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This paper studies the influence of salience on nominal and real yield curves by introducing the salience effect in the Piazzesi and Schneider model (hereafter PS). We construct the salience values based on the expected consumption growth using U.S. data. We find that salience values are negatively correlated with the expected consumption growth rates. Based on U.S. data from 1960q1 to 2020q4, we find that the salience model can generate upward nominal and real yield curves within reasonable risk aversion coefficients (less than 10), as well as well-fitted average yields with actual data. The salience model compensates for the PS or recursive preference model’s inability to generate an upward nominal or real yield curve within reasonable risk aversion. Furthermore, we provide empirical support for model implications. [ABSTRACT FROM AUTHOR]

The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, i.e., underestimate the worst case value, and that the exact worst case value can be found by solving a tractable convex optimization problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a constraint, using convex–concave saddle point optimization. [ABSTRACT FROM AUTHOR]

We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quantify the effect of co-jumps on their correlation structure. Empirical findings reveal much stronger co-jumping behavior of the U.S. yield curves in comparison to the European one. Further, we connect co-jumping behavior to the monetary policy announcements, and study effect of 103 FOMC and 119 ECB announcements on the identified co-jumps during the period from January 2007 to December 2017. [ABSTRACT FROM AUTHOR]

Copyright of European Journal of Applied Economics is the property of Singidunum University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The aim of this paper is to decide whether or not term premiums appear and thus are predictable in Central European countries in the data sample of forward rate agreement interest rates and corresponding spot interest rates. Term premiums theoretically are explained thanks to the applications of the efficient market hypothesis theory, the expectations theory, and the liquidity preferences theory. Empirically, we used cointegration techniques for nonstationary time series, mainly using the cointegration method (simple and even for panel data) and the vector error correction model. We used data samples of Central European countries (the Czech Republic, Hungary, Poland) and also of the United Kingdom. We found that the best future estimate of term premiums is its current value. It does not refer in the same way to the market efficiency hypothesis (EMH) or theexpectations hypothesis (EH). [ABSTRACT FROM AUTHOR]

This paper obtains the term structure technique to produce yield curves from Nigerian Eurobond by using the De Rezende parametric function. There does not seem to exist any empirical proof that Nigeria has constructed a functional model to construct its discount function from the yield curves. Therefore, the De Rezende parsimoniously parametric function is deeply examined to make this framework applicable in presenting yield curves for Nigerian Euro bond constructed through the associated positive forward curve and from where the discount function is generated. The forward rate should be continuous and at the same time generate a positive yield curve trajectory. The objective of this paper is (i) construct the yield curve trajectories and (ii) to construct the discount function from the yield curve (iii) to construct the in-sample prediction to achieve results in predicting coefficients for longer maturities. The data presented involves the daily closing of the Nigerian Eurobond yield covering January to December 2022, which is fitted to the observed Nigerian Eurobond yield curve to construct the yield function. The ordinary least square is applied to estimate the parameters used in computing the in-sample yield. A test of goodness of fit was conducted showing that the model fits in well to the observed data demonstrated by the model's high R-square adjusted through the predicted yields after obtaining the decay factors. [ABSTRACT FROM AUTHOR]

This paper argues that the null or weak response of emerging market currencies to domestic monetary policy documented in the literature is the result of wide event windows. An event study with intraday data for Mexico shows that an unanticipated tightening appreciates the currency and flattens the yield curve, consistent with the evidence for advanced economies. With daily event windows, however, only the yield curve responds to monetary policy. Noise in daily exchange rate returns explains the lack of response of the currency. Such noise gives rise to a bias that declines after controlling for potential omitted variables. [ABSTRACT FROM AUTHOR]

