Do Stationary Risk Premia Explain It All? Evidence from the Term Struct

Most studies of the expectations theory of the term structure reject the model. However, the significance of the rejections depend strongly upon the form of the test. In this paper, we use the pattern of rejection across maturities to back out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used to test other asset pricing relationships.

Do Expected Shifts in Inflation Policy Affect Real Rates?

This paper presents a new explanation for the negative correlation between ex post real interest rates and inflation found in earlier empirical studies. We begin by showing that there is a strong negative correlation between the permanent movements in ex post real interest rates and inflation. We argue that such a correlation can arise when people incorporate anticipated shifts in inflation policy into their expectations. Under these circumstances, a shift to lower (higher) inflation will lead to systematically higher (lower) ex post real rates. Using new time series techniques we are able to reject the hypothesis that nominal interest rates were unaffected by anticipated switches in inflation policy in the post-war era. To evaluate the impact of these switches, we then calculate the effects of inflationary expectations upon real rates using a Markov switching model of inflation. Inflation forecasts based upon the estimates of this rational model behave similarly to inflation forecasts from the Livingston survey. When ex ante real interest rates are identified with the Markov models of inflation, we find that ex ante real interest rate does not contain permanent shocks, nor is it related to permanent shocks in inflation.

Trends in Expected Returns in Currency and Bond Markets

Under conventional notions about rational expectations and market efficiency, expected returns differ from the actual expost returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small departures from conventional notions of rational expectations and market efficiency can produce trends in excess returns. These trends are in addition to the trends typically found in the level of asset prices themselves. We report strong evidence for the presence of additional trends in excess foreign exchange and bond returns. We also estimate the additional trend component in excess returns on foreign exchange and find that it varied between -.8% and 1% for one month returns and between -6% and 8% for three month returns.

A mechanical fastening technique development for application in space Final report

Mechanical fastening technique development for aerospace applicatio

Getting on the E List: E-Mail Use in a Community of Service Provider

This case examines how a community of organizations providing service to people experiencing homelessness made use of an electronic mail list. Current economic conditions have encouraged organizations in various sectors—including nonprofits—that might normally compete for scarce resources to collaborate with one another to increase their chances of survival. One set of tools likely to be of value in such relationships includes various online discussion technologies. An examination of this community’s email list use over a three-year period suggests a somewhat complex picture regarding technology use. More specifically, some issues both constrain and enable use. Additionally, seemingly basic and minimal uses of the list provided not only the greatest functionality for the users, but also led to several unanticipated consequences for those involved

On Horizontal and Vertical Separation in Hierarchical Text Classification

Hierarchy is a common and effective way of organizing data and representing their relationships at different levels of abstraction. However, hierarchical data dependencies cause difficulties in the estimation of "separable" models that can distinguish between the entities in the hierarchy. Extracting separable models of hierarchical entities requires us to take their relative position into account and to consider the different types of dependencies in the hierarchy. In this paper, we present an investigation of the effect of separability in text-based entity classification and argue that in hierarchical classification, a separation property should be established between entities not only in the same layer, but also in different layers. Our main findings are the followings. First, we analyse the importance of separability on the data representation in the task of classification and based on that, we introduce a "Strong Separation Principle" for optimizing expected effectiveness of classifiers decision based on separation property. Second, we present Hierarchical Significant Words Language Models (HSWLM) which capture all, and only, the essential features of hierarchical entities according to their relative position in the hierarchy resulting in horizontally and vertically separable models. Third, we validate our claims on real-world data and demonstrate that how HSWLM improves the accuracy of classification and how it provides transferable models over time. Although discussions in this paper focus on the classification problem, the models are applicable to any information access tasks on data that has, or can be mapped to, a hierarchical structure.Comment: Full paper (10 pages) accepted for publication in proceedings of ACM SIGIR International Conference on the Theory of Information Retrieval (ICTIR'16

Microwave resonance of the reentrant insulating quantum Hall phases in the 1st excited Landau Level

We present measurements of the real diagonal microwave conductivity of the reentrant insulating quantum Hall phases in the first excited Landau level at temperatures below 50 mK. A resonance is detected around filling factor $\nu=2.58$ and weaker frequency dependence is seen at $\nu=2.42$ and 2.28. These measurements are consistent with the formation of a bubble phase crystal centered around these $\nu$ at very low temperatures