title: Modelling the yield curve with Orthonomalised Laguerre Polynomials: An intertemporally consistent approach with an economic interpretation

authors: Krippner, Leo

subjects: yield curve

abstract: This article provides theoretical foundations for the popular orthonormalised Laguerre polynomial (OLP) model of the yield curve, as originally introduced by Nelson and Siegel (1987). Intertemporal consistency is provided by deriving the volatility-adjusted OLP (VAO) model of the yield curve using the risk-neutral Heath, Jarrow and Morton (1992) framework, and including an allowance for term premia as noted in Duffee (2002). An economic interpretation is provided by deriving the relationship between the VAO model and the Berardi and Esposito (1999) yield curve model that is based on a generic general equilibrium model of the economy. In empirical applications using almost 50 years of United States data, the VAO model outperforms the random walk when used to forecast the yield curve out of sample, and the level of the yield curve as measured by the VAO model is shown to be cointegrated with CPI inflation, as predicted.

text: Modelling the yield curve with Orthonomalised Laguerre Polynomials: An intertemporally consistent approach with an economic interpretation This article provides theoretical foundations for the popular orthonormalised Laguerre polynomial (OLP) model of the yield curve, as originally introduced by Nelson and Siegel (1987). Intertemporal consistency is provided by deriving the volatility-adjusted OLP (VAO) model of the yield curve using the risk-neutral Heath, Jarrow and Morton (1992) framework, and including an allowance for term premia as noted in Duffee (2002). An economic interpretation is provided by deriving the relationship between the VAO model and the Berardi and Esposito (1999) yield curve model that is based on a generic general equilibrium model of the economy. In empirical applications using almost 50 years of United States data, the VAO model outperforms the random walk when used to forecast the yield curve out of sample, and the level of the yield curve as measured by the VAO model is shown to be cointegrated with CPI inflation, as predicted.

year: 2003-09

title: Regression trend lines of ridges and swales on the emergent beach at Gisborne, New Zealand

authors: Pullar, W.A.

subjects: Gisborne

abstract: The emergent sand-beach system at Gisborne consists of six recognisable groups of ridges and swales. It is about three miles wide and four miles long and rises gradually from 15ft above sea level at the coast to 40ft inland. From time to time the emergent beach has been mantled with air-borne volcanic ash including ash beds of the Waimihia Lapilli, Taupo Sub-group Members 9 - 13, Taupo Pumice, and Kaharoa Ash Formations. As the dates of these eruptions are known, the times of formation of the groups of beach ridges and wales have been determined as follows:
Group 1: c. 9000 B.C. - c. 1400 B.C.
Group 2: c. 1400 B.C. - (?) 850 B.C.
Group 3: (?) 850 B.C. - c. A.D. 131
Group 4: c. A.D. 131 - c. A.D. 1020
Group 5: c. A.D. 1020 - c. A.D. 1650
Group 6: c. A.D. 1650 - A.D. 1956
Evidence of recent earth movements has been noted in ridges and swales of Group 1, and of possible movements in those of Group 3. Changes in sea level could not be established and were taken from Wellman and Schofield. No attempt was made to distinguish directly wind-blown sand from wave-deposited sand; instead, a shell layer (assumed to be associated with the intertidal strand) was used as a marker bed to indicate the approximate sea level at the time when the shells were deposited.
Elevations of ridges and swales in each group were measured on a 15,000ft transect across the beach system. Then, overall linear and quadratic regressions as well as linear regressions for each group separately were computed. For both of the overall linear and quadratic regressions the trend lines show a fall seaward, but the separate trend lines for each group are as follows:
Group 1: Highly significant seaward decline.
Groups 2 and 3 combined: Very highly significant seaward decline.
Group 4: Highly significant seaward incline.
Groups 5 and 6 combined: No significant change.
The departure of the regression trend lines within Groups 1 to 6 from the overall linear and quadratic trend lines suggests that the trends of elevation across the emergent beach at Gisborne should be regarded more as a series of discontinuous trends rather than as one overall continuous trend of seaward decline. Though the overall trend of declining elevation is seaward, the corresponding fall in sea level is likely to be more apparent than real because of compounding of fall in sea level with earth movements.

