Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Meta-analysis identifies 13 new loci associated with waist-hip ratio and reveals sexual dimorphism in the genetic basis of fat distribution.

Waist-hip ratio (WHR) is a measure of body fat distribution and a predictor of metabolic consequences independent of overall adiposity. WHR is heritable, but few genetic variants influencing this trait have been identified. We conducted a meta-analysis of 32 genome-wide association studies for WHR adjusted for body mass index (comprising up to 77,167 participants), following up 16 loci in an additional 29 studies (comprising up to 113,636 subjects). We identified 13 new loci in or near RSPO3, VEGFA, TBX15-WARS2, NFE2L3, GRB14, DNM3-PIGC, ITPR2-SSPN, LY86, HOXC13, ADAMTS9, ZNRF3-KREMEN1, NISCH-STAB1 and CPEB4 (P = 1.9 × 10⁻⁹ to P = 1.8 × 10⁻⁴⁰) and the known signal at LYPLAL1. Seven of these loci exhibited marked sexual dimorphism, all with a stronger effect on WHR in women than men (P for sex difference = 1.9 × 10⁻³ to P = 1.2 × 10⁻&supl;³). These findings provide evidence for multiple loci that modulate body fat distribution independent of overall adiposity and reveal strong gene-by-sex interactions.

Computer-assisted placement technique in hip resurfacing arthroplasty: improvement in accuracy?

Freehand positioning of the femoral drill guide is difficult during hip resurfacing and the surgeon is often unsure of the implant position achieved peroperatively. The purpose of this study was to find out whether, by using a navigation system, acetabular and femoral component positioning could be made easier and more precise. Eighteen patients operated on by the same surgeon were matched by sex, age, BMI, diagnosis and ASA score (nine patients with computer assistance, nine with the regular ancillary). Pre-operative planning was done on standard AP and axial radiographs with CT scan views for the computer-assisted operations. The final position of implants was evaluated by the same radiographs for all patients. The follow-up was at least 1 year. No difference between both groups in terms of femoral component position was observed (p > 0.05). There was also no difference in femoral notching. A trend for a better cup position was observed for the navigated hips, especially for cup anteversion. There was no additional operating time for the navigated hips. Hip navigation for resurfacing surgery may allow improved visualisation and hip implant positioning, but its advantage probably will be more obvious with mini-incisions than with regular incision surgery.

The effectiveness of tipi in the treatment of hip and knee osteoarthritis: a preliminary report

Osteoarthritis (OA) is a common painful inflammatory condition occurring mainly in the later half of life. Hipe and knee are the joints mostly affected. Petiveria alliacea (tipi) popularly known as an anti-rheumatic medicine, has been used by OA patients to relief pain. This one-week cross-over double-blind trial has preliminary evaluated the analgesic effect of tipi tea in 14 patients with hip and knee OA. Imperata exaltata (sape) was used as the Placebo tea. The pain assessments that were made at baseline and before the start of the second treatment period by treatment groups were comparable. While taking tipi or placebo tea patients experienced a statistically significant improvement in pain on motion and pain at night. The comparison between the improvements reported while on tipi and placebo tea, however, did not disclose any statistically significant difference. At the conclusion of the study 7 patients preferred tipi tea and 6 preferred placebo tea (NS). Two patients reported insomnia, one durign placebo treatment and the other during tipi treatment. In this preliminary report both teas succeeded in the aim of relieving pain.

Brucellosis hip abscess without risk factor.

Brucellosis has become a rare entity in many industrialised countries, because of animal vaccination programs. We report a first case in the literature of Brucella abscess in the hip region observed in Switzerland in a subject without any clear risk factor, leading us to conclude that abscess formation can be a rare manifestation of brucellosis. Because it can present in many different forms and locations without having characteristic clinics, a high index of suspicion is needed for the diagnosis even if the patient is a healthy athlete with no clear way of obvious route for contamination, and this even more if all the common causes of athletic hip pain have been ruled out.

Sequence conservation in Plasmodium falciparum alpha-helical coiled coil domains proposed for vaccine development.

BACKGROUND: The availability of the P. falciparum genome has led to novel ways to identify potential vaccine candidates. A new approach for antigen discovery based on the bioinformatic selection of heptad repeat motifs corresponding to alpha-helical coiled coil structures yielded promising results. To elucidate the question about the relationship between the coiled coil motifs and their sequence conservation, we have assessed the extent of polymorphism in putative alpha-helical coiled coil domains in culture strains, in natural populations and in the single nucleotide polymorphism data available at PlasmoDB. METHODOLOGY/PRINCIPAL FINDINGS: 14 alpha-helical coiled coil domains were selected based on preclinical experimental evaluation. They were tested by PCR amplification and sequencing of different P. falciparum culture strains and field isolates. We found that only 3 out of 14 alpha-helical coiled coils showed point mutations and/or length polymorphisms. Based on promising immunological results 5 of these peptides were selected for further analysis. Direct sequencing of field samples from Papua New Guinea and Tanzania showed that 3 out of these 5 peptides were completely conserved. An in silico analysis of polymorphism was performed for all 166 putative alpha-helical coiled coil domains originally identified in the P. falciparum genome. We found that 82% (137/166) of these peptides were conserved, and for one peptide only the detected SNPs decreased substantially the probability score for alpha-helical coiled coil formation. More SNPs were found in arrays of almost perfect tandem repeats. In summary, the coiled coil structure prediction was rarely modified by SNPs. The analysis revealed a number of peptides with strictly conserved alpha-helical coiled coil motifs. CONCLUSION/SIGNIFICANCE: We conclude that the selection of alpha-helical coiled coil structural motifs is a valuable approach to identify potential vaccine targets showing a high degree of conservation.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.

In vitro growth of human urinary tract smooth muscle cells on laminin and collagen type I-coated membranes under static and dynamic conditions.

This study investigates in vitro growth of human urinary tract smooth muscle cells under static conditions and mechanical stimulation. The cells were cultured on collagen type I- and laminin-coated silicon membranes. Using a Flexcell device for mechanical stimulation, a cyclic strain of 0-20% was applied in a strain-stress-time model (stretch, 104 min relaxation, 15 s), imitating physiological bladder filling and voiding. Cell proliferation and alpha-actin, calponin, and caldesmon phenotype marker expression were analyzed. Nonstretched cells showed significant better growth on laminin during the first 8 days, thereafter becoming comparable to cells grown on collagen type I. Cyclic strain significantly reduced cell growth on both surfaces; however, better growth was observed on laminin. Neither the type of surface nor mechanical stimulation influenced the expression pattern of phenotype markers; alpha-actin was predominantly expressed. Coating with the extracellular matrix protein laminin improved in vitro growth of human urinary tract smooth muscle cells.