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.

Clydebank in the inter-war years: a study in economic and social change

The main theme of this thesis is the social, economic and political response of a single community to economic dislocation in the interwar years. The community under consideration is Clydebank., The thesis is divided into several parts. Part I establishes the development of the burgh and considers the physical framework of the community, mainly in the years before 1919. The town's characteristics are examined in terms of population structure and development between the world wars. In the last part of this section there is a review of the economic structure of the burgh and changes occurring in it between 1919 and 1939. In Part II consideration is given to the actual extent and form of the unemployment affecting Clydebank at this time, and comparison is made with other communities and geographic/economic areas. Attention is then focussed more narrowly on the actual individuals suffering unemployment in the burgh during the 1930s, in an attempt to personalise the experience of the unemployed. Part III reviews central and local government responses to the situation in which Clydebank found itself oetween 1919 and 1939. Central government policies discussed include unemployment insurance, public works, the Special Areas legislation, assistance in the construction of the 534 "Queen Mary" and the direction of financial support to areas of particular need. Amongst local authority actions described are additional local support for the poor, public works, efforts to attract new industry to the town, attempts to deal with the housing problem which was particularly acute at times of high unemployment and measures to maintain health standards in the community. In Part IV the responses of the community to unemployment and government policies are detailed. The burgh's commercial sector is surveyed as are developments in leisure provision, religion, temperance and crime, and local politics. A number of individual responses are also given consideration such as migration, commuting, changes in birth and marriage rates and suicide.

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.

Regional variation and change in the history of English strong verbs

This thesis investigates how the strong verb system inherited from Old English evolved in the regional dialects of Middle English (ca. 1100-1500). Old English texts preserve a relatively complex system of strong verbs, in which traditionally seven different ablaut classes are distinguished. This system becomes seriously disrupted from the Late Old English and Early Middle English periods onwards. As a result, many strong verbs die out, or have their ablaut patterns affected by sound change and morphological analogy, or transfer to the weak conjugation. In my thesis, I study the beginnings of two of these developments in two strong verb classes to find out what the evidence from Middle English regional dialects can tell us about their origins and diffusion. Chapter 2 concentrates on the strong-to-weak shift in Class III verbs, and investigates to what extent strong, mixed and weak past tense and participle forms vary in Middle English dialects, and whether the variation is more pronounced in the paradigms of specific verbs or sub-classes. Chapter 3 analyses the regional distribution of ablaut levelling in strong Class IV verbs throughout the Middle English period. The Class III and IV data for the Early Middle English period are drawn from A Linguistic Atlas of Early Middle English, and the data for the Late Middle English period from a sub-corpus of files from The Penn-Helsinki Parsed Corpus of Middle English and The Middle English Grammar Corpus. Furthermore, The English Dialect Dictionary and Grammar are consulted as an additional reference point to find out to what extent the Middle English developments are reflected in Late Modern English dialects. Finally, referring to modern insights into language variation and change and linguistic interference, Chapter 4 discusses to what extent intra- and extra-linguistc factors, such as token and type frequency, stem structure and language contact, might correlate with the strong-to-weak shift and ablaut levelling in Class III and IV verbs in the Middle English period. The thesis is accompanied by six appendices that contain further information about my distinction of Middle English dialect areas (Appendix A), historical Class III and IV verbs (B and C) and the text samples and linguistic data from the Middle English text corpora (D, E and F).