Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Auswirkungen von Eigenkapitalregulierung auf optimale Bankkreditzinsniveaus (Effect of capital regulation on optimal bank loan interest rate levels)

Die Vielfalt von möglichen wirtschaftlichen Konsequenzen von Banksolvenzproblemen trägt auch dazu bei, dass wissenschaftliche Fragen über die Eigenkapitalregulierung im Bankensektor schon seit einigen Jahren ziemlich intensiv diskutiert werden. Die Effekte von Eigenkapitalregulierung können sich auf zahlreiche Weise zeigen, zum Beispiel ist ein Effekt auf das Kreditzinsniveau auch nicht auszuschließen. Um diesen potenziellen Zusammenhang, an den die frühere Literatur noch nicht fokussierte, klarer analysieren zu können, wird in der vorliegenden Studie ein theoretisches Modell präsentiert, in der eine Verbindung zwischen einem optimalen Bankkreditzinsniveau und der Eigenkapitalregulierung existiert. Die Optimalität von Kreditzinsniveaus wird aus zwei Aspekten betrachtet: als Optimalitätskriterien werden Gewinnmaximierung und Maximierung von Solvenzwahrscheinlichkeit verglichen. Aufgrund der Ergebnisse kann darauf geschlossen werden, dass diese zwei optimale Kreditzinsniveaus nicht identisch sind und unterschiedlich von Eigenkapitalregulierung beeinflusst werden. Nach theoretischen Ergebnissen ist es möglich, dass im Falle einer Erhöhung des Eigenkapitals bei gleichbleibenden Bankeinlagen das gewinnmaximierende Optimum sich nicht ändert, während das zu der Maximierung der Solvenzwahrscheinlichkeit gehörende Optimum sich verringert.

Ecosystem Structure and Function Still Altered Two Decades After Short-Term Fertilization of a Seagrass Meadow

An oligotrophic phosphorus (P) limited seagrass ecosystem in Florida Bay was experimentally fertilized in a unique way. Perches were installed to encourage seabirds to roost and deliver an external source of nutrients via defecation. Two treatments were examined: (1) a chronic 23-year fertilization and (2) an earlier 28-month fertilization that was discontinued when the chronic treatment was initiated. Because of the low mobility of P in carbonate sediments, we hypothesized long-term changes to ecosystem structure and function in both treatments. Structural changes in the chronic treatment included a shift in the dominant seagrass species from Thalassia testudinum to Halodule wrightii, large increases in epiphytic biomass and sediment chlorophyll-a, and a decline in species richness. Functional changes included increased benthic metabolism and quantum efficiency. Initial changes in the 28-month fertilization were similar, but after 23 years of nutrient depuration T. testudinum has reestablished itself as the dominant species. However, P remains elevated in the sediment and H. wrightii has maintained a presence. Functionally the discontinued treatment remains altered. Biomass exceeds that in the chronic treatment and indices of productivity, elevated relative to control, are not different from the chronic fertilization. Cessation of nutrient loading has resulted in a superficial return to the pre-disturbance character of the community, but due to the nature of P cycles functional changes persist.

Effects of an extreme temperature event on the behavior and age structure of an estuarine top predator, Carcharhinus leucas

The frequency of extreme environmental events is predicted to increase in the future. Understanding the short- and long-term impacts of these extreme events on large-bodied predators will provide insight into the spatial and temporal scales at which acute environmental disturbances in top-down processes may persist within and across ecosystems. Here, we use long-term studies of movements and age structure of an estuarine top predator—juvenile bull sharks Carcharhinus leucas—to identify the effects of an extreme ‘cold snap’ from 2 to 13 January 2010 over short (weeks) to intermediate (months) time scales. Juvenile bull sharks are typically year-round residents of the Shark River Estuary until they reach 3 to 5 yr of age. However, acoustic telemetry revealed that almost all sharks either permanently left the system or died during the cold snap. For 116 d after the cold snap, no sharks were detected in the system with telemetry or captured during longline sampling. Once sharks returned, both the size structure and abundance of the individuals present in the nursery had changed considerably. During 2010, individual longlines were 70% less likely to capture any sharks, and catch rates on successful longlines were 40% lower than during 2006−2009. Also, all sharks caught after the cold snap were young-of-the-year or neonates, suggesting that the majority of sharks in the estuary were new recruits and several cohorts had been largely lost from the nursery. The longer-term impacts of this change in bull shark abundance to the trophic dynamics of the estuary and the importance of episodic disturbances to bull shark population dynamics will require continued monitoring, but are of considerable interest because of the ecological roles of bull sharks within coastal estuaries and oceans.

Reframing Scottish Football: Strategy and the short-term nature of the football industry.