text: Regression trend lines of ridges and swales on the emergent beach at Gisborne, New Zealand The emergent sand-beach system at Gisborne consists of six recognisable groups of ridges and swales. It is about three miles wide and four miles long and rises gradually from 15ft above sea level at the coast to 40ft inland. From time to time the emergent beach has been mantled with air-borne volcanic ash including ash beds of the Waimihia Lapilli, Taupo Sub-group Members 9 - 13, Taupo Pumice, and Kaharoa Ash Formations. As the dates of these eruptions are known, the times of formation of the groups of beach ridges and wales have been determined as follows:
Group 1: c. 9000 B.C. - c. 1400 B.C.
Group 2: c. 1400 B.C. - (?) 850 B.C.
Group 3: (?) 850 B.C. - c. A.D. 131
Group 4: c. A.D. 131 - c. A.D. 1020
Group 5: c. A.D. 1020 - c. A.D. 1650
Group 6: c. A.D. 1650 - A.D. 1956
Evidence of recent earth movements has been noted in ridges and swales of Group 1, and of possible movements in those of Group 3. Changes in sea level could not be established and were taken from Wellman and Schofield. No attempt was made to distinguish directly wind-blown sand from wave-deposited sand; instead, a shell layer (assumed to be associated with the intertidal strand) was used as a marker bed to indicate the approximate sea level at the time when the shells were deposited.
Elevations of ridges and swales in each group were measured on a 15,000ft transect across the beach system. Then, overall linear and quadratic regressions as well as linear regressions for each group separately were computed. For both of the overall linear and quadratic regressions the trend lines show a fall seaward, but the separate trend lines for each group are as follows:
Group 1: Highly significant seaward decline.
Groups 2 and 3 combined: Very highly significant seaward decline.
Group 4: Highly significant seaward incline.
Groups 5 and 6 combined: No significant change.
The departure of the regression trend lines within Groups 1 to 6 from the overall linear and quadratic trend lines suggests that the trends of elevation across the emergent beach at Gisborne should be regarded more as a series of discontinuous trends rather than as one overall continuous trend of seaward decline. Though the overall trend of declining elevation is seaward, the corresponding fall in sea level is likely to be more apparent than real because of compounding of fall in sea level with earth movements.

year: 1968

title: Māori and indigenous views on R and R: Resistance and Resilience

authors: Penehira, Mera

subjects: resilience

abstract: This article explores the development of Mäori and Indigenous frameworks of resilience, considering the impact of engaging with largely State- led notions of resilience on Mäori development. We highlight the closely linked notion of resistance, asserting the necessity of a fi rm political analysis from Indigenous researchers engaged in this discourse. One of the Indigenous criticisms of resilience theories is that by defi nition they assume an acceptance of responsibility for our position as disadvantaged individuals. That is, by examining and developing theories and models of resilience we buy into the idea that this is the way it is and we need simply to get better at bouncing back and being resilient. Resistance, however, represents an approach of collective fi ght- back, exposing the inequitable distribution of power, and actively opposing negative social, political and economic infl uences. This article represents a Mäori Indigenous political response to the resilience discourse.

text: Māori and indigenous views on R and R: Resistance and Resilience This article explores the development of Mäori and Indigenous frameworks of resilience, considering the impact of engaging with largely State- led notions of resilience on Mäori development. We highlight the closely linked notion of resistance, asserting the necessity of a fi rm political analysis from Indigenous researchers engaged in this discourse. One of the Indigenous criticisms of resilience theories is that by defi nition they assume an acceptance of responsibility for our position as disadvantaged individuals. That is, by examining and developing theories and models of resilience we buy into the idea that this is the way it is and we need simply to get better at bouncing back and being resilient. Resistance, however, represents an approach of collective fi ght- back, exposing the inequitable distribution of power, and actively opposing negative social, political and economic infl uences. This article represents a Mäori Indigenous political response to the resilience discourse.

year: 2014