Regime-Switching Cointegration

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model selection methods can be used to deal with the high-dimensional model space that results. Our methods are used in an empirical study of the Fisher e ffect.

The Distribution Dynamics of Output Multipliers in Scotland 1998–2007

In an input-output context the impact of any particular industrial sector is commonly measured in terms of the output multiplier for that industry. Although such measures are routinely calculated and often used to guide regional industrial policy the behaviour of such measures over time is an area that has attracted little academic study. The output multipliers derived from any one table will have a distribution; for some industries the multiplier will be relatively high, for some it will be relatively low. The recentpublication of consistent input-output tables for the Scottish economy makes it possible to examine trends in this mdistribution over the ten year period 1998-2007. This is done by comparing the means and other summary measures of the distributions, the histograms and the cumulative densities. The results indicate a tendency for the multipliers to increase over the period. A Markov chain modelling approach suggests that this drift is a slow but long term phenomenon which appears not to tend to an equilibrium state. The prime reason for the increase in the output multipliers is traced to a decline in the relative importance of imported (both from the rest of the UK and the rest of the world) intermediate inputs used by Scottish industries. This suggests that models calibrated on the set of tables might have to be interpreted with caution.

(No)competition in the Spanish retailing gasoline market: a variance filter approach

Various methodologies in economic literature have been used to analyse the international hydrocarbon retail sector. Nevertheless at a Spanish level these studies are much more recent and most conclude that generally there is no effective competition present in this market, regardless of the approach used. In this paper, in order to analyse the price levels in the Spanish petrol market, our starting hypothesis is that in uncompetitive markets the prices are higher and the standard deviation is lower. We use weekly retail petrol price data from the ten biggest Spanish cities, and apply Markov chains to fill the missing values for petrol 95 and diesel, and we also employ a variance filter. We conclude that this market demonstrates reduced price dispersion, regardless of brand or city.

How Optimal is US Monetary Policy?

Most of the literature estimating DSGE models for monetary policy analysis assume that policy follows a simple rule. In this paper we allow policy to be described by various forms of optimal policy - commitment, discretion and quasi-commitment. We find that, even after allowing for Markov switching in shock variances, the inflation target and/or rule parameters, the data preferred description of policy is that the US Fed operates under discretion with a marked increase in conservatism after the 1970s. Parameter estimates are similar to those obtained under simple rules, except that the degree of habits is significantly lower and the prevalence of cost-push shocks greater. Moreover, we find that the greatest welfare gains from the ‘Great Moderation’ arose from the reduction in the variances in shocks hitting the economy, rather than increased inflation aversion. However, much of the high inflation of the 1970s could have been avoided had policy makers been able to commit, even without adopting stronger anti-inflation objectives. More recently the Fed appears to have temporarily relaxed policy following the 1987 stock market crash, and has lost, without regaining, its post-Volcker conservatism following the bursting of the dot-com bubble in 2000.

Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate

Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors' forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a period of low interest rates, this study is also related to the forward premium puzzle and the currency carry trade strategy. We obtain the following results. First, with the same forecast horizon, exchange rate forecasts are homogeneous among different industry types, but within the same industry, exchange rate forecasts differ if the forecast time horizon is different. In particular, investors tend to undervalue the future exchange rate for long term forecast horizons; however, in the short run they tend to overvalue the future exchange rate. Second, while forecast errors are found to be partly driven by interest rate spreads, evidence against the UIRP is provided regardless of the forecasting time horizon; the forward premium puzzle becomes more significant in shorter term forecasting errors. Consistent with this finding, our coefficients on interest rate spreads provide indirect evidence of the yen carry trade over only a short term forecast horizon. Furthermore, the carry trade seems to be active when there is a clear indication that the interest rate will be low in the future.

