The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

Los Modelos Implícitos de Valoración de Opciones

[ES] Los modelos implícitos constituyen uno de los enfoques de valoración de opciones alternativos al modelo de Black-Scholes que ha conocido un mayor desarrollo en los últimos años. Dentro de este planteamiento existen diferentes alternativas: los árboles implícitos, los modelos con función de volatilidad determinista y los modelos con función de volatilidad implícita. Todos ellos se construyen a partir de una estimación de la distribución de probabilidades riesgo-neutral del precio futuro del activo subyacente, congruente con los precios de mercado de las opciones negociadas. En consecuencia, los modelos implícitos proporcionan buenos resultados en la valoración de opciones dentro de la muestra. Sin embargo, su comportamiento como instrumento de predicción para opciones fuera de muestra no resulta satisfactorio. En este artículo se analiza la medida en la que este enfoque contribuye a la mejora de la valoración de opciones, tanto desde un punto de vista teórico como práctico.

Novus orbis regionum ac insularum veteribus incognitarum : una cum tabula cosmographica & aliquot alijs consimilis argumenti libellis, quorum omnium catalogus sequenti patebit pagina : his accessit copiosus rerum memorabilium index

Esta coleção, geralmente conhecida por Grineu, foi compilada por Johann Huttich e publicada por Simon Grineu, que também escreveu e assinou o prefácio. A primeira edição, "muito e rara e de inestimável valor", segundo Borba de Moraes, foi publicada na Basiléia por Jo. Hervagium, em 1532. Dessa edição, a Biblioteca Nacional do Rio de Janeiro possui um exemplar que pertencia à Biblioteca da Ajuda. A obra foi reimpressa em Paris, em 1532, e novamente na Basiléia, em 1537. Esta edição foi acrescida da carta de Maximilianus Transilvanus, secretário de Carlos V, ao Cardeal de Salzburgo. Dentre as várias ediçoes, a mais completa é a de 1555. Relata as grandes navegações e as expedições de Cristovão Colombo, Pedro Alonso, Pinzoni, Americo Vespucio, dentre outros

Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning.

Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

Decotgrel. Presentación. Index Verborum. Letra "P"

Presentación (p. 9-27). Index Verborum (p.65-89). Letra "P" (extraido del CD-Rom, p.1-184)

An examination of fluctuations in the “concentration index” of purse seiners and baitboats in the fishery for tropical tunas in the Eastern Pacific, 1951-1961