Despite football being deeply entrenched in Scottish culture it is under-researched from a business perspective. This research develops a conceptual framework that views professional football clubs from a number of different perspectives. It draws on strategic management literature since this views the firm as the intersection between internal competence, customer perception and competition within an industry. A review of previous sports business research highlighted five main themes that were used to create a structure for the analysis: on-field performance, attendance, finance, the playing squad and the manager. These themes were used as frames to view the firms within the industry from a number of different perspectives. Each frame allows a different aspect of the firm to be considered singly in turn and then collectively to develop a deeper understanding of the existing frames in use within the industry. The research is based on a pragmatic philosophy that allows mixed methods to be combined to provide both an objective and subjective view of the industry. The subjective view was drawn from five interviews with senior figures within Scottish professional football. These participants were from a number of different roles and organisations within the industry to provide a balance of experiences. The views were triangulated with a descriptive analysis of secondary data from a number of industry sources to establish patterns within and between these frames. A peer group of six clubs was selected as they competed in the Scottish Premier League in each of the seasons within an eleven-year period (2000-2011). The peer group clubs selected were: Aberdeen, Dundee United, Heart of Midlothian (Hearts), Hibernian, Kilmarnock and Motherwell. By focussing on a small group of clubs with a similar on-field record a broad study across the five frames could be carried out in detail without the findings being influenced by the impact of relegation to a lower division or sustained participation in European football. Within each of the original five frames a number of sub-components were identified and linked to the framework; this expanded the content to reflect the findings of this project. There appeared to be little link between on-field performance and attendance although progress to the later stages of cup competitions allowed clubs to connect with fans who do not regularly attend. The relationship between a club’s income and wage bill should be expanded to include interest repayments since this expenditure can be used to highlight future financial problems caused by increased debt levels. Although all of the interview participants spoke with pride of the players that had progressed from the club’s youth academy to success at the highest level the peer group clubs only produced one player each season that played more than ten matches for the club. Almost half of the players signed from the youth academy left the club without playing for the 1st Team. The importance of the relationship between the manager and club chairman was highlighted, although the speed with which managers were appointed suggests that little consideration was given to this before offering a contract. Once appointed there appeared to be little clarity over the job description and areas of responsibility. Several of the interviewees brought experience from other businesses to football but admitted that short-term decision making and entrenched behaviour made change difficult. The conclusion of the research is that by taking a firm-wide view of the club, longer-term decisions can be taken within football. Player development and supporter relationships were both identified as long-term processes that are impacted by the current short-termism. With greater role clarity for managers and a mixture of short and long-term objectives those involved in the industry are more likely to have opportunities to learn from experience and performance, across the different frames, will improve as a result.

An evaluation of the transmission of the policy interest rate to the financial system’s interest rates in Colombia

This paper studies monetary policy transmission using several statistical tools -- We find that the relationships between the policy interest rate and the financial system’s interest rates are positive and statistically significant, and transmission is complete eight months after policy shocks occur -- The speed of transmission varies according to the type of interest rates -- Transmission is faster for interest rates on loans provided to households, and is particularly rapid and complete for rates on preferential commercial loans -- Transmission is slower for credit card and mortgage rates, due to regulatory issues (interest rate ceilings)

Evidence of Term-Structure Differences among Folksonomies and Controlled Indexing Languages

With the advent of Internet-based technologies for information organization, many groups have constructed their own indexing languages. Biologists, Library and Information Science practitioners, and now social taggers have worked together to create large and many times complex indexing languages. In this environment of diversity, two questions surface: (1) what are the measurable characteristics of these indexing languages, and (2) do measurements of these indexing languages speciate along these characteristics? This poster presents data from this exploratory work.

Long-term assessment of efficacy of permeable pond covers for odour reduction

Three anaerobic ponds used to store and treat piggery wastes were fully covered with permeable materials manufactured from polypropylene geofabric, polyethylene shade cloth and supported straw. The covers were assessed in terms of efficacy in reducing odour emission rates over a 40-month period. Odour samples were collected from the surface of the covers, the surface of the exposed liquor and from the surface of an uncovered (control) pond at one of the piggeries. Relative to the emission rate of the exposed liquor at each pond, the polypropylene, shade cloth and straw covers reduced average emission rates by 76%, 69% and 66% respectively. At the piggery with an uncovered control pond, the polypropylene covers reduced average odour emission rates by 50% and 41% respectively. A plausible hypothesis, consistent with likely mechanisms for the odour reduction and the olfactometric method used to quantifying the efficacy of the covers, is offered.

