Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.

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.

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.

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)

Proceedings of the Second PICES Workshop on the Okhotsk Sea and Adjacent Areas [Nemuro, Japan, November 9-12, 1998]

Table of Contents [pdf, 0.01 Mb] Preface [pdf, 0.01 Mb] Masaaki Aota Long-term tendencies of sea ice concentration and air temperature in the Okhotsk Sea coast of Hokkaido [pdf, 0.05 Mb] Hajime Ito & Miki Yoshioka Geography of the seasonally ice covered seas [pdf, 0.5 Mb] George V. Shevchenko & Victor F. Putov On wind and tide induced sea-ice drift on the northeastern shelf of Sakhalin Island (analysis of radar data) [pdf, 0.96 Mb] Boris S. Dyakov, A.A. Nikitin, L. S. Muktepavel & T.A. Shatilina Variability of the Japan and Okhotsk Seas ice cover depending on geopotential field H500 over the Far-Eastern region [pdf, 0.10 Mb] Aleksandr G. Petrov & Nikolay A. Rykov Intermediate cold layer and ice cover in the Sea of Okhotsk [pdf, 0.37 Mb] Vladimir Ponomarev, Olga Trusenkova, Elena Ustinova & Dmitry Kaplunenko Interannual variations of oceanographic and meteorological characteristics in the Sea of Okhotsk [pdf, 0.16 Mb] George V. Shevchenko & Akie Kato Seasonal and interannual changes of atmospheric pressure, air and water temperature in the area of the Kuril Ridge [pdf, 0.13 Mb] George V. Shevchenko & Vladimir Yu. Saveliev Spatial variability of the wind field in the area of the Kuril Islands [pdf, 0.15 Mb] Alexander L. Figurkin & Igor A. Zhigalov Seasonal variability and specifity of the oceanological conditions in the northern Okhotsk Sea in 1997 [pdf, 1.04 Mb] Igor A. Zhabin Ventilation of the upper portion of the intermediate water in the Okhotsk Sea [pdf, 0.80 Mb] Vladimir A. Luchin & Alexander L. Figurkin Oceanographic conditions over the Kashevarov Bank [pdf, 0.61 Mb] Toshiyuki Awaji, Tomohiro Nakamura, Takaki Hatayama, Kazunori Akimoto & Takatoshi Takizawa Tidal exchange through the Kuril Straits [pdf, 2.01 Mb] Tomohiro Nakamura, Toshiyuki Awaji, Takaki Hatayama, Kazunori Akimoto, Takatoshi Takizawa & Masao Fukasawa Vertical mixing induced by tidally generated internal waves in the Kuril Straits [pdf, 0.83 Mb] Katsuro Katsumata & Ichiro Yasuda Water exchange between the Okhotsk Sea and the North Pacific Ocean estimated by simple models [pdf, 0.97 Mb] Konstantin A. Rogachev Oyashio west path culmination as the consequence of a rapid thermohaline transition in the Pacific Subarctic [pdf, 0.22 Mb] Yasuhiro Kawasaki On the year-to-year change in subarctic water characteristics around the Kuril Islands [pdf, 0.39 Mb] Alexander L. Figurkin & Evgeniy E. Ovsyannikov Influence of oceanological conditions of the West Kamchatka shelf waters on spawning grounds and on pollock egg distribution [pdf, 0.97 Mb] Igor E. Kochergin & Alexander A. Bogdanovsky Transport and turbulence characteristics for the northeastern Sakhalin shelf conditions [pdf, 0.08 Mb] Igor E. Kochergin, Alexander A. Bogdanovsky, Valentina D. Budaeva, Vyacheslav G. Makarov, Vasily F. Mishukov, S.N. Ovsienko, Victor F. Putov, L.A. Reitsema, J.W. Sciallabba, O.O. Sergucheva & P.V. Yarosh Modeling of oil spills for the shelf conditions of northeastern Sakhalin [pdf, 0.32 Mb] Valentina D. Budaeva & Vyacheslav G. Makarov A peculiar water regime of currents in the area of eastern Sakhalin shelf [pdf, 0.66 Mb] Nikolay A. Rykov The oceanographic databases on the Sakhalin shelf [pdf, 0.27 Mb] Akifumi Nakata, Iori Tanaka, Hiroki Yagi, Tomomi Watanabe, Gennady A. Kantakov & Andrew D. Samatov Formation of high-density water (over 26.8 sigma-t) near the La Perouse Strait (the Soya Strait) [pdf, 0.09 Mb] Minoru Odamaki & Kouji Iwamoto Currents and tidal observations by Hydrographic Department of Maritime Safety Agency, off the Okhotsk coast of Hokkaido [pdf, 0.16 Mb] Yasushi Fukamachi, Genta Mizuta, Kay I. Ohshima, Motoyo Itoh, Masaaki Wakatsuchi & Masaaki Aota Mooring measurements off Shiretoko Peninsula, Hokkaido in 1997-1998 [pdf, 0.19 Mb] Mikhail A. Danchenkov, David Aubrey & Stephen C. Riser Oceanographic features of the La Perouse Strait [pdf, 0.91 Mb] Iori Tanaka & Akifumi Nakata Results of direct current measurements in the La Perouse Strait (the Soya Strait), 1995-1998 [pdf, 0.06 Mb] Gennady A. Kantakov & George V. Shevchenko In situ observations of Tsushima and West-Sakhalin currents near La Perouse (Soya) Strait [pdf, 0.79 Mb] Irina Y. Bragina Geographical and biological characteristics of the net zooplankton in the southwestern part of the Sea of Okhotsk during 1987-1996 [pdf, 0.27 Mb] List of corresponding authors [pdf, 0.01 Mb] (Document pdf contains 193 pages)

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.)