Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?

The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on term structure and the possible feedback effect on the real sector using the Japanese experience of ZIRP. The analysis indicates that it is the entire term structure that transmits the policy shocks to the real economy rather than the yield spread only. The monetary policy signals pass through the yield curve level and slope factors to stimulate the economic activity. The curvature factor, besides reflecting the cyclical fluctuations of the economy, acts as a leading indicator for future inflation. In addition, policy influence tends to be low as the short end becomes segmented toward medium/long-term of the yield curve. Furthermore, volatility in bond markets is found to be asymmetrically affected by positive and negative shocks and long end tends to be less sensitive to stochastic shocks than the short maturities. The expectation hypothesis of the term structure does not hold during the ZIRP period.     

“What If” analysis: Benefits of utilizing a “What If” analysis in excel

The “What If” analysis is applicablein research and heuristic situations that utilize statistical significance testing. One utility for the “What If” is in a pedagogical perspective; the “What If” analysis provides professors an interactive tool that visually represents examples of what statistical significance testing entails and the variables that affect the commonly misinterpreted p_CALCULATED value. In order to develop a strong understanding of what affects the p_CALCULATED value, the students tangibly manipulate data within the Excel sheet to create a visualize representation that explicitly demonstrates how variables affect the p_CALCULATED value. The second utility is primarily applicable to researchers. “What If” analysis contributes to research in two ways: (1) a “What If” analysis can be run a priori to estimate the sample size a researcher may wish to use for his study; and (2) a “What If” analysis can be run a posteriori to aid in the interpretation of results. If used, the “What If” analysis provides researchers with another utility that enables them to conduct high-quality research and disseminate their results in an accurate manner.     

Data envelopment analysis in the presence of measurement error: case study from the National Database of Nursing Quality Indicators® (NDNQI®)

Data envelopment analysis (DEA) is the most commonly used approach for evaluating healthcare efficiency [B. Hollingsworth, The measurement of efficiency and productivity of health care delivery. Health Economics 17(10) (2008), pp. 1107–1128], but a long-standing concern is that DEA assumes that data are measured without error. This is quite unlikely, and DEA and other efficiency analysis techniques may yield biased efficiency estimates if it is not realized [B.J. Gajewski, R. Lee, M. Bott, U. Piamjariyakul, and R.L. Taunton, On estimating the distribution of data envelopment analysis efficiency scores: an application to nursing homes’ care planning process. Journal of Applied Statistics 36(9) (2009), pp. 933–944; J. Ruggiero, Data envelopment analysis with stochastic data. Journal of the Operational Research Society 55 (2004), pp. 1008–1012]. We propose to address measurement error systematically using a Bayesian method (Bayesian DEA). We will apply Bayesian DEA to data from the National Database of Nursing Quality Indicators^® to estimate nursing units’ efficiency. Several external reliability studies inform the posterior distribution of the measurement error on the DEA variables. We will discuss the case of generalizing the approach to situations where an external reliability study is not feasible.     

Discussion of “The power of monitoring: how to make the most of a contaminated multivariate sample”

We contribute to the discussion of an article where Andrea Cerioli, Marco Riani, Anthony Atkinson and Aldo Corbellini review the advantages of analyzing multivariate data by monitoring how the estimated model parameters change as the estimation parameters vary. The focus is on robust methods and their sensitivity to the nominal efficiency and breakdown point. In congratulating with the authors for the clear and stimulating exposition, we contribute to its discussion with an overview of what we experienced in applying the monitoring in our application domain.     

The Missing Model: A “Circle of Gifts”

Abstract

In spite of the search for electronic publishing models, there is apparently already early, energetic scholarly publishing on the networks. Without a great deal of adjustment and even without formal academic recognition, the Net's accessibility and excitement have provided academic "incentives." With thoughtful development, it could provide a highly effective and competitive path to delivering scholarly knowledge. Indeed, there is currently so much momentum that it is difficult to imagine a failure to proceed, short of a deliberate and concerted attempt by universities and scholars to suppress the "thousand flowers" blooming on the scholarly networks, a choice not to support and subsidize academic publishing on the Net.

An effective scholar-based publishing system must recognize and support the widely divers forms of communication necessary for research and scholarship. It should not discriminate against nonlucrative projects or disciplines. It complements the paper-based scholarly efforts of university presses and of academic libraries, which are already beginning to provide networked access and archiving for university-generated scholarship. It creates a linked structure of scholars, societies, and academic institutions. It aims to fulfill another vital objective: retaining for the academy some ownership of its authored intellectual property.

The Missing Model, fledgling and fuzzy, is alive and well and living on the Net. To thrive, the academy needs to thoughtfully nurture it. The Circle of Gifts concept formally entwines the scholarly community, research institutions, scholars, and learned societies in the age-old and time-honored enterprise in which ideas are shared, affordably, by the creators of the ideas.     

Comments on “The power of monitoring: how to make the most of a contaminated multivariate sample”

These are comments on the invited paper “The power of monitoring: How to make the most of a contaminated multivariate sample” by Andrea Cerioli, Marco Riani, Anthony Atkinson and Aldo Corbellini.     

The type I distribution of the ratio of independent “Weibullized” generalized beta-prime variables

In this paper we introduce the distribution of , with c >  0, where X _i , i =  1, 2, are independent generalized beta-prime-distributed random variables, and establish a closed form expression of its density. This distribution has as its limiting case the generalized beta type I distribution recently introduced by Nadarajah and Kotz (2004). Due to the presence of several parameters the density can take a wide variety of shapes.      

Good item or bad—can latent class analysis tell?: the utility of latent class analysis for the evaluation of survey questions

Summary.  Latent class analysis has been used to model measurement error, to identify flawed survey questions and to estimate mode effects. Using data from a survey of University of Maryland alumni together with alumni records, we evaluate this technique to determine its usefulness for detecting bad questions in the survey context. Two sets of latent class analysis models are applied in this evaluation: latent class models with three indicators and latent class models with two indicators under different assumptions about prevalence and error rates. Our results indicated that the latent class analysis approach produced good qualitative results for the latent class models—the item that the model deemed the worst was the worst according to the true scores. However, the approach yielded weaker quantitative estimates of the error rates for a given item.     

The shape of the hazard function: Does the generalized gamma have the last word?

This paper compares the five-parameter beta generalized gamma (BGG) distribution to the three-parameter generalized gamma (GG). Both distributions include the four standard hazard shapes that we believe is an important property for any parametric family. For several BGG distributions, we select matching GGs and compute the Kullback-Liebler distance, observing remarkable agreement. We explore the beta parameters' influence on the matched GG parameters, detecting a strong connection between the distributions. Lastly, we compare the distributions using two real-data examples. We conclude from these comparisons that the BGG is not likely to be more useful for analytical purposes than the simpler GG.