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The market reaction to legal shocks and their antidotes : lessons from the sovereign debt market
(2008)
This Article examines the market reaction to a series of legal events concerning the judicial interpretation of the pari passu clause in sovereign debt instruments. More generally, the Article provides insights into the reactions of investors (predominantly financial institutions), issuers (sovereigns), and those who draft bond covenants (lawyers), to unanticipated changes in the judicial interpretation of certain covenant terms.
How do fiscal and technology shocks affect real exchange rates? : New evidence for the United States
(2008)
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive robust restrictions on the sign of several impulse responses from a two-country general equilibrium model. We find that both the real exchange rate and the terms of trade – whose responses are left unrestricted – depreciate in response to expansionary government spending shocks and appreciate in response to positive technology shocks.
Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains from trade to the Xetra LOB market at the Frankfurt Stock Exchange (FSE) in order to evaluate its performance in this respect. Therefore this paper looks deeply into HMSS’s base model and provides a structured recipe for the planned implementation with Xetra LOB data. The contribution of this paper lies in the modification of HMSS’s methodology with respect to the particularities of the Xetra trading system that are not yet considered in HMSS’s base model. The necessary modifications, as expressed in terms of empirical caveats, are substantial to derive unbiased market efficiency measures for Xetra in the end.
We explore the pattern of elderly homeownership using microeconomic surveys of 15 OECD countries, merging 60 national household surveys on about 300,000 individuals. In all countries the survey is repeated over time, permitting construction of an international dataset of repeated cross-sectional data. We find that ownership rates decline considerably after age 60 in all countries. However, a large part of the decline depends on cohort effects. Adjusting for them, we find that ownership rates start falling after age 70 and reach a percentage point per year decline after age 75. We find that differences across country ownership trajectories are correlated with indicators measuring the degree of market regulations.
This paper introduces adaptive learning and endogenous indexation in the New-Keynesian Phillips curve and studies disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation-targeting countries, in particular the gradual Chilean disinflation with temporary annual targets. At the start of the disinflation episode price-setting firms’ expect inflation to be highly persistent and opt for backward-looking indexation. As the central bank acts to bring inflation under control, price-setting firms revise their estimates of the degree of persistence. Such adaptive learning lowers the cost of disinflation. This reduction can be exploited by a gradual approach to disinflation. Firms that choose the rate for indexation also re-assess the likelihood that announced inflation targets determine steady-state inflation and adjust indexation of contracts accordingly. A strategy of announcing and pursuing short-term targets for inflation is found to influence the likelihood that firms switch from backward-looking indexation to the central bank’s targets. As firms abandon backward-looking indexation the costs of disinflation decline further. We show that an inflation targeting strategy that employs temporary targets can benefit from lower disinflation costs due to the reduction in backward-looking indexation.
Monetary policy analysts often rely on rules-of-thumb, such as the Taylor rule, to describe historical monetary policy decisions and to compare current policy to historical norms. Analysis along these lines also permits evaluation of episodes where policy may have deviated from a simple rule and examination of the reasons behind such deviations. One interesting question is whether such rules-of-thumb should draw on policymakers "forecasts of key variables such as inflation and unemployment or on observed outcomes. Importantly, deviations of the policy from the prescriptions of a Taylor rule that relies on outcomes may be due to systematic responses to information captured in policymakers" own projections. We investigate this proposition in the context of FOMC policy decisions over the past 20 years using publicly available FOMC projections from the biannual monetary policy reports to the Congress (Humphrey-Hawkins reports). Our results indicate that FOMC decisions can indeed be predominantly explained in terms of the FOMC´s own projections rather than observed outcomes. Thus, a forecast-based rule-of-thumb better characterizes FOMC decision-making. We also confirm that many of the apparent deviations of the federal funds rate from an outcome-based Taylor-style rule may be considered systematic responses to information contained in FOMC projections.
Risk transfer with CDOs
(2008)
Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different tranches of a CDO transaction when the underlying asset returns are driven by a common macro factor and an idiosyncratic component. Junior and senior tranches are found to be nearly orthogonal, motivating a search for the whereabout of systematic risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in contrast to a widely-held claim, we show that (extreme) tail risk in standard CDO transactions is held by all tranches. While junior tranches take on all types of systematic risk, senior tranches take on almost no non-tail risk. This is in stark contrast to an untranched bond portfolio of the same rating quality, which on average suffers substantial losses for all realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets.
