Term Structure

The paper developes some new tests for structural hypotheses in the framework of a multivariate error correction model with Gaussian errors. The tests are constructed by an analysis of the likelihood function, and motivated by an empirical investigation of the PPP relation and the UIP relation for the United Kingdom. There are three types of tests discussed. First we consider the same linear restrictions on all the cointegrating relations, then we consider the hypothesis that certain relations are assumed to be cointegrating, and finally we formulate a general hypothesis that contains the previous ones. This hypothesis can be expressed by the condition that some of the cointegrating relations are subject to given linear restrictions, while others are unconstrained. *) This paper is part of a project supported by the Danish Social Science Research Council, acc. 14-5387. This paper developes some tests for structural hypotheses on the cointegrating relations in a multivariate error correction model. We consider a V AR model in levels, under the assumption of cointegration. This model is used to describe the statistical variation of the data without imposing the economically interesting relations. Instead the parameteric formulation allows us to formulate the structural economic hypotheses as statistical hypotheses concerning the cointegrating relations. This again allows for a likelihood analysis if we assume Gaussian errors, and the tests proposed are the likelihood ratio tests, see and Johansen and Juselius (1990). The empirical purpose of this paper is to investigate the international transmission effects between countries through the exchange rate, the interest rate and the price determination as assumed by the purchasing power parity and the uncovered interest rate parity relation. This has been the focus of interest in a vast number of empirically oriented

Grâce à un modèle de panel, nous avons étudié les caractéristiques de la politique de ciblage d'inflation pour un groupe de 15 pays en développement. L'estimation de données nous montre que la sensibilité de la politique monétaire vis-à-vis de l'inflation a diminué pendant la période de post-ciblage d'inflation, sans aucun effets néfaste sur la croissance économique. De plus l'incertitude s'est réduite juste après cette adoption.

The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors that drive the dynamics are linked to observable macroeconomics factors: output and inflation. The results obtained by a Kalman-filter-based maximum likelihood procedure indicate that the dynamics of the German term structure of interest rates can be sufficiently explained by expected variations in those macroeconomic factors plus an additional unobservable factor. Furthermore, we are able to extract a monetary policy reaction function within this no-arbitrage model of the term structure that closely resembles the empirical reaction functions that are based on the dynamics of the short rate only.

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix-programming languages such as GAUSS, MATLAB, Ox, or S-PLUS will often cause extra delays. For the efficient method of moments implemented to estimate stochastic volatility models, this will surely be the case; therefore, the author made a C/C++ library containing the bulk of the procedures needed in the implemention of the efficient method of moments technique for a broad range of univariate stochastic volatility models. As a side effect of the efficient method of moments, EGARCH models with a variety of non-normal distributions can be estimated with this package. Implementations have been made for the Intel Pentium platform linked under Windows and for the IBM RS/6000 platform under AIX. The library is dynamically linked to Ox under Windows and statically linked under AIX. The speed improvements are considerable compared with pure Ox code. This paper serves as a manual for this library. It describes the efficient method of moments for this specific case of stochastic volatility models, and it describes the program. Some examples are given from other work of the author. Technicalities are given in the appendices. Acknowledgments. The author thanks Peter Boswijk, Jurgen Doornik, Ruud Koning, Neil Shephard, and an anonymous referee for comments.

Using UK data for the period 1997:3 to 2005:5, this paper examines whether the expectations hypothesis is supported by recent UK data when the short-end of the term structure of interest rates is considered and whether the results of the tests of the expectations hypothesis are sensitive to the choice of data. The main results can be nicely summarized by considering …ve virtual researchers who test the expectations hypothesis using …ve di¤erent data sets for the 1997:3 to 2005:5 period for the 1 to 12-month maturity spectrum and who get quite di¤erent results. The main conclusion to be drawn from the analysis in this paper is thus that robustness check may be very important when testing the expectations hypothesis using the 1 to 12-month maturity spectrum of the term structure. Furthermore, the results suggest that the speci…c data set used in tests of the expectations hypothesis may be a candidate explanation of a rejection of the expectations hypothesis -along with the possibility that a time-varying term premium and/or a structural break are responsible for the rejection.

