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.

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.

Methodological keys for the acquisition and long-term use of photographic collections representing elements of Heritage

Contributed to: Fusion of Cultures. XXXVIII Annual Conference on Computer Applications and Quantitative Methods in Archaeology – CAA2010 (Granada, Spain, Apr 6-9, 2010)

Strategic planning for long-term financing of Pacific leatherback conservation and recovery:Proceedings of the Bellagio Sea Turtle Conservation Initiative, Terengganu, Malaysia; July 2007

On 17-20 July 2007, 45 experts on sea turtles, fisheries, conservation and finance from 10 countries convened at the Bellagio Sea Turtle Conservation Initiative workshop in Terengganu to focus on methods to save the imperiled Pacific leatherback from extinction. The group developed a strategic plan to guide the prioritization and long term financing of Pacific leatherback turtle conservation and recovery objectives. Participants identified critical conservation actions and agreed that a business plan is urgently needed to reverse the trajectory towards extinction of the Pacific leatherback. The conservation actions prioritized by the participants encompassed protecting nesting beaches including eggs and nesting females; reducing direct and indirect turtle take in coastal fisheries; and strengthening regional and sub-regional cooperation. The group committed to work together on fundraising and implementation of these urgent conservation actions. This report presents outputs and the plan that was produced from the workshop.

Does Long-Term Macrophyte Management in Lakes Affect Biotic Richness and Diversity?

We hypothesize that the richness and diversity of the biota in Lake Moraine (42°50’47”N, 75°31’39”W) in New York have been negatively impacted by 60 years of macrophyte and algae management to control Eurasian watermilfoil ( Myriophyllum spicatum L.) and associated noxious plants. To test this hypothesis we compare water quality characteristics, richness and selected indicators of plant diversity, zooplankton, benthic macroinvertebrates and fish in Lake Moraine with those in nearby Hatch Lake (42°50’06”N, 75°40’67”W). The latter is of similar size and would be expected to have similar biota, but has not been subjected to management. Measurements of temperature, pH, oxygen, conductivity, Secchi transparency, calcium, total phosphorus and nitrites + nitrates are comparable. Taxa richness and the diversity indices applied to the aquatic macrophytes are similar in both lakes. (PDF has 8 pages.)

Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence

Previous research has shown a strong positive correlation between short-term persistence and long-term output growth as well as between depreciation rates and long-term output growth. This evidence, therefore, contradicts the standard predictions from traditional neoclassical or AK-type growth models with exogenous depreciation. In this paper, we first confirm these findings for a larger sample of 101 countries. We then study the dynamics of growth and persistence in a model where both the depreciation rate and growth are endogenous and procyclical. We find that the model s predictions become consistent with the empirical evidence on persistence, long-term growth and depreciation rates.

Short-Term Nonlinear Response of Tension Leg Platform in Random Sea Waves

Most of the existing mathematical models for analyzing the dynamic response of TLP are based on explicit or implicit assumptions that motions (translations and rotations) are small magnitude. However, when TLP works in severe adverse conditions, the a priori assumption on small displacements may be inadequate. In such situation, the motions should be regarded as finite magnitude. This paper will study stochastic nonlinear dynamic responses of TLP with finite displacements in random waves. The nonlinearities considered are: large amplitude motions, coupling the six degrees-of-freedom, instantaneous position, instantaneous wet surface, free surface effects and viscous drag force. The nonlinear dynamic responses are calculated by using numerical integration procedure in the time domain. After the time histories of the dynamic responses are obtained, we carry out cycle counting of the stress histories of the tethers with rain-flow counting method to get the stress range distribution.

Two-phase Flow in Fuel Cells in Short-term Microgravity Condition

A visual observation of liquid-gas two-phase flow in anode channels of a direct methanol proton exchange membrane fuel cells in microgravity has been carried out in a drop tower. The anode flow bed consisted of 2 manifolds and 11 parallel straight channels. The length, width and depth of single channel with rectangular cross section was 48.0 mm, 2.5 mm and 2.0 mm, respectively. The experimental results indicated that the size of bubbles in microgravity condition is bigger than that in normal gravity. The longer the time, the bigger the bubbles. The velocity of bubbles rising is slower than that in normal gravity because buoyancy lift is very weak in microgravity. The flow pattern in anode channels could change from bubbly flow in normal gravity to slug flow in microgravity. The gas slugs blocked supply of reactants from channels to anode catalyst layer through gas diffusion layer. When the weakened mass transfer causes concentration polarization, the output performance of fuel cells declines.

Long-Term Monitoring of Ecological Conditions In Gray’s Reef National Marine Sanctuary: Comparison of soft-bottom benthic assemblages and contaminant levels in sediments and biota in Spring 2000 and 2005

As part of an ongoing program of benthic sampling and related assessments of sediment quality at Gray’s Reef National Marine Sanctuary (GRNMS) off the coast of Georgia, a survey of soft-bottom benthic habitats was conducted in spring 2005 to characterize condition of macroinfaunal assemblages and levels of chemical contaminants in sediments and biota relative to a baseline survey carried out in spring 2000. Distribution and abundance of macrobenthos were related foremost to sediment type (median particle size, % gravel), which in turn varied according to bottom-habitat mesoscale features (e.g., association with live bottom versus flat or rippled sand areas). Overall abundance and diversity of soft-bottom benthic communities were similar between the two years, though dominance patterns and relative abundances of component species were less repeatable. Seasonal summer pulses of a few taxa (e.g., the bivalve Ervilia sp. A) observed in 2000 were not observed in 2005. Concentrations of chemical contaminants in sediments and biota, though detectable in both years, were consistently at low, background levels and no exceedances of sediment probable bioeffect levels or FDA action levels for edible fish or shellfish were observed. Near-bottom dissolved oxygen levels and organic-matter content of sediments also have remained within normal ranges. Highly diverse benthic assemblages were found in both years, supporting the premise that GRNMS serves as an important reservoir of marine biodiversity. A total of 353 taxa (219 identified to species) were collected during the spring 2005 survey. Cumulatively, 588 taxa (371 identified to species) have been recorded in the sanctuary from surveys in 2000, 2001, 2002, and 2005. Species Accumulation Curves indicate that the theoretical maximum should be in excess of 600 species. Results of this study will be of value in advancing strategic science and management goals for GRNMS, including characterization and long-term monitoring of sanctuary resources and processes, as well as supporting evolving interests in ecosystem-based management of the surrounding South Atlantic Bight (SAB) ecosystem. (PDF contains 46 pages)

Xaverian College: Seeing the long term benefit of personalised learning with bespoke VLE

Xaverian College has created a bespoke web-based solution for the academic, pastoral, managerial and administrative requirements of the College that is accessible to all staff and students. Their VLE/ILP intranet system is cutting edge as it offers a remarkable degree of integration because of its holistic approach and is very ‘student-friendly’.