Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Agglomeration effects in foreign direct investment and the pollution haven hypothesis

Does environmental regulation impair international competitiveness of pollution-intensive industries to the extent that they relocate to countries with less stringent regulation, turning those countries into "pollution havens"? We test this hypothesis using panel data on outward foreign direct investment (FDI) flows of various industries in the German manufacturing sector and account for several econometric issues that have been ignored in previous studies. Most importantly, we demonstrate that externalities associated with FDI agglomeration can bias estimates away from finding a pollution haven effect if omitted from the analysis. We include the stock of inward FDI as a proxy for agglomeration and employ a GMM estimator to control for endogenous time-varying determinants of FDI flows. Furthermore, we propose a difference estimator based on the least polluting industry to break the possible correlation between environmental regulatory stringency and unobservable attributes of FDI recipients in the cross-section. When accounting for these issues we find robust evidence of a pollution haven effect for the chemical industry. © 2008 Springer Science+Business Media B.V.

Characterization of topographical effects on macrophage behavior in a foreign body response model.

Current strategies to limit macrophage adhesion, fusion and fibrous capsule formation in the foreign body response have focused on modulating material surface properties. We hypothesize that topography close to biological scale, in the micron and nanometric range, provides a passive approach without bioactive agents to modulate macrophage behavior. In our study, topography-induced changes in macrophage behavior was examined using parallel gratings (250 nm-2 mum line width) imprinted on poly(epsilon-caprolactone) (PCL), poly(lactic acid) (PLA) and poly(dimethyl siloxane) (PDMS). RAW 264.7 cell adhesion and elongation occurred maximally on 500 nm gratings compared to planar controls over 48 h. TNF-alpha and VEGF secretion levels by RAW 264.7 cells showed greatest sensitivity to topographical effects, with reduced levels observed on larger grating sizes at 48 h. In vivo studies at 21 days showed reduced macrophage adhesion density and degree of high cell fusion on 2 mum gratings compared to planar controls. It was concluded that topography affects macrophage behavior in the foreign body response on all polymer surfaces examined. Topography-induced changes, independent of surface chemistry, did not reveal distinctive patterns but do affect cell morphology and cytokine secretion in vitro, and cell adhesion in vivo particularly on larger size topography compared to planar controls.

The effect of nitric oxide surface flux on the foreign body response to subcutaneous implants.

Although the release of nitric oxide (NO) from biomaterials has been shown to reduce the foreign body response (FBR), the optimal NO release kinetics and doses remain unknown. Herein, polyurethane-coated wire substrates with varying NO release properties were implanted into porcine subcutaneous tissue for 3, 7, 21 and 42 d. Histological analysis revealed that materials with short NO release durations (i.e., 24 h) were insufficient to reduce the collagen capsule thickness at 3 and 6 weeks, whereas implants with longer release durations (i.e., 3 and 14 d) and greater NO payloads significantly reduced the collagen encapsulation at both 3 and 6 weeks. The acute inflammatory response was mitigated most notably by systems with the longest duration and greatest dose of NO release, supporting the notion that these properties are most critical in circumventing the FBR for subcutaneous biomedical applications (e.g., glucose sensors).

Improving Indwelling Glucose Sensor Performance: Porous, Dexamethasone-Releasing Coatings that Modulate the Foreign Body Response

Inflammation and the formation of an avascular fibrous capsule have been identified as the key factors controlling the wound healing associated failure of implantable glucose sensors. Our aim is to guide advantageous tissue remodeling around implanted sensor leads by the temporal release of dexamethasone (Dex), a potent anti-inflammatory agent, in combination with the presentation of a stable textured surface.

First, Dex-releasing polyurethane porous coatings of controlled pore size and thickness were fabricated using salt-leaching/gas-foaming technique. Porosity, pore size, thickness, drug release kinetics, drug loading amount, and drug bioactivity were evaluated. In vitro sensor functionality test were performed to determine if Dex-releasing porous coatings interfered with sensor performance (increased signal attenuation and/or response times) compared to bare sensors. Drug release from coatings monitored over two weeks presented an initial fast release followed by a slower release. Total release from coatings was highly dependent on initial drug loading amount. Functional in vitro testing of glucose sensors deployed with porous coatings against glucose standards demonstrated that highly porous coatings minimally affected signal strength and response rate. Bioactivity of the released drug was determined by monitoring Dex-mediated, dose-dependent apoptosis of human peripheral blood derived monocytes in culture.

The tissue modifying effects of Dex-releasing porous coatings were accessed by fully implanting Tygon® tubing in the subcutaneous space of healthy and diabetic rats. Based on encouraging results from these studies, we deployed Dex-releasing porous coatings from the tips of functional sensors in both diabetic and healthy rats. We evaluated if the tissue modifying effects translated into accurate, maintainable and reliable sensor signals in the long-term. Sensor functionality was accessed by continuously monitoring glucose levels and performing acute glucose challenges at specified time points.

Sensors treated with porous Dex-releasing coatings showed diminished inflammation and enhanced vascularization of the tissue surrounding the implants in healthy rats. Functional sensors with Dex-releasing porous coatings showed enhanced sensor sensitivity over a 21-day period when compared to controls. Enhanced sensor sensitivity was accompanied with an increase in sensor signal lag and MARD score. These results indicated that Dex-loaded porous coatings were able to elicit a favorable tissue response, and that such tissue microenvironment could be conducive towards extending the performance window of glucose sensors in vivo.

The diabetic pilot animal study showed differences in wound healing patters between healthy and diabetic subjects. Diabetic rats showed lower levels of inflammation and vascularization of the tissue surrounding implants when compared to their healthy counterparts. Also, functional sensors treated with Dex-releasing porous coatings did not show enhanced sensor sensitivity over a 21-day period. Moreover, increased in sensor signal lag and MARD scores were present in porous coated sensors regardless of Dex-loading when compared to bare implants. These results suggest that the altered wound healing patterns presented in diabetic tissues may lead to premature sensor failure when compared to sensors implanted in healthy rats.