We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The alleged incentive suggested by the New Basel Capital Accord (Basel II), amely decreasing minimum capital requirements by allowing for less than perfect correlation, may not necessarily be attainable.
The paper proposes a panel cointegration analysis of the joint development of government expenditures and economic growth in 23 OECD countries. The empirical evidence provides indication of a structural positive correlation between public spending and per-capita GDP which is consistent with the so-called Wagner´s law. A long-run elasticity larger than one suggests a more than proportional increase of government expenditures with respect to economic activity. In addition, according to the spirit of the law, we found that the correlation is usually higher in countries with lower per-capita GDP, suggesting that the catching-up period is characterized by a stronger development of government activities with respect to economies in a more advanced state of development.
Natural killer (NK) cells are white blood lymphocytes of the innate immune system that have diverse biological functions, including recognition and destruction of certain microbial infections and neoplasms [1]. NK cells comprise ~ 10% of all circulating lymphocytes and are also found in peripheral tissues including the liver, peritoneal cavity and placenta. Resting NK cells circulate in the blood, but, following activation by cytokines, they are capable of extravasation and infiltration into most tissues that contain pathogen-infected or malignant cells [2-5]. NK cells discriminate between normal and abnormal cells (infected or transformed) through engagement and dynamic integration of multiple signaling pathways, which are initiated by germline-encoded receptors [6-8]. Healthy cells are protected from NK cell-mediated lysis by expression of major histocompatibility complex (MHC) class I ligands for NK cell inhibitory receptors [6, 9]. The MHC is a group of highly polymorphic glycoproteins that are expressed by every nucleated cell of vertebrates, and that are encoded by the MHC gene cluster. The human MHC molecules are termed human leucocyte antigen (HLA)-A, B and C molecules. Every NK cell expresses at least one inhibitory receptor that recognizes a self-MHC class I molecule. So, normal cells that express MHC class I molecules are protected from self-NK cells, but transformed or infected cells that have down-regulated MHC class I expression are attacked by NK cells [10]. There are 2 distinct subsets of human NK cells identified mainly by cell surface density of CD56. The majority (approximately 90%) of human NK cells are CD56dimCD16bright and express high levels of FcγRIII (CD16), whereas a minority (approximately 10%) are CD56brightCD16dim/- [11]. Resting CD56dim NK cells are more cytotoxic against NK-sensitive targets than CD56bright NK cells [12]. However, after activation with interleukin (IL)-2 or IL-12, CD56bright cells exhibit similar or enhanced cytotoxicity against NK targets compared to CD56dim cells [12-14]. The functions of NK cells are regulated by a balance of signals (Fig. 1.1). These are transmitted by inhibitory receptors, which bind MHC class I molecules, and activating receptors, which bind ligands on tumors and virus-infected cells [15]. These receptors are completely encoded in the genome, rather than being generated by somatic recombinations, like T- and B-cell receptors.
In this work the nuclear structure of exotic nuclei and superheavy nuclei is studied in a relativistic framework. In the relativistic mean-field (RMF) approximation, the nucleons interact with each other through the exchange of various effective mesons (scalar, vector, isovector-vector). Ground state properties of exotic nuclei and superheavy nuclei are studied in the RMF theory with the three different parameter sets (ChiM, NL3, NL-Z2). Axial deformation of nuclei within two drip lines are performed with the parameter set (ChiM). The position of drip lines are investigated with three different parameter sets (ChiM, NL3, NL-Z2) and compared with the experimental drip line nuclei. In addition, the structure of hypernuclei are studied and for a certain isotope, hyperon halo nucleus is predicted.
In this work we study the non-equilibrium dynamics of a quark-gluon plasma, as created in heavy-ion collisions. We investigate how big of a role plasma instabilities can play in the isotropization and equilibration of a quark-gluon plasma. In particular, we determine, among other things, how much collisions between the particles can reduce the growth rate of unstable modes. This is done both in a model calculation using the hard-loop approximation, as well as in a real-time lattice simulation combining both classical Yang-Mills-fields as well as inter-particle collisions. The new extended version of the simulation is also used to investigate jet transport in isotropic media, leading to a cutoff-independent result for the transport coefficient $hat{q}$. The precise determination of such transport coefficients is essential, since they can provide important information about the medium created in heavy-ion collisions. In anisotropic media, the effect of instabilities on jet transport is studied, leading to a possible explanation for the experimental observation that high-energy jets traversing the plasma perpendicular to the beam axis experience much stronger broadening in rapidity than in azimuth. The investigation of collective modes in the hard-loop limit is extended to fermionic modes, which are shown to be all stable. Finally, we study the possibility of using high energy photon production as a tool to experimentally determine the anisotropy of the created system. Knowledge of the degree of local momentum-space anisotropy reached in a heavy-ion collision is essential for the study of instabilities and their role for isotropization and thermalization, because their growth rate depends strongly on the anisotropy.
