Yield curve modeling and forecasting Diebold, Francis X; Diebold, Francis X; Rudebusch, Glenn D
2013., 20130115, 2013, 2012-12-26, 20130101
eBook
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, ...structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed.
Based on the Econometric and Tinbergen Institutes Lectures,Yield Curve Modeling and Forecastingcontains essential tools with enhanced utility for academics, central banks, governments, and industry.
Advances in additive manufacturing (AM) have drawn considerable interest due to its ability to produce geometrically complex structure, such as lattice materials. In this work, a novel methodology is ...proposed to design graded lattice structure through topology optimization under stress constraint, in order to generate lightweight lattice structure design with predictable yield performance. Instead of using the power law of material interpolation in the SIMP method, asymptotic homogenization method is employed to compute the effective elastic properties of lattice material in terms of design variable, i.e. relative density. For yield strength, a multiscale failure model is proposed to capture yield strength of microstructure with macroscopic stress. At macroscale, a modified Hill’s yield criterion is employed to describe anisotropic yield strength of lattice material. The material constants in Hill’s model are assumed to be a function of relative density, and thus a model is built up to formulate yield strength of lattice structure with macroscopic stress. The experimental verification on the printed samples demonstrates that both the homogenized elastic model and yield model can accurately describe the elasticity and plasticity of the lattice structure. Based on the proposed material interpolation for lattice structure, a lattice structure topology optimization framework is proposed for minimizing total weight of the structure under stress constraint. The sensitivity analysis is performed for the implementation of the optimization algorithm. Two three-dimensionally numerical examples are performed to demonstrate the effectiveness of the proposed optimization method, as well as accuracy of the proposed homogenization technique for graded lattice structure design. Experiment is conducted to systematically examine yielding of the optimally graded lattice structure design and compare its performance with a uniform structure. It is found that the proposed optimization framework is valid for the design examples examined and can significantly enhance mechanical performance of the structure (i.e. yield loading, stiffness, energy absorption, etc.)
Yield strength and yield-point (YP) phenomenon are regarded as crucial properties to be assured in practical applications such as line-pipe forming. In this work, the impacts of microstructural ...constituents on YP and yield ratio were explored in four API X65 line-pipe steel plates fabricated by altering the start or finish rolling temperature and plate thickness. The four steel plates were predominantly made up of granular bainite (GB) and polygonal ferrite (PF), along with the greater volume proportion of PF in the case of the lower start and finish rolling temperatures and the thicker plate thickness. According to the skin-pass rolling to reduce the YP elongation, the increased amount of mobile dislocations was greater in the PF than in the GB, indicating that the PF was more responsible for the YP alleviation than the GB because the more mobile dislocations were formed in the PF than in the GB. Thus, the decreasing rate of YP elongation was faster for the thicker plate and the low start or finish rolling temperature. On the other hand, the lower yield ratio was preferred for the thicker plates as they exhibited the shorter YP elongation and the higher strain-hardening rate, thereby leading to the rapid enhancement of yield strength in the YP range and consequently to the continuous increase in yield ratio. Thus, this work would be favorably utilized for designing optimal microstructural and TMCP parameters for securing the yield-strength guarantee in line-pipe steels.
Global grain production has increased dramatically during the past 50
years, mainly as a consequence of intensified land management and introduction of new technologies. For the future, a strong ...increase in grain demand is expected, which may be fulfilled by further agricultural intensification rather than expansion of agricultural area. Little is known, however, about the global potential for intensification and its constraints. In the presented study, we analyze to what extent the available spatially explicit global biophysical and land management-related data are able to explain the yield gap of global grain production. We combined an econometric approach with spatial analysis to explore the maximum attainable yield, yield gap, and efficiencies of wheat, maize, and rice production. Results show that the actual grain yield in some regions is already approximating its maximum possible yields while other regions show large yield gaps and therefore tentative larger potential for intensification. Differences in grain production efficiencies are significantly correlated with irrigation, accessibility, market influence, agricultural labor, and slope. Results of regional analysis show, however, that the individual contribution of these factors to explaining production efficiencies strongly varies between world-regions.
