U.S. subprime financial crisis contagion on BRIC and European Union stock markets

ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets.

Quantitative sequence analysis of FBN1 premature termination codons provides evidence for incomplete NMD in leukocytes.

We improved, evaluated, and used Sanger sequencing for quantification of single nucleotide polymorphism (SNP) variants in transcripts and gDNA samples. This improved assay resulted in highly reproducible relative allele frequencies (e.g., for a heterozygous gDNA 50.0+/-1.4%, and for a missense mutation-bearing transcript 46.9+/-3.7%) with a lower detection limit of 3-9%. It provided excellent accuracy and linear correlation between expected and observed relative allele frequencies. This sequencing assay, which can also be used for the quantification of copy number variations (CNVs), methylations, mosaicisms, and DNA pools, enabled us to analyze transcripts of the FBN1 gene in fibroblasts and blood samples of patients with suspected Marfan syndrome not only qualitatively but also quantitatively. We report a total of 18 novel and 19 known FBN1 sequence variants leading to a premature termination codon (PTC), 26 of which we analyzed by quantitative sequencing both at gDNA and cDNA levels. The relative amounts of PTC-containing FBN1 transcripts in fresh and PAXgene-stabilized blood samples were significantly higher (33.0+/-3.9% to 80.0+/-7.2%) than those detected in affected fibroblasts with inhibition of nonsense-mediated mRNA decay (NMD) (11.0+/-2.1% to 25.0+/-1.8%), whereas in fibroblasts without NMD inhibition no mutant alleles could be detected. These results provide evidence for incomplete NMD in leukocytes and have particular importance for RNA-based analyses not only in FBN1 but also in other genes.

Behavioral aspects of investment fund's markets: are good managers lucky or skilled?

It is generally accepted that financial markets are efficient in the long run a lthough there may be some deviations in the short run. It is also accepted that a good portfolio manager is the one who beats the market persistently along time, this type of manager could not exist if markets were perfectly efficient According to this in a pure efficient market we should find that managers know that they can not beat the market so they would undertake only pure passive management strategies. Assuming a certain degree of inefficiency in the short run, a market may show some managers who tr y to beat the market by undertaking active strategies. From Fama’s efficient markets theory we can state that these active managers may beat the market occasionally although they will not be able to enhance significantly their performance in the long run. On the other hand, in an inefficient market it would be expected to find a higher level of activity related with the higher probability of beating the market. In this paper we follow two objectives: first, we set a basis to analyse the level of efficiency in an asset invest- ment funds market by measuring performance, strategies activity and it’s persistence for a certain group of funds during the period of study. Second, we analyse individual performance persistence in order to determine the existence of skilled managers. The CAPM model is taken as theoretical background and the use of the Sharpe’s ratio as a suitable performance measure in a limited information environment leads to a group performance measurement proposal. The empiri- cal study takes quarterly data from 1999-2007 period, for the whole population of the Spanish asset investment funds market, provided by the CNMV (Comisión Nacional del Mercado de Valores). This period of study has been chosen to ensure a wide enough range of efficient market observation so it would allow us to set a proper basis to compare with the following period. As a result we develop a model that allows us to measure efficiency in a given asset mutual funds market, based on the level of strategy’s activity undertaken by managers. We also observe persistence in individual performance for a certain group of funds

Direct and indirect subsidies in markets with system goods in the presence of externalities. Preliminary version

This paper derives a model of markets with system goods and two technological standards. An established standard incurs lower unit production costs but causes a negative externality. The paper derives the conditions for policy intervention and compares the effect of direct and indirect cost-reducing subsidies in two markets with system goods in the presence of externalities. If consumers are committed to the technology by purchasing one of the components, direct subsidies are preferable. For a medium-low cost difference between technological standards and a low externality cost it is optimal to provide a direct subsidy only to the first technology adopter. As the higher the externality cost raises, the more technology adopters should be provided with direct subsidies. This effect is robust in all extensions. In the absence of consumers commitment to a technological standard indirect and direct subsidies are both desirable. In this case, the subsidy to the first adopter is lower then the subsidy to the second adopter. Moreover, for the low cost difference between technological standards and low externality cost the fi rst fi rm chooses a superior standard without policy intervention. Finally, a perfect compatibility between components based on different technological standards enhances an advantage of indirect subsidies for medium-high externality cost and cost difference between technological standards. Journal of Economic Literature Classi fication Numbers: C72, D21, D40, H23, L13, L22, L51, O25, O33, O38. Keywords: Technological standards; complementary products; externalities; cost-reducing subsidies; compatibility.

