Geochemistry and petrogenesis of the McElroy and Larder Lake assemblages, Abitibi Greenstone Belt, Northeastern Ontario

The McElroy and Larder Lake assemblages, located in the southern Abitibi Greenstone Belt are two late Archean metavolcanic sequences having markedly contrasting physical characteristics arid are separated from one another by a regional fault. An assemblage is an informal term which describes stratified volcanic and/or sedimentary rock units built during a specific time period in a similar depositional or volcanic setting and are commonly bounded by faults, unconformities or intrusions. The petrology and petrogenesis of these assemblages have been investigated to determine if a genetic link exists between the two adjacent assemblages. The McElroy assemblage is homoclinal sequence of evolved massive and pillowed fl.ows, which except for the basal unit represents a progressively fractionated volcanic pile. From the base to the top of the assemblage the lithologies include Fe-tholeiitic, dendritic flows; komatiite basaltic, ultramafic flows; Mg-tholeiitic, leucogabbro; Mg-tholeiitic, massive flows and Fe-tholeiitic, pillowed flows. Massive flows range from coarse grained to aphanitic and are commonly plagioclase glomerophyric. The Larder Lake assemblage consists of komatiitic, Mg-rich and Fe-rich tholeiitic basalts, structurally disrupted by folds and faults. Tholeiitic rocks in the Larder Lake assemblage range from aphanitic to coarse grained massive and pillowed flows. Komatiitic flows contain both spinifex and massive textures. Geochemical variability within both assemblages is attributed to different petrogenetic histories. The lithologies of the McElroy assemblage were derived by partial melting of a primitive mantle source followed by various degrees of crystal fractionation. Partial melting of a primitive mantle source generated the ultramafic flows and possibly other flows in the assemblage. Fractionation of ultramafic flows may have also produced the more evolved McElroy lithologies. The highly evolved, basal, dendritic flow may represent the upper unit 3 of a missing volcanic pile in which continued magmatism generated the remaining McElroy lithologies. Alternatively, the dendritic flows may represent a primary lava derived from a low degree (10-15%) partial melt of a primitive mantle source which was followed by continued partial melting to generate the ultramafic flows. The Larder Lake lithologies were derived by partial melting of a komatiitic source followed by gabbroic fractionation. The tectonic environment for both assemblages is interpreted to be an oceanic arc setting. The McElroy assemblage lavas were generated in a mature back arc setting whereas the Larder Lake lithologies were produced during the early stages of komatiitc crust subduction. This setting is consistent with previous models involving plate tectonic processes for the generation of other metavolcanic assemblages in the Abitibi Greenstone Belt.

Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

Uncovering Financial Markets Beliefs About Inflation Targets

This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter is subject to a targeting policy by the Central Bank. Two competing models that econometrically describe agents’ inferences about inflation targets are developed and shown to generate distinct predictions on the behavior of interest rates. In an empirical application to the Canadian inflation target zone, results indicate that agents perceive the band to be substantially narrower than officially announced and asymmetric around the stated mid-point. The latter result (i) suggests that the monetary authority attaches different weights to positive and negative deviations from the central target, and (ii) challenges on empirical grounds the assumption, frequently made in the literature, that the policy maker’s loss function is symmetric (usually a quadratic function) around a desired inflation value.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Skewness risk and bond prices

Statistical evidence is reported that even outside disaster periods, agents face negative consumption skewness, as well as positive inflation skewness. Quantitative implications of skewness risk for nominal loan contracts in a pure exchange economy are derived. Key modeling assumptions are Epstein-Zin preferences for traders and asymmetric distributions for consumption and inflation innovations. The model is solved using a third-order perturbation and estimated by the simulated method of moments. Results show that skewness risk accounts for 6 to 7 percent of the risk premia depending on the bond maturity.

