Estimating yield curves of the U.S. Treasury securities: An interpolation approach

Following the approach of interpolation, this paper proposes the multiple exponential decay model to fit yield curves for both the U.S. TIPS market and the conventional Treasury security market. Several estimation methods, including the unconstrained/constrained nonlinear minimization, quadratic programming, and the iterative linear least squares, are applied to estimate the unknown parameters according to different curve‐fitting purposes. Comparisons between the proposed model and the alternatives show that the multiple exponential decay successfully (1) adapts to a variety of shapes associated with yield curves, (2) (partially) keeps in line with the economic interpretations of Nelson–Siegel summarized by Diebold and Li ( 2006 ), and (3) dominates the competing models in curve‐fitting performance measured by mean fitted‐price errors over the sample period. In addition, the exact specification of a nonparametric interpolation model is pinned down by applying three statistical tools, which enable us to jointly take into account validity, optimality, and parsimoniousness of the proposed model.     

不同管距时玉米渗灌效果的试验研究

在运城市夹马口灌区和红旗灌区进行了1996,1997两个年度的玉米渗灌试验,研究了不同毛管间距条件下渗灌对其产量及水分生产率等的影响。结果表明,玉米渗灌毛管间距采用0.8~1.0 m较为适宜。毛管间距愈大,产量愈低;渗灌较地面灌平均减产7.23%,较旱地平均增产30.8%;玉米生长期内总耗水量地面灌最大,渗灌次之,旱地最小。渗灌可明显提高玉米水分生产率,渗灌处理水分生产率平均为1.65 kg/m3,是地面灌的1.2倍,是旱地的1.33倍;两年度渗灌较地面灌平均节水44.4%。     

Some Potential Linkages for Input-Output Analysis with Flow-of-Funds

Three major, interrelated accounting statements, at the frontiers of quantitative economic analysis, are three interrelated systems, namely: (1) National income and product accounts (NIPA), (2) The input-output tableaux, (IO), and (3) flow-of- funds accounts (FF). The third-mentioned system is somewhat less available and used in only limited areas of macroeconomic analysis. This paper is mainly concerned with use of FF accounting systems. This system shows where financial resources originate, and where they go in support of real capital formation. In this respect, interest rates and other market-based financial rates are of key importance. While much macroeconomic analysis is based on the rates that fit the yield curve, showing the interest rate structure over various maturities of debt associated with a given degree of risk. In contrast, the FF accounts throw light on the whole spectrum of interest rates, across maturities and debt qualities. For example, in analysis of the real estate market and funding of capital formation there, it is important to have a full understanding of the course of mortgage rates of different maturities and qualities. In short, it is necessary to develop a full appreciation of supply and demand forces in the mortgage market, which often is not obviously related to movements of the operative rate for monetary policy, such as very short-term inter bank rates or call money rates. This paper attempts to provide material from the flow-of-funds accounts that would make it possible to analyze the movement of relevant mortgage rates or whatever other rates are needed to understand the financing of capital formation in real estate.     

On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

坡沟系统侵蚀产沙及其耦合关系研究

利用变坡度坡沟系统模型和人工模拟降雨试验,定量研究了不同降雨强度下的坡沟系统产流产沙过程,揭示了坡面沟道侵蚀产沙耦合特征。结果表明:坡沟系统累积径流量和累积产沙量与降雨时间呈显著的幂函数关系,随着降雨时间的增大而增大。梁峁坡面来水径流量与沟坡净侵蚀量之间呈幂函数关系,梁峁坡面来水含沙量与沟坡净侵蚀量之间呈反线性相关。从水力学角度对坡沟系统单位水流功率与单宽输沙率的关系进行了分析,得出试验条件下的临界单位水流功率值为0.0043m/s,输沙率随单位水流功率的增大而增大。     

Modeling Conditional Yield Densities

Given the increasing interest in agricultural risk, many have sought improved methods to characterize conditional crop-yield densities. While most have postulated the Beta as a flexible alternative to the Normal, others have chosen nonparametric methods. Unfortunately, yield data tends not to be sufficiently abundant to invalidate many reasonable parametric models. This is problematic because conclusions from economic analyses, which require estimated conditional yield densities, tend not to be invariant to the modeling assumption. We propose a semiparametric estimator that, because of its theoretical properties and our simulation results, enables one to empirically proceed with a higher degree of confidence.     

Digital Yellow River Model

Soil erosion is one of the key concerns in land use management for the Loess Plateau of the Yellow River, where serious soil loss is the root cause of environmental and ecological degradation of the basin. In this paper, a physically-based, distributed-parameter, and continuous erosion prediction model at the river basin scale was developed with the aim of assisting in developing better land use management strategies. The framework, the major supporting techniques, and the typical erosion processes are described. The physical processes of sediment yield and transport in the Loess Plateau are divided into three sub-processes, including the runoff and sediment yield on hillslopes, gravitational erosion in gullies, and hyperconcentrated flow routing in channels. For each sub-process, a physically-based simulation model was developed and embedded into the whole model system. The model system was applied to simulate the runoff and sediment yield in several typical years in the coarse sediment source area of the Loess Plateau, and the simulated results were in reasonably good agreement with the measured values.     

基于降雨-径流试验的高寒草甸产流机制研究

对黄河源区高寒草甸产流机制进行研究,为河源区生态环境保护、水资源科学规划管理提供基础水文理论认知。基于野外降雨-径流试验,通过回归分析构建考虑坡度和覆被因子的暴雨和中小雨产流计算模式,精度良好,能够反映暴雨和中小雨2种降雨模式下高寒草甸产流的一般特征。试验结果表明,因草甸土-植体系蓄容能力较强,高寒草甸区地表产流主要发生在暴雨模式下,中小雨模式下的地表产流量一般很小。模式应用表明,草甸发生退化后,暴雨和中小雨入渗均有减少,暴雨模式下退化草甸比高覆草甸入渗减少约12%,中小雨模式下减少约3%。     

商业银行利率风险计量模型及实证分析--非平移收益曲线条件下的随机免疫策略

传统的久期理论建立在收益曲线平移等严格假设条件上，因而其在实践中的有效性大大降低了。根据Markowitz（1959）等理论可推导出：资产价格的总风险包括收益的方差和全久期向量两部分；假若商业银行采取现金中性（cash neutrality）的资产交易策略，风险计量模型可转换为线性规划问题，从而可以构建基于利率风险最小化模型的随机免疫策略。也就是说，引入随机免疫的理念来替代经典的免疫理论，通过实证分析得出：无现金交易条件下的随机免疫策略能够降低利率风险。     

某城区排涝泵站设计流量计算方法初探

采用平均排除法、最大24 h雨型洪水流量时程分配法和产流汇流法3种方法分别计算了某城区电排站的设计流量,并将3种方法的计算结果进行对比分析,选用合适电排站的设计流量,可为类似工程设计流量的确定提供参考。