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.

Factor structure of the SOCRATES questionnaire in hospitalized medical patients.

The Stages of Change Readiness and Treatment Eagerness Scale (SOCRATES), a 19-item instrument developed to assess readiness to change alcohol use among individuals presenting for specialized alcohol treatment, has been used in various populations and settings. Its factor structure and concurrent validity has been described for specialized alcohol treatment settings and primary care. The purpose of this study was to determine the factor structure and concurrent validity of the SOCRATES among medical inpatients with unhealthy alcohol use not seeking help for specialized alcohol treatment. The subjects were 337 medical inpatients with unhealthy alcohol use, identified during their hospital stay. Most of them had alcohol dependence (76%). We performed an Alpha Factor Analysis (AFA) and Principal Component Analysis (PCA) of the 19 SOCRATES items, and forced 3 factors and 2 components, in order to replicate findings from Miller and Tonigan (Miller, W. R., & Tonigan, J. S., (1996). Assessing drinkers' motivations for change: The Stages of Change Readiness and Treatment Eagerness Scale (SOCRATES). Psychology of Addictive Behavior, 10, 81-89.) and Maisto et al. (Maisto, S. A., Conigliaro, J., McNeil, M., Kraemer, K., O'Connor, M., & Kelley, M. E., (1999). Factor structure of the SOCRATES in a sample of primary care patients. Addictive Behavior, 24(6), 879-892.). Our analysis supported the view that the 2 component solution proposed by Maisto et al. (Maisto, S.A., Conigliaro, J., McNeil, M., Kraemer, K., O'Connor, M., & Kelley, M.E., (1999). Factor structure of the SOCRATES in a sample of primary care patients. Addictive Behavior, 24(6), 879-892.) is more appropriate for our data than the 3 factor solution proposed by Miller and Tonigan (Miller, W. R., & Tonigan, J. S., (1996). Assessing drinkers' motivations for change: The Stages of Change Readiness and Treatment Eagerness Scale (SOCRATES). Psychology of Addictive Behavior, 10, 81-89.). The first component measured Perception of Problems and was more strongly correlated with severity of alcohol-related consequences, presence of alcohol dependence, and alcohol consumption levels (average number of drinks per day and total number of binge drinking days over the past 30 days) compared to the second component measuring Taking Action. Our findings support the view that the SOCRATES is comprised of two important readiness constructs in general medical patients identified by screening.

Entrepreneurial structure of the mercantile company in pre-industrial Catalonia

The mercantile company was the basic form of enterprise in pre-industrial Catalonia. The aim of this paper is to study the formation and development of the mercantile companies in Barcelona whose end was the wholesale and retail sale of textiles in the botigues de teles (textile retail shops) throughout the eighteenth century. These firms were officially registered before a notary and their deeds reveal how these establishments were administered and managed.The study covers a sample of 121 mercantile companies, and the articles and documentation that were put into effect by 32 notaries who were active in Barcelona in the 18th century have been consulted in their entirety. From an initial selection of documentation, a total of 228 deeds registering companies have been found, 107 of which (47%) relate to the creation of companies whose various activities were centred in taverns, textile manufacturing, braiding.... While the 121 companies, which make up our sample and which account for 53% of the deeds registered with the notaries mentioned above, focused exclusively on the management of textile retail shops located in the commercial heart of the city. Thus one point of interest that the documentation reveals is that the majority of the mercantile companies registered by Barcelona notaries throughout the 18th century were establishments which traded in textiles. The first part of the article focuses on the structural characteristics of these enterprises, the number and socio-professional status of the partners and the extent of each partner s involvement in the administration and management. The second part of the article examines the capital investment made by each partner, their rights and obligations agreed on, the sharing out of profits and possible losses and the duration of the companies. The final aim of the paper is to highlight the evolution of these companies through one specific case.

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.

Comparative phylogeography of mutualists and the effect of the host on the genetic structure of its partners.

Whether or not species participating in specialized and obligate interactions display similar and simultaneous demographic variations at the intraspecific level remains an open question in phylogeography. In the present study, we used the mutualistic nursery pollination occurring between the European globeflower Trollius europaeus and its specialized pollinators in the genus Chiastocheta as a case study. Explicitly, we investigated if the phylogeographies of the pollinating flies are significantly different from the expectation under a scenario of plant-insect congruence. Based on a large-scale sampling, we first used mitochondrial data to infer the phylogeographical histories of each fly species. Then, we defined phylogeographical scenarios of congruence with the plant history, and used maximum likelihood and Bayesian approaches to test for plant-insect phylogeographical congruence for the three Chiastocheta species. We show that the phylogeographical histories of the three fly species differ. Only Chiastocheta lophota and Chiastocheta dentifera display strong spatial genetic structures, which do not appear to be statistically different from those expected under scenarios of phylogeographical congruence with the plant. The results of the present study indicate that the fly species responded in independent and different ways to shared evolutionary forces, displaying varying levels of congruence with the plant genetic structure

Leaf-litter amount as a factor in the structure of a ponerine ants community (Hymenoptera, Formicidae, Ponerinae) in an eastern Amazonian rainforest, Brazil

Leaf-litter amount as a factor in the structure of a ponerine ants community (Hymenoptera, Formicidae, Ponerinae) in an eastern Amazonian rainforest, Brazil. Leaf-litter may be an important factor in structuring ponerine ant communities (Hymenoptera, Formicidae, Ponerinae) in tropical rainforests. We specifically examined how leaf-litter affects the structure of a ponerine ant community in primary Amazonian rainforest sites at the Ferreira Penna Scientific Station, Pará, Brazil. A total of 53 species belonging to eight genera of three ponerine tribes were collected with mini-Winkler extractors. The amount of leaf-litter positively affected the abundance and richness of the ponerine ant community, and also influenced species composition. Nearby samples often had low species similarity, especially when adjacent samples differed in the amount of leaf-litter. Leaf-litter availability in Amazonian primary forests is a key factor for distribution of ground-dwelling ponerine species, even at small scales.

