Real Spread Research Articles

The Cyclical Properties of the Term Structure of Interest Rates

This paper studies whether three macroeconomic models (Real Business Cycle Model, Sticky Price Model, and Liquidity Effects Model) similar to those studied in King and Watson - (1996) can generate the behavior of nominal and real term structure found in data. Differing from King and Watson - (1996), we use data on UK index-linked bonds to get a better measure of ex-ante real interest rates. It is found that among the three models the sticky price model generates term structure behavior that matches data findings most closely. The sticky price model is able to generate the downward-sloping average real term structure, the upward-sloping average nominal term structure for maturities between 2 and 6 years, the cyclical property of nominal and real yield spread and 1-year nominal and real interest rates.

Optimizing Hough transform for fertilizer spreading optical control

In Europe, centrifugal spreading is a widely used method for agricultural soil fertilization. In this broadcasting method, fertilizer particles fall onto a spinning disk, are accelerated by a vane, and afterward are ejected into the field. To predict and control the spread pattern, a low-cost, embeddable technology adapted to farm implements must be developed. We focus on obtaining the velocity and the direction of fertilizer granules when they begin their flight by means of a simple imaging system. We first show that the outlet angle of the vane is a bounded value and that its measurement provides the outlet velocity of the particle. Consequently, a simple camera unit is used in the vicinity of the spinning disk to acquire digital images on which trajectory streaks are recorded. Information is extracted using the Hough transform, which is specifically optimized to analyze these streaks and to measure the motion of the particles. The optimization takes into account prior mechanical knowledge and tackles the problem of Hough space quantization. The method is assessed on various simulated images and is used on real spreading images to characterize fertilizer particle trajectories.

The metal abundance distribution of the oldest stellar component in the Sculptor dwarf spheroidal galaxy★

Low-resolution spectroscopy obtained with FORS2 at the Very Large Telescope (VLT) has been used for the measurement of individual metal abundances ([Fe/H]) for 110 variable stars, including 107 RR Lyrae stars and one anomalous Cepheid, and to trace the metal distribution of the oldest stellar component in the Sculptor dwarf spheroidal galaxy. The RR Lyrae stars are spread over a 15 × 15 arcmin 2 area around the galaxy centre. Their metallicities have an average value of [Fe/H] =− 1.83 ± 0.03 (rms = 0.26 dex) and cover the metallicity range −2.40 −1.3. The star-to-star scatter is larger than typical errors on individual metallicities (±0.15‐0.16 dex), indicating a real spread in metal abundances. The radial velocities measured from the RR Lyrae spectra have a dispersion of 12.9 km s −1 . This value is consistent with the dispersion derived by Tolstoy et al. for metal-poor red giants associated with the blue horizontal branch stars in Sculptor. Along with the metallicity distribution these results suggest that most of the RR Lyrae stars in Sculptor arise from the same burst of stellar formation that produced the metal-poor component, originating the galaxy blue horizontal branch. The metal-rich red horizontal branch population found to be centrally concentrated only produced a few (if any) of the RR Lyrae stars in our sample. The spectroscopic metallicities were used along with the apparent luminosities to study the luminosity‐metallicity relation followed by the RR Lyrae stars in Sculptor, for which we derive a shallow slope of 0.09 mag dex −1 . This result can be due to a high level of evolution off the zero-age horizontal branch of the RR Lyrae stars in this galaxy, again in agreement with their origin from the blue horizontal branch population. Ke yw ords: stars: abundances ‐ stars: evolution ‐ stars: Population II ‐ stars: variables: other ‐g alaxies: individual: Sculptor.