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•Optimum N input rate and optimum yield-scaled N2O emissions concepts defined.•Equations for them were applied to published field data.•Optimum yield-scaled N2O emissions can be ...useful indicators for best management practices.•Sometimes separate accounting for yields and N2O emissions is required.
Nitrous oxide (N2O) is one of the major greenhouse gases causing global warming and climate change. Recently, studies showed that the nitrogen (N) input producing optimum amount of crop yields may minimise yield-scaled N2O emissions in agricultural production. Objectives of the study were to 1) investigate theoretical backgrounds of yield, N2O emission, and yield-scaled N2O emission responses to N input, 2) suggest concepts of optimum N input rate and optimum yield-scaled N2O emission and derive equations for them and 3) test with field observations, and 4) assess usage and limitations and suggest future studies. We have proposed a concept and equations for optimum N input rate and optimum yield-scaled N2O emission, and applied them to field-measured data from 10 independent experimental studies worldwide. Field-measured data showed that the suggested equations could be used to determine optimum N input rate and optimum yield-scaled N2O emissions. However, in some cases, any N input resulted in increased yield-scaled N2O emission and minimum yield-scaled N2O emissions occurred when N input was zero. The suggested optimum N input rate and optimum yield-scaled N2O emission can be useful indicators for best management practices to mitigate greenhouse gas emissions and secure food supply. However, in some cases, taking into account yields and N2O emissions separately is required to identify best management practices. Further studies are needed to better understand the characteristics of yield-scaled N2O emissions response to N input and its use for management purposes.
We report experimental microfluidic measurements and theoretical modeling of elastoviscoplastic materials under steady, planar elongation. Employing a theory that allows the solid state to deform, we ...predict the yielding and flow dynamics of such complex materials in pure extensional flows. We find a significant deviation of the ratio of the elongational to the shear yield stress from the standard value predicted by ideal viscoplastic theory, which is attributed to the normal stresses that develop in the solid state prior to yielding. Our results show that the yield strain of the material governs the transition dynamics from the solid state to the liquid state. Finally, given the difficulties of quantifying the stress field in such materials under elongational flow conditions, we identify a simple scaling law that enables the determination of the elongational yield stress from experimentally measured velocity fields.
Agriculture provides humanity with food, fibers, fuel, and raw materials that are paramount for human livelihood. Today, this role must be satisfied within a context of environmental sustainability ...and climate change, combined with an unprecedented and still-expanding human population size, while maintaining the viability of agricultural activities to ensure both subsistence and livelihoods. Remote sensing has the capacity to assist the adaptive evolution of agricultural practices in order to face this major challenge, by providing repetitive information on crop status throughout the season at different scales and for different actors. We start this review by making an overview of the current remote sensing techniques relevant for the agricultural context. We present the agronomical variables and plant traits that can be estimated by remote sensing, and we describe the empirical and deterministic approaches to retrieve them. A second part of this review illustrates recent research developments that permit to strengthen applicative capabilities in remote sensing according to specific requirements for different types of stakeholders. Such agricultural applications include crop breeding, agricultural land use monitoring, crop yield forecasting, as well as ecosystem services in relation to soil and water resources or biodiversity loss. Finally, we provide a synthesis of the emerging opportunities that should strengthen the role of remote sensing in providing operational, efficient and long-term services for agricultural applications.
•We make a review of agronomical variables and plant traits that can be estimated from remote sensing.•We describe different methodological approaches to retrieve them.•We discuss how these variables are employed by different stakeholders for specific applications.•We conclude with an overview of caveats and future challenges.
Quantification of yield gaps and understanding their causes in sunflower (Helianthus annuus L.) is a key requirement for developing management strategies to take advantage of the productive potential ...of this crop in Argentina. The term yield gap (Yg) refers to the difference between water-limited potential yield (Yw) and actual yield (Ya).
This study quantified sunflower Yg across its full range of cropping regions of Argentina and used the results to identify potential causal factors.
This study, structured around component climate zones, proceeds in two steps. In the first, Yg is calculated by three methods according different Yw estimators: (i) yield simulations using CROPGRO-Sunflower model; (ii) top yields of comparative yield trials; and (iii) top yields of farmer's paddocks. Corresponding Ya values were estimated from national statistics. In the second, an independent database was established from the Relevamiento de Tecnología Agrícola Aplicada. Regression trees were used to explore associations between technological variables and estimated Yg.
