Fiscal Policy and the Term Structure of Interest Rates

Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for the factors that drive the dynamics of the yield curve. To shed light on both issues, we present an empirical macro-finance model that combines a no-arbitrage affine term structure model with a set of structural restrictions that allow us to identify fiscal policy shocks, and trace the effects of these shocks on the prices of bonds of different maturities. Compared to a standard VAR, this approach has the advantage of incorporating the information embedded in a large cross-section of bond prices. Moreover, the pricing equations provide new ways to assess the model's ability to capture risk preferences and expectations. Our results suggest that (i) government deficits affect long term interest rates: a one percentage point increase in the deficit to GDP ratio, lasting for 3 years, will eventually increase the 10-year rate by 40--50 basis points; (ii) this increase is partly due to higher expected spot rates, and partly due to higher risk premia on long term bonds; and (iii) the fiscal policy shocks account for up to 12% of the variance of forecast errors in bond yields.

Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory,' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadratic-Gaussian term structure models. Additionally, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models. Key to this matching are parameterizations of the market prices of risk that let the risk factors affect the market prices of risk directly, and not only through the factor volatilities. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy.

Simulation of packed column jigging

Packed column jig has been demonstrated a number of promising results in processing iron ore, coal, chromite and other finely disseminated particulate materials. The packing materials in the jig divide the column into a large number of virtual cells. Each cell performs the similar separation action. A model about the movement of a particle in the packed column jig was derived to interpret the separation mechanism of particles in the virtual cell. A computer program was developed to simulate the particle movement in the jig based on the derived model, which can simulate the packed column jigging with different jig geometry, ore properties and operation conditions. It also allows a visual simulation of particles moving in the packed column jig. By analyzing the simulation results, the effects of jig cell dimensions, pulsating frequency, stroke length, particle size, mineral density, particle packing density in the jig, etc. were obtained