Riskfree Rate Dynamics: Information, Trading and State Space Modeling

Lucas, A. [Promotor]Koopman, S.J. [Promotor]Menkveld, A.J. [Copromotor

Rapportage leerlijn verbrede NME gezonde en duurzame voeding

Vanuit de Proeftuin Amsterdam zijn diverse projecten gestart om duurzaam en gezond eten onder de aandacht te brengen van kinderen uit het basisonderwijs. Er zijn mogelijkheden voor het ontwikkelen van een verbrede leerlijn Natuur en Milieueducatie (NME) voor gezonde en duurzame voeding. Gekeken wordt in dit rapport naar aansluiting bij zaken die docenten belangrijk vinden en naar aansluiting bij bestaande initiatieven, zoals boerderijeducatie, schooltuinen, SchoolGruiten en smaaklessen. Tot slot wordt een uitgewerkte leerlijn weergegeven met als hoofdthema's: Wat eet je en waarom? Wat doet eten met jou? Hoe functioneert de boerderij? Weet jij wat je koopt

Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein

The crises of this century have stressed how intertwined macroeconomics and finance are in practice. This intertwinement was absent in most economic models. This led to calls for economists to step out of their specialized silos. Since then, the literature of macro-finance, which studies the relationship between asset prices and economic fluctuations, has been developed. In this inaugural address, I argue for a prominent role of econometrics to study the macro-finance interaction. Key elements such as mixed frequencies and the selection of factors can be incorporated using recent econometric advances. I discuss some of the results, such as estimation of continuous-time equilibrium models for macroeconomic and financial series, as well as characteristics of trading on financial markets after macroeconomic news releases. Finally, I discuss the outstanding challenges, which include developing a yield curve model based on macroeconomic foundations, modeling how financial markets anticipate news releases, and developing a macro-finance model for European bond markets taking into account the large heterogeneity across the continent

Welk spoor kiest u? : waarderingskader voor het bevorderen van ondernemerschap

Dit verslag geeft een overzicht van ondernemerschapactiviteiten en projecten die in het onderwijs, onderzoek en bedrijfsleven plaatsgevonden hebben. Om deze activiteiten te kunnen beoordelen op ondernemerschap is een waarderingskader ontwikkeld. Dit kader maakt inzichtelijk in hoeverre ondernemerschap bevorderd wordt. En met behulp van het waarderingskader zijn good practices geïdentificeerd. Het verslag geeft tevens adviezen om ondernemerschap met hulp van het kader verder te ontwikkele

Forecasting the U.S. term structure of interest rates using a macroeconomic smooth dynamic factor model

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model. We include these factors into a dynamic factor model for the yield curve, in which we model the salient structure of the yield curve by imposing smoothness restrictions on the yield factor loadings via cubic spline functions. We carry out a likelihood-based analysis in which we jointly consider a factor model for the yield curve, a factor model for the macroeconomic series, and their dynamic interactions with the latent dynamic factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we use a monthly time series panel of unsmoothed Fama-Bliss zero yields for treasuries of different maturities between 1970 and 2009, which we combine with a macro panel of 110 series over the same sample period. We show that the relation between the macroeconomic factors and yield curve data has an intuitive interpretation, and that there is interdependence between the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion is that macroeconomic variables can lead to more accurate yield curve forecasts

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a suitable set of such restrictions. We present these developments in the context of term structure models, but they are also applicable in other settings. We perform an empirical study using a data set of unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with and without smooth loadings is considered in this study together with models that are associated with Nelson-Siegel and arbitrage-free frameworks. These existing models can be regarded as special cases of the dynamic factor model with restrictions on the model parameters. For all model candidates, we consider both stationary and nonstationary autoregressive processes (with different numbers of lags) for the latent factors. Finally, we perform statistical hypothesis tests to verify whether the restrictions imposed by the models are supported by the data. Our main conclusion is that smoothness restrictions can be imposed on the loadings of dynamic factor models for the term structure of US interest rates but that the restrictions implied by a number of popular term structure models are rejected