Characterisation of heteromers and oligomers in the TNF family of ligands and receptors

TNF family ligands and receptors fulfill a number of functions, mainly in the immune system. For example, the ligands BAFF and APRIL control growth and survival of mature Β cells at various stages of differentiation. TNF family ligands usually form homotrimers, but heteromers have also been described for lymphotoxin α1β2 and for BAFF and APRIL. Interestingly, twenty BAFF homotrimers can assemble into virus-like particles coined BAFF 60-mer, which are superior to BAFF 3-mer regarding their ability to signal in primary Β cells. A screen was performed in 293T cells, by co-transfecting differently tagged ligands, to identify six novel heteromers. The specificity of these novel heteromers, however, did not correspond to that of orphan receptors in the TNFR family. Little is known about heteromers of BAFF and APRIL, in particular their receptor-binding specificity and their ability to signal. A method to produce and purify heteromers of defined stoechiometry was developed, and the resulting reagents were used to demonstrate that BAFF2APRIL, like BAFF, binds to all BAFF receptors - namely BAFFR, TACI and Β CM A -, while APRIL2BAFF and APRIL only binds to TACI and BCMA. Heteromers could signal via their cognate receptors, sometimes as potently and sometimes less potently than homomers, depending on the receptors. A promising system to measure the activity of single-chain homo- and heteromers in vivo was set up: it measures mature Β cell rescue upon administration of single-chain ligands into BAFF-ko mice. To tackle the question of the physiological importance of BAFF 60-mer, a point mutation that prevents assembly of mouse BAFF into 60-mer while retaining its ability to form trimers was identified. This mutation (E247K) was introduced by homologous recombination into mouse embryonic stem cells that are now being used to generate knock-in mice. Results obtained in this work will help to better understand the role of various BAFF and APRIL forms that are elevated in a several autoimmune diseases. - Les ligands et récepteurs de la famille du TNF joue un rôle prédominant dans le système immunitaire. Par exemple, les ligands BAFF et APRIL contrôlent la croissance et la survie des cellules Β matures à différents stades de différenciation. Ces ligands existent souvent sous forme d'homotrimères (3-mer), bien que des héteromères aient été décrits pour la lymphotoxine α1β2 et pour BAFF et APRIL. Dans le cas de BAFF, vingt trimères peuvent, telle une particule virale, s'assembler en 60-mer qui surpasse le 3-mer pour signaler dans des cellules Β primaires. Un crible effectué dans des cellules 293T, par co-transfection de ligands différemment marqués, a permis d'identifier six nouveaux heteromères dont la spécificité n'a, hélas, pas correspondu à celle d'un récepteur orphelin de la famille du TNFR. Les connaissances sur la spécificité de liaison aux récepteurs et la capacité à signaler des heteromères de BAFF et d'APRIL sont fragmentaires. Une méthode pour produire et purifier des heteromères "simple chaîne" de stoechiométrie déterminée a été mise au point, et les réactifs ainsi obtenus utilisés pour démontrer que BAFF2APRIL, comme BAFF, lie tous les récepteurs de BAFF - c'est-à-dire BAFFR, TACI et BCMA -, alors qu'APRIL2BAFF et APRIL ne lient que TACI et BCMA. Les héteromères peuvent transmettre des signaux, parfois aussi bien et parfois plus faiblement que les homomères, selon les récepteurs. Un système prometteur pour mesurer l'activité des ligands simple chaîne in vivo a été mis au point. Il mesure la réapparition de cellules Β matures dans des souris déficientes pour BAFF après administration des ligands. Pour s'attaquer à la question de l'importance physiologique du 60-mer de BAFF, ime mutation empêchant l'assemblage en 60-mer sans affecter la capacité à former des trimères a été identifiée. Cette mutation (E247K) a été introduite par recombinaison homologue dans des cellules souches embryonnaires de souris qui sont utilisées pour obtenir des souris déficientes en BAFF 60-mer. Les résultats de ces travaux contribueront à mieux cerner le rôle des différentes formes de BAFF et d'APRIL produites en excès dans plusieurs maladies auto-immunes.

