The Normal Class of Arbitrage-Free Spot-Rate Models - Implication and Implementation

Author(s):  
Claus Anderskov Madsen
Keyword(s):  
2015 ◽  
Author(s):  
Haitham A. Al-Zoubi ◽  
Avanidhar Subrahmanyam
Keyword(s):  

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nelson H. Barbosa-Filho

Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.


2021 ◽  
Vol 118 (47) ◽  
pp. e2107543118
Author(s):  
Xiang Li ◽  
Jun Zhang ◽  
Jiyue Huang ◽  
Jing Xu ◽  
Zhiyu Chen ◽  
...  

During meiosis, crossovers (COs) are typically required to ensure faithful chromosomal segregation. Despite the requirement for at least one CO between each pair of chromosomes, closely spaced double COs are usually underrepresented due to a phenomenon called CO interference. Like Mus musculus and Saccharomyces cerevisiae, Arabidopsis thaliana has both interference-sensitive (Class I) and interference-insensitive (Class II) COs. However, the underlying mechanism controlling CO distribution remains largely elusive. Both AtMUS81 and AtFANCD2 promote the formation of Class II CO. Using both AtHEI10 and AtMLH1 immunostaining, two markers of Class I COs, we show that AtFANCD2 but not AtMUS81 is required for normal Class I CO distribution among chromosomes. Depleting AtFANCD2 leads to a CO distribution pattern that is intermediate between that of wild-type and a Poisson distribution. Moreover, in Atfancm, Atfigl1, and Atrmi1 mutants where increased Class II CO frequency has been reported previously, we observe Class I CO distribution patterns that are strikingly similar to Atfancd2. Surprisingly, we found that AtFANCD2 plays opposite roles in regulating CO frequency in Atfancm compared with either in Atfigl1 or Atrmi1. Together, these results reveal that although AtFANCD2, AtFANCM, AtFIGL1, and AtRMI1 regulate Class II CO frequency by distinct mechanisms, they have similar roles in controlling the distribution of Class I COs among chromosomes.


2018 ◽  
Vol 3 (1) ◽  
pp. 247-255
Author(s):  
Garth A Gatson ◽  
Patrick J Gunn ◽  
W Darrell Busby ◽  
Bryon R Wiegand ◽  
Brian L Vander Ley ◽  
...  

Abstract Our objective was to determine the effects of dry and wet conditions during the preweaning on subsequent feedlot performance and carcass characteristics of beef cattle. Steers (n = 7,432) and heifers (n = 2,361) finished in 16 feedlots in southwestern Iowa through the Tri-County Steer Carcass Futurity Cooperative were used for a retrospective analysis. Cattle originated in the Midwest (Iowa, Missouri, Indiana, Illinois, and Minnesota) and were born in February, March, or April of 2002 through 2013. Feedlot performance and carcass composition data were obtained for each animal. Palmer Drought Severity Index (PDSI) values were obtained for each animal’s preweaning environment on a monthly basis. Mean PDSI values were used to classify conditions as dry (≤−2.0), normal (>−2.0 and <2.0), or wet (≥2.0) for the cool (April and May), warm (June through August), and combined (April through August) forage growing seasons preweaning. Mixed models were used to evaluate the effects of PDSI class on subsequent performance. Calf sex, date of birth (as day of year), year, and feedlot were also included as fixed effects. When considering PDSI class during the cool season, cattle from normal and wet classes had a greater feedlot delivery BW (P < 0.0001) than dry. Dry and normal classes had greater (P ≤ 0.02) delivery BW than wet during the warm and combined seasons, however. For the cool season, average daily gain was greater (P < 0.0001) for the dry class than normal and wet. Cattle from the normal class for the cool season had greater (P = 0.001) final BW than wet, but the wet class had the greatest (P < 0.04) and dry class had the lowest (P < 0.01) final BW during the warm season. During the cool season, HCW was greater (P < 0.007) for the normal than wet class, although HCW was greater (P ≤ 0.02) for wet compared with dry and normal during the warm season. Calculated yield grade was lower (P ≤ 0.006) for the normal class during the cool season compared with dry and wet. For both the warm and combined seasons, the dry class had lower (P ≤ 0.004) calculated yield grade compared with normal and wet. Carcasses from cattle that experienced normal or wet warm seasons had greater (P ≤ 0.0005) marbling scores than dry, and normal had greater (P = 0.0009) marbling score than dry for the combined seasons. In conclusion, these data indicate that both dry and wet conditions during the preweaning phase may impact ultimate feedlot performance and carcass composition.


2014 ◽  
Vol 22 (3) ◽  
pp. 495-530
Author(s):  
Ki Beom Binh ◽  
Seokjin Woo ◽  
Sang Min Lee

This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S. and Euro-zone, the interests in sovereign default risk have risen. Interests in CDS, an OTC credit derivative contract based on debt issuer’s default risk, also have increased. A large number of presses have reported that CDS premium would be the best international market indicator for the default risk taken or transferred. However, internationally the CDS market liquidity has not been sufficient enough to validate its properties. Hence, based on empirics, this paper discusses whether Korean sovereign CDS premium can be considered as an appropriate indicator of sovereign credit risk in the Korean economy. Other largely accepted indices which contain the similar information about Korean economic fundamental and Korean external sovereign credit risk are also analyzed and compared: the spread of Korean government debt, Won-Dollar Currency Swap Rate, and Won-Dollar FX rate. Our findings include: (a) in the price discovery process, Won-Dollar spot rate contributes to the price discovery especially most ‘during the financial crisis period’ and the ‘entire period’ (b) Within the period ‘after the financial crisis’, CDS premium and the other indices have mutual influences on the price discovery process higher than the period ‘before the financial crisis’ (c) while Won-Dollar forward rate shows the similar result with Won-Dollar spot rate, NDF rate and CDS premium make the largest mutual influence on price discovery in the period ‘before the financial crisis.’


1981 ◽  
Vol 5 (3) ◽  
pp. 425-437 ◽  
Author(s):  
Tamir Agmon ◽  
Yakov Amihud
Keyword(s):  

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