Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) 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 three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation

This paper studies the comovement between output and inflation in the EU15 countries. Following den Haan (2000), I use the correlations of VAR forecast errors at different horizons in order to analyze the output-inflation relationship. The empirical results show that eight countries display a significant positive comovement between output and inflation. Moreover, the empirical evidence suggests that a Phillips curve phenomenom is more likely to be detected in countries where inflation is more stable.

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.

Records of hydrologic data, Walton County, Florida

This report presents discharge, chemical analyses, temperatures, and specific conductance records collected at 25 surface-water sites and chemical analyses of ground water, well descriptions and records of ground-water levels collected at 164 ground-water sites. It also contains 35 logs of the sedimentary rocks penetrated in the drilling of wells and test borings ranging in depth from 147 to 625 feet. These hydrologic data were collected as part of an investigation of the water resources of the county. The interpretative results of the investigation are in the report entitled, "Water resources of Walton County," by C. A. Pascale (in preparation, 1971). (108 page document)

Ground water in the Immokalee area, Collier County, Florida

The scope of the investigation involved the drilling of test holes and the detailed inventorying of existing wells in order to define the location, depth, potential yield, and chemical quality of the water contained in the shallow aquifer that might be used for the development of a central water-supply system. The field work and collection of data for the investigation covered the period 1961 through 1963. Much of the data collected for the report on the ground-water resources of Collier County (McCoy, 1962) is incorporated into this report. (Document has 36 pages.)

Ground-water resources data of Charlotte, DeSoto, and Hardee Counties, Florida

Charlotte, De Soto, and Hardee counties are east-southeast of Tampa in west-central peninsular Florida, figure 1. In order to plan the future water-resource development of the area, information about the water resources is needed. To meet this need, the Water Resources Division of the U.S. Geological Survey, in cooperation with the Peace River Basin Board of the Southwest Florida Water Management District as part of the statewide cooperative program with the Division of Geology, Florida Board of Conservation, began a continuing hydrologic data collection program in July, 1963, as an initial step in the investigation and evaluation of the groundwater resources of Hardee and De Soto counties. A similar hydrologic data program commenced in Charlotte County in July, 1964. Previous work in Hardee and De Soto counties included a one year reconnaissance by the Division of Water Resources and Conservation, Florida Board of Conservation, which concluded in June, 1963, and resulted in a hydrologic report (Woodard, 1964). As an outgrowth of the hydrologic data program, a Map Series report portraying the chemical character of water in the Floridan aquifer in the southern Peace River basin was prepared in 1967 (Kaufman and Dion). The data contained herein constitute the basis for the Map Series report. Additional selected data, including records of wells and chemical analyses,, on the ground-water resources of the three county area are also included and are published to make the data available. (Document has 28 pages.)

Water resource records of the Econfina Creek Basin area, Florida

The Econfina Creek basin area in northwestern Florida, which includes Bay County, southeastern Washiigton County, and parts of Calhoun, Gulf, and Jackson counties is shown in figure 1. The basin has an abundant supply of ground water and surface water of good quality. This determination is based on a three-year investigation of the water resources of the basin by the U. S. Geological Survey in cooperation with the Division of Geology, Florida Board of Conservation, during the period from October 1961 through June 1964. The purpose of this report is to assemble the basic data collected during this investigation for those persons interested in water development or management in this basin. (Document has 131 pages.)

Coastal engineering investigation at Jupiter Inlet, Florida

A fixed-bed hydraulic model of Jupiter Inlet, Florida, was constructed for the purpose of testing measures designed to remedy problems of sediment erosion and deposition in the inlet area. Both tide-induced flows as well as waves were simulated in the model which was built on an undistorted scale of 1:49. Model verification was based on prototype measurements of waves, tides and currents. Results have been interpreted in terms of the influence of various proposed remedial schemes on flow velocity magnitude, distribution and wave height at various locations within the study area. A stability parameter has been utilized for evaluating the degree of sediment erosion or deposition at a given location. Various structural solutions were examined in the model. It is proposed that, in the initial phase of solution implementation, sediment removal/nourishment methods be used primarily to mitigate the existing problems. New structures, as per model test results, should be installed under subsequent phases, only if sediment management procedures do not prove to be adequate. The currently followed procedure of periodic sand trap dredging may be extended to include the new dredging/nourishment requirements. (PDF contains 245 pages.)