This article studies the information content of the term structure of interest rates of Thai government bonds. Using monthly data from July 2001 to December 2013, this article tests whether the term structure contains information about future interest rates, inflation and gross domestic product (GDP) growth. The results suggest that, despite the low liquidity of the Thai government bond market, the term structure contains considerable information about future interest rates and GDP growth.

Among various kinds of options we can found at the market, some are traded at organized exchanges and therefore are quite liquid, while others are traded only between particular parties. Whereas there is no need to look for a model to price liquid exchange traded options, since their price is generally accepted by the demand and supply, for illiquid or even exotic options new efficient models are still developed. The current market practice is to obtain the implied volatility of liquid options as based on Black-Scholes type (BS hereafter) models. Since the BS model at one time moment can be related to a large set of IVs as given by different parameters (maturity/moneyness relation) of tradable options leading to IV curve or surface. Since there is no continuum of options with various parameters, the curve / surface must be obtained by suitable smoothing and interpolation. However, it can bring an arbitrage opportunity, if noarbitrage conditions on state price density (SPD) are ignored. The focus of this paper is to study the behavior of IV and SPD for several kernel functions and with respect to different choices of bandwidth parameter h. Specifically, we show several interesting implications of the change of h on the violation of no arbitrage condition and the total area of SPD under zero.

We modify a method recently suggested by Martin Weitzman (2012) for determining a risk-adjusted social discount rate (SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach we estimate SDR for transportation infrastructure investments based on an analysis of correlations between transportation work, split on road and rail, and passenger travel and freight transport, and GDP in Sweden 1950-2011. We show that this can be estimated from two time-series following a random walk with drift, even if they are not cointegrated. Based on current estimates of the risk-free rate and the equity risk premium, we estimate the relevant SDR to be 5-6 percent, possibly somewhat lower for investment in railroads for passenger travel, and only slowly declining within the investment horizon. This is higher than the current rates used in, for instance, Sweden, Germany and the UK.

Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates implementation problems. Ritchken and Sankarasubramanian have recently identified necessary and sufficient conditions on the class of volatility structures of forward rates that enable the term structure dynamics to be captured by a finite set of state variables. The class is quite rich. The instantaneous spot rate volatility may be quite general, but the model curtails the structure of forward rate volatilities relative to this spot rate volatility. This paper provides empirical tests for this class of volatility structures. Unlike other studies, the volatility structure is examined over the a broad section of maturities in the yield curve. Using Treasury data over the period 1982-1994, we find support for this class. Furthermore, unlike other studies, n...

This research finds some empirical evidence of a rising term structure of credit risk premiums for high-grade Eurobonds and a declining term structure for low-grade Eurobonds. However, the results are discovered to vary somewhat across individual issuers. Perhaps most importantly, evidence is found that credit risk premiums on bonds with the same credit rating vary significantly across currencies. The latter finding holds true even for Eurobonds from the same issuer.

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In this paper we establish a family of models where the credit spreads of multiple firms and the term structure of interest rates at any future date can be represented, analytically, in terms of a finite number of state variables. The models make no restrictions on the correlation structure between interest rates and credit spreads. Default correlations among credit spreads of different firms are induced by allowing the intensity rates of different firms to be correlated with each other. In addition, clustering behavior of defaults is obtained by allowing default events to have both temporary and permanent effects on prices of bonds in related industries. Our multifactor models therefore allow us to explore the effects of both types of correlations in interest and credit sensitive contracts. Moreover, since the clustering behavior can be induced by risks common to all bonds in an industry, our models also allows the effects of systemic risk to be closely examined.