Risk transfer with CDOs
(2008)
Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different tranches of a CDO transaction when the underlying asset returns are driven by a common macro factor and an idiosyncratic component. Junior and senior tranches are found to be nearly orthogonal, motivating a search for the where about of systematic risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in contrast to a widely-held claim, we show that (extreme) tail risk in standard CDO transactions is held by all tranches. While junior tranches take on all types of systematic risk, senior tranches take on almost no non-tail risk. This is in stark contrast to an untranched bond portfolio of the same rating quality, which on average suffers substantial losses for all realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets.
Methodology and Objects: Methodologically, from a diachronic linguistics perspective regarding the concept of the shin, spirits in folk belief in China and neighbouring cultures, we compare texts that comprise meanings a) historically in the local language and b) compared to the meanings of equivalent terms in languages of other cultures. Comparing sources of this belief, we examine if and how the shin belief can serve as an example of communication across cultural borders including practical forms of worshipping. Argumentation: We argue that the concept of the shin is across cultural and national borders a result from folk culture transcending political or cultural borders transmitted via migration of ethnic groups. Although similar, mind concepts of different cultures and groups never melted; evidence for this independence gives the Islamic distinctive separation between shin and jinn in this area in the Chinese Quran and other spiritual Chinese writings. On the other hand, the practice of worshipping is similar. Conclusions: A spiritual concept like shin varies in practice in different areas. Central Asia as the melting pot of Chinese and Middle East culture shows the cultural practice of Shamanism with shin belief, complex mind concepts like in Daoism, and religions incorporating shin belief (Islam). Observed changes in the particular local languages show the continuity of the local set of meanings. Multilingual and multicultural areas such as Central Asia rather integrate new words to increase their thesaurus with new meanings than to change the set of previous existing meanings in the languages. Arabic as a language of conquerors in Central Asia is a typical example for such a language that serves as a tool to set up new meanings.
Background The EGF receptor has been shown to internalize via clathrin-independent endocytosis (CIE) in a ligand concentration dependent manner. From a modeling point of view, this resembles an ultrasensitive response, which is the ability of signaling networks to suppress a response for low input values and to increase to a pre-defined level for inputs exceeding a certain threshold. Several mechanisms to generate this behaviour have been described theoretically, the underlying assumptions of which, however, have not been experimentally demonstrated for the EGF receptor internalization network. Results Here, we present a mathematical model of receptor sorting into alternative pathways that explains the EGF-concentration dependent response of CIE. The described mechanism involves a saturation effect of the dominant clathrin-dependent endocytosis pathway and implies distinct steady-states into which the system is forced for low vs high EGF stimulations. The model is minimal since no experimentally unjustified reactions or parameter assumptions are imposed. We demonstrate the robustness of the sorting effect for large parameter variations and give an analytic derivation for alternative steady-states that are reached. Further, we describe extensibility of the model to more than two pathways which might play a role in contexts other than receptor internalization. Conclusions Our main result is that a scenario where different endocytosis routes consume the same form of receptor corroborates the observation of a clear-cut, stimulus dependent sorting. This is especially important since a receptor modification discriminating between the pathways has not been found. The model is not restricted to EGF receptor internalization and might account for ultrasensitivity in other cellular contexts.
The fear that with the existence of an unconditional basic income sufficient for living many people would cease to engage in a productive life, would only relax, consume and devote to having fun, can be addressed from different perspectives. One of these is the sociology of religion, which allows elaborating the argument that with such a way of life the question about the meaning of life cannot be answered. But this "meaning question", the whole research within the field of the sociology of religion speaks for this, compellingly must be answered by each life praxis. It cannot remain unanswered, as is said already in the Bible: "Man does not live on bread alone, [but on every word that comes from the mouth of God.]" (5. Moses 8.3, Matthew 4.4, Lukas 4.4) The paper examines the reasons of this fact and its consequences in regard to a life with an unconditional basic income sufficient for living.