The effects of habitat fragmentation on the demography and population genetic structure of Uromys Caudimaculatus

Habitat fragmentation can have an impact on a wide variety of biological processes including abundance, life history strategies, mating system, inbreeding and genetic diversity levels of individual species. Although fragmented populations have received much attention, ecological and genetic responses of species to fragmentation have still not been fully resolved. The current study investigated the ecological factors that may influence the demographic and genetic structure of the giant white-tailed rat (Uromys caudimaculatus) within fragmented tropical rainforests. It is the first study to examine relationships between food resources, vegetation attributes and Uromys demography in a quantitative manner. Giant white-tailed rat densities were strongly correlated with specific suites of food resources rather than forest structure or other factors linked to fragmentation (i.e. fragment size). Several demographic parameters including the density of resident adults and juvenile recruitment showed similar patterns. Although data were limited, high quality food resources appear to initiate breeding in female Uromys. Where data were sufficient, influx of juveniles was significantly related to the density of high quality food resources that had fallen in the previous three months. Thus, availability of high quality food resources appear to be more important than either vegetation structure or fragment size in influencing giant white-tailed rat demography. These results support the suggestion that a species’ response to fragmentation can be related to their specific habitat requirements and can vary in response to local ecological conditions. In contrast to demographic data, genetic data revealed a significant negative effect of habitat fragmentation on genetic diversity and effective population size in U. caudimaculatus. All three fragments showed lower levels of allelic richness, number of private alleles and expected heterozygosity compared with the unfragmented continuous rainforest site. Populations at all sites were significantly differentiated, suggesting restricted among population gene flow. The combined effects of reduced genetic diversity, lower effective population size and restricted gene flow suggest that long-term viability of small fragmented populations may be at risk, unless effective management is employed in the future. A diverse range of genetic reproductive behaviours and sex-biased dispersal patterns were evident within U. caudimaculatus populations. Genetic paternity analyses revealed that the major mating system in U. caudimaculatus appeared to be polygyny at sites P1, P3 and C1. Evidence of genetic monogamy, however, was also found in the three fragmented sites, and was the dominant mating system in the remaining low density, small fragment (P2). High variability in reproductive skew and reproductive success was also found but was less pronounced when only resident Uromys were considered. Male body condition predicted which males sired offspring, however, neither body condition nor heterozygosity levels were accurate predictors of the number of offspring assigned to individual males or females. Genetic spatial autocorrelation analyses provided evidence for increased philopatry among females at site P1, but increased philopatry among males at site P3. This suggests that male-biased dispersal occurs at site P1 and female-biased dispersal at site P3, implying that in addition to mating systems, Uromys may also be able to adjust their dispersal behaviour to suit local ecological conditions. This study highlights the importance of examining the mechanisms that underlie population-level responses to habitat fragmentation using a combined ecological and genetic approach. The ecological data suggested that habitat quality (i.e. high quality food resources) rather than habitat quantity (i.e. fragment size) was relatively more important in influencing giant white-tailed rat demographics, at least for the populations studied here . Conversely, genetic data showed strong evidence that Uromys populations were affected adversely by habitat fragmentation and that management of isolated populations may be required for long-term viability of populations within isolated rainforest fragments.

Effect of heating rate on the crystal composition of ferroelectric lithium niobate crystallites

A series of lithium niobate powders were synthesized by the combustion method at different heating rates. The effect of heating rate on the crystal composition of lithium niobate powders was investigated by powder X-ray diffraction measurements. It has been found that the lithium content in the as-synthesized lithium niobate powders increases with decreasing the heating rate. On the basis of the existed structure-property relationship of lithium niobate single crystals, it was concluded that high quality lithium niobate powders can be effectively synthesized at a lower heating rate (in the range of 5-10 C/min) by the combustion method.

Comparing the medium-term effects of exercise or dietary restriction on appetite regulation and compensatory responses