This paper examines the static and d ynamic accuracy of interest rate option pricing models in the U.S. dollar interest rate cap and floor markets. We evaluate alternative one-factor and two-factor term structure models of the spot and the forward interest rates on the basis of their out-of-sample predictive ability in terms of pricing and hedging performance. The one-factor models analyzed consist of two spot-rate specifications and , five forward rate specifications (within the general Heath, Jarrow and Morton (1990b) class), and one LIBOR market model (Brace, Gatarek and Musiela (1997) [BGM]). For two-factor models, two alternative forward rate specifications are implemented within the HJM framework. We conduct tests on daily data from March-December 1998, consisting of actual cap and floor prices across both strike rates and maturities. Results show that fitting the skew of the underlying interest rate distribution provides accurate pricing results within a one-factor framework. However, for hedging performance, introducing a second stochastic factor is more important than fitting the skew of the underlying distribution. Overall, the onefactor lognormal model for short term interest rates outperforms other competing models in pricing tests, while two-factor models perform significantly better than one-factor models in hedging tests. Modeling the second factor allows a better representation of the dynamic evolution of the term structure by incorporating expected twists in the yield curve. Thus, the interest rate dynamics embedded in two-factor models appears to be closer to the one driving the actual economic environment, leading to more accurate hedges. This constitutes evidence against claims in the literature that correctly specified and calibrated one-factor models could replace multi-factor models for consistent pricing and hedging of interest rate contingent claims.

We develop a model of nominal and real bond yield curves that has four stochastic drivers but seven factors: three factors primarily determine the cross-section of yields, whereas four volatility factors solely determine risk premia. The model is estimated using nominal Treasury yields, survey inflation forecasts, and inflation swap rates and has attractive empirical properties. Time-varying volatility is particularly apparent in shortterm real rates and expected inflation. Also, we detail the different economic forces that drive short-and long-term real and inflation risk premia and provide evidence that Treasury inflation-protected securities were undervalued prior to 2004 and during the recent financial crisis. (JEL G01, G12, G13) Policymakers and finance professionals often use the term structure of Treasury yields to infer expectations of inflation and real interest rates. Inflation expectations can gauge the credibility of a government's fiscal and monetary policies, whereas real rates measure the economic cost of financing investments and the tightness of monetary policy. However, Treasury yields embed time-varying risk premia that make it difficult to extract measures of expected inflation and real rates. This article presents a new methodology for decomposing Treasury yields and analyzes the determinants of the term structures of real rates, expected inflation, and inflation risk premia. The article The views expressed in this article do not necessarily represent those of the Federal Reserve Bank of Cleveland or the Federal Reserve System. For valuable comments, we thank Editor Pietro Veronesi and an anonymous referee, as well as seminar participants at the

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This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rates. We apply an event study methodology in two distinct periods: between January 2000 and August 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July 2008. The main results are: 1)

This paper assesses the effects of anticipated and unanticipated United States Federal Funds target rate changes on the domestic interest rates of a set of countries for the period from June 1989 to August 2008. The empirical evidence provided here suggests that i. unanticipated changes have a greater effect than anticipated changes; and ii. evidence from developed markets is stronger than that from developing/emerging markets.

We study the sensitivity of bank stock returns to interest rates, by extending existing tests in two important directions. We incorporate dynamic gap adjustments and extend the traditional duration gap measure to new gap measures based on the general equilibrium term structure model developed by . Interest-rate volatility and the term structure: A two-factor general equilibrium model. Journal of Finance, 47(4), 1259-1282]. Consistent with previous studies, the results indicate that banks hedge against changes in interest rate levels, when the levels are low, and speculate when the levels are high, but the volatility is low.

In this manuscript we formulate the basic postulate of the Heath-Jarrow-Merton approach and investigate the existence and uniqueness of the Heath-Jarrow-Merton model. We examine the general Heath-Jarrow-Merton setup and the Gaussian Heath-Jarrow-Merton setup respectively and also, we present some examples of the Heath-Jarrow-Merton model for the different types of the volatility structure.

This paper attempts to answer a number of questions about the relationship between movements in Australian long-term interest rates and movements in long-term interest rates abroad. In particular, it looks at the question of whether the relationship between interest rates in Australia and abroad has altered since the floating of the Australian dollar. Australia has decreased and that they are now less closely synchronised with international rates than formerly. There is no evidence that the influence of short-term interest rates on long-term interest rates has become less pronounced; if anything, it is now stronger. These are the standard sorts of results one would expect for a country that has moved from a quasi fixed exchange rate to a floating exchange rate regime. The final section examines the transmission process of monetary policy from short-term interest rates to long-term interest rates. It also looks at the influence of the growth of the Euro-Australian dollar market. Two appendices give more details on the analytical techniques that have been used to answer the main questions set out above. The first appendix is based on the interest parity condition, and the second is based on the term structure of interest rates in Australia. (ii)

Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply the proposed method to forecast Euro Zero Rates (2003-2014) using the Ordinary Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield curves is proposed. The results show that the model is characterized by good levels of predictions' accuracy and it is competitive with the other forecasting models considered.

