A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of fitting yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). In each application, the ANS model allows the formal derivation of a parsimonious theoretical framework that captures the essence of the topic under investigation and is readily applicable in practice. Respectively: (1) the intertemporal consistency embedded in the ANS model results in a vector-autoregressive equation that projects the future yield curve from the current yield curve, and forecasts from that model outperform the random-walk benchmark; (2) the economic foundation for the ANS model leads to a single-equation relationship between the current shape of the yield curve and the magnitude and timing of future output growth, and empirical estimations confirm that the theoretical relationship holds in practice; (3) the ANS model provides a theoretically-consistent framework for quantifying risk and returns in fixed interest portfolios, and portfolios optimised ex-ante using that framework outperform a passive benchmark; and (4) the ANS model allows interest rates to be decomposed into a component related to economic fundamentals in the underlying economy, and a component related to cyclical influences. Empirical tests based on the fundamental interest rate components do not reject the UIPH, while the UIPH is rejected based on the cyclical interest rate components. This provides empirical support for suggestions in the theoretical literature that interest rate and exchange rate dynamics associated with cyclical interlinkages between the economy and financial markets under rational expectations may contribute materially to the UIPH puzzle.

Propagation of cracks in functionally graded materials (FGMs) under cyclic loading was investigated via experiments and finite element (FE) analysis. Alumina-epoxy composites with an interpenetrating-network structure and tailored spatial variation in composition were produced via a multi-step infiltration technique. Compressed polyurethane foam was infiltrated with alumina slip. After foam burn-out and sintering, epoxy was infiltrated into the porous alumina body. Non-graded specimens with a range of compositions were produced, and elastic properties and fatigue behaviour were characterised. An increase in crack propagation resistance under cyclic loading was quantified via a novel analytical approach. A simulation platform was developed with the commercial FE package ANSYS. Material gradient was applied via nodal temperature definitions. Stress intensity factors were calculated from nodal displacements near the crack-tip. Deflection criteria were compared and the local symmetry criterion provided the most accurate and efficient predictions. An automated mesh-redefinition algorithm enabled incremental simulation of crack propagation. Effects of gradient and crack-geometry parameters on crack-tip stresses were investigated, along with influences of crack-shape, crack-bridging, residual stresses and plasticity. The model provided predictions and data analysis for experimental specimens. Fatigue cracks in graded specimens deflected due to elastic property mismatch, concordant with FE predictions. In other FGMs, thermal or plastic properties may dominate deflection behaviour. Weaker step-interfaces influenced crack paths in some specimens; otherwise effects of toughness variation and gradient steps on crack path were negligible. Crack shape has an influence, but this is secondary to that of elastic gradient. Cracks in FGM specimens initially experienced increase in fatigue resistance with crack-extension followed by sudden decreases at step-interfaces. Bridging had a notable effect on crack propagation resistance but not on crack path. Similarly, crack paths did not differ between monotonic and cyclic loading, although crack-extension effects did. Recommendations for analysis and optimisation strategies for other FGM systems are given. Experimental characterization of FGMs is important, rather than relying on theoretical models. Opportunities for optimization of graded structures are limited by the properties of the constituent materials and resultant general crack deflection behaviour.

租稅為政府最主要籌措財源的方式，如何運用租稅政策籌措財源以舒緩財政窘迫的壓力，是當前政府最急切的關鍵和挑戰。而在若干已開發國家，因經濟體系存有拉佛效果，減稅措施將可刺激經濟活動，使稅基大幅擴大，稅收亦因此而增加。因此，本文即在探討我國綜利用伊布爾模型來探討我國在剔除物價上漲對稅收的影響後，大幅降低所得稅的邊際稅率對較高所得級距者而言，是否會有拉佛效果之產生。而研究結果顯示，減稅並未帶來豐厚的稅收，即未符合拉佛曲線負斜率段落在稅收函數改為傳統線性函數時，應用費格及麥吉之模型來探討生產因素供給彈性、地下經濟規模及過高的稅率對稅收的影響並藉以推導最適稅率。經實證估計我國1989年綜合所得稅的最適平均稅率大約為50

Le sujet principale de ma thèse est l'étude des supraconducteurs<br />mésoscopiques, quand la taille du système est comparable aux deux longueurs caractéristiques qui sont la longueur de cohérence et la longueur de pénétration de London. Les observations expérimentales dans ces systèmes ont montré un comportement inhabituel de l'aimantation: elle a des discontinuités quand le champ magnétique est varié. Nous avons démontré que ces discontinuités sont dues à<br />la pénétration du champs magnétique dans l'échantillon sous la forme de vortex et déterminé le nombre des vortex en utilisant la théorie de Ginzburg-Landau de la supraconductivité. Nous avons étudié des géométries différentes des échantillons, telle qu'un disque et un cylindre, et nous avons réussi à obtenir des résultats analytiques dans le régime dual entre types I et II de supraconducteurs aussi que dans le régime de London de<br />supraconductivité de type II extrême. Nous avons trouvé un bon accord entre nos calculs et les résultats expérimentaux, en particulier notre approche basé sur les équations nonlinéaires donne une dépendance correcte de la courbe d'aimantation en fonction de la taille du système. En plus, nous avons étudié les<br />configurations des vortex dans le régime de London et démontré l'existence de nombres topologiques qui permettent la classification des solutions des équations de Ginzburg-Landau en fonction de paramètres externes, comme le flux total du<br />champ magnétique. Ces nombres topologiques ne sont pas spécifiques du régime de London et peuvent être utiles dans un autre régime. La dynamique des vortex peut aussi être étudiée dans cette approche et nous avons décrit l'entrée des vortex dans l'échantillon en démontrant l'importance des états métastables qui sont à la base de l'effet Meissner paramagnetique, observé dans les expériences.<br /><br />Les autres sujets abordé pendant ma thèse sont l'étude des excitations d'un système mésoscopique en interactions, la théorie de matrices aléatoires et le modèle de Calogero-Sutherland. Pour ce dernier nous avons réussi à calculer analytiquement les fonctions de corrélation pour toutes les valeurs rationnelles de la constante de couplage, en utilisant la méthode des répliques.