ENGLISH: In the eastern Pacific Ocean nearly all of the commercial catches of yellowfin tuna (Thunnus albacares) and skipjack (Katsuwonus pelamis) are taken by two types of vessels, baitboats, which use pole and line in conjunction with live-bait, and purse-seiners. From its inception until very recently (1959), this fishery was dominated by baitboats. This method of fishing has been described by Godsil (1938) and Shimada and Schaefer (1956). From 1951 through 1958 baitboats caught between 66.4 and 90.8 per cent of the yellowfin and between 87.2 and 95.3 per cent of the skipjack landed by the California-based fleet. These vessels fished for tuna throughout the year and covered virtually all of the area from southern California to northern Chile. The purse-seine fishery for tunas developed out of the round-haul net fisheries for California sardines and other species. Scofield (1951) gives a detailed description of the development of gear and fishing methods. Prior to 1959 many of the seiners engaged in other fisheries during the fall and early winter months and consequently most of the fishing effort for tuna occurred in the period February-August. The vessels were quite small, averaging approximately 120 tons carrying capacity (Broadhead and Marshall, 1960), in comparison to the baitboats, of which the most numerous size-class was 201-300 tons. The seiners were naturally more restricted in range than the baitboats and most of their effort was restricted to the northern grounds. During the period 1959-61 most of the large baitboats were converted for purse-seining and the existing seiner fleet was modernized. These developments increased the range of the seiner fleet and resulted in a wider and more nearly even spatial and temporal distribution of effort. By the early part of 1961, the purse-seine fleet approximated the level of the preconversion baitboat fleet in amount of effort applied and area covered. The changes in the purse-seine fishery and the fishing methods employed in the modernized fleet are described by Orange and Broadhead (1959), Broadhead and Marshall (1960), McNeely (1961) and Broadhead (1962). The change in the relative importance of the two gears is illustrated by the decline in the proportion of the total logged tonnage landed by California-based baitboats, in comparison to the proportion landed by seiners. In 1959 baitboats landed 49.5 per cent of the yellowfin and 87.8 per cent of the skipjack. In 1960 these percentages were 22.9 and 74.7 respectively and in 1961 the decline continued to 12.6 per cent of the yellowfin and 30.0 per cent of the skipjack (Schaefer, 1962). In previous Bulletins of this Commission (Griffiths, 1960; Calkins, 1961) the baitboat catch and effort statistics were used to compute two indices of population density and an index of concentration of fishing effort and the fluctuations of these indices were analyzed in some detail. Due to the change in the relative importance of the two gears it is appropriate to extend this investigation to include the purse-seine data. The objectives of this paper are to compute two indices of population density and an index of concentration of fishing effort and to examine the fluctuations in these indices before and after the changes in the fishery. A further objective is to compare the purse-seine indices with those of the baitboats for the same time periods. SPANISH: En el Océano Pacífico Oriental casi todas las capturas comerciales del atún aleta amarilla (Thunnus albacares) y del barrilete (Katsuwonus pelamis) son efectuadas por dos tipos de barcos, los barcos de carnada que emplean la caña y el anzuelo en conjunto con la carnada viva, y los barcos rederos. Desde su comienzo hasta hace poco tiempo (1959), esta pesquería estaba dominada por los barcos de carnada. El método de pesca usado por estos barcos ha sido descrito por Godsil (1938) y por Shimada y Schaefer (1956). De 1951 a 1958, los barcos de carnada pescaron entre el 66.4 y el 90.8 por ciento del atún aleta amarilla y entre el 87.2 y el 95.3 por ciento del barrilete descargados por la flota que tiene su base en California. Estos barcos pescaron atún durante todo el año y cubrieron virtualmente toda el área de California meridional hasta la parte norte de Chile. La pesquería del atún con redes de cerco se originó en las pesquerías de las sardinas de California y otras especies, con redes que se remolcaban circularmente. Scofield (1951) dá una descripción detallada del desarrollo de los métodos y del equipo de pesca. Antes de 1959 muchos de los rederos se dedicaban a otras pesquerías durante los meses del otoño y a principios del invierno y consecuentemente, la mayor parte del esfuerzo depesca para la producción del atún ocurría en el período febrero-agosto. Las embarcaciones eran bastante pequeñas, con un promedio de aproximadamente 120 toneladas de capacidad para el transporte (Broadhead y Marshall, 1960) en comparación con los barcos de carnada, de los cuales la clase de tamaño más numerosa era de 201 a 300 toneladas. Los rederos estaban naturalmente más restringidos en su radio de acción que los barcos de carnada y la mayor parte de su esfuerzo se limitaba a las localidades del norte. Durante el período 1959-61, la mayoría de los grandes barcos de carnada fueron convertidos al sistema de pesca con redes de cerco, y se modernizó la flota existente de los rederos. Estos cambios aumentaron el alcance de la flota de los barcos rederos dando como resultado una distribución más amplia y casi más uniforme del esfuerzo espaciado y temporal. En la primera parte del año 1961, la flota de rederos se aproximó al nivel de la preconversión de la flota de clipers, en la cantidad de esfuerzo aplicado y al área comprendida. Los cambios en la pesquería con red y los métodos de pesca empleados en la flota modernizada, han sido descritos por Orange y Broadhead (1959), Broadl1ead y Marshall (1960), McNeely (1961) y Broadhead (1962). El cambio en la importancia relativa de los dos sistemas de pesca está ilustrado por la declinación en la proporción del tonelaje total registrado, como descargado por los barcos de carnada que tienen su base en California, comparado con la proporción desembarcada por los barcos rederos. En 1959 los clipers descargaron el 49.5 por ciento del atún aleta amarilla y el 87.8 por ciento del barrilete. En 1960 estos porcentajes fueron del 22.9 y 74.7 respectivamente, y en 1961 continuó la reducción hasta el 12.6 por ciento del atún aleta amarilla y el 30.0 por ciento del barrilete (Schaefer, 1962). En Boletines anteriores de la Comisión (Griffiths, 1960; Calkins, 1961) las estadísticas de la pesca y el esfuerzo de los clipers se utilizaron para computar dos índices de la densidad de población y un índice de la concentración del esfuerzo de pesca, y se analizaron algo detalladamente las fluctuaciones de estos índices. Debido al cambio en la importancia relativa de los dos sistemas de pesca, es conveniente extender esta investigación para incluir los datos correspondientes a los barcos rederos. Los objetivos del presente estudio son de computar dos índices de la densidad de población y un índice de la concentración del esfuerzo de pesca, y examinar las fluctuaciones en estos índices, antes y después de los cambios en la pesquería. Otro objetivo es de comparar los índices de los barcos rederos, con aquellos de los clipers en los mismos períodos de tiempo.