The standard model of optimal growth, interpreted as a model of a market economy with infinitely long-lived agents, does not allow separation of the savings decisions of agents from the investment decisions of firms. Investment is essentially passive: the "one good assumption leads to a perfectly elastic investment supply; the absence of installation costs for investment leads to a perfectly elastic investment demand. On the other hand, the standard model of temporary equilibrium used in macroeconomics characterizes both the savings-consumption decision and the investment decision, or, equivalently, derives a well-behaved aggregate demand which, in equilibrium, must be equal to aggregate supply. Often, however, we want to study the movement of the temporary equilibrium over time in response to a particular shock or pciicy. The discrepancy between the treatment of investment in the two models makes iiroedding the temporary equilibrium model in the growth model difficult. This paper characterizes the dynamic behavior of the optimal growth model with adjustment costs. It shows the similarity between the temporary equilibrium of the corresponding market economy and the short-run equilibrium of standard macroeconomic models: consumption depends on wealth, investment on Tobin's q. Equilibrium is maintained by the endogenous adjustment of the term structure of interest rates. It then shows how the equivalence can be used to study the dynamic effects of policies; it considers various fiscal policies and exploits their equivalence to technological shifts in the optimal growth problem.

The paper proposes a general model for pricing of derivative securities with different maturity. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural properties of solutions are studied.

This survey provides a detailed description of some of the recent theoretical and empirical literature on rational expectations econometrics. The survey pays special attention to non–stationarity of the data, and to the various methods for evaluating rational expectations models that have been developed as alternatives to the classical statistical approach of testing overidentifying restrictions. These methods have become very popular and widely used in empirical research. We provide an illustration using Danish stock market data, and we summarize the many results obtained recently using these measures in areas as diverse as stock prices, the term structure of interest rates, exchange rates, consumption and saving, the balance of payments, tax–smoothing, hyperinflation, and linear quadratic adjustment cost models for inventories, labour demand, and money demand.

American options have long received considerable attention in the literature, with numerous publications dedicated to their pricing. Bermudan and randomized Bermudan options are broadly used to estimate their prices efficiently. Notably, the penalty method yields option prices that coincide with those of randomized Bermudan options. However, theoretical results regarding the speed of convergence of these approximations to the American option price remain scarce. In this paper, we address this gap by establishing a general result on the convergence speed of Bermudan and randomized Bermudan option prices to their American limits. We prove that for convex payoff functions, the convergence speed is linear; that is, of order 1/n, where n denotes the number of exercisable opportunities in the Bermudan case and serves as the intensity parameter of the underlying Poisson process in the randomized Bermudan case. Our framework is quite general, encompassing Lévy models, stochastic volatility models, and nearly any risk-neutral model that can be incorporated within a strong Markov framework. We extend our analysis to Canadian options, showing under mild conditions a convergence rate of 1/ √ n to their American limits. To our knowledge, this is the first study addressing the speed of convergence in Canadian option pricing.

This paper studies two types of interest rate rules that involve long-term nominal interest rates in the context of a New Keynesian model. The first type considers the possibility of adding longer-term rates to the list of variables the central bank reacts to in setting its short-term rate. The second type considers Taylor-type rules that are expressed in terms of interest rates of different maturities, which are operationally equivalent to more complex rules expressed in terms of the short-term rate. It is shown that both types of rules can give rise to a unique rational expectations equilibrium in large regions of the policy-parameter space. The normative evaluation shows that under certain preferences of the monetary authority, policy rules of the second type produce better results than the standard Taylor-type rule.

