An Affine Macro-Factor Model of the UK Yield Curve

Author(s):  
Peter M. Lildholdt ◽  
Nikolaos Panigirtzoglou ◽  
Chris Peacock
Keyword(s):  
2011 ◽  
Vol 16 (3) ◽  
pp. 837-866 ◽  
Author(s):  
Michael A. S. Joyce ◽  
Iryna Kaminska ◽  
Peter Lildholdt
Keyword(s):  
The Real ◽  

Econometrics ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 40
Author(s):  
Eric Hillebrand ◽  
Huiyu Huang ◽  
Tae-Hwy Lee ◽  
Canlin Li

In forecasting a variable (forecast target) using many predictors, a factor model with principal components (PC) is often used. When the predictors are the yield curve (a set of many yields), the Nelson–Siegel (NS) factor model is used in place of the PC factors. These PC or NS factors are combining information (CI) in the predictors (yields). However, these CI factors are not “supervised” for a specific forecast target in that they are constructed by using only the predictors but not using a particular forecast target. In order to “supervise” factors for a forecast target, we follow Chan et al. (1999) and Stock and Watson (2004) to compute PC or NS factors of many forecasts (not of the predictors), with each of the many forecasts being computed using one predictor at a time. These PC or NS factors of forecasts are combining forecasts (CF). The CF factors are supervised for a specific forecast target. We demonstrate the advantage of the supervised CF factor models over the unsupervised CI factor models via simple numerical examples and Monte Carlo simulation. In out-of-sample forecasting of monthly US output growth and inflation, it is found that the CF factor models outperform the CI factor models especially at longer forecast horizons.


2014 ◽  
Vol 205 (3) ◽  
pp. 221-229 ◽  
Author(s):  
Keri K. Wong ◽  
Daniel Freeman ◽  
Claire Hughes

BackgroundResearch on paranoia in adults suggests a spectrum of severity, but this dimensional approach has yet to be applied to children or to groups from different countries.AimsTo investigate the structure, prevalence and correlates of mistrust in children living in the UK and Hong Kong.MethodChildren aged 8–14 years from the UK (n = 1086) and Hong Kong (n = 1412) completed a newly developed mistrust questionnaire as well as standard questionnaire measures of anxiety, self-esteem, aggression and callous–unemotional traits.ResultsConfirmatory factor analysis of the UK data supported a three-factor model – mistrust at home, mistrust at school and general mistrust – with a clear positive skew in the data: just 3.4%, 8.5% and 4.1% of the children endorsed at least half of the mistrust items for home, school and general subscales respectively. These findings were replicated in Hong Kong. Moreover, compared with their peers, ‘mistrustful’ children (in both countries) reported elevated rates of anxiety, low self-esteem, aggression and callous–unemotional traits.ConclusionsMistrust may exist as a quantitative trait in children, which, as in adults, is associated with elevated risks of internalising and externalising problems.


2017 ◽  
Vol 34 (4) ◽  
pp. 485-505 ◽  
Author(s):  
Sowmya Subramaniam ◽  
Krishna P. Prasanna

Purpose The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of a country’s yield curve movements in a state-space framework using the Kalman filter. The global and regional factors of the yield curve were extracted using the dynamic factor model. Further, the Bayesian inference of Gibbs sampling approach was used to identify the influence of global and regional factors on the domestic yield curve. Findings The results suggest that financial integration does not reduce the control of monetary authorities on the front end of the yield curve, and long-term interest rate is the potential transmission channel through which the contagion of the financial crisis spreads. Practical implications The results of this study would help the monetary authorities to understand the efficacy of the monetary policy transmission mechanism. It also offers the global investors diversification opportunities for investing in the Asian bond markets. Originality/value It is one of the earliest attempts to capture the global and regional yield curve movements and their impact on the emerging Asian economies yield curve. It contributes to literature by identifying the linkages in the long-term factor that is the potential channel through which crisis spreads.


2016 ◽  
Vol 48 (8) ◽  
pp. 400-408 ◽  
Author(s):  
Tony Manning ◽  
Bob Robertson

Purpose The first part of this paper pointed out that theory and research on followership is less extensive and less well known than that on leadership. It then described a three factor model of leadership and suggested it could be applied to and was consistent with other work on followership. The second part of the paper presented empirical evidence supporting the three factor model of leadership and justifying its extension and application to the full range of team roles, including follower and co-worker roles, as well as leader roles. This part of the paper looks specifically at follower roles and followership. Research findings are used to develop and describe a three factor model of follower behaviour. The paper aims to discuss these issues. Design/methodology/approach A mixed group of managers, mainly from the UK public sector, completed a variety of self-assessment questionnaires, had 360 degree assessments completed on them, and provided information on their work role and situation. Research looked at the degree of correlation between variables and its statistical significance. This was used to assess the internal reliability and external validity of three factor measures of leader behaviours and team role behaviours. Information on contextual variables was used to measure leader and follower situations and develop leader-follower scales that were used to identify behaviours used by followers. In total, 360 degree assessments were also used to identify behaviours that are most and least valued when used by followers. Findings The findings presented in the second part of this paper provided empirical support for the three factor model of leadership and its extension to the full range of team roles. The findings presented in this part of the paper identify behaviours used by individuals in follower roles and behaviours valued when used by individuals in such roles. By combining these two sets of findings, it was possible to produce a three factor model of effective follower behaviour, with each metacategory consisting of five behaviour sets and each set made up of four specific behaviours. Research limitations/implications Effective organisations need effective followers and effective leaders. Moreover, the skills of the effective leader develop out of and build on those of the effective follower. Effective leaders and followers use essentially the same skills but use them in different situations, playing different roles. The research was carried out on a diverse sample of managers, drawn mainly from the UK public sector. However, it would be useful to extend the research to other populations. Practical implications The findings provide evidence-based descriptions of effective follower behaviours. These have practical implications for leaders and for followers, as well those involved in their training and development. They establish the content of developmental activities for effective followers and indicate how the training and development of followers underpins that of leaders. Social implications The findings challenge the widely held pre-occupation with leadership and the associated view that it is qualitatively different from and superior to leadership. In so doing, the three factor model of followership offers a challenge to the cult of leadership. Originality/value This is the first published research to present empirical evidence supporting the three factor model of followership. In the research process, scales were developed to assess leader and follower roles and used to identify behaviours used by followers. They were also used in further research identifying behaviours most and least valued when used by followers. The instruments and the associated research were original.


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