"Peso Problem" Explanations for Term Structure Anomalies

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term structure, documented by Campbell and Shiller (1991), may be due to a generalized peso problem in which a high-interest rate regime occurred less frequently in the sample of U.S. data than was rationally anticipated. We formalize this idea as a regime-switching model of short-term interest rates estimated with data" from seven countries. Technically, this model extends recent research on regime-switching models with state-dependent transitions to a cross-sectional setting. Use of the small sample distributions generated by the regime-switching model for inference considerably weakens the evidence against the expectations hypothesis, but it remains somewhat implausible that our data-generating process produced the U.S. data. However, a model that combines moderate time-variation in term premiums with peso-problem effects is largely consistent with term structure data from the U.S., U.K., and Germany.

"Peso problem" explanations for term structure anomalies

We examine the empirical evidence on the expectation hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive methodology. We argue that anomalies in the U.S. term structure, documented by Campbell and Shiller (1991), may be due to a generalized peso problem in which a high-interest rate regime occurred less frequently in the sample of U.S. data than was rationally anticipated. We formalize this idea as a regime-switching model of short-term interest rates estimated with data from seven countries. Technically, this model extends recent research on regime-switching models with state-dependent transitions to a cross-sectional setting. Use of the small sample distributions generated by regime-switching model for inference considerably weakens the evidence against the expectations hypothesis, but it remains somewhat implausible that our data-generating process produced the U.S. data. However, a model that combines moderate time-variation in term premiums with peso-problem effects is largely consistent with term-structure data from the U.S., U.K., and Germany.Interest rates ; Econometric models

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

Existing general equilibrium models based on traditional expected utility preferences have been unable to explain the excess return predictability observed in equity markets, bond markets, and foreign exchange markets. In this paper, we abandon the expected-utility hypothesis in favor of preferences that exhibit first-order risk aversion. We incorporate these preferences into a general equilibrium two-country monetary model, solve the model numerically, and compare the quantitative implications of the model to estimates obtained from U.S. and Japanese data for equity, bond and foreign exchange markets. Although increasing the degree of first-order risk aversion substantially increases excess return predictability, the model remains incapable of generating excess return predictability sufficiently large to match the data. We conclude that the observed patterns of excess return predictability are unlikely to be explained purely by time-varying risk premiums generated by highly risk averse agents in a complete markets economy.

Origin and significance of cosmogenic signatures in vesicles of lunar basalt 15016

Lunar basalt 15016 (~3.3 Ga) is among the most vesicular (50% by volume) basalts recovered by the Apollo missions. We investigated the possible occurrence of indigenous lunar nitrogen and noble gases trapped in vesicles within basalt 15016, by crushing several cm‐sized chips. Matrix/mineral gases were also extracted from crush residues by fusion with a CO_2 laser. No magmatic/primordial component could be identified; all isotope compositions, including those of vesicles, pointed to a cosmogenic origin. We found that vesicles contained ~0.2%, ~0.02%, ~0.002%, and ~0.02% of the total amount of cosmogenic ^(21)Ne, ^(38)Ar, ^(83)Kr, and ^(126)Xe, respectively, produced over the basalt's 300 Myr of exposure. Diffusion/recoil of cosmogenic isotopes from the basaltic matrix/minerals to intergrain joints and vesicles is discussed. The enhanced proportion of cosmogenic Xe isotopes relative to Kr detected in vesicles could be the result of kinetic fractionation, through which preferential retention of Xe isotopes over Kr within vesicles might have occurred during diffusion from the vesicle volume to the outer space through microleaks. This study suggests that cosmogenic loss, known to be significant for ^3He and ^(21)Ne, and to a lesser extent for ^(36)Ar (Signer et al. 1977), also occurs to a negligible extent for the heaviest noble gases Kr and Xe

Isotopic evidence for the formation of the moon in a canonical giant impact

© The Author(s), 2021. This article is distributed under the terms of the Creative Commons Attribution License. The definitive version was published in Nielsen, S. G., Bekaert, D. V., & Auro, M. Isotopic evidence for the formation of the moon in a canonical giant impact. Nature Communications, 12(1), (2021): 1817, https://doi.org/10.1038/s41467-021-22155-7.Isotopic measurements of lunar and terrestrial rocks have revealed that, unlike any other body in the solar system, the Moon is indistinguishable from the Earth for nearly every isotopic system. This observation, however, contradicts predictions by the standard model for the origin of the Moon, the canonical giant impact. Here we show that the vanadium isotopic composition of the Moon is offset from that of the bulk silicate Earth by 0.18 ± 0.04 parts per thousand towards the chondritic value. This offset most likely results from isotope fractionation on proto-Earth during the main stage of terrestrial core formation (pre-giant impact), followed by a canonical giant impact where ~80% of the Moon originates from the impactor of chondritic composition. Our data refute the possibility of post-giant impact equilibration between the Earth and Moon, and implies that the impactor and proto-Earth mainly accreted from a common isotopic reservoir in the inner solar system.This study was funded by NASA Emerging Worlds grant NNX16AD36G to S.G.N. We thank NASA-JSC, Tony Irving, and Thorsten Kleine for access to meteorite and Apollo mission samples. US Antarctic meteorite samples are recovered by the Antarctic Search for Meteorites (ANSMET) program, which has been funded by NSF and NASA, and characterized and curated by the Astromaterials Curation Office at NASA Johnson Space Center and the Department of Mineral Sciences of the Smithsonian Institution. J. Blusztajn is thanked for help with mass spectrometry support at WHOI