In a model where the risk premium on long-term debt is, in part, endogenously determined, we study two kinds of unconventional monetary policy: longterm nominal interest rates as operating instruments of monetary policy and announcements about the future path of the short-term rate. We find that both policies are consistent with unique equilibria, that long-term interest rate rules can perform better than conventional Taylor rules, and that, at the zero lower bound, announcements about the future path of the short-term rate can lower long-term interest rates through their impact on both expectations and the risk premium. With simulations, we show that long-term interest rate rules generate sensible dynamics both when in operation and when expected to be applied.

It is well-known that if the forcing variable of a present value (PV) model is an integrated process, then the model will give rise to a particular cointegrating restriction. In this paper we demostrate that if the PV relation is exact, such that no additive error term appears in the specification, then te variables will be multicointegrated such that the cumlation of cointegration errors at one level of cointegration will cointegrate with the forcing variable. Multicointegration thus delivers a statistical property of the data that is necessary, though not sufficient, for this class of models to be valido Estimation and inference of the model are discussed and it is shown that, provided me PV relation is exact, the discount factor of the model can be estimated with arate of convergence that is faster than the usual super-consistent rate characterising estimators in the cointegration literature. Finally, the paper is completed with two empirical analyses of PV models using term structure data and farmland data, respectively.

Timber is a natural material from matured trees that can be used for structural applications. Material properties of timber such as light weight to strength ratio, good durability, good insulation against heat and sound impact makes it suitable for use as material for constructing roofing system, pedestrian or bicycle bridges and framing of other load-bearing structures, where strength is the major factor in its selection and usage. Unfortunately, time-dependent deformation affects the strength and stiffness of timber in service. The process of creep in timber, which is affected by variables such as temperature, moisture, species type, grain direction, loading influence, and timber's natural variability causes excessive deformations and even collapse of an entire construction. This paper reviews the work presented by various researchers on creep prediction/investigation models devised for timber. From the available literature reviewed, creep prediction models were developed for small timber species that are not widely used for construction/structural applications and do not undergo large moisture fluctuations, therefore mechano-sorptive creep effects are minimal. Looking at local content, there is need to develop mathematical models that would be used to predict/investigate long term creep for Nigerian grown timber species. There is no record of an existing unified or generalized creep prediction model that could be used for estimating long term creep of all timber species, because each of the mathematical models developed contain a great variety of constants that can only be determined by rigorous and large experimental sample tests.

A model of the term structure of lease rates in a frictionless economy is developed and its predictions are compared with data on residential leases in Japan. The model shows that the initial lease rate for a cancellable lease must be set higher than that for a non-cancellable lease because the former rate will be repeatedly adjusted downward when the market rent decreases. More importantly, the term structure of lease rates is always upward-sloping for cancellable leases. Empirical findings show a sharp contrast with the theory. Fixed-term lease rates are often higher than open-ended long-term lease rates. Moreover, in the fixed-term lease sample, the term structure of lease rates is downward-sloping. The term structure is also heterogeneous by tenant's income.

In this paper we solve a two-factor convertible bonds model that ÿts the observed term structure, calibrates the volatility parameters to market data and allows for correlation between the state variables. We propose the method of characteristics together with ÿnite elements for time and space discretization. An empirical investigation into the pricing of National Grid Group's convertible issue produced prediction errors of less than 5% for 215 successive trading days.

This study relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov-switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high.

This paper makes use of an integrated benchmark modeling framework that allows us to derive a term structure for the forward contract under real world probability measure. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). In general forward prices are not martingales under the real world probability measures. To overcome this problem, we introduce the benchmarked forward measure under which we recover the martingale property for forward prices. Under the benchmarked forward measure we establish an actuarial pricing formula for contingent claims that are not necessarily independent of 1 This work is partially supported by Hassan II Academy of Sciences and Technology: Mathematics and their applications 2008-2012. 2 Y. El Qalli acknowledges financial support from ''Centre National pour la Recherche Scientifique et Technique'', CNRST, Morocco. Grant number: a3/014.

