CLIC QD0 "Short Prototype" Status

This paper gives the status design and procurement for the "short prototype" of the QD0 hybrid magnet for CLIC Final Focus system.Comment: 9 pages, Contribution to LCWS11 Workshop Granada, Spain 201

An Empirical Investigation of the Lucas Hypothesis: the Yield Curve and on Linearity in the Money-Output Relationship

Existing evidence about the effectiveness of money growth to stimulate economic activity has been criticized from different perspectives. In addition, high correlation between money and output is not helpful to detect the direction of causality. From a policy perspective, in fact, positive correlation may arise from two opposite policy conducts: either the monetary authority sets the supply of money to influence future output fluctuations, or the central bank controls money growth as a reaction to the recent evolution of macro variables. In this work the relationship between money and output is analysed within a non linear framework that ascribes a primary role to expectations. In particular, we find evidence that the Lucas (1973) hypothesis, that exists an inverse correlation between the variance of nominal shocks and the magnitude of output response to nominal shocks, is supported by data evidence when the yield curve is either flat or downward sloping. We also provide evidence suggesting that the Friedman (1977) hypothesis, that the variability of inflation exerts a negative effect on the natural level of output, holds when a positive risk premium is incorporated in an upward sloping term structure of interest rates.Term Structure, Kalman Filtering, Expectations, Output Growth.

The term structure and the expectations hypothesis: a threshold model

The expectations hypothesis implies that rational investors can predict future changes in interest rates by simply observing the yield spread. According to Mishkin (1990) the expectations theory can also be reformulated in terms of the ability of the spread to predict future inflation. Unfortunately, although appealing, the theory has found little empirical support. Time-varying term premia and changing risk perception have been advocated to rationalize the aforementioned weak empirical evidence. In this work we suggest that the time-varying nature of term premia makes single-equation models inappropriate to analyse the informative content of the term structure. In particular, when the deviations between the expected and the actual spread are large, which occurs in times of soaring term premia volatility, linear models fail to support the expectations theory. Within a threshold model for term premia, we provide evidence that the yield spread contains valuable information to predict future interest rates changes once the risk-averse attitude of economic agents is appropriately considered. Empirical results show that the predictive ability of the yield spread is contingent on the level of uncertainty as captured by the size of monetary policy surprise.Expectations Hypothesis, Term Premia, Threshold Models

Yield curve, time varying term premia, and business cycle fluctuations

Using data for U.S. and Canada, we find evidence of the time-varying nature of risk premia, which are obtained as difference between long term interest rates and their expected values. We then apply Kalman filtering to extract the conditional variance of term premia prediction errors; our results highlight that this variable is informative beyond term premia and spreads, and it significantly improves upon prediction capability of standard models. In particular, the conditional variance of term premia, reflecting the high volatility of financial markets, anticipates movements in the output growth. Empirical evidence supports the inverse correlation between term premia and business cycle fluctuations. Data suggest that a deterioration of financial markets conditions, as captured by the increased volatility of term premia, anticipates a decline in the output growth. Therefore, term premia conditional volatility has an adverse effect on the economy.Term Structure; Term Premia; Kalman Filtering; Industrial Production Growth

An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates

This work extends the strand of literature that examines the relation between the term structure of interest rates and macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained through Kalman filtering. In this paper, we address the challenging issue of attributing an economic interpretation to the third unobservable component of the term structure, i.e. curvature. In particular, we find significant evidence suggesting that curvature reflects the cyclical fluctuations of the economy. Interestingly, this result holds in spite of whether the curvature factor is extracted from the nominal or the real term structure. A negative shock to curvature seems either to anticipate or to accompany a slowdown in economic activity. The curvature effect thus appears to complement the transition from an upward sloping yield curve to a flat one. Finally, a joint macro-econometric model for curvature and real activity is developed and estimated.Term Structure, Kalman Filtering, Latent Factors, Curvature, Business Cycle

Under the Social Capital Umbrella. Definition and Measurement

In the last two decades social capital has become one of the most analyzed and cited concepts in the social sciences. On the one hand it is a powerful idea, used to explain a very wide set of socioeconomic phenomena. On the other hand social capital is disputed and ambiguous: there are a number of different meanings because of different theoretical frameworks. This conceptual vagueness is reflected in a nebulous empirical application of the idea of social capital. This work critically discusses the most relevant definitions of social capital, exploring how different scholars understand social capital, which are its main dimensions and whether there is a unique latent variable, whether social capital is certainly benign, and what kind of measures should we use to estimate its level.

The Term Structure and the Expectations Hypothesis: a Threshold Model

The expectations hypothesis implies that rational investors can predict future changes in interest rates by simply observing the yield spread. According to Mishkin (1990) the expectations theory can also be reformulated in terms of the ability of the spread to predict future inflation. Unfortunately, although appealing, the theory has found little empirical support. Time-varying term premia and changing risk perception have been advocated to rationalize the aforementioned weak empirical evidence. In this work we suggest that the time-varying nature of term premia makes single-equation models inappropriate to analyse the informative content of the term structure. In particular, when the deviations between the expected and the actual spread are large, which occurs in times of soaring term premia volatility, linear models fail to support the expectations theory. Within a threshold model for term premia, we provide evidence that the yield spread contains valuable information to predict future interest rates changes once the risk-averse attitude of economic agents is appropriately considered. Empirical results show that the predictive ability of the yield spread is contingent on the level of uncertainty as captured by the size of monetary policy surprise.Expectations Hypothesis, Term Premia, Threshold Models.