title: The Derivation and Application of a Theoretically and Economically Consistent Version of the Nelson and Siegel Class of Yield Curve Models

authors: Krippner, Leo

subjects: yield curve

abstract: A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of  fitting  yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). In each application, the ANS model allows the formal derivation of a parsimonious theoretical framework that captures the essence of the topic under investigation and is readily applicable in practice. Respectively: (1) the intertemporal consistency embedded in the ANS model results in a vector-autoregressive equation that projects the future yield curve from the current yield curve, and forecasts from that model outperform the random-walk benchmark; (2) the economic foundation for the ANS model leads to a single-equation relationship between the current shape of the yield curve and the magnitude and timing of future output growth, and empirical estimations confirm that the theoretical relationship holds in practice; (3) the ANS model provides a theoretically-consistent framework for quantifying risk and returns in fixed interest portfolios, and portfolios optimised ex-ante using that framework outperform a passive benchmark; and (4) the ANS model allows interest rates to be decomposed into a component related to economic fundamentals in the underlying economy, and a component related to cyclical influences. Empirical tests based on the fundamental interest rate components do not reject the UIPH, while the UIPH is rejected based on the cyclical interest rate components. This provides empirical support for suggestions in the theoretical literature that interest rate and exchange rate dynamics associated with cyclical interlinkages between the economy and financial markets under rational expectations may contribute materially to the UIPH puzzle.

text: The Derivation and Application of a Theoretically and Economically Consistent Version of the Nelson and Siegel Class of Yield Curve Models A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of  fitting  yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). In each application, the ANS model allows the formal derivation of a parsimonious theoretical framework that captures the essence of the topic under investigation and is readily applicable in practice. Respectively: (1) the intertemporal consistency embedded in the ANS model results in a vector-autoregressive equation that projects the future yield curve from the current yield curve, and forecasts from that model outperform the random-walk benchmark; (2) the economic foundation for the ANS model leads to a single-equation relationship between the current shape of the yield curve and the magnitude and timing of future output growth, and empirical estimations confirm that the theoretical relationship holds in practice; (3) the ANS model provides a theoretically-consistent framework for quantifying risk and returns in fixed interest portfolios, and portfolios optimised ex-ante using that framework outperform a passive benchmark; and (4) the ANS model allows interest rates to be decomposed into a component related to economic fundamentals in the underlying economy, and a component related to cyclical influences. Empirical tests based on the fundamental interest rate components do not reject the UIPH, while the UIPH is rejected based on the cyclical interest rate components. This provides empirical support for suggestions in the theoretical literature that interest rate and exchange rate dynamics associated with cyclical interlinkages between the economy and financial markets under rational expectations may contribute materially to the UIPH puzzle.

year: 2007

title: Book review: Sport and neoliberalism: politics, consumption, and culture

authors: Pope, Clive C.

subjects: book review

abstract: This article reviews the book, "Sport and neoliberalism: politics, consumption, and culture", edited by David L. Andrews & Michael L. Silk.

text: Book review: Sport and neoliberalism: politics, consumption, and culture This article reviews the book, "Sport and neoliberalism: politics, consumption, and culture", edited by David L. Andrews & Michael L. Silk.

year: 2013

title: Network Analysis Reveals Unique Associations of Mindfulness and Distress with Immunity in Māori and Non-Māori New Zealanders

authors: Billot, Moana

abstract: Objectives: 
A healthy immune system is required to protect against viral infection and ensure the efficacy of vaccines. Psychological distress can threaten immune resilience, while mindfulness practices can be protective. In New Zealand, Māori experience significantly higher levels of distress compared to non-Māori. The aim of this study was to explore the role of ethnicity in the relations among immunity, depression, anxiety, stress, and mindfulness relate to each other.
Method:
Network analysis was used to explore unique relations among distress (depression, anxiety, stress), mindfulness facets, and immune status in matched (age, ranging from 19 to 88 years, sex, and self-classified socio-economic status) samples of Māori (n=195) and non-Māori (n=195) participants from New Zealand.
Results:
The networks of distress, mindfulness, and immune status were significantly different between Māori and non-Māori participants. The mindfulness facets Describe and Act with Awareness were more strongly positively linked in Māori, and Non-judge and Depression more strongly negatively linked in Māori, while Describe and Non-judge were more strongly positively linked in non-Māori. For both Māori and non-Māori, similarities included a negative link between anxiety and immune status, strong positive links between the distress variables, and positive links between the mindfulness facets of Non-judge and Act with Awareness, Observe and Non-React, and Observe and Describe.
Conclusions:
These findings suggest that anxiety is strongly linked to poor immunity across both Māori and non-Māori in New Zealand while networks of mindfulness and distress also demonstrated differences unique for each of these groups. Both similarities and differences between Māori and non-Māori should be considered when developing targeted interventions to improve physical and mental health in New Zealand.
Preregistration:
This study is not preregistered.

text: Network Analysis Reveals Unique Associations of Mindfulness and Distress with Immunity in Māori and Non-Māori New Zealanders Objectives: 
A healthy immune system is required to protect against viral infection and ensure the efficacy of vaccines. Psychological distress can threaten immune resilience, while mindfulness practices can be protective. In New Zealand, Māori experience significantly higher levels of distress compared to non-Māori. The aim of this study was to explore the role of ethnicity in the relations among immunity, depression, anxiety, stress, and mindfulness relate to each other.
Method:
Network analysis was used to explore unique relations among distress (depression, anxiety, stress), mindfulness facets, and immune status in matched (age, ranging from 19 to 88 years, sex, and self-classified socio-economic status) samples of Māori (n=195) and non-Māori (n=195) participants from New Zealand.
Results:
The networks of distress, mindfulness, and immune status were significantly different between Māori and non-Māori participants. The mindfulness facets Describe and Act with Awareness were more strongly positively linked in Māori, and Non-judge and Depression more strongly negatively linked in Māori, while Describe and Non-judge were more strongly positively linked in non-Māori. For both Māori and non-Māori, similarities included a negative link between anxiety and immune status, strong positive links between the distress variables, and positive links between the mindfulness facets of Non-judge and Act with Awareness, Observe and Non-React, and Observe and Describe.
Conclusions:
These findings suggest that anxiety is strongly linked to poor immunity across both Māori and non-Māori in New Zealand while networks of mindfulness and distress also demonstrated differences unique for each of these groups. Both similarities and differences between Māori and non-Māori should be considered when developing targeted interventions to improve physical and mental health in New Zealand.
Preregistration:
This study is not preregistered.

year: 2023-08-25