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We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance estimates. The latter originate from a local method of moments (LMM) which recently has been introduced by Bibinger et al. (2014). We extend the LMM estimator to allow for autocorrelated noise and propose a method to adaptively infer the autocorrelations from the data. We prove the consistency and asymptotic normality of the proposed spot covariance estimator. Based on extensive simulations we provide empirical guidance on the optimal implementation of the estimator and apply it to high-frequency data of a cross-section of NASDAQ blue chip stocks. Employing the estimator to estimate spot covariances, correlations and betas in normal but also extreme-event periods yields novel insights into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially correlated, and (iv) can increase strongly and nearly instantaneously if new information arrives.
This paper studies the use of performance pricing (PP) provisions in debt contracts and compares accounting-based with rating-based pricing designs. We find that rating-based provisions are used by volatile-growth borrowers and allow for stronger spread increases over the credit period. Accounting-based provisions are employed by opaque-growth borrowers and stipulate stronger spread reductions. Further, a higher spread-increase potential in rating-based contracts lowers the spread at the loan’s inception and improves the borrower’s performance later on. In contrast, a higher spread-decrease potential in accounting-based contracts lowers the initial spread and raises the borrower’s leverage afterwards. The evidence indicates that rating-based contracts are indeed employed for different reasons than accounting-based contracts: the former to signal a borrower’s quality, the latter to mitigate investment inefficiencies.
This paper examines the effect of imperfect labor market competition on the efficiency of compensation schemes in a setting with moral hazard, private information and risk-averse agents. Two vertically differentiated firrms compete for agents by offering contracts with fixed and variable payments. Vertical differentiation between firms leads to endogenous, type-dependent exit options for agents. In contrast to screening models with perfect competition, we find that existence of equilibria does not depend on whether the least-cost separating allocation is interim efficient. Rather, vertical differentiation allows the inferior firm to offer (cross-)subsidizing fixed payments even above the interim efficient level. We further show that the efficiency of variable pay depends on the degree of competition for agents: For small degrees of competition, low-ability agents are under-incentivized and exert too little effort. For large degrees of competition, high-ability agents are over-incentivized and bear too much risk. For intermediate degrees of competition, however, contracts are second-best despite private information.
We analyze the differential impact of domestic and foreign monetary policy on the local supply of bank credit in domestic and foreign currencies. We analyze a novel, supervisory dataset from Hungary that records all bank lending to firms including its currency denomination. Accounting for time-varying firm-specific heterogeneity in loan demand, we find that a lower domestic interest rate expands the supply of credit in the domestic but not in the foreign currency. A lower foreign interest rate on the other hand expands lending by lowly versus highly capitalized banks relatively more in the foreign than in the domestic currency.
In this paper we argue that very high marginal labor income tax rates are an effective tool for social insurance even when households have preferences with high labor supply elasticity, make dynamic savings decisions, and policies have general equilibrium effects. To make this point we construct a large scale Overlapping Generations Model with uninsurable labor productivity risk, show that it has a wealth distribution that matches the data well, and then use it to characterize fiscal policies that achieve a desired degree of redistribution in society. We find that marginal tax rates on the top 1% of the earnings distribution of close to 90% are optimal. We document that this result is robust to plausible variation in the labor supply elasticity and holds regardless of whether social welfare is measured at the steady state only or includes transitional generations.
What would be the economic effects of the UK leaving the European Union on living standards of British people? We focus on the effects of trade on welfare net of lower fiscal transfers to the EU. We use a standard quantitative static general equilibrium trade model with multiple sectors, countries and intermediates, as in Costinot and Rodriguez-Clare (2013). Static losses range between 1.13% and 3.09% of GDP, depending on the assumptions used in our counterfactual scenarios. Including dynamic effects could more than double such losses.
We use data from the 2009 Internet Survey of the Health and Retirement Study to examine the consumption impact of wealth shocks and unemployment during the Great Recession in the US. We find that many households experienced large capital losses in housing and in their financial portfolios, and that a non-trivial fraction of respondents have lost their job. As a consequence of these shocks, many households reduced substantially their expenditures. We estimate that the marginal propensities to consume with respect to housing and financial wealth are 1 and 3.3 percentage points, respectively. In addition, those who became unemployed reduced spending by 10 percent. We also distinguish the effect of perceived transitory and permanent wealth shocks, splitting the sample between households who think that the stock market is likely to recover in a year’s time, and those who do not. In line with the predictions of standard models of intertemporal choice, we find that the latter group adjusted much more than the former its spending in response to financial wealth shocks.
