Sedimentary Metal Bioavailability Determined By the Digestive Constraints of Marine Deposit Feeders: Gut Retention Time and Dissolved Amino Acids

Contaminant metals bound to sediments are subject to considerable solubilization during passage of the sediments through the digestive systems of deposit feeders. We examined the kinetics of this process, using digestive fluids extracted from deposit feeders Arenicola marina and Parastichopus californicus and then incubated with contaminated sediments. Kinetics are complex, with solubilization followed occasionally by readsorption onto the sediment. In general, solubilization kinetics are biphasic, with an initial rapid step followed by a slower reaction. For many sediment-organism combinations, the reaction will not reach a steady state or equilibrium within the gut retention time (GRT) of the organisms, suggesting that metal bioavailability in sediments is a time-dependent parameter. Experiments with commercial protein solutions mimic the kinetic patterns observed with digestive fluids, which corroborates our previous study that complexation by dissolved amino acids (AA) in digestive fluids leads to metal solubilization (Chen & Mayer 1998b; Environ Sci Technol 32:770-778). The relative importance of the fast and slow reactions appears to depend on the ratio of ligands in gut fluids to the amount of bound metal in sediments. High ligand to solid metal ratios result in more metals released in fast reactions and thus higher lability of sedimentary metals. Multiple extractions of a sediment with digestive fluid of A. marina confirm the potential importance of incomplete reactions within a single deposit-feeding event, and make clear that bioavailability to a single animal is Likely different from that to a community of organisms. The complex kinetic patterns lead to the counterintuitive prediction that toxification of digestive enzymes by solubilized metals will occur more readily in species that dissolve less metals.

MASP-1 Induced Clotting--The First Model of Prothrombin Activation by MASP-1.

Mannan-binding lectin-associated serine protease-1 (MASP-1), a protein of the complement lectin pathway, resembles thrombin in terms of structural features and substrate specificity. Due to its interplay with several coagulation factors, it has the ability to induce fibrin clot formation independent of the usual coagulation activation pathways. We have recently shown that MASP-1 activates prothrombin and identified arginine (R) 155, R271, and R393 as potential cleavage sites. FXa cleaves R320 instead of R393, and thrombin cleaves R155 and R284 in prothrombin. Here we have used three arginine-to-glutamine mutants of prothrombin, R271Q, R320Q, R393Q and the serine-to-alanine active site mutant S525A to investigate in detail the mechanism of MASP-1 mediated prothrombin activation. Prothrombin wildtype and mutants were digested with MASP-1 and the cleavage products were analysed by SDS-PAGE and N-terminal sequencing. A functional clotting assay was performed by thrombelastography. We have found that MASP-1 activates prothrombin via two simultaneous pathways, either cleaving at R271 or R393 first. Both pathways result in the formation of several active alternative thrombin species. Functional studies confirmed that both R393 and R320 are required for prothrombin activation by MASP-1, whereas R155 is not considered to be an important cleavage site in this process. In conclusion, we have described for the first time a detailed model of prothrombin activation by MASP-1.

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited

Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing that this finding of high volatility persistence reflects the Great Moderation, which features a sharp decline in the variance as well as two falls in the mean of the growth rates identified by Bai and Perronâs (1998, 2003) multiple structural change test. Our empirical results provide new evidence. First, excess kurtosis drops substantially or disappears in the GARCH or exponential GARCH model that corrects for an additive outlier. Second, using the outlier-corrected data, the integrated GARCH effect or high volatility persistence remains in the specification once we introduce intercept-shift dummies into the mean equation. Third, the time-varying variance falls sharply, only when we incorporate the break in the variance equation. Fourth, the ARCH in mean model finds no effects of our more correct measure of output volatility on output growth or of output growth on its volatility.

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, Taiwan and a zero net effect in Korea and Thailand. Since the negative effect of exchange rate risk may offset, or even dominate, positive contributions from depreciation, policy makers need to reduce exchange rate fluctuation along with and possibly before efforts to depreciate the currency.

Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five newly emerging East Asian stock markets during the Asian financial crisis. The evidence shows that the conditional variances of stock market returns and depreciation rates exhibit time-varying characteristics for all countries. Domestic currency depreciation and its uncertainty adversely affects stock market returns across countries. The significant effects of foreign exchange market events on stock market returns suggest that international fund managers who invest in the newly emerging East Asian stock markets must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Exchange rate depreciation and exports: The case of Singapore revisited

This paper revisits the weak relationship between exchange rate depreciation and exports for Singapore, using a bivariate GARCH-M model that simultaneously estimates time-varying risk. The evidence shows that depreciation does not significantly improve exports, but that exchange rate risk significantly impedes exports. In sum, Singaporean policy makers can better promote export growth by stabilizing the exchange rate rather than generating its depreciation.

Longitudinal categorical data analysis: A continuous -time Markov chain approach

In this dissertation, we propose a continuous-time Markov chain model to examine the longitudinal data that have three categories in the outcome variable. The advantage of this model is that it permits a different number of measurements for each subject and the duration between two consecutive time points of measurements can be irregular. Using the maximum likelihood principle, we can estimate the transition probability between two time points. By using the information provided by the independent variables, this model can also estimate the transition probability for each subject. The Monte Carlo simulation method will be used to investigate the goodness of model fitting compared with that obtained from other models. A public health example will be used to demonstrate the application of this method. ^

Holocene sedimentation rates in the Northwest Passage

Palynological, geochemical, and physical records were used to document Holocene paleoceanographic changes in marine sediment core from Dease Strait in the western part of the main axis of the Northwest Passage (core 2005-804-006 PC latitude 68°59.552'N, longitude 106°34.413'W). Quantitative estimates of past sea surface conditions were inferred from the modern analog technique applied to dinoflagellate cyst assemblages. The chronology of core 2005-804-006 PC is based on a combined use of the paleomagnetic secular variation records and the CALS7K.2 time-varying spherical harmonic model of the geomagnetic field. The age-depth model indicates that the core spans the last ~7700 cal years B.P., with a sedimentation rate of 61 cm/ka. The reconstructed sea surface parameters were compared with those from Barrow Strait and Lancaster Sound (cores 2005-804-004 PC and 2004-804-009 PC, respectively), which allowed us to draw a millennial-scale Holocene sea ice history along the main axis of the Northwest Passage (MANWP). Overall, our data are in good agreement with previous studies based on bowhead whale remains. However, dinoflagellate sea surface based reconstructions suggest several new features. The presence of dinoflagellate cysts in the three cores for most of the Holocene indicates that the MANWP was partially ice-free over the last 10,000 years. This suggests that the recent warming observed in the MANWP could be part of the natural climate variability at the millennial time scale, whereas anthropogenic forcing could have accelerated the warming over the past decades. We associate Holocene climate variability in the MANWP with a large-scale atmospheric pattern, such as the Arctic Oscillation, which may have operated since the early Holocene. In addition to a large-scale pattern, more local conditions such as coastal current, tidal effects, or ice cap proximity may have played a role on the regional sea ice cover. These findings highlight the need to further develop regional investigations in the Arctic to provide realistic boundary conditions for climatic simulations.

Do export promotion agencies increase exports?

In this paper, we examine the role of export promotion agencies (EPAs) in promoting exports from Japan and Korea. Looking at two home countries enables us to tackle endogeneity issues by controlling for both country-pair time-invariant characteristics and importing country time-varying characteristics. Our empirical results indicate that the coefficients of the EPA dummy are similar in size to those of the FTA dummy. This implies that establishing an EPA office in a country is equivalent to signing an FTA with that country. In addition, we find that EPA’s effects are larger for manufactured products than non-manufactured products. Finally, the EPA effect is larger for low income trade partners than for high income trade partners.

Forecasting Electricity Prices and their volatilities using Unobserved Components.

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term. Thus, there is a need of providing methodology that is able to deal with the most important features of electricity price series, which are well known for presenting not only structure in conditional mean but also time-varying conditional variances. In this work we propose a new model, which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices. These common factors are jointly estimated as well as their relationship with the original vector of series, and the dynamics affecting both their conditional mean and variance. The estimation of the model is carried out under the state-space formulation. The new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the Spanish zone of the Iberian Market. Several simplified/alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power.