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.

Predicted efficiency of Si wire array solar cells

Solar cells based on arrays of CVD-grown Si nano- or micro-wires have attracted interest as potentially low-cost alternatives to conventional wafer-based Si photovoltaics [1-6], and single-wire solar cells have been reported with efficiencies of up to 3.4% [7]. We recently presented device physics simulations which predicted efficiencies exceeding 17%, based on experimentally observed diffusion lengths within our wires [8]. However, this model did not take into account the optical properties of a wire array device - in particular the inherently low packing fraction of wires within CVD-grown wire arrays, which might limit their ability to fully absorb incident sunlight. For this reason, we have combined a device physics model of Si wire solar cells with FDTD simulations of light absorption within wire arrays to investigate the potential photovoltaic efficiency of this cell geometry. We have found that even a sparsely packed array (14%) is expected to absorb moderate (66%) amounts of above-bandgap solar energy, yielding a simulated photovoltaic efficiency of 14.5%. Because the wire array comprises such a small volume of Si, the observed absorption represents an effective optical concentration, which enables greater operating voltages than previously predicted for Si wire array solar cells

Completely Positive Maps on Some C*-Algebras

Completely positive maps on the C*-algebra of the canonical anticommutation relations induced by contractions on the underlying Hilbert space are investigated and a Stinespring decomposition exhibited. These maps are used to construct examples of dynamical semi-groups; their explicit Stinespring decompositions yield unitary dilations. The relation of this work with earlier results on the C*-algebra of the canonical commutation relations is discussed

Re-examination of the possible tidal stream in front of the LMC

It has recently been suggested that the stars in a vertical extension of the red clump feature seen in LMC color-magnitude diagrams could belong to a tidal stream of material located in front of that galaxy. If this claim is correct, this foreground concentration of stars could contribute significantly to the rate of gravitational microlensing events observed in the LMC microlensing experiments. Here we present radial velocity measurements of stars in this so-called ``vertical red clump'' (VRC) population. The observed stellar sample, it transpires, has typical LMC kinematics. It is shown that it is improbable that an intervening tidal stream should have the same distribution of radial velocities as the LMC, which is consistent with an earlier study that showed that the VRC feature is more likely a young stellar population in the main body of that galaxy. However, the kinematic data do not discriminate against the possibility that the VRC is an LMC halo population.Comment: 10 pages, 3 figures, 1 table. Accepted for publication in ApJ