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.

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.

Learning to construct our identities over the life course: a study with lesbian, gay, bisexual and transgender adults in Scotland

To date, adult educational research has had a limited focus on lesbian, gay, bisexual and transgendered (LGBT) adults and the learning processes in which they engage across the life course. Adopting a biographical and life history methodology, this study aimed to critically explore the potentially distinctive nature and impact of how, when and where LGBT adults learn to construct their identities over their lives. In-depth, semi-structured interviews, dialogue and discussion with LGBT individuals and groups provided rich narratives that reflect shifting, diverse and multiple ways of identifying and living as LGBT. Participants engage in learning in unique ways that play a significant role in the construction and expression of such identities, that in turn influence how, when and where learning happens. Framed largely by complex heteronormative forces, learning can have a negative, distortive impact that deeply troubles any balanced, positive sense of being LGBT, leading to self- censoring, alienation and in some cases, hopelessness. However, learning is also more positively experiential, critically reflective, inventive and queer in nature. This can transform how participants understand their sexual identities and the lifewide spaces in which they learn, engendering agency and resilience. Intersectional perspectives reveal learning that participants struggle with, but can reconcile the disjuncture between evolving LGBT and other myriad identities as parents, Christians, teachers, nurses, academics, activists and retirees. The study’s main contributions lie in three areas. A focus on LGBT experience can contribute to the creation of new opportunities to develop intergenerational learning processes. The study also extends the possibilities for greater criticality in older adult education theory, research and practice, based on the continued, rich learning in which participants engage post-work and in later life. Combined with this, there is scope to further explore the nature of ‘life-deep learning’ for other societal groups, brought by combined religious, moral, ideological and social learning that guides action, beliefs, values, and expression of identity. The LGBT adults in this study demonstrate engagement in distinct forms of life-deep learning to navigate social and moral opprobrium. From this they gain hope, self-respect, empathy with others, and deeper self-knowledge.