Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Universality in models for disorder induced phase transitions

We have systematically analyzed six different reticular models with quenched disorder and no thermal fluctuations exhibiting a field-driven first-order phase transition. We have studied the nonequilibrium transition, appearing when varying the amount of disorder, characterized by the change from a discontinuous hysteresis cycle (with one or more large avalanches) to a smooth one (with only tiny avalanches). We have computed critical exponents using finite size scaling techniques and shown that they are consistent with universal values depending only on the space dimensionality d.

Smooth multibidding mechanisms

We propose a smooth multibidding mechanism for environments where a group of agents have to choose one out of several projects (possibly with the help of a social planner). Our proposal is related to the multibidding mechanism (Pérez-Castrillo and Wettstein, 2002) but it is "smoother" in the sense that small variations in an agent's bids do not lead to dramatic changes in the probability of selecting a project. This mechanism is shown to possess several interesting properties. Unlike in the study by Pérez Castrillo and Wettstein (2002), the equilibrium outcome is unique. Second, it ensures an equal sharing of the surplus that it induces. Finally, it enables reaching an outcome as close to effciency as is desired.

A sequential model for older workers' labor transitions after a health shock

In this work we study older workers'(50-64) labor force transitions after a health/disability shock. We find that the probability of keeping working decreases with both age and severity of the shock. Moreover, we find strong interactions between age and severity in the 50-64 age range and none in the 30-49 age range. Regarding demographics we find that being female and married reduce the probability of keeping work. On the contrary, being main breadwinner, education and skill levels increase it. Interestingly, the effect of some demographics changes its sign when we look at transitions from inactivity to work. This is the case of being married or having a working spouse. Undoubtedly, leisure complementarities should play a role in the latter case. Since the data we use contains a very detailed information on disabilities, we are able to evaluate the marginal effect of each type of disability either in the probability of keeping working or in returning back to work. Some of these results may have strong policy implications.

A sequential model for older workers’ labor transitions after a health shock

In this work we study older workers (50 64) labor force transitions after a health/disability shock. We find that the probability of keeping working decreases with both age and severity of the shock. Moreover, we find strong interactions between age and severity in the 50 64 age range and none in the 30 49 age range. Regarding demographics we find that being female and married reduce the probability of keeping work. On the contrary, being main breadwinner, education and skill levels increase it. Interestingly, the effect of some demographics changes its sign when we look at transitions from inactivity to work. This is the case of being married or having a working spouse. Undoubtedly, leisure complementarities should play a role in the latter case. Since the data we use contains a very detailed information on disabilities, we are able to evaluate the marginal effect of each type of disability either in the probability of keeping working or in returning back to work. Some of these results may have strong policy implications.

How binding are legal limits? Transitions from temporary to permanent work in Spain

This paper studies the duration pattern of xed-term contracts and the determinantsof their conversion into permanent ones in Spain, where the share of xed-termemployment is the highest in Europe. We estimate a duration model for temporaryemployment, with competing risks of terminating into permanent employment versusalternative states, and exible duration dependence. We nd that conversion rates aregenerally below 10%. Our estimated conversion rates roughly increase with tenure,with a pronounced spike at the legal limit, when there is no legal way to retain theworker on a temporary contract. We argue that estimated di¤erences in conversionrates across categories of workers can stem from di¤erences in worker outside optionsand thus the power to credibly threat to quit temporary jobs.

Retirement incentives, individual heterogeneity and labour transitions of employed and unemployed workers

In this paper we analyze the sensitivity of the labour market decisions of workers close toretirement with respect to the incentives created by public regulations. We improve upon the extensiveprior literature on the effect of pension incentives on retirement in two ways. First, bymodeling the transitions between employment, unemployment and retirement in a simultaneousmanner, paying special attention to the transition from unemployment to retirement (which is particularlyimportant in Spain). Second, by considering the influence of unobserved heterogeneity inthe estimation of the effect of our (carefully constructed) incentive variables.Using administrative data, we find that, when properly defined, economic incentives have astrong impact on labour market decisions in Spain. Unemployment regulations are shown to be particularlyinfluential for retirement behaviour, along with the more traditional determinants linked tothe pension system. Pension variables also have a major bearing on both workers reemploymentdecisions and on the strategic actions of employers. The quantitative impact of the incentives, however,is greatly affected by the existence of unobserved heterogeneity among workers. Its omissionleads to sizable biases in the assessment of the sensitivity to economic incentives, a finding thathas clear consequences for the credibility of any model-based policy analysis. We confirm theimportance of this potential problem in one especially interesting instance: the reform of earlyretirement provisions undertaken in Spain in 2002. We use a difference-in-difference approach tomeasure the behavioural reaction to this change, finding a large overestimation when unobservedheterogeneity is not taken into account.

