Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics

When central banks set nominal interest rates according to an interest rate reaction function, such as the Taylor rule, and the exchange rate is priced by uncovered interest parity, the real exchange rate is determined by expected inflation differentials and output gap differentials. In this paper I examine the implications of these Taylor-rule fundamentals for real exchange rate determination in an environment where market participants are ignorant of the numerical values of the model's coefficients but attempt to acquire that information using least-squares learning rules. I find evidence that this simple learning environment provides a plausible framework for understanding real dollar--DM exchange rate dynamics from 1976 to 2003. The least-squares learning path for the real exchange rate implied by inflation and output gap data exhibits the real depreciation of the 70s, the great appreciation (1979.4-1985.1) and the subsequent great depreciation (1985.2-1991.1) observed in the data. An emphasis on Taylor-rule fundamentals may provide a resolution to the exchange rate disconnect puzzle.

Stellar Absorption Lines in the Spectra of Seyfert Galaxies

We have measured the strengths of Ca II Triplet and Mgb stellar absorption lines in the nuclear and off-nuclear spectra of Seyfert galaxies. These features are diluted to varying degrees by continuum emission from the active nucleus and from young stars. Ca II Triplet strengths can be enhanced if late-type supergiant stars dominate the near-IR light. Thus, objects with strong Ca II Triplet and weak Mgb lines may be objects with strong bursts of star formation. We find that for most of our sample the line strengths are at least consistent with dilution of a normal galaxy spectrum by a power law continuum, in accord with the standard model for AGN. However, for several Seyferts in our sample, it appears that dilution by a power law continuum cannot simultaneously explain strong Ca II Triplet and relatively weak Mgb. Also, these objects occupy the region of the IRAS color-color diagram characteristic of starburst galaxies. In these objects it appears that the optical to near-IR emission is dominated by late-type supergiants produced in a circumnuclear burst of star formation.Comment: 4 pages, 3 figures, to appear in Advances in Space Research, presented at "The AGN/Host Galaxy Connection" as part of the Scientific Assembly of COSPAR, July 12-18 Nagoya, Japa

Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-specific effects. The estimator is fully parametric, computationally convenient, and more precise than the single equation estimator. For fixed N as T approaches infinity, the estimator converges to a function of Brownian motions and the Wald statistic for testing a set of linear constraints has a limiting chi-square distribution. The estimator also has a Gaussian sequential limit distribution that is obtained first by letting T go to infinity then letting N go to infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income elasticity is 1.08 (asymptotic s.e.=0.26) and the estimated interest rate semi-elasticity is -0.02 (asymptotic s.e.=0.01).

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is un- predictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power of the long-horizon predictive regression test dominates that of the short-horizon test over a nontrivial region of the admissible parameter space. In practice, small sample OLS bias, which differs under the null and the alternative, can distort the size and reduce the power gains of long-horizon tests. To overcome these problems, we suggest a moving block recursive Jackknife estimator of the predictive regression slope coefficient and test statistics that is appropriate under both the null and the alternative. The methods are applied to testing whether future stock returns are predictable. Consistent evidence in favor of return predictability shows up at the 5 year horizon.Predictive regression, Long horizons, Stock returns, Small sample bias, Local asymptotic power

Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market

This paper presents a model of exchange rate determination in which the forward premium anomaly emerges as the result of unanticipated central bank interventions in the foreign exchange market. Deviations from uncovered interest parity (UIP) therefore represent neither unexploited profit opportunities nor compensation for bearing risk. In simulations, the model generates a forward premium anomaly and matches several other notable features of US-German data. Additional empirical support is obtained from an analysis of Fed and Bundesbank interventions in the dollar--DM market where it is found that the forward premium anomaly intensifies during those times when a central bank intervenes.

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is unpredictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power of the long-horizon predictive regression test dominates that of the short-horizon test over a nontrivial region of the admissible parameter space. In practice, small sample OLS bias, which differs under the null and the alternative, can distort the size and reduce the power gains of long-horizon tests. To overcome these problems, we suggest a moving block recursive Jackknife estimator of the predictive regression slope coefficient and test statistics that is appropriate under both the null and the alternative. The methods are applied to testing whether future stock returns are predictable. Consistent evidence in favor of return predictability shows up at the 5 year horizon.

Early 1960s Excavations at the Sam Kaufman Site (41RR16), Red River County, Texas

The Sam Kaufman site (41RR6, also known as the Arnold Roitsch site for a time) is a well-known Caddo Indian village along Mound Prairie and the Red River in Red River County, Texas. There have been a number of reported archaeological investigations, as well as bioarchaeological studies, at the site, and at other nearby sites since the 1930s. This article reports on previously unknown investigations conducted by Buddy Calvin Jones in December 1961 through January 1962 at the Sam Kaufman site. His notes on the work-which primarily consist of burial plan drawings and a map or two-have recently been provided to the Gregg County Historical Museum (GCHM). Some of the collection of archaeological materials from the site have also been located at the GCHM, and in May 2011, we had the opportunity to document those materials (all ceramic vessels). Other vessels from the Jones investigations, but not in the GCHM collections, at the Sam Kaufman site are discussed in Perttula and Perttula