This chapter discusses whether and how 'new quantitative trade models' (NQTMs) can be fruitfully applied to quantify the welfare effects of trade liberalization, thus shedding light on the trade-related effects of further European integration. On the one hand, it argues that NQTMs have indeed the potential of being used to supplement traditional 'computable general equilibrium' (CGE) analysis thanks to their tight connection between theory and data, appealing micro-theoretical foundations, and enhanced attention to the estimation of structural parameters. On the other hand, further work is still needed in order to fully exploit such potential.
Especially in developing countries credit constraints are often perceived as one of the most important market frictions constraining firm innovation and growth. Huge amounts of public money are being devoted to the removal of such constraints but their effectiveness is still subject to an intense policy debate. This paper contributes to this debate by analysing the effects of the Brazilian Development Bank (BNDES) loans. It finds that, before receiving BNDES support, granted firms are indeed more credit constrained than comparable non-granted firms. It also finds that BNDES support allows granted firms to achieve the same level of performance as similar non-granted firms that are not credit constrained. However, it does not allow granted firms to outperform similar non-granted ones.
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply and demand, generate excess price fluctuations and harm price efficiency. Econometric high-frequency analysis based on unique data on hidden orders from NASDAQ reveals strong empirical support for these predictions: We find abnormal reactions in prices and order flow after periods of high excess-supply of hidden liquidity.
We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started.
Examining event-related potential (ERP) correlates of decision bias in recognition memory judgments
(2014)
Memory judgments can be based on accurate memory information or on decision bias (the tendency to report that an event is part of episodic memory when one is in fact unsure). Event related potentials (ERP) correlates are important research tools for elucidating the dynamics underlying memory judgments but so far have been established only for investigations of accurate old/new discrimination. To identify the ERP correlates of bias, and observe how these interact with ERP correlates of memory, we conducted three experiments that manipulated decision bias within participants via instructions during recognition memory tests while their ERPs were recorded. In Experiment 1, the bias manipulation was performed between blocks of trials (automatized bias) and compared to trial-by-trial shifts of bias in accord with an external cue (flexibly controlled bias). In Experiment 2, the bias manipulation was performed at two different levels of accurate old/new discrimination as the memory strength of old (studied) items was varied. In Experiment 3, the bias manipulation was added to another, bottom-up driven manipulation of bias induced via familiarity. In the first two Experiments, and in the low familiarity condition of Experiment 3, we found evidence of an early frontocentral ERP component at 320 ms poststimulus (the FN320) that was sensitive to the manipulation of bias via instruction, with more negative amplitudes indexing more liberal bias. By contrast, later during the trial (500–700 ms poststimulus), bias effects interacted with old/new effects across all three experiments. Results suggest that the decision criterion is typically activated early during recognition memory trials, and is integrated with retrieved memory signals and task-specific processing demands later during the trial. More generally, the findings demonstrate how ERPs can help to specify the dynamics of recognition memory processes under top-down and bottom-up controlled retrieval conditions.
Background: Hepatitis delta frequently leads to liver cirrhosis and hepatic decompensation. As treatment options are limited, there is a need for biomarkers to determine disease activity and to predict the risk of disease progression. We hypothesized that anti-HDV IgM could represent such a marker.
Methods: Samples of 120 HDV-infected patients recruited in an international multicenter treatment trial (HIDIT-2) were studied. Anti-HDV IgM testing was performed using ETI-DELTA-IGMK-2-assay (DiaSorin). In addition, fifty cytokines, chemokines and angiogenetic factors were measured using multiplex technology (Bio-Plex System). A second independent cohort of 78 patients was studied for the development of liver-related clinical endpoints (decompensation, HCC, liver transplantation or death; median follow up of 3.0 years, range 0.6–12).
Results: Anti-HDV IgM serum levels were negative in 18 (15%), low (OD<0.5) in 76 (63%), and high in 26 (22%) patients of the HIDIT-2 cohort. Anti-HDV IgM were significantly associated with histological inflammatory (p<0.01) and biochemical disease activity (ALT, AST p<0.01). HDV replication was independent from anti-HDV IgM, however, low HBV-DNA levels were observed in groups with higher anti-HDV IgM levels (p<0.01). While high IP-10 (CXCL10) levels were seen in greater groups of anti-HDV IgM levels, various other antiviral cytokines were negatively associated with anti-HDV IgM. Associations between anti-HDV IgM and ALT, AST, HBV-DNA were confirmed in the independent cohort. Clinical endpoints occurred in 26 anti-HDV IgM positive patients (39%) but in only one anti-HDV IgM negative individual (9%; p = 0.05).