M/L and Color Evolution for A Deep Sample of M* Cluster Galaxies at z~1: The Formation Epoch and the Tilt of the Fundamental Plane

We have measured velocity dispersions for a sample of 36 galaxies with J < 21.2 or Mr < -20.6 mag in MS1054-03, a massive cluster of galaxies at z = 0.83. Our data are of uniformly high quality down to our selection limit, our 16-hour exposures typically yielding errors of only \delta(dispersion)~10% for L* and fainter galaxies. By combining our measurements with data from the literature, we have 53 cluster galaxies with measured dispersions, and HST/ACS-derived sizes, colors and surface brightnesses. This sample is complete for the typical L* galaxy at z~1, unlike most previous z~1 cluster samples which are complete only for the massive cluster members (>1e11 M_sun). We find no evidence for a change in the tilt of the fundamental plane (FP). Nor do we find evidence for evolution in the slope of the color-dispersion relation and M/L_B-dispersion relations; measuring evolution at a fixed dispersion should minimize the impact of size evolution found in other work. The M/L_B at fixed dispersion evolves by \Delta log10 M/L_B=-0.50 +/- 0.03 between z=0.83 and z=0.02 or d(log10 M/L_B)=-0.60 +/- 0.04 dz, and we find \Delta (U-V)_z=-0.24 +/- 0.02 mag at fixed dispersion in the rest-frame, matching the expected evolution in M/L_B within 2.25 standard deviations. The implied formation redshift from both the color and M/L_B evolution is z*=2.0 +/- 0.2 +/- 0.3 (sys), during the epoch in which the cosmic star-formation activity peaked, with the systematic uncertainty showing the dependence of z* on the assumptions we make about the stellar populations. The lack of evolution in either the tilt of the FP or in the M/L- and color-dispersion relations imply that the formation epoch depends weakly on mass, ranging from z*=2.3 +1.3 -0.3 at 300 km/s to z*=1.7 +0.3 -0.2 at 160 km/s and implies that the IMF similarly varies slowly with galaxy mass.Comment: revised; typos corrected, references updated, and other cosmetic changes to meet ApJ format ApJ accepted, 22 pages in emulate ApJ format, 8 color figures, 1 b/w figur

Spatially Resolved Stellar Kinematics of Field Early-Type Galaxies at z=1: Evolution of the Rotation Rate

We use the spatial information of our previously published VLT/FORS2 absorption line spectroscopy to measure mean stellar velocity and velocity dispersion profiles of 25 field early-type galaxies at a median redshift z=0.97 (full range 0.6<z<1.2). This provides the first detailed study of early-type galaxy rotation at these redshifts. From surface brightness profiles from HST imaging we calculate two-integral oblate axisymmetric Jeans equation models for the observed kinematics. Fits to the data yield for each galaxy the degree of rotational support and the mass-to-light ratio M/L_Jeans. S0 and Sa galaxies are generally rotationally supported, whereas elliptical galaxies rotate less rapidly or not at all. Down to M(B)=-19.5 (corrected for luminosity evolution), we find no evidence for evolution in the fraction of rotating early-type (E+S0) galaxies between z=1 (63+/-11%) and the present (61+/-5%). We interpret this as evidence for little or no change in the field S0 fraction with redshift. We compare M/L_Jeans with M/L_vir inferred from the virial theorem and globally averaged quantities and assuming homologous evolution. There is good agreement for non-rotating (mostly E) galaxies. However, for rotationally supported galaxies (mostly S0) M/L_Jeans is on average ~40% higher than M/L_vir. We discuss possible explanations and the implications for the evolution of M/L between z=1 and the present and its dependence on mass.Comment: To appear in ApJ 683 (9 pages, 7 figures). Minor changes included to match published versio