Functional data are frequently accompanied by a parametric template that describes the typical shapes of the functions. However, these parametric templates can incur significant bias, which undermines both utility and interpretability. To correct for model misspecification, we augment the parametric template with an infinite-dimensional nonparametric functional basis. The nonparametric basis functions are learned from the data and constrained to be orthogonal to the parametric template, which preserves distinctness between the parametric and nonparametric terms. This distinctness is essential to prevent functional confounding, which otherwise induces severe bias for the parametric terms. The nonparametric factors are regularized with an ordered spike-and-slab prior that provides consistent rank selection and satisfies several appealing theoretical properties. The versatility of the proposed approach is illustrated through applications to synthetic data, human motor control data, and dynamic yield curve data. Relative to parametric and semiparametric alternatives, the proposed semiparametric functional factor model eliminates bias, reduces excessive posterior and predictive uncertainty, and provides reliable inference on the effective number of nonparametric terms—all with minimal additional computational costs. [ABSTRACT FROM AUTHOR]

Although China's monetary and financial system differs drastically from its Western counterpart, empirical studies covering this vast economy have often been simple reestimations or recalibrations of models originally designed to describe US or European monetary policy. In this paper, we aim to assess Chinese monetary policy and, in particular, monetary policy transmission through yield curves into the real economy. Our study takes into account the peculiarities of the Chinese economy: Namely, our model includes both China's modern attempts at a market-based monetary policy as well as the "authority-based" one that is a relic of the original banking system. Besides, it considers the special nature of the Chinese treasury bond market, which is separated into two independent ones with very limited direct arbitrage opportunities between almost identical assets. Finally, it incorporates the role of real estate, which played an essential role in China during the last decade. Our results show that different monetary policy shocks cause asymmetric effects on macroeconomic and financial variables. [ABSTRACT FROM AUTHOR]

The paper examines whether certain macrofinancial indicators can be used for early detection of recessions. Analysing a sample of small open economies from Central and Eastern European Union, we first identify the most important indicators used for early detection of recessions, and then test the validity of the selection by using the signal method and multivariate probit regressions. Our results imply that the most effective predictors of upcoming recessions are the slope of the yield curve, current account balance to GDP ratio, real estate price index, self-financing ratio of commercial banks, nominal effective exchange rate, global exports and LIBOR rate. Using the Mann-Whitney U Test, we also find that foreign indicators emit earlier signals of incoming recessions in analysed countries than domestic ones. This type of research is important because of the various stakeholders that base their decisions on the signals provided by these indicators. Primarily, these are various government agencies that participate in monetary and fiscal policy making. Early warning of an impending recession allows economic policy makers to take corrective action to avoid a recession or to significantly mitigate its effects, while unreliable indicators may lead to adoption of unnecessary measures with adverse effects on the economy. [ABSTRACT FROM AUTHOR]

The literature on using yield curves to forecast recessions customarily uses 10-year-3-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be improved by letting a machine learning algorithm identify the best maturity pair and coefficients. Our comprehensive analysis shows that, despite the likelihood gain, the machine learning approach does not significantly improve prediction, owing to the estimation error. This is robust to the forecasting horizon, control variable, sample period, and oversampling of the recession observations. Our finding supports the use of the 10-year-3-month spread. [ABSTRACT FROM AUTHOR]

A monthly frequency metropolitan business cycle downturn likelihood equation is estimated for Ciudad Juarez. The binary index of economic conditions is based upon monthly IMMEX export oriented manufacturing employment. A dynamic probit methodology is used for parameter estimation. Continuous explanatory variables include a 1-year minus 1-month Mexico interest rate spread, a 2015 = 100 weighted real exchange rate index, and a 10-year minus 3-month USA interest rate spread. Parameter estimation results confirm the various hypotheses examined. However, model simulation outcomes are less favorable with the results indicating that accurate forecasting of the post-2010 business cycles may require additional refinement to the index. [ABSTRACT FROM AUTHOR]

This paper uses the connectedness approach to understand yield curve dynamics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short- and long-end are both net receivers of shocks. Medium-term expectations about the Brazilian economy therefore play a key role in yield curve dynamics in Brazil. [ABSTRACT FROM AUTHOR]

