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We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential equation. To date, the solution to this equation has mostly been approximated by Campbell-Shiller techniques, without addressing general issues of existence and uniqueness. We develop a novel approach that rigorously constructs the solution by a fixed point argument. We prove that under regularity conditions a solution exists and establish a fast and accurate numerical method to solve consumption-portfolio and asset pricing problems with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical examples illustrate our approach.
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features observed in the data, in particular, the clustering of high default probabilities both in time (over days) and in space (across countries). The feedback between jump events and the intensity of these jumps is the key element of the model. We derive closed-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find evidence of self-excitation and asymmetric cross-excitation. Using impulse-response analysis, we assess the impact of shocks and a potential policy intervention not just on a single country under scrutiny but also, through the effect on cross-excitation risk which generates systemic sovereign risk, on other interconnected countries.
Exit strategies
(2014)
We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using a macromodel where banks choose their capital structure and are subject to runs. Under a Taylor rule, the post-crisis interest rate hits the zero lower bound (ZLB) and remains there for several years. In that condition, pre-announced and fast fiscal consolidations dominate - based on output and inflation performance and bank stability - alternative strategies incorporating various degrees of gradualism and surprise. We also examine an alternative monetary strategy in which the interest rate does not reach the ZLB; the benefits from fiscal consolidation persist, but are more nuanced.
We study the behavioral underpinnings of adopting cash versus electronic payments in retail transactions. A novel theoretical and experimental framework is developed to primarily assess the impact of sellers’ service fees and buyers’ rewards from using electronic payments. Buyers and sellers face a coordination problem, independently choosing a payment method before trading. In the experiment, sellers readily adopt electronic payments but buyers do not. Eliminating service fees or introducing rewards significantly boosts the adoption of electronic payments. Hence, buyers’ incentives play a pivotal role in the diffusion of electronic payments but monetary incentives cannot fully explain their adoption choices. Findings from this experiment complement empirical findings based on surveys and field data.
Alzheimer’s disease (AD) is a common, age associated neurodegenerative disease that manifests as progressive dementia and is characterized by accumulation of the amyloid beta (Aβ) peptide which is a processing product of a transmembrane protein termed Alzheimer Amyloid Precursor Protein (APP). The Aβ peptide is generated by a sequential proteolytic processing of APP by two distinct proteases that are termed β- and γ-secretase. The β-secretase, also called BACE-1 or memapsin 2, belongs to the family of aspartyl proteases. BACE-1 evidently cleaves APP in an acidic endosomal compartment after endocytosis of APP, thereby facilitating Aβ peptide generation.
Sorting of transmembrane proteins is generally controlled by sorting signals in the cytoplasmic domains of the cargo proteins. The short cytoplasmic tail of BACE-1 with 23 amino acids contains a sorting signal of the acidic cluster, di-leucine (ACDL) type. The two Leu residues in this determinant are important for the clathrin mediated endocytosis of BACE-1, whereas the acidic residues together with the Leu are required for the endosomal sorting and recycling of BACE-1 back to the plasma membrane. The ACDL motif binds to the members of the GGA (Golgi-localized γ ear-containg ARF- binding proteins) family (GGA1-GGA3) that are involved in the sorting of BACE-1.
One of the major aims of this study was to address the role of flotillins in the intracellular sorting of BACE-1. This study shows that flotillin-1 directly binds to the di-leucine motif in the cytoplasmic tail of BACE-1, whereas flotillin-2 only shows an association mediated by flotillin-1. Flotillin-1 competes with GGA2 for the binding to BACE-1 tail, and thus influences the endosomal sorting of BACE-1. Importantly, depletion of flotillins results in an altered localization of the wildtype BACE-1, whereas the plasma membrane resident Leu to Ala (LLAA) mutant is not affected. Flotillin knockdown results in an accumulation of BACE-1, implicating reduced degradation and enhanced stability of this protease. Thus, flotillins appear to be important for the cellular targeting of BACE-1 and also influence the amyloidogenic processing of APP, as demonstrated by an increase in the amyloidogenic C-99 processing fragments.
When flotillin depleted cells were subjected to apoptotic stresses including Aβ25-35 synthetic peptide (inducer of the extrinsic apoptosis pathway) or several chemotherapeutic agents (staurosporine, brefeldin A, doxorubicin, carboplatin and paclitaxel: intrinsic apoptosis pathway) and cytotoxicity was determined, various apoptotic markers were activated in flotillin depleted cells. Caspase-3 and GGA3 are well accepted apoptosis markers and an enhanced caspase-3 cleavage was detected upon STS induced apoptosis in SH-SY5Y, HeLa, and HaCaT cell lines and increased GGA3 cleavage was observed in MCF7 cell line.