p38/MKP-1-regulated AKT coordinates macrophage transitions and resolution of inflammation during tissue repair

Repair of damaged tissue requires the coordinated action of inflammatory and tissue-specific cells to restore homeostasis, but the underlying regulatory mechanisms are poorly understood. In this paper, we report new roles for MKP-1 (mitogen-activated protein kinase [MAPK] phosphatase-1) in controlling macrophage phenotypic transitions necessary for appropriate muscle stem cell¿dependent tissue repair. By restricting p38 MAPK activation, MKP-1 allows the early pro- to antiinflammatory macrophage transition and the later progression into a macrophage exhaustion-like state characterized by cytokine silencing, thereby permitting resolution of inflammation as tissue fully recovers. p38 hyperactivation in macrophages lacking MKP-1 induced the expression of microRNA-21 (miR-21), which in turn reduced PTEN (phosphatase and tensin homologue) levels, thereby extending AKT activation. In the absence of MKP-1, p38-induced AKT activity anticipated the acquisition of the antiinflammatory gene program and final cytokine silencing in macrophages, resulting in impaired tissue healing. Such defects were reversed by temporally controlled p38 inhibition. Conversely, miR-21¿AKT interference altered homeostasis during tissue repair. This novel regulatory mechanism involving the appropriate balance of p38, MKP-1, miR-21, and AKT activities may have implications in chronic inflammatory degenerative diseases.

Mechanical properties of cultured human airway smooth muscle cells from 0.05 to 0.4 Hz.

We investigated the rheological properties of living human airway smooth muscle cells in culture and monitored the changes in rheological properties induced by exogenous stimuli. We oscillated small magnetic microbeads bound specifically to integrin receptors and computed the storage modulus (G') and loss modulus (G") from the applied torque and the resulting rotational motion of the beads as determined from their remanent magnetic field. Under baseline conditions, G' increased weakly with frequency, whereas G" was independent of the frequency. The cell was predominantly elastic, with the ratio of G" to G' (defined as eta) being ~0.35 at all frequencies. G' and G" increased together after contractile activation and decreased together after deactivation, whereas eta remained unaltered in each case. Thus elastic and dissipative stresses were coupled during changes in contractile activation. G' and G" decreased with disruption of the actin fibers by cytochalasin D, but eta increased. These results imply that the mechanisms for frictional energy loss and elastic energy storage in the living cell are coupled and reside within the cytoskeleton.

Diffusionless first-order phase transitions in systems with frozen configurational degrees of freedom

We consider systems that can be described in terms of two kinds of degree of freedom. The corresponding ordering modes may, under certain conditions, be coupled to each other. We may thus assume that the primary ordering mode gives rise to a diffusionless first-order phase transition. The change of its thermodynamic properties as a function of the secondary-ordering-mode state is then analyzed. Two specific examples are discussed. First, we study a three-state Potts model in a binary system. Using mean-field techniques, we obtain the phase diagram and different properties of the system as a function of the distribution of atoms on the different lattice sites. In the second case, the properties of a displacive structural phase transition of martensitic type in a binary alloy are studied as a function of atomic order. Because of the directional character of the martensitic-transition mechanism, we find only a very weak dependence of the entropy on atomic order. Experimental results are found to be in quite good agreement with theoretical predictions.

Premartensitic and martensitic phase transitions in ferromagnetic Ni2MnGa

We present an experimental study of the premartensitic and martensitic phase transitions in a Ni2MnGa single crystal by using ultrasonic techniques. The effect of applied magnetic field and uniaxial compressive stress has been investigated. It has been found that they substantially modify the elastic and magnetic behavior of the alloy. These experimental findings are a consequence of magnetoelastic effects. The measured magnetic and vibrational behavior agrees with the predictions of a recently proposed Landau-type model [A. Planes et al., Phys. Rev. Lett. 79, 3926 (1997)] that incorporates a magnetoelastic coupling as a key ingredient.

Kinetics of martensitic transitions in Cu-Al-Mn under thermal cycling: Analysis at multiple length scales

In this paper we study the evolution of the kinetic features of the martensitic transition in a Cu-Al-Mn single crystal under thermal cycling. The use of several experimental techniques including optical microscopy, calorimetry, and acoustic emission, has enabled us to perform an analysis at multiple scales. In particular, we have focused on the analysis of avalanche events (associated with the nucleation and growth of martensitic domains), which occur during the transition. There are significant differences between the kinetics at large and small length scales. On the one hand, at small length scales, small avalanche events tend to sum to give new larger events in subsequent loops. On the other hand, at large length scales the large domains tend to split into smaller ones on thermal cycling. We suggest that such different behavior is the necessary ingredient that leads the system to the final critical state corresponding to a power-law distribution of avalanches.