Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

The role of fixed delays in neuronal rate models

Fixed delays in neuronal interactions arise through synaptic and dendritic processing. Previous work has shown that such delays, which play an important role in shaping the dynamics of networks of large numbers of spiking neurons with continuous synaptic kinetics, can be taken into account with a rate model through the addition of an explicit, fixed delay. Here we extend this work to account for arbitrary symmetric patterns of synaptic connectivity and generic nonlinear transfer functions. Specifically, we conduct a weakly nonlinear analysis of the dynamical states arising via primary instabilities of the stationary uniform state. In this way we determine analytically how the nature and stability of these states depend on the choice of transfer function and connectivity. While this dependence is, in general, nontrivial, we make use of the smallness of the ratio in the delay in neuronal interactions to the effective time constant of integration to arrive at two general observations of physiological relevance. These are: 1 - fast oscillations are always supercritical for realistic transfer functions. 2 - Traveling waves are preferred over standing waves given plausible patterns of local connectivity.

Local-global splitting for spatiotemporal-adaptive multiscale methods

We present a novel spatiotemporal-adaptive Multiscale Finite Volume (MsFV) method, which is based on the natural idea that the global coarse-scale problem has longer characteristic time than the local fine-scale problems. As a consequence, the global problem can be solved with larger time steps than the local problems. In contrast to the pressure-transport splitting usually employed in the standard MsFV approach, we propose to start directly with a local-global splitting that allows to locally retain the original degree of coupling. This is crucial for highly non-linear systems or in the presence of physical instabilities. To obtain an accurate and efficient algorithm, we devise new adaptive criteria for global update that are based on changes of coarse-scale quantities rather than on fine-scale quantities, as it is routinely done before in the adaptive MsFV method. By means of a complexity analysis we show that the adaptive approach gives a noticeable speed-up with respect to the standard MsFV algorithm. In particular, it is efficient in case of large upscaling factors, which is important for multiphysics problems. Based on the observation that local time stepping acts as a smoother, we devise a self-correcting algorithm which incorporates the information from previous times to improve the quality of the multiscale approximation. We present results of multiphase flow simulations both for Darcy-scale and multiphysics (hybrid) problems, in which a local pore-scale description is combined with a global Darcy-like description. The novel spatiotemporal-adaptive multiscale method based on the local-global splitting is not limited to porous media flow problems, but it can be extended to any system described by a set of conservation equations.

Preliminary regional rockfall hazard mapping using LIDAR-based slope frequency distribution and CONEFALL modeling

A factor limiting preliminary rockfall hazard mapping at regional scale is often the lack of knowledge of potential source areas. Nowadays, high resolution topographic data (LiDAR) can account for realistic landscape details even at large scale. With such fine-scale morphological variability, quantitative geomorphometric analyses become a relevant approach for delineating potential rockfall instabilities. Using digital elevation model (DEM)-based ?slope families? concept over areas of similar lithology and cliffs and screes zones available from the 1:25,000 topographic map, a susceptibility rockfall hazard map was drawn up in the canton of Vaud, Switzerland, in order to provide a relevant hazard overview. Slope surfaces over morphometrically-defined thresholds angles were considered as rockfall source zones. 3D modelling (CONEFALL) was then applied on each of the estimated source zones in order to assess the maximum runout length. Comparison with known events and other rockfall hazard assessments are in good agreement, showing that it is possible to assess rockfall activities over large areas from DEM-based parameters and topographical elements.

Structural characterization of Turtle Mountain anticline (Alberta, Canada) and impact on rock slope failure

his paper proposes a structural investigation of the Turtle Mountain anticline (Alberta, Canada) to better understand the role of the different tectonic features on the development of both local and large scale rock slope instabilities occurring in Turtle Mountain. The study area is investigated by combining remote methods with detailed field surveys. In particular, the benefit of Terrestrial Laser Scanning for ductile and brittle tectonic structure interpretations is illustrated. The proposed tectonic interpretation allows the characterization of the fracturing pattern, the fold geometry and the role of these tectonic features in rock slope instability development. Ten discontinuity sets are identified in the study area, their local variations permitting the differentiation of the study zone into 20 homogenous structural domains. The anticline is described as an eastern verging fold that displays considerable geometry differences along its axis and developed by both flexural slip and tangential longitudinal strain folding mechanisms. Moreover, the origins of the discontinuity sets are determined according to the tectonic phases affecting the region (pre-folding, folding, post-folding). The localization and interpretation of kinematics of the different instabilities revealed the importance of considering the discrete brittle planes of weakness, which largely control the kinematic release of the local instabilities, and also the rock mass damage induced by large tectonic structures (fold hinge, thrust).

