A model-independent maximum range for the liquidity correction of TIPS yields

We derive a model-independent maximum range for the admissible liquidity risk premium in real Treasury bonds—also known as Treasury Inflation Protected Securities (TIPS). The range is constructed using additional information in the inflation swap market and a set of simple theoretical assumptions. As an application, we construct a lower bound to estimates of the inflation risk premium the Treasury receives from TIPS by deducting their maximum liquidity premium. This conservative measure of the benefit to the Treasury of issuing TIPS is positive on average at the ten-year maturity for our sample period.Inflation (Finance) ; Inflation-indexed bonds

The affine arbitrage-free class of Nelson-Siegel term structure models

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.Interest rates ; Econometric models

The Response Of The Interest Rates To US And UK Quantitative Easing

This article is published in the The Economic Journal and is also available for download on Social Science Research Network (SSRN) . To view this article in its entirety please see the related resources section above. Recommended Citation: Christensen, Jens Henrik Eggert and Rudebusch, Glenn D., The Response of Interest Rates to US and UK Quantitative Easing (November 2012). The Economic Journal, Vol. 122, Issue 564, pp. F385-F414, 2012

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.

The affine arbitrage-free class of Nelson-Siegel term structure models

We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models can be expressed as slightly restricted versions of the canonical representation of the three-factor affine arbitrage-free model. Imposing the Nelson-Siegel structure on the canonical model greatly facilitates estimation and can improve predictive performance. In the future, AFNS models appear likely to be a useful workhorse representation for term structure research.Yield curve Interest rate Bond market Factor model Forecasting

Climate change in the Baltic Sea:2021 fact sheet

Abstract Climate change effects on the Baltic Sea environment are manifold. It is for example expected that water temperature and sea level will rise, and sea ice cover will decrease. This will affect ecosystems and biota; for example, range shifts are expected for a number of marine species, benthic productivity will decrease, and breeding success of ringed seals will be reduced. The impacts will hence affect the overall ecosystem function and also extend to human uses of the sea; trawling will follow the fish towards southern areas, aquaculture will likely face a shift towards species diversification, and the value of most ecosystem services is expected to change — to name a few. This Climate Change Fact Sheet provides the latest scientific knowledge on how climate change is currently affecting the Baltic Sea and how it is expected to develop in the foreseeable future. It is aimed at guiding policy makers to take climate change into account, but also to the general public. Updated Baltic Sea Climate Change Fact Sheets are expected to be published approximately every seven years