Determinants of Financial Intermediation in the SACU Countries: Preliminary Evidence From a Panel Data Analysis

The study explores empirically five macroeconomic determinants of financial intermediation, namely: growth in income, level of real income, inflation rate, exchange rate and interest rate spread in five SACU countries. Employing four measures of financial intermediation, an equilibrium model of financial intermediation was estimated using a system seemingly unrelated regression panel estimator. The fixed effect and country-specific coefficients were obtained and interpreted. The level of income and exchange rate were the most important determinants of financial intermediation among the countries. In line with theoretical models, which indicate that the level of economic growth can accelerate the process of financial intermediation, in three of the countries – Botswana, Namibia and South Africa, a very significant positive relationship between level of income and the indexes of financial intermediation was observed. But for Lesotho and Swaziland, a reverse relationship was obtained. This may be due to negative externalities from the more developed financial sectors of South Africa resulting from the economic and monetary integration. The results on the exchange rate highlight the need for a stable and predictable exchange rate policy in order to stimulate financial intermediation. Also, the results confirm the potential for inflation to negatively affect financial intermediation. Lastly, the results relating to interest rate spread highlight how high levels of the spread can prevent deep financial intermediation.

Vector equilibrium correction models with non‐linear discontinuous adjustments

Summary Cointegration is studied for a non-linear autoregressive process characterized by discontinuous and regime-dependent equilibrium or error correction. Here the disequilibrium, as measured by the norm of linear ‘stable’ or cointegrating relations, determines the regime and hence the equilibrium correction of the process. Importantly, switching between regimes is thereby allowed to be caused endogenously. The transition function may be either observable as in, e.g. threshold processes, or unobservable when transition probabilities are specified as in, e.g. autoregressive conditional root processes. Conditions for stationarity, geometric ergodicity as well as existence of moments are derived using a general multivariate Markov process. From these conditions it is shown that imposing parametric restrictions on only one of the regimes of the non-linear vector autoregression is sufficient to ensure higher-order moments and linear cointegrating relations which are geometrically ergodic and hence also stationary. Additionally, estimation is considered when the cointegrating relations are known and asymptotic theory is provided for this case. Based on many existing empirical analyses of, e.g. real exchange rates and interest rates spreads, the proposed dynamics appears to be desirable. This is also reflected in the included analysis of the German term structure where empirical evidence is found for discontinuous threshold error correction as opposed to classic linear error correction.

Metal abundances of RR Lyrae stars in the bar of the Large Magellanic Cloud

Metallicities ([Fe/H]) from low resolution spectroscopy obtained with the Very Large Telescope (VLT) are presented for 98 RR Lyrae and 3 short period Cepheids in the bar of the Large Magellanic Cloud. Our metal abundances have typical errors of ±0.17 dex. The average metallicity of the RR Lyrae stars is on the scale of Harris ([CITE]). The star-to-star scatter (0.29 dex) is larger than the observational errors, indicating a real spread in metal abundances. The derived metallicities cover the range , but there are only a few stars having . For the ab-type variables we compared our spectroscopic abundances with those obtained from the Fourier decomposition of the light curves. We find good agreement between the two techniques, once the systematic offset of 0.2 dex between the metallicity scales used in the two methods is taken into account. The spectroscopic metallicities were combined with the dereddened apparent magnitudes of the variables to derive the slope of the luminosity-metallicity relation for the LMC RR Lyrae stars: the resulting value is mag/dex. Finally, the 3 short period Cepheids have [Fe/H] values in the range . They are more metal-poor than typical LMC RR Lyrae stars, thus they are more likely to be Anomalous Cepheids rather than the short period Classical Cepheids that are often found in a number of dwarf Irregular galaxies.

Targeted Risk Capital

Targeted risk capital (TRC) products are a class of structured finance products that mitigate specifically defined project risks by providing liquidity on a contingent, revolving basis. By narrowly defining and isolating project risks, TRC products can enhance credit and reduce the cost of capital more efficiently than broader financial guarantee products. Because many key project risks are created by short-term deviations from long-term equilibrium positions, TRC products typically are structured as contingent revolving debt facilities that become subordinated project loans once drawn down. TRC products rely on a provider9s ability to assess long-term equilibrium positions and fund liquidity during short-term deviations. Examples of TRC products and the risks they address include: real exchange rate (Rex) facility (inflation-devaluation correlation), spark spreads (fuel-power price correlation), and input-output price spreads (e.g., petrochemicals).