Most viscous‐plastic sea ice models use the elliptical yield curve. This yield curve has a fundamental flaw: it excludes acute angles between deformation features at high resolution. Conceptually, the teardrop (TD) and parabolic lens (PL) yield curves offer an attractive alternative. These yield curves feature a non‐symmetrical shape, a Coulombic behavior for the low‐medium compressive stress, and a continuous transition to the ridging‐dominant mode, but their published formulation leads to negative or zero bulk and shear viscosities and, consequently, poor numerical convergence with stress states at times outside the yield curve. These issues are a consequence of the original assumption that the constitutive equations of the commonly used elliptical yield curve are also applicable to non‐symmetrical yield curves and yield curves with tensile strength. We derive a corrected formulation for the constitutive relations of the TD and PL yield curves. Results from simple uni‐axial loading experiments show that with the new formulation the numerical convergence of the solver improves and much smaller nonlinear residuals after a smaller number of total solver iterations can be reached, resulting in significant improvements in numerical efficiency and representation of the stress and deformation fields. The TD and PL yield curves lead to smaller angles of failure that better agree with observations. They are promising candidates to replace the elliptical yield curve in high‐resolution pan‐Arctic sea ice simulations. Plain Language Summary: Sea ice is a complicated dynamical system. It consists of many individual floes that interact in many ways. A sea‐ice model must contain many simplifying assumptions, sacrificing some observed properties. It is common to treat sea ice as an unusual fluid that behaves like an ideal plastic material and deforms permanently under high external loading (e.g., strong winds). The law that describes how the material yields to high loading contains a yield curve. This curve is usually an ellipse, a mathematically simple and acceptable approximation to the real yield curve. However, this yield curve cannot reproduce the orientation of conjugate failure lines when sea ice breaks. This paper discusses alternative yield curve shapes, the teardrop and parabolic lens yield curves, to reflect the sea ice's granular nature more accurately. We present improved constitutive equations that solve three issues in the original formulation that led to poor numerical and nonphysical behavior. Simple numerical experiments show that the improved formulation leads to a reduction of the computing time and large improvements in the representation of stresses and deformation within the sea‐ice model. The new formulation creates pairs of failure lines with smaller and more realistic angles than with the elliptical yield curve. Key Points: The constitutive equation of the elliptical yield curve is not applicable to yield curves such as the teardrop (TD) or parabolic lens (PL)We present new constitutive equations for the TD and PL that solve this problem and improve numerical convergenceThe TD and PL yield curves lead to failure angles that better agree with observations [ABSTRACT FROM AUTHOR]

This paper investigates whether Brazilian Central Bank communication helps to forecast the yield curve. Our forecast strategy involves two steps: First, we analyze textual Central Bank documents to extract sentiment variables that describe its communication, and then, we include those sentiment variables as additional factors into the dynamic Nelson–Siegel term structure model. We found that sentiment variables contain predictive information for yield curve forecasting. Specifically, when combined with macroeconomic variables, the sentiment variables improve the accuracy of the forecast for short maturities and forecast horizons. In addition, sentiment variables are useful in forecasting for medium and long forecast horizons for all maturities. Besides finding a new source of information to forecast the yield curve, the results indicate that the information provided by Central Bank affects market participants, proving to be a useful tool for monetary policy. [ABSTRACT FROM AUTHOR]

The $1 billion open‐market operation conducted by the Federal Reserve, at the height of the Great Depression, was a successful precedent to the recent Quantitative Easing (QE) programs. The 1932 program entailed large purchases of medium‐ and long‐term securities over a 4‐month period. An event study analysis indicates that the program dramatically lowered medium‐ and long‐term Treasury yields. A segmented markets model is used to analyze the effects of the open‐market purchases on the economy. A significant degree of financial market segmentation is estimated, and partly explains the observed upturn in output growth. Had the Federal Reserve continued its operations and used the announcement strategy used in QE1, the Great Contraction could have been attenuated earlier. Our historical analysis suggests that the Federal Reserve in 2008 had a good predecessor to its actions. [ABSTRACT FROM AUTHOR]