Castro e Jonas Pinho porque me viram atarefado, com uma mente dividida entre projetos e horários apertados e, a despeito de tudo isso, me confiaram a aprendizagem dos seus alunos ano após ano. Uma nota de apreço aos restantes professores e colaboradores da AME e da EPME pelo interesse revelado e pelo acompanhamento que fizeram desta caminhada. O meu mérito é também o seu mérito. À minha famíliapais, irmãos, sogros... todos! Não podendo ajudar em questões matemáticas, foram fundamentais em todas as outras e garantiram tantas vezes o equilíbrio e harmonia familiares. À Ana! Mais do que de qualquer outro, este doutoramento é também seu. Ao nosso filho Pedro; as noites em claro são apenas memórias, mas o seu sorriso e o seu amor são reais em cada dia. A Deus por me ter criado com uma mente racional que aprecia a matemática. Estes escritos são também dedicados "Àquele em quem estão escondidos os tesouros da sabedoria e da ciência". Cálculo das Variações, Controlo Ótimo, cálculo das variações generalizado, equações diferenciais de Euler-Lagrange, condições naturais de fronteira, problemas variacionais generalizados de ordem-superior, sistemas com delay, condição necessária de otimalidade de DuBois-Reymond, invariância, teoremas de Noether, leis de conservação de Noether. Consideramos vários problemas com base no problema variacional generalizado de Herglotz. Dois capítulos são dedicados à extensão do problema variacional generalizado de Herglotz para ordem superior e para problemas de primeira ordem com atraso no tempo, utilizando uma abordagem variacional. Nos últimos quatro capítulos, reescrevemos os problemas de Herglotz na forma do controlo ótimo e usamos essa abordagem. Demonstramos equações generalizadas de Euler-Lagrange de ordem superior, inicialmente sem e depois com atraso no tempo; condições de fronteira de ordem superior; o primeiro teorema de Noether para o problema de Herglotz de primeira ordem com atraso no tempo; o primeiro teorema de Noether para problemas de ordem superior de Herglotz sem e com atraso no tempo; e a existência de leis de conservação de Noether numa versão do segundo teorema de Noether do controlo ótimo.

We investigate the extent to which long-run inflation expectations are well anchored in three Western Hemisphere countries-Canada, Chile, and the United States-using a high-frequency event-study analysis. Specifically, we use daily data on far-ahead forward inflation compensation-the difference between forward rates on nominal and inflation-indexed bonds-as an indicator of financial market perceptions of inflation risk and the expected level of inflation at long horizons. For the United States, we find that far-ahead forward inflation compensation has reacted significantly to macroeconomic data releases, suggesting that long-run inflation expectations have not been completely anchored. In contrast, the Canadian inflation compensation data have exhibited significantly less sensitivity to Canadian and U.S. macroeconomic news, suggesting that inflation targeting in Canada has helped to anchor long-run inflation expectations in that country. Finally, while the requisite data for Chile are available for only a limited sample period (2002-2005), our results are consistent with the hypothesis that inflation targeting in Chile has helped anchor long-run inflation expectations in that country as well.

Malaria research and mathematical models have mainly concentrated on malaria Plasmodium at the blood stage. This has left many questions concerning models of parasite dynamics in the liver and within the mosquito. These concerns are anticipated to keep scientists busy trying to understand the biology of the parasite for some more years to come. Thorough knowledge of parasite biology helps in designing appropriate drugs targeting particular stages of Plasmodium. To achieve this, there is need to study the transmission dynamics of malaria and the interaction between the infection in the liver, blood and mosquito using a mathematical model. In this study, a within-host mathematical model is proposed and considers the dynamics of P. falciparum malaria from the liver to the blood in the human host and then to the mosquito. Several techniques, including center manifold theory and sensitivity analysis are used to understand relevant features of the model dynamics like basic reproduction number, local and global stability of the disease-free equilibrium and conditions for existence of the endemic equilibrium. Results indicate that the infection rate of merozoites, the rate of sexual reproduction in gametocytes, burst size of both hepatocytes and erythrocytes are more sensitive parameters for the onset of the disease. However, a treatment strategy using highly effective drugs against such parameters can reduce on malaria progression and control the disease. Numerical simulations show that drugs with an efficacy above 90% boost healthy cells, reduce infected cells and clear parasites in human host. Therefore more needs to be done such as research in parasite biology and using highly effective drugs for treatment of malaria.

