A factor model of term structure slopes in eurocurrency markets

This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is relevant to forecast future changes in economic activity, and it is additional to information in past economic activity, inflation, or in any leading indicator index [see Estrella and Hardouvelis (1991), Stock and Watson (1988), Hardouvelis (1994) and Plosser and Rouwenhorst (1994), among others]. This implies that a good forecasting model of term structure slopes could be helpful to anticipate changes in economic activity with an even longer anticipation.Term structure of interest rates, Term structure slope, Principal components, Eurocurrencies.

Dynamic correlations and forecasting of term structure slopes in eurocurrency market

Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting economic activity, since term structure slopes are known to anticipate fluctuations in the real economy. Additionally, the Expectations Hypothesis states that the term structure slope summarizes the available information which is relevant for forecasting future short-term interest rates, so that improved slope forecasts might also lead to better forecasts of future interest rates. We find ample evidence of significant explanatory power in term structure slopes across countries. Besides, we document that this information content leads to improved forecasts of the term structure slope in some countries, using a foreign slope as indicator.Term structure of interest rates, Term structure slope, Expectations hypothesis, Eurocurrencies.

Can forward rates be used to improve interest rate forecasts?".

We evaluate the extent to which the explanatory power detected in the term structure in different markets and countries can actually be used to produce sensible forecasts of future short-term interest rates. Specifically, in spite of the forecasting connotation of the unbiasedness property of forward rates, actual evaluation of their forecasting performance has received scant attention in the literature on the term structure. We use monthly data for 1978-1998 on interest rates on Eurodeposits on the US dollar, yen, Deutsche mark, British pound, Spanish peseta, French franc, Italian lira and Swiss franc, comparing forecasts obtained from forward rates to those obtained from univariate autoregressions. By themselves, forward rates produce better one-step ahead forecasts, as well as better once-and-for all forecasts of 1-month interest rates over a full year horizon than those obtained from the own past of interest rates. The gain in one-step ahead forecasting disappears for longer maturities, although forward rates still produce better once-and-for all predictions of 3- and 6-month interest rates than univariate autoregressions for a number of currencies.Expectations hypothesis, Term structure, Forward rates

Applying stress-testing on value at risk (VaR) methodologies

In recent years, Value at Risk (VaR) methodologies, i. e., Parametric VaR, Historical Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new regulatory framework which is Basle II. Moreover, complementary analyses such a Stress-testing and Back-testing have also demonstrated their usefulness for financial risk managers. In this paper, we develop an empirical Stress-Testing exercise by using two historical scenarios of crisis. In particular, we analyze the impact of the 11-S attacks (2001) and the Latin America crisis (2002) on the level of risk, previously calculated by different statistical methods. Consequently, we have selected a Spanish stock portfolio in order to focus on market risk

Utilización de la técnica de los elementos discretos de tomografía sísmica

La tomografía es un sistema de obtención de imágenes internas de sólidos a los que no se tiene acceso directo. Esta técnica ha sido ya de enorme fecundidad en el campo del diagnostico médico. Hoy día el sistema sigue perfeccionandese y el presente trabajo se enmarca dentro de esta línea, con aplicaciones en el campo de la Ingeniería Civil, utilizando técnicas de discretización del medio investigado, así como la teoría de rayos. Los resultados obtenidos son esperanzadores, y es posible que en un corto espacio de tiempo esta técnica goce de la fiabilidad necesaria en el campo de la Ingeniería

Ectomycorrhizal Fungi as Biofertilizers in Forestry

Ectomycorrhizal (ECM) fungi play a fundamental role in the nutrient cycle in terrestrial ecosystems, especially in forest systems. In this chapter, the value of ECM fungi is reviewed from a global framework, not only to increase the production of edible fruit bodies and biomass of plants but also for the regular practices of reforestation and restoration of ecosystems, with implicit applications in biofertilization, bioremediation, and control of soil pathogens. Ecological functions of the ECM fungi are briefly reviewed. The direct implications of the ECM fungi in forestry are described. To do so, its role as a biotechnological tool in forest nursery production is briefly analyzed, as well as the role of mycorrhizal helper bacteria (MHB). Subsequently, the direct role as biofertilizers of the ECM fungi in forest management is discussed: reforestation, plantation management, and ecosystem restoration. The importance of ECM fungi to increase the tolerance of plants against biotic or abiotic stresses is analyzed

The value of diversity: teaching gender and sport through content analysis of three films

Underlining the value of diversity is of great interest resulting in a changing, flexible social context and aims to maintain the welfare state and the effectiveness of both labor organizations and school or sports in community life. Having this budget heading, we consider gauging the value of gender diversity in sport and offering cinema as an effective way to think about it doing a content analysis of three films and proposing keys to be used in the classroom tool. This work is important and represents an advance in education science by proposing a working tool for teachers who intend to teach values to their students through the confrontation of stereotypes and prejudices contained in the products released by industry film