The Effects of Expanding Ethanol Markets On Ethanol Production Feed Markets And the Iowa Economy, June 30 2001

Report produced by Iowa Departmment of Agriculture and Land Stewardship

Investigation into the Department of Natural Resources' Investigation of Asian Markets in Polk County, August 2004

Investigative report produced by Iowa Citizens' Aide/Ombudsman

Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations

We consider stock market contagion as a significant increase in cross-market linkages after a shock to one country or group of countries. Under this definition we study if contagion occurred from the U.S. Financial Crisis to the rest of the major stock markets in the world by using the adjusted (unconditional) correlation coefficient approach (Forbes and Rigobon, 2002) which consists of testing if average crossmarket correlations increase significantly during the relevant period of turmoil. We would not reject the null hypothesis of interdependence in favour of contagion if the increase in correlation only suggests a continuation of high linkages in all state of the world. Moreover, if contagion occurs, this would justify the intervention of the IMF and the suddenly portfolio restructuring during the period under study.

The Outlook for Asian Dairy Markets: The Role of Demographics, Income, and Prices, June 2005

The paper first presents a 10-year outlook for major Asian dairy markets (China, India, Indonesia, Japan, South Korea, Malaysia, the Philippines, Thailand, and Vietnam) based on a world dairy model. Then, using Heien and Wessells’s technique, dairy product consumption growth is decomposed into contributions generated by income growth, population growth, price change, and urbanization and these contributions are quantified. Using the world dairy model, the paper also analyzes the impacts of alternative assumptions of higher income levels and technology development in Asia on Asian dairy consumptions and world dairy prices. The outlook projects that Asian dairy consumption will continue to grow strongly in the next decade. The consumption decomposition suggests that the growth would be mostly driven by income and population growth and, as a result, would raise world dairy prices. The simulation results show that technology improvement in Asian countries would dampen world dairy prices and meanwhile boost domestic dairy consumption.

Multilateral Trade and Agricultural Policy Reforms in Sugar Markets, September 2005

We analyze the impact of trade liberalization, removal of production subsidies, and elimination of consumption distortions in world sugar markets using a partial-equilibrium international sugar model calibrated on 2002 market data and current policies. The removal of trade distortions alone induces a 27% price increase while the removal of all trade and production distortions induces a 48% increase by 2011/12 relative to the baseline. Aggregate trade expands moderately, but location of production and trade patterns change substantially. Protectionist OECD countries (the EU, Japan, the US) experience an import expansion or export reduction and significant contraction in production in unfettered markets. Competitive producers in both OECD countries (Australia) and non-OECD countries (Brazil, Cuba), and even some protected producers (Indonesia, Turkey), expand production when all distortions are removed. Consumption distortions have marginal impacts on world markets and location of production. We discuss the significance of these results in the context of mounting pressures to increase market access in highly protected OECD countries and the impact on non-OECD countries.

Dairy Markets in Asia: An Overview of Recent Findings and Implications, September 2005

This paper is an overview of important findings regarding the ongoing evolution of Asian dairy markets based on a series of new economic investigations. These investigations provide systematic empirical foundations for assessing Asian dairy markets with their new consumption patterns, changing industries, and trade prospects under different domestic and trade policy regimes. The findings are drawn from four case studies (China, India, Japan, and Korea), as well as a prospective analysis of future regional patterns of consumption and a policy analysis of trade liberalization of Asian dairy markets. The overview distills the findings of these new investigations and integrates them in the earlier economic literature; it draws policy implications and identifies lessons for countries outside of Asia, especially for emerging exporters in Latin America.

CNOT3 is a modifier of PRPF31 mutations in retinitis pigmentosa with incomplete penetrance.

Heterozygous mutations in the PRPF31 gene cause autosomal dominant retinitis pigmentosa (adRP), a hereditary disorder leading to progressive blindness. In some cases, such mutations display incomplete penetrance, implying that certain carriers develop retinal degeneration while others have no symptoms at all. Asymptomatic carriers are protected from the disease by a higher than average expression of the PRPF31 allele that is not mutated, mainly through the action of an unknown modifier gene mapping to chromosome 19q13.4. We investigated a large family with adRP segregating an 11-bp deletion in PRPF31. The analysis of cell lines derived from asymptomatic and affected individuals revealed that the expression of only one gene among a number of candidates within the 19q13.4 interval significantly correlated with that of PRPF31, both at the mRNA and protein levels, and according to an inverse relationship. This gene was CNOT3, encoding a subunit of the Ccr4-not transcription complex. In cultured cells, siRNA-mediated silencing of CNOT3 provoked an increase in PRPF31 expression, confirming a repressive nature of CNOT3 on PRPF31. Furthermore, chromatin immunoprecipitation revealed that CNOT3 directly binds to a specific PRPF31 promoter sequence, while next-generation sequencing of the CNOT3 genomic region indicated that its variable expression is associated with a common intronic SNP. In conclusion, we identify CNOT3 as the main modifier gene determining penetrance of PRPF31 mutations, via a mechanism of transcriptional repression. In asymptomatic carriers CNOT3 is expressed at low levels, allowing higher amounts of wild-type PRPF31 transcripts to be produced and preventing manifestation of retinal degeneration.