Forecasting the term structure of government bond yields

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross section of interest rates at any given time but neglects time-series dynamics, nor the equilibrium approach, which focuses on time-series dynamics (primarily those of the instantaneous rate) but pays comparatively little attention to fitting the entire cross section at any given time and has been shown to forecast poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve, period-by-period, as a three-dimensional parameter evolving dynamically. We show that the three time-varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency. We propose and estimate autoregressive models for the factors, and we show that our models are consistent with a variety of stylized facts regarding the yield curve. We use our models to produce term-structure forecasts at both short and long horizons, with encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts. JEL Code: G1, E4, C

The stretch-activated potassium channel TREK-1 in rat cardiac ventricular muscle

Cardiac TREK-1 like potassium channels play an important role in the function of cardiomyocytes. A novel low-conductance TREK-1 like potassium channel and a high-conductance TREK-1 like potassium channel in rat cardiomyocytes are described in this thesis. The biophysical properties of the two cardiac TREK-like channels were similar to those of TREK-1a or TREK-1b channels expressed in HEK293 cells, which both displayed a low- and a high-conductance mode. Using cell-specific RT-PCR we found strong expression of a splice variant of rat TREK-1, denoted TREK-1b, in which the N-terminus is extended by 15 amino acids compared to the 'classical' TREK-1a channel protein. Immunohistochemistry with antibodies against TREK-1 showed localization of the channel in longitudinal stripes at the external surface membrane of cardiomyocytes. When the cardio-myocytes were mechanically stretched using a glass stylus, an outwardly rectifying K+ current component could be detected in whole-cell recordings. In single-channel recordings with symmetrical high K+ solution, two TREK-like channels with 'flickery-burst' kinetics were found: a ‘high-conductance?K+ channel (1325 pS at positive potentials) and a novel ‘low-conductance?channel (415 pS at positive potentials). The low-conductance channel could be activated by negative pressure in inside-out, positive pressure in outside-out patches, intracellular acidification and arachidonic acid. Its open probability was strongly increased by depolarization, due to decreased duration of gaps between bursts. The biophysical properties of the two cardiac TREK-like channels were similar to those of TREK-1a or TREK-1b channels expressed in HEK293 cells, which both displayed a low- and a high-conductance mode. Our results suggest that the TREK-like channels found in rat cardiomyocytes may reflect two different modes of TREK-1. The current flowing through these mechano-gated channels may serve to counterbalance the inward current flowing through stretch-activated non-selective cation channels during the filling phase of the cardiac cycle and thus to prevent the occurrence of ventricular extrasystoles

Source contributions to ambient VOCs and CO at a rural site in eastern China

Ambient data on volatile organic compounds (VOCs) and carbon monoxide (CO) obtained at a rural site in eastern China are analyzed to investigate the nature of emission sources and their relative contributions to ambient concentrations. A principal component analysis (PCA) showed that vehicle emissions and biofuel burning, biomass burning and industrial emissions were the major sources of VOCs and CO at the rural site. The source apportionments were then evaluated using an absolute principal component scores (APCS) technique combined with multiple linear regressions. The results indicated that 71%±5% (average±standard error) of the total VOC emissions were attributed to a combination of vehicle emissions and biofuel burning, and 7%±3% to gasoline evaporation and solvent emissions. Both biomass burning and industrial emissions contributed to 11%±1% and 11%±0.03% of the total VOC emissions, respectively. In addition, vehicle emissions and biomass and biofuel burning accounted for 96%±6% of the total CO emissions at the rural site, of which the biomass burning was responsible for 18%±3%. The results based on PCA/APCS are generally consistent with those from the emission inventory, although a larger relative contribution to CO from biomass burning is indicated from our analysis. © 2004 Elsevier Ltd. All rights reserved

Inkubationsversuche zum Einfluss von Sorte und Textur auf den Umsatz von Lupinenkörnerschroten im Boden bei unterschiedlichen Temperaturen

Organically produced legume seed meals are an upcoming alternative to established fast mineralising organic fertilisers based on plant and animal waste products with suspect origin (e.g. hornmeal). The turnover in soil was investigated with respect to the influence of legume variety and seed meal texture. Variety specific differences in net N mineralisation could be attributed to differences in C/N ratio and cellulose content. The influence of texture classes on net N mineralisation was considerably smaller than the influence of differences between the investigated species

Emission characteristics of CO, NOx, SO2 and indications of biomass burning observed at a rural site in eastern China

