Fiscal policy, pricing frictions and monetary accommodation

We investigate the theoretical conditions for effectiveness of government consumptionexpenditure expansions using US, Euro area and UK data. Fiscal expansions taking placewhen monetary policy is accommodative lead to large output multipliers in normal times.The 2009-2010 packages need not produce significant output multipliers, may havemoderate debt effects, and only generate temporary inflation. Expenditure expansionsaccompanied by deficit/debt consolidations schemes may lead to short run output gains buttheir success depends on how monetary policy and expectations behave. Trade opennessand the cyclicality of the labor wedge explain cross-country differences in the magnitude ofthe multipliers.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Fair pricing of deposit insurance. Is it possible? Yes. Is it desirable? No

This note elaborates on a recent article by Chan, Greenbaum and Thakor(1992) who contend that fairly priced deposit insurance is incompatiblewithfree competition in the banking sector, in the presence of adverseselection.We show here that at soon as one introduces a real economic motivationfromprivate banks to manage the deposits from the public, then fairly priceddeposit insurance becomes possible. However, we also show that sucha fairlypriced insurance is never desirable, precisely because of adverseselection.We compute the characteristics of the optimal premium schedule, whichtradesoff between the cost of adverse selection and the cost of ``unfaircompetition ''.

Assignment strategies for large proteins by magic-angle spinning NMR: the 21-kDa disulfide-bond-forming enzyme DsbA.

We present strategies for chemical shift assignments of large proteins by magic-angle spinning solid-state NMR, using the 21-kDa disulfide-bond-forming enzyme DsbA as prototype. Previous studies have demonstrated that complete de novo assignments are possible for proteins up to approximately 17 kDa, and partial assignments have been performed for several larger proteins. Here we show that combinations of isotopic labeling strategies, high field correlation spectroscopy, and three-dimensional (3D) and four-dimensional (4D) backbone correlation experiments yield highly confident assignments for more than 90% of backbone resonances in DsbA. Samples were prepared as nanocrystalline precipitates by a dialysis procedure, resulting in heterogeneous linewidths below 0.2 ppm. Thus, high magnetic fields, selective decoupling pulse sequences, and sparse isotopic labeling all improved spectral resolution. Assignments by amino acid type were facilitated by particular combinations of pulse sequences and isotopic labeling; for example, transferred echo double resonance experiments enhanced sensitivity for Pro and Gly residues; [2-(13)C]glycerol labeling clarified Val, Ile, and Leu assignments; in-phase anti-phase correlation spectra enabled interpretation of otherwise crowded Glx/Asx side-chain regions; and 3D NCACX experiments on [2-(13)C]glycerol samples provided unique sets of aromatic (Phe, Tyr, and Trp) correlations. Together with high-sensitivity CANCOCA 4D experiments and CANCOCX 3D experiments, unambiguous backbone walks could be performed throughout the majority of the sequence. At 189 residues, DsbA represents the largest monomeric unit for which essentially complete solid-state NMR assignments have so far been achieved. These results will facilitate studies of nanocrystalline DsbA structure and dynamics and will enable analysis of its 41-kDa covalent complex with the membrane protein DsbB, for which we demonstrate a high-resolution two-dimensional (13)C-(13)C spectrum.

Neoadjuvant and adjuvant strategies in renal cell carcinoma: more questions than answers.

The current standard treatment for early stage (I-III) renal cell cancer (RCC) is surgery. While the prognosis of stage I tumors is excellent, stage II and particularly stage III have a high risk of relapse. The adjuvant treatment of patients with RCC remains an area of investigation, with patient selection being a key aspect. There are currently two prognostic nomograms to establish the risk of relapse in patients with resected RCC. The results of earlier studies of adjuvant therapy, including the use chemotherapy and/or immunotherapy after nephrectomy have failed to show any benefit in the outcome of patients at risk of developing local recurrence or distant metastases. Two recent phase III trials with vaccines (autologous tumor cell vaccine and autologous tumor-derived heat shock protein peptide complex-96) have shown promising, albeit still preliminary, results. In the metastatic RCC setting, recent advances in the molecular understanding of oncogenic pathways have led to the development of new therapeutic strategies with the use of targeted therapies in the adjuvant setting. Neoadjuvant treatment is another treatment modality currently being evaluated for patients with early disease and in patients with metastatic RCC with inoperable primary tumors. The questions that remain unanswered include activity of these agents in early stages of the disease, patient selection, optimal start time of the adjuvant treatment, and finally, the optimal length of treatment.

Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

A unifying approach to the empirical evaluation of asset pricing models

Two main approaches are commonly used to empirically evaluate linear factor pricingmodels: regression and SDF methods, with centred and uncentred versions of the latter.We show that unlike standard two-step or iterated GMM procedures, single-step estimatorssuch as continuously updated GMM yield numerically identical values for prices of risk,pricing errors, Jensen s alphas and overidentifying restrictions tests irrespective of the modelvalidity. Therefore, there is arguably a single approach regardless of the factors being tradedor not, or the use of excess or gross returns. We illustrate our results by revisiting Lustigand Verdelhan s (2007) empirical analysis of currency returns.

Competitive location and pricing on networks

In this paper we consider a location and pricing model for a retail firm that wants to enter a spatial market where a competitor firm is already operating as a monopoly with several outlets. The entering firms seeks to determine the optimal uniform mill price and its servers' locations that maximizes profits given the reaction in price of the competitor firm to its entrance. A tabu search procedure is presentedto solve the model together with computational experience.

The impact of the reference price system on the pharmaceutical market: A theoretical approach

This article analyses the impact of the reference pricesystem on the price-setting strategies of thepharmaceutical firms and on the level of generic usage.This model is the first to take explicitly into accountthe impact of the reference price mechanism on the levelof competition between brand-name and generic drugs andnational pharmaceutical spending. We consider aduopolistic model with one firm producing the brand-namedrug, whose patent has already expired, and the otherproducing the corresponding generic version. We work ina partial equilibrium framework where firms set pricessequentially and consumers face heterogeneous switchingcosts.We show that brand producers compensate thedecline of profits by selling greater quantities insteadof charging higher prices, thus fostering pricecompetition in the pharmaceutical market. This result isa consequence of both the assumption of a verticallydifferentiated model and the introduction of thereference price system.

A general class of adaptative strategies

We exhibit and characterize an entire class of simple adaptive strategies,in the repeated play of a game, having the Hannan-consistency property: In the long-run, the player is guaranteed an average payoff as large as the best-reply payoff to the empirical distribution of play of the otherplayers; i.e., there is no "regret." Smooth fictitious play (Fudenberg and Levine [1995]) and regret-matching (Hart and Mas-Colell [1998]) areparticular cases. The motivation and application of this work come from the study of procedures whose empirical distribution of play is, in thelong-run, (almost) a correlated equilibrium. The basic tool for the analysis is a generalization of Blackwell's [1956a] approachability strategy for games with vector payoffs.