Background. The radial artery is proposed as an alternative conduit in coronary revascularization. During the last years the transradial approach has, in many centers, emerged as the preferred technique in percutaneous diagnostic and interventional coronary procedures. This induces a trauma to the radial artery that possibly could influence its suitability as a bypass graft. In this study we assessed by ultrasound the long-term effects of transradial coronary angiography on the radial artery diameter and vasodilatory properties. Methods. Thirty patients were examined with high resolution ultrasound 10 to 14 months after a transradial coronary angiography. Radial artery baseline diameter and response to flow-mediated (FMD) and nitroglycerinmediated vasodilation (NMD) were examined in the right radial artery with the unexposed left radial artery as control. Results. Right radial artery diameter was reduced compared with the left radial artery (2.58 ؎ 0.38 vs 2.71 ؎ 0.32 mm, p < 0.01). Both FMD and NMD were preserved in the exposed artery (FMD 8.4 ؎ 8.0 vs 8.0 ؎ 6.1%, NMD 15.5 ؎ 6.8 vs 16.7 ؎ 6.6%, both ns). Due to the reduced baseline diameter, the right radial lumen diameter remained significantly smaller after vasodilatory stimuli. Large interindividual differences were demonstrated. Conclusions. The radial artery diameter is diminished one year after transradial coronary angiography while vasodilatory properties are preserved. The preserved vasodilatory capacity could favorably influence the suitability of the artery as bypass graft. However, with the long-term structural changes induced by transradial angiography, use of a catheter-exposed radial artery as a conduit in coronary artery revascularization should not be strongly recommended. With ultrasound, both structure and vasodilatory properties of a catheterizationexposed radial artery may be assessed in case the artery is considered as bypass material.

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate practice and market observations do not support this approach. The more appropriate assumption is the fractional recovery of par, which explicitly violates the strippable cash flow valuation assumption that is necessary for the conventional credit term structure definitions to hold. We formulate the survival-based valuation methodology and give alternative specifications for various credit term structures that are consistent with market observations, and show how they can be empirically estimated from the observable prices. We rederive the credit triangle relationship by considering the replication of recovery swaps. We complete the exposition by presenting a consistent measure of CDS-Bond basis and demonstrate its relation to a static hedging strategy, which remains valid for non-par bonds and non-flat term structures of interest rates and credit risk.

In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the resulting estimates are significantly more robust and remain meaningful even when applied to deeply distressed bonds. We also suggest a new definition of credit bond duration and convexity which remains consistent for distressed bonds and introduce new relative value measures for individual bonds in the context of sector or issuer credit curves, as well as for the basis between cash bonds and credit default swaps (CDS). As a simple example let us consider a distressed name with two equal seniority bonds, with 5% coupon, the first matures in 5 years whereas the second in 20 years. As the name is distressed the two bonds are quoted on price, i.e. on the estimated recovery of the name, say 40 cents on the dollar. Using the conventional z-spreads the five year bond may have a Z

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate practice and market observations do not support this approach. The more appropriate assumption is the fractional recovery of par, which explicitly violates the strippable cash flow valuation assumption that is necessary for the conventional credit term structure definitions to hold. We formulate the survival-based valuation methodology and give alternative specifications for various credit term structures that are consistent with market observations, and show how they can be empirically estimated from the observable prices. We rederive the credit triangle relationship by considering the replication of recovery swaps. We complete the exposition by presenting a consistent...

The attached paper was prepared by a team of economists in the Division of Research and Statistics headed by David Wilcox and including Douglas Elmendorf, Deborah Lindner, David Reifschneider, John Roberts, Jeremy Rudd, and Robert Tetlow. The authors explore some of the pros and cons surrounding the establishment of a quantitative price objective for monetary policy and some of the key issues that would need to be considered in setting a quantitative objective should that be deemed desirable. Doug Elmendorf and David Wilcox will summarize the findings in a briefing to the Committee at the upcoming meeting.

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specific formulas for bond prices which are well suited for empirical testing.

