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.

Limited genetic structure of Gulf Menhaden (Brevoortia patronus), as revealed by microsatellite markers developed for the genus Brevoortia (Clupeidae)

Long-term sustainable management of wild populations should be based on management actions that account for the genetic structure among populations. Knowledge of genetic structure and of the degree of demographic exchange between discreet [sic] populations allows managers to better define management units. However, adequate gene loci for population assessments are not always available. In this study, variable co-dominant DNA loci in the heavily exploited marine genus Brevoortia were developed with a microsatellite-enriched DNA library for the Gulf Menhaden (Brevoortia patronus). Microsatellite marker discovery was followed by genetic characterization of 4 endemic North American Brevoortia species, by using 14 novel loci as well as 5 previously described loci. Power analysis of these loci for use in species identification and genetic stock structure was used to assess their potential to improve the stock definition in the menhaden fishery of the Gulf of Mexico. These loci could be used to reliably identify menhaden species in the Gulf of Mexico with an estimated error rate of α=0.0001. Similarly, a power analysis completed on the basis of observed allele frequencies in Gulf Menhaden indicated that these markers can be used to detect very small levels of genetic divergence (Fst≈0.004) among simulated populations, with sample sizes as small as n=50 individuals. A cursory analysis of genetic structure among Gulf Menhaden sampled throughout the Gulf of Mexico indicated limited genetic structure among sampling locations, although the available sampling did not reach the target number (n=50) necessary to detect minimal values of significant structure.

Short-term effects of drawing water for connectivity of rivers and lakes on zooplankton community structure

During 28-29, September 2005, water was drawn from Hanjiang River and Houguan Lake to the Yangzi River via Sanjiao Lake and Nantaizi Lake in Wuhan in order to provide favorable conditions for ecosystem restoration. To evaluate the feasibility and validity of drawing water as a means of ecosystem restoration, zooplankton populations were studied 3 times (before, immediately after finishing and a month after drawing water) at seven locations from 27 Sept. 2005 to 2 Nov. 2005. Water quality in the lakes was mostly improved and zooplankton species richness decreased as soon as drawing water had finished but increased a month after drawing water. Zooplankton density and biomass was reduced in the lakes by drawing water but was increased at the entrance to Sanjiao Lake because of landform geometry change. Before drawing water, most species in Sanjiao Lake e.g., Brachionus sp. and Keratella sp. were tolerant of contamination. After drawing water oligotrophic-prone species such as Lecane ludwigii and Gastropus stylifer emerged. We conclude that drawing water could be important for improving water quality and favour ecosystem restoration. Dilution of nutrient concentrations may be an important role in the effect.

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

The long-term impacts of fisheries on epifaunal assemblage function and structure, in a special area of conservation

Fisheries can have profound effects on epifaunal community function and structure. We analysed the results from five dive surveys (1975–1976, 1980, 1983, 2003 and 2007), taken in a Special Area of Conservation, Strangford Lough, Northern Ireland before and after a ten year period of increased trawling activity between 1985 and 1995. There were no detectable differences in the species richness or taxonomic distinctiveness before (1975–1983) and after (2003–2007) this period. However, there was a shift in the epifaunal assemblage between the surveys in 1975–1983 and 2003–2007. In general, the slow-moving, or sessile, erect, filterfeeders were replaced by highly mobile, swimming, scavengers and predators. There were declines in the frequency of the fished bivalve Aequipecten opercularis and the non-fished bivalves Modiolus modiolus and Chlamys varia and some erect sessile invertebrates between the surveys in 1975–1983 and 2003–2007. In contrast, there were increases in the frequency of the fished and reseeded bivalves Pecten maximus and Ostrea edulis, the fished crabs Cancer pagurus and Necora puber and the non-fished sea stars Asterias rubens, Crossaster papposus and Henricia oculata between the surveys in 1975–1983 and 2003–2007. We suggest that these shifts could be directly and indirectly attributed to the long-termimpacts of trawl fishing gear, although increases in the supply of discarded bait and influxes of sediment may also have contributed to changes in the frequency of some taxa. These results suggest that despite their limitations, historical surveys and repeat sampling over long periods can help to elucidate the inferred patterns in the epifaunal community. The use of commercial fishing gear was banned from two areas in Strangford Lough in 2011, making it a model ecosystem for assessing the long-term recovery of the epifaunal community from the impacts of mobile and pot fishing gear.