CHARACTERISATION OF ARABIDOPSIS THALIANA PERMEABLE CUTICLE MUTANTS SHOWING A STRONG RESISTANCE TO BOTRYTIS CINEREA

La cuticule des plantes, composée de cutine, un polyester lipidique complexe et de cires cuticulaires, couvre l'épiderme de la plupart des parties aériennes des plantes. Elle est constituée d'une barrière hydrophobique primaire qui minimise les pertes en eau et en soluté et protège l'organisme de différents stress environnementaux tels que les rayons UV, la dessiccation et l'infection par des pathogènes. Elle est aussi impliquée dans la délimitation des organes durant le développement. La cutine est un polyester qui, dans la plupart des espèces végétales, est principalement composé d'acides gras ω-hydroxylés composé de 16 à 18 carbones. Cependant, la cutine des feuilles d'Arabidopsis a une composition différente et est principalement constituée d'acides dicarboxyliques à 16-18 carbones. Les cires sont présentes dans le polyester de la cutine ou le recouvrent. Chez Arabidopsis, un nombre de mutants, tel que 1er, bdg, hth, att1, wbc11, et des plantes transgéniques avec différents changement dans la structure de la cuticule dans les feuilles et la tige, ont récemment été décrits et servent d'outils pour étudier la relation entre la structure et la fonction de la cuticule.7 mutants d'Arabidopsis ont été isolés par une méthode de coloration qui permet de détecter une augmentation dans la perméabilité cuticulaire. Ces mutants ont été appelés pec pour permeable cuticle.Pour la première partie de mon projet, j'ai principalement travaillé avec pec9/bre1 (permeable cuticle 9/botrytis resistance 1). PEC9/BRE1 a été identifié comme étant LACS2 (LONG CHAIN ACYL-CoA SYNTHETASE 2). Dans ce mutant, la cuticule n'est pas visible sous microscopie électronique et la quantité en acides gras omega- hydroxylés et en leurs dérivés est fortement réduite. Ces altérations conduisent à une plus grande perméabilité de la cuticule qui est mise en évidence par une plus grande sensibilité à la sécheresse et aux xénobiotiques et une coloration plus rapide par bleu de toluidine. Le mutant Iacs2 démontre aussi une grande capacité de résistance à l'infection du champignon nécrotrophique B. cinerea. Cette résistance est due à l'extrusion sur les feuilles d'un composé antifongique durant l'infection. Ce travail a été publié dans EMBO journal (Bessire et al., 2007, EMBO Journal).Mon second projet était principalement concentré sur pec1, un autre mutant isolé par le premier crible. La caractérisation de pec1 a révélé des phénotypes similaires à ceux de Iacs2, mais à chaque fois dans des proportions moindres : sensibilité accrue à la sécheresse et aux herbicides, plus grande perméabilité au bleu de toluidine et au calcofluor white, altération de la structure cuticulaire et résistance à B. cinerea à travers la même activité antifongique. PEC1 a été identifié comme étant AtPDR4. Ce gène code pour un transporteur ABC de la famille PDR ("Pleiotropic Drugs Resistance") qui sont des transporteurs ayants un large spectre de substrats. Le mutant se différencie de Iacs2, en cela que la composition en acides gras de la cuticule n'est pas autant altérée. C'est principalement le dihydroxypalmitate des fleurs dont la quantité est réduite. L'expression du gène marqué avec une GFP sous le contrôle du promoteur endogène a permis de localiser le transporteur au niveau de la membrane plasmique des cellules de l'épiderme, de manière polaire. En effet, la protéine est principalement dirigée vers l'extérieure de la plante, là où se trouve la cuticule, suggérant une implication d'AtPDR4 dans le transport de composants de la cuticule. Ce travail est actuellement soumis à Plant Cell.Une étude phylogénétique a aussi montré qu'AtPDR4 était très proche d'OsPDR6 du riz. Le mutant du riz a d'ailleurs montré des phénotypes de nanisme et de perméabilité similaire au mutant chez Arabidopsis.AbstractThe cuticle, consisting principally of cutin and cuticular waxes, is a hydrophobic layer of lipidic nature, which covers all aerial parts of plants and protects them from different abiotic and biotic stresses. Recently, the research in this area has given us a better understanding of the structure and the formation of the cuticle. The Arabidopsis mutants permeable cuticle 1 (peel) and botrytis resistance 1 (brel) were identified in two screens to identify permeable cuticles. The screens used the fluorescent dye calcofluor to measure permeability and also resistance to the fungal pathogen Botrytis. These mutants have highly permeable cuticle characteristics such as higher water loss, intake of chemicals through the cuticle, higher resistance to Botrytis cinerea infection, and organ fusion.BRE1 was cloned and found to be LACS2, a gene previously identified which is important in the formation and biosynthetic pathway of the cuticle. In brel, the amount of the major component of cutin in Arabidopsis leaves and stems, dicarboxylic acids, is five times lower than in the wild type. Moreover, the permeability of the cuticle allows the release of antifungal compounds at the leaf surface that inhibits the growth of two necrotrophic fungi: Botrytis cinerea and Sclerotinia sclerotiorum.PEC1 was identified as AtPDR4, a gene that codes for a plasma membrane transporter of the Pleiotropic Drug Resistance family, a sub-family of the ABC- transporters. AtPDR4 is strongly expressed in the epidermis of expanding tissues. In the epidermis it is located in a polar manner on the external plasma membrane, facing the cuticle. Analysis of the monomer composition of the cutin reveals that in this mutant the amount of hydroxy-acids and dihydroxy-palmitate is 2-3 times lower in flowers, in which organ these cutin monomers are the major components. Thus AtPDR4 is thought to function as a putative cutin monomer transporter.

