Estimating yield curves from swap, BUBOR and FRA data

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.yield curve, interest rate swaps.

Estimating yield curves from swap, BUBOR and FRA data

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves

Interest rate expectations and macroeconomic shocks affecting the yield curve

This study briefly presents the tools the Magyar Nemzeti Bank uses to estimate and interpret the yield curve, and to analyse the underlying reasons of yield changes. The first part of the study compares the yields of government securities and those of interbank and interest rate swap markets, and examines the reasons behind their differences. The second part sums up the dynamic model that is used to describe the interaction between the yield curve and the macroeconomy. This model enables us to examine the different macroeconomic shocks which impact the development of the yield curve; from a central bank perspective it is particularly important to gauge the impact of monetary policy shocks and monetary policy measures on longterm yields.interest rate expectation, macroeconomic shock, yield curve, dynamic model, monetary policy shock.

Quo vadis, deficit? How high the tax level will be when the economic cycle reverses?

The economic recession dampened tax revenues, causing deterioration – partly temporary, partly permanent – in the general government balance. The fiscal position can be assessed realistically if we can determine the level of revenue and deficit in the medium run. In order to do this, we prepare estimates of the trends of the macroeconomic variables determining tax bases and of the elasticity between tax revenues and tax bases. Trends in macroeconomic variables can be determined in three ways. Results from the macroeconometric model are more reliable and consistent. The simple time series method (ECB) is acceptable if it relies on prior estimation – e.g. one derived from the model – of the trends of macroeconomic variables. The Multivariate Hodrick-Prescott filter method (MVHP) only requires exogenously given potential GDP, and is thus suitable for simulation and for determining the uncertainty surrounding the estimate. Our model-based results show that the deficit for 2010 would be 2.8% lower if – over the medium term – there were convergence with the potential GDP forecast by the model. From 2011 this negative cyclical component will diminish by an annual 0.4-0.5%. If potential GDP is 1% lower, from 2011 tax revenues would approach a lower medium-term tax level 0.28-0.29% faster based on the MVHP method. If potential GDP is 1% higher, convergence to a higher tax level would be 0.30-0.31% slower.cyclically adjusted budget deficit, business cycles, constrained multi variate HP filter

Oral Hygiene Facilitators and Barriers in Greek 10 Years Old Schoolchildren

Aim: The aim of this study was to determine the oral hygiene facilitators and barriers for 10 years old Greek children, via a questionnaire and clinical examination. Materials and Methods: This was a cross-sectional study of 266, 10 years old, children recruited from schools in 3 locations in Greece. Data were collected via questionnaires and clinical examination. Questionnaires referred to children\u27s oral hygiene knowledge, behavior and attitude as well as parents\u27 oral hygiene behavior and educational level. Children were clinically examined by two calibrated pediatric dentists using a WHO probe and artificial light to assess dental plaque (hygiene index-HI), gingivitis (simplified gingival index-GIs) and dental caries (DMFT-BASCD criteria). Results: Regarding oral hygiene knowledge, although 80% of the children were literate of the proper means of oral hygiene, only 58.64% brushed their teeth twice daily and 36.84% used dental floss. Children\u27s oral hygiene knowledge was positively correlated with both parental brushing frequency (ρ = 0.175, p \u3c 0.05) and educational level (ρ = -0.216, p \u3c 0.05). Toothpaste use was reported by 92.11% of the children. Regarding children\u27s attitude, 62.28% were concerned whether their teeth were clean, with girls showing greater concern than boys (p \u3c 0.001). Their reported beliefs regarding brushing avoidance were boredom (84.06%), low oral health literacy (73.91%) and forgetfulness (56.52%). Conclusion: Oral hygiene facilitators were found to be the concern about how clean were their teeth, oral health literacy of both children and parents and toothpaste appeal to children. Oral hygiene barriers were children\u27s boredom, low oral health literacy, forgetfulness and low socioeconomic level

The fickle nature of similarity change as a result of categorization

Several researchers have reported that learning a particular categorization leads to compatible changes in the similarity structure of the categorized stimuli. The purpose of this study is to examine whether different category structures may lead to greater or less corresponding similarity change. We created six category structures and examined changes in similarity within categories or between categories, as a result of categorization, in between-participant conditions. The best supported hypothesis was that the ease of learning a categorization affects change in within categories similarity, so that greater (within categories) similarity change was observed for category structures which were harder to learn

When the going gets tough the beautiful get going: aesthetic appeal facilitates task performance.

The current studies examined the effect of aesthetic appeal on performance. According to one hypothesis, appeal would lead to overall decrements or enhancements in performance [e.g. Sonderegger & Sauer, (Applied Ergonomics, 41, 403-410, 2010)]. Alternatively, appeal might influence performance only in problem situations, such as when the task is difficult [e.g. Norman, (2004)]. The predictions of these hypotheses were examined in the context of an icon search-and-localisation task. Icons were used because they are well-defined stimuli and pervasive to modern everyday life. When search was made difficult using visually complex stimuli (Experiment 1), or abstract and unfamiliar stimuli (Experiment 2), icons that were appealing were found more quickly than their unappealing counterparts. These findings show that in a low-level visual processing task, with demand characteristics related to appeal eliminated, appeal can influence performance, especially under duress

The Hungarian Quarterly Projection Model (NEM)

This document gives a detailed account of the current version of the Hungarian Quarterly Projection Model (NEM). It describes the main building blocks, presents the forecast performance of the model and, finally, it illustrates the responses to the most important shocks the Hungarian economy may face. This version of the model is used to produce the Bank’s quarterly projections, as well as to perform simulations and scenario analyses.econometric modelling, forecasting, simulation.

Observer-based sensor fault detectability: about robust positive invariance approach and residual sensitivity

© . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/This paper considers detectability of deviation of sensors from their nominal behavior for a class of linear time-invariant discrete-time systems in the presence of bounded additive uncertainties. Detectable sensor faults using interval observers are analyzed considering two distinct approaches: invariant-sets and classical fault-sensitivity method. It can be inferred from this analysis that both approaches derive distinct formulations for minimum detectable fault magnitude, though qualitatively similar. The core difference lies in the method of construction of the invariant set offline in the former method and the reachable approximation of the convergence set using forward iterative techniques in the latter. This paper also contributes in giving a formulation for minimum fault magnitudes with invariant sets using an observer-based approach. Finally, an illustrative example is used to compare both approaches.Peer ReviewedPostprint (author's final draft