The internal structure of asteroid (25143) Itokawa as revealed by detection of YORP spin-up *’**

Context. Near-Earth asteroid (25143) Itokawa was visited by the Hayabusa spacecraft in 2005, resulting in a highly detailed shape and surface topography model. This model has led to several predictions for the expected radiative torques on this asteroid, suggesting that its spin rate should be decelerating. Aims. To detect changes in rotation rate that may be due to YORP-induced radiative torques, which in turn may be used to investigate the interior structure of the asteroid. Methods. Through an observational survey spanning 2001 to 2013 we obtained rotational lightcurve data at various times over the last five close Earth-approaches of the asteroid. We applied a polyhedron-shape-modelling technique to assess the spin-state of the asteroid and its long term evolution. We also applied a detailed thermophysical analysis to the shape model determined from the Hayabusa spacecraft. Results. We have successfully measured an acceleration in Itokawa's spin rate of dω/dt = (3.54 ± 0.38) × 10 rad day, equivalent to a decrease of its rotation period of ~45 ms year. From the thermophysical analysis we find that the centre-of-mass for Itokawa must be shifted by ~21 m along the long-axis of the asteroid to reconcile the observed YORP strength with theory. Conclusions. This can be explained if Itokawa is composed of two separate bodies with very different bulk densities of 1750 ± 110 kg m and 2850 ± 500 kg m, and was formed from the merger of two separate bodies, either in the aftermath of a catastrophic disruption of a larger differentiated body, or from the collapse of a binary system. We therefore demonstrate that an observational measurement of radiative torques, when combined with a detailed shape model, can provide insight into the interior structure of an asteroid. Futhermore, this is the first measurement of density inhomogeneity within an asteroidal body, that reveals significant internal structure variation. A specialised spacecraft is normally required for this.

How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance from Maastricht University and NOVA – School of Business and Economics

Limnological characteristics and zooplankton community structure of Mediterranean coastal lagoons undergoing restoration

Entre 1999 i 2003 es va desenvolupar un projecte Life de restauració a la maresma de La Pletera, afectada per un pla urbanització, i a la llacuna del Ter Vell, amb un elevat grau d'eutròfia (aiguamolls del Baix Ter, NE Península Ibèrica). L'objectiu d'aquesta tesi és establir el funcionament d'ambdós ecosistemes, analitzar-ne la problemàtica ambiental i avaluar els efectes de la restauració. A la maresma de la Pletera, es va analitzar el paper de la hidrologia en la composició i dinàmica dels nutrients i del zooplàncton en cinc llacunes, tres de les quals havien estat creades dins el projecte de restauració com a nous refugis per una espècie de peix amenaçada (Aphanius iberus). La hidrologia es va caracteritzar per un llarg període de confinament sense entrades d'aigua, interromput de manera irregular per inundacions puntuals. La dinàmica del nitrogen inorgànic es va relacionar amb les entrades d'aigua, mentre que la del fòsfor, del nitrogen total i de la matèria orgànica es va relacionar amb els processos d'acumulació i reciclatge intern durant el confinament. El zooplàncton es va analitzar mitjançant la combinació d'aproximacions taxonòmiques i de mides. L'estructura de mides de la comunitat es va veure més afectada per les interaccions tròfiques (depredació i competència) mentre que l'estructura taxonòmica va ser més sensible a factors abiòtics (nutrients). El ràpid creixement de la població A. iberus en les noves llacunes va suggerir que aquestes havien proporcionat l'hàbitat adequat per a l'espècie, almenys a curt termini. Les actuacions de restauració a la llacuna del Ter Vell es van centrar en la millora de la qualitat de l'aigua mitjançant (1) la construcció d'uns aiguamolls per depurar l'aigua d'entrada i (2) el dragat del sediment en diversos punts. Simultàniament a la restauració, però de forma independent, la gestió agrícola de l'aigua va reduir dràsticament el cabal d'entrada d'aigua dolça a la llacuna, provocant un canvi en el règim hídric. Es van analitzar els efectes a curt termini d'aquest canvi sobre la limnologia i el zooplàncton de la llacuna. Abans del canvi, la hidrologia era artificial ja que s'havia prolongat l'entrada d'aigua dolça d'acord amb la demanda agrícola, i per tant la llacuna presentava una elevada taxa de renovació de l'aigua i majors concentracions de nutrients. Després del canvi, la hidrologia va dependre més del clima, es van reduir les entrades d'aigua i es va allargar el període de confinament. La composició y dinàmica dels nutrients va tendir a assemblar-se a l'observada a les llacunes de la maresma, mentre que la comunitat del zooplàncton no ho va fer. L'estat ecològic de la llacuna va millorar després del canvi en el règim hídric.