Exhumation history of eastern Ladakh revealed by 40Ar/39Ar and fission-track ages: the Indus River-Tso Morari transect, NW Himalaya

Fission-track and (40)Ar/(39)Ar ages place time constraints on the exhumation of the North Himalayan nappe stack, the Indus Suture Zone and Molasse, and the Transhimalayan Batholith in eastern Ladakh (NW India). Results from this and previous studies on a north-south transect passing near Tso Morari Lake suggest that the SW-directed North Himalayan nappe stack (comprising the Mata, Tetraogal and Tso Morari nappes) was emplaced and metamorphosed by c. 50-45 Ma, and exhumed to moderately shallow depths (c. 10 km) by c. 45-40 Ma. From the mid-Eocene to the present, exhumation continued at a steady and slow rate except for the root zone of the Tso Morari nappe, which cooled faster than the rest of the nappe stack. Rapid cooling occurred at c. 20 Ma and is linked to brittle deformation along the normal Ribil-Zildat Fault concomitant with extrusion of the Crystalline nappe in the south. Data from the Indus Molasse suggest that sediments were still being deposited during the Miocene.

Structural and metamorphic evolution of the northern Himachal Himalaya, NW India - (Spiti-eastern Lahul-Parvati valley traverse)

The Himalayan orogen is the result of the collision between the Indian and Asian continents that began 55-50 Ma ago, causing intracontinental thrusting and nappe formation. Detailed mapping as well as structural and microfabric analyses on a traverse from the Tethyan Himalaya southwestward through the High Himalayan Crystalline and the Main Central Thrust zone (MCT zone) to the Lesser Himalayan Sequence in the Spiti-eastern Lahul-Parvati valley area reveal eight main phases of deformation, a series of late stage phases and five stages of metamorphic crystallization. This sequence of events is integrated into a reconstruction of the tectonometamorphic evolution of the Himalayan orogen in northern Himachal Pradesh. The oldest phase D-1 is preserved as relies in the High Himalayan Crystalline. Its deformational conditions are poorly known, but the metamorphic evolution is well documented by a prograde metamorphism reaching peak conditions within the upper amphibolite facies. This indicates that D-1 was an important tectonometamorphic event including considerable crustal thickening. The structural, metamorphic and sedimentary record suggest that D-1 most probably represents an early stage of continental collision. The first event clearly attributed to the collision between India and Asia is documented by two converging nappe systems, the NE-verging Shikar Beh Nappe and the SW-verging north Himalayan nappes. The D-2 Shikar Beh Nappe is characterized by isoclinal folding and top-to-the NE shearing, representing the main deformation in the High Himalayan Crystalline. D-2 also caused the main metamorphism in the High Himalayan Crystalline that was of a Barrovian-type, reaching upper amphibolite facies peak conditions. The Shikar Beh Nappe is interpreted to have formed within the Indian crust SW of the subduction zone. Simultaneously with NE-directed nappe formation, incipient subduction of India below Asia caused stacking of the SW-verging north Himalayan Nappes, that were thrust from the northern edge of the subducted continent toward the front of the Shikar Beh Nappe. As a result, the SW-verging folds of the D-3 Main Fold Zone formed in the Tethyan Himalaya below the front of the north Himalayan nappes. D-3 represents the main deformation in the Tethyan Himalaya, associated with