Speculative dynamics in the term structure of interest rates

When long maturity bonds are traded frequently and traders have non-nestedinformation sets, speculative behavior in the sense of Harrison and Kreps (1978) arises.Using a term structure model displaying such speculative behavior, this paper proposesa conceptually and observationally distinct new mechanism generating time varying predictableexcess returns. It is demonstrated that (i) dispersion of expectations about futureshort rates is sufficient for individual traders to systematically predict excess returns and(ii) the new term structure dynamics driven by speculative trade is orthogonal to publicinformation in real time, but (iii) can nevertheless be quantified using only publicly availableyield data. The model is estimated using monthly data on US short to medium termTreasuries from 1964 to 2007 and it provides a good fit of the data. Speculative dynamicsare found to be quantitatively important, potentially accounting for a substantial fractionof the variation of bond yields and appears to be more important at long maturities.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

Migration across Spanish provinces: Evidence from the social security records (1978-1992)

This paper uses Social Security records to study internal migrationin Spain. This is the first paper that uses this data source, whichhas some advantages with respect to existing data sources: it includesonly job-seeking migrants and it allows to identify temporary migration. Within the framework of an extended gravity model, we estimate a Generalized Negative Binomial regression on gross migration flows between provinces. We quantify the effect of local labor market imbalances on workers' mobility and discuss the equilibrating role of internal migration in Spain. Our main results show that the effect of employment opportunities have changed after 1984; migrants seem to be more responsive to economic conditions but, consistently with previous studies for the Spanish labor market, the migration response to wage differentials is wrongly signed. Our analysis also confirms the larger internal mobility of highly qualified workers.

Reelin controls progenitor cell migration in the healty and pathological adult brain

Understanding the signals that control migration of neural progenitor cells in the adult brain may provide new therapeutic opportunities. Reelin is best known for its role in regulating cell migration during brain development, but we now demonstrate a novel function for reelin in the injured adult brain. First, we show that Reelin is upregulated around lesions. Second, experimentally increasing Reelin expression levels in healthy mouse brain leads to a change in the migratory behavior of subventricular zone-derived progenitors, triggering them to leave the rostral migratory stream (RMS) to which they are normally restricted during their migration to the olfactory bulb. Third, we reveal that Reelin increases endogenous progenitor cell dispersal in periventricular structures independently of any chemoattraction but via cell detachment and chemokinetic action, and thereby potentiates spontaneous cell recruitment to demyelination lesions in the corpus callosum. Conversely, animals lacking Reelin signaling exhibit reduced endogenous progenitor recruitment at the lesion site. Altogether, these results demonstrate that beyond its known role during brain development, Reelin is a key player in post-lesional cell migration in the adult brain. Finally our findings provide proof of concept that allowing progenitors to escape from the RMS is a potential therapeutic approach to promote myelin repair.

MYADM regulates Rac1 targeting to ordered membranes required for cell spreading and migration

Membrane organization into condensed domains or rafts provides molecular platforms for selective recruitment of proteins. Cell migration is a general process that requires spatiotemporal targeting of Rac1 to membrane rafts. The protein machinery responsible for making rafts competent to recruit Rac1 remains elusive. Some members of the MAL family of proteins are involved in specialized processes dependent on this type of membrane. Because condensed membrane domains are a general feature of the plasma membrane of all mammalian cells, we hypothesized that MAL family members with ubiquitous expression and plasma membrane distribution could be involved in the organization of membranes for cell migration. We show that myeloid-associated differentiation marker (MYADM), a protein with unique features within the MAL family, colocalizes with Rac1 in membrane protrusions at the cell surface and distributes in condensed membranes. MYADM knockdown (KD) cells had altered membrane condensation and showed deficient incorporation of Rac1 to membrane raft fractions and, similar to Rac1 KD cells, exhibited reduced cell spreading and migration. Results of rescue-of-function experiments by expression of MYADM or active Rac1L61 in cells knocked down for Rac1 or MYADM, respectively, are consistent with the idea that MYADM and Rac1 act on parallel pathways that lead to similar functional outcomes.

Cervical cancer: incidence and survival in migrants within Spain

This study examined the incidence of cervical cancer and survival rates according to migrant experience of women from different regions of Spain to Girona, Catalonia (Spain). DESIGN--Using data from the population based cancer registry of Girona for the period 1980-89, crude and age adjusted incidence rates were calculated for local-born and first generation migrants from other Spanish regions. The age standardised rate ratio (SRR) was calculated and Cox's regression model was used to adjust survival according to migrant status for age and stage at diagnosis. MAIN RESULTS--The incidence of cervical cancer was significantly higher in first generation Spanish migrants compared with locally born women (SRR: 2.02; 95% CI 1.40:2.92). The stage at diagnosis was more advanced among migrants. Survival probability was significantly associated with stage at diagnosis, but age and region of birth were not. CONCLUSIONS--Migrants from the southern Spanish regions show a twofold excess in the incidence of cervical cancer compared with the Girona-born female population. Cases of cervical cancer in migrants are diagnosed at a more advanced stage and as a consequence have a poorer prognosis.

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Direct modulation of electroluminescence from silicon nanocrystals beyond radiative recombination rates

We propose a light emitting transistor based on silicon nanocrystals provided with 200 Mbits/ s built-in modulation. Suppression of electroluminescence from silicon nanocrystals embedded into the gate oxide of a field effect transistor is achieved by fast Auger quenching. In this process, a modulating drain signal causes heating of carriers in the channel and facilitates the charge injection into the nanocrystals. This excess of charge enables fast nonradiative processes that are used to obtain 100% modulation depths at modulating voltages of 1 V.

A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Nucleation rates in flat and curved space

Nucleation rates for tunneling processes in Minkowski and de Sitter space are investigated, taking into account one loop prefactors. In particular, we consider the creation of membranes by an antisymmetric tensor field, analogous to Schwinger pair production. This can be viewed as a model for the decay of a false (or true) vacuum at zero temperature in the thin wall limit. Also considered is the spontaneous nucleation of strings, domain walls, and monopoles during inflation. The instantons for these processes are spherical world sheets or world lines embedded in flat or de Sitter backgrounds. We find the contribution of such instantons to the semiclassical partition function, including the one loop corrections due to small fluctuations around the spherical world sheet. We suggest a prescription for obtaining, from the partition function, the distribution of objects nucleated during inflation. This can be seen as an extension of the usual formula, valid in flat space, according to which the nucleation rate is twice the imaginary part of the free energy. For the case of pair production, the results reproduce those that can be obtained using second quantization methods, confirming the validity of instanton techniques in de Sitter space. Throughout the paper, both the gravitational field and the antisymmetric tensor field are assumed external.

A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).