Repertorio das ordenações, e leys do reyno de Portugal novamente correcto : accrescentado com muitas conclusões tiradas das mesmas ordenações, e com hum novo index no fim delle das materias das collecções, que se ajuntárão aos livros da ordenaçaõ novamente impressa : illustrado com copiosas remissões dos doutores, concordia das ordenações, leys extravagantes, decretos reaes, e assentos da relação, que se tem expedido, e feito desde a nova compilação das ordenações, e com muitas notas de casos praticos, e arestos, que deixarão apontados nas suas ordenações alguns grandes ministros deste reyno

Sob pé de imprenta: "Com as licenças necessarias, e privilegio real".

Index numbers and productivity measurement in multispecies fisheries: an application to the Pacific Coast Trawl Fleet

This study is concerned with the measurement of total factor prodnctivity in the marine fishing industries in general and in the Pacific coast trawl fishery in particular. The study is divided into two parts. Part I contains suitable empirical and introductory theoretical material for the examination of productivity in the Pacific coast trawl Deet. It is self-contained, and contains the basic formulae, empirical results, and discussion. Because the economic theory of index numbers and productivity is constantly evolving and is widely scattered throughout the economics literature, Part D draws together the theoretical literature into one place to allow ready access for readers interested in more details. The major methodological focus of the study is upon the type of economic index number that is most appropriate for use by economists with the National Marine Fisheries Service. This study recommends that the following types of economic index numbers be used: chain rather than fIxed base; bilateral rather than multilateral; one of the class of superlative indices, such as the Tornqvist or Fisher Ideal. (PDF file contains 40 pages.)

Fishery Publication Index, 1980-85 and Technical Memorandum Index, 1972-85

The following series of fishery publications produced in calendar years 1980-85 by the Scientific Publications OffIce of the National Marine Fisheries Service (NMFS), National Oceanic and Atmospheric Administration (NOAA), are listed numerically and indexed by author and subject: Circular, Fishery BuUetin, Marine Fisheries Review, Special Scientific Report-Fisheries, and Technical Report NMFS. Also included is an alphanumeric listing of the NOAA Technical Memorandum NMFS series published in calendar years 1972-85 by NMFS regional offices and fisheries centers. Authors and subjects for the Memoradum series are indexed with the other publication series. (PDF file contains 156 pages.)

Die Qualitäts-Index-Methode (QIM), ein verlässliches Instrument zur sensorischen Bewertung der Frische von Fisch

Fish research institutes in Europe have made considerable effort in developing rapid, objective sensory methods for evaluation of fish freshness. The Quality Index Method(QIM) has been recommended for a European initiative regarding standardisation and harmonisation of sensory evaluation of fish. QIM-schemes have been developed for various common European fish species. Research has now provided the industry with a convenient, objective and powerful tool for measuring freshness of fish kept in ice Further research is needed to evaluate the applicability of QIM for fish handled, stored and processed under different conditions. However, for progress and development of QIM it is now very important that the fish sector implements QIM in fish auctions and the quality management system of the fish processing plants.