Nominal and Inflation Indexed Yields: Separating Expected Inflation and Inflation Risk Premia

This research makes joint use of the prices of nominal and inflation indexed bonds to estimate and study inflation risk premium and inflation expectations. First, I use a robust non-parametric procedure on UK data from 1983 to 1999 to extract weekly nominal and inflation indexed zero prices. Then I develop a pricing model in the spirit of the essentially affine class of Duffee (2000). I estimate the model with a Kalman filter and find that the data is best fit by a 4 factor version. The estimates support a variable, mostly significant inflation risk premium; on a 10 year zero coupon bond this is on average 2%, but is initially higher, and eventually indistinguishable from zero; its behavior follows historical events. The variability of the nominal to real yield spread is mostly due to inflation at the short end and to its premium at the long end.

The Nature of the Halo Population of NGC 5128 Resolved with NICMOS on the [ITAL]HUBBLE SPACE TELESCOPE[/ITAL][ITAL]Hubble Space Telescope[/ITAL

We present the first infrared (IR) color-magnitude diagram (CMD) for the halo of a giant elliptical galaxy. The CMD for the stars in the halo of NGC 5128 (Centaurus A) was constructed from Hubble Space Telescope NICMOS observations of the WFPC2 CHIP-3 field of Soria et al. to a 50% completeness magnitude limit of [F160W] = 23.8. This field is located at a distance of 08'50''(~9 kpc) south of the center of the galaxy. The luminosity function (LF) shows a marked discontinuity at [F160W] ≈ 20.0. This is 1–2 mag above the tip of the red giant branch (TRGB) expected for an old population (~12 Gyr) at the distance modulus of NGC 5128. We propose that the majority of stars above the TRGB have intermediate ages (~2 Gyr), in agreement with the WFPC2 observations of Soria et al. Five stars with magnitudes brighter than the LF discontinuity are most probably due to Galactic contamination. The weighted average of the mean giant branch color above our 50% completeness limit is [F110W]-[F160W] = 1.22 ± 0.08 with a dispersion of 0.19 mag. From our artificial-star experiments we determine that the observed spread in color is real, suggesting a real spread in metallicity. We estimate the lower and upper bounds of the stellar metallicity range by comparisons with observations of Galactic star clusters and theoretical isochrones. Assuming an old population, we find that, in the halo field of NGC 5128 we surveyed, stars have metallicities ranging from roughly 1% of solar at the blue end of the color spread to roughly solar at the red end, with a mean of [Fe/H] = -0.76 and a dispersion of 0.44 dex.

The Australian yield curve as a leading indicator of consumption growth

The purpose of the reported research is to determine if Australia's real consumption growth is predicted by real and/or nominal yield spreads. To this end, a model of the relationship between consumption growth and interest rates is derived from neoclassical, utility maximizing premises. This theoretical foundation is applied to quarterly Australian data over the period 1983:4 to 1995:4. The time series on real consumption and yield spreads is stationary. Initial OLS estimates are subjected to the Newey West transformation and show that all ‘real’ spreads from one quarter to two years are significant, but at the short end these are of the wrong sign. Nominal spreads of one and two year length influence real consumption growth. The model provides accurate out-of-sample predictions. GMM estimation of the relationship between real spreads and real consumption are significant and of the correct sign at the longer end of the yield curve. Policy implications are indicated.

Study of wettability and spreading impact in three-phase gas injection by cryo-scanning electron microscopy

Much has been already done and written on the effect of wettability and spreading in three-phase displacement properties and efficiency. However, a direct visualization of the impact of these parameters in the distribution of the three fluids (water–oil–gas) within the pore space and consequently on the recovery mechanisms has been lacking. The objective of this paper is to obtain at the pore scale the necessary information to interpret the macroscopic behavior and to predict ultimate oil recovery for well controlled wetting and spreading conditions. To this end cryo-scanning electron microscopy (cryo-SEM) observations are performed in water-wet and oil-wet Fontainebleau sandstone plugs for spreading and non-spreading conditions. It is demonstrated that cryo-SEM can be used as a tool to study at the pore scale the fluid distributions and efficiency of oil recovery processes involving three phases. It is also proved that in a real porous medium both wettability and spreading affect gas injection efficiency by controlling three-phase distributions at the pore level and phase connectivity.

