Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis

This paper examines the impact of Federal Funds rate (FFR) surprises on stock returns in the United States over the period 1989-2009, focusing on the impact of the recent financial crisis. We find that prior to the crisis, stock prices increased as a response to unexpected FFR cuts. State dependence is also identified with stocks exhibiting larger increases when interest rate easing coincided with recessions, bear stock markets, and tightening credit market conditions. However, an important structural shift took place during the financial crisis, which changed the stock market response to FFR shocks, as well as the nature of state dependence. Specifically, during the crisis period stock market participants did not react positively to unexpected FFR cuts. Our results highlight the severity of the recent financial turmoil episode and the ineffectiveness of conventional monetary policy close to the zero lower bound for nominal interest rates.

A New Index of Financial Conditions

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of financial variables.

Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in 3-month LIBOR futures prices, are transmitted in a differential manner to the cross-section of liquidity-sorted portfolios, with liquid stocks playing the most active role. We also find that there is a significant increase in shares’ trading activity and a rather small increase in their trading cost on MPC meeting days. Finally, our results emphatically document that during the recent financial crisis the shocks-returns relationship has reversed its sign. Interest rate cuts during the crisis were perceived by market participants as a signal of deteriorating economic prospects and reinforced “flight to safety” trading.

Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional return forecasting regressions based on the price-dividend ratio are invalid. Moreover, the nonstationary long memory behaviour of the price-dividend ratio induces antipersistence in returns. This suggests that expected returns should be modelled as an AFIRMA process and we show this improves the forecast ability of the present-value model in-sample and out-of-sample.

Reading Ng Kim Chew: Malaysian-Chineseness and memory in contemporary Malaysian Chinese literature in taiwan

The idea of Chineseness as a geographic, cultural-specific and ethnically-charged concept, and the pivotal role assumed by memory linger throughout the writings of most authors hailing from Chinese community in Southeast Asia. Among these communities, being the Malaysian Chinese the more prolific in terms of number of writers and pieces of literature produced, this paper deals specifically with it. Its focus is put on the literature produced by Malaysian Chinese authors residing in Taiwan, which topic constitutes an important part of the first chapter, and on one of its main representatives, Ng Kim Chew, to whom chapter two and three are fully dedicated. A literary analysis of one of his short stories, Huo yu tu, will allow the reader to have a first-hand experience, through excerpts from the original text, of the importance of Chineseness and memory in the literary production of Ng and of many authors sharing with him similar life and literary experiences. I started this research from the assumption that these authors make large use of their own memories and memories from their own community in their writing as a way to re-tie themselves to the Chineseness they left in their places of origin. However in the case of Ng Kim Chew, the analysis of his works led be to theorizing that the identity he is imbued with, if there is one, is not Chinese, nor Malaysian, but purely and distinctively Malaysian-Chinese. This paper can also serve as an introduction for the general public to the field of Sinophone literature from Southeast Asia and to promote wider and innovative paths of research within the realm of Chinese studies that go beyond China proper.

Prospective validation of the Pulmonary Embolism Severity Index. A clinical prognostic model for pulmonary embolism

Practice guidelines recommend outpatient care for selected patients with non-massive pulmonary embolism (PE), but fail to specify how these low-risk patients should be identified. Using data from U.S. patients, we previously derived the Pulmonary Embolism Severity Index (PESI), a prediction rule that risk stratifies patients with PE. We sought to validate the PESI in a European patient cohort. We prospectively validated the PESI in patients with PE diagnosed at six emergency departments in three European countries. We used baseline data for the rule's 11 prognostic variables to stratify patients into five risk classes (I-V) of increasing probability of mortality. The outcome was overall mortality at 90 days after presentation. To assess the accuracy of the PESI to predict mortality, we estimated the sensitivity, specificity, and predictive values for low- (risk classes I/II) versus higher-risk patients (risk classes III-V), and the discriminatory power using the area under the receiver operating characteristic (ROC) curve. Among 357 patients with PE, overall mortality was 5.9%, ranging from 0% in class I to 17.9% in class V. The 186 (52%) low-risk patients had an overall mortality of 1.1% (95% confidence interval [CI]: 0.1-3.8%) compared to 11.1% (95% CI: 6.8-16.8%) in the 171 (48%) higher-risk patients. The PESI had a high sensitivity (91%, 95% CI: 71-97%) and a negative predictive value (99%, 95% CI: 96-100%) for predicting mortality. The area under the ROC curve was 0.78 (95% CI: 0.70-0.86). The PESI reliably identifies patients with PE who are at low risk of death and who are potential candidates for outpatient care. The PESI may help physicians make more rational decisions about hospitalization for patients with PE.

