Risk premia in covered bond markets

The authors empirically explore risk premia in mortgage covered bond markets. Using a large panel dataset of covered bond asset swap spreads, they study the impact of different legal and economic environments. Conducting an in-depth analysis of this market, the authors find significant but small differences between countries during normal market periods. However, these differences are much stronger during times of economic crisis. Moreover, they find that developments in the real estate market are of relatively little importance during stable market periods. During economic distress, however, they are of high importance for explaining risk premia in covered bond markets

Ovarian expression of insulin-like peptide 3 (INSL3) and its receptor (RXFP2) during development of bovine antral follicles and corpora lutea and measurement of circulating INSL3 levels during synchronized estrous cycles

Insulin-like peptide 3 (INSL3), a major product of testicular Leydig cells, is also expressed by the ovary but its functional role remains poorly understood. Here, we quantified expression of INSL3 and its receptor RXFP2 in theca interna (TIC) and granulosa (GC) compartments of developing bovine antral follicles and in corpora lutea (CL). INSL3 and RXFP2 mRNA levels were much higher in TIC than GC and increased progressively during follicle maturation with INSL3 peaking in large (11-18mm) estrogen-active follicles and RXFP2 peaking in 9-10mm follicles before declining in larger (11-18mm) follicles. Expression of both INSL3 and RXFP2 in CL was much lower than in TIC. In situ hybridization and immunohistochemistry confirmed abundant expression of INSL3 mRNA and protein in TIC. These observations indicate follicular TIC rather than CL as the primary site of both INSL3 production and action, implying a predominantly auto-/paracrine role in TIC. To corroborate the above findings, we showed that in vitro exposure of TIC to a luteinizing concentration of LH greatly attenuated expression of both INSL3 and its receptor while increasing progesterone secretion and expression of STAR and CYP11A1. Moreover, in vivo, a significant cyclic variation in plasma INSL3 was observed during synchronized estrous cycles. INSL3 and estradiol-17β followed a similar pattern, both increasing after luteolysis, before falling sharply after the LH surge. Thus, theca-derived INSL3, likely from the dominant pre-ovulatory follicle, is detectable in peripheral blood of cattle and expression is down-regulated during luteinisation induced by the pre-ovulatory LH surge. Collectively, these findings underscore the likely role of INSL3 as an important intrafollicular modulator of TIC function/steroidogenesis, whilst raising doubts about its potential contribution to CL function.

'A theatre of ruins'. Edward Bond & Samuel Beckett: theatrical antagonists

The playwright Edward Bond has long made known his antagonism to dramatists allied to Martin Esslin’s Theatre of the Absurd. The work of Samuel Beckett has come in for particular criticism by Bond. Using published writings (and unpublished correspondence between myself and Bond), I hope to trace the development of this antagonism between ‘Bondian’ and ‘Beckettian’ views of theatre. However, this article will also set out to argue that both early work such as The Pope’s Wedding (1962), and more recent work such as Coffee (1995), make use of motifs, characters and ideas from Beckett’s theatre. The article will set out provisional reasons why Bond, despite his misgivings, is not averse to incorporating elements from Beckett’s ‘theatre of ruins’, as he terms it, into his own work.

Edward Bond & the celebrity of exile

A shibboleth has grown up around the work of Edward Bond. The tag ‘controversial dramatist’ has continued to dog both the man and his work. This article will hope to explore some of the contradictory, and sometimes frustrating manifestations that such ‘celebrity’ has produced. Since the reception of The War Plays [1985] by the Royal Shakespeare Company at the National Theatre Bond has largely withdrawn his work from mainstream British theatre. Since the late 1990s he has looked to a new home – La Colline Theatre – in France, to premiere new work and run retrospective seasons of older plays. Here, Bond's celebrity is of a different kind, and has allowed him to enhance and develop his work as a playwright, director and writer about theatre. While this article draws on secondary sources it also uses material based on personal correspondence with Edward Bond.

Microstructure of the Euro-area government bond market

This chapter highlights similarities and differences of equity and fixed- income markets and provides an overview of the characteristics of European government bond market trading and liquidity. Most existing studies focus on the U.S. market. This chapter presents the institutional details of the MTS market, which is the largest European electronic platform for trading government, quasi-government, asset- backed, and corporate fixed- income securities. It reviews the main features of high- frequency fixed- income data and the methods for measuring market liquidity. Finally, the chapter shows how liquidity differs across European countries, how liquidity varies with the structure of the market, and how liquidity has changed during the recent liquidity and sovereign crises.

