The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach

We develop a fine representation of the term structure of interest rates in Indonesia and create a link between the yield curve and macroeconomic fundamentals. We construct a state-space representation of the yield curve as a function of three time-varying parameters: level, slope, and curvature factors. The model is then expanded to include three macroeconomic variables: real activity, inflation, and interest rates. We find that the dynamic latent factor model provides a very good fit to characterise the Indonesian yield curve in terms of the statistical properties for each maturity, and in terms of the properties of three latent yield-curve factors. With regards to the relationship to the macroeconomy, we find that there is a large amount of idiosyncratic variation in the yield curve movements. Therefore, macroeconomic variables can only explain small dynamics in the yield curve.     

基于价值创新的江苏省民办高职院校发展战略研究

本文试图探索江苏省内民办高职院校如何借鉴运用价值创新战略以面对生源困境,不断改进提升其顾客价值。     

Could the Faustmann model have an interior minimum solution?

The growth of an even-aged stand usually follows a S-shaped pattern, implying that the growth function is convex when stand age is low and concave when stand age is high. Given such a growth function, the Faustmann model could in theory have multiple optima and hence an interior local minimum solution. To ensure that the rotation age at which the first derivative of the land expectation value equals zero is a maximum, it is often assumed that the growth function is concave in stand age. Yet there is no convincing argument for excluding the possibility of conducting the final harvest before the growth function changes to concave. We argue that under normal circumstances the Faustmann model does not have any interior minimum. It is neither necessary nor proper to assume that the growth function is concave in the vicinity of the optimal rotation age. When the interest rate is high, the optimal rotation may lie in the interval on which the growth function is convex, i.e. before volume or value growth culminates.     

The expected real yield and inflation components of the nominal yield curve

The term structure of real yields and expected inflation are two unobserved components of the nominal yield curve. The primary objectives of this study are to decompose nominal yields into their expected real yield and inflation components and to examine their behaviour using state-space and regime-switching frameworks. The dynamic yield-curve models capture three well-known latent factors – level, slope, and curvature – that accurately aggregate the information for the nominal yields and the expected real and inflation components for all maturities. The nominal yield curve is found to increase slightly with a slope of about 120 basis points, while the real yield curve slopes upward by about 20 basis points, and the expected inflation curve is virtually flat at slightly above 2 per cent. The regime-switching estimations reveal that the nominal yield, real yield and expected inflation curves have shifted down significantly since 1999.     

Open Market Operation Effectiveness in China

This paper examines the effectiveness of target rate guidance in open market operation by the central bank in China (PBOC). We find that target rate change in open market operation is effective in adjusting the short-term Treasury rates. The target rate changing direction is more effective than the target rate changing level. There is no significant asymmetry in the effectiveness between the target rate increase and target rate decrease. We also document that the effectiveness of the target rate is conditional on liquidity operation of the same direction, especially when they both aim to loosen the monetary policy. Furthermore, consecutive operations with higher intensity appear to be more effective in adjusting the market interest rate.     

Impact of contracts in high yielding varieties seed production on profits and yield: The case of Nepal

Nepal’s population continues to grow, but the agricultural sector’s performance remains almost stagnant. This has led to a decline in the per capita availability of food. Increasing agricultural productivity is the key to agricultural growth, and one strategy for increasing agricultural productivity is to use improved seeds. This study investigates the impact of contract farming (CF) in high yielding varieties (HYV) of paddy seed production on costs, yield, and profits of smallholder farms in Nepal. Using farm-level data and a non-parametric propensity score matching estimator, the study finds a significant positive impact of contract HYV seed farming on revenues, profits, and yield, and a significant negative impact on total costs of production. Additionally, very small farms (⩽0.43 ha) with CF in HYV paddy seeds tend to gain the most when it comes to yield per hectare. Our estimates reveal that the average smallholder household in Nepal engaged in CF with input conditions receives higher profits. However, farmers engaged in CF with output conditions tend to have higher yields but smaller profits. Finally, farmers engaged in CF in HYV paddy seeds with both input and output conditions have the highest yield gains and significantly higher profits.     

The puzzle of greenhouse gas footprints of oil abundance

The present inquiry lays a groundwork for the analysis of the net greenhouse gas (GHG) footprint of oil in the oil-abundant settings. To address the research question, the study puts forward a three-sector decision model, which provides a common ground for the assessment of the interaction of the structuralist and institutional factors influencing environmental pollution in the oil-reliant economies. The study shows that fossil-fuel abundance triggers forces, which induce diametrically opposed effects concerning atmospheric pollution. These are the rising carbon-intensive oil extraction and processing and fossil-fueled power generation versus shrinkage of the carbon-intensive manufacturing and growth of the low-carbon tertiarization. The theoretical analysis enables compartmentalization of the essential factors, which determine GHG emissions in the respective countries. To assess the significance of the proposed theoretical framework, the study employs multivariate panel co-integration techniques and two-stage fixed effects estimations for a dataset of 38 oil-producing countries for the time period between 1960 and 2018. In contrast to the existing literature, this study drives apart from the black box approaches that employ just one omnibus variable, per capita income.     

Assessing the historical role of credit: Business cycles,financial crises and the legacy of Charles S. Peirce

This paper provides a historical overview of financial crises and their origins. The objective is to discuss a few of the modern statistical methods that can be used to evaluate predictors of these rare events. The problem involves the prediction of binary events, and therefore fits modern statistical learning, signal processing theory, and classification methods. The discussion also emphasizes the need for statistics and computational techniques to be supplemented with economics. The success of a forecast in this environment hinges on the economic consequences of the actions taken as a result of the forecast, rather than on typical statistical metrics of prediction accuracy.     

Seven Fallacies Concerning Milton Friedman's “The Role of Monetary Policy”

This paper analyzes Milton Friedman's (1968a) article “The Role of Monetary Policy,” via a discussion of seven fallacies concerning the article. These fallacies are as follows: (i) “The Role of Monetary Policy” was Friedman's first public statement of the natural rate hypothesis. (ii) The Friedman–Phelps Phillips curve was already present in Samuelson and Solow's (1960) analysis. (iii) Friedman's specification of the Phillips curve was based on perfect competition and no nominal rigidities. (iv) Friedman's (1968a) account of monetary policy in the Great Depression contradicted the Monetary History’s version. (v) Friedman (1968a) stated that a monetary expansion will keep the unemployment rate and the real interest rate below their natural rates for two decades. (vi) The zero lower bound on nominal interest rates invalidates the natural rate hypothesis. (vii) Friedman's (1968a) treatment of an interest-rate peg was refuted by the rational expectations revolution. The discussion lays out the reasons why each of these seven items is a fallacy and infers key aspects of the framework underlying Friedman's (1968a) analysis.     

Assessing Variability of Complex Descriptive Statistics in Monte Carlo Studies Using Resampling Methods

Good statistical practice dictates that summaries in Monte Carlo studies should always be accompanied by standard errors. Those standard errors are easy to provide for summaries that are sample means over the replications of the Monte Carlo output: for example, bias estimates, power estimates for tests and mean squared error estimates. But often more complex summaries are of interest: medians (often displayed in boxplots), sample variances, ratios of sample variances and non‐normality measures such as skewness and kurtosis. In principle, standard errors for most of these latter summaries may be derived from the Delta Method, but that extra step is often a barrier for standard errors to be provided. Here, we highlight the simplicity of using the jackknife and bootstrap to compute these standard errors, even when the summaries are somewhat complicated. © 2014 The Authors. International Statistical Review © 2014 International Statistical Institute