Price discovery of credit spreads in tranquil and crisis periods

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector autoregressive model (VAR). We also look at price discovery in the long run with a vector error correction model (VECM). We find that in the short term the option market clearly leads the other markets in the sub-prime crisis (2007-2009). During the less severe sovereign debt crisis (2009-2012) and the pre-crisis period, options are still important but CDSs become more prominent. In the long run, deviations from the equilibrium relationship with the option market still lead to adjustments in the credit spreads observed or implied from other markets. However, options no longer dominate price discovery in any of the periods considered. Our findings have implications for traders, credit risk managers and financial regulators.

Comparative analysis of performance and stability among composite cross populations, variety mixtures and pure lines of winter wheat in organic and conventional cropping systems

This study investigated the effects of increased genetic diversity in winter wheat (Triticum aestivum L.), either from hybridization across genotypes or from physical mixing of lines, on grain yield, grain quality, and yield stability in different cropping environments. Sets of pure lines (no diversity), chosen for high yielding ability or high quality, were compared with line mixtures (intermediate level of diversity), and lines crossed with each other in composite cross populations (CCPn, high diversity). Additional populations containing male sterility genes (CCPms) to increase outcrossing rates were also tested. Grain yield, grain protein content, and protein yield were measured at four sites (two organically-managed and two conventionally-managed) over three years, using seed harvested locally in each preceding year. CCPn and mixtures out-yielded the mean of the parents by 2.4% and 3.6%, respectively. These yield differences were consistent across genetic backgrounds but partly inconsistent across cropping environments and years. Yield stability measured by environmental variance was higher in CCPn and CCPms than the mean of the parents. An index of yield reliability tended to be higher in CCPn, CCPms and mixtures than the mean of the parents. Lin and Binns’ superiority values of yield and protein yield were consistently and significantly lower (i.e. better) in the CCPs than in the mean of the parents, but not different between CCPs and mixtures. However, CCPs showed greater early ground cover and plant height than mixtures. When compared with the (locally non-predictable) best-yielding pure line, CCPs and mixtures exhibited lower mean yield and somewhat lower yield reliability but comparable superiority values. Thus, establishing CCPs from smaller sets of high-performing parent lines might optimize their yielding ability. On the whole, the results demonstrate that using increased within-crop genetic diversity can produce wheat crops with improved yield stability and good yield reliability across variable and unpredictable cropping environments.

Bank market concentration, relationship banking and small business liquidity

This paper examines two contrasting interpretations of how bank market concentration (Market Power Hypothesis) and banking relationships (Information Hypothesis) affect three sources of small firm liquidity (cash, lines of credit and trade credit). Supportive of a market power interpretation, we find that in a highly concentrated banking market, small firms hold less cash, have less access to lines of credit, and are more likely to be financially constrained, use greater amounts of more expensive trade credit and face higher penalties for trade credit late payment. We also find support for the information hypothesis: relationship banking improves small business liquidity, particularly in a concentrated banking market, thereby mitigating the adverse effects of bank market concentration derived from market power. Our results are robust to different cash, lines of credit and trade credit measures and to alternative empirical approaches.

Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

Generation of nonvernal-obligate, faster-cycling Noccaea caerulescens lines through fast neutron mutagenesis

Noccaea caerulescens (formerly Thlaspi caerulescens) is a widely studied metal hyperaccumulator. However, molecular genetic studies are challenging in this species because of its vernal-obligate biennial life cycle of 7-9 months. Here, we describe the development of genetically stable, faster cycling lines of N. caerulescens which are nonvernal-obligate. A total of 5500 M(0) seeds from Saint Laurent Le Minier (France) were subjected to fast neutron mutagenesis. Following vernalization of young plants, 79 of plants survived to maturity. In all, 80 000 M(2) lines were screened for flowering in the absence of vernalization. Floral initials were observed in 35 lines, with nine flowering in < 12 wk. Two lines (A2 and A7) were selfed to the M(4) generation. Floral initials were observed 66 and 87 d after sowing (DAS) in A2 and A7, respectively. Silicle development occurred for all A2 and for most A7 at 92 and 123 DAS, respectively. Floral or silicle development was not observed in wild-type (WT) plants. Leaf zinc (Zn) concentration was similar in WT, A2 and A7 lines. These lines should facilitate future genetic studies of this remarkable species. Seed is publicly available through the European Arabidopsis Stock Centre (NASC).