Conclusions: Serum anti-HDV IgM is a robust, easy-to-apply and relatively cheap marker to determine disease activity in hepatitis delta which has prognostic implications. High anti-HDV IgM levels may indicate an activated interferon system but exhausted antiviral immunity.
Higher N170 amplitudes to words and to faces were recently reported for faster readers of German. Since the shallow German orthography allows phonological recoding of single letters, the reported speed advantages might have their origin in especially well-developed visual processing skills of faster readers. In contrast to German, adult readers of Hebrew are forced to process letter chunks up to whole words. This dependence on more complex visual processing might have created ceiling effects for this skill. Therefore, the current study examined whether also in the deep Hebrew orthography visual processing skills as reflected by N170 amplitudes explain reading speed differences. Forty university students, native speakers of Hebrew without reading impairments, accomplished a lexical decision task (i.e., deciding whether a visually presented stimulus represents a real or a pseudo word) and a face decision task (i.e., deciding whether a face was presented complete or with missing facial features) while their electroencephalogram was recorded from 64 scalp positions. In both tasks stronger event related potentials (ERPs) were observed for faster readers in time windows at about 200 ms. Unlike in previous studies, ERP waveforms in relevant time windows did not correspond to N170 scalp topographies. The results support the notion of visual processing ability as an orthography independent marker of reading proficiency, which advances our understanding about regular and impaired reading development.
MicroRNAs are key modulators at molecular level in different biological processes, including determination of cell fate and differentiation. Herein, microRNA expression profiling experiments were performed on syngeneic cardiac (CStC) and bone marrow (BMStC) mesenchymal stromal cells cultured in standard growth medium and then in vitro exposed to adipogenic, osteogenic, cardiomyogenic and endothelial differentiation media. Analysis identified a tissue-specific microRNA signature composed of 16 microRNAs that univocally discriminated cell type of origin and that were completely unaffected by in vitro differentiation media: 4 microRNAs were over-expressed in cardiac stromal cells, and 12 were overexpressed or present only in bone marrow stromal cells. Further, results revealed microRNA subsets specifically modulated by each differentiation medium, irrespective of the cell type of origin, and a subset of 7 microRNAs that were down-regulated by all media with respect to growth medium. Finally, we identified 16 microRNAs that were differentially modulated by the media when comparing the two tissues of origin. The existence of a tissue-specific microRNA signature surviving to any differentiation stimuli, strongly support the role if microRNAs determining cell identity related to tissue origin. Moreover, we identified microRNA subsets modulated by different culture conditions in a tissue-specific manner, pointing out their importance during differentiation processes.
Background: Rapidly increasing temperatures in the mountain region of Nepal and recent reports of dengue fever and lymphatic filariasis cases from mountainous areas of central Nepal prompted us to study the spatio-temporal distribution of the vectors of these two diseases along an altitudinal transect in central Nepal.
Methodology/Principal Findings: We conducted a longitudinal study in four distinct physiographical regions of central Nepal from September 2011 to February 2012. We used BG-Sentinel and CDC light traps to capture adult mosquitoes. We found the geographical distribution of the dengue virus vectors Aedes aegypti and Aedes albopictus along our study transect to extend up to 1,310 m altitude in the Middle Mountain region (Kathmandu). The distribution of the lymphatic filariasis vector Culex quinquefasciatus extended up to at least 2,100 m in the High Mountain region (Dhunche). Statistical analysis showed a significant effect of the physiographical region and month of collection on the abundance of A. aegypti and C. quinquefasciatus only. BG-Sentinel traps captured significantly higher numbers of A. aegypti than CDC light traps. The meteorological factors temperature, rainfall and relative humidity had significant effects on the mean number of A. aegypti per BG-Sentinel trap. Temperature and relative humidity were significant predictors of the number of C. quinquefasciatus per CDC light trap. Dengue fever and lymphatic filariasis cases had previously been reported from all vector positive areas except Dhunche which was free of known lymphatic filariasis cases.
Conclusions/Significance: We conclude that dengue virus vectors have already established stable populations up to the Middle Mountains of Nepal, supporting previous studies, and report for the first time the distribution of lymphatic filariasis vectors up to the High Mountain region of this country. The findings of our study should contribute to a better planning and scaling-up of mosquito-borne disease control programmes in the mountainous areas of Nepal.
Objectives: Low energy shock waves have been shown to induce angiogenesis, improve left ventricular ejection fraction and decrease angina symptoms in patients suffering from chronic ischemic heart disease. Whether there is as well an effect in acute ischemia was not yet investigated.