a greenschist facies metamorphism. Folding within the Main Fold Zone subsequently propagated toward SW into the High Himalayan Crystalline, where it overprinted the preexisting D-2 structures. After subduction at the base of the north Himalayan nappes, the subduction zone stepped to the base of the High Himalayan Crystalline, where D-3 folds were crosscut by SW-directed D-4 thrusting. During D-4, the Crystalline Nappe, comprising the Main Fold Zone and relies of the Shikar Beh Nappe was thrust toward SW over the Lesser Himalayan Sequence along the 4 to 5 kms thick Main Central Thrust zone. Thrusting was related to a retrograde greenschist facies overprint at the base of the Crystalline Nappe and to pro-grade greenschist facies conditions in the Lesser Himalayan Sequence. Simultaneously with thrusting at the base of the Crystalline Nappe, higher crustal levels were affected by NE-directed D-5 normal extensional shearing and by dextral strike-slip motion, indicating that the high-grade metamorphic Crystalline Nappe was extruded between the low-grade metamorphic Lesser Himalayan Sequence at the base and the north Himalayan nappes at the top. The upper boundary of the Crystalline Nappe is not clearly delimited and passes gradually into the low-grade rocks at the front of the north Himalayan nappes. Extrusion of the Crystalline Nappe was followed by the phase D-6, characterized by large-scale, upright to steeply inclined, NE-verging folds and by another series of normal and extensional structures D-7+D-8 that may be related to ongoing extrusion of the Crystalline Nappe. The late stage evolution is represented by the phases D-A and D-B that indicate shortening parallel to the axis of the mountain chain and by D-C that is interpreted to account for the formation of large-scale domes with NNW-SSE-trending axes, an example of which is exposed in the Larji-Kullu-Rampur tectonic window.

Tensile strength characteristics of polypropylene composites reinforced with stone groundwood fibers from softwood

The behavior of stone groundwood / polypropylene injection-molded composites was evaluated with and without coupling agent. Stone groundwood (SGW) is a fibrous material commonly prepared in a high yield process and mainly used for papermaking applications. In this work, the use of SGW fibers was explored as a reinforcing element of polypropylene (PP) composites. The surface charge density of the composite components was evaluated, as well as the fiber’s length and diameter inside the composite material. Two mixing extrusion processes were evaluated, and the use of a kinetic mixer, instead of an internal mixer, resulted in longer mean fiber lengths of the reinforcing fibers. On the other hand, the accessibility of surface hydroxyl groups of stone groundwood fibers was improved by treating the fibers with 5% of sodium hydroxide, resulting in a noticeable increase of the tensile strength of the composites, for a similar percentage of coupling agent. A new parameter called Fiber Tensile Strength Factor is defined and used as a baseline for the comparison of the properties of the different composite materials. Finally the competitiveness of stone groundwood / polypropylene / polypropylene-co-maleic anhydride system, which compared favorably to sized glass-fiber / polypropylene GF/PP and glass-fiber / polypropylene / polypropylene-co-maleic anhydride composite formulations, was quantified by means of the fiber tensile strength factor

Structural development of the Tso Morari ultra-high pressure nappe of the Ladakh Himalaya