Copyright of Uluslararasi Ekonomi ve Yenilik Dergisi is the property of Karadeniz Technical University, Depertmant of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

When the BOJ (Bank of Japan) adopted a "quantitative and qualitative easing policy," zero bound restriction existed. The notion of market practitioners that the BOJ would not adopt a "negative interest rate policy" caused less volatility in the TB (Treasury Bill) market in comparison with a regime of a "negative interest rate policy." After the BOJ decided to adopt a "negative interest rate policy," zero bound restriction was lifted, and market practitioners expected that the policy rate decided by the BOJ might be lowered. This expectation gave room for TB yields to fluctuate more than before, and caused more volatility in the TB market under the regime of a "negative interest rate policy" than under one of a "quantitative and qualitative easing policy." This is why the TB yield curve under a "negative interest rate policy" is driven by a single common trend with mutual causalities in all maturities. In other words, the normal transmission function of the TB yield curve is recovered by the introduction of a "negative interest rate policy." [ABSTRACT FROM AUTHOR]

Abstract Most viscous‐plastic sea ice models use the elliptical yield curve. This yield curve has a fundamental flaw: it excludes acute angles between deformation features at high resolution. Conceptually, the teardrop (TD) and parabolic lens (PL) yield curves offer an attractive alternative. These yield curves feature a non‐symmetrical shape, a Coulombic behavior for the low‐medium compressive stress, and a continuous transition to the ridging‐dominant mode, but their published formulation leads to negative or zero bulk and shear viscosities and, consequently, poor numerical convergence with stress states at times outside the yield curve. These issues are a consequence of the original assumption that the constitutive equations of the commonly used elliptical yield curve are also applicable to non‐symmetrical yield curves and yield curves with tensile strength. We derive a corrected formulation for the constitutive relations of the TD and PL yield curves. Results from simple uni‐axial loading experiments show that with the new formulation the numerical convergence of the solver improves and much smaller nonlinear residuals after a smaller number of total solver iterations can be reached, resulting in significant improvements in numerical efficiency and representation of the stress and deformation fields. The TD and PL yield curves lead to smaller angles of failure that better agree with observations. They are promising candidates to replace the elliptical yield curve in high‐resolution pan‐Arctic sea ice simulations.

This study examines the effectiveness of various specifications of the dynamic Nelson–Siegel term structure model in analyzing the term structure of Brazilian interbank deposits. A key contribution of our research is the incorporation of regime changes and other time-varying parameters in the model, both when relying solely on observed yields and when incorporating macroeconomic variables. By allowing parameters in the latent factors to adapt to changes in persistence patterns and the overall shape of the yield curve, these mechanisms enhance the model's flexibility. To evaluate the performance of the models, we conducted assessments based on their in-sample fit and out-of-sample forecast accuracy. Our estimation approach involved Bayesian procedures utilizing Markov Chain Monte Carlo techniques. The results highlight that models incorporating macro factors and greater flexibility demonstrated superior in-sample fit compared to other models. However, when it came to out-of-sample forecasts, the performance of the models was influenced by the forecast horizon and maturity. Models incorporating regime switching exhibited better performance overall. Notably, for long maturities with a one-month ahead forecast horizon, the model incorporating regime changes in both the latent and macro factors emerged as the top performer. On the other hand, for a twelve-month horizon, the model incorporating regime switching solely in the macro factors demonstrated superior performance across most maturities. These findings have significant implications for the development of trading and hedging strategies in interest rate derivative instruments, particularly in emerging markets that are more prone to regime changes and structural breaks. [ABSTRACT FROM AUTHOR]

