Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies

The Organization of the Thesis The remainder of the thesis comprises five chapters and a conclusion. The next chapter formalizes the envisioned theory into a tractable model. Section 2.2 presents a formal description of the model economy: the individual heterogeneity, the individual objective, the UI setting, the population dynamics and the equilibrium. The welfare and efficiency criteria for qualifying various equilibrium outcomes are proposed in section 2.3. The fourth section shows how the model-generated information can be computed. Chapter 3 transposes the model from chapter 2 in conditions that enable its use in the analysis of individual labor market strategies and their implications for the labor market equilibrium. In section 3.2 the Swiss labor market data sets, stylized facts, and the UI system are presented. The third section outlines and motivates the parameterization method. In section 3.4 the model's replication ability is evaluated and some aspects of the parameter choice are discussed. Numerical solution issues can be found in the appendix. Chapter 4 examines the determinants of search-strategic behavior in the model economy and its implications for the labor market aggregates. In section 4.2, the unemployment duration distribution is examined and related to search strategies. Section 4.3 shows how the search- strategic behavior is influenced by the UI eligibility and section 4.4 how it is determined by individual heterogeneity. The composition effects generated by search strategies in labor market aggregates are examined in section 4.5. The last section evaluates the model's replication of empirical unemployment escape frequencies reported in Sheldon [67]. Chapter 5 applies the model economy to examine the effects on the labor market equilibrium of shocks to the labor market risk structure, to the deep underlying labor market structure and to the UI setting. Section 5.2 examines the effects of the labor market risk structure on the labor market equilibrium and the labor market strategic behavior. The effects of alterations in the labor market deep economic structural parameters, i.e. individual preferences and production technology, are shown in Section 5.3. Finally, the UI setting impacts on the labor market are studied in Section 5.4. This section also evaluates the role of the UI authority monitoring and the differences in the Way changes in the replacement rate and the UI benefit duration affect the labor market. In chapter 6 the model economy is applied in counterfactual experiments to assess several aspects of the Swiss labor market movements in the nineties. Section 6.2 examines the two equilibria characterizing the Swiss labor market in the nineties, the " growth" equilibrium with a "moderate" UI regime and the "recession" equilibrium with a more "generous" UI. Section 6.3 evaluates the isolated effects of the structural shocks, while the isolated effects of the UI reforms are analyzed in section 6.4. Particular dimensions of the UI reforms, the duration, replacement rate and the tax rate effects, are studied in section 6.5, while labor market equilibria without benefits are evaluated in section 6.6. In section 6.7 the structural and institutional interactions that may act as unemployment amplifiers are discussed in view of the obtained results. A welfare analysis based on individual welfare in different structural and UI settings is presented in the eighth section. Finally, the results are related to more favorable unemployment trends after 1997. The conclusion evaluates the features embodied in the model economy with respect to the resulting model dynamics to derive lessons from the model design." The thesis ends by proposing guidelines for future improvements of the model and directions for further research.

Sodium/hydrogen exchanger NHA2 in osteoclasts: subcellular localization and role in vitro and in vivo.

NHA2 was recently identified as a novel sodium/hydrogen exchanger which is strongly upregulated during RANKL-induced osteoclast differentiation. Previous in vitro studies suggested that NHA2 is a mitochondrial transporter required for osteoclast differentiation and bone resorption. Due to the lack of suitable antibodies, NHA2 was studied only on RNA level thus far. To define the protein's role in osteoclasts in vitro and in vivo, we generated NHA2-deficient mice and raised several specific NHA2 antibodies. By confocal microscopy and subcellular fractionation studies, NHA2 was found to co-localize with the late endosomal and lysosomal marker LAMP1 and the V-ATPase a3 subunit, but not with mitochondrial markers. Immunofluorescence studies and surface biotinylation experiments further revealed that NHA2 was highly enriched in the plasma membrane of osteoclasts, localizing to the basolateral membrane of polarized osteoclasts. Despite strong upregulation of NHA2 during RANKL-induced osteoclast differentiation, however, structural parameters of bone, quantified by high-resolution microcomputed tomography, were not different in NHA2-deficient mice compared to wild-type littermates. In addition, in vitro RANKL stimulation of bone marrow cells isolated from wild-type and NHA2-deficient mice yielded no differences in osteoclast development and activity. Taken together, we show that NHA2 is a RANKL-induced plasmalemmal sodium/hydrogen exchanger in osteoclasts. However, our data from NHA2-deficient mice suggest that NHA2 is dispensable for osteoclast differentiation and bone resorption both in vitro and in vivo.

SwissSidechain: a molecular and structural database of non-natural sidechains.