Synchronisation and commonalities in metropolitan housing market cycles

This paper examines the degree of commonalities present in the cyclical behavior of the eight largest metropolitan housing markets in Australia. Using two techniques originally in the business cycle literature we consider the degree of synchronization present and secondly decompose the series’ into their permanent and cyclical components. Both empirical approaches reveal similar results. Sydney and Melbourne are closely related to each other and are relatively segmented from the smaller metropolitan areas. In contrast, there is substantial evidence of commonalities in the cyclical behavior of the remaining cities, especially those on the Eastern and Southern coasts of Australia.

Application of hydrogen-bond propensity calculations to an indomethacin–nicotinamide (1:1) co-crystal

The crystal structure of an indomethacin–nicotinamide (1 : 1) cocrystal produced by milling has been determined from laboratory powder X-ray diffraction (PXRD) data. The hydrogen bonding motifs observed in the structure represent one of the most probable of all the possible combinations of donors and acceptors in the constituent molecules.

Seasonal cycles and variability of O3 and H2O in the UT/LMS during SPURT

Airborne high resolution in situ measurements of a large set of trace gases including ozone (O3) and total water (H2O) in the upper troposphere and the lowermost stratosphere (UT/LMS) have been performed above Europe within the SPURT project. SPURT provides an extensive data coverage of the UT/LMS in each season within the time period between November 2001 and July 2003. In the LMS a distinct spring maximum and autumn minimum is observed in O3, whereas its annual cycle in the UT is shifted by 2–3 months later towards the end of the year. The more variable H2O measurements reveal a maximum during summer and a minimum during autumn/winter with no phase shift between the two atmospheric compartments. For a comprehensive insight into trace gas composition and variability in the UT/LMS several statistical methods are applied using chemical, thermal and dynamical vertical coordinates. In particular, 2-dimensional probability distribution functions serve as a tool to transform localised aircraft data to a more comprehensive view of the probed atmospheric region. It appears that both trace gases, O3 and H2O, reveal the most compact arrangement and are best correlated in the view of potential vorticity (PV) and distance to the local tropopause, indicating an advanced mixing state on these surfaces. Thus, strong gradients of PV seem to act as a transport barrier both in the vertical and the horizontal direction. The alignment of trace gas isopleths reflects the existence of a year-round extra-tropical tropopause transition layer. The SPURT measurements reveal that this layer is mainly affected by stratospheric air during winter/spring and by tropospheric air during autumn/summer. Normalised mixing entropy values for O3 and H2O in the LMS appear to be maximal during spring and summer, respectively, indicating highest variability of these trace gases during the respective seasons.

A universal agro-hydrological model for water and nitrogen cycles in the soil-crop system SMCR_N: critical update and further validation

Agro-hydrological models have widely been used for optimizing resources use and minimizing environmental consequences in agriculture. SMCRN is a recently developed sophisticated model which simulates crop response to nitrogen fertilizer for a wide range of crops, and the associated leaching of nitrate from arable soils. In this paper, we describe the improvements of this model by replacing the existing approximate hydrological cascade algorithm with a new simple and explicit algorithm for the basic soil water flow equation, which not only enhanced the model performance in hydrological simulation, but also was essential to extend the model application to the situations where the capillary flow is important. As a result, the updated SMCRN model could be used for more accurate study of water dynamics in the soil-crop system. The success of the model update was demonstrated by the simulated results that the updated model consistently out-performed the original model in drainage simulations and in predicting time course soil water content in different layers in the soil-wheat system. Tests of the updated SMCRN model against data from 4 field crop experiments showed that crop nitrogen offtakes and soil mineral nitrogen in the top 90 cm were in a good agreement with the measured values, indicating that the model could make more reliable predictions of nitrogen fate in the crop-soil system, and thus provides a useful platform to assess the impacts of nitrogen fertilizer on crop yield and nitrogen leaching from different production systems. (C) 2010 Elsevier B.V. All rights reserved.

Coupled subdaily and multiweek cycles during the lava dome erupt of Soufriere Hills