In this paper, we analyze the shapes of forward curves and yield curves that can be attained in the two-factor Vasicek model. We show how to partition the state space of the model, such that each partition is associated to a particular shape (normal, inverse, humped, etc.). The partitions and the corresponding shapes are determined by the winding number of a single curve with possible singularities and self-intersections, which can be constructed as the envelope of a family of lines. Building on these results, we classify possible transitions between term structure shapes, give results on attainability of shapes conditional on the level of the short rate, and propose a simple method to determine the relative frequency of different shapes of the forward curve and the yield curve. [ABSTRACT FROM AUTHOR]

Geopolitical risks and shocks such as military conflicts, terrorist attacks, and war tensions are known to cause significant economic downturns. The main purpose of this paper is to determine the dynamics between Australian sovereign bond yields and geopolitical risk. This is achieved by employing a quantile regression analysis. The findings of this study indicate that the impact of geopolitical risk on Australian sovereign yield dynamics is asymmetrical. Furthermore, an increase in geopolitical risk only impacts short-term yields at extreme regimes. However, the impact is, by and large, insignificant. On the other hand, an increase in geopolitical risk does have a statistically significant positive impact on medium- and long-term yields across most quantiles. Lastly, an increase in geopolitical risk tends to result in a steeper yield curve at the belly of the curve but causes the yield curve to flatten at the long end. This study is the first study that holistically examines the dynamics between geopolitical risk and Australian sovereign bond yields. The study thereby contributes to the body of knowledge on Australian bond yields, specifically, and adds to the sparse body of knowledge on the dynamics between geopolitical risk and sovereign bond yields. The findings of this study have implications for monetary policy makers, given that shifts in sovereign bond yields could impact all three core mandates of the Australian Reserve Bank. Furthermore, changes in the slope of the yieldcurve could be used by monetary policy makers to pre-empt changes in future economic growth. The results of this study also relate to fiscal policy formulation, given that yields directly impact the cost of government borrowing. Lastly, portfolio managers could benefit from the results of this study, as these results provide information on the ability of Australian sovereign bonds to hedge against geopolitical risk. [ABSTRACT FROM AUTHOR]

We apply the interest rate model of Chen, Hsieh, and Huang (CHH), the CHH model, to explore the implied volatility (IV) term structure's predictive power for bond excess returns. The CHH model has two advantages over existing models: (1) it delivers the IV of the interest rate, rather than the volatility of the swap rate on which the conventional swaption pricing model is built, and (2) the CHH model systematically summarizes 100 swaption prices into a volatility term structure with 10 succinct IVs. By exploiting these advantages, we demonstrate the IV term structure's predictive power and its connection to economic conditions. [ABSTRACT FROM AUTHOR]

Does monetary policy react systematically to macroeconomic innovations in emerging and low-income countries? And do such systematic responses vary across monetary policy regimes? In a sample of 16 countries – operating under various monetary regimes – we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations in almost all countries. The speed and strength of reactions are not identical across all countries, however, but reflect the monetary policy regime. While we find evidence of the primacy of the price stability objective in inflation-targeting countries, the links to inflation and the output gap are generally weaker and less systematic in money-targeting and multiple-objective countries. [ABSTRACT FROM AUTHOR]

In a financially globalized world, managing long-term interest rates through short-term interest rates can be difficult. In this paper, we examine whether net capital inflows contribute to weakening the link between short- and long-term interest rates. We find that more financially open economies or those with more developed financial markets tend to have a greater negative relationship between net capital inflows and short- to long-term interest rate pass-through. We also examine whether macroprudential policies can affect the extent of interest rate pass-through and find that broad-based capital macroprudential tools are effective in retaining control of interest rate pass-through. [ABSTRACT FROM AUTHOR]

Yield curve modelling is an essential task for the governance of the modern economy and in particular for financial market participants, and hence it is an extensively researched topic. This paper presents yield curve modelling using the Nelson-Siegel approach for Poland, which was recently recognised as a developed country. Yield curve studies available for Poland are quite scarce and were conducted when Poland was still classified as a developing country. Therefore, it is worthwhile to examine the yield curve construction after three decades of economic transition. This study offers a model which, with certain assumptions, derives zero-coupon yield curves from the market prices of Treasury bonds. The simplifying assumptions reduce model development time, while delivering yield curves of higher accuracy than those commercially available.