Essays in macro finance and monetary economics

Les questions abordées dans les deux premiers articles de ma thèse cherchent à comprendre les facteurs économiques qui affectent la structure à terme des taux d'intérêt et la prime de risque. Je construis des modèles non linéaires d'équilibre général en y intégrant des obligations de différentes échéances. Spécifiquement, le premier article a pour objectif de comprendre la relation entre les facteurs macroéconomiques et le niveau de prime de risque dans un cadre Néo-keynésien d'équilibre général avec incertitude. L'incertitude dans le modèle provient de trois sources : les chocs de productivité, les chocs monétaires et les chocs de préférences. Le modèle comporte deux types de rigidités réelles à savoir la formation des habitudes dans les préférences et les coûts d'ajustement du stock de capital. Le modèle est résolu par la méthode des perturbations à l'ordre deux et calibré à l'économie américaine. Puisque la prime de risque est par nature une compensation pour le risque, l'approximation d'ordre deux implique que la prime de risque est une combinaison linéaire des volatilités des trois chocs. Les résultats montrent qu'avec les paramètres calibrés, les chocs réels (productivité et préférences) jouent un rôle plus important dans la détermination du niveau de la prime de risque relativement aux chocs monétaires. Je montre que contrairement aux travaux précédents (dans lesquels le capital de production est fixe), l'effet du paramètre de la formation des habitudes sur la prime de risque dépend du degré des coûts d'ajustement du capital. Lorsque les coûts d'ajustement du capital sont élevés au point que le stock de capital est fixe à l'équilibre, une augmentation du paramètre de formation des habitudes entraine une augmentation de la prime de risque. Par contre, lorsque les agents peuvent librement ajuster le stock de capital sans coûts, l'effet du paramètre de la formation des habitudes sur la prime de risque est négligeable. Ce résultat s'explique par le fait que lorsque le stock de capital peut être ajusté sans coûts, cela ouvre un canal additionnel de lissage de consommation pour les agents. Par conséquent, l'effet de la formation des habitudes sur la prime de risque est amoindri. En outre, les résultats montrent que la façon dont la banque centrale conduit sa politique monétaire a un effet sur la prime de risque. Plus la banque centrale est agressive vis-à-vis de l'inflation, plus la prime de risque diminue et vice versa. Cela est due au fait que lorsque la banque centrale combat l'inflation cela entraine une baisse de la variance de l'inflation. Par suite, la prime de risque due au risque d'inflation diminue. Dans le deuxième article, je fais une extension du premier article en utilisant des préférences récursives de type Epstein -- Zin et en permettant aux volatilités conditionnelles des chocs de varier avec le temps. L'emploi de ce cadre est motivé par deux raisons. D'abord des études récentes (Doh, 2010, Rudebusch and Swanson, 2012) ont montré que ces préférences sont appropriées pour l'analyse du prix des actifs dans les modèles d'équilibre général. Ensuite, l'hétéroscedasticité est une caractéristique courante des données économiques et financières. Cela implique que contrairement au premier article, l'incertitude varie dans le temps. Le cadre dans cet article est donc plus général et plus réaliste que celui du premier article. L'objectif principal de cet article est d'examiner l'impact des chocs de volatilités conditionnelles sur le niveau et la dynamique des taux d'intérêt et de la prime de risque. Puisque la prime de risque est constante a l'approximation d'ordre deux, le modèle est résolu par la méthode des perturbations avec une approximation d'ordre trois. Ainsi on obtient une prime de risque qui varie dans le temps. L'avantage d'introduire des chocs de volatilités conditionnelles est que cela induit des variables d'état supplémentaires qui apportent une contribution additionnelle à la dynamique de la prime de risque. Je montre que l'approximation d'ordre trois implique que les primes de risque ont une représentation de type ARCH-M (Autoregressive Conditional Heteroscedasticty in Mean) comme celui introduit par Engle, Lilien et Robins (1987). La différence est que dans ce modèle les paramètres sont structurels et les volatilités sont des volatilités conditionnelles de chocs économiques et non celles des variables elles-mêmes. J'estime les paramètres du modèle par la méthode des moments simulés (SMM) en utilisant des données de l'économie américaine. Les résultats de l'estimation montrent qu'il y a une évidence de volatilité stochastique dans les trois chocs. De plus, la contribution des volatilités conditionnelles des chocs au niveau et à la dynamique de la prime de risque est significative. En particulier, les effets des volatilités conditionnelles des chocs de productivité et de préférences sont significatifs. La volatilité conditionnelle du choc de productivité contribue positivement aux moyennes et aux écart-types des primes de risque. Ces contributions varient avec la maturité des bonds. La volatilité conditionnelle du choc de préférences quant à elle contribue négativement aux moyennes et positivement aux variances des primes de risque. Quant au choc de volatilité de la politique monétaire, son impact sur les primes de risque est négligeable. Le troisième article (coécrit avec Eric Schaling, Alain Kabundi, révisé et resoumis au journal of Economic Modelling) traite de l'hétérogénéité dans la formation des attentes d'inflation de divers groupes économiques et de leur impact sur la politique monétaire en Afrique du sud. La question principale est d'examiner si différents groupes d'agents économiques forment leurs attentes d'inflation de la même façon et s'ils perçoivent de la même façon la politique monétaire de la banque centrale (South African Reserve Bank). Ainsi on spécifie un modèle de prédiction d'inflation qui nous permet de tester l'arrimage des attentes d'inflation à la bande d'inflation cible (3% - 6%) de la banque centrale. Les données utilisées sont des données d'enquête réalisée par la banque centrale auprès de trois groupes d'agents : les analystes financiers, les firmes et les syndicats. On exploite donc la structure de panel des données pour tester l'hétérogénéité dans les attentes d'inflation et déduire leur perception de la politique monétaire. Les résultats montrent qu'il y a évidence d'hétérogénéité dans la manière dont les différents groupes forment leurs attentes. Les attentes des analystes financiers sont arrimées à la bande d'inflation cible alors que celles des firmes et des syndicats ne sont pas arrimées. En effet, les firmes et les syndicats accordent un poids significatif à l'inflation retardée d'une période et leurs prédictions varient avec l'inflation réalisée (retardée). Ce qui dénote un manque de crédibilité parfaite de la banque centrale au vu de ces agents.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Asymmetries in Business Cycles

