Direct dynamical test for deterministic chaos

We present a direct and dynamical method to distinguish low-dimensional deterministic chaos from noise. We define a series of time-dependent curves which are closely related to the largest Lyapunov exponent. For a chaotic time series, there exists an envelope to the time-dependent curves, while for a white noise or a noise with the same power spectrum as that of a chaotic time series, the envelope cannot be defined. When a noise is added to a chaotic time series, the envelope is eventually destroyed with the increasing of the amplitude of the noise.

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.

The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?

Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.

How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? an Indirect Inference Approach

This paper estimates a standard version of the New Keynesian monetary (NKM) model under alternative specifications of the monetary policy rule using U.S. and Eurozone data. The estimation procedure implemented is a classical method based on the indirect inference principle. An unrestricted VAR is considered as the auxiliary model. On the one hand, the estimation method proposed overcomes some of the shortcomings of using a structural VAR as the auxiliary model in order to identify the impulse response that defines the minimum distance estimator implemented in the literature. On the other hand, by following a classical approach we can further assess the estimation results found in recent papers that follow a maximum-likelihood Bayesian approach. The estimation results show that some structural parameter estimates are quite sensitive to the specification of monetary policy. Moreover, the estimation results in the U.S. show that the fit of the NKM under an optimal monetary plan is much worse than the fit of the NKM model assuming a forward-looking Taylor rule. In contrast to the U.S. case, in the Eurozone the best fit is obtained assuming a backward-looking Taylor rule, but the improvement is rather small with respect to assuming either a forward-looking Taylor rule or an optimal plan.

The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S.

This paper empirically studies the dynamic relationship between monetary and fiscal policies by analyzing the comovements between the Fed funds rate and the primary deficit/output ratio. Simple economic thinking establishes that a negative correlation between Fed rate and deficit arises whenever the two policy authorities share a common stabilization objective. However, when budget balancing concerns lead to a drastic deficit reduction the Fed may reduce the Fed rate in order to smooth the impact of fiscal policy, which results in a positive correlation between these two policy instruments. The empirical results show (i) a significant negative comovement between Fed rate and deficit and (ii) that deficit and output gap Granger-cause the Fed funds rate during the post-Volcker era, but the opposite is not true.

On the strategic equivalence of multiple-choice test scoring rules

A disadvantage of multiple-choice tests is that students have incentives to guess. To discourage guessing, it is common to use scoring rules that either penalize wrong answers or reward omissions. These scoring rules are considered equivalent in psychometrics, although experimental evidence has not always been consistent with this claim. We model students' decisions and show, first, that equivalence holds only under risk neutrality and, second, that the two rules can be modified so that they become equivalent even under risk aversion. This paper presents the results of a field experiment in which we analyze the decisions of subjects taking multiple-choice exams. The evidence suggests that differences between scoring rules are due to risk aversion as theory predicts. We also find that the number of omitted items depends on the scoring rule, knowledge, gender and other covariates.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

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.

Annual report 2004 - North Pacific Marine Science Organization (PICES). Thirteenth meeting, Honolulu, Hawaii, U.S.A., October 14-24, 2004

Report of Opening Session (pdf 0.07 Mb) Report of Governing Council (pdf 0.2 Mb) Report of the Finance and Administration Committee (pdf 0.08 Mb) Reports of Science Board and Committees Science Board inter-sessional meeting (pdf 0.05 Mb) Science Board (pdf 0.1 Mb) Biological Oceanography Committee (pdf 0.1 Mb) Fishery Science Committee (pdf 0.04 Mb) Marine Environmental Quality Committee (pdf 0.04 Mb) Physical Oceanography and Climate Committee (pdf 0.04 Mb) Technical Committee on Data Exchange (pdf 0.04 Mb) Reports of Sections, Working and Study Groups Harmful Algal Blooms Section (pdf 0.03 Mb) Working Group 17 on Biogeochemical data integration and synthesis (pdf 0.03 Mb) Working Group 18 on Mariculture in the 21st century - The intersection between ecology, socio-economics and production (pdf 0.06 Mb) Study Group on Ecosystem-based management science and its application to the North Pacific (pdf 0.04 Mb) Reports of the Climate Change and Carrying Capacity Program Implementation Panel on the CCCC Program (pdf 0.04 Mb) BASS Task Team (pdf 0.04 Mb) CFAME Task Team (pdf 0.04 Mb) MODEL Task Team (pdf 0.04 Mb) MONITOR Task Team (pdf 0.03 Mb) REX Task Team (pdf 0.04 Mb) Reports of Advisory Panels Advisory Panel on Continuous Plankton Recorder Survey in the North Pacific (pdf 0.4 Mb) Advisory Panel on Iron Fertilization Experiment in the Subarctic Pacific Ocean (pdf 0.03 Mb) Advisory Panel on Marine Birds and Mammals (pdf 0.04 Mb) Advisory Panel on Micronekton Sampling Inter-Calibration experiment (pdf 0.04 Mb) Summary of Scientific Sessions and Workshops (pdf 0.2 Mb) Membership List (pdf 0.07 Mb) List of Participants (pdf 0.09 Mb) List of Acronyms (pdf 0.03 Mb)