Les préférences alimentaires sont-elles influencées par l'index de masse corporelle, l'âge, le sexe ou le tabac [Are food preferences affected by body mass index, age, sex or tobacco?].

In recent decades the percentage of energy derived from dietary fat has increased. The aim of this study was to explore the relationship between food taste preferences, BMI, age, gender and smoking habits. A computerized questionnaire using a hedonic scale (range 0 to 8) to quantify the liking for sweet and savoury, lean and fat foods, was filled by 233 adults: 171 normal weight (131 women, 40 men) and 62 overweight subjects (BMI > 25 kg/m2 42 women, 20 men). The majority of the subjects had a general preference for savoury lean food irrespective of their BMI or gender. Similarly, preference for sweet lean food was not influenced by the magnitude of the BMI. In contrast, overweight subjects had a preference for sweet fat food (p = 0.05) as well as for savoury fat food (p < 0.05). At any age or BMI, men preferred sweet fat food (p < 0.01). This was not the case for women. Overweight men over forty preferred savoury fat food, in contrast to overweight women of the same age (p < 0.01). The same difference existed between normal weight smokers and non-smokers. This study demonstrates that fat food preference plays a potential role in the development of obesity.

Adiposity indicators and blood pressure in children: nothing beyond body mass index?

Obesity is a major risk factor for elevated blood pressure in children. For instance, in a school-based study of 5207 children aged 10-12 years, the prevalence of hypertension, which is sustained elevated blood pressure over several visits, was 1.5%, 3.9% and 17.5% in normal weight, overweight and obese children, respectively. High body mass index (BMI) is commonly used to define overweight and obesity. However, because BMI is merely a proxy for adiposity, there is a longstanding debate about its performance to predict elevated blood pressure (or any other health conditions associated with adiposity) and whether other adiposity indicators, such as waist circumference, waist-to-hip ratio or hip circumference, should not be preferred... In this study, 7.4% of boys and 6.4% of girls had elevated blood pressure. The adiposity indicators were highly correlated to each other, apart from weight, waist-to-hip ratio and skinfold thickness z-scores. All indicators were associated with blood pressure. The ability to identify children with elevated blood pressure, assessed by the area under the receiver operating curve (AUC) statistic, was superior for BMI, body adiposity index and waist-to-height ratio z-scores compared with other indicators. BMI z-scores had a slightly higher AUC than other indicators. The authors concluded that BMIz-scores could be a better predictor of elevated blood pressure in children than other adiposity indicators.

The multipoint Morisita index for the analysis of spatial patterns

In many fields, the spatial clustering of sampled data points has many consequences. Therefore, several indices have been proposed to assess the level of clustering affecting datasets (e.g. the Morisita index, Ripley's Kfunction and Rényi's generalized entropy). The classical Morisita index measures how many times it is more likely to select two measurement points from the same quadrats (the data set is covered by a regular grid of changing size) than it would be in the case of a random distribution generated from a Poisson process. The multipoint version (k-Morisita) takes into account k points with k >= 2. The present research deals with a new development of the k-Morisita index for (1) monitoring network characterization and for (2) detection of patterns in monitored phenomena. From a theoretical perspective, a connection between the k-Morisita index and multifractality has also been found and highlighted on a mathematical multifractal set.

The eta invariant and equivariant index of transversally elliptic operators

We prove a formula for the multiplicities of the index of an equivariant transversally elliptic operator on a G-manifold. The formula is a sum of integrals over blowups of the strata of the group action and also involves eta invariants of associated elliptic operators. Among the applications, we obtain an index formula for basic Dirac operators on Riemannian foliations, a problem that was open for many years.

Sentinel lymph node involvement and a high Breslow index are independent factors of risk for early relapse of melanoma.

AIM: The clinical relevance of sentinel lymph node (SLN) analysis was evaluated prospectively and compared with other known risk factors of relapse in early stage melanoma. METHODS: Surgery was guided by lymphoscintigraphy, blue dye and gamma probe detection. SLN were analysed by haematoxylin eosin (HE) histochemistry and multimarker immunohistochemistry (IHC). Disease free survival (DFS) was evaluated with Kaplan-Meier plots according to different parameters and Cox analyses of variance. RESULTS: From 210 patients a total of 381 SLN were excised. Lymphoscintigraphy identified all excised SLN with only 2 false positive lymphatic lakes. Fifty patients (24%) had tumour positive SLN. With a mean follow-up of 31.3 months, 29 tumour recurrences were observed, 19 (38%) in 50 SLN positive and 10 (6%) in 160 SLN negative patients. Strong predictive factors for early relapse (p < 0.0005) were SLN positivity and a high Breslow index. CONCLUSION: SLN tumour positivity is an independent factor of high risk for early relapse with a higher power of discrimination than the Breslow index.