Salinity of the Archaean oceans from analysis of fluid inclusions in quartz

Fluids trapped in inclusions in well-characterized Archaean hydrothermal quartz crystals were analyzed by the extended argon–argon method, which permits the simultaneous measurement of chlorine and potassium concentrations. Argon and nitrogen isotopic compositions of the trapped fluids were also determined by static mass spectrometry. Fluids were extracted by stepwise crushing of quartz samples from North Pole (NW Australia) and Barberton (South Africa) 3.5–3.0-Ga-old greenstone belts. The data indicate that fluids are a mixture of a low salinity end-member, regarded as the Archaean oceanic water, and several hydrothermal end-members rich in Cl, K, N, and radiogenic parentless ^(40)Ar. The low Cl–K end-member suggests that the salinity of the Archaean oceans was comparable to the modern one, and that the potassium content of the Archaean oceans was lower than at present by about 40%. A constant salinity of the oceans through time has important implications for the stabilization of the continental crust and for the habitability of the ancient Earth

Interferometric Synthetic Aperture Radar for slow slip applications

Over the last two decades, Slow Slip Events (SSEs) have been observed across many subduction zones, primarily through continuous GNSS networks. SSEs represent shearing of two tectonic plates, at much slower rates than earthquakes but more rapidly than plate motion. They are not dangerous in themselves, but change the stress field and can potentially trigger devastating earthquakes. While highly valuable, GNSS networks at most locations lack the spatial-resolution required to describe the spatial extent of the slow slip at depth. A better constraint of slow slip at depth in combination with other observations from seismology could be essential in addressing key research questions. These include: “Why do slow slip events occurs in some regions and not others?”, “What drives slow slip events?”, “Do slow slip events delay the occurrence of devastating earthquakes?”, and “Can slow slip events trigger devastating earthquakes?”. Interferometric Synthetic Aperture Radar (InSAR) is an established and attractive technique to study surface displacements at high-spatial resolution. Until now, InSAR has not been fully exploited for the study of SSEs. Here, I provide the necessary InSAR methodology, and further demonstrate the use of InSAR for static and time-dependant slow slip modelling. My developments have a direct benefit for various other applications such as earthquake cycle processes. I Specifically address the following two challenges which limit the wide uptake of InSAR: (1) Decorrelation noise introduced by changing backscattering properties of the surface and a change in satellite acquisition geometry, making it difficult to correctly unwrap meaningful signal. I address this problem by applying existing advanced time-series InSAR processing methods. (2) Atmospheric delays masking the smaller slow slip signal. These are mainly due to spatial and temporal variations in pressure, temperature, and relative humidity in the lower part of the troposphere, which result in an apparent signal in the InSAR data. Different tropospheric correction methods exist, all with their own limitations. Auxiliary data methods often lack the spatial and temporal resolution, while the phase-based methods cannot account for a spatially-varying troposphere. In response, I develop a phase-based power-law representation of tropospheric delay that can be applied in the presence of deformation and which accounts for spatial variation of tropospheric properties. I demonstrate its application over Mexico, where it reduces tropospheric signals both locally (on average by ~0.45 cm for each kilometer of elevation) and the long wavelength components. Moreover, I provide to the research community a Toolbox for Reducing Atmospheric InSAR Noise (TRAIN), which includes all the state-of-the-art correction methods, implemented as opensource matlab routines. When comparing these methods, I find spectrometers give the largest reduction in tropospheric noise, but are limited to cloud-free and daylight acquisitions. I also find that all correction methods perform ~10-20% worse when there is cloud cover. As all methods have their own limitations, future efforts should aim at combining the different correction methods in an optimal manner. Additionally, I apply my InSAR methodology and power-law correction method to the study of the 2006 Guerrero SSE, where I jointly invert cumulative GNSS and InSAR SSE surface displacements. In Guerrero, SSEs have been observed in a “seismic gap”, where no earthquakes have occurred since 1911, accumulating a seismic potential of Mw 8.0-8.4. I find slow slip enters the seismogenic zone and the Guerrero Gap, with ~5 cm slip reaching depths as shallow as 12 km, and where the spatial extent of the slow slip collocates on the interface with a highly coupled inter-SSE region as found from an GNSS study. In addition, slow slip decreased the total accumulated moment since the previous SSE (4.7 years earlier) by ~50% Over time and while accounting for SSEs, the moment deficit in the Guerrero Gap increases each year by Mw ~6.8. Therefore I find that the Guerrero Gap still has the potential for a large earthquake, with a seismic potential of Mw ~8.15 accumulated over the last century. Finally, I show the application to use InSAR for time-dependant slow slip modelling. From a simulation of the 2006 SSE, I demonstrate that InSAR is able to provide valuable information to constrain the spatial extent of the slow slip signal. With a future perspective of continued high repeat acquisitions of various SAR platforms, my expansion of the Network Inversion Filter with InSAR will become a powerful tool for investigating the spatio-temporal correlation between slow slip and other phenomena such as non volcanic tremor. Moreover, this approach can apply to earthquake cycle processes. Studying the broader earthquake cycle will further our knowledge of seismic hazard and increase our resilience to such events