Crohn´s disease (CD) and Ulcerative colitis (UC) are idiopathic inflammatory disorders. Environmental factors, infectious microbes, ethnic origin, genetic susceptibility, and a dysregulated immune system can result in mucosal inflammation. However, the etiology of both CD and UC still remains largely unclear. Inflammatory bowel diseaserelated animal models suggest that a combination of genetic susceptibility factors and altered immune response driven by microbial factors in the enteric environment may contribute to the initiation and chronification of the disease. The intestinal immune system represents a complex network of different lymphoid and non-lymphoid cell populations as well as humoral factors. In inflammatory bowel disease, the controlled balance of the intestinal immune system is disturbed at all levels. In CD, naïve T cells preferably differentiate into Th1 or Th17 producing cells, while in UC, these cells differentiate into aberrant Th2 cells. Overall, in active inflammatory bowel disease effector T cell activity (Th1, Th17, Th2) predominates over regulatory T cells. Animal models of intestinal inflammation are indispensable for our understanding of the pathogenesis of CD and UC. When chosen appropriately, these models proved to be a helpful tool to investigate pathophysiological mechanisms, as well as to test emerging therapeutic options in the preclinical phase. 2,4,6-Trinitrobenzene sulfonic acid (TNBS) and oxazolone are the two major chemicals applied to induce Th1- and Th2-skewed intestinal inflammation, respectively. Colitis can be induced in susceptible strains of mice by intrarectal instillation of the haptenating substances TNBS or oxazolone in ethanol, which is necessary for an initial desintegration of the epithelial barrier. TNBS or oxazolone are believed to haptenize colonic autologous or microbiotic proteins rendering them immunogenic to the host immune system. While TNBS administration in the presence of ethanol results in a transmural infiltrative disease in the entire colon based on an IL-12/IL-23 driven, Th1-or Th17 mediated response, oxazolone instillation finally leads to a colitis caused by a polarized Th2 IL-13-dominated lymphocyte response. Rectal oxazolone instillation in ethanol produces a more superficial inflammation that affects the distal half of the colon rather than the whole colon. Therapeutic modulation of the disturbed immune response in patients with inflammatory bowel disease still represents a complex challenge in the clinic. Currently, none of the therapeutic measure are disease specific and they generally target the pathophysiology downstream of the driving immunpathology. So, there is still the need to develop a tailored approach to prevention of the initiation and perpetuation of the inflammatory cascade before tissue injury occurs. One important aspect of this approach might involve the induction or re-establishment of immunological tolerance. FTY720 following rapid phosphorylation to FTY-P by endogenous sphingosine kinases acts as a sphingosine-1-phosphate (S1P) receptor agonist and represents the prototype of a new generation of S1P receptor modulators. While changing currently its proposed mode of action still focus on the fact, that FTY720 effectively inhibits the egress of T-cells from lymph nodes, thereby reducing the number of antigen-primed/restimulated cells that re-circulate to peripheral inflammatory tissues. However, recent studies indicate, that its immunomodulatory properties might be more complex and exerted not only via interactions with other S1P receptor subtypes but also via a direct modulation of the inflammatory capacity of dendritic cells (DC) resulting in a modified regulation of T cell effector functions as well as in an induction of regulatory T cells and function. 1,25(OH)2D3, the active form of vitamin D, is a secosteroid hormone that has in addition to its central function in calcium and bone metabolism pronounced immune regulatory properties. The biological effects of calcitriol are mediated by the vitamin D receptor (VDR), a member of the superfamily of nuclear hormone receptors. A number of studies identified calcitriol/VDR as prominent negative regulators of Th1-type immune responses, whereas Th2 responses are not affected or even augmented. These effects have been mainly explained by direct activities on lymphocytes, subsequent studies clearly supported a role of calcitriol in modulating monocyte differentiation or DC maturation. However, to translate the immunosuppressive capacities of calcitriol into an effective immunointervention, a great challenge was the design of structural analogs of calcitriol that are devoid of adverse effects related to hypercalcemic activity. The intense study of the 25-oxa series generated a large number of calcitriol analogs exhibiting substantial dissociation between possible immunomodulatory capacities and undesired hypercalcemia. Especially, the combination of the 22-ene modification with the 25-oxa element as realized in ZK156979 yielded a very promising set of new analogs for further characterization in animal models resembling human autoimmune diseases. So, the overall aim of the studies presented here was to evaluate strategies of