One of the major reasons for the apoptotic sensitivity in the absence of flotillins was a PI3K/Akt signaling defect. Neuroblastoma cells depleted of flotillins showed diminished levels of total Akt, phospho-Akt and phospho-ERK upon STS induced apoptosis. Since PI3K/Akt was the primary survival pathway affected upon STS induced apoptosis, ectopic expression of Akt in neuroblastoma cell line reduced caspase-3 cleavage and retarded apoptosis.
The direct downstream target of Akt is FOXO3a, whose localization was investigated in flotillin depleted cells. A major proportion of FOXO3a was localized in the nucleus of flotillin knockdown cells, implicating that FOXOs are active in these cells and subsequently trigger the transcription of death genes. Strikingly, an essential anti-apoptotic molecule and a major cancer target, Mcl-1, was inherently downregulated in flotillin knockdown cells. Mcl-1 is a chief member of the Bcl-2 family as it plays a pivotal role in cell survival and it is a critical protein in cancer therapeutics as suppression of Mcl-1 protein can curtail the survival and growth of tumorous cells.
Neuroblastoma cells were rescued from undergoing permanent damage due to STS induced apoptosis by overexpression of anti-apoptotic Bcl-2. Phorbol esters are well known PKC activators, and pre-treatment of neuroblastoma cells with phorbol esters along with staurosporine reduced caspase-3 cleavage.
These results demonstrate that absence of flotillins can sensitize cellular systems to apoptosis induction. The two main characteristics of cancer cells include resistance to apoptosis and unresponsiveness to chemotherapeutic agents. It is a well established fact that impaired apoptosis is central to tumour development. This study implicates that the downregulation of flotillin function can trigger cellular susceptibility and enhances apoptosis in response to conventional chemotherapeutic agents. Therefore, flotillins can serve as vital regulators in providing a more rational approach in molecular-targeted therapies for receding cancer growth and survival.
5-lipoxygenase (5-LO) is an enzyme with a substantial role in inflammatory processes. In vitro kinase assays using [32P]-ATP in combination with mutagenesis have revealed that serine residues 271, 523 and 663 can be phosphorylated by MK2, PKA and ERK2 kinases, respectively. A few available reports regarding 5-LO protein sequence have covered up to 30% of the sequence after amino acid sequencing including Ser663. In LCMS/MS analyses of 5-LO tryptic digests from different cellular sources different peptides have been detected; however, none of the three phosphorylations has been detected and only Ser663 was included in the covered sequence.
As there was no comprehensive mass spectrometric analysis of 5-LO, the purpose of this study was to optimize the experimental conditions under which detection of the aforementioned phosphorylation events, as well as other possible post-translational modifications (PTMs), would be feasible. Matrix-Assisted Laser Desorption/Ionization Mass Spectrometry (MALDI-MS) was used for peptide analysis of 5-LO cleaved either by chemical reagents or by proteases. Sequence coverage of 5-LO could be enhanced to be close to completion by combination of results from digestions by trypsin, AspN and chymotrypsin. In-gel trypsin digestion followed by in-solution AspN digestion proved to be a useful sample treatment for reproducible detection of the Ser271-containing peptide.
Nevertheless, in none of the examined cleavage protocols the sequence around Ser523 was detected reproducibly or with acceptable signal intensity for subsequent peptide fragmentation. Propionic anhydride and sulfo-NHS-SS-biotin cross-linker (EZ-linkTM), were used for derivatization of lysine side chains and hindrance of lysine residue recognition by trypsin. Phosphopeptide enrichment became possible after tryptic digestion of these samples, not only due to formation of an individual Ser523-containing peptide, but also because TiO2-mediated enrichment, which is performed in acidic pH, was not impaired by positively charged free lysine side chains. Additionally, biotinylation of lysine residues was exploited for an intermediate enrichment step of the lysine containing peptides, prior to TiO2 phosphopeptide enrichment.
MALDI-MS analysis after in-vitro phosphorylation of 5-LO by the three kinases showed that Ser271 was phosphorylated in the MK2 and PKA kinase assays, while Ser523 was phosphorylated only in the PKA kinase assay. Surpisingly, no phosphopeptides were detected in the in-vitro kinase assays with ERK2, even though the unmodified counterpart of the Ser663-containing peptide was easily detected. The detection limit for each of the three phosphorylation sites was determined by the use of custom made phosphopeptides and an amount of 0.06 pmol of phosphopeptide in 1 μg 5-LO (representing 0.5% phosphorylation rate) was sufficient in all cases for successful enrichment and detection by MS.
