested VGSC subtypes. These findings lay the groundwork for the design of minimized peptides and helical mimetics as novel analgesics.