Esta disertación busca estudiar los mecanismos de transmisión que vinculan el comportamiento de agentes y firmas con las asimetrías presentes en los ciclos económicos. Para lograr esto, se construyeron tres modelos DSGE. El en primer capítulo, el supuesto de función cuadrática simétrica de ajuste de la inversión fue removido, y el modelo canónico RBC fue reformulado suponiendo que des-invertir es más costoso que invertir una unidad de capital físico. En el segundo capítulo, la contribución más importante de esta disertación es presentada: la construcción de una función de utilidad general que anida aversión a la pérdida, aversión al riesgo y formación de hábitos, por medio de una función de transición suave. La razón para hacerlo así es el hecho de que los individuos son aversos a la pérdidad en recesiones, y son aversos al riesgo en auges. En el tercer capítulo, las asimetrías en los ciclos económicos son analizadas junto con ajuste asimétrico en precios y salarios en un contexto neokeynesiano, con el fin de encontrar una explicación teórica de la bien documentada asimetría presente en la Curva de Phillips.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Aqueous geochemistry and oxygen isotope compositions of acid mine drainage from the Río Tinto, SW Spain, highlight inconsistencies in current models

The Rio Tinto river in SW Spain is a classic example of acid mine drainage and the focus of an increasing amount of research including environmental geochemistry, extremophile microbiology and Mars-analogue studies. Its 5000-year mining legacy has resulted in a wide range of point inputs including spoil heaps and tunnels draining underground workings. The variety of inputs and importance of the river as a research site make it an ideal location for investigating sulphide oxidation mechanisms at the field scale. Mass balance calculations showed that pyrite oxidation accounts for over 93% of the dissolved sulphate derived from sulphide oxidation in the Rio Tinto point inputs. Oxygen isotopes in water and sulphate were analysed from a variety of drainage sources and displayed delta O-18((SO4-H2O)) values from 3.9 to 13.6 parts per thousand, indicating that different oxidation pathways occurred at different sites within the catchment. The most commonly used approach to interpreting field oxygen isotope data applies water and oxygen fractionation factors derived from laboratory experiments. We demonstrate that this approach cannot explain high delta O-18((SO4-H2O)) values in a manner that is consistent with recent models of pyrite and sulphoxyanion oxidation. In the Rio Tinto, high delta O-18((SO4-H2O)) values (11.2-13.6 parts per thousand) occur in concentrated (Fe = 172-829 mM), low pH (0.88-1.4), ferrous iron (68-91% of total Fe) waters and are most simply explained by a mechanism involving a dissolved sulphite intermediate, sulphite-water oxygen equilibrium exchange and finally sulphite oxidation to sulphate with O-2. In contrast, drainage from large waste blocks of acid volcanic tuff with pyritiferous veins also had low pH (1.7). but had a low delta O-18((SO4-H2O)) value of 4.0 parts per thousand and high concentrations of ferric iron (Fe(III) = 185 mM, total Fe = 186 mM), suggesting a pathway where ferric iron is the primary oxidant, water is the primary source of oxygen in the sulphate and where sulphate is released directly from the pyrite surface. However, problems remain with the sulphite-water oxygen exchange model and recommendations are therefore made for future experiments to refine our understanding of oxygen isotopes in pyrite oxidation. (C) 2009 Elsevier B.V. All rights reserved.

