Examining the bond premium puzzle with a DSGE model

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage; therefore, the bond premium puzzle remains.Interest rates ; Econometric models

Associated Charmonium Production in p-pbar Annihilation

In this paper we summarize our recent results for low energy associated charmonium production cross sections, using 1) crossing symmetry, and 2) an explicit hadronic model. These predictions are of relevance to the planned charmonium and charmonium hybrid production experiment PANDA at GSI.Comment: 5 pages, 5 figures. Contribution to the Second Meeting of the APS Topical Group on Hadron Physics GHP2006. (Nashville, TN, 22-24 Oct. 2006

The bond premium in a DSGE model with long-run real and nominal risks

The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data - an example of the "bond premium puzzle." However, in models of endowment economies, researchers have been able to generate reasonable term premiums by assuming that investors face long-run economic risks and have recursive Epstein-Zin preferences. We show that introducing these two elements into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables.

Bedrock geology of the northern Columbia Plateau and adjacent areas

The Columbia Plateau is surrounded by a complex assemblage of highly deformed Precambrian to lower Tertiary continental and oceanic rocks that reflects numerous episodes of continental accretion. The plateau itself is comprised of the Columbia River basalt group formed between about 16.5 x 1 million years B.P. and 6 x 1 million years B.P. Eruptions were infrequent between about 14 and 6 x 1 million years B.P., allowing time for erosion and deformation between successive outpourings. The present-day courses of much of the Snake River, and parts of the Columbia River, across the plateau date from this time. Basalt produced during this waning activity is more heterogeneous chemically and isotopically than older flows, reflecting its prolonged period of volcanism

The Bond Yield "Conundrum" from a Macro-Finance Perspective

In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic conditions and rising short- term interest rates, a situation that then-Federal Reserve Board Chairman Alan Greenspan dubbed a "conundrum." We document the extent and timing of this conundrum using two empirical no-arbitrage macro-finance models of the term structure of interest rates. These models confirm that the recent behavior of long-term yields has been unusual-that is, it cannot be explained within the framework of the models. Therefore, we consider other macroeconomic factors omitted from the models and find that some of these variables, particularly declines in long-term bond volatility, may explain a portion of the conundrum. Foreign official purchases of U.S. Treasuries appear to have played little or no role.Term structure; Term premium; Bond pricing; Affine no-arbitrage model

The bond yield "conundrum" from a macro-finance perspective

In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic conditions and rising short-term interest rates, a situation that former Fed Chairman Alan Greenspan dubbed a "conundrum." We document the extent and timing of this conundrum using two empirical no-arbitrage macro-finance models of the term structure of interest rates. These models confirm that the recent behavior of long-term yields has been unusual--that is, it cannot be explained within the framework of the models. Therefore, we consider other macroeconomic factors omitted from the models and find that some of these variables, particularly declines in long-term bond volatility, may explain a portion of the conundrum. Foreign official purchases of U.S Treasuries appear to have played little or no role.Monetary policy - United States ; Federal funds rate ; Treasury bonds

Hadronic Spectral Function and Charm Meson Production

At the chiral restoration/deconfinement transition, most hadrons undergo a Mott transition from being bound states in the confined phase to resonances in the deconfined phase. We investigate the consequences of this qualitative change in the hadron spectrum on final state interactions of charmonium in hot and dense matter, and show that the Mott effect for D-mesons leads to a critical enhancement of the J/Psi dissociation rate. Anomalous J/Psi suppression in the NA50 experiment is discussed as well as the role of the Mott effect for the heavy flavor kinetics in future experiments at the LHC. The status of our calculations of hadron-hadron cross sections using the quark interchange and chiral Lagrangian approaches is reviewed, and an Ansatz for a unification of these schemes is given.Comment: 12 pages, 6 figures, Proceedings of the Budapest'02 Workshop on Quark & Hadron Dynamics, Budapest, Hungary, March 3-7, 200

Macroeconomic implications of changes in the term premium

Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. This paper investigates these implications using both a structural model and a reduced-form framework. The authors show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature.Macroeconomics ; Finance

Notched fatigue of single crystal PWA 1480 at turbine attachment temperatures

The focus is on the lower temperature, uncoated and notched features of gas turbine blades. Constitutive and fatigue life prediction models applicable to these regions are being developed. Fatigue results are presented which were obtained thus far. Fatigue tests are being conducted on PWA 1480 single crystal material using smooth strain controlled specimens and three different notched specimens. Isothermal fatigue tests were conducted at 1200, 1400, and 1600 F. The bulk of the tests were conducted at 1200 F. The strain controlled tests were conducted at 0.4 percent per second strain rate and the notched tests were cycled at 1.0 cycle per second. A clear orientation dependence is observed in the smooth strain controlled fatigue results. The fatigue lifes of the thin, mild notched specimens agree fairly well with this smooth data when elastic stress range is used as a correlating parameter. Finite element analyses were used to calculate notch stresses. Fatigue testing will continue to further explore the trends observed thus far. Constitutive and life prediction models are being developed

Macroeconomic implications of changes in the term premium

Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. We investigate these implications using both a structural model and a reduced-form framework. We show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature.Interest rates ; Economic forecasting ; Econometric models