enhancing regulatory immunity in mouse models of Th1- and Th2-mediated colitis as a new therapeutic approach. To this end we used FTY720, 22-ene-25-oxa vitamin D (ZK156979), as well as the combination of calcitriol and dexamethasone to evaluate the respective pro-tolerogenic potential in intestinal inflammation models in mice. First, to induce Th1-mediated colitis a rectal enema of TNBS was given to Balb/c mice. FTY720 was administered i.p. from day 0-3 or 3-5. FTY720 substantially reduced all clinical, histopathologic, macroscopic, and microscopic parameters of colitis analyzed. The therapeutic effects of FTY720 were associated with a down-regulation of IL-12p70 and subsequent Th1 cytokines. Importantly, FTY720 treatment resulted in a prominent up-regulation of FoxP3, IL-10, TGFβ and CTLA4. Moreover, we observed a significant increase of CD25 and FoxP3 expression in isolated lamina propria CD4+ T cells of FTY720-treated mice. The impact of FTY720 on regulatory T cell induction was further confirmed by concomitant in vivo blockade of CTLA4 or IL-10R which significantly abrogated its therapeutic activity. Thus, our data provide new and strong evidence that besides its well-established migratory properties FTY720 down-regulates proinflammatory signals while simultaneously inducing the functional activity of CD4+CD25+ regulatory T cells. In a second approach, the rectal instillation of oxazolone yielded a Th2-mediated colitis. Treatment with FTY720 prominently reduced the clinical and histopathologic severity of oxazolone-induced colitis, abrogating body weight loss, diarrhea, and macroscopic and microscopic intestinal inflammation. The therapeutic effects of FTY720 were associated with a prominent reduction of the key Th2 effector cytokines IL-13, IL-4 and IL-5. Moreover, FTY720 inhibited GATA3 and T1/ST2 expression, which represent distinct markers for Th2 differentiation and Th2 effector function. Thus, our data are supportive for the view that FTY720 exhibits beneficial prophylactic as well as therapeutic effects in Th2-mediated experimental colitis by directly affecting Th2 cytokine profiles, probably by reducing GATA3 and T1/ST2. Recently, we described 22-ene-25-oxa-vitamin D (ZK156979) as a representative of a novel class of low calcemic vitamin D analogs showing prominent immunomodulative capacities. Here, we used the Th1-mediated TNBS colitis to test its anti-inflammatory properties in vivo. We found that treatment with ZK156979 clearly inhibited the severity of TNBS-induced colitis without exhibiting calcemic effects. Both early and late treatment abrogated all the clinical macroscopic and microscopic parameters of colitis severity; in addition we observed a clear down-regulation of the relevant Th1 cytokine pattern including the T-box transcription factor, T-bet. On the other hand, application of ZK156979 increased local tissue IL-10 and IL-4. Finally, as a new approach we evaluated the pro-tolerogenic potential of calcitriol and dexamethasone in acute Th1-mediated colitis. Calcitriol and/or dexamethasone were administered i.p. from day 0-3 or from day 3-5 following the instillation of the haptenating agent. The combination of these steroids most effectively reduced the clinical and histopathologic severity of TNBS colitis. Th1-related parameters were down- while Th2 markers like IL-4 and GATA3 were up-regulated. Clearly distinguishable from known steroid effects calcitriol in particular promoted regulatory T cell profiles as indicated by a marked increase of IL-10, TGFß, FoxP3 and CTLA4. Furthermore, analysis of DC mediators responsible for a pro-inflammatory differentiation of T cells revealed a clear reduction of IL-12p70, and IL23p19 as well as IL-6 and IL-17. Thus, our data suggest the concept of a steroid-sparing application of calcitriol derivatives in inflammatory bowel disease. Furthermore, the data presented suggest that early markers of inflammatory DC and Th17 differentiation might qualify as new target molecules for both calcitriol as well as for selective immune modulating vitamin D analogs. In conclusion the data of these published investigations added to the substantial progress in understanding the biology of tolerogenic DC and regulatory T cells with respect to their roles in health and disease achieved in the past years. This has led to an increasing interest in the possibility of using DC and regulatory T cells as biological therapeutics to preserve and restore tolerance to self antigens and alloantigens. Especially DC may be helpful to exert their important roles in directing tolerance and immunity by modulation of subpopulations of effector T cells and regulatory T cells. The data demonstrated in the present studies may assist to define the divergent implications of new therapeutic concepts for the treatment of inflammatory bowel disease, especially with regard to a possible auspicious impact on pro-tolerogenic DC and regulatory T cell functions. However, further studies are needed to fulfil our understanding of the complex immunomodulatory profiles of FTY720 as well as of calcitriol and its low calcemic analog ZK156979, thus accelerating their entry into the clinic as new therapeutic options for the cure of inflammatory bowel disease.