Pollen and grain size records in abyssal sediments of the northwest Pacific Ocean as proxies of Plio-Pleistocene climate change /

A distinctive period of global change occurred during the PUocene between the warm Miocene and subsequent Quaternary cooling. Samples from Ocean Drilling Project Site 11 79 (-5586 mbsl, 41°4'N, 159°57'E), Site 881 (-5765 mbsl, 47°6.133'N, 161°29.490'E) and Site 882 (-3255 mbsl, 50°22'N, 167°36'E) were studied to determine the magnitude and composition ofterrigenous flux to the western mid-latitude North Pacific and its relation to climate change in East Asia since the mid-Pliocene. Dust-sized particles (including pollen), sourced from the arid regions and loess plateaus in East Asia are entrained by prevailing westerly winds and transported to the midlatitude northwest North Pacific Ocean. This is recorded by peaks in the total concentration of pollen and spores, as well as the mean grain size of allochthonous and autochthonous silicate material in abyssal marine sediments. Aridification of the Asian interior due to the phased uplift of the Himalayan-Tibetan Plateau created the modem East Asian Monsoon system dominated by a strengthening of the winter monsoon. The winter monsoon is further enhanced during glacials due to the expansion of desert and steppe environments at the expense ofwoodlands and forests recorded by the composition of palynological assemblages. The late Pliocene-Pleistocene glacials at ODP Sites 1 179, 881, and 882 are characterized by increases in grain size, magnetic susceptibility, pollen and spore concentrations around 3.5-3.3, 2.6-2.4, 1.7-1.6, and 0.9-0.7 Ma (ages based on magnetostratigraphic and biostratigraphic datums). The peaks during these times are relatively rich in pollen taxa derived primarily from steppe and boreal vegetation zones, recording cool, dry climates. The overall size increase of sediment and abundance of terrestrial palynomorphs record enhanced wind strength. The increase in magnitude of pollen and spore concentrations as well as grain size record global cooling and Northern Hemisphere glaciation. The peaks in grain size as well as pollen and spore abundance in marine sediments correlate with the mean grain size of loess in East Asia, consistent with the deflation of unarmoured surfaces during glacials. The transport of limiting nutrients to marine environments enhanced sea surface productivity and increased the rate of sediment accumulation.

Liquidity, institutional ownership and regulation fair disclosure

There is a body of academic literature addressing two issues of importance for leveling the playing field for all classes of investors: 1) the impact of institutional investors on liquidity; and 2) the impact of Regulation Fair Disclosure on institutional investors and liquidity. Our study addresses both issues with the purpose of attaining a better understanding and explanation of this relationship. We classify institutional ownership according to Bushee's (1998, 2001) methodology; transient institutions, dedicated institutions and quasi-indexers. Our results indicate that while transient institutions and quasi-indexers have a positive impact on liquidity, dedicated institutional ownership is negatively associated with liquidity. This result is consistent with prior theoretical studies. We also find that the effectiveness ofthe Regulation Fair Disclosure in improving liquidity is limited to firms with higher transient institutional ownership, whereas quasi-indexed institutions have not been significantly affected by the regulations. In fact, the liquidity of firms is lower for firms with higher dedicated institutional holdings, which is evidence of the "chilling effect".

Freshwater dinoflagellates as proxies of cultural eutrophication: a case study from Crawford Lake, Ontario

Crawford Lake, Ontario, provides an ideal natural laboratory to study the response of freshwater dinoflagellates to cultural eutrophication. The anoxic bottom waters that result from meromixis in this small (2.4 ha) but deep (24 m) lake preserve varved sediments that host an exceptional fossil record. These annual layers provide dates for human activity (agriculture and land disturbance) around the lake over the last millennium by both Iroquoian village farmers (ca. A.D. 1268-1486) and Canadian farmers beginning ~A.D. 1883. The well established separate intervals of human activity around Crawford Lake, together with an abundance of available data from other fossil groups, allow us to further investigate the potential use of the cyst of freshwater dinoflagellates in studies of eutrophication. Cyst morphotypes observed have been assigned as Peridinium willei Huitfeldt-Kaas, Peridinium wisconsinense Eddy and Peridinium volzii Lemmermann and Parvodinium inconspicuum (Lemmermann) Carty. The latter two cyst-theca relationships were determined by culturing and by the exceptional preservation of thecae of P. inconspicuum in varves deposited at times of anthropogenic reductions in dissolved oxygen.