Analysis of Phytochemical Composition and Chemoprotective Capacity of Rocket (Eruca sativa and Diplotaxis tenuifolia) Leafy Salad Following Cultivation in Different Environments

Consumption of green leafy vegetables is associated with reduced risk of several types of cancer and cardiovascular disease. These beneficial effects are attributed to a range of phytochemicals including flavonoids and glucosinolates, both of which are found in high levels in Brassicaceous crops. Rocket is the general name attributed to cultivars of Eruca sativa and Diplotaxis tenufolia, known as salad rocket and wild rocket, respectively. We have shown that different light levels during the cultivation period of these crops have a significant impact on the levels of flavonoids present in the crop at harvest, with over 15-fold increase achieved in quercetin, isorhamnetin, and cyanidin in high light conditions. Postharvest storage further affects the levels of both flavonoids and glucosinolates, with cyanidin increasing during shelf life and some glucosinolates, such as glucoiberverin, being reduced over the same storage period. In vitro assays using human colon cell lines demonstrate that glucosinolate-rich extracts of Eruca sativa cv. Sky, but not Diplotaxis tenufolia cv. Voyager, confer significant resistance to oxidative stress on the cells, which is indicative of the chemoprotective properties of the leaves from this species. Our findings indicate that both pre and postharvest environment and genotypic selection, when developing new lines of Brassicaceous vegetables, are important considerations with the goal of improving human nutrition and health.

Assessment of the consistency of near-infrared water vapor line intensities using high-spectral-resolution ground-based Fourier transform measurements of solar radiation

Calculations of the absorption of solar radiation by atmospheric gases, and water vapor in particular, are dependent on the quality of databases of spectral line parameters. There has been increasing scrutiny of databases such as HITRAN in recent years, but this has mostly been performed on a band-by-band basis. We report nine high-spectral-resolution (0.03 cm(-1)) measurements of the solar radiation reaching the surface in southern England over the wave number range 2000 to 12,500 cm(-1) (0.8 to 5 mm) that allow a unique assessment of the consistency of the spectral line databases over this entire spectral region. The data are assessed in terms of the modeled water vapor column that is required to bring calculations and observations into agreement; for an entirely consistent database, this water vapor column should be constant with frequency. For the HITRAN01 database, the spread in water vapor column is about 11%, with distinct shifts between different spectral regions. The HITRAN04 database is in significantly better agreement (about 5% spread) in the completely updated 3000 to 8000 cm(-1) spectral region, but inconsistencies between individual spectral regions remain: for example, in the 8000 to 9500 cm(-1) spectral region, the results indicate an 18% (+/- 1%) underestimate in line intensities with respect to the 3000 to 8000 cm(-1) region. These measurements also indicate the impact of isotopic fractionation of water vapor in the 2500 to 2900 cm(-1) range, where HDO lines dominate over the lines of the most abundant isotope of H2O.

Vibration-rotation spectra of CH3F

Rotational structure has been resolved and analyzed in the 1049-cm−1 parallel fundamental and the 1182 cm−1 perpendicular fundamental bands in the infrared spectrum of the CH3F molecule. Combination bands at 2223 cm−1 and around 2650 cm−1 have also been studied. The effective resolving power of the spectrometer was 0.25 cm−1 for all these bands. The two long-wavelength fundamentals have been analyzed in much greater detail than in previous work, and a complete analysis of the perpendicular band has been made, including the J-structure in the P and R branches of the sub-bands. Rotational constants of CH3F determined in this work and elsewhere are summarized in Table XIII of the text. Some anomalous intensity perturbations in the rotation lines of the 1182-cm−1 fundamental have been observed, and are discussed.