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.

Composition of electricity generation portfolios, pivotal dynamics and market prices

We use a simulation model to study how the diversification of electricity generation portfoliosinfluences wholesale prices. We find that technological diversification generally leads to lower market prices but that the relationship is mediated by the supply to demand ratio. In each demand case there is a threshold where pivotal dynamics change. Pivotal dynamics pre- and post-threshold are the cause of non-linearities in the influence of diversification on market prices. The findings are robust to our choice of behavioural parameters and match close-form solutions where those are available.

Inflation and output dynamics with firm-owned capital

We model firm-owned capital in a stochastic dynamic New-Keynesian generalequilibrium model à la Calvo. We find that this structure impliesequilibrium dynamics which are quantitatively di¤erent from the onesassociated with a benchmark case where households accumulate capital andrent it to firms. Our findings therefore stress the importance ofmodeling an investment decision at the firm level in addition to ameaningful price setting decision. Along the way we argue that the problemof modeling firm-owned capital with Calvo price-setting has not been solvedin a correct way in the previous literature.

Job dynamics, correlated shocks and wage profiles

We generalize the Mortensen-Pissarides (1994) model of the labor marketwith a more realistic structure for the stochastic process of theshocks to the worker-firm match. In this way we can acommodate theempirical observation that hazard rates of job termination decrease andaverage wages increase with job tenure. Besides being able to fit bettersome observables of the model, the changes we introduce are nontrivialfor the analysis of policies as well.

State power and protected areas: Dynamics and contradictions of forest conservation in Madhya Pradesh, India

The traditionally coercive and state-controlled governance of protected areas for nature conservation in developing countries has in many cases undergone change in the context of widespread decentralization and liberalization. This article examines an emerging "mixed" (coercive, community- and market-oriented) conservation approach in managed-resource protected areas and its effects on state power through a case study on forest protection in the central Indian state of Madhya Pradesh. The findings suggest that imperfect decentralization and partial liberalization resulted in changed forms, rather than uniform loss, of state power. A forest co-management program paradoxically strengthened local capacity and influence of the Forest Department, which generally maintained its territorial and knowledge-based control over forests and timber management. Furthermore, deregulation and reregulation enabled the state to withdraw from uneconomic activities but also implied reduced place-based control of non-timber forest products. Generally, the new policies and programs contributed to the separation of livelihoods and forests in Madhya Pradesh. The article concludes that regulatory, community- and market-based initiatives would need to be better coordinated to lead to more effective nature conservation and positive livelihood outcomes.

Relaxation times of non-Markovian processes

We consider a general class of non-Markovian processes defined by stochastic differential equations with Ornstein-Uhlenbeck noise. We present a general formalism to evaluate relaxation times associated with correlation functions in the steady state. This formalism is a generalization of a previous approach for Markovian processes. The theoretical results are shown to be in satisfactory agreement both with experimental data for a cubic bistable system and also with a computer simulation of the Stratonovich model. We comment on the dynamical role of the non-Markovianicity in different situations.

Phosphatase activity in sandy soil influenced by mycorrhizal and non-mycorrhizal cover crops

Cover crops may difffer in the way they affect rhizosphere microbiota nutrient dynamics. The purpose of this study was to evaluate the effect of mycorrhizal and non-mycorrhizal cover crops on soil phosphatase activity and its persistence in subsequent crops. A three-year experiment was carried out with a Typic Quartzipsamment. Treatments were winter species, either mycorrhizal black oat (Avena strigosa Schreb) or the non-mycorrhizal species oilseed radish (Raphanus sativus L. var. oleiferus Metzg) and corn spurry (Spergula arvensis L.). The control treatment consisted of resident vegetation (fallow in the winter season). In the summer, a mixture of pearl millet (Pennisetum americanum L.) with sunnhemp (Crotalaria juncea L.) or with soybean (Glycine max L.) was sown in all plots. Soil cores (0-10 cm) and root samples were collected in six growing seasons (winter and summer of each year). Microbial biomass P was determined by the fumigation-extraction method and phosphatase activity using p-nitrophenyl-phosphate as enzyme substrate. During the flowering stage of the winter cover crops, acid phosphatase activity was 30-35 % higher in soils with the non-mycorrhizal species oilseed radish, than in the control plots, regardless of the amount of P immobilized in microbial biomass. The values of enzyme activity were intermediate in the plots with corn spurry and black oat. Alkaline phosphatase activity was 10-fold lower and less sensitive to the treatments, despite the significant relationship between the two phosphatase activities. The effect of plant species on the soil enzyme profile continued in the subsequent periods, during the growth of mycorrhizal summer crops, after completion of the life cycle of the cover crops.