Amino acids form the building blocks of all proteins. Naturally occurring amino acids are restricted to a few tens of sidechains, even when considering post-translational modifications and rare amino acids such as selenocysteine and pyrrolysine. However, the potential chemical diversity of amino acid sidechains is nearly infinite. Exploiting this diversity by using non-natural sidechains to expand the building blocks of proteins and peptides has recently found widespread applications in biochemistry, protein engineering and drug design. Despite these applications, there is currently no unified online bioinformatics resource for non-natural sidechains. With the SwissSidechain database (http://www.swisssidechain.ch), we offer a central and curated platform about non-natural sidechains for researchers in biochemistry, medicinal chemistry, protein engineering and molecular modeling. SwissSidechain provides biophysical, structural and molecular data for hundreds of commercially available non-natural amino acid sidechains, both in l- and d-configurations. The database can be easily browsed by sidechain names, families or physico-chemical properties. We also provide plugins to seamlessly insert non-natural sidechains into peptides and proteins using molecular visualization software, as well as topologies and parameters compatible with molecular mechanics software.

A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

Richer and healthier agents tend to hold riskier portfolios and spend proportionally less on health expenditures. Potential explanations include health and wealth effects on preferences, expected longevity or disposable total wealth. Using HRS data, we perform a structural estimation of a dynamic model of consumption, portfolio and health expenditure choices with recursive utility, as well as health-dependent income and mortality risk. Our estimates of the deep parameters highlight the importance of health capital, mortality risk control, convex health and mortality adjustment costs and binding liquidity constraints to rationalize the stylized facts. They also provide new perspectives on expected longevity and on the values of life and health.

Intrauterine growth restriction is associated with structural alterations in human umbilical cord and decreased nitric oxide-induced relaxation of umbilical vein.

INTRODUCTION: Intrauterine growth restriction (IUGR) affects ∼8% of all pregnancies and is associated with major perinatal mortality and morbidity, and with an increased risk to develop cardiovascular diseases in adulthood. Despite identification of several risk factors, the mechanisms implicated in the development of IUGR remain poorly understood. In case of placental insufficiency, reduced delivery of oxygen and/or nutrients to the fetus could be associated with alterations in the umbilical circulation, contributing further to the impairment of maternal-fetal exchanges. We compared the structural and functional properties of umbilical cords from growth-restricted and appropriate for gestational age (AGA) term newborns, with particular attention to the umbilical vein (UV). METHODS: Human umbilical cords were collected at delivery. Morphological changes were investigated by histomorphometry, and UV's reactivity by pharmacological studies. RESULTS: Growth-restricted newborns displayed significantly lower growth parameters, placental weight and umbilical cord diameter than AGA controls. Total cross-section and smooth muscle areas were significantly smaller in UV of growth-restricted neonates than in controls. Maximal vasoconstriction achieved in isolated UV was lower in growth-restricted boys than in controls, whereas nitric oxide-induced relaxation was significantly reduced in UV of growth-restricted girls compared to controls. CONCLUSION: IUGR is associated with structural alterations of the UV in both genders, and with a decreased nitric oxide-induced relaxation in UV of newborn girls, whereas boys display impaired vasoconstriction. Further investigations will allow to better understand the regulation of umbilical circulation in growth-restricted neonates, which could contribute to devise potential novel therapeutic strategies to prevent or limit the development of IUGR.

Structural assessment of single amino acid mutations: application to TP53 function.

Single amino acid substitution is the type of protein alteration most related to human diseases. Current studies seek primarily to distinguish neutral mutations from harmful ones. Very few methods offer an explanation of the final prediction result in terms of the probable structural or functional effect on the protein. In this study, we describe the use of three novel parameters to identify experimentally-verified critical residues of the TP53 protein (p53). The first two parameters make use of a surface clustering method to calculate the protein surface area of highly conserved regions or regions with high nonlocal atomic interaction energy (ANOLEA) score. These parameters help identify important functional regions on the surface of a protein. The last parameter involves the use of a new method for pseudobinding free-energy estimation to specifically probe the importance of residue side-chains to the stability of protein fold. A decision tree was designed to optimally combine these three parameters. The result was compared to the functional data stored in the International Agency for Research on Cancer (IARC) TP53 mutation database. The final prediction achieved a prediction accuracy of 70% and a Matthews correlation coefficient of 0.45. It also showed a high specificity of 91.8%. Mutations in the 85 correctly identified important residues represented 81.7% of the total mutations recorded in the database. In addition, the method was able to correctly assign a probable functional or structural role to the residues. Such information could be critical for the interpretation and prediction of the effect of missense mutations, as it not only provided the fundamental explanation of the observed effect, but also helped design the most appropriate laboratory experiment to verify the prediction results.

Mixed spectral-structural classification of very high resolution images with summation kernels

In this paper, mixed spectral-structural kernel machines are proposed for the classification of very-high resolution images. The simultaneous use of multispectral and structural features (computed using morphological filters) allows a significant increase in classification accuracy of remote sensing images. Subsequently, weighted summation kernel support vector machines are proposed and applied in order to take into account the multiscale nature of the scene considered. Such classifiers use the Mercer property of kernel matrices to compute a new kernel matrix accounting simultaneously for two scale parameters. Tests on a Zurich QuickBird image show the relevance of the proposed method : using the mixed spectral-structural features, the classification accuracy increases of about 5%, achieving a Kappa index of 0.97. The multikernel approach proposed provide an overall accuracy of 98.90% with related Kappa index of 0.985.

