Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique

Periodic sharp sustained increases and then reversals in asset prices lead many to posit irrational price bubbles. The general case for irrationality is that real asset prices simply have moved too much given the future real cash flows the assets are reasonably likely to produce. A corollary for property is that observed mean reversion in real cash flows is not reflected in investor valuations, resulting in asset values being too high when real cash flows are high and vice versa. In this paper we interpret, critique and extend existing analyses of movements in real commercial property prices during the late 1980s and early 1990s.

Pricing Mortgages: An Interpretation of the Models and Results

Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back the mortgage at par, and default, which is a put option giving the borrower the right to sell the house in exchange for the mortgage. This paper reviews and interprets the large and growing body of literature that applies recent results of option pricing models to mortgages. We also provide a critique of the models and suggest directions for future research.

Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital

The securitization of fixed-rate mortgages suggests that the FRA/VA market was fully integrated with capital markets by the early l98Os and that the conventional market moved toward integration during the l98Os. Assuming full integration of FHA/VA5 via the GNMA securitization process, we first estimate equations explaining near-par GNMA prices weekly for the 1981-88 period. The price is then set equal to the new-issue price and, based upon the preferred equation, the perfect-market retail coupon rate is computed. Next we estimate equations (for three year segments of the 1971-88 period) explaining conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we examine differences between the perfect-market and actual coupon rates and compute the impact of these differences on residential capital accumulation.

Skill tests of three-dimensional tidal currents in a global ocean model: A look at the North Atlantic

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/92458/1/jgr_timkoetal_northatlatnictidalcurrentskilltest_2012.pd

An Analysis of the Systemic Risks Posed by Fannie Mae and Freddie Mac and an Evaluation of the Policy Options for Reducing those Risks

Fannie Mae and Freddie Mac are government-sponsored enterprises that are central players in U.S. secondary mortgage markets. Over the past decade, these institutions have amassed enormous mortgage- and non-mortgage-oriented investment portfolios that pose significant interest-rate risks to the companies and a systemic risk to the financial system. This paper describes the nature of these risks and systemic concerns and then evaluates several policy options for reducing the institutions’ investment portfolios. We conclude that limits on portfolio size (assets or liabilities) would be the most desirable approach to mitigating the systemic risk posed by Fannie Mae and Freddie Mac

Calcareous phytoplankton response to the half century of interannual climatic variability in Santa Barbara Basin (California)

A high-resolution study of calcareous phytoplankton in a box core from the Santa Barbara Basin (SBB) reveals floral assemblage fluctuations which can be related to climatic and paleoceanographic changes during the last half century (1940-1996). In particular, Gephyrocapsa oceanica production increased during El Niño periods, in response to high temperatures, silica depletion, and increased iron availability. Conversely, Helicosphaera carteri flux increases in conjunction with lower surface temperatures associated with La Niña episodes. Increasing abundances of Florisphaera profunda and Umbilicosphaera sibogae after 1970 reflect a warming trend and increased stratification within the basin associated with the warm phase of the Pacific Decadal Oscillation (PDO). Conversely, increased abundances of Coccolithus pelagicus and Calcidiscus leptoporus before 1970 mark the cold phase of PDO. These coccolithophore production rate data are consistent with instrumental records of surface and thermocline temperatures monitored since 1950. This is the first study to document the response of calcareous phytoplankton to surface water warming occurring in SBB since 197

Towards an end-to-end analysis and prediction system for weather, climate, and marine applications in the Red Sea

Author Posting. © American Meteorological Society, 2021. This article is posted here by permission of American Meteorological Society for personal use, not for redistribution. The definitive version was published in Bulletin of the American Meteorological Society 102(1), (2021): E99-E122, https://doi.org/10.1175/BAMS-D-19-0005.1.The Red Sea, home to the second-longest coral reef system in the world, is a vital resource for the Kingdom of Saudi Arabia. The Red Sea provides 90% of the Kingdom’s potable water by desalinization, supporting tourism, shipping, aquaculture, and fishing industries, which together contribute about 10%–20% of the country’s GDP. All these activities, and those elsewhere in the Red Sea region, critically depend on oceanic and atmospheric conditions. At a time of mega-development projects along the Red Sea coast, and global warming, authorities are working on optimizing the harnessing of environmental resources, including renewable energy and rainwater harvesting. All these require high-resolution weather and climate information. Toward this end, we have undertaken a multipronged research and development activity in which we are developing an integrated data-driven regional coupled modeling system. The telescopically nested components include 5-km- to 600-m-resolution atmospheric models to address weather and climate challenges, 4-km- to 50-m-resolution ocean models with regional and coastal configurations to simulate and predict the general and mesoscale circulation, 4-km- to 100-m-resolution ecosystem models to simulate the biogeochemistry, and 1-km- to 50-m-resolution wave models. In addition, a complementary probabilistic transport modeling system predicts dispersion of contaminant plumes, oil spill, and marine ecosystem connectivity. Advanced ensemble data assimilation capabilities have also been implemented for accurate forecasting. Resulting achievements include significant advancement in our understanding of the regional circulation and its connection to the global climate, development, and validation of long-term Red Sea regional atmospheric–oceanic–wave reanalyses and forecasting capacities. These products are being extensively used by academia, government, and industry in various weather and marine studies and operations, environmental policies, renewable energy applications, impact assessment, flood forecasting, and more.The development of the Red Sea modeling system is being supported by the Virtual Red Sea Initiative and the Competitive Research Grants (CRG) program from the Office of Sponsored Research at KAUST, Saudi Aramco Company through the Saudi ARAMCO Marine Environmental Center at KAUST, and by funds from KAEC, NEOM, and RSP through Beacon Development Company at KAUST