In-vitro kinase assays with [32P]-ATP were performed for some kinases that were expected to phosphorylate 5-LO according to in-silico data. Three members of the Src tyrosine kinase family (Fgr, Hck and Yes) and the Ser/Thr specific kinase DNA-PK used 5-LO as their substrate and mainly residues at the N-terminal part of 5-LO were detected phosphorylated by MS (e.g. Y42, Y53). Additional in-vitro assays for recombinant 5-LO modification included incubation with glutathione or compound U73122, previously described as inhibitor of 5-LO.
Since in-vitro assays might have generated artifacts, a method for 5-LO purification from human cells was sought, in order to examine the modification state of the protein in the cellular context. ATP-agarose affinity purification and anti-5-LO immunoprecipitation proved inappropriate for sample purification for MALDI-MS analysis. Consequently, two human cell lines that are able to express 5-LO (Rec-1 Blymphocytes and MM6 monocytes) were transduced with a DNA cassette that contained recombinant human 5-LO sequence with an attached N-terminal FLAG-tag. Anti-FLAG immunoprecipitation was then performed effectively in cell lysates and the precipitated FLAG-5-LO was separated by SDS-PAGE before MALDI-MS analysis.
The examined cell stimuli were expected to result to phosphorylation of 5-LO at Ser523 by PKA in Rec-1 cells and to phosphorylation of Ser271 and/or Ser663 in MM6 cells by activated MK2 and ERK2, respectively. Additionally, under the conditions of MM6 cell stimulation, Fgr, Hck and Yes kinases, which phosphorylated 5-LO in vitro, were expected to be activated and the possibility of 5-LO phosphorylation on tyrosine was investigated. Although immunoblotting results indicated that all the aforementioned phosphorylation events existed in the examined samples, MALDI-MS analysis verified only phosphorylation on Ser271 in differentiated MM6 cells, interestingly regardless of cell stimulation.
Finally, the primary amine derivatization procedure by EZ-linkTM was utilized for MS analysis of lysine rich proteins. In the past, chemical propionylation of histones had been employed prior to trypsin digestion; however it was easily confused in MS with combinations of other PTMs (e.g. acetylation, methylation). Moreover, propionylation is a PTM for histone H3 and this information was lost. Consequently, the EZ-link reagent was more useful for analysis of histones, as unambiguous assignment of PTMs and detection of native propionylation on bovine H3 became possible.
Mechanisms behind how the immune system signals to the brain in response to systemic inflammation are not fully understood. Transgenic mice expressing Cre recombinase specifically in the hematopoietic lineage in a Cre reporter background display recombination and marker gene expression in Purkinje neurons. Here we show that reportergene expression in neurons is caused by intercellular transfer of functional Cre recombinase messenger RNA from immune cells into neurons in the absence of cell fusion. In vitro purified secreted extracellular vesicles (EVs) from blood cells contain Cre mRNA, which induces recombination in neurons when injected into the brain. Although Cre-mediated recombination events in the brain occur very rarely in healthy animals, their number increases considerably in different injury models, particularly under inflammatory conditions, and extend beyond Purkinje neurons to other neuronal populations in cortex, hippocampus, and substantia nigra. Recombined Purkinje neurons differ in their miRNA profile from their nonrecombined counterparts, indicating physiological significance. These observations reveal the existence of a previously unrecognized mechanism to communicate RNA-based signals between the hematopoietic system and various organs, including the brain, in response to inflammation.
Securities transaction tax in France: impact on market quality and inter-market price coordination
(2014)
The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are theoretically predicted, but have not been empirically tested yet. In light of the agreement of eleven European member states to implement an STT, this study aims to give a comprehensive overview of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter-market information transmission. The results show that the STT has led to a decline in liquidity demand, has had a detrimental effect on liquidity supply and negatively influences the inter-market information transmission efficiency. However, no effect on volatility can be observed.
In the United States, on April 1, 2014, the set of rules commonly known as the "Volcker Rule", prohibiting proprietary trading activities in banks, became effective. The implementation of this rule took more than three years, as “proprietary trading” is an inherently vague concept, overlapping strongly with genuinely economically useful activities such as market-making. As a result, the final Rule is a complex and lengthy combination of prohibitions and exemptions.
In January 2014, the European Commission put forward its proposal on banking structural reform. The proposal includes a Volcker-like provision, prohibiting large, systemically relevant financial institutions from engaging in proprietary trading or hedge fund-related business. This paper offers lessons to be learned from the implementation process for the Volcker rule in the US for the European regulatory process.
Financial innovation is, as usual, faster than regulation. New forms of speculation and intermediation are rapidly emerging. Largely as a result of the evaporation of trust in financial intermediation, an exponentially increasing role is being played by the so-called peer to peer intermediation. The most prominent example at the moment is Bitcoin.
If one expects that shocks in these markets could destabilize also traditional financial markets, then it will be necessary to extend regulatory measures also to these innovations.