An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area

We estimate a New Keynesian DSGE model for the Euro area under alternative descriptions of monetary policy (discretion, commitment or a simple rule) after allowing for Markov switching in policy maker preferences and shock volatilities. This reveals that there have been several changes in Euro area policy making, with a strengthening of the anti-inflation stance in the early years of the ERM, which was then lost around the time of German reunification and only recovered following the turnoil in the ERM in 1992. The ECB does not appear to have been as conservative as aggregate Euro-area policy was under Bundesbank leadership, and its response to the financial crisis has been muted. The estimates also suggest that the most appropriate description of policy is that of discretion, with no evidence of commitment in the Euro-area. As a result although both ‘good luck’ and ‘good policy’ played a role in the moderation of inflation and output volatility in the Euro-area, the welfare gains would have been substantially higher had policy makers been able to commit. We consider a range of delegation schemes as devices to improve upon the discretionary outcome, and conclude that price level targeting would have achieved welfare levels close to those attained under commitment, even after accounting for the existence of the Zero Lower Bound on nominal interest rates.

Large Bayesian VARMAs

Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficulties in ensuring identification and computational challenges. With the growing interest in multivariate time series models of high dimension, these problems with VARMAs become even more acute, accounting for the dominance of VARs in this field. In this paper, we develop a Bayesian approach for inference in VARMAs which surmounts these problems. It jointly ensures identification and parsimony in the context of an efficient Markov chain Monte Carlo (MCMC) algorithm. We use this approach in a macroeconomic application involving up to twelve dependent variables. We find our algorithm to work successfully and provide insights beyond those provided by VARs.

Comparison of time-lapse GPR data collected under natural and forced infiltration conditions to estimate vadose zone hydraulic parameters

Time-lapse crosshole ground-penetrating radar (GPR) data, collected while infiltration occurs, can provide valuable information regarding the hydraulic properties of the unsaturated zone. In particular, the stochastic inversion of such data provides estimates of parameter uncertainties, which are necessary for hydrological prediction and decision making. Here, we investigate the effect of different infiltration conditions on the stochastic inversion of time-lapse, zero-offset-profile, GPR data. Inversions are performed using a Bayesian Markov-chain-Monte-Carlo methodology. Our results clearly indicate that considering data collected during a forced infiltration test helps to better refine soil hydraulic properties compared to data collected under natural infiltration conditions

An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area

We estimate a New Keynesian DSGE model for the Euro area under alternative descriptions of monetary policy (discretion, commitment or a simple rule) after allowing for Markov switching in policy maker preferences and shock volatilities. This reveals that there have been several changes in Euro area policy making, with a strengthening of the anti-inflation stance in the early years of the ERM, which was then lost around the time of German reunification and only recovered following the turnoil in the ERM in 1992. The ECB does not appear to have been as conservative as aggregate Euro-area policy was under Bundesbank leadership, and its response to the financial crisis has been muted. The estimates also suggest that the most appropriate description of policy is that of discretion, with no evidence of commitment in the Euro-area. As a result although both ‘good luck’ and ‘good policy’ played a role in the moderation of inflation and output volatility in the Euro-area, the welfare gains would have been substantially higher had policy makers been able to commit. We consider a range of delegation schemes as devices to improve upon the discretionary outcome, and conclude that price level targeting would have achieved welfare levels close to those attained under commitment, even after accounting for the existence of the Zero Lower Bound on nominal interest rates.

Éthique et transfusion sanguine [Ethics and blood transfusion.]