Dynamics of ammonium and pH in the solution of soils with different salinity levels, growing irrigated rice

Rice in Rio Grande do Sul State is grown mostly under flooding, which induces a series of chemical, physical and biological changes in the root environment. These changes, combined with the presence of rice plants, affect the availability of exchangeable ammonium (NH4+) and pH of soil solution, whereas the dynamics of both variables can be influenced by soil salinity, a common problem in the coastal region. This study was conducted to evaluate the dynamics of exchangeable NH4+ and pH in the soil solution, and their relation in the solution of Albaqualf soils with different salinity levels, under rice. Four field experiments were conducted with soils with exchangeable Na percentage (ESP) of 5.6, 9.0, 21.2, and 32.7 %. Prior to flooding, soil solution collectors were installed at depths of 5, 10 and 20 cm. The soil solution was collected weekly, from 7 to 91 days after flooding (DAF), to analyze exchangeable NH4+ and pH in the samples. Plant tissue was sampled 77 DAF, to determine N uptake and estimate the contribution of other N forms to rice nutrition. The content of exchangeable NH4+ decreased over time at all sites and depths, with a more pronounced reduction in soils with lower salinity levels, reaching values close to zero. A possible contribution of non-exchangeable NH4+ forms and N from soil organic matter to rice nutrition was observed. Soil pH decreased with time in soils with ESP 5.6 and 9.0 %, being positively correlated with the decreasing NH4+ levels at these sites.

Stochastic generation of homogeneous isotropic turbulence with well-defined-spectra

A precise and simple computational model to generate well-behaved two-dimensional turbulent flows is presented. The whole approach rests on the use of stochastic differential equations and is general enough to reproduce a variety of energy spectra and spatiotemporal correlation functions. Analytical expressions for both the continuous and the discrete versions, together with simulation algorithms, are derived. Results for two relevant spectra, covering distinct ranges of wave numbers, are given.

Dynamics of the two-dimensional gonihedric spin model

In this paper, we study dynamical aspects of the two-dimensional (2D) gonihedric spin model using both numerical and analytical methods. This spin model has vanishing microscopic surface tension and it actually describes an ensemble of loops living on a 2D surface. The self-avoidance of loops is parametrized by a parameter ¿. The ¿=0 model can be mapped to one of the six-vertex models discussed by Baxter, and it does not have critical behavior. We have found that allowing for ¿¿0 does not lead to critical behavior either. Finite-size effects are rather severe, and in order to understand these effects, a finite-volume calculation for non-self-avoiding loops is presented. This model, like his 3D counterpart, exhibits very slow dynamics, but a careful analysis of dynamical observables reveals nonglassy evolution (unlike its 3D counterpart). We find, also in this ¿=0 case, the law that governs the long-time, low-temperature evolution of the system, through a dual description in terms of defects. A power, rather than logarithmic, law for the approach to equilibrium has been found.

Excitability transitions and wave dynamics under spatiotemporal structured noise

We present an analytic and numerical study of the effects of external fluctuations in active media. Our analytical methodology transforms the initial stochastic partial differential equations into an effective set of deterministic reaction-diffusion equations. As a result we are able to explain and make quantitative predictions on the systematic and constructive effects of the noise, for example, target patterns created out of noise and traveling or spiral waves sustained by noise. Our study includes the case of realistic noises with temporal and spatial structures.

