Yield Curve on 2012-08-31

Fell 5 to 7 basis points at the longer terms, presumably because of: Bernanke lifts Wall Street, keeps stimulus in play.

How to Stop Excel from Graphing Missing as Zero?

A forum post suggested using =NA() (i.e., #N/A) in your empty cell instead, and that works for me.

Reference: Excel Graphs - stop empty cells showing as zero [PC World Australia]

Amazon.com Top 100 Textbooks - Spring 2012

A list from Amazon, link here.

The first economics textbook on the list is Mankiw’s Principles of Microeconomics.

The first 10 on the list:

 

Rank	ISBN	Title	Publisher	Primary Author	Year
1	890420254	Diagnostic and Statistical Manual of Mental Disorders DSM-IV-TR Fourth Edition (Text Revision)	Amer Psychiatric Pub	American Psychiatric Association	2000
2	321558235	Campbell Biology (9th Edition)	Benjamin Cummings	Jane B. Reece	2010
3	1433805618	Publication Manual of the American Psychological Association, Sixth Edition	Amer Psychological Assn	Amer Psychological Assn	2009
4	1429215976	Psychology	Worth Publishers	David G. Myers	2009
5	538453044	Principles of Microeconomics	South-Western College Pub	Mankiw	2011
6	78111005	Managerial Accounting	McGraw-Hill/Irwin	Ray Garrison	2011
7	73511706	Understanding Business	McGraw-Hill/Irwin	William Nickels	2009
8	321694155	Human Anatomy & Physiology with MasteringA&P (8th Edition)	Benjamin Cummings	Elaine N. Marieb	2010
9	132109174	Cost Accounting (14th Edition)	Prentice Hall	Charles T. Horngren	2011
10	77306295	The Art of Public Speaking with Connect Lucas	McGraw-Hill	Stephen Lucas	2008

A Good Paper on Yield Curve Estimation

A very good paper by Kikuchi and Shintani titled "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data" (downloadable here; direct link here) on zero coupon yield curve fitting/estimating. They looked at various methods of curve fitting and concluded that the Steeley (1991) method is best suitable for estimating the Japanese zero coupon yield curve. These various methods include Svensson (1995), Nelson-Siegel (1987), as well as McCulloch (1975), and they judge the methods on the criteria of undesirable (negative) values, excessive unevenness, and fitness to market prices. They also make the estimated yield curve data from 1999 to 2011 available  (downloadable here).

One issue cause by the zero lower bound for many of the curve estimation methods is negative values at the short end of the curve. (The other common issue, particularly for yield curves estimated by Nelson Siegel or Svensson, being the up and down spike at the short end of the implied forward rate curve.)  You can see the negative value issue from the dataset used in Wright (2011) (data downloadable here). For example, the Japanese nominal 3-month zero coupon rate for 2002 October is -0.0132 in the dataset.

The main contribution of the Kikuchi and Shintani paper isnt't that Steeley (1991) is best for estimating the Japanese yield curve, but rather that the paper highlights additional considerations needed when estimating yield curves in addition to the standard tradeoff between fitting close to the market price and limiting excessive unevenness. If the purpose of the estimation is to find arbitrage opportunities, methods that fit close to the price would be preferred. If the purpose of the estimation is to understand the implications of the curve to the macroeconomics environment, a smoother curve is desired. If one were to use the curve to calculate implied forward rates, and find them to be the red line on the right (Figure 15 of Kikuchi and Shintani) – what implication should one draw about the macro economy?

Reference:
    Kikuchi and Shintani: Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data (IMES) ,
    Steeley (1991): Estimating the Gilt-edged Term Structure: Basis Splines and Confidence Intervals (Journal of Business Finance and Accounting),
    Svensson 1995): Estimating Forward Interest Rates with the Extended Nelson and Siegel Method (Sveriges Riksbank Quarterly Review),
    Nelson and Siegel (1987): Parsimonious Modeling of Yield Curves (Journal of Business),
    McCulloch (1975): The Tax-adjusted Yield Curve (Journal of Finance),
    Wright (2011): Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset [http://pubs.aeaweb.org/doi/pdfplus/10.1257/aer.101.4.1514] (AER).

Set Auto-Lock for Longer Than 5 Minutes in iOS

On one hand, I often put down my iPod Touch for a few minutes to do something, only to return and find it already locked. On the other, turn off unlock would be an issue if I lost the iPod Touch since then someone can find it and look though the personal information.

After googling on and off for a few months, I finally find a way to set the auto-lock function on my Touch for 15 minutes. I can confirm that this works for my generation 2 iPod Touch.

To do this, you would need a jail-broken phone with either SSH setup or iFile installed. The instruction is here: http://modmyi.com/forums/file-mods/725740-auto-lock-timing.html .

For posterity, you would need to edit the file located at Applications>preferences.app>general.plist, and add a new entrie in the following section:

<string>setScreenLock:specifier:</string>
<key>validTitles</key>
<array>
<string>1_MINUTES</string>
<string>2_MINUTES</string>
<string>3_MINUTES</string>
<string>4_MINUTES</string>
<string>5_MINUTES</string>
<string>NEVER</string>
</array>
<key>validValues</key>
<array>
<integer>60</integer>
<integer>120</integer>
<integer>180</integer>
<integer>240</integer>
<integer>300</integer>
<integer>-1</integer>
</array>

As for the concern that locking the iPod Touch would make it harder for someone to return it if lost – you can always add your contact information to the photo you show at the lock screen.