Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Studies on the synthesis of novel PP2A inhibitors and a GPCR detergent

Chapter 1 While targeting kinases in oncology research has been explored extensively, targeting protein phosphatases is currently in its infancy. However, a number of pharmaceutical companies are currently looking to expand their research efforts in this area. PP2A has been shown to down-regulate ERK5, a mitogen-activated protein kinase (MAPK) that has been shown to be important in driving the invasive phenotype of prostate cancer. Fostriecin and its related structural analogues PD 113,270 and 113,271 have been shown to inhibit a mitotic entry checkpoint in cell growth through the potent and selective inhibition of protein phosphatases PP1, PP2A, and PP4 (IC50 of 45 μM, 1.5 nM, and 3 nM respectively). Fostriecin is one of the most selective protein phosphatase inhibitors disclosed to date with a 104 fold selectivity for PP2A/PP4 versus PP1. Unfortunately, fostriecin and its analogues are very unstable, and this instability has effectively prevented them from being used as effective therapeutic leads. The microcystins and nodularins on the other hand, exhibit significant inhibitory activity against PP1 and PP2A (IC50 = 26 pM and 1.8 nM respectively), but their high toxicity has prevented any therapeutic application. Truncation of the ADDA chain from these polypeptides completely attenuates PP inhibitory activity. Simpler analogues incorporating the N-acylated ADDA chain and D-Ala retain moderate activity against PP1 and PP2A (IC50 = 1.0 μM and 0.17 μM respectively). The generation of a new series of fostriecin analogues to further expand its structure-activity relationship is envisaged with a view to creating new more stable PP2A inhibitors. It was hoped that by incorporating some of the more stable structural features of ADDA into fostriecin that stability and activity could be reconciled. With that in mind a series of PP2A inhibitors were synthesised and biologically evaluated. Chapter 2 GPCRs are an important area of research and are the targets of a quarter of the drugs on the market (2005). As a result, GPCRs continue to be at the forefront of research in both small and large drug companies. However one of the difficulties in studying this diverse class of membrane proteins is their tendency to denature in aqueous solution. As a result there is a pressing need to develop new detergents to solubilise, stabilise and crystallise GPCRs in their native form for further study. Cholesterol analogues have been shown to be important for stabilising membrane proteins and preventing their thermal inactivation. In addition the β2-adrenergic receptor, a GPCR membrane protein, has been crystallised in the active state with two cholesterol molecules bound between the I, II, III and IV helices of the protein. This appears to represent a distinct cholesterol binding pocket on the membrane protein that is speculated to be conserved across up to 44% of the rhodopsin class of GPCRs. CHOBIMALT is a cholesterol-based detergent that has been shown to exhibit promising GPCR-stabilising properties. When benchmarked against other cholesterol based detergents it was found to be superior to all others tested except for cholesteryl hemisuccinate.1 CHOBIMALT has an aggregation number of roughly 200 and forms 210 ± 30 kDa micelles, which are significantly larger than those of most detergents used for biological systems which is likely due to the packing constraints associated with CHOBMALT’s large polar headgroup.2 As a result, CHOBIMALT is used mostly as an additive to other commercially available detergents in order to decrease micelle size. A branched dimaltoside motif is common in recently synthesised detergents by Chae and co-workers. These detergents have shown promising detergent properties, for example the maltose neopentyl glycol (MNG) detergent synthesised by Chae. This branched dimaltoside detergent was shown to be able to solubilise and stabilise the very labile light harvesting complex I (LHI) from Rhodopsin capsulatus in its active form for 20 days with little loss of protein conformation.3 A cholesterol-based detergent was envisaged that combines the cholesterol framework of CHOBIMALT but replaces its linear tetrasaccharide with a branched dimaltoside. This detergent would then be investigated to assess its ability to solubilise, stabilise and crystallise GPCR proteins. This cholesterol-based detergent (shown below) was eventually synthesised in 9 linear steps from cholesterol.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Effects of modality, urgency and situation on responses to multimodal warnings for drivers

Signifying road-related events with warnings can be highly beneficial, especially when imminent attention is needed. This thesis describes how modality, urgency and situation can influence driver responses to multimodal displays used as warnings. These displays utilise all combinations of audio, visual and tactile modalities, reflecting different urgency levels. In this way, a new rich set of cues is designed, conveying information multimodally, to enhance reactions during driving, which is a highly visual task. The importance of the signified events to driving is reflected in the warnings, and safety-critical or non-critical situations are communicated through the cues. Novel warning designs are considered, using both abstract displays, with no semantic association to the signified event, and language-based ones, using speech. These two cue designs are compared, to discover their strengths and weaknesses as car alerts. The situations in which the new cues are delivered are varied, by simulating both critical and non-critical events and both manual and autonomous car scenarios. A novel set of guidelines for using multimodal driver displays is finally provided, considering the modalities utilised, the urgency signified, and the situation simulated.