Atmospheric O3, CO, SO2, and NO* y (NO* y ≈ NO + NO2 + PAN + organic nitrates + HNO3 + N2O5 + ⋯) were measured in 1999-2000 at a rural/agricultural site in the Yangtze Delta of China. In this paper we analyze the measurement results to show the emission characteristics of the measured gases and to infer relevant emission ratios. Positive correlations were found between CO and NO* y with a slope (Δ[CO]/Δ[NO* y]) of 36 (ppbv/ppbv) for the winter and nighttime measurements. The ratio is considerably larger than that (≈10 ppbv/ppbv) observed in the industrialized countries. The highest CO/NO* y ratio (30-40 ppbv/ppbv) occurred in September-December 1999 and June 2000. The good correlation between CO and the biomass burning tracer CH3Cl and the lack of correlation with the industrial tracer C2Cl4 suggests that the burning of biofuels and crop residues is a major source for the elevated CO and possibly for other trace gases as well. The average SO2 to NO* y ratio was 1.37 ppbv/ppbv, resulting from the use of relatively high-sulfur coals in China. The measured SO2/NO* y and ΔCO/ΔNO* y were compared with the respective ratios from the current emission inventories for the study region, which indicated a comparable SO2/NOx emission ratio but a large discrepancy for CO/NOx. The observed CO to NO* y ratio was more than 3 times the emission ratio derived from the inventories, indicating the need for further improvement of emission estimates for the rural/agricultural regions in China. Additional research will be needed to study the implications of rural emissions to atmospheric chemistry and climate on both regional and global scales.Department of Civil and Environmental Engineerin

Capital market pressures and the format of intellectual capital disclosure in intellectual capital intensive firms

Purpose - A number of studies have examined firms’ intellectual capital (IC) disclosure practices. However, the presentation format of IC disclosure (text, numerical and graphs/pictures) is yet to be examined. In addition, there is little evidence on the impact of capital market pressures on IC disclosure. This study aims to examine the relation between presentation format of IC disclosures and three market factors (market-to-book ratio, share price volatility and multiple listing. Design/methodology/approach - Using content analysis, we examine the level of IC disclosure provided in the annual reports of 100 IC-intensive listed UK firms. A 61-IC-item research instrument is used to measure IC disclosure and regression analysis is employed to examine the relation between disclosure and the market factors, controlling for corporate governance and firm specific variables. Findings - Text is the most commonly used format for IC disclosure, whilst the use of graphs/pictures is very low. The findings of the relation between market factors and IC disclosure are mixed. Market-to-book ratio is significantly related to disclosure in text and numerical, but not to graphs/pictures. Share price volatility is only associated with graphs/pictures, whilst multiple listing is only related to text. Originality/value - Our findings suggest that the impact of capital market pressures on IC disclosure might differ with presentation format. In this context, the study makes a significant contribution to the IC disclosure literature

Regional and local contributions to ambient non-methane volatile organic compounds at a polluted rural/coastal site in Pearl River Delta, China

Identification of major sources of airborne pollutants and their contribution to pollutant loadings are critical in developing effective pollution control and mitigation strategies. In this study, a comprehensive dataset of non-methane volatile organic compounds (NMVOCs) collected from August 2001 to December 2002 at a polluted rural/coastal site in the Pearl River Delta (PRD) is analyzed to assess the relative contributions of major pollution sources to ambient NMVOC mixing ratios. A unique approach based on emission ratios of individual chemical species was used to classify the bulk air samples in order to apportion regional and local source contributions to the measured mixing ratios. The collected air samples fell into four major groups, including air masses from the inner PRD region and Hong Kong (HK) urban area. To estimate the source apportionment of NMVOCs, a principal component analysis/absolute principal component scores receptor model was applied to the classified data points. The results indicate that the regional and local source contributions to ambient NMVOC levels at the site were significantly different due to the differences in local versus regional energy use and industrial activities. For air masses originating from HK, vehicular emissions accounted for approximately 39% of the total NMVOC levels, followed by industrial emissions (35%), gasoline evaporation (14%) and commercial/domestic liquefied petroleum gas/natural gas use (12%). By contrast, for air masses originating from the PRD the industrial emissions accounted for 43% of the total NMVOC burden, followed by vehicular emissions (32%) and biomass burning (25%). In particular, the higher regional contribution of biomass burning found in this study as compared to existing emission inventories suggests that further efforts are necessary to refine the emission inventories of NMVOCs in the PRD region. © 2006 Elsevier Ltd. All rights reserved

Cellular and molecular basis of TNFa, IL-1ß and LPS mediated signaling in rat dorsal root ganglion

