The Yield Curve through Time and Across Maturities

We develop an unobserved component model in which the short-term interest rate is composed of a stochastic trend and a stationary cycle. Using the Nelson-Siegel model of the yield curve as inspiration, we estimate an extremely parsimonious state-space model of interest rates across time and maturity. Our stochastic process generates a three-factor model for the term structure. At the estimated parameters, trend and slope factors matter while the third factor is empirically unimportant. Our baseline model fits the yield curve well. Model generated estimates of uncertainty are positively correlated with estimated term premia. An extension of the model with regime switching identifies a high-variance regime and a low-variance regime, where the high-variance regime occurs rarely after the mid-1980s. The term premium is higher, and more so for yields of short maturities, in the high-variance regime than that in the low-variance regime. The estimation results support our model as a simple and yet reliable framework for modeling the term structure.

Love Thy Neighbor: Income Distribution and Housing Preferences

Do homeowners prefer living in an area with a more equal distribution of income? We answer this question by estimating a semi-parametric hedonic pricing model for about 90,000 housing units transacted in Hong Kong between 2005 and 2006. We first identify a hedonic price function by locally regressing the rental price of the housing unit on its intrinsic and neighborhood characteristics, one of which is the Gini coefficient for household income of the constituency area. We then combine the estimates with a log utility function to obtain the heterogeneous preference parameters. Finally, we estimate the joint distribution of the preference parameters and demographics. We find that most homeowners have a strong distaste for inequality in their neighborhood, and the distaste increases with income and goes down with education level. Counterfactual experiments show that reallocating Public Rental Housing by half can increase the welfare of homeowners by about HK$8,000 on average per year, an amount which is equivalent to increasing the housing unit by 20 square feet or reducing the age of the unit by 5 years.hedonic pricing; housing; income inequality

A Macro-Finance Approach to Exchange Rate Determination

The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, we adopt a joint macro-finance strategy to model the exchange rate. We incorporate into a monetary exchange rate model macroeconomic stabilization through Taylor-rule monetary policy on one hand, and on the other, market expectations and perceived risks embodied in the cross-country yield curves. Using monthly data between 1985 and 2005 for Canada, Japan, the UK and the US, we employ a state-space system to model the relative yield curves between country-pairs using the Nelson and Siegel (1987) latent factors, and combine them with monetary policy targets (output gap and inflation) into a vector autoregression (VAR) for bilateral exchange rate changes. We find strong evidence that both the financial and macro variables are important for explaining exchange rate dynamics and excess currency returns, especially for the yen and the pound rates relative to the dollar. Moreover, by decomposing the yield curves into expected future yields and bond market term premiums, we show that both expectations about future macroeconomic conditions and perceived risks are priced into the currencies. These findings provide support for the view that the nominal exchange rate is determined by both macroeconomic as well as financial forces.

What Does the Yield Curve Tell Us About Exchange Rate Predictability?

This paper uses information contained in the cross-country yield curves to test the asset-pricing approach to exchange rate determination, which models the nominal exchange rate as the discounted present value of its expected future fundamentals. Research on the term structure of interest rates has long argued that the yield curve contains information about future economic activity such as GDP growth and inflation. Bringing this lesson to the international context, we extract the Nelson-Siegel (1987) factors of relative level, slope, and curvature from cross-country yield differences to proxy expected movements in future exchange rate fundamentals. Using monthly data between 1985-2005 for the United Kingdom, Canada, Japan and the US, we show that the yield curve factors indeed can explain and predict bilateral exchange rate movements and excess currency returns one month to two years ahead. Out-of-sample analysis also shows the yield curve factors to outperform a random walk in forecasting short-term exchange rate returns.

Agree to Disagree: Measuring Hidden Dissents in FOMC Meetings

Based on a record of dissents on FOMC votes and transcripts of the meetings from 1976 to 2017, we develop a deep learning model based on self-attention modules to create a measure of the level of disagreement for each member in each meeting. While dissents are rare, we find that members often have reservations with the policy decision. The level of disagreement is mostly driven by current or predicted macroeconomic data, and personal characteristics of the members play almost no role. We also use our model to evaluate speeches made by members between meetings, and we find a weak correlation between the level of disagreement revealed in them and that of the following meeting. Finally, we find that the level of disagreement increases whenever monetary policy action is more aggressive

Distributed data mining in grid computing environments

The official published version of this article can be found at the link below.The computing-intensive data mining for inherently Internet-wide distributed data, referred to as Distributed Data Mining (DDM), calls for the support of a powerful Grid with an effective scheduling framework. DDM often shares the computing paradigm of local processing and global synthesizing. It involves every phase of Data Mining (DM) processes, which makes the workflow of DDM very complex and can be modelled only by a Directed Acyclic Graph (DAG) with multiple data entries. Motivated by the need for a practical solution of the Grid scheduling problem for the DDM workflow, this paper proposes a novel two-phase scheduling framework, including External Scheduling and Internal Scheduling, on a two-level Grid architecture (InterGrid, IntraGrid). Currently a DM IntraGrid, named DMGCE (Data Mining Grid Computing Environment), has been developed with a dynamic scheduling framework for competitive DAGs in a heterogeneous computing environment. This system is implemented in an established Multi-Agent System (MAS) environment, in which the reuse of existing DM algorithms is achieved by encapsulating them into agents. Practical classification problems from oil well logging analysis are used to measure the system performance. The detailed experiment procedure and result analysis are also discussed in this paper

