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.

Inhibition of adaptive immune responses leads to a fatal clinical outcome in SIV-infected pigtailed macaques but not vervet African green monkeys.

African green monkeys (AGM) and other natural hosts for simian immunodeficiency virus (SIV) do not develop an AIDS-like disease following SIV infection. To evaluate differences in the role of SIV-specific adaptive immune responses between natural and nonnatural hosts, we used SIV(agmVer90) to infect vervet AGM and pigtailed macaques (PTM). This infection results in robust viral replication in both vervet AGM and pigtailed macaques (PTM) but only induces AIDS in the latter species. We delayed the development of adaptive immune responses through combined administration of anti-CD8 and anti-CD20 lymphocyte-depleting antibodies during primary infection of PTM (n = 4) and AGM (n = 4), and compared these animals to historical controls infected with the same virus. Lymphocyte depletion resulted in a 1-log increase in primary viremia and a 4-log increase in post-acute viremia in PTM. Three of the four PTM had to be euthanized within 6 weeks of inoculation due to massive CMV reactivation and disease. In contrast, all four lymphocyte-depleted AGM remained healthy. The lymphocyte-depleted AGM showed only a trend toward a prolongation in peak viremia but the groups were indistinguishable during chronic infection. These data show that adaptive immune responses are critical for controlling disease progression in pathogenic SIV infection in PTM. However, the maintenance of a disease-free course of SIV infection in AGM likely depends on a number of mechanisms including non-adaptive immune mechanisms.

Asset pricing in created markets

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system. © 2007 American Agricultural Economics Association.

Carbon Markets: Past, Present, and Future

Carbon markets are substantial and they are expanding. There are many lessons from experiences over the past eight years: fewer free allowances, better management of market-sensitive information, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policymakers overseeing carbon markets must confront how to measure the comparability of efforts among markets and relative to a variety of other policy approaches.

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Carbon markets: Past, present, and future

© 2014 by Annual Reviews.Carbon markets are substantial and expanding. There are many lessons from experience over the past 9 years: fewer free allowances, careful moderation of low and high prices, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This architecture sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policy makers must confront how to measure both the comparability of efforts among markets and the comparability between markets and a variety of other policy approaches.

Fishing quota markets

In 1986, New Zealand responded to the open-access problem by establishing the world's largest individual transferable quota (ITQ) system. Using a 15-year panel dataset from New Zealand that covers 33 species and more than 150 markets for fishing quotas, we assess trends in market activity, price dispersion, and the fundamentals determining quota prices. We find that market activity is sufficiently high in the economically important markets and that price dispersion has decreased. We also find evidence of economically rational behavior through the relationship between quota lease and sale prices and fishing output and input prices, ecological variability, and market interest rates. Controlling for these factors, our results show a greater increase in quota prices for fish stocks that faced significant reductions, consistent with increased profitability due to rationalization. Overall, this suggests that these markets are operating reasonably well, implying that ITQs can be effective instruments for efficient fisheries management. © 2004 Elsevier Inc. All rights reserved.

Phytochrome diversity in green plants and the origin of canonical plant phytochromes.

Phytochromes are red/far-red photoreceptors that play essential roles in diverse plant morphogenetic and physiological responses to light. Despite their functional significance, phytochrome diversity and evolution across photosynthetic eukaryotes remain poorly understood. Using newly available transcriptomic and genomic data we show that canonical plant phytochromes originated in a common ancestor of streptophytes (charophyte algae and land plants). Phytochromes in charophyte algae are structurally diverse, including canonical and non-canonical forms, whereas in land plants, phytochrome structure is highly conserved. Liverworts, hornworts and Selaginella apparently possess a single phytochrome, whereas independent gene duplications occurred within mosses, lycopods, ferns and seed plants, leading to diverse phytochrome families in these clades. Surprisingly, the phytochrome portions of algal and land plant neochromes, a chimera of phytochrome and phototropin, appear to share a common origin. Our results reveal novel phytochrome clades and establish the basis for understanding phytochrome functional evolution in land plants and their algal relatives.