Essays on New Keynesian Term Premium Model with Financial Risks

This dissertation studies the modeling of U.S. Treasury (UST) yield curve term premia under the New Keynesian (NK) framework. Loosely speaking, term premium is the difference between a government bond’s yield for a specific tenor and the average of the expected short rates up to that tenor. The dissertation is divided into three chapters. The first chapter proposes a New Keynesianism-based macro-finance model estimated by a one-step full information maximum likelihood (FIML) method. The second chapter shows that the one-step FIML method may produce estimation biases, which result in biased expected short rates and term premia. The chapter then presents an alternative estimation strategy. The third chapter addresses the policy rate’s zero lower bond (ZLB) constraint in the NK model by including a shadow rate concept. The first chapter fills a gap in the macro-finance term premium modeling literature by building a two-way feedback loop between the economy and the yield curve in a micro-founded way. In doing so, the chapter incorporates a latent Financial Risk Index (FRI) in the IS curve and Taylor rule of an NK model with consumption habit formation. Using the Affine Term Structure (ATS) finance theory, it fits the model to macroeconomic and yield data to obtain time-varying term premia. The chapter also replaces the FRI with the UST three-month vs. 10-year yield slope in the NK system to form Model 2, which offers the central bank and financial market participants an observable market variable to monitor and to communicate with and which thus builds the two-way feedback loop. The two models are both estimated by a one-step FIML method, in which the reduced-form vector autoregression of order 1, or VAR(1), coefficients and the structural NK parameters are estimated simultaneously. The second chapter reveals that the one-step FIML method employed in the first chapter (and in the class of NK term premium models) may produce negative bias to the reduced-form VAR(1) coefficients, which in turn result in a too stable estimated 10-year average expected short rate series and 10-year term premium whose variations track those of the 10-year yield too closely. The chapter presents a two-step estimation strategy. The first step estimates the reduced-form VAR(1) model using ordinary least squares (OLS) and adjusts the negative small-sample estimation bias to the coefficients. The second step recovers structural NK parameters. The chapter proposes a structural restriction to the IS curve and thus improves the model fit to the data. The new estimation method produces a more cyclical and structural 10-year average expected short rate and a more counter-cyclical 10-year term premium than the first chapter. The method also restores consistency between the NK system and the reduced-form VAR system. The third chapter addresses the ZLB issue by bringing in the Wu-Zhang Shadow Rate New Keynesian (SR-NK) model (Wu and Zhang 2016) into the first chapter’s macro-finance term premium modeling approach. The chapter points out that a connection between the Wu-Zhang SR-NK model and the yield curve cannot possibly be established and that there is a tenor mismatch between the short rate and the Wu-Xia shadow rate (Wu and Xia 2016). The chapter proposes a new SR-NK model that inherits the NK model of the first chapter with the short rate replaced by the latent shadow rate. The new model assigns the shadow rate and the FRI different roles of yield curve level and slope drivers. It also dedicates the shadow rate to capture the effect of the Federal Reserve (Fed)’s forward guidance and the FRI to capture the effect of quantitative easing (QE). Thus, my SR-NK model addresses the two issues of the Wu-Zhang SR-NK model. The chapter then proposes a simple way to replace the latent shadow rate by adjusting the short rate during the ZLB period using the variations of the one- and two-year yields to construct Model 2. The adjusted short rate is shown to reach negative levels similar to the negative rates adopted by other central banks. This adjustment constructs a ZLB constraint-free NK model without latent variables. It avoids the imputed latent variables’ sensitivity to parameter values and preserves the two-way feedback loop between the central bank and market participants

Research on Tailoring Technology of Array CCD Aerial Camera Linux System

In view of the actual demand of operating system of the air plane array CCD camera, and combining with the hardware resources of the PC104 bus structure, Linux system adopted in CCD camera is cut practically, which based on the tailoring method adopting the combination of coarse-grained and fine-grained to enhance the Linux kernel preemption, improve the scheduling strategy of Linux kernel scheduler, to build a embedded system with the strong implementation capacity. The system startup and task of the response performance test in different environment shows that the cut systems is stable, reliable, and can achieve the startup time less than 5s, the performance of the task response time less than 20 millisecond

Construction of 1-Resilient Boolean Functions with Optimal Algebraic Immunity and Good Nonlinearity

This paper presents a construction for a class of 1-resilient Boolean functions with optimal algebraic immunity on an even number of variables by dividing them into two correlation classes, i.e. equivalence classes. From which, a nontrivial pair of functions has been found by applying the generating matrix. For $n$ is small (e.g. $n=6$), a part of these functions achieve almost optimal nonlinearity. Apart from their good nonlinearity, the functions reach Siegenthaler\u27s \cite{Siegenthaler} upper bound of algebraic degree. Furthermore, a class of 1-resilient functions on any number $n>2$ of variables with at least sub-optimal algebraic immunity is provided

The Role of Multiple Re-Entry Tears in Type B Aortic Dissection Progression: A Longitudinal Study Using a Controlled Swine Model

False lumen (FL) expansion often occurs in type B aortic dissection (TBAD) and has been associated with the presence of re-entry tears. This longitudinal study aims to elucidate the role of re-entry tears in the progression of TBAD using a controlled swine model, by assessing aortic hemodynamics through combined imaging and computational modeling

Qualitative and quantitative assessments of blood flow on tears in type B aortic dissection with different morphologies