Genetic structure of populations of Pissodes castaneus (De Geer) (Coleoptera, Curculionidae) using amplified fragment length polymorphism

Genetic structure of populations of Pissodes castaneus (De Geer) (Coleoptera, Curculionidae) using amplified fragment length polymorphism. The objective of this study was to determine the genetic structure of populations of Pissodes castaneus from different areas and on different species of Pinus using the PCR-AFLP technique. Twenty samples were analyzed, representing 19 populations from Brazil and one from Florence, Italy, which is the region of origin of P. castaneus. The four combinations of primers generated a total of 367 fragments of DNA, and 100% of polymorphic loci, indicating high degree of molecular polymorphism. The dendrogram did not reveal trends for grouping the populations in relation to origin. The low genetic similarity (0.11 between the most distant groups) and genetic distances of 0.13 and 0.44 for 10 out of the 20 samples may indicate several founding events or multiple introductions of heterogeneous strains into Brazil. The allelic fixation index (Fst) was 0.3851, considered high, and the number of migrants (Nm) was 0.3991, indicating low gene flow among populations. The highest genetic distances were between the population from Irani, SC and Cambará do Sul, RS and Bituruna, PR, indicating an independent founding event or a particular allelic fixation in the former location. The high genetic diversity among populations points out that the populations are genetically heterogeneous with a diverse gene pool in the surveyed areas, what makes them to respond differently to control measures.

Effects of forest conversion on the assemblages' structure of aquatic insects in subtropical regions

The effects of forest conversion to agricultural land uses on assemblages of aquatic insects were analyzed in subtropical streams. Organisms and environmental variables were collected in six low-order streams: three streams located in a forested area, and three in areas converted to agricultural land uses. We expected that the aquatic insects' assemblage attributes would be significantly affected by forest conversion, as well as by environmental variables. Streams in converted areas presented lower species richness, abundance and proportion of sensitive insect taxa. The ANOSIM test evidenced strong difference in EPT assemblage structure between streams of forested and converted areas. The ISA test evidenced several EPT genera with high specificity to streams in forested areas and only one genus related to streams in converted areas. Thus, the impacts of the conversion of forested area to agricultural land uses have significantly affected the EPT assemblages, while environmental variables were not affected. We suggest that the effects detected can be influenced by two processes related to vegetation cover: i) lower input of allochthonous material, and ii) increased input of fine sediments in streams draining converted areas.

Stand structure of undrained and drained peatland forests in central Finland

Tiivistelmä: Suometsien rakenne-erot keskisessä Suomessa

Crystal structure of yeast peroxisomal multifunctional enzyme: structural basis for substrate specificity of (3R)-hydroxyacyl-CoA dehydrogenase units.

(3R)-hydroxyacyl-CoA dehydrogenase is part of multifunctional enzyme type 2 (MFE-2) of peroxisomal fatty acid beta-oxidation. The MFE-2 protein from yeasts contains in the same polypeptide chain two dehydrogenases (A and B), which possess difference in substrate specificity. The crystal structure of Candida tropicalis (3R)-hydroxyacyl-CoA dehydrogenase AB heterodimer, consisting of dehydrogenase A and B, determined at the resolution of 2.2A, shows overall similarity with the prototypic counterpart from rat, but also important differences that explain the substrate specificity differences observed. Docking studies suggest that dehydrogenase A binds the hydrophobic fatty acyl chain of a medium-chain-length ((3R)-OH-C10) substrate as bent into the binding pocket, whereas the short-chain substrates are dislocated by two mechanisms: (i) a short-chain-length 3-hydroxyacyl group ((3R)-OH-C4) does not reach the hydrophobic contacts needed for anchoring the substrate into the active site; and (ii) Leu44 in the loop above the NAD(+) cofactor attracts short-chain-length substrates away from the active site. Dehydrogenase B, which can use a (3R)-OH-C4 substrate, has a more shallow binding pocket and the substrate is correctly placed for catalysis. Based on the current structure, and together with the structure of the 2-enoyl-CoA hydratase 2 unit of yeast MFE-2 it becomes obvious that in yeast and mammalian MFE-2s, despite basically identical functional domains, the assembly of these domains into a mature, dimeric multifunctional enzyme is very different.

Regional structure of wages and external economies in Spain

Regional data on wages for the Spanish economy show that workers who live in developed regions earn more than workers in other regions.Literature on external economies provides a possible explanation of why firms do not move from these regions to others where wages are lower. Previous studies for the Spanish case use aggregated sectoral data to explain in terms of external economies why average wages are different across regions. The originalcontribution of this paper consists of using individual data to detect the existenceand nature of external economies as an explanatory cause of territorial wagedifferences. With this aim, we have used individual data from the EPF 1990-91(INE). This information permits us to control the influence of individual and jobcharacteristics on wages to, first, detect the existence of external economies and,second, to test alternative explanations of their presence. The empirical evidenceobtained confirms the relevance of territorial external economies and their influence on wages, as a result of improvements in the productive efficiency of the firm. In concrete terms, the more relevant external economies are associatedwith the regional human capital stock and geographical productive specialisation