Russia: Organised Crime and Money Laundering

Russia‐related money laundering is often mentioned in the international press and reports of government agencies as a serious problem in international financial and banking security. However, very few publications study the problem in detail. Particularly scarce are those which reveal the roots of the phenomenon, its real spread and relevance, as well as techniques and laundering schemes. Knowledge is also very limited about how Russian authorities and law enforcement agencies are combating the legalisation of illicit funds. The goal of this article is to look at the problem of Russia‐related money laundering comprehensively, offering the reader the vision of someone in the battlefield, rather than that of a detached observer.

Correlations Between Real Interest Rates and Output in a Dynamic International Model-Evidence From G-7 Countries

This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, the study finds that measured real interest rates are countercyclical in a single country and that the contemporaneous cross-correlations between international real interest differentials and output growth spreads are negative. Predictions of the baseline model are, however, inconsistent with the data. Extending the benchmark model to include habit persistence in consumption improves the match between theory and data.

Correlations between Real Interest Rates and Output in a Dynamic International Model: Evidence from G-7 Countries

This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, the study finds that measured real interest rates are countercyclical in a single country and that the contemporaneous cross-correlations between international real interest differentials and output growth spreads are negative. Predictions of the baseline model are, however, inconsistent with the data. Extending the benchmark model to include habit persistence in consumption improves the match between theory and data.

神戸市における地震火災の発生と延焼動態に関する研究

Fifty four fires occurred simultaneously in Kobe city area until 6:00am on January 17^<th>. These areas were densely packed with old wooden houses. So fires spread one after another easily until the area about 80ha were burnt. In this paper the situations of fire outbreaks and the fires spreads are discussed mainly on the bases of real spreading fires data which were recorded and surveyed as the media of videos and pictures by Kobe Fire Department and NHK at that day.

The information on inflation in the Australian term structure

In this paper we examine the information on inflation contained in the term spread of the Australian term structure in a model in which we allow the expected real term spread to vary with time. Previously, Mishkin (1990) assumed a constant expected real term spread in a similar inflation forecasting model. We further extend the model by allowing the coefficient of the nominal yield spread also to vary with time. Results show that the model based on the time-varying expected real rate, estimated with the Kalman filter, is more suitable than the model based on the constant real rate. Also, the term spread lagged one period has more information on future inflation than the contemporaneous term. Finally, the forecasting power of a model with a randomly time-varying yield spread is inferior to the other versions examined.

A model for the prediction of oil slick movement and spreading using cellular automata

A model for the prediction of oil slick movement and spreading, using Cellular Automata, is presented in this paper. The model is general and can predict the behaviour of oil slicks in regions with complicated boundaries. The effects of winds, surface currents, and oil evaporation have been taken into account. An algorithm for the simulation of oil slick movement and spreading, based on this model, has also been developed and has been used to simulate hypothetical oil slicks in hypothetical geographical regions. The results of the simulation are in qualitative agreement with real oil slick movement and spreading.

