Human capital, social mobility and the skill premium

This paper develops a dynamic general equilibrium model to highlight the role of human capital accumulation of agents differentiated by skill type in the joint determination of social mobility and the skill premium. We first show that our model captures the empirical co-movement of the skill premium, the relative supply of skilled to unskilled workers and aggregate output in the U.S. data from 1970-2000. We next show that endogenous social mobility and human capital accumulation are key channels through which the effects of capital tax cuts and increases in public spending on both pre- and post-college education are transmitted. In particular, social mobility creates additional incentives for the agents which enhance the beneficial effects of policy reforms. Moreover, the dynamics of human capital accumulation imply that, post reform, the skill premium is higher in the short- to medium-run than in the long-run.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Emissions distribution in post-Kyoto international negotiations: a policy

An abundant scientific literature about climate change economics points out that the future participation of developing countries in international environmental policies will depend on their amount of pay offs inside and outside specific agreements. These studies are aimed at analyzing coalitions stability typically through a game theoretical approach. Though these contributions represent a corner stone in the research field investigating future plausible international coalitions and the reasons behind the difficulties incurred over time to implement emissions stabilizing actions, they cannot disentangle satisfactorily the role that equality play in inducing poor regions to tackle global warming. If we focus on the Stern Review findings stressing that climate change will generate heavy damages and policy actions will be costly in a finite time horizon, we understand why there is a great incentive to free ride in order to exploit benefits from emissions reduction efforts of others. The reluctance of poor countries in joining international agreements is mainly supported by historical responsibility of rich regions in generating atmospheric carbon concentration, whereas rich countries claim that emissions stabilizing policies will be effective only when developing countries will join them.Scholars recently outline that a perceived fairness in the distribution of emissions would facilitate a wide spread participation in international agreements. In this paper we overview the literature about distributional aspects of emissions by focusing on those contributions investigating past trends of emissions distribution through empirical data and future trajectories through simulations obtained by integrated assessment models. We will explain methodologies used to elaborate data and the link between real data and those coming from simulations. Results from this strand of research will be interpreted in order to discuss future negotiations for post Kyoto agreements that will be the focus of the next. Conference of the Parties in Copenhagen at the end of 2009. A particular attention will be devoted to the role that technological change will play in affecting the distribution of emissions over time and to how spillovers and experience diffusion could influence equality issues and future outcomes of policy negotiations.

Post-translational modifications regulate distinct functions of CARMA1 and BCL10.

Activation of the transcription factor nuclear factor (NF)-kappaB is essential for the normal functioning of the immune system. Deregulated NF-kappaB signalling in lymphocytes can lead to immunodeficiency, but also to autoimmunity or lymphomas. Many of the signalling components controlling NF-kappaB activation in lymphocytes are now known, but it is less clear how distinct molecular components of this pathway are regulated. Here, we summarize recent findings on post-translational modifications of intracellular components of this pathway. Phosphorylation of the CARMA1 and BCL10 proteins and ubiquitylation of BCL10 affect the formation and stability of the CARMA1-BCL10-MALT1 (CBM) complex, and also control negative feedback regulation of the NF-kappaB signalling pathway. Moreover, the study of BCL10 phosphorylation isoforms has revealed a new mechanism controlling BCL10 nuclear translocation and an unexpected role for BCL10 in the regulation of the actin cytoskeleton.

Changing the awareness of low vitamin D status in a rheumatology population: a pre/post-study.

