The empirical failure of the expectations hypothesis of the term structure of bond yields

This paper tests the expectations hypothesis (EH) using U.S. monthly data for bond yields spanning the 1952–2003 sample period and ranging in maturity from one month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power by introducing economic variables as conditioning information and by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While the conventional bivariate procedure provides mixed results, the more powerful testing procedures suggest rejection of the EH throughout the maturity spectrum examined

The Dynamics of Emerging Market Equity Flows

We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregressionn with these variables to measure the degree to which lower interest rates contribute to increased capital flows and shocks in flows affect the cost of capital among other dynamic relations. We precede the VAR analysis by a detailed examination of endogenous break points in capital flows and the other variables. These structural breaks are traced to the liberalization of emerging equity markets. Our evidence of structural breaks call into question past research which estimates VAR models over the full sample. After a liberalization, we find that equity flows increase by 1.4% of market capitalization. We also show that shocks in equity flows initially increase returns which is consistent with a price pressure hypothesis. While the effect is diminished over time, there also appears to be a permenant impact. This is consistent with our finding that our proxy for the cost of capital, dividend yields, decreases. Finally, our analysis of the transitition dynamics from pre-liberalization to post-liberalization suggests that when capital leaves, it leaves faster than it came in. These results may help us understand the dynamics of the recent crises in Latin America and East Asia.

Quantizing non-Lagrangian gauge theories: an augmentation method

We discuss a recently proposed method of quantizing general non-Lagrangian gauge theories. The method can be implemented in many different ways, in particular, it can employ a conversion procedure that turns an original non-Lagrangian field theory in $d$ dimensions into an equivalent Lagrangian topological field theory in $d+1$ dimensions. The method involves, besides the classical equations of motion, one more geometric ingredient called the Lagrange anchor. Different Lagrange anchors result in different quantizations of one and the same classical theory. Given the classical equations of motion and Lagrange anchor as input data, a new procedure, called the augmentation, is proposed to quantize non-Lagrangian dynamics. Within the augmentation procedure, the originally non-Lagrangian theory is absorbed by a wider Lagrangian theory on the same space-time manifold. The augmented theory is not generally equivalent to the original one as it has more physical degrees of freedom than the original theory. However, the extra degrees of freedom are factorized out in a certain regular way both at classical and quantum levels. The general techniques are exemplified by quantizing two non-Lagrangian models of physical interest.Comment: 46 pages, minor correction

Consistent interactions of dual linearized gravity in D=5: couplings with a topological BF model

Under some plausible assumptions, we find that the dual formulation of linearized gravity in D=5 can be nontrivially coupled to the topological BF model in such a way that the interacting theory exhibits a deformed gauge algebra and some deformed, on-shell reducibility relations. Moreover, the tensor field with the mixed symmetry (2,1) gains some shift gauge transformations with parameters from the BF sector.Comment: 63 pages, accepted for publication in Eur. Phys. J.

On gravitational interactions for massive higher spins in AdS3AdS_3

In this paper we investigate gravitational interactions of massive higher spin fields in three dimensional $AdS$ space with arbitrary value of cosmological constant including flat Minkowski space. We use frame-like gauge description for such massive fields adopted to three-dimensional case. At first, we carefully analyze the procedure of switching on gravitational interactions in the linear approximation on the example of massive spin-3 field and then proceed with the generalization to the case of arbitrary integer spin field. As a result we construct a cubic interaction vertex linear in spin-2 field and quadratic in higher spin field on $AdS_3$ background. As in the massless case the vertex does not contain any higher derivative corrections to the Lagrangian and/or gauge transformations. Thus, even after switching on gravitational interactions, one can freely consider any massless or partially massless limits as well as the flat one.Comment: 21 pages. Some clarifications and 1 new reference added. Version to appear in the J.Phys.A special volume on "Higher Spin Theories and AdS/CFT" edited by Matthias Gaberdiel and Mikhail Vasilie

FIIs and Indian Stock Market: A Causality Investigation

While the volatility associated with portfolio capital flows is well known, there is also a concern that foreign institutional investors might introduce distortions in the host country markets due to the pressure on them to secure capital gains. In this context, present chapter attempts to find out the direction of causality between foreign institutional investors (FIIs) and performance of Indian stock market. To facilitate a better understanding of the causal linkage between FII flows and contemporaneous stock market returns (BSE National Index), a period of nineteen consecutive financial years ranging from January 1992 to December 2010 is selected. Granger Causality Test has been applied to test the direction of causality.Aczkolwiek brak stabilności związany z przepływami kapitału portfelowego jest dobrze znany, to istnieje również obawa, że zagraniczni inwestorzy instytucjonalni mogą wprowadzać zakłócenia na rynkach krajów przyjmujących z uwagi na wywieraną na nich presję, aby zapewniać zyski kapitałowe. W tym kontekście niniejszy rozdział próbuje poznać kierunek przyczynowości pomiędzy zagranicznymi inwestorami instytucjonalnymi (FIIs) i działaniem indyjskiej giełdy. Aby ułatwić lepsze zrozumienie związku przyczynowego między przepływami FII i mającymi miejsce w tym samym czasie wynikami giełdy papierów wartościowych (BSE National Index), wybrany został okres dziewiętnastu kolejnych lat począwszy od stycznia 1992 do grudnia 2010. Do zbadania kierunku przyczynowości zastosowano test przyczynowości Grangera