Non-pollen palynomorphs and thecamoebians as proxies of environmental and anthropogenic change: a case study from Lake Simcoe, Ontario, Canada

The distribution of aquatic microfossils and pollen in the long core from Lake Simcoe (LS07PC5) shows synchronous response since deglaciation, highlighting the potential of little-known non-pollen palynomorphs (NPP) as paleolimnological indicators. Upcore variations in NPP, thecamoebians and pollen reflect hydrological and climatic variations: onset of the Main Lake Algonquin, the draining of Lake Algonquin, the early Holocene drought, the midto late Holocene climate shifts including mid-Holocene drought and the Little Ice Age, and human settlement. The distribution of microfossils in the short cores (CB1 and SB1) shows the level of eutrophication decreasing gradually from Cook’s Bay to the Atherley Narrows outflow due to differences in the extent of anthropogenic impact and cumulative retention of phosphorous within sediments. Changes in assemblages and concentration of NPP within the cores reflect the history of settlement within Lake Simcoe basin, recording temporal differences in eutrophication.

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

A model of dynamic liquidity contracts

I study long-term financial contracts between lenders and borrowers in the absence of perfect enforceability and when both parties are credit constrained. Borrowers repeatedly have projects to undertake and need external financing. Lenders can commit to contractual agreements whereas borrowers can renege any period. I show that equilibrium contracts feature interesting dynamics: the economy exhibits efficient investment cycles; absence of perfect enforcement and shortage of capital skew the cycles toward states of liquidity drought; credit is rationed if either the lender has too little capital or if the borrower has too little collateral. This paper's technical contribution is its demonstration of the existence and characterization of financial contracts that are solutions to a non-convex dynamic programming problem.

Liquidity traps, capital flows

This paper explores the role of capital flows and exchange rate dynamics in shaping the global economy's adjustment in a liquidity trap. Using a multi-country model with nominal rigidities, we shed light on the global adjustment since the Great Recession, a period where many advanced economies were pushed to the zero bound on interest rates. We establish three main results: (i) When the North hits the zero bound, downstream capital flows alleviate the recession by reallocating demand to the South and switching expenditure toward North goods. (ii) A free capital flow regime falls short of supporting efficient demand and expenditure reallocations and induces too little downstream (upstream) flows during (after) the liquidity trap. (iii) When it comes to capital flow management, individual countries' incentives to manage their terms of trade conflict with aggregate demand stabilization and global efficiency. This underscores the importance of international policy coordination in liquidity trap episodes.

Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

Liquidity in commercial property markets: deconstructing the transaction process

This paper draws from a wider research programme in the UK undertaken for the Investment Property Forum examining liquidity in commercial property. One aspect of liquidity is the process by which transactions occur including both how properties are selected for sale and the time taken to transact. The paper analyses data from three organisations; a property company, a major financial institution and an asset management company, formally a major public sector pension fund. The data covers three market states and includes sales completed in 1995, 2000 and 2002 in the UK. The research interviewed key individuals within the three organisations to identify any common patterns of activity within the sale process and also identified the timing of 187 actual transactions from inception of the sale to completion. The research developed a taxonomy of the transaction process. Interviews with vendors indicated that decisions to sell were a product of a combination of portfolio, specific property and market based issues. Properties were generally not kept in a “readiness for sale” state. The average time from first decision to sell the actual property to completion had a mean time of 298 days and a median of 190 days. It is concluded that this study may underestimate the true length of the time to transact for two reasons. Firstly, the pre-marketing period is rarely recorded in transaction files. Secondly, and more fundamentally, studies of sold properties may contain selection bias. The research indicated that vendors tended to sell properties which it was perceived could be sold at a ‘fair’ price in a reasonable period of time.