How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

This note analyzes the yield-curve predictability for GDP growth by modifying the time-series property of the interest rate process in Ang, Piazzesi, and Wei (2006). When interest rates have a unit root and term spreads are stationary, the short ratefs forecasting role changes, and the combined information from the short rate and term spread intuitively reveals the relationship between the shift of yield curves and GDP growth.

Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes.

The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective

Using a macroeconomic perspective, we examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. Many macro-finance models assume that policy shocks are homoskedastic, while observed policy shock processes are significantly time varying and persistent. We allow for this key feature by constructing a no-arbitrage GARCH affine term structure model, in which monetary policy uncertainty is modeled as the conditional volatility of the error term in a Taylor rule. We find that monetary policy uncertainty increases the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics.

The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates

We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility is defined as the conditional volatility of the error term in a Taylor rule. We find that an increase in monetary policy uncertainty raises the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics.GARCH, Estimation, Term Structure of Interest Rates, Financial Markets and the Macro-economy, Monetary Policy

"The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective"

Using a macroeconomic perspective, we examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. Many macro-finance models assume that policy shocks are homoskedastic, while observed policy shock processes are significantly time varying and persistent. We allow for this key feature by constructing a no-arbitrage GARCH affine term structure model, in which monetary policy uncertainty is modeled as the conditional volatility of the error term in a Taylor rule. We find that monetary policy uncertainty increases the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics.

The impact of inpatient suicide on psychiatric nurses and their need for support

<p>Abstract</p> <p>Background</p> <p>The nurses working in psychiatric hospitals and wards are prone to encounter completed suicides. The research was conducted to examine post-suicide stress in nurses and the availability of suicide-related mental health care services and education.</p> <p>Methods</p> <p>Experiences with inpatient suicide were investigated using an anonymous, self-reported questionnaire, which was, along with the Impact of Event Scale-Revised, administered to 531 psychiatric nurses.</p> <p>Results</p> <p>The rate of nurses who had encountered patient suicide was 55.0%. The mean Impact of Event Scale-Revised (IES-R) score was 11.4. The proportion of respondents at a high risk (≥ 25 on the 88-point IES-R score) for post-traumatic stress disorder (PTSD) was 13.7%. However, only 15.8% of respondents indicated that they had access to post-suicide mental health care programmes. The survey also revealed a low rate of nurses who reported attending in-hospital seminars on suicide prevention or mental health care for nurses (26.4% and 12.8%, respectively).</p> <p>Conclusions</p> <p>These results indicated that nurses exposed to inpatient suicide suffer significant mental distress. However, the low availability of systematic post-suicide mental health care programmes for such nurses and the lack of suicide-related education initiatives and mental health care for nurses are problematic. The situation is likely related to the fact that there are no formal systems in place for identifying and evaluating the psychological effects of patient suicide in nurses and to the pressures stemming from the public perception of nurses as suppliers rather than recipients of health care.</p

A Debt Overhang Model for Low-Income Countries

The paper presents a theoretical model to explain how debt overhang is generated in low-income countries and discusses its implications for debt relief. The paper indicates that the extent of debt overhang, and the effectiveness of debt relief, would depend on a recipient country''s initial economic conditions and level of total factor productivity.Debt relief;Debt burden;Productivity;Economic growth;Economic conditions;Economic models;debt overhang, gdp per capita, real gdp, debt sustainability, debt renegotiation, sovereign debt, growth rate, external debt, debtor country, amount of debt, multilateral debt, debt accumulation, multilateral debt relief, official creditors, debt reduction, total factor productivity, international lending, debt relief initiative, excess debt, concessional debt, external borrowing, debt stock, official creditor, per capita income, growth model, external loans, repayments, foreign aid, debt burdens, neoclassical growth model, debt problems, debt dynamics, private debt, external debt sustainability, sovereign default

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited

This note analyzes the yield-curve predictability for GDP growth by modifying the time-series property of the interest rate process in Ang, Piazzesi, and Wei (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the combined information from the short rate and term spread intuitively reveals the relationship between the shift of yield curves and GDP growthSubsequently published in Applied Economics Letters

A Debt Overhang Model for Low-Income Countries

This paper presents a theoretical model to explain how debt overhang is generated in low-income countries and discusses its implications for aid design and debt relief. It finds that the extent of debt overhang and the effectiveness of debt relief depend on a recipient country’s initial economic conditions and level of total factor productivity. IMF Staff Papers (2008) 55, 654–678. doi:10.1057/imfsp.2008.13; published online 10 June 2008