Objective: The interactions between aortic morphology and hemodynamics play a key role in determining type B aortic dissection (TBAD) progression and remodeling. The study aimed to provide qualitative and quantitative hemodynamic assessment in four different TBAD morphologies based on 4D flow MRI analysis. Materials and Methods: Four patients with different TBAD morphologies underwent CT and 4D flow MRI scans. Qualitative blood flow evaluation was performed by visualizing velocity streamlines and flow directionality near the tears. Quantitative analysis included flow rate, velocity and reverse flow index (RFI) measurements. Statistical analysis was performed to evaluate hemodynamic differences between the true lumen (TL) and false lumen (FL) of patients. Results: Qualitative analysis revealed blood flow splitting near the primary entry tears (PETs), often causing the formation of vortices in the FL. All patients exhibited clear hemodynamic differences between TL and FL, with the TL generally showing higher velocities and flow rates, and lower RFIs. Average velocity magnitude measurements were significantly different for Patient 1 (t = 5.61, p = 0.001), Patient 2 (t = 3.09, p = 0.02) and Patient 4 (t = 2.81, p = 0.03). At follow-up, Patient three suffered from left renal ischemia because of FL collapse. This patient presented a complex morphology with two FLs and marked flow differences between TL and FLs. In Patient 4, left renal artery malperfusion was observed at the 32-months follow-up, due to FL thrombosis growing after PET repair. Conclusion: The study demonstrates the clinical feasibility of using 4D flow MRI in the context of TBAD. Detailed patient-specific hemodynamics assessment before treatment may provide useful insights to better understand this pathology in the future

CXCR5+PD-1+ follicular helper CD8 T cells control B cell tolerance

Many autoimmune diseases are characterized by the production of autoantibodies. The current view is that CD4+ T follicular helper (Tfh) cells are the main subset regulating autoreactive B cells. Here we report a CXCR5+PD1+ Tfh subset of CD8+ T cells whose development and function are negatively modulated by Stat5. These CD8+ Tfh cells regulate the germinal center B cell response and control autoantibody production, as deficiency of Stat5 in CD8 T cells leads to an increase of CD8+ Tfh cells, resulting in the breakdown of B cell tolerance and concomitant autoantibody production. CD8+ Tfh cells share similar gene signatures with CD4+ Tfh, and require CD40L/CD40 and TCR/MHCI interactions to deliver help to B cells. Our study thus highlights the diversity of follicular T cell subsets that contribute to the breakdown of B-cell tolerance

O2ATH: An OpenMP Offloading Toolkit for the Sunway Heterogeneous Manycore Platform

The next generation Sunway supercomputer employs the SW26010pro processor, which features a specialized on-chip heterogeneous architecture. Applications with significant hotspots can benefit from the great computation capacity improvement of Sunway many-core architectures by carefully making intensive manual many-core parallelization efforts. However, some legacy projects with large codebases, such as CESM, ROMS and WRF, contain numerous lines of code and do not have significant hotspots. The cost of manually porting such applications to the Sunway architecture is almost unaffordable. To overcome such a challenge, we have developed a toolkit named O2ATH. O2ATH forwards GNU OpenMP runtime library calls to Sunway's Athread library, which greatly simplifies the parallelization work on the Sunway architecture.O2ATH enables users to write both MPE and CPE code in a single file, and parallelization can be achieved by utilizing OpenMP directives and attributes. In practice, O2ATH has helped us to port two large projects, CESM and ROMS, to the CPEs of the next generation Sunway supercomputers via the OpenMP offload method. In the experiments, kernel speedups range from 3 to 15 times, resulting in 3 to 6 times whole application speedups.Furthermore, O2ATH requires significantly fewer code modifications compared to manually crafting CPE functions.This indicates that O2ATH can greatly enhance development efficiency when porting or optimizing large software projects on Sunway supercomputers.Comment: 15 pages, 6 figures, 5 tables

New insights regarding the incidence, presentation and treatment options of aorto-oesophageal fistulation after thoracic endovascular aortic repair: the European Registry of Endovascular Aortic Repair Complications

OBJECTIVES To review the incidence, clinical presentation, definite management and 1-year outcome in patients with aorto-oesophageal fistulation (AOF) following thoracic endovascular aortic repair (TEVAR). METHODS International multicentre registry (European Registry of Endovascular Aortic Repair Complications) between 2001 and 2011 with a total caseload of 2387 TEVAR procedures (17 centres). RESULTS Thirty-six patients with a median age of 69 years (IQR 56-75), 25% females and 9 patients (19%) following previous aortic surgery were identified. The incidence of AOF in the entire cohort after TEVAR in the study period was 1.5%. The primary underlying aortic pathology for TEVAR was atherosclerotic aneurysm formation in 53% of patients and the median time to development of AOF was 90 days (IQR 30-150). Leading clinical symptoms were fever of unknown origin in 29 (81%), haematemesis in 19 (53%) and shock in 8 (22%) patients. Diagnosis could be confirmed via computed tomography in 92% of the cases with the leading sign of a new mediastinal mass in 28 (78%) patients. A conservative approach resulted in a 100% 1-year mortality, and 1-year survival for an oesophageal stenting-only approach was 17%. Survival after isolated oesophagectomy was 43%. The highest 1-year survival rate (46%) could be achieved via an aggressive treatment including radical oesophagectomy and aortic replacement [relative risk increase 1.73 95% confidence interval (CI) 1.03-2.92]. The survival advantage of this aggressive treatment modality could be confirmed in bootstrap analysis (95% CI 1.11-3.33). CONCLUSIONS The development of AOF is a rare but lethal complication after TEVAR, being associated with the need for emergency TEVAR as well as mediastinal haematoma formation. The only durable and successful approach to cure the disease is radical oesophagectomy and extensive aortic reconstruction. These findings may serve as a decision-making tool for physicians treating these complex patient