Le don de sang représente un acte solidaire. Il est le plus souvent bénévole et, selon les pays et les circonstances, non rémunéré. Les éléments de la réflexion éthique sont, entre autres, l'augmentation des besoins, les critères d'exclusion de plus en plus nombreux, l'exigence sécuritaire et les modifications des structures de nos sociétés. Compte tenu de cela, les acteurs de la chaîne transfusionnelle doivent s'interroger sur certains paramètres : la valeur du don, le sens du bénévolat, l'opportunité de rémunérer l'acte de livrer une partie de soi, non plus comme un don et comme une expression d'altruisme et de solidarité, mais comme une prestation commerciale définie par des règles économiques. Blood donation is an act of solidarity. Most often, this act is done on a volunteer basis and, depending on countries and circumstances, is not remunerated. The increase in need, the always-greater number of deferral criteria, the safety issues and the changes in the structures of our societies are among the many subjects for ethical debates. Taking these into account, the actors of the transfusion must analyze certain parameters: the value of a donation, the meaning of volunteering, the appropriateness of remunerating the act of giving a part of one's self, no longer as a donation or an expression of altruism and solidarity, but as a commercial act regimented by economic laws.

Genome sequence of the metazoan plant-parasitic nematode Meloidogyne incognita.

Plant-parasitic nematodes are major agricultural pests worldwide and novel approaches to control them are sorely needed. We report the draft genome sequence of the root-knot nematode Meloidogyne incognita, a biotrophic parasite of many crops, including tomato, cotton and coffee. Most of the assembled sequence of this asexually reproducing nematode, totaling 86 Mb, exists in pairs of homologous but divergent segments. This suggests that ancient allelic regions in M. incognita are evolving toward effective haploidy, permitting new mechanisms of adaptation. The number and diversity of plant cell wall-degrading enzymes in M. incognita is unprecedented in any animal for which a genome sequence is available, and may derive from multiple horizontal gene transfers from bacterial sources. Our results provide insights into the adaptations required by metazoans to successfully parasitize immunocompetent plants, and open the way for discovering new antiparasitic strategies.

A general multiserver state-dependent queueing system

The work studies a general multiserver queue in which the service time of an arriving customer and the next interarrival period may depend on both the current waiting time and the server assigned to the arriving customer. Stability of the system is proved under general assumptions on the predetermined distributions describing the model. The proof exploits a combination of the Markov property of the workload process with a regenerative property of the process. The key idea leading to stability is a characterization of the limit behavior of the forward renewal process generated by regenerations. Extensions of the basic model are also studied.

The InterPro database, an integrated documentation resource for protein families, domains and functional sites.

Signature databases are vital tools for identifying distant relationships in novel sequences and hence for inferring protein function. InterPro is an integrated documentation resource for protein families, domains and functional sites, which amalgamates the efforts of the PROSITE, PRINTS, Pfam and ProDom database projects. Each InterPro entry includes a functional description, annotation, literature references and links back to the relevant member database(s). Release 2.0 of InterPro (October 2000) contains over 3000 entries, representing families, domains, repeats and sites of post-translational modification encoded by a total of 6804 different regular expressions, profiles, fingerprints and Hidden Markov Models. Each InterPro entry lists all the matches against SWISS-PROT and TrEMBL (more than 1,000,000 hits from 462,500 proteins in SWISS-PROT and TrEMBL). The database is accessible for text- and sequence-based searches at http://www.ebi.ac.uk/interpro/. Questions can be emailed to interhelp@ebi.ac.uk.

trEST, trGEN and Hits: access to databases of predicted protein sequences.

High throughput genome (HTG) and expressed sequence tag (EST) sequences are currently the most abundant nucleotide sequence classes in the public database. The large volume, high degree of fragmentation and lack of gene structure annotations prevent efficient and effective searches of HTG and EST data for protein sequence homologies by standard search methods. Here, we briefly describe three newly developed resources that should make discovery of interesting genes in these sequence classes easier in the future, especially to biologists not having access to a powerful local bioinformatics environment. trEST and trGEN are regularly regenerated databases of hypothetical protein sequences predicted from EST and HTG sequences, respectively. Hits is a web-based data retrieval and analysis system providing access to precomputed matches between protein sequences (including sequences from trEST and trGEN) and patterns and profiles from Prosite and Pfam. The three resources can be accessed via the Hits home page (http://hits. isb-sib.ch).