The proinflammatory cytokines TNFa and IL-1ß as well as bacterial lipopolysaccharide (LPS) are known to affect primary afferent functions related to pain and neurogenic inflammation. However, it is not completely understood how these molecules signal to primary sensory neurons of the dorsal root ganglion (DRG). In order to clarify this question RT-PCR, Northern blot, Western blot, RT-PCR in combination with laser capture microdissection (LCM) and in situ hybridization (ISH) with radioactive-labeled probes as well as double ISH were employed. These methods were used to determine the cell-specific expression pattern of TNF, IL-1 and their functional receptors as well as of LPS-related receptors in neuronal and non-neuronal cells of rat DRG as well as in the sensory cell line F11. The following essential new findings and conclusions have been obtained. (1) For the first time, the rat TNFR2 gene was characterized with 10 exons and 9 introns, which are located in chromosome 5q36. Three cDNAs for the rat TNFR2 gene were identified. Their full coding region was found to be identical. Three transcripts of the rat TNFR2 gene were observed in neural tissues (i.e. DRG, spinal cord and brain) and in peripheral tissues (i.e. spleen, lung and kidney). The regulation of TNFR2 transcripts by LPS seemed to occur in a tissue- and cell-specific manner as demonstrated for the spleen and DRG. (2) TNFR1 mRNA was found to be constitutively expressed in all DRG neurons including presumed nociceptive neurons coding for neuropeptides calcitonin gene-related peptide (CGRP), substance P (SP) or vanilloid receptor 1 (VR1) and to be increased after LPS. In contrast to the literature, TNFR2 mRNA was found to be totally absent from DRG neurons of control rats and of rats after LPS challenge. TNFR1 mRNA and TNFR2 mRNA were found to be constitutively expressed in DRG non-neuronal cells and to be increased after systemic LPS. The data provided by this study suggest that TNF may influence DRG sensory functions by directly acting on TNFR1 in neurons or by indirectly acting on both TNFR1 and TNFR2 in non-neuronal cells. (3) Like DRG neurons, the sensory cell line F-11 was found to express TNFR1 but not TNFR2. Therefore, the F11 cell line is uniquely suited to study TNFR1-mediated intracellular signaling and cellular functions independent from that of TNFR2 effects. (4) There was no evidence for but strong evidence against constitutive or LPS-induced expression of TNF and IL-1 mRNAs in DRG neurons. LPS-induced expression of TNF and IL-1 mRNAs in DRG occurred exclusively in DRG non-neuronal cells. Thus, the previously reported concept that TNF and IL-1 are synthesized by DRG neurons should be dismissed. To the contrary, the present data indicate that endogenous TNF and IL-1 in DRG are exclusively synthesized by non-neuronal cells implicating that they may act on DRG neurons in a paracrine manner. (5) In contrast to a previous report indicating that IL-1R1 is expressed in all DRG cells, the present study demonstrated that IL-1R1 mRNA is expressed only in a subpopulation of DRG neurons and in some DRG non-neuronal cells as well. IL-1R1 exhibited substantial coincidence with presumed nociceptive neurons expressing VR1, SP or CGRP. The results of the present study suggest that endogenous and exogenous IL-1 may directly activate DRG neurons via IL-1R1 to preferentially modulate nociceptive functions. In addition, IL-1 may act on DRG non-neuronal cells to cause further release of IL-1. (6) For the first time, the functional LPS receptor-TLR4 was demonstrated to be expressed in DRG neuronal and non-neuronal cells at the mRNA level. The neuronal expression of TLR4 was limited to a subset of DRG neurons where it exhibited substantial coincidence with presumed nociceptive neurons expressing VR1, SP or CGRP. The mRNA coding for the LPS receptor accessory protein CD14 was totally absent from DRG neurons of control rats and of rats after systemic LPS. LPS-induced expression of CD14 occurred in DRG non-neuronal cells. The present data indicate that LPS may directly act on primary sensory neurons via TLR4 or indirectly act on primary sensory neurons via TLR4 and CD14. This implies that primary sensory neurons of DRG may detect an infectious state by directly sensing LPS via TLR4. Taken together, this study provides new insights into the cellular and molecular basis of TNF, IL-1 and LPS mediated primary sensory neurotransmission related to pain and neurogenic inflammation. In addition, the present study provides new evidence that the primary sensory neurons of DRG may have an important role as immunosensors to detect and control microbial infection and inflammation

Goal programming approaches to deriving interval fuzzy preference relations

This article investigates the consistency of interval fuzzy preference relations based on interval arithmetic, and new definitions are introduced for additive consistent, multiplicative consistent and weakly transitive interval fuzzy preference relations. Transformation functions are put forward to convert normalized interval weights into consistent interval fuzzy preference relations. By analyzing the relationship between interval weights and consistent interval fuzzy preference relations, goal-programming-based models are developed for deriving interval weights from interval fuzzy preference relations for both individual and group decision-making situations. The proposed models are illustrated by a numerical example and an international exchange doctoral student selection problem