Lease maturity and initial rent: is there a term structure for UK commercial property leases?

This paper investigates the relationship between lease maturity and rent in commercial property. Over the last decade market-led changes to lease structures, the threat of government intervention and the associated emergence of the Codes of Practice for commercial leases have stimulated growing interest in pricing of commercial property leases. Seminal work by Grenadier (1995) derived a set of hypotheses about the pricing of different lease lengths in different market conditions. Whilst there is a compelling theoretical case for and a strong intuitive expectation of differential pricing of different lease maturities, to date the empirical evidence is inconclusive. Two Swedish studies have found mixed results (Gunnelin and Soderbergh 2003 and Englund et al 2003). In only half the cases is the null hypothesis that lease length has no effect rejected. In the UK, Crosby et al (2003) report counterintuitive results. In some markets, they find that short lease terms are associated with low rents, whilst in others they are associated with high rents. Drawing upon a substantial database of commercial lettings in central London (West End and City of London) over the last decade, we investigate the relationship between rent and lease maturity. In particular, we test whether a building quality variable omitted in previous studies provides empirical results that are more consistent with the theoretical and intuitive a priori expectations. It is found that initial leases rates are upward sloping with the lease term and that this relationship is constant over time.

‘Interest’ in Kierkegaard’s structure of consciousness

Kierkegaard’s identification of “consciousness” with “interest” (interesse) in his unfinished work Johannes Climacus adds a distinctive dimension to his phenomenology of subjectivity. Commentators, however, have largely identified interesse with lidenskab (“passion”), a conflation I argue to be mistaken, or have otherwise failed to note the structural implications of interesse for Kierkegaard’s account of cognition. I draw out these implications and argue that the Climacan account of interest as the experience of finding ourselves in-between ideality and reality implies, in the context of Kierkegaard’s trichotomous ontology of consciousness, a form of non-thetic self-referentiality built into cognition itself. This self-referentiality also has the intriguing implication of making consciousness itself inherently teleological.

Spread trading strategy for intraday short term interest rate futures markets

Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e venda simultânea de contratos de STIR com diferentes maturidades. Cada um dos contratos individualmente se comporta de forma aleatória e dificilmente previsível. No entanto, no longo prazo, pares de contratos podem apresentar um comportamento comum, com os desvios de curto prazo sendo corrigidos nos períodos seguintes. Se este comportamento comum for empiricamente confirmado, há a possibilidade de desenvolver uma estratégia rentável de trading. Para ser bem sucedida, esta estratégia depende da confirmação da existência de um equilíbrio de longo prazo entre os contratos e a definição do limite de spread mais adequado para a mudança de posições entre os contratos. Neste trabalho, foram estudadas amostras de 1304 observações de 5 diferentes séries de spread, coletadas a cada 10 minutos, durante um período de 1 mês. O equilíbrio de longo prazo entre os pares de contratos foi testado empiricamente por meio de modelos de cointegração. Quatro pares mostraram-se cointegrados. Para cada um destes, uma simulação permitiu a estimação de um limite que dispararia a troca de posições entre os contratos, maximizando os lucros. Uma simulação mostrou que a aplicação deste limite, levando em conta custos de comissão e risco de execução, permitiria obter um fluxo de caixa positivo e estável ao longo do tempo.