Are Stock and Housing Returns Complements or Substitutes?: Evidence from OECD Countries

In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence based on data for 15 OECD countries shows that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are seen as complements to stocks, then investors react in the same way, but if they are instead treated as substitutes consumption will be temporarily reduced.consumption, wealth, stock returns, housing returns, OECD countries

Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries

In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence based on data for 15 OECD countries shows that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are seen as complements to stocks, then investors react in the same way, but if they are instead treated as substitutes consumption will be temporarily reduced.consumption, wealth, stock returns, housing returns, OECD countries

Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets

In this paper, we show, using the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that, when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are complementary to stocks, then investors react in the same way. If, however, the increase in the exposure through risky assets is achieved by lowering the share of wealth held in the form of housing (i.e., when stock and housing assets are substitutes), then they will temporarily reduce their consumption.consumption, wealth, stock returns, housing returns, emerging markets

Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets

In this paper, we show, using the consumer's budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that, when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are complementary to stocks, then investors react in the same way. If, however, the increase in the exposure through risky assets is achieved by lowering the share of wealth held in the form of housing (i.e., when stock and housing assets are substitutes), then they will temporarily reduce their consumption.consumption, wealth, stock returns, housing returns, emerging markets

Atom interferometry with the Sr optical clock transition

We report on the realization of a matter-wave interferometer based on single-photon interaction on the ultra-narrow optical clock transition of strontium atoms. We experimentally demonstrated its operation as a gravimeter and as a gravity gradiometer. No reduction of interferometric contrast was observed up to an interferometer time $2T=10$ ms, limited by geometric constraints of the apparatus. In the gradiometric configuration, the sensitivity approaches the shot noise limit. Single-photon interferometers represent a new class of high-precision sensors that could be used for the detection of gravitational waves in so far unexplored frequency ranges and to enlighten the boundary between Quantum Mechanics and General Relativity.Comment: 5 pages, 4 figure

Squeezing on momentum states for atom interferometry

We propose and analyse a method that allows for the production of squeezed states of the atomic center-of-mass motion that can be injected into an atom interferometer. Our scheme employs dispersive probing in a ring resonator on a narrow transition of strontium atoms in order to provide a collective measurement of the relative population of two momentum states. We show that this method is applicable to a Bragg diffraction-based atom interferometer with large diffraction orders. The applicability of this technique can be extended also to small diffraction orders and large atom numbers by inducing atomic transparency at the frequency of the probe field, reaching an interferometer phase resolution scaling $\Delta\phi\sim N^{-3/4}$, where $N$ is the atom number. We show that for realistic parameters it is possible to obtain a 20 dB gain in interferometer phase estimation compared to the Standard Quantum Limit.Comment: 5 pages, 4 figure

Parameter Instability and Forecasting Performance. A Monte Carlo Study

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM, this loss being an increasing function of the degree of persistence and of the variance of the process driving the slope coefficient. A loss is also incurred when a TVCM different from the correct one is specified, the resulting forecasts being even less accurate than those of a FCM. However, the loss can be minimised by selecting a TVCM which, although incorrect, nests the true one, more specifically an AR(1) model with a constant. Finally, there is hardly any loss resulting from using a TVCM when the underlying DGP is characterised by fixed coefficients.Fixed coefficient model, Time varying parameter models, Forecasting

Testing of nonstationarities in the unit circle, long memory processes and the day of the week effects in financial data

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit or fractional models). However, we extend the analysis to cover situations such as (1-L5)d xt = ut, which might be relevant, for example, in the context of financial time series data. We apply these techniques to the daily Eurodollar rate and Dow Jones index, and find that for the former series the most adequate specifications are either a pure random walk or a model of the form xt = xt-5 + εt, implying in both cases that the returns are completely unpredictable. In the case of Dow Jones index, a model of the form (1-L5)d xt = ut is selected, with d constrained between 0.50 and 1, implying nonstationarity and mean-reverting behaviour

A portable laser system for high precision atom interferometry experiments

We present a modular rack-mounted laser system for the cooling and manipulation of neutral rubidium atoms which has been developed for a portable gravimeter based on atom interferometry that will be capable of performing high precision gravity measurements directly at sites of geophysical interest. This laser system is constructed in a compact and mobile design so that it can be transported to different locations, yet it still offers improvements over many conventional laboratory-based laser systems. Our system is contained in a standard 19" rack and emits light at five different frequencies simultaneously on up to 12 fibre ports at a total output power of 800 mW. These frequencies can be changed and switched between ports in less than a microsecond. The setup includes two phase-locked diode lasers with a phase noise spectral density of less than 1 \mu rad/sqrt(Hz) in the frequency range in which our gravimeter is most sensitive to noise. We characterize this laser system and evaluate the performance limits it imposes on an interferometer.Comment: 8 pages, 11 figures; The final publication is available at http://www.springerlink.co

Trade-offs, condition dependence and stopover site selection by migrating sandpipers

Western sandpipers Calidris mauri on southward migration fly over the Gulf of Alaska to the Strait of Georgia, British Columbia, where they stop for a few days to replenish reserves before continuing. In the Strait, individuals captured on the extensive tidal mudflats of the Fraser estuary (∼25000 ha) are significantly heavier (2.71 g, or >10% of lean body mass) than those captured on the small (<100 ha) mudflat of nearby Sidney Island. Previous work has shown that the difference cannot be attributed to seasonal timing, size, age or gender effects, and here we compare predictions made by six hypotheses about a diverse set of data to explain why, partway through a migratory journey of ∼10000 km, birds have such different body masses at two stopover sites within 40 km of each other. The ‘trade-off’ hypothesis – that the large Fraser estuary offers safety from predators, but a lower fattening rate, while the small Sidney Island site is more dangerous, but offers a higher fattening rate – made six successful predictions, all of which were upheld by the data. All other hypotheses failed at least one prediction. We infer that calidrid sandpipers arriving in the Strait of Georgia with little fat remaining (and therefore low body mass) choose to take advantage of the high feeding rate at small sites like Sidney Island because they are less vulnerable to avian predators than are individuals with higher fat reserves, who instead elect to feed at large open sites like the Fraser estuary mudflats