NASAs Mid-Atlantic Communities and Areas at Intensive Risk Demonstration: Translating Compounding Hazards to Societal Risk

Remote sensing provides a unique perspective on our dynamic planet, tracking changes and revealing the course of complex interactions. Long term monitoring and targeted observation combine with modeling and mapping to provide increased awareness of hydro-meteorological and geological hazards. Disasters often follow hazards and the goal of NASAs Disasters Program is to look at the earth as a highly coupled system to reduce risk and enable resilience. Remote sensing and geospatial science are used as tools to help answer critical questions that inform decisions. Data is not the same as information, nor does understanding of processes necessarily translate into decision support for disaster preparedness, response and recovery. Accordingly, NASA is engaging the scientific and decision-support communities to apply remote sensing, modeling, and related applications in Communities and Areas at Intensive Risk (CAIR). In 2017, NASAs Applied Sciences Disasters Program hosted a regional workshop to explore these issues with particular focus on coastal Virginia and North Carolina. The workshop brought together partners in academia, emergency management, and scientists from NASA and partnering federal agencies to explore capabilities among the team that could improve understanding of the physical processes related to these hazards, their potential impact to changing communities, and to identify methodologies for supporting emergency response and risk mitigation. The resulting initiative, the mid-Atlantic CAIR project, demonstrates the ability to integrate satellite derived earth observations and physical models into actionable, trusted knowledge. Severe storms and associated storm surge, sea level rise, and land subsidence coupled with increasing populations and densely populated, aging critical infrastructure often leave coastal regions and their communities extremely vulnerable. The integration of observations and models allow for a comprehensive understanding of the compounding risk experienced in coastal regions and enables individuals in all positions make risk-informed decisions. This initiative uses a representative storm surge case as a baseline to produce flood inundation maps. These maps predict building level impacts at current day and for sea level rise (SLR) and subsidence scenarios of the future in order to inform critical decisions at both the tactical and strategic levels. To accomplish this analysis, the mid-Atlantic CAIR project brings together Federal research activities with academia to examine coastal hazards in multiple ways: 1) reanalysis of impacts from 2011 Hurricane Irene, using numerical weather modeling in combination with coastal surge and hydrodynamic, urban inundation modeling to evaluate combined impact scenarios considering SLR and subsidence, 2) remote sensing of flood extent from available optical imagery, 3) adding value to remotely sensed flood maps through depth predictions, and 4) examining coastal subsidence as measured through time-series analysis of synthetic aperture radar observations. Efforts and results are published via ArcGIS story maps to communicate neighborhoods and infrastructure most vulnerable to changing conditions. Story map features enable time-aware flood mapping using hydrodynamic models, photographic comparison of flooding following Hurricane Irene, as well as visualization of heightened risk in the future due to SLR and land subsidence

Chemistry under EUV Irradiation of H2_2-CO-N2_2 Gas Mixtures: Implications for Photochemistry in the Outer CSE of Evolved Stars

{CircumStellar Envelopes (CSEs) of stars are complex chemical objects for which theoretical models encounter difficulties in elaborating a comprehensive overview of the occurring chemical processes. Along with photodissociation, ion-neutral reactions and dissociative recombination might play an important role in controlling molecular growth in outer CSEs. The aim of this work is to provide experimental insights into pathways of photochemistry-driven molecular growth within outer CSEs to draw a more complete picture of the chemical processes occurring within these molecule-rich environments. A simplified CSE environment was therefore reproduced in the laboratory through gas-phase experiments exposing relevant gas mixtures to an Extreme UltraViolet (EUV) photon source. This photochemical reactor should ultimately allow us to investigate chemical processes and their resulting products occurring under conditions akin to outer CSEs. We used a recently developed EUV lamp coupled to the APSIS photochemical cell to irradiate CSE relevant gas mixtures of H$_2$, CO and N$_2$, at one wavelength, 73.6 nm. The detection and identification of chemical species in the photochemical reactor was achieved through in-situ mass spectrometry analysis of neutral and cationic molecules. We find that exposing CO-N$_2$-H$_2$ gas mixtures to EUV photons at 73.6 nm induces photochemical reactions that yield the formation of complex, neutral and ionic species. Our work shows that N$_2$H$^+$ can be formed through photochemistry along with highly oxygenated ion molecules like HCO$^+$ in CSE environments. We also observe neutral N-rich organic species including triazole and aromatic molecules. These results confirm the suitability of our experimental setting to investigate photochemical reactions and provide fundamental insights into the mechanisms of molecular growth in the outer CSEs