Love Thy Neighbor: Income Distribution and Housing Preferences

Do homeowners prefer living in an area with a more equal distribution of income? We answer this question by estimating a semi-parametric hedonic pricing model for about 90,000 housing units transacted in Hong Kong between 2005 and 2006. We first identify a hedonic price function by locally regressing the rental price of the housing unit on its intrinsic and neighborhood characteristics, one of which is the Gini coefficient for household income of the constituency area. We then combine the estimates with a log utility function to obtain the heterogeneous preference parameters. Finally, we estimate the joint distribution of the preference parameters and demographics. We find that most homeowners have a strong distaste for inequality in their neighborhood, and the distaste increases with income and goes down with education level. Counterfactual experiments show that reallocating Public Rental Housing by half can increase the welfare of homeowners by about HK$8,000 on average per year, an amount which is equivalent to increasing the housing unit by 20 square feet or reducing the age of the unit by 5 years

Love Thy Neighbor: Income Distribution and Housing Preferences

Do homeowners prefer living in an area with a more equal distribution of income? We answer this question by estimating a semi-parametric hedonic pricing model for about 90,000 housing units transacted in Hong Kong between 2005 and 2006. We first identify a hedonic price function by locally regressing the rental price of the housing unit on its intrinsic and neighborhood characteristics, one of which is the Gini coefficient for household income of the constituency area. We then combine the estimates with a log utility function to obtain the heterogeneous preference parameters. Finally, we estimate the joint distribution of the preference parameters and demographics. We find that most homeowners have a strong distaste for inequality in their neighborhood, and the distaste increases with income and goes down with education level. Counterfactual experiments show that reallocating Public Rental Housing by half can increase the welfare of homeowners by about HK$8,000 on average per year, an amount which is equivalent to increasing the housing unit by 20 square feet or reducing the age of the unit by 5 years

Integrated Pest Management Practices for Rice Crops: Review of Indonesia and Taiwan

One of the new strategies to control rice pests that are at the same time more environmentally friendly is integrated pest management (IPM). IPM employs such methods as biological and mechanical controls, and botanicalpesticides. National and International resources have been used to developed IPM programs in some countries. Indonesia and Taiwan have used such programs to control rice pests. Biological control, botanical pesticides andsome mechanical control have been conducted in IPM program in both countries. However, assessing and comparing the effects of IPM programs are difficult because of the heterogeneity of the data due to differences in regions (e.g., climate, rainfall, soil structure), time periods, pest classes (e.g., insects, plant pathogens, weeds), and types of crops researched. In Indonesia using the recommended pesticides still be the last option for controlling the pests that reach an economic threshold. In 2011, recommended pesticides are applied about 981,628 ha of all rice crops. Other controls are the second pests control choosen in Indonesia. Other controls are consists of biological control (usingparasitoids and predators), microbial control (fungi, virus and bacteria) and natural plant extraction. Other controls reach about 464,854 ha of total rice crops in Indonesia. Mechanical controls are less applied than recommendedpesticides and other controls. Mechanical controls are including all controls before rice planting, such as harrowing land, killing rats, applying organic fertilizer, planting good varieties and cropping pattern. Mechanical controls reach about 84,920 ha of total rice crops in Indonesia. Taiwan also have similar development of rice IPM like Indonesia. In different counties, the farmers applied different IPM techniques. More farmers are independent to set up their rice pest control. Now, Taiwan have a significant progress in organic ric

Complete genome assembly and characterization of an outbreak strain of the causative agent of swine erysipelas – Erysipelothrix rhusiopathiae SY1027

BACKGROUND: Erysipelothrix rhusiopathiae is the causative agent of animal erysipelas and, to a fewer occurrences, human erysipeloid. It is ubiquitous in nature and commensal in diverse species of animals, wild or domestic, from mammals and birds to reptiles and fish. Mechanisms of its virulence and pathogenicity are poorly understood. RESULTS: Making use of the complete genome sequencing of E. rhusiopathiae strain SY1027 and comparative genome analysis between the three highly pathogenic strains (SY1027, Fujisawa and ATCC19414), the genomic structure and putative functional elements, such as pathogenicity island (PAI)-like regions, potential virulence factors and horizontal transferring genes of the bacteria are identified. Strain SY1027 genome is 1,752,910 base pairs long, just 30 kilobases smaller than strain Fujisawa, with the same GC level of 36.36%. It contains 1,845 open reading frames (ORF) predicted by GLIMMER 3.02, of which 1,775 were annotated by PGAAP, 1,757 (~95.23%) were annotated by NCBI nr blast, 1,209 by COG database and 1,076 by KEGG database. 37 potential virulence factors were annotated in strain SY1027 by VFDB, while 19 (~51.35%) of them are common in the 2 strains, 7 of which are potentially related to antibiotic resistance and highly conserved (~98-100% match identity (ID)) amongst the three strains of E. rhusiopathiae and modestly homologous to other gastrointestinal tract-inhabiting Firmicutes (~40% match ID), e.g. Clostridium spp., Enterococcus spp. Genomic island- and pathogenicity island-like regions were also predicted, in which some showed association with tRNA and potential virulence factors. CONCLUSION: Complete genome sequencing of Erysipelothrix rhusiopathiae, the causative agent of animal erysipelas, was performed. Molecular identification of various genomic elements pave the way to the better understanding of mechanisms underlying metabolic capabilities, pathogenicity of swine erysipelas and prospective vaccine targets besides the widely used SpaA antigens