Abstract—In press forging, axisymmetric parts made of aluminum alloys make up a fairly large part of the entire range of products manufactured by metal forming methods, including torsional upsetting [1]. The preparation of production of axisymmetric products is accelerated using computer simulation, the accuracy of which is ensured by the accuracy of a mathematical model developed for the strain resistance of the material to be deformed. This work is devoted to the preparation of data on the yield curves of aluminum alloys of the Al–Mg–AMg2 and AMg6 systems. Full-scale and virtual experiments are used to obtain the yield stress over a wide temperature–rate range of deformation of these mentioned alloys. [ABSTRACT FROM AUTHOR]

This paper decomposes South African sovereign yields into expectations of future average short-term rates and a term premium. We estimate that the term premium in South African sovereign bonds is lower than after the onset of the COVID pandemic, but still meaningfully higher than its historical average. We also show that the steepening of South Africa's curve over recent years can be explained by an increase in the term premium. [ABSTRACT FROM AUTHOR]

This paper proposes a novel state-space approach to explain stock market dynamics driven by different types of trading, which leads to a new promising scheme for proactive risk management in financial investment. Particularly, it is assumed that the current price changes are formulated through daily trading by multiple types of traders, each of whom follows a specific investment strategy based on technical indicators and a fuzzy logic using past data of stock prices, volumes and yield curves. Moreover, the current price changes are represented by a linear combination of those multiple trading types, where the coefficients corresponding with the size of impact on the price changes are regarded as time-varying state variables to be sequentially estimated under a state-space framework. Thereby, this work develops a new factor decomposition method on price changes from a perspective of different traders' demand and supply to analyze the current situations and potential risks in financial markets. In empirical experiments, it is shown that the implementation of particle filtering algorithm makes it possible to replicate market price changes. Further, new signals based on the estimated states are developed, which are applied to proactive risk management in financial investment. Especially, it has been found that the demands of yield curve-based traders subtracting those of trendfollowers could be a promising signal of stock market crashes, which has successfully enhanced simple buy-and-hold strategy of SP, as well as constant proportion strategies. [ABSTRACT FROM AUTHOR]

This study analyses the relationship between sovereign yield factors and exchange rate changes. A new method is proposed to extract proxy relative yield factors from the yield curves of two countries. As previous studies showed (e.g. Chen and Tsang 2013; Wellmann and Trück 2018), the relative yield curve factors play an important role in explaining the variation in the foreign exchange rates. Especially, the proxy relative level and slope factors have explanatory power for exchange rate changes, especially for the JPY/USD pair. [ABSTRACT FROM AUTHOR]

This article develops a set of inferential methods for functional factor models that have been extensively used in modelling yield curves. Our setting accommodates both temporal dependence and heteroskedasticity. First, we introduce an estimation approach based on minimizing the least‐squares loss function and establish the consistency and asymptotic normality of the estimators. Second, we propose a goodness‐of‐fit test that allows us to determine whether a specific model fits the data. We derive the asymptotic distribution of the test statistics, and this leads to a significance test. A simulation study establishes the good finite‐sample performance of our inferential methods. An application to US and UK yield curves demonstrates the generality of our framework, which can accommodate both sparsely and densely observed yield curves. [ABSTRACT FROM AUTHOR]