Multimodal MRI analysis of structural and functional networks in the human brain : application to two clinical studies : driving abilities under THC intoxication and early white matter changes in FXTAS

Les approches multimodales dans l'imagerie cérébrale non invasive sont de plus en plus considérées comme un outil indispensable pour la compréhension des différents aspects de la structure et de la fonction cérébrale. Grâce aux progrès des techniques d'acquisition des images de Resonance Magnetique et aux nouveaux outils pour le traitement des données, il est désormais possible de mesurer plusieurs paramètres sensibles aux différentes caractéristiques des tissues cérébraux. Ces progrès permettent, par exemple, d'étudier les substrats anatomiques qui sont à la base des processus cognitifs ou de discerner au niveau purement structurel les phénomènes dégénératifs et développementaux. Cette thèse met en évidence l'importance de l'utilisation d'une approche multimodale pour étudier les différents aspects de la dynamique cérébrale grâce à l'application de cette approche à deux études cliniques: l'évaluation structurelle et fonctionnelle des effets aigus du cannabis fumé chez des consommateurs réguliers et occasionnels, et l'évaluation de l'intégrité de la substance grise et blanche chez des jeunes porteurs de la prémutations du gène FMR1 à risque de développer le FXTAS (Fragile-X Tremor Ataxia Syndrome). Nous avons montré que chez les fumeurs occasionnels de cannabis, même à faible concentration du principal composant psychoactif (THC) dans le sang, la performance lors d'une tâche visuo-motrice est fortement diminuée, et qu'il y a des changements dans l'activité des trois réseaux cérébraux impliqués dans les processus cognitifs: le réseau de saillance, le réseau du contrôle exécutif, et le réseau actif par défaut (Default Mode). Les sujets ne sont pas en mesure de saisir les saillances dans l'environnement et de focaliser leur attention sur la tâche. L'augmentation de la réponse hémodynamique dans le cortex cingulaire antérieur suggère une augmentation de l'activité introspective. Une investigation des ef¬fets au niveau cérébral d'une exposition prolongée au cannabis, montre des changements persistants de la substance grise dans les régions associées à la mémoire et au traitement des émotions. Le niveau d'atrophie dans ces structures corrèle avec la consommation de cannabis au cours des trois mois précédant l'étude. Dans la deuxième étude, nous démontrons des altérations structurelles des décennies avant l'apparition du syndrome FXTAS chez des sujets jeunes, asymptomatiques, et porteurs de la prémutation du gène FMR1. Les modifications trouvées peuvent être liées à deux mécanismes différents. Les altérations dans le réseau moteur du cervelet et dans la fimbria de l'hippocampe, suggèrent un effet développemental de la prémutation. Elles incluent aussi une atrophie de la substance grise du lobule VI du cervelet et l'altération des propriétés tissulaires de la substance blanche des projections afférentes correspondantes aux pédoncules cérébelleux moyens. Les lésions diffuses de la substance blanche cérébrale peu¬vent être un marquer précoce du développement de la maladie, car elles sont liées à un phénomène dégénératif qui précède l'apparition des symptômes du FXTAS. - Multimodal brain imaging is becoming a leading tool for understanding different aspects of brain structure and function. Thanks to the advances in Magnetic Resonance imaging (MRI) acquisition schemes and data processing techniques, it is now possible to measure different parameters sensitive to different tissue characteristics. This allows for example to investigate anatomical substrates underlying cognitive processing, or to disentangle, at a pure structural level degeneration and developmental processes. This thesis highlights the importance of using a multimodal approach for investigating different aspects of brain dynamics by applying this approach to two clinical studies: functional and structural assessment of the acute effects of cannabis smoking in regular and occasional users, and grey and white matter assessment in young FMR1 premutation carriers at risk of developing FXTAS. We demonstrate that in occasional smokers cannabis smoking, even at low concentration of the main psychoactive component (THC) in the blood, strongly decrease subjects' performance on a visuo-motor tracking task, and globally alters the activity of the three brain networks involved in cognitive processing: the Salience, the Control Executive, and the Default Mode networks. Subjects are unable to capture saliences in the environment and to orient attention to the task; the increase in Hemodynamic Response in the Anterior Cingulate Cortex suggests an increase in self-oriented mental activity. A further investigation on long term exposure to cannabis, shows a persistent grey matter modification in brain regions associated with memory and affective processing. The degree of atrophy in these structures also correlates with the estimation of drug use in the three months prior the participation to the study. In the second study we demonstrate structural changes in young asymptomatic premutation carriers decades before the onset of FXTAS that might be related to two different mechanisms. Alteration of the cerebellar motor network and of the hippocampal fimbria/ fornix, may reflect a potential neurodevelopmental effect of the premutation. These include grey matter atrophy in lobule VI and modification of white matter tissue property in the corresponding afferent projections through the Middle Cerebellar Peduncles. Diffuse hemispheric white matter lesions that seem to appear closer to the onset of FXTAS and be related to a neurodegenerative phenomenon may mark the imminent onset of FXTAS.