Identification and Estimation of Gaussian Affine Term Structure Models

This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the paper is the proposal of minimum-chi-square estimation as an alternative to MLE. We show that, although it is asymptotically equivalent to MLE, it can be much easier to compute. In some cases, MCSE allows researchers to recognize with certainty whether a given estimate represents a global maximum of the likelihood function and makes feasible the computation of small-sample standard errors.

Unbiased estimate of dynamic term structure models

Affine dynamic term structure models (DTSMs) are the standard finance representation of the yield curve. However, the literature on DTSMs has ignored the coefficient bias that plagues estimated autoregressive models of persistent time series. We introduce new simulation-based methods for reducing or even eliminating small-sample bias in empirical affine Gaussian DTSMs. With these methods, we show that conventional estimates of DTSM coefficients are severely biased, which results in misleading estimates of expected future short-term interest rates and long-maturity term premia. Our unbiased DTSM estimates imply risk-neutral rates and term premia that are more plausible from a macro-finance perspective.Interest rates

Testable Implications of Affine Term Structure Models

Affine term structure models have been used to address a wide range of questions in macroeconomics and finance. This paper investigates a number of their testable implications which have not previously been explored. We show that the assumption that certain specified yields are priced without error is testable, and find that the implied measurement or specification error exhibits serial correlation in all of the possible formulations investigated here. We further find that the predictions of these models for the average levels of different interest rates are inconsistent with the observed data, and propose a more general specification that is not rejected by the data.

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of debt held by the public might affect the pricing of level, slope and curvature term-structure risk. We find these Treasury factors historically were quite helpful for predicting both yields and excess returns over 1990-2007. The historical correlations are consistent with the claim that if in December of 2006, the Fed were to have sold off all its Treasury holdings of less than one-year maturity (about $400 billion) and use the proceeds to retire Treasury debt from the long end, this might have resulted in a 14-basis-point drop in the 10-year rate and an 11-basis-point increase in the 6-month rate. We also develop a description of how the dynamic behavior of the term structure of interest rates changed after hitting the zero lower bound in 2009. Our estimates imply that at the zero lower bound, such a maturity swap would have the same effects as buying$400 billion in long-term maturities outright with newly created reserves, and could reduce the 10-year rate by 13 basis points without raising short-term yields.

Baseline CD4 Cell Counts of Newly Diagnosed HIV Cases in China: 2006–2012

Background: Late diagnosis of HIV infection is common. We aim to assess the proportion of newly diagnosed HIV cases receiving timely baseline CD4 count testing and the associated factors in China. Methods: Data were extracted from the Chinese HIV/AIDS Comprehensive Response Information Management System. Adult patients over 15 years old who had been newly diagnosed with HIV infection in China between 2006 and 2012 were identified. The study cohort comprised individuals who had a measured baseline CD4 count. Results: Among 388,496 newly identified HIV cases, the median baseline CD4 count was 294 cells/µl (IQR: 130–454), and over half (N = 130,442, 58.8%) were less than 350 cells/µl. The median baseline CD4 count increased from 221 (IQR: 63–410) in 2006 to 314 (IQR: 159–460) in 2012. A slight majority of patients (N = 221,980, 57.1%) received baseline CD4 count testing within 6 months of diagnosis. The proportion of individuals who received timely baseline CD4 count testing increased significantly from 20.0% in 2006 to 76.9% in 2012. Factors associated with failing to receiving timely CD4 count testing were: being male (OR: 1.17, 95% CI: 1.15–1.19), age 55 years or older (OR:1.03, 95% CI: 1.00–1.06), educational attainment of primary school education or below (OR: 1.30, 95% CI: 1.28–1.32), infection with HIV through injection drug use (OR: 2.07, 95% CI: 2.02–2.12) or sexual contact and injection drug use (OR: 1.87, 95% CI: 1.76–1.99), diagnosis in a hospital (OR: 1.91, 95% CI: 1.88–1.95) or in a detention center (OR: 1.75, 95% CI: 1.70–1.80), and employment as a migrant worker (OR:1.55, 95% CI:1.53–1.58). Conclusion: The proportion of newly identified HIV patients receiving timely baseline CD4 testing has increased significantly in China from 2006–2012. Continued effort is needed for further promotion of early HIV diagnosis and timely baseline CD4 cell count testing

