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.

Generalized sampling using a compound-eye imaging system for multi-dimensional object acquisition.

In this paper, we propose generalized sampling approaches for measuring a multi-dimensional object using a compact compound-eye imaging system called thin observation module by bound optics (TOMBO). This paper shows the proposed system model, physical examples, and simulations to verify TOMBO imaging using generalized sampling. In the system, an object is modulated and multiplied by a weight distribution with physical coding, and the coded optical signal is integrated on to a detector array. A numerical estimation algorithm employing a sparsity constraint is used for object reconstruction.

Fatty acid composition of wild anthropoid primate milks.

Fatty acids in milk reflect the interplay between species-specific physiological mechanisms and maternal diet. Anthropoid primates (apes, Old and New World monkeys) vary in patterns of growth and development and dietary strategies. Milk fatty acid profiles also are predicted to vary widely. This study investigates milk fatty acid composition of five wild anthropoids (Alouatta palliata, Callithrix jacchus, Gorilla beringei beringei, Leontopithecus rosalia, Macaca sinica) to test the null hypothesis of a generalized anthropoid milk fatty acid composition. Milk from New and Old World monkeys had significantly more 8:0 and 10:0 than milk from apes. The leaf eating species G. b. beringei and A. paliatta had a significantly higher proportion of milk 18:3n-3, a fatty acid found primarily in plant lipids. Mean percent composition of 22:6n-3 was significantly different among monkeys and apes, but was similar to the lowest reported values for human milk. Mountain gorillas were unique among anthropoids in the high proportion of milk 20:4n-6. This seems to be unrelated to requirements of a larger brain and may instead reflect species-specific metabolic processes or an unknown source of this fatty acid in the mountain gorilla diet.

The induced innovation hypothesis and energy-saving technological change

We develop a methodology for testing Hicks's induced innovation hypothesis by estimating a product-characteristics model of energy-using consumer durables, augmenting the hypothesis to allow for the influence of government regulations. For the products we explored, the evidence suggests that (i) the rate of overall innovation was independent of energy prices and regulations; (ii) the direction of innovation was responsive to energy price changes for some products but not for others; (iii) energy price changes induced changes in the subset of technically feasible models that were offered for sale; (iv) this responsiveness increased substantially during the period after energy-efficiency product labeling was required; and (v) nonetheless, a sizable portion of efficiency improvements were autonomous.

The reappearance hypothesis revisited: recurrent involuntary memories after traumatic events and in everyday life.

Recurrent involuntary memories are autobiographical memories that come to mind with no preceding retrieval attempt and that are subjectively experienced as being repetitive. Clinically, they are classified as a symptom of posttraumatic stress disorder. The present work is the first to systematically examine recurrent involuntary memories outside clinical settings. Study 1 examines recurrent involuntary memories among survivors of the tsunami catastrophe in Southeast Asia in 2004. Study 2 examines recurrent involuntary memories in a large general population. Study 3 examines whether the contents of recurrent involuntary memories recorded in a diary study are duplicates of, or differ from, one another. We show that recurrent involuntary memories are not limited to clinical populations or to emotionally negative experiences; that they typically do not come to mind in a fixed and unchangeable form; and that they show the same pattern regarding accessibility as do autobiographical memories in general. We argue that recurrent involuntary memories after traumas and in everyday life can be explained in terms of general and well-established mechanisms of autobiographical memory.

Revisiting the monoamine hypothesis of depression: a new perspective.

As the incidence of depression increases, depression continues to inflict additional suffering to individuals and societies and better therapies are needed. Based on magnetic resonance spectroscopy and laboratory findings, gamma aminobutyric acid (GABA) may be intimately involved in the pathophysiology of depression. The isoelectric point of GABA (pI = 7.3) closely approximates the pH of cerebral spinal fluid (CSF). This may not be a trivial observation as it may explain preliminary spectrophotometric, enzymatic, and HPLC data that monoamine oxidase (MAO) deaminates GABA. Although MAO is known to deaminate substrates such as catecholamines, indoleamines, and long chain aliphatic amines all of which contain a lipophilic moiety, there is very good evidence to predict that a low concentration of a very lipophilic microspecies of GABA is present when GABA pI = pH as in the CSF. Inhibiting deamination of this microspecies of GABA could explain the well-established successful treatment of refractory depression with MAO inhibitors (MAOI) when other antidepressants that target exclusively levels of monoamines fail. If further experimental work can confirm these preliminary findings, physicians may consider revisiting the use of MAOI for the treatment of non-intractable depression because the potential benefits of increasing GABA as well as the monoamines may outweigh the risks associated with MAOI therapy.

Chronic opioid therapy and opioid tolerance: a new hypothesis.

Opioids are efficacious and cost-effective analgesics, but tolerance limits their effectiveness. This paper does not present any new clinical or experimental data but demonstrates that there exist ascending sensory pathways that contain few opioid receptors. These pathways are located by brain PET scans and spinal cord autoradiography. These nonopioid ascending pathways include portions of the ventral spinal thalamic tract originating in Rexed layers VI-VIII, thalamocortical fibers that project to the primary somatosensory cortex (S1), and possibly a midline dorsal column visceral pathway. One hypothesis is that opioid tolerance and opioid-induced hyperalgesia may be caused by homeostatic upregulation during opioid exposure of nonopioid-dependent ascending pain pathways. Upregulation of sensory pathways is not a new concept and has been demonstrated in individuals impaired with deafness or blindness. A second hypothesis is that adjuvant nonopioid therapies may inhibit ascending nonopioid-dependent pathways and support the clinical observations that monotherapy with opioids usually fails. The uniqueness of opioid tolerance compared to tolerance associated with other central nervous system medications and lack of tolerance from excess hormone production is discussed. Experimental work that could prove or disprove the concepts as well as flaws in the concepts is discussed.