Do bank loan rates exhibit a countercyclical mark-up?

Based on a switching-cost model, we examine empirically the hypotheses that bank loan mark-ups are countercyclical and asymmetric in their responsiveness to recessionary and expansionary impulses. The first econometric model treats changes in the mark-up as a continuous variable. The second treats them as an ordered categorical variable due to the discrete nature of prime rate changes. By allowing the variance to switch over time as a Markov process, we present the first conditionally heteroskedastic discrete choice (ordered probit) model for time-series applications. This feature yields a remarkable improvement in the likelihood function. Specifications that do not account for conditional heteroskedasticity find evidence of both countercyclical and asymmetric mark-up behavior. In contrast, the heteroskedastic ordered probit finds the mark-up to be countercyclical but not significantly asymmetric. We explain why controlling for conditional heteroskedasticity may be important when testing for downward stickiness in loan rates.Bank loans ; Interest rates

A numerical comparison of discrete Kalman filtering algorithms: An orbit determination case study

The numerical stability and accuracy of various Kalman filter algorithms are thoroughly studied. Numerical results and conclusions are based on a realistic planetary approach orbit determination study. The case study results of this report highlight the numerical instability of the conventional and stabilized Kalman algorithms. Numerical errors associated with these algorithms can be so large as to obscure important mismodeling effects and thus give misleading estimates of filter accuracy. The positive result of this study is that the Bierman-Thornton U-D covariance factorization algorithm is computationally efficient, with CPU costs that differ negligibly from the conventional Kalman costs. In addition, accuracy of the U-D filter using single-precision arithmetic consistently matches the double-precision reference results. Numerical stability of the U-D filter is further demonstrated by its insensitivity of variations in the a priori statistics

A primer on the mortgage market and mortgage finance

This article is a primer on mortgage finance. It discusses the basics of the mortgage market and mortgage finance. In so doing, it provides useful information that can aid individuals in making better mortgage finance decisions. The discussion and the tools are presented within the context of mortgage finance; however, these same principles and tools can be applied to a wide range of financial decisions.Mortgages

A note on the expectations hypothesis at the founding of the Fed

One of the most influential tests of the expectations hypothesis is Mankiw and Miron (1986), who found that the spread between the long-term and short-term rates provided predictive power for the short-term rate before the Fed's founding but not after. They suggested that the failure of the expectations hypothesis after the Fed's founding was due to the Fed's practice of smoothing short-term interest rates. We show that their finding that the expectations hypothesis fares better prior to the Fed's founding is due to the fact that the test they employ tends to generate results that are more favorable to the expectations hypothesis during periods when there is extreme volatility in the short-term rate. (Earlier version titled: The expectations theory and the founding of the Fed: another look at the evidence)Interest rates ; Rational expectations (Economic theory) ; Federal Reserve System - History

Visual suppression of the vestibulo-ocular reflex during space flight

Visual suppression of the vestibulo-ocular reflex was studied in 16 subjects on 4 Space Shuttle missions. Eye movements were recorded by electro-oculography while subjects fixated a head mounted target during active sinusoidal head oscillation at 0.3 Hz. Adequacy of suppression was evaluated by the number of nystagmus beats, the mean amplitude of each beat, and the cumulative amplitude of nystagmus during two head oscillation cycles. Vestibulo-ocular reflex suppression was unaffected by space flight. Subjects with space motion sickness during flight had significantly more nystagmus beats than unaffected individuals. These susceptible subjects also tended to have more nystagmus beats before flight

Eye and head motion during head turns in spaceflight

Eye-head motion was studied pre-, in- and postflight during single voluntary head turns. A transient increase in vestibulo-ocular reflex (VOR) gain occurred early in the flight, but later trended toward normal. This increased gain was produced by a relative increase in eye counterrotation velocity. Asymmetries in gain with right and left turns also occurred, caused by asymmetries in eye counterrotation velocities. These findings were remarkably similar to those from Soviet primate studies using gaze fixation targets, except the human study trended more rapidly toward normal. These findings differ substantially from those measuring VOR gain by head oscillation, in which no significant changes were found inflight. No visual disturbances were noted in either test condition or in normal activities. These head turn studies are the only ones to date documenting any functional change in VOR in weightlessness

Studies of the vestibulo-ocular reflex on STS 4, 5 and 6

The vestibulo-ocular reflex (VOR) may be altered by weightlessness. Since this reflex plays a large role in visual stabilization, it was important to document any changes caused by space flight. This is a report on findings on STS-4 through 6 and is part of a larger study of neurosensory adaptation done on STS-4 through 8. Voluntary horizontal head oscillations at 1/3 Hz with amplitude of 30 deg right and left of center were recorded by a potentiometer and compared to eye position recorded by electroculography under the following conditions: eyes open, head fixed, tracking horizontal targets switched 0, 15, and 30 degrees right and left (optokinetic reflex - OKR - and calibration); eyes open and fixed on static external target with oscillation, (vestibulo ocular reflex, eyes closed - VOR EC); eyes open and wearing opaque goggles with target fixed in imagination (vestibulo-ocular reflex, eyes shaded - VOR ES); and eyes open and fixed on a head synchronized target with head oscillation (VOR suppression). No significant changes were found in voluntary head oscillation frequency or amplitude in those with (n=5), and without (n=3), space motion sickness (SMS), with phase of flight or test condition. Variations in head oscillation were too small to have produced detectable changes in test results

Studies of the horizontal vestibulo-ocular reflex on STS 7 and 8

Unpaced voluntary horizontal head oscillation was used to study the Vestibulo-Ocular Reflex (VOR) on Shuttle flights STS 7 and 8. Ten subjects performed head oscillations at 0.33 Hz + or - 30 deg amplitude under the followng conditions: VVOR (visual VOR), eyes open and fixed on a stationary target; VOR-EC, with eyes closed and fixed on the same target in imagination; and VOR-S (VOR suppression), with eyes open and fixed on a head-synchronized target. Effects of weightlessness, flight phase, and Space Motion Sickness (SMS) on head oscillation characteristics were examined. A significant increase in head oscillation frequency was noted inflight in subjects free from SMS. In subjects susceptible to SMS, frequency was reduced during their Symptomatic period. The data also suggest that the amplitude and peak velocity of head oscillation were reduced early inflight. No significant changes were noted in reflex gain or phase in any of the test conditions; however, there was a suggestion of an increase in VVOR and VOR-ES gain early inflight in asymptomatic subjects. A significant difference in VOR-S was found between SMS susceptible and non-susceptible subjects. There is no evidence that any changes in VOR characteristics contributed to SMS

Saccadic eye movement during spaceflight

Saccadic eye movements were studied in six subjects during two Space Shuttle missions. Reaction time, peak velocity and accuracy of horizontal, visually-guided saccades were examined preflight, inflight and postflight. Conventional electro-oculography was used to record eye position, with the subjects responding to pseudo-randomly illuminated targets at 0 deg and + or - 10 deg and 20 deg visual angles. In all subjects, preflight measurements were within normal limits. Reaction time was significantly increased inflight, while peak velocity was significantly decreased. A tendency toward a greater proportion of hypometric saccades inflight was also noted. Possible explanations for these changes and possible correlations with space motion sickness are discussed