Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007–09 via a time-varying parameter structural VAR model. We identify a “pure” spread shock defined as a shock that leaves the policy rate unchanged, which allows us to characterize the macroeconomic consequences of a decline in the yield spread induced by central banks’ asset purchases within an environment in which the policy rate is constrained by the effective zero lower bound. Two key findings stand out. First, compressions in the long-term yield spread exert a powerful effect on both output growth and inflation. Second, conditional on available estimates of the impact of the Federal Reserve’s and the Bank of England’s asset purchase programs on long-term yield spreads, our counterfactual simulations suggest that U.S. and U.K. unconventional monetary policy actions have averted significant risks both of deflation and of output collapses comparable to those that took place during the Great Depression.

Estimating and quantifying uncertainties on level sets using the Vorob'ev expectation and deviation with Gaussian process models

Several methods based on Kriging have recently been proposed for calculating a probability of failure involving costly-to-evaluate functions. A closely related problem is to estimate the set of inputs leading to a response exceeding a given threshold. Now, estimating such a level set—and not solely its volume—and quantifying uncertainties on it are not straightforward. Here we use notions from random set theory to obtain an estimate of the level set, together with a quantification of estimation uncertainty. We give explicit formulae in the Gaussian process set-up and provide a consistency result. We then illustrate how space-filling versus adaptive design strategies may sequentially reduce level set estimation uncertainty.

A comparison of estimated glomerular filtration rates using Cockcroft−Gault and the Chronic Kidney Disease Epidemiology Collaboration estimating equations in HIV infection

OBJECTIVES: The aim of this study was to determine whether the Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI)- or Cockcroft-Gault (CG)-based estimated glomerular filtration rates (eGFRs) performs better in the cohort setting for predicting moderate/advanced chronic kidney disease (CKD) or end-stage renal disease (ESRD). METHODS: A total of 9521 persons in the EuroSIDA study contributed 133 873 eGFRs. Poisson regression was used to model the incidence of moderate and advanced CKD (confirmed eGFR < 60 and < 30 mL/min/1.73 m(2) , respectively) or ESRD (fatal/nonfatal) using CG and CKD-EPI eGFRs. RESULTS: Of 133 873 eGFR values, the ratio of CG to CKD-EPI was ≥ 1.1 in 22 092 (16.5%) and the difference between them (CG minus CKD-EPI) was ≥ 10 mL/min/1.73 m(2) in 20 867 (15.6%). Differences between CKD-EPI and CG were much greater when CG was not standardized for body surface area (BSA). A total of 403 persons developed moderate CKD using CG [incidence 8.9/1000 person-years of follow-up (PYFU); 95% confidence interval (CI) 8.0-9.8] and 364 using CKD-EPI (incidence 7.3/1000 PYFU; 95% CI 6.5-8.0). CG-derived eGFRs were equal to CKD-EPI-derived eGFRs at predicting ESRD (n = 36) and death (n = 565), as measured by the Akaike information criterion. CG-based moderate and advanced CKDs were associated with ESRD [adjusted incidence rate ratio (aIRR) 7.17; 95% CI 2.65-19.36 and aIRR 23.46; 95% CI 8.54-64.48, respectively], as were CKD-EPI-based moderate and advanced CKDs (aIRR 12.41; 95% CI 4.74-32.51 and aIRR 12.44; 95% CI 4.83-32.03, respectively). CONCLUSIONS: Differences between eGFRs using CG adjusted for BSA or CKD-EPI were modest. In the absence of a gold standard, the two formulae predicted clinical outcomes with equal precision and can be used to estimate GFR in HIV-positive persons.

Estimating Annual CO2 Flux for Lutjewad Station Using Three Different Gap-Filling Techniques

Long-term measurements of CO2 flux can be obtained using the eddy covariance technique, but these datasets are affected by gaps which hinder the estimation of robust long-term means and annual ecosystem exchanges. We compare results obtained using three gap-fill techniques: multiple regression (MR), multiple imputation (MI), and artificial neural networks (ANNs), applied to a one-year dataset of hourly CO2 flux measurements collected in Lutjewad, over a flat agriculture area near the Wadden Sea dike in the north of the Netherlands. The dataset was separated in two subsets: a learning and a validation set. The performances of gap-filling techniques were analysed by calculating statistical criteria: coefficient of determination (R2), root mean square error (RMSE), mean absolute error (MAE), maximum absolute error (MaxAE), and mean square bias (MSB). The gap-fill accuracy is seasonally dependent, with better results in cold seasons. The highest accuracy is obtained using ANN technique which is also less sensitive to environmental/seasonal conditions. We argue that filling gaps directly on measured CO2 fluxes is more advantageous than the common method of filling gaps on calculated net ecosystem change, because ANN is an empirical method and smaller scatter is expected when gap filling is applied directly to measurements.

Estimating the patient's contribution during robot-assisted therapy

Robot-assisted therapy has become increasingly common in neurorehabilitation. Sophisticated controllers have been developed for robots to assist and cooperate with the patient. It is difficult for the patient to judge to what extent the robot contributes to the execution of a movement. Therefore, methods to comprehensively quantify the patient's contribution and provide feedback are of key importance. We developed a method comprehensively to estimate the patient's contribution by combining kinematic measures and the motor assistance applied. Inverse dynamic models of the robot and the passive human arm calculate the required torques to move the robot and the arm and build, together with the recorded motor torque, a metric (in percentage) that represents the patient's contribution to the movement. To evaluate the developed metric, 12 nondisabled subjects and 7 patients with neurological problems simulated instructed movement contributions. The results are compared with a common performance metric. The estimation shows very satisfying results for both groups, even though the arm model used was strongly simplified. Displaying this metric to patients during therapy can potentially motivate them to actively participate in the training.

Hide-and-seek in vegetation: time-to-detection is an efficient design for estimating detectability and occurrence

Ecology and conservation require reliable data on the occurrence of animals and plants. A major source of bias is imperfect detection, which, however, can be corrected for by estimation of detectability. In traditional occupancy models, this requires repeat or multi-observer surveys. Recently, time-to-detection models have been developed as a cost-effective alternative, which requires no repeat surveys and hence costs could be halved. We compared the efficiency and reliability of time-to-detection and traditional occupancy models under varying survey effort. Two observers independently searched for 17 plant species in 44100m(2) Swiss grassland quadrats and recorded the time-to-detection for each species, enabling detectability to be estimated with both time-to-detection and traditional occupancy models. In addition, we gauged the relative influence on detectability of species, observer, plant height and two measures of abundance (cover and frequency). Estimates of detectability and occupancy under both models were very similar. Rare species were more likely to be overlooked; detectability was strongly affected by abundance. As a measure of abundance, frequency outperformed cover in its predictive power. The two observers differed significantly in their detection ability. Time-to-detection models were as accurate as traditional occupancy models, but their data easier to obtain; thus they provide a cost-effective alternative to traditional occupancy models for detection-corrected estimation of occurrence.