2016 Archaeological Investigations at the T. M. Sanders Site (41LR2), Lamar County, Texas

On March 4th and 5th, 2016, Bo Nelson and Mark Walters returned to the T. M. Sanders site (41LR2) to inspect the property after Julia Trigg Crawford, the main landowner of the site, informed us that the fields at the site had been prepped for this year ’s planting. This article summarizes the findings from these archaeological investigations, which also included the surface examination of the 40 acres of the Sanders site owned by the Sanders family. The Sanders site is a large and impressive ancestral Caddo mound center and village situated on an alluvial terrace (450 ft. amsl) at the mouth of Bois d’Arc Creek and the Red River (Figure 1). The Sanders site was first investigated by archaeologists from the University of Texas in 1931 (Chelf 1939; Jackson 2000; Jackson et al. 2000; Krieger 1946, 2000; Pearce and Jackson 1931), where the work concentrated on the excavation of a number of burial features in Mound No. 1 or the East Mound, the trenching of Mound No. 2 or the West Mound, and the trenching of thick midden deposits that were present between the two mounds. The collections from this work are at the Texas Archeological Research Laboratory at The University of Texas at Austin. Members of the Dallas Archeological Society excavated burial features and obtained surface collections in the 1940s-1950s (Hanna 1950; Harris 1953; Housewright 1940) from the Sanders site. R. King Harris, in particular, amassed a large collection of artifacts from the Sanders site that are now held by the National Museum of Natural History at the Smithsonian Institution (Perttula et al. 2015). Other than a number of bioarchaeological studies of the human remains from the East Mound burial features (Hamilton 1997; Maples 1962; Wilson 1993, 1994, 1995, 1997; Wilson and Cargill 1993), there were no professional archaeological investigations conducted at the Sanders site again until 2011, when survey and/or test excavations were carried out in the proposed right-of-ways for the Keystone pipeline where they crossed non-mound habitation areas (Acuna et al. 2011; Perttula and Marceaux 2011; Peyton 2013). This work renewed attention to the significance of the Caddo archaeological deposits at the Sanders site, including both mound and non-mound areas, and with the permission of the Crawford family and the Sanders family, periodic archaeological and geophysical investigations have been conducted across much of the 200+ acres of the Sanders site since 2013 (Perttula 2013; Perttula et al. 2014, 2015, 2016; Perttula and Nelson 2016; Walker and Perttula 2016). The 2016 work represents a continuation of this effort

Documentation of Additional Vessels from the Johns Site (41CP12), Camp County, Texas

The Johns site (41CP12) is a Titus phase cemetery in the Prairie Creek valley in the Big Cypress Creek stream basin of the Northeast Texas Pineywoods. The Caddo artifacts from the site are from the Robert L. Turner, Jr. and Tommy John collections. Both men are current residents of Camp County, Texas. total of 35 Late Caddo (ca. A.D. 1400-1680), Titus phase, burials were excavated between May 1966 and December 1984 at the Johns site. The first 19 burials were excavated by Tommy Johns and Robert L. Turner, Jr., and Johns continued to excavate burials at the site until 1984. No single map of the plan of the Johns site cemetery exists in the available notes, but enough information is provided to reconstruct the arrangement and extent of the burial interments. The burials occur in a number of east-west rows, with the head of the deceased oriented almost always to face to the west. The deceased were placed in long, narrow, and relatively deep burial pits in an extended supine position, with funerary offerings generally placed along both the sides of the body and at the feet. Funerary offerings consisted of ceramic vessels (3-16 vessels per burial), ceramic pipes, arrow points (usually in quivers), celts, smoothing stones, as well as scrapers and other chipped stone tools. All of the burials have ceramic vessel funerary offerings, but only a small proportion had either ceramic pipes (25.7% of the burials), arrow points (62.9% of the burials), celts (17.1% of the burials), or other stone tools (17.1% of the burials) placed in the burial pit. In the summer of 2009, the Robert L. Turner, Jr. vessel and pipe collection and the Tommy Johns collection of vessels, pipes, celts, and arrow points were fully documented from the Johns site. A detailed description of each ceramic vessel or ceramic pipe was made for documentation purposes, accompanied by drawings appended to vessel documentation forms (on file, Archeological & Environmental Consultants, LLC files in Austin, Texas), where needed, of ceramic vessel decorative motifs or pipe morphology to supplement the artifact descriptions. Analysis notes and photographs were also obtained on the arrow points, celts, and other stone artifacts from a number of burials in the Johns collection. A total of 277 ceramic vessels were documented in the Turner and Johns collections from the Johns site. Subsequent to the completion of the published report, Tommy Johns located six additional vessels from the Johns site cemetery in his collection, and these vessels were documented in January 2010. This article provides information on the six previously undocumented vessels from the Johns site, increasing the total number of vessels to 283.1 With the larger sample of 283 vessels, the vessels from the Johns site are dominated by engraved fine wares (68.1%). Utility wares comprise 25.5% of the ceramic vessel mortuary offerings, and plain wares another 6.4%