INTRODUCTION: In 2009 hypovitaminosis D was highly prevalent in a population of Swiss rheumatology patients (86%). We aimed to evaluate the evolution of vitamin D status in the same population two years later, after the results of the first study were disseminated to local physicians and patients, in order to determine the evolution of the problem and the impact of physician information. METHOD: Patients in our rheumatology clinic were screened for 25-OH vitamin D. Results were categorised as: deficient (<10 ng/ml or <25 nmol/l), insufficient (10 to 30 ng/ml or 25 to 75 nmol/l) or normal (>30 ng/ml or >75 nmol/l). We also used another cut-off of 20 ng/ml (50 nmol/l). We evaluated the evolution of 25-OH vitamin D dosages and vitamin D3 prescriptions between 2008 and 2011 in our institution and the number of publications on vitamin D in three important medical journals of the French speaking part of Switzerland. RESULTS: Compared with 2009, significantly more patients had normal results in 2011. Fifty-two percent of patients had levels >20 ng/ml in 2009 and 66% in 2011, difference statistically significant (p = 0.001). During the years separating the two study periods the number of 25-OH vitamin D dosages and the prescription of high doses of vitamin D3 increased in our hospital. In addition the number of publications on vitamin D increased between 2008 and 2011. CONCLUSION: We concluded that lower prevalence in hypovitaminosis D is certainly related to better adherence to daily supplements, and to better information and awareness of the physicians about hypovitaminosis D.

Cytomegalovirus infection and new-onset post-transplant diabetes mellitus.

We analyzed data from all consecutive kidney transplant patients at our institution between April 2003 and October 2006. We found 15 cases of late-onset cytomegalovirus (CMV) infection, two of which developed concurrent post-transplant diabetes mellitus (PTDM). In these two cases, PTDM was transient and normal glucose tolerance was achieved after an eight-wk therapeutic course of oral valganciclovir. These findings suggest that CMV infection after organ transplantation may be associated with concurrent PTDM. The distinct causative relationship is yet to be determined.

Pre- and post-treatment immunodiagnostic evaluation in human schistosomiasis mansoni

Schistosomiasis control seems to be different in countries were low parasitic burden and asymptomatic clinical patients are the features of majority of cases. Immunological methods must substitute the traditional coprologic techniques used for some decades in the Control Program. Circumoval Precipitin Test (COPT), intradermal test and ELISA with soluble egg antigen (SEA) are evaluated for using as tools for seroepidemiologic studies. COPT and ELISA were performed after treatment to known their utility when impact of chemotherapy must be assessed. One hundred sixty five persons were followed up 3, 6, 9 and 12 months after treatment. The mean sensitivity of CPT studied by age groups was 95.6% which is very important considering that 88.4% of the studied population excreted less than 100 egg/gr of feces, while sensitivity of intradermal test was 58.2%. Children showed the highest ractivity to COPT. When treatment is effective, COPT reactivity progressively disminish until become negative one year later. In the non cure group, the COPT reactivity disminished but never below 20%. ELISA-SEA did not modify one year after treatment. Effort should be made to isolate fractions of eggs Schistosoma mansoni whose antibodies disappear after treatment.

Post-traumatic mutism in children: clinical characteristics, pattern of recovery and clinicopathological correlations.

Among the numerous clinical syndromes observed after severe traumatic head injury, post-traumatic mutism is a disorder rarely reported in adults and not studied in any detail in children. We report seven children between the ages of 3 1/2 and 14 years who sustained severe head injury and developed post-traumatic mutism. We aim to give a precise clinical characterization of this disorder, discuss differential diagnosis and correlations with brain imaging and suggest its probable neurological substrate. After a coma lasting from 5 to 25 days, the seven patients who suffered from post-traumatic mutism went through a period of total absence of verbal production lasting from 5 to 94 days, associated with the recovery of non-verbal communication skills and emotional vocalization. During the first days after the recovery of speech, all patients were able to produce correct small sentences with a hypophonic and monotonous voice, moderate dysarthria, word finding difficulties but no signs of aphasia, and preserved oral comprehension. The neurological signs in the acute phase (III nerve paresis in three of seven patients, signs of autonomic dysfunctions in five of seven patients), the results of the brain imaging and the experimental animal data all suggest the involvement of mesencephalic structures as playing a key role in the aetiology of post-traumatic mutism.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.