A Term Structure Decomposition of the Australian Yield Curve

We use data on coupon-bearing Australian Government bonds and overnight indexed swap (OIS) rates to estimate risk-free zero-coupon yield and forward curves for Australia from 1992 to 2007. These curves, and analysts’ forecasts of future interest rates, are then used to fit an affine term structure model to Australian interest rates, with the aim of decomposing forward rates into expected future overnight cash rates plus term premia. The expected future short rates derived from the model are on average unbiased, fluctuating around the average of actual observed short rates. Since the adoption of inflation targeting and the entrenchment of low and stable inflation expectations, term premia appear to have declined in levels and displayed smaller fluctuations in response to economic shocks. This suggests that the market has become less uncertain about the path of future interest rates. Towards the end of the sample period, term premia have been negative, suggesting that investors may have been willing to pay a premium for Commonwealth Government securities. Due to the complexity of the model and the difficulty of calibrating it to data, the results should not be interpreted too precisely. Nevertheless, the model does provide a potentially useful decomposition of recent changes in the expected path of interest rates and term premia.expected future short rate; term premia; term structure decomposition; affine term structure model; zero-coupon yield

The relationships among measurable mental tasks related to reading.

Thesis (Ed.D.)--Boston University

Optimal Moments for the Analysis of Peculiar Velocity Surveys II: Testing

Analyses of peculiar velocity surveys face several challenges, including low signal--to--noise in individual velocity measurements and the presence of small--scale, nonlinear flows. This is the second in a series of papers in which we describe a new method of overcoming these problems by using data compression as a filter with which to separate large--scale, linear flows from small--scale noise that can bias results. We demonstrate the effectiveness of our method using realistic catalogs of galaxy velocities drawn from N--body simulations. Our tests show that a likelihood analysis of simulated catalogs that uses all of the information contained in the peculiar velocities results in a bias in the estimation of the power spectrum shape parameter $\Gamma$ and amplitude $\beta$, and that our method of analysis effectively removes this bias. We expect that this new method will cause peculiar velocity surveys to re--emerge as a useful tool to determine cosmological parameters.Comment: 28 pages, 9 figure

Evaluating indicators of job performance: Distributions and types of analyses

Distributions of job performance indicators have historically been assumed to be normally distributed (Aguinis & O\u27Boyle, 2014; Schmidt & Hunter, 1983; Tiffin, 1947). Generally, any evidence to the contrary has been attributed to errors in the measurement of job performance (Murphy, 2008). A few researchers have been skeptical of this assumption (Micceri, 1989; Murphy, 1999; Saal, Downey, & Lahey, 1980); yet, only recently has research demonstrated that in certain specific situations job performance is exponentially distributed (Aguinis, O\u27Boyle, Gonzalez-Mulé, & Joo, 2016; O\u27Boyle & Aguinis, 2012). To date there have been few recommendations in the Industrial-Organizational Psychology literature about how to evaluate distributions of job performance to determine whether they fit an exponential curve. There also has not been substantial justification in the literature as to why distributions of job performance would be expected to be normally distributed versus exponentially distributed. Furthermore, recent research about job performance distributions has narrowly focused only on a few specific types of work and on a few specific indicators of performance. Thus, research concerning distributions of job performance indicators is, to date, of limited generalizability. The current research attempts to close the gaps in the literature by identifying high fidelity methods and applying them to classify distributions of various indicators of job performance on a continuous spectrum from normal to exponential. In this research, multiple types of indicators of performance (and indices computed from combinations of indicators) were found to produce exponential distributions. More specifically, managerial indicators of job performance were found to best fit a normal distribution whereas objective measures, as well as composite measures of performance consisting of objective and subjective indicators, were found to best fit an exponential distribution. This study provides researchers and practitioners with new suggestions for classifying job performance distributions as well as new techniques for better differentiating between top and bottom performers

Factors Associated with Police and Probation/Court Dispositioning: A Research Note

This article presents the results of an empirically based study that examined the discretionary process operating within the same juvenile justice system. Assessment of the factors influencing the decision-making process at two points within the same system indicate some consistent factors operating between the two points