No Dr. Jones, there is abundant data for the Medieval Warming Period in the Southern Hemisphere.

Dr. Phil Jones of East Anglia University was leading the charge by Michael Mann et al. to deny the existence of the Medieval Warming Period for years. This was important because many, many scientists report that it appears to have been warmer that today's climate, making the "unprecedented" recent warming not "unprecedented."
In his recent interview, Dr. Jones still tries to do the alarmist dance by arguing that there is insufficient evidence of the MWP in non-North America data. Coming from the cherry-picking crew of tree-ring data fame, this is a pretty outlandish claim.

First, the IPPC thought that there was a MWP, before they became so thoroughly politically-indoctrinated that science was sacrificed on the altar of grant money:

 

Second, the Idso website (CO2 Magazine) has a compilation of over 800 studies that support the MWP, including many from outside the Northern Hemisphere. (Note: if Northern Hemispere data is inadequate to generalize from, why did Mann and Jones generalize North American tree-ring data? 2003 paper.). As Ross McKitrick pointed out once he finally got the Mann data:
"It turns out that many of the samples were taken from dead (partially fossilized) trees and they have no particular trend. The sharp uptrend in the late 20th century came from cores of 10 living trees alive as of 1990, and five living trees alive as of 1995. Based on scientific standards, this is too small a sample on which to produce a publication-grade proxy composite. The 18th and 19th century portion of the sample, for instance, contains at least 30 trees per year. But that portion doesn’t show a warming spike. The only segment that does is the late 20th century, where the sample size collapses. Once again a dramatic hockey stick shape turns out to depend on the least reliable portion of a dataset." National Post article.  

So we should start from a realization that using scant data is the standard modus operandi of these guys.
But what do the studies show?

Goni, M.A., Woodworth, M.P., Aceves, H.L., Thunell, R.C., Tappa, E., Black, D., Muller-Karger, F., Astor, Y. and Varela, R. 2004. Generation, transport, and preservation of the alkenone-based U37K' sea surface temperature index in the water column and sediments of the Cariaco Basin (Venezuela). Global Biogeochemical Cycles 18: 10.1029/2003GB002132. 
"Based on the degree of unsaturation of certain long-chain alkenones synthesized by haptophyte algae contained in a sediment core retrieved from the eastern sub-basin of the Cariaco Basin (10°30'N, 64°40'W) on the continental shelf off the Venezuelan central coast, Goni et al. determined that the highest sea surface temperatures at that location over the past 6000 years "were measured during the Medieval Warm Period (MWP)," which they identified as occurring between AD 800 and 1400. From the graph of their results reconstructed below, it is further evident that peak MWP temperatures were approximately 0.35°C warmer than peak Current Warm Period temperatures, and that they were fully 0.95°C warmer than the mean temperature of the last few years of the 20th century."

 

Sepulveda, J., Pantoja, S., Hughen, K.A., Bertrand, S., Figueroa, D., Leon, T., Drenzek, N.J. and Lange, C. 2009. Late Holocene sea-surface temperature and precipitation variability in northern Patagonia, Chile (Jacaf Fjord, 44°S). Quaternary Research 72: 400-409. "The authors derived alkenone-based spring/summer sea-surface temperatures (SSTs) from a marine sedimentary record obtained from Jacaf Fjord in northern Chilean Patagonia (44°20.00'S, 72°58.15'W) that spanned the last 1750 years; and in doing so they observed two different regimes of climate variability in their record: "a relatively dry/warm period before 900 cal yr BP (higher runoff and average SST 1°C warmer than present day) and a wet/cold period after 750 cal yr BP (higher runoff and average SST 1°C colder than present day)," which they associated with the Medieval Warm Period and Little Ice Age, respectively."

von Gunten, L., Grosjean, M., Rein, B., Urrutia, R. and Appleby, P. 2009. A quantitative high-resolution summer temperature reconstruction based on sedimentary pigments from Laguna Aculeo, central Chile, back to AD 850. The Holocene 19: 873-881.("quantitative evidence for the presence of a Medieval Climate Anomaly (in this case, warm summers between AD 1150 and 1350; ΔT = +0.27 to +0.37°C with respect to (wrt) twentieth century) and a very cool period synchronous to the 'Little Ice Age' starting with a sharp drop between AD 1350 and AD 1400 (-0.3°C/10 years, decadal trend) followed by constantly cool (ΔT = -0.70 to -0.90°C wrt twentieth century) summers until AD 1750.")
 