Fecal calprotectin more accurately reflects endoscopic activity of ulcerative colitis than the Lichtiger Index, CRP, or blood leukocytes

Background: Mucosal healing in ulcerative colitis (UC) is reported to be associated with favourable clinical outcomes such as reduced hospitalization and surgery rates. Activity monitoring by endoscopy has its shortcomings due to invasiveness, costs, and potential patient discomfort. Data on the correlation of noninvasive biomarkers with endoscopic severity in UC are scarce. Aim: to evaluate the correlation between endoscopic activity according to the modified Baron Index and fecal calprotectin, C-reactive protein (CRP), blood leukocytes, and the Lichtiger Index (clinical score). Methods: UC patients with leftsided and extensive colitis undergoing complete colonoscopy were prospectively enrolled and scored clinically and endoscopically. Fecal and blood samples were analyzed in UC patients (in a blinded fashion) and controls. The modified Baron score describes the following 5 endoscopic conditions: 0 = normal, 1 = granular mucosa, edema, 2 = friable mucosa but no spontaneous bleeding, 3 = microulcerations with spontaneous bleeding, 4 = gross ulceration, denuded mucosa. Results: We enrolled 228 UC patients (mean age 41 ± 13 years, 39 female) and 52 healthy controls. Disease was located in 40% in the left colon, 21% had an extensive and 39% a pancolitis. Endoscopic disease activity correlated best with fecal calprotectin (Spearman's rank correlation coefficient r = 0.821), followed by the Lichtiger Index (r = 0.682), CRP (r = 0.556), and blood leukocytes (r = 0.401). Fecal calprotectin was the only marker that could discriminate between different grades of endoscopic activity (grade 0, 25 ± 11 μg/g; grade 1, 44 ± 34 μg/g; grade 2, 111 ± 74 μg/g; grade 3, 330 ± 332 μg/g; grade 4, 659 ± 319 μg/g; P = 0.002 for discriminating grade 0 vs. 1, and P < 0.001 for discriminating grade 1 vs. 2, grade 2 vs. 3, and grade 3 vs. 4). Fecal calprotectin had the highest overall accuracy (91%) to detect endoscopically active disease (modified Baron Index ≥ 2), followed by the Lichtiger Index score of ≥ 4 (77%), CRP > 5 mg/L (69%) and blood leukocytosis (58%). Conclusions: Fecal calprotectin better correlated with endoscopic disease activity than clinical activity, CRP, and blood leukocytes. The strong correlation with endoscopic disease activity suggests that FC represents a useful biomarker for noninvasive monitoring of disease activity in UC patients.

Lack of metabolic and behavioral adaptations in rural Gambian men with low body mass index.

Energy expenditure was measured by means of a respiratory chamber in two groups of adult rural Gambian men. The first group (n = 29) had a low body mass index (BMI; in kg/m2) < 18.5), whereas the control group (n = 29) had a higher BMI (> 22). This study shows that the energy expenditure of Gambian men with low BMI is not different from that of Gambian men with normal BMI when the results are normalized for fat-free mass or for weight by analysis of covariance. In Gambian men the nutritional status thus does not seem to affect energy metabolism notably. No differences in respiratory quotient, diet-induced thermogenesis, net work efficiency, spontaneous physical activity, heart rate, or urinary catecholamine excretion were observed between the two groups. It is, however, interesting to note that the basal metabolic rate of Gambian men, regardless of their nutritional status, is approximately 10% (range 4-12% depending on the reference value used) lower than that predicted for individuals living in industrialized countries.

Another (better) index of adiposity.

Comment on: Bergman RN, Stefanovski D, Buchanan TA, Sumner AE, Reynolds JC, Sebring NG, Xiang AH, Watanabe RM. A better index of body adiposity. Obesity (Silver Spring). 2011 May; 19(5):1083-9. PMID: 21372804.

Simultaneous cell morphometry and refractive index measurement with dual-wavelength digital holographic microscopy and dye-enhanced dispersion of perfusion medium.

Digital holographic microscopy (DHM) allows optical-path-difference (OPD) measurements with nanometric accuracy. OPD induced by transparent cells depends on both the refractive index (RI) of cells and their morphology. This Letter presents a dual-wavelength DHM that allows us to separately measure both the RI and the cellular thickness by exploiting an enhanced dispersion of the perfusion medium achieved by the utilization of an extracellular dye. The two wavelengths are chosen in the vicinity of the absorption peak of the dye, where the absorption is accompanied by a significant variation of the RI as a function of the wavelength.