A continental subduction-related and multistage exhumation process for the Tso Morari ultra-high pressure nappe is proposed. The model is constrained by published thermo-barometry and age data, combined with new geological and tectonic maps. Additionally, observations on the structural and metamorphic evolution of the Tso Morari area and the North Himalayan nappes are presented. The northern margin of the Indian continental crust was subducted to a depth of >90 km below Asia after continental collision some 55 Ma ago. The underthrusting was accompanied by the detachment and accretion of Late Proterozoic to Early Eocene sediments, creating the North Himalayan accretionary wedge, in front of the active Asian margin and the 103-50 Ma Ladakh arc batholith. The basic dikes in the Ordovician Tso Morari granite were transformed to eclogites with crystallization of coesite, some 53 Ma ago at a depth of >90 kin (>27 kbar) and temperatures of 500 to 600 degrees C. The detachment and extrusion of the low density Tso Morari nappe, composed of 70% of the Tso Morari granite and 30% of graywackes with some eclogitic dikes, occurred by ductile pure and simple shear deformation. It was pushed by buoyancy forces and by squeezing between the underthrusted Indian lithosphere and the Asian mantle wedge. The extruding Tso Morari nappe reached a depth of 35 km at the base of the North Himalayan accretionary wedge some 48 Ma ago. There the whole nappe stack recrystallized under amphibolite facies conditions of a Barrovian regional metamorphism with a metamorphic field gradient of 20 degrees C/km. An intense schistosity with a W-E oriented stretching lineation L, and top-to-the E shear criteria and crystallization of oriented sillimanite needles after kyanite, testify to the Tso Morari nappe extrusion and pressure drop. The whole nappe stack, comprising from the base to top the Tso Morari, Tetraogal, Karzok and Mata-Nyimaling-Tsarap nappes, was overprinted by new schistosities with a first N-directed and a second NE-directed stretching lineation L-2 and L-3 reaching the base of the North Himalayan accretionary wedge. They are characterized by top-to-the S and SW shear criteria. This structural overprint was related to an early N- and a younger NE-directed underthrusting of the Indian plate below Asia that was accompanied by anticlockwise rotation of India. The warping of the Tso Morari dome started already some 48 Ma ago with the formation of an extruding nappe at depth. The Tso Morari dome reached a depth of 15 km about 40 Ma ago in the eastern Kiagar La region and 30 Ma ago in the western Nuruchan region. The extrusion rate was of about 3 cm/yr between 53 and 48 Ma, followed by an uplift rate of 1.2 mm/yr between 48 and 30 Ma and of only 0.5 mm/yr after 30 Ma. Geomorphology observations show that the Tso Morari dome is still affected by faults, open regional dome, and basin and pull-apart structures, in a zone of active dextral transpression parallel to the Indus Suture zone.

Morphostructural analysis of an alpine debris flows catchment: implication for debris supply

Rock slope instabilities are implicitly linked to the supply of sediment and debris recharging channels prone to debris flow. Hence, the incorporation of bedrock structure and terrain morphology can be relevant in the analysis of sediment budget and debris flow hazard assessment. Here, the mode of debris production of the Manival catchment (northern French Alps) is documented by the study of its morphostructural aspects extracted from high resolution DEM. Terrain implication in the process of debris supply is evaluated by: a) A systematic classification of the major morphological units based on the slope gradient that enables a spatial analysis of zones of debris production and deposition. b) A detailed structural analysis performed on DEM in order to identify potential unstable slopes. c) An analysis of the gullies orientation that informs in term of structural control of the sources zones. d) Localisation of high density joints sets that document about whether sources of continuous debris production are controlled by the structural setting of the catchment. These DEM-based indicators can be used as proxies for assessing the influences of the current topography and enable to quantify a degree of susceptibility to mass wasting and hillslope erosion activity. This present contribution suggests some directions for characterizing sediment flux dynamic in small alpine catchment.

The equity premium and the risk free rate: A cross country, cross maturity examination

This paper examines the relationship between the equity premium and the risk free rate at three different maturities using post 1973 data fora panel of 7 OECD countries. We show the existence of subsample instabilities,of some cross country differences and of inconsistencies with the expectations theory of the term structure. We perform simulations using a standard consumptionbased CAPM model and demonstrate that the basic features of Mehra and Prescott's(1985) puzzle remain, regardless of the time period, the investment maturity and the country considered. Modifications of the basic setup are also considered.

Does money matter in shaping domestic business cycles? An international investigation (with appendices)

We study the contribution of money to business cycle fluctuations in the US,the UK, Japan, and the Euro area using a small scale structural monetary business cycle model. Constrained likelihood-based estimates of the parameters areprovided and time instabilities analyzed. Real balances are statistically importantfor output and inflation fluctuations. Their contribution changes over time. Models giving money no role provide a distorted representation of the sources of cyclicalfluctuations, of the transmission of shocks and of the events of the last 40 years.

What explains the Great Moderation in the US? A structural analysis

This paper investigates what has caused output and inflation volatility to fall in the USusing a small scale structural model using Bayesian techniques and rolling samples. Thereare instabilities in the posterior of the parameters describing the private sector, the policyrule and the standard deviation of the shocks. Results are robust to the specification ofthe policy rule. Changes in the parameters describing the private sector are the largest,but those of the policy rule and the covariance matrix of the shocks explain the changes most.

Las formaciones travertínicas del valle de Cogolls (Girona): caracterización y relaciones con la dinámica de la cuenca

The influence of geomorphological and hydrologic conditions on travertine deposit formation has been studied in Cogolls Valley (Girona, Spain). Results indicate an evolutive sequence of the Quaternary materials, that is related to instabilities created by progresive changes into the valley system