High energy γ -ray plays an important role in the study of the nuclear industry and nuclear physics. (p , γ) resonant reaction is a classic way to produce quasi-monochromatic γ -ray. The determination of (p , γ) yield is an important prerequisite for using this γ -ray source to carry out subsequent work. In this work, the 7 Li (p , γ) 8 Be resonant reaction at E p = 441 keV is utilized to produce 17.6 MeV γ -ray using the 2 × 1.7 MV tandem accelerator at CIAE. The full yield curve is measured for the first time. The maximum thick-target-yield of 17.6 MeV γ -ray is determined to be (3.2 ± 0.2) × 10 − 9 γ /p. This would lead to the γ -ray intensity of 2 × 10 8 /s when using 10 mA proton beam which has been typically available to date. This intensity is comparable to the one from the laser-Compton scattering facilities in operation. Thus can be used for study of photonuclear reactions. • The angular distribution of 17.6 MeV γ -ray from 7 Li (p , γ) 8 Be resonant reaction at E p = 441 keV has been measured. The divergence between those previous experiments is clarified. • The full yield curve of 17.6 MeV γ -ray from 7 Li (p , γ) 8 Be resonant reaction at E p = 441 keV is measured for the first time. The maximum thick-target-yield is determined to be (3.2 ± 0.2) × 10 − 9 γ /p. This would lead to the γ -ray intensity of 2 × 10 8 /s when the proton beam is 10 mA. • The γ -ray intensity of 17.6 MeV from 7 Li (p , γ) 8 Be resonant reaction γ -source at E p = 441 keV is comparable to the beam intensity provided by a state-of-the-art LCS facilities in operation. Thus can be used for study of photonuclear reactions in some cases. [ABSTRACT FROM AUTHOR]

We develop an agent-based model (ABM) of a financial market with multiple assets belonging either to the fixed income or equity asset classes. The aim is to reproduce the main stylized facts of fixed income markets with regards to the emerging dynamics of the yield curves. Our ABM is rooted in the market model of Kaizoji et al. (J Econ Behav Organ 112:289–310, 2015) formulated with two types of traders: the rational and risk-averse fundamentalist investors and the noise traders who invest under the influence of social imitation and price momentum. The investors involved in the present market model diversify their investments between a preferred stock equivalent to a perpetual bond and multiple bonds of selected maturities. Among those, a zero-coupon bond provides a constant rate of return, while the prices of the coupon-paying bonds are determined at each time step by the equilibrium between the investors' demands and supplies. As a result, the ABM creates an evolving yield curve determined by the aggregate impact of the traders' investments. In agreement with real markets, it also produces transient turbulent periods in the prices' time series as well as a humped term structure of volatility. We compare the dynamics arising from different processes governing the risk-free rate with those of the historical US Treasury market. Introducing Vasicek's model of interest rates to both synthetic and empirical rates demonstrates the capacity of our ABM in reproducing the main characteristics of the surface of autocorrelation of the volatilities of the yields to maturity of the US Treasury bonds for the selected time-frame. [ABSTRACT FROM AUTHOR]

In this paper we use intraday government bond futures price changes around German and Italian Treasury auctions to identify unexpected shifts in the demand for public debt. Estimates show that positive demand shocks lead to large negative movements in Treasury yields. Evidence shows significant spillover effects into Treasury bond, equity, and corporate bond markets of other eurozone countries. We find interesting differences in the effects of demand shocks between the two countries, consistent with the "safe‐haven" status of German bonds versus the "high‐debt" status of Italian Treasuries. Results suggest that these effects are stronger during periods of high financial stress. [ABSTRACT FROM AUTHOR]

In this paper, we explore the predictive ability of the slope of the sovereign (government) yield curve for the Indian market. Instead of simply showing the predictive power of the yield curve, an attempt has been made to compare the predictive power of the yield curve slope with an estimated composite index of lead indicators (CILI) constructed with potential high frequency lead indicators. The non-agricultural GDP (NAGDP) is used as the reference series. It is observed that the slope of the yield curve is a better predictor of the turning points of the reference series compared to the CILI constructed.

Copyright of Strategy & Development Review is the property of Strategy & Development Review and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)