Black, D. E., Thunell, R. C., Kaplan, A., Peterson, L. C. and Tappa, E. J. 2004. A 2000-year record of Caribbean and tropical North Atlantic hydrographic variability. Paleoceanography 19, PA2022, doi:10.1029/2003PA000982. 

"High-resolution δ18O records generated from seasonally representative planktic foraminifera were obtained from two ocean sediment cores extracted from the Cariaco Basin off the coast of Venezuela (~ 10.65°N, 64.66°W) to produce a temperature/salinity reconstruction in this region of the Caribbean/tropical North Atlantic over the last 2000 years. Results indicate a general trend toward cooler and perhaps more saline waters over the length of the record. Because of this trend, the authors describe discussion of the Medieval Warm Period and Little Ice Age as "complicated," but they nonetheless acknowledge their record reveals "an interval of warmer [sea surface temperatures] prior to ~ A.D. 1600-1900" where the δ18O data "correctly sequence the relative temperature change between the so-called MWP and LIA." In viewing the authors' graph of G. bulloides δ18O (25-year mean, reproduced below), and their stated relationship that a δ18O change of 1.0‰ is equivalent to a 4.2°C change in temperature, we calculate the difference in peak warmth between the MWP and CWP to be 1.05°C, with the MWP being the warmer of the two periods."

 

Rein B., Lückge, A., Reinhardt, L., Sirocko, F., Wolf, A. and Dullo, W.-C. 2005. El Niño variability off Peru during the last 20,000 years. Paleoceanography 20: 10.1029/2004PA001099.  
"The authors derived sea surface temperatures from alkenones extracted from a high-resolution marine sediment core retrieved off the coast of Peru (12.05°S, 77.66°W), spanning the past 20,000 years and ending in the 1960s. From their Figure 11, adapted below, it can be seen that the warmest temperatures of this 20,000 year period (~23.2°C) occurred during the late Medieval time (AD 800-1250). Taking this value, 23.2°C, and comparing it with the modern monthly long-term means in sea surface temperature, which the authors characterize as between 15°C and 22°C, we estimate the peak warmth of the Medieval Warm Period for this region was about 1.2°C above that of the Current Warm Period."

 

Huffman, T.N. 1996. Archaeological evidence for climatic change during the last 2000 years in southern Africa. Quaternary International 33: 55-60.
"Growing-season moisture and temperature conditions were inferred from the heat and water requirements of the crops (sorghum and millets) known to have been cultivated in southern Africa (centered at approximately 22°S, 29°E), as demonstrated by archaeological investigations. The Medieval Warm Period occurred between AD 900 and 1290 and was likely warmer and wetter than the Current Warm Period."

Esper, J., Frank, D., Buntgen, U., Verstege, A., Luterbacher, J. and Xoplaki, E. 2007. Long-term drought severity variations in Morocco. Geophysical Research Letters 34: 10.1029/2007GL030844.
"millennium-long temperature reconstructions from Europe (Bungten et al., 2006) and the Northern Hemisphere (Esper et al., 2002) indicate that Moroccan drought changes are broadly coherent with well-documented temperature fluctuations including warmth during medieval times, cold in the Little Ice Age, and recent anthropogenic warming." In addition, they report that the driest 20-year period of their reconstruction was 1237-1256 (with a PDSI of -4.2), while the driest 20-year period of the 20th century was 1981-2000 (with a less extreme PDSI of -3.9). Hence, a strict interpretation of the coherence that exists between Esper et al.'s (2007) PDSI history and European and Northern Hemispheric temperatures suggests that the peak warmth of the Medieval Warm Period was likely greater than the peak warmth of the 20th century over the entire Northern Hemisphere."

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