Methods: Hind-limb ischemia was induced in 10–12 weeks old male C57/Bl6 wild-type mice by excision of the left femoral artery. Animals were randomly divided in a treatment group (SWT, 300 shock waves at 0.1 mJ/mm2, 5 Hz) and untreated controls (CTR), n = 10 per group. The treatment group received shock wave therapy immediately after surgery.
Results: Higher gene expression and protein levels of angiogenic factors VEGF-A and PlGF, as well as their receptors Flt-1 and KDR have been found. This resulted in significantly more vessels per high-power field in SWT compared to controls. Improvement of blood perfusion in treatment animals was confirmed by laser Doppler perfusion imaging. Receptor tyrosine kinase profiler revealed significant phosphorylation of VEGF receptor 2 as an underlying mechanism of action. The effect of VEGF signaling was abolished upon incubation with a VEGFR2 inhibitor indicating that the effect is indeed VEGFR 2 dependent.
Conclusions: Low energy shock wave treatment induces angiogenesis in acute ischemia via VEGF receptor 2 stimulation and shows the same promising effects as known from chronic myocardial ischemia. It may therefore develop as an adjunct to the treatment armentarium of acute muscle ischemia in limbs and myocardium.
Fibrous tissue growth and loss of residual hearing after cochlear implantation can be reduced by application of the glucocorticoid dexamethasone-21-phosphate-disodium-salt (DEX). To date, sustained delivery of this agent to the cochlea using a number of pharmaceutical technologies has not been entirely successful. In this study we examine a novel way of continuous local drug application into the inner ear using a refillable hydrogel functionalized silicone reservoir. A PEG-based hydrogel made of reactive NCO-sP(EO-stat-PO) prepolymers was evaluated as a drug conveying and delivery system in vitro and in vivo. Encapsulating the free form hydrogel into a silicone tube with a small opening for the drug diffusion resulted in delayed drug release but unaffected diffusion of DEX through the gel compared to the free form hydrogel. Additionally, controlled DEX release over several weeks could be demonstrated using the hydrogel filled reservoir. Using a guinea-pig cochlear trauma model the reservoir delivery of DEX significantly protected residual hearing and reduced fibrosis. As well as being used as a device in its own right or in combination with cochlear implants, the hydrogel-filled reservoir represents a new drug delivery system that feasibly could be replenished with therapeutic agents to provide sustained treatment of the inner ear.
Plexins are widely expressed transmembrane proteins that mediate the cellular effects of semaphorins. The molecular mechanisms of plexin-mediated signal transduction are still poorly understood. Here we show that signalling via B-family plexins leading to the activation of the small GTPase RhoA requires activation of the IκB kinase (IKK)-complex. In contrast, plexin-B-dependent regulation of R-Ras activity is not affected by IKK activity. This regulation of plexin signalling depends on the kinase activity of the IKK-complex, but is independent of NF-κB activation. We confirm that the IKK-complex is active in tumour cells and osteoblasts, and we demonstrate that plexin-B-dependent tumour cell invasiveness and regulation of osteoblast differentiation require an active IKK-complex. This study identifies a novel, NF-κB-independent function of the IKK-complex and shows that IKK directs plexin-B signalling to the activation of RhoA.
Amygdalin, a natural compound, has been used by many cancer patients as an alternative approach to treat their illness. However, whether or not this substance truly exerts an anti-tumor effect has never been settled. An in vitro study was initiated to investigate the influence of amygdalin (1.25–10 mg/ml) on the growth of a panel of bladder cancer cell lines (UMUC-3, RT112 and TCCSUP). Tumor growth, proliferation, clonal growth and cell cycle progression were investigated. The cell cycle regulating proteins cdk1, cdk2, cdk4, cyclin A, cyclin B, cyclin D1, p19, p27 as well as the mammalian target of rapamycin (mTOR) related signals phosphoAkt, phosphoRaptor and phosphoRictor were examined. Amygdalin dose-dependently reduced growth and proliferation in all three bladder cancer cell lines, reflected in a significant delay in cell cycle progression and G0/G1 arrest. Molecular evaluation revealed diminished phosphoAkt, phosphoRictor and loss of Cdk and cyclin components. Since the most outstanding effects of amygdalin were observed on the cdk2-cyclin A axis, siRNA knock down studies were carried out, revealing a positive correlation between cdk2/cyclin A expression level and tumor growth. Amygdalin, therefore, may block tumor growth by down-modulating cdk2 and cyclin A. In vivo investigation must follow to assess amygdalin's practical value as an anti-tumor drug.