Previous studies have shown that exercise (Ex) interventions create a stronger coupling between energy intake (EI) and energy expenditure (EE) leading to increased homeostasis of the energy-balance (EB) regulatory system compared to a diet intervention where an un-coupling between EI and EE occurs. The benefits of weight loss from Ex and diet interventions greatly depend on compensatory responses. The present study investigated an 8-week medium-term Ex and diet intervention program (Ex intervention comprised of 500kcal EE five days per week over four weeks at 65-75% maximal heart rate, whereas the diet intervention comprised of a 500kcal decrease in EI five days per week over four weeks) and its effects on compensatory responses and appetite regulation among healthy individuals using a between- and within-subjects design. Effects of an acute dietary manipulation on appetite and compensatory behaviours and whether a diet and/or Ex intervention pre-disposes individuals to disturbances in EB homeostasis were tested. Energy intake at an ad libitum lunch test meal after a breakfast high- and low-energy pre-load (the high energy pre-load contained 556kcal and the low energy pre-load contained 239kcal) were measured at the Baseline (Weeks -4 to 0) and Intervention (Weeks 0 to 4) phases in 13 healthy volunteers (three males and ten females; mean age 35 years [sd + 9] and mean BMI 25 kg/m2 [sd + 3.8]) [participants in each group included Ex=7, diet=5 (one female in the diet group dropped out midway), thus, 12 participants completed the study]. At Weeks -4, 0 and 4, visual analogue scales (VAS) were used to assess hunger and satiety and liking and wanting (L&W) for nutrient and taste preferences using a computer-based system (E-Prime v1.1.4). Ad libitum test meal EI was consistently lower after the HE pre-load compared to the LE pre-load. However, this was not consistent during the diet intervention however. A pre-load x group interaction on ad libitum test meal EI revealed that during the intervention phase the Ex group showed an improved sensitivity to detect the energy content between the two pre-loads and improved compensation for the ad libitum test meal whereas the diet group’s ability to differentiate between the two pre-loads decreased and showed poorer compensation (F[1,10]=2.88, p-value not significant). This study supports previous findings of the effect Ex and diet interventions have on appetite and compensatory responses; Ex increases and diet decreases energy balance sensitivity.

Time dependency of molecular rate estimates and systematic overestimation of recent divergence times

Studies of molecular evolutionary rates have yielded a wide range of rate estimates for various genes and taxa. Recent studies based on population-level and pedigree data have produced remarkably high estimates of mutation rate, which strongly contrast with substitution rates inferred in phylogenetic (species-level) studies. Using Bayesian analysis with a relaxed-clock model, we estimated rates for three groups of mitochondrial data: avian protein-coding genes, primate protein-coding genes, and primate d-loop sequences. In all three cases, we found a measurable transition between the high, short-term (<1–2 Myr) mutation rate and the low, long-term substitution rate. The relationship between the age of the calibration and the rate of change can be described by a vertically translated exponential decay curve, which may be used for correcting molecular date estimates. The phylogenetic substitution rates in mitochondria are approximately 0.5% per million years for avian protein-coding sequences and 1.5% per million years for primate protein-coding and d-loop sequences. Further analyses showed that purifying selection offers the most convincing explanation for the observed relationship between the estimated rate and the depth of the calibration. We rule out the possibility that it is a spurious result arising from sequence errors, and find it unlikely that the apparent decline in rates over time is caused by mutational saturation. Using a rate curve estimated from the d-loop data, several dates for last common ancestors were calculated: modern humans and Neandertals (354 ka; 222–705 ka), Neandertals (108 ka; 70–156 ka), and modern humans (76 ka; 47–110 ka). If the rate curve for a particular taxonomic group can be accurately estimated, it can be a useful tool for correcting divergence date estimates by taking the rate decay into account. Our results show that it is invalid to extrapolate molecular rates of change across different evolutionary timescales, which has important consequences for studies of populations, domestication, conservation genetics, and human evolution.

Evidence for time dependency of molecular rate estimates

Long-term changes in the genetic composition of a population occur by the fixation of new mutations, a process known as substitution. The rate at which mutations arise in a population and the rate at which they are fixed are expected to be equal under neutral conditions (Kimura, 1968). Between the appearance of a new mutation and its eventual fate of fixation or loss, there will be a period in which it exists as a transient polymorphism in the population (Kimura and Ohta, 1971). If the majority of mutations are deleterious (and nonlethal), the fixation probabilities of these transient polymorphisms are reduced and the mutation rate will exceed the substitution rate (Kimura, 1983). Consequently, different apparent rates may be observed on different time scales of the molecular evolutionary process (Penny, 2005; Penny and Holmes, 2001). The substitution rate of the mitochondrial protein-coding genes of birds and mammals has been traditionally recognized to be about 0.01 substitutions/site/million years (Myr) (Brown et al., 1979; Ho, 2007; Irwin et al., 1991; Shields and Wilson, 1987), with the noncoding D-loop evolving several times more quickly (e.g., Pesole et al., 1992; Quinn, 1992). Over the past decade, there has been mounting evidence that instantaneous mutation rates substantially exceed substitution rates, in a range of organisms (e.g., Denver et al., 2000; Howell et al., 2003; Lambert et al., 2002; Mao et al., 2006; Mumm et al., 1997; Parsons et al., 1997; Santos et al., 2005). The immediate reaction to the first of these findings was that the polymorphisms generated by the elevated mutation rate are short-lived, perhaps extending back only a few hundred years (Gibbons, 1998; Macaulay et al., 1997). That is, purifying selection was thought to remove these polymorphisms very rapidly.