Reaction-diffusion fronts under stochastic advection

We study front propagation in stirred media using a simplified modelization of the turbulent flow. Computer simulations reveal the existence of the two limiting propagation modes observed in recent experiments with liquid phase isothermal reactions. These two modes respectively correspond to a wrinkled although sharp propagating interface and to a broadened one. Specific laws relative to the enhancement of the front velocity in each regime are confirmed by our simulations.

Stochastic processes induced by dichotomous markov noise: Some exact dynamical results

Stochastic processes defined by a general Langevin equation of motion where the noise is the non-Gaussian dichotomous Markov noise are studied. A non-FokkerPlanck master differential equation is deduced for the probability density of these processes. Two different models are exactly solved. In the second one, a nonequilibrium bimodal distribution induced by the noise is observed for a critical value of its correlation time. Critical slowing down does not appear in this point but in another one.

Estimating dormant and active hematopoietic stem cell kinetics through extensive modeling of bromodeoxyuridine label-retaining cell dynamics.

Bone marrow hematopoietic stem cells (HSCs) are responsible for both lifelong daily maintenance of all blood cells and for repair after cell loss. Until recently the cellular mechanisms by which HSCs accomplish these two very different tasks remained an open question. Biological evidence has now been found for the existence of two related mouse HSC populations. First, a dormant HSC (d-HSC) population which harbors the highest self-renewal potential of all blood cells but is only induced into active self-renewal in response to hematopoietic stress. And second, an active HSC (a-HSC) subset that by and large produces the progenitors and mature cells required for maintenance of day-to-day hematopoiesis. Here we present computational analyses further supporting the d-HSC concept through extensive modeling of experimental DNA label-retaining cell (LRC) data. Our conclusion that the presence of a slowly dividing subpopulation of HSCs is the most likely explanation (amongst the various possible causes including stochastic cellular variation) of the observed long term Bromodeoxyuridine (BrdU) retention, is confirmed by the deterministic and stochastic models presented here. Moreover, modeling both HSC BrdU uptake and dilution in three stages and careful treatment of the BrdU detection sensitivity permitted improved estimates of HSC turnover rates. This analysis predicts that d-HSCs cycle about once every 149-193 days and a-HSCs about once every 28-36 days. We further predict that, using LRC assays, a 75%-92.5% purification of d-HSCs can be achieved after 59-130 days of chase. Interestingly, the d-HSC proportion is now estimated to be around 30-45% of total HSCs - more than twice that of our previous estimate.

Soil nitrogen dynamics after Brachiaria desiccation

Brachiaria species, particularly B. humidicola, can synthesize and release compounds from their roots that inhibit nitrification, which can lead to changes in soil nitrogen (N) dynamics, mainly in N-poor soils. This may be important in crop-livestock integration systems, where brachiarias are grown together with or in rotation with grain crops. The objective of the present study was to determine whether this holds true in N-rich environments and if other Brachiaria species have the same effect. The soil N dynamics were evaluated after the desiccation of the species B. brizantha, B. decumbens, B. humidicola, and B. ruziziensis, which are widely cultivated in Brazil. The plants were grown in pots with a dystroferric Red Latosol in a greenhouse. Sixty days after sowing, the plants were desiccated using glyphosate herbicide. The plants and soil were analyzed on the day of desiccation and 7, 14, 21 and 28 days after desiccation. The rhizosphere soil of the grasses contained higher levels of organic matter, total N and ammonium than the non-rhizosphere soil. The pH was lowest in the rhizosphere of B. humidicola, which may indicate that this species inhibits the nitrification process. However, variations in the soil ammonium and nitrate levels were not sufficient to confirm the suppressive effect of B. humidicola. The same was observed for B. brizantha, B. decumbens and B. ruziziensis, thereby demonstrating that, where N is abundant, none of the brachiarias studied has a significant effect on the nitrification process in soil.