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.

Comparing projections of future changes in runoff from hydrological and biome models in ISI-MIP

Future changes in runoff can have important implications for water resources and flooding. In this study, runoff projections from ISI-MIP (Inter-sectoral Impact Model Inter-comparison Project) simulations forced with HadGEM2-ES bias-corrected climate data under the Representative Concentration Pathway 8.5 have been analysed for differences between impact models. Projections of change from a baseline period (1981-2010) to the future (2070-2099) from 12 impacts models which contributed to the hydrological and biomes sectors of ISI-MIP were studied. The biome models differed from the hydrological models by the inclusion of CO2 impacts and most also included a dynamic vegetation distribution. The biome and hydrological models agreed on the sign of runoff change for most regions of the world. However, in West Africa, the hydrological models projected drying, and the biome models a moistening. The biome models tended to produce larger increases and smaller decreases in regionally averaged runoff than the hydrological models, although there is large inter-model spread. The timing of runoff change was similar, but there were differences in magnitude, particularly at peak runoff. The impact of vegetation distribution change was much smaller than the projected change over time, while elevated CO2 had an effect as large as the magnitude of change over time projected by some models in some regions. The effect of CO2 on runoff was not consistent across the models, with two models showing increases and two decreases. There was also more spread in projections from the runs with elevated CO2 than with constant CO2. The biome models which gave increased runoff from elevated CO2 were also those which differed most from the hydrological models. Spatially, regions with most difference between model types tended to be projected to have most effect from elevated CO2, and seasonal differences were also similar, so elevated CO2 can partly explain the differences between hydrological and biome model runoff change projections. Therefore, this shows that a range of impact models should be considered to give the full range of uncertainty in impacts studies.

Energy-balance mechanisms underlying consistent large-scale temperature responses in warm and cold climates

Climate simulations show consistent large-scale temperature responses including amplified land–ocean contrast, high-latitude/low-latitude contrast, and changes in seasonality in response to year-round forcing, in both warm and cold climates, and these responses are proportional and nearly linear across multiple climate states. We examine the possibility that a small set of common mechanisms controls these large-scale responses using a simple energy-balance model to decompose the temperature changes shown in multiple lgm and abrupt4 × CO 2 simulations from the CMIP5 archive. Changes in the individual components of the energy balance are broadly consistent across the models. Although several components are involved in the overall temperature responses, surface downward clear-sky longwave radiation is the most important component driving land–ocean contrast and high-latitude amplification in both warm and cold climates. Surface albedo also plays a significant role in promoting high-latitude amplification in both climates and in intensifying the land–ocean contrast in the warm climate case. The change in seasonality is a consequence of the changes in land–ocean and high-latitude/low-latitude contrasts rather than an independent temperature response. This is borne out by the fact that no single component stands out as being the major cause of the change in seasonality, and the relative importance of individual components is different in cold and warm climates.

The option market reaction to bank loan announcements

In this study, we examine the options market reaction to bank loan announcements for the population of US firms with traded options and loan announcements during 1996-2010. We get evidence on a significant options market reaction to bank loan announcements in terms of levels and changes in short-term implied volatility and its term structure, and observe significant decreases in short-term implied volatility, and significant increases in the slope of its term structure as a result of loan announcements. Our findings appear to be more pronounced for firms with more information asymmetry, lower credit ratings and loans with longer maturities and higher spreads. Evidence is consistent with loan announcements providing reassurance for investors in the short-term, however, over longer time horizons, the increase in the TSIV slope indicates that investors become increasingly unsure over the potential risks of loan repayment or uses of the proceeds.

Destructive weighted Poisson cure rate models

In this paper, we develop a flexible cure rate survival model by assuming the number of competing causes of the event of interest to follow a compound weighted Poisson distribution. This model is more flexible in terms of dispersion than the promotion time cure model. Moreover, it gives an interesting and realistic interpretation of the biological mechanism of the occurrence of event of interest as it includes a destructive process of the initial risk factors in a competitive scenario. In other words, what is recorded is only from the undamaged portion of the original number of risk factors.