Evolution of the Mariana Convergent Plate Margin System

The Mariana convergent plate margin system of the western Pacific provides opportunities for studying the tectonic and geochemical processes of intraoceanic plate subduction without the added complexities of continental geology. The system's relative geologic simplicity and the well‐exposed sections of lithosphere in each of its tectonic provinces permit in situ examination of processes critical to understanding subduction tectonics. Its general history provides analogs to ancient convergent margin terranes exposed on land and helps to explain the chemical mass balance in convergent plate margins. The Mariana convergent margin's long history of sequential formation of volcanic arcs and extensional back arc basins has created a series of volcanic arcs at the eastern edge of the Philippine Sea plate. The trenchward edge of the overriding plate has a relatively sparse sediment cover. Rocks outcropping on the trench's inner slope are typical of the early formed suprasubduction zone's lithosphere and have been subjected to various processes related to its tectonic history. Pervasive forearc faulting has exposed crust and upper mantle lithosphere. Many large serpentinized peridotite seamounts are within 100 km of the trench axis. From these we can learn the history of regional metamorphism and observe and sample active venting of slab fluids. Ocean drilling recovered suprasubduction zone lava sequences erupted since the Eocene that suggest that the forearc region remains volcanologically dynamic. Seismic studies and seafloor mapping show evidence of deformation throughout forearc evolution. Large portions of uplifted southern forearc are exposed at the larger islands. Active volcanoes at the base of the eastern boundary fault of the Mariana Trough vary in size and composition along strike and record regional differences in source composition. Their locations along strike of the arc are controlled in part by cross‐arc structures that also facilitate formation of submarine volcano chains extending from the base of the fault westward into the back arc basin. The western boundary is the West Mariana Ridge, the western portion of the volcanic arc active prior to formation of the Mariana Trough. The trough evolved in a two‐stage extension process of rifting and subsequent seafloor spreading. The back arc basin varies along strike from rifted arc lithosphere with scattered volcanoes but no real spreading center in the north to a complex mid‐ocean‐type spreading center south of 20°N. The change from initial rifting to true seafloor spreading is also evident across the Mariana Trough from rifted topography near the West Mariana Ridge to spreading ridges in the central to eastern basin south of 20°N. This morphologic change indicates an early stage of extension with basin‐and‐range‐type topography predominant and volcanism restricted to fissure eruptions along fault block boundaries. The spreading ridges and abyssal hill morphology evolved later as new lithosphere was generated at elongate volcanic ridges located in the center of rift valleys. The center of extension intersects the active volcanic front differently at either end of the Mariana Trough. In the north, extension is by rifting of arc lithosphere where it intersects the arc. In the south a major strike‐slip fault extends from the trench axis across the forearc, through the volcanic arc, and into the back arc basin. Arc magmas apparently leak along this fault zone into the forearc and the back arc spreading center. The complexity of interrelated tectonism and magmatism in this convergent margin is daunting, but studies of arc systems such as this provide the best hope of interpreting many of the exposed terranes accreted to continents. Comparison of subaerial terranes with recent studies of intraoceanic convergent margins will add to our understanding of plate interactions and of the evolution of the volcanic arcs and extensional back arc basins generated within such environments.

The relationship between real long-short interest spread differentials and real exchange rates

This paper opens up an empirical investigation of the nature of the link between real long-short interest spread differentials and real exchange rates for the integrated financial markets in the industrialized world from the 1980s and the early 1990s. The consistent evidence is that there is a long-run relationship between real exchange rates and real long-short interest spread differentials and vice versa for the UK/US markets. Also, the coefficient of the error-correction term significantly estimates feedback from the real long-short interest spread differentials to real exchange rates and vice versa in the UK/US markets.

An Adsorption Model for the Superheat at the Critical Heat Flux

The evaluation of the superheat at the critical heat flux (CHF) is a problem of considerable importance to the field of change-of-phase heat transfer. As demonstrated in the recent reviews by Katto and Bergles and in a descriptive paper by Unal et al., there has been extensive prior research on the CHF. In these studies, the following descriptive modeling terms affirm the complex transport processes occurring at CHF: macrolayer, microlayer, apparent contact angle, real contact angle, spreading, dry patch, instability, vapor mushrooms, and interfacial conditions. In order to simplify the analyses of these phenomena, we focus herein on a more tractable model, which emphasizes a characteristic thickness in the contact line region at the vapor-liquid-solid junction, which would be present in the thinnest portion of an evaporating microlayer. A schematic drawing of this region is presented in Fig. 1 for a nonisothermal completely wetting system. This is the region where the substrate dries out in the hot spot hypothesis. The solid substrate is modeled as having an adsorbed ultrathin layer of liquid with a thickness {delta}, which is a function of the superheat and the interfacial force field. The characteristic thickness, {delta}{sub 0}, can (but does not have to) bemore » of the order of a monolayer or less. Therefore, in the region x < 0, the film can be discontinuous and fill in {open_quotes}depressions{close_quotes} on a {open_quotes}rough{close_quotes} surface. Herein, a model of the physically indistinct contact line region, which varies spatially and fluctuates at the molecular level, is used to develop a predictive equation for the average value of the superheat that can be evaluated macroscopically. 9 refs., 2 figs., 1 tab.« less