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.

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.

"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 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

Fractional anisotropy in the centrum semiovale as a quantitative indicator of cerebral white matter damage in the subacute phase in patients with carbon monoxide poisoning: correlation with the concentration of myelin basic protein in cerebrospinal fluid

Carbon monoxide (CO) poisoning leads to demyelination of cerebral white matter (CWM) fibers, causing chronic neuropsychiatric symptoms. To clarify whether fractional anisotropy (FA) from diffusion tensor imaging in the centrum semiovale can depict demyelination in the CWM during the subacute phase after CO inhalation, we examined correlations between FA in the centrum semiovale and myelin basic protein (MBP) in cerebrospinal fluid. Subjects comprised 26 adult CO-poisoned patients ≤60 years old. MBP concentration was examined for all patients at 2 weeks after CO inhalation. The mean FA of the centrum semiovale bilaterally at 2 weeks was also examined for all patients and 21 age-matched healthy volunteers as controls. After these examinations, the presence of chronic symptoms was checked at 6 weeks after CO poisoning. Seven patients displayed chronic symptoms, of whom six showed abnormal MBP concentrations. The remaining 19 patients presented no chronic symptoms and no abnormal MBP concentrations, with MBP concentrations undetectable in 16 patients. The MBP concentration differed significantly between patients with and without chronic symptoms. The mean FA was significantly lower in patients displaying chronic symptoms than in either patients without chronic symptoms or controls. After excluding the 16 patients with undetectable MBP concentrations, a significant correlation was identified between MBP concentration and FA in ten patients. The present results suggest that FA in the centrum semiovale offers a quantitative indicator of the extent of demyelination in damaged CWM during the subacute phase in CO-poisoned patients

Delayed onset muscle soreness at one day after one-leg eccentric cycling in relation to decreases in muscle function immediately post-exercise

This study investigated the relationship between muscle function decrease at immediately post-exercise and DOMS at 24h after eccentric cycling..

Floer-type bipersistence modules and rectangle barcodes

In this paper, we show that the pointwise finite-dimensional two-parameter persistence module $\mathbb{HF}_*^{(\bullet,\bullet]}$, defined in terms of interlevel filtered Floer homology, is rectangle-decomposable. This allows for the definition of a barcode $\mathcal{B}_*^{(\bullet,\bullet]}$ consisting only of rectangles in $\mathbb{R}^2$ associated with $\mathbb{HF}_*^{(\bullet,\bullet]}$. We observe that this rectangle barcode contains information about Usher's boundary depth and spectral invariants developed by Oh, Schwarz, and Viterbo. Moreover, we establish relevant stability results, particularly concerning the bottleneck distance and Hofer's distance.Comment: 35 pages, 7 figures; (v4) main results (Theorems 4.2, 5.3, 6.5 and 6.10) improved, Examples 5.5 and 5.6 modifie