<p>The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. This model, derived and tested in this extended theory,allows for liquidity costs to arise. The expression liquidity cost is used in this paper tomeasure liquidity risk relative to the option price.</p>

<p>A new European labeling directive (2003/89/EC) states that certain foods and products derived thereof must always be declared. Among the tree nuts specified is Macadamia nut (Macadamia spp.). During the last few years, cases of IgE-allergic reactions, even severe anaphylaxes, have been reported. Reliable methods for the detection of this nut are needed.</p><p>Protein from Macadamia nuts was isolated. Polyacrylamide gel electrophoresis in SDS revealed two main protein bands of about 20 and 50kDa. These protein bands were cut and extracted from the gel and rabbits were immunized with each protein.</p><p>Immunoblotting showed dominant reactivity with the respective antigens. The antisera were further tested for specificity in immunodiffusion and in rocket immunoelectrophoresis.</p><p>In addition, a specific DNA-method was developed, based on Real-Time PCR using Macadamia vicilin as target sequence. Two different primer pairs were tested. Specificity was tested against potentially related nuts. Optimisation of primer and probe concentrations was performed. The limit of detection was 2-4 pg DNA, corresponding to a macadamia nut concentration of 50 to 100 μg per g. In a background of soybean DNA, down to 0,01 % macadamia DNA could be detected.</p>

Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy This paper explores how well Swedish inflation is explained by a New Keynesian Phillips Curve. As the real driving variable in the Phillips Curve, a measure of firms' real marginal cost is compared to the traditional output gap. The results show that, with real marginal cost in the Phillips Curve equation, the point estimates generally have the expected positive sign, which is less frequently the case with the output gap. However, with both real marginal cost and the output gap, it is difficult to pin down a statistically significant relationship with inflation. Firm-Level Evidence of Shifts in the Supply of Credit This paper examines empirically whether firms are subject to shifts in credit supply over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment credit -- lines of credit -- and non-commitment credit. The results show that firms on average rely more on commitment credits when monetary policy is tight and when the financial health of banks is weaker. The results are consistent with a bank lending channel of monetary policy and with shifts in the supply of credit following deteriorations in banks' balance sheets. Lines of Credit and Investment: Firm-Level Evidence of Real Effects of the Financial Crisis This paper studies how the 2008 financial crisis affected corporate investment in Sweden through its effect on credit availability. The approach is to compare investments of firms before and after the onset of the crisis as a function of their ex ante sensitivity to a credit supply shock, controlling for fundamental determinants of investments. Sensitivity to a credit supply shock is measured as credit reserves, defined as unused credit on lines of credit. The results indicate that the decline in investment following the crisis was not exacerbated by a contraction in the supply of credit.

The purpose of this thesis is to investigate how well Swedish banks’ follow the interest rate development of Swedish Treasury Bills and Swedish Government Bonds when they are determining the levels for their deposit and lending rates. Individuals’ deposits in a bank serves as one of the banks main assets in the balance sheet, and the spread between the bank’s deposit rate and the short-term market rate is a large source of funding for the bank. If there is a strong relationship of this spread over time, one may assume that this spread is of great importance for financing of the banking firm. The spread between the bank’s lending rate and the long-term market rate – credit risk spread – also serves a large source of interest income for the bank, and if this relationship is strong over time, one may assume that this spread is of great importance for financing of the banking firm as well. The banks subjected for investigation in this paper are Handelsbanken (SHB) and Föreningssparbanken (FSB). This paper finds a weaker relationship between the banks’ deposit rates and the short-term market rates, than for the lending rates and the long-term market rates. This indicates that the credit risk spread is of greater importance for financing of the banking firm than the funding spread. The weaker relationship between the banks’ deposit rates and the short-term market rate may be due to the great variability of savings alternatives offered in the market place today. The fact that banks today have deposit-deficit may also explain the weaker relationship, which may be explained by the Baumol-Tobin transaction model – where the higher the interest rate, the greater amount is being kept in the account. The stronger relationship between the banks’ lending rate and the long-term market rate may be due to the nature of the credit risk spread to function as a price-discrimination tool between lending clients.

The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. This model, derived and tested in this extended theory,allows for liquidity costs to arise. The expression liquidity cost is used in this paper tomeasure liquidity risk relative to the option price.

The purpose of this study is to examine what affects the changes in credit spreads. A regression model was performed where the explanatory variables were; volatility, SP&amp;500 index, interest-rate level the slope of yield curve and the dependent variable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. We found a positive correlation between these independent variables (Volatility, S&amp;P 500index) and a negative correlation between interest-rate level and credit spreads. These results were consistent with our hypothesis. However, the link between the slope of yield curve and credit spreads was positive and that was inconsistent with our hypothesis and some previous studies. The conclusion of this paper was a change in credit spread is related to the variables that we used in our model. And these variables explained about 50 per cent of this change.