A novel isoform of the Ly108 gene ameliorates murine lupus

Studies of human systemic lupus erythematosus patients and of murine congenic mouse strains associate genes in a DNA segment on chromosome 1 with a genetic predisposition for this disease. The systematic analysis of lupus-prone congenic mouse strains suggests a role for two isoforms of the Ly108 receptor in the pathogenesis of the disease. In this study, we demonstrate that Ly108 is involved in the pathogenesis of lupus-related autoimmunity in mice. More importantly, we identified a third protein isoform, Ly108-H1, which is absent in two lupus-prone congenic animals. Introduction of an Ly108-H1–expressing transgene markedly diminishes T cell–dependent autoimmunity in congenic B6.Sle1b mice. Thus, an immune response–suppressing isoform of Ly108 can regulate the pathogenesis of lupus.Peer Reviewe

Quaternary Ammonium Silane-Functionalized, Methacrylate Resin Composition With Antimicrobial Activities and Self-Repair Potential

The design of antimicrobial polymers to address healthcare issues and minimize environmental problems is an important endeavor with both fundamental and practical implications. Quaternary ammonium silane-functionalized methacrylate (QAMS) represents an example of antimicrobial macromonomers synthesized by a sol–gel chemical route; these compounds possess flexible Si–O–Si bonds. In present work, a partially hydrolyzed QAMS co-polymerized with 2,2-[4(2-hydroxy 3-methacryloxypropoxy)-phenyl]propane is introduced. This methacrylate resin was shown to possess desirable mechanical properties with both a high degree of conversion and minimal polymerization shrinkage. The kill-on-contact microbiocidal activities of this resin were demonstrated using single-species biofilms of Streptococcus mutans (ATCC 36558), Actinomyces naeslundii (ATCC 12104) and Candida albicans (ATCC 90028). Improved mechanical properties after hydration provided the proof-of-concept that QAMS-incorporated resin exhibits self-repair potential via water-induced condensation of organic modified silicate (ormosil) phases within the polymerized resin matrix

Local Inflammation Induces Complement Crosstalk Which Amplifies the Antimicrobial Response

By eliciting inflammatory responses, the human immunosurveillance system notably combats invading pathogens, during which acute phase proteins (CRP and cytokines) are elevated markedly. However, the Pseudomonas aeruginosa is a persistent opportunistic pathogen prevalent at the site of local inflammation, and its acquisition of multiple antibiotic-resistance factors poses grave challenges to patient healthcare management. Using blood samples from infected patients, we demonstrate that P. aeruginosa is effectively killed in the plasma under defined local infection-inflammation condition, where slight acidosis and reduced calcium levels (pH 6.5, 2 mM calcium) typically prevail. We showed that this powerful antimicrobial activity is provoked by crosstalk between two plasma proteins; CRP∶L-ficolin interaction led to communication between the complement classical and lectin pathways from which two amplification events emerged. Assays for C4 deposition, phagocytosis, and protein competition consistently proved the functional significance of the amplification pathways in boosting complement-mediated antimicrobial activity. The infection-inflammation condition induced a 100-fold increase in CRP∶L-ficolin interaction in a pH- and calcium-sensitive manner. We conclude that the infection-induced local inflammatory conditions trigger a strong interaction between CRP∶L-ficolin, eliciting complement-amplification pathways which are autonomous and which co-exist with and reinforce the classical and lectin pathways. Our findings provide new insights into the host immune response to P. aeruginosa infection under pathological conditions and the potential development of new therapeutic strategies against bacterial infection