A developmental network city? Double embeddedness in New York

This article develops the concept of the “developmental network city” (DNC) to link the literatures on neo-developmental states and urban economic innovation. Applying the developmental network state (DNS) model to the case of New York City, it shows how the American DNS contributed to the rise of a New York DNC, which features localised discovery and governance. Most important here was that New York’s developmental agencies created a knowledge economy alternative to the “global financial centre” path by selectively adapting DNS ideas and resources to fit the city’s landscape of applied innovation.

Forecasting Term Structure of Interest Rates in Japan

In this paper, we examined and compared the forecast performances of the dynamic Nelson–Siegel (DNS), dynamic Nelson–Siegel–Svensson (DNSS), and arbitrage-free Nelson–Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting. In U.S. bond markets, AFNS is shown to be superior to DNS in the U.S. However, for Japanese data, there is no evidence that the AFNS is superior to the DNS model in the long forecast horizon.

Arbitrage-Free Nelson-Siegel

This chapter discusses a new class of affine arbitrage-free models that overcome the problems with empirical implementation of the canonical affine arbitrage-free model. This new class is based on the dynamic Nelson–Siegel model (DNS) and retains its empirical tractability. Thus, from one perspective, the chapter takes the theoretically rigorous but empirically problematic affine arbitrage-free model and makes it empirically tractable by incorporating DNS elements. From an alternative perspective, it takes the DNS model and makes it theoretically more satisfactory. DNS is simple and stable to estimate, and it is quite flexible and fits both the cross section and time series of yields remarkably well. However, DNS fails on an important theoretical dimension: It does not impose the restrictions necessary to eliminate opportunities for riskless arbitrage. The lack of freedom from arbitrage motivated Diebold et al. (2005) and Christensen et al. (2011) to introduce the class of arbitrage-free Nelson–Siegel (AFNS) yield curve models, which are affine arbitrage-free term structure models that nevertheless maintain the DNS factor-loading structure.