Die aktuelle Finanzmarktkrise und ihre strukturellen Hintergründe Täglich gibt es neue Nachrichten über Bankenzusammenbrüche und Abstürze der Börsen. Die öffentliche Empörung über gewissenlose Spekulanten, bodenlosen Leichtsinn der Banken, Versagen der Aufsichtsgremien, Korruption der Analysten, betrügerische Praktiken der Banken und Fondsgesellschaften ist groß. Von allen Seiten, allen voran von den verantwortlichen Vorständen selbst, erschallt der Ruf nach dem Staat als Retter, dem gleichen Staat, den man noch gerade eben am liebsten auf dem Müllhaufen entsorgt hätte. Der Staat sei nicht die Lösung, sondern das Problem-so hatte es Ronald Reagan gesagt, mit dem alles angefangen hatte. Nun ist er doch die einzige Lösung. Der Bankrott neoliberaler Politik und Wissenschaft könnte spektakulärer kaum sein. Was ist dazu aus soziologischer Sicht zu sagen? Was ist vor allem Neues dazu zu sagen? Eine einschlägige Quelle zum Thema ist die vor 30 Jahren erstmals erschienene Studie von Charles P. Kindleberger und Robert Aliber über "Manias, Panics, und Crashes", die vor einigen Jahren (2005) in einer neuen Auflage erschienen ist. Wer diese Studie zur Hand nimmt, wird an der gegenwärtigen Krise zunächst nichts prinzipiell Überraschendes finden. Finanzmarktblasen und nachfolgende Abstürze sind, wie die Autoren zeigen, ein normales, regelmäßig auftretendes Phänomen der kapitalistischen Entwicklung. In ihrem den Zeitraum von 1618 bis 1998 umfassenden historischen Überblick zählen sie insgesamt 38 solcher Krisen. Ungeachtet aller historischer Spezifika lässt sich in diesen Krisen ein gemeinsames Muster erkennen, das sich in vier Befunden zusammenfassen lässt: 1.) Finanzmärkte sind anBillig für externe Irritationen. Sie verarbeiten diese Irritationen aber nicht durch einen eingebauten Gleichgewichtsmechanismus, sondern durch positive oder negative Verstärkung von Ungleichgewichten. Zunächst schaukeln die Akteure sich in ihren positiven Erwartungen gegenseitig hoch-die Phase der ,mania'. Irgendwann geht es nicht mehr weiter. Dann entsteht ein Verkaufsdruck, und der gleiche Vorgang wiederholt sich in negativer Richtung. Es kommt zur Panik und zum Crash. Finanzmärkte sind also inhärent instabil 2.) Diese Tendenz zur Selbstverstärkung von Ungleichgewichten (positiv oder negativ) wird durch die Hebelwirkungen des Kredits zusätzlich forciert. 3.) Der Aufbau und die anschließende Vernichtung von Finanzvermögen durch Finanzmarktkrisen ist mit beträchtlichen Umverteilungen verbunden. Gewinner sind dabei in der Regel die professionellen Spekulanten (Insider), die rechtzeitig ein-aber auch wieder ausstei

Востров Г.М., Алао О.Р. Простий підхід до створення арбітражу в теорії ціноутворення опціонів. У статті розглянуто фінансові ринки і цінні папери, як договори, які мають особливе значення і є об'єктом купівлі-продажу. У статті запропоновано простий підхід до формування арбітражу згідно теорії ціноутворення опціонів. Ключові слова: акції, ціна, опції, арбітраж, ціни опції, біноміальної моделі Востров Г.Н., Алао О.Р. Техническая политикаоснова развития потенциала предприятия. В статье рассмотрены финансовые рынки и ценные бумаги, как договоры, которые имеют особое значение и являются объектом купли-продажи. В статье предложен простой подход к формированию арбитража согласно теории ценообразования опционов. Ключевые слова: акции, цена, опции, арбитраж, цены опции, биномиальная модель Vostrov G.M, Alao O. R. A simple approach to creating arbitrage in option pricing theory. The article discusses financial markets and securities, as agreements that are of particular importance and are the object of sale. This article proposes a simple approach to the formation of the arbitration according to the option pricing theory.