6,149 research outputs found

    Macroeconomic models and the yield curve: An assessment of the fit

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    Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best

    The Business Cycle, Macroeconomic Shocks and the Cross Section: Evidence from UK Quoted Companies

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    Co-movements and correlations in the major macroeconomic aggregates has been the focus of much of the recent literature in business cycle research. In this paper we provide another dimension to business cycle analysis. We examine the evolution of the cross sectional distribution of the growth of UK quoted companies from 1968 to 1997 and find correlations between aggregate business cycle fluctuations and the higher moments of the cross sectional distribution. To explain this we analyse the sensitivity of firms to aggregate shocks, conditioning growth on firm size, age and industry. We find that the contemporaneous effects of aggregate shocks, both positive and negative, are significantly more pronounced for firms in the middle range of growth. This explains the cycle-related patterns in the moments of the growth rate cross section. These findings are of importance in understanding firm level as well as business cycle dynamics.

    The Origin of Sequential Chromospheric Brightenings

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    Sequential chromospheric brightenings (SCBs) are often observed in the immediate vicinity of erupting flares and are associated with coronal mass ejections. Since their initial discovery in 2005, there have been several subsequent investigations of SCBs. These studies have used differing detection and analysis techniques, making it difficult to compare results between studies. This work employs the automated detection algorithm of Kirk et al. (Solar Phys. 283, 97, 2013) to extract the physical characteristics of SCBs in 11 flares of varying size and intensity. We demonstrate that the magnetic substructure within the SCB appears to have a significantly smaller area than the corresponding H-alpha emission. We conclude that SCBs originate in the lower corona around 0.1 R_sun above the photosphere, propagate away from the flare center at speeds of 35 - 85 km/s, and have peak photosphere magnetic intensities of 148 +/- 2.9 G. In light of these measurements, we infer SCBs to be distinctive chromospheric signatures of erupting coronal mass ejections.Comment: 25 pages, 9 figures, 5 table

    Spatial and Temporal Diffusion of House Prices in the UK

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    This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect. Shocks to a dominant region - London - are propagated contemporaneously and spatially to other regions. They in turn impact on other regions with a delay. We allow for lagged effects to echo back to the dominant region. London in turn is influenced by international developments through its link to New York and other financial centers. It is shown that New York house prices have a direct effect on London house prices. We analyse the effect of shocks using generalised spatio-temporal impulse responses. These highlight the diffusion of shocks both over time (as with the conventional impulse responses) and over space.House Prices, Cross Sectional Dependence, Spatial Dependence