National sunflower Yg remained consistent across the different Yw estimation methods: 34 % via simulated yields, 40 % using comparative yield trials, and 34 % based on farmer's paddock yields. Tillage system, phosphorus fertilization, and the adoption of herbicide- resistant and high oleic cultivars were key factors in explaining the smaller sunflower Yg in Argentina.
Argentina has the potential to substantially increase its sunflower grain production, and key factors to increase current production were identified in this work.
Increased sunflower production could boost Argentina's exports, contributing significantly to its economy. The identified factors pave the way for designing practices that help farmers bridge the yield gap.
•Argentina has the potential to increase its sunflower grain production.•The current yield gap ranges between 34 % and 40 % of water-limited yield potential.•Tillage system and phosphorus fertilization were key factors in explaining the yield gap.•The adoption of herbicide-resistant and high oleic cultivars were associated with smaller yield gaps.
A non-associated flow rule (non-AFR) constitutive model is proposed to describe the evolving yield stress and plastic potential surfaces of sheet metal under plane stress conditions. The yield stress ...function is a multiplication of two yield functions, within the first part includes an asymmetric pressure-sensitivity that considers anisotropic and asymmetric yielding of sheet metals. This yield stress function can describe anisotropic hardening behavior by directly employing the hardening functions under seven different loading conditions, i.e., uniaxial tension along 0°, 45°, 90° to the rolling direction (RD) of sheet metal, uniaxial compression along the same orientations and equi-biaxial tension without any interpolation or optimization procedure at a discrete level of equivalent plastic strain. The second part is a non-quadratic isotropic function, which is the sum of two isotropic yield functions with high flexibility in shaping the yield surface. A new plastic potential function is proposed to capture the differential Lankford coefficients (r-values) between uniaxial tension and compression obtained from mechanical testing. Eight parameters in the plastic potential function were calibrated from seven r-values under the same loading conditions and one yield stress as calibrating parameters for the yield stress function. The proposed constitutive model was validated by experimental data of three engineering sheet metals, i.e., one dual-phase steel DP980, one TRIP-assisted steel QP980 and one aluminum alloy AA5754-O and compared with several classical yield criteria. The evolving yield behavior was accurately described by the proposed non-associated flow rule (non-AFR) constitutive model.
•Capture of SDE is achieved with a simple equation and an explicit identification.•Flexibility in description of yield surface shape is improved by the developed yield criterion.•A plastic potential function is proposed to include asymmetrical r-values in tension and compression.
This position paper honours agricultural scientist and colleague, Professor Bob Loomis, by discussing the urgent global challenge of food security and the related impacts on the environment facing ...agricultural science and society in the next critical 20 years. It uses the concepts of potential and actual (farm) crop yields and the yield gap between them to assess current and future opportunities for food supply to satisfy increasing demand. The cropping world is seen in two parts. The first part predominantly comprises low-input farming with very large yield gaps and a faster growing demand that can only be met with increasing imports. For these regions, a well-established strategy is outlined for crop intensification through yield-gap closure that is essential for reducing rural malnutrition and poverty, and curtailing the likelihood of high food prices. For success, it must be complemented with strategies to remove the serious institutional and infrastructural barriers faced by farmers. The second part has more or less intensified, and yield gaps are generally small to moderate: it will fairly comfortably meet the demand from population growth. For these regions, some further yield gap closure is still possible but more importantly greater potential yields are required although the chances of accelerating this are discussed and seen to be limited. For all regions, sustainable intensification of cropping, predominantly on existing arable lands, is the best way forward. Combining sustainability with intensification is not a contradiction and is, in fact, essential; sustainability requires the efficient use of all inputs in cropping, and husbandry of the soil and agricultural biodiversity needed to continue to raise productivity. Off-farm environmental impacts are inevitable, but not insurmountable, hurdles. All aspects of sustainability require boosted RD&E and sound rural policies. Greater management skills for farmers and all others involved in crop production are also essential. Contestation based on biophysical aspects of food production and its impacts can be resolved through effective research and development with farmers, while that based on Northern cultural and normative views must not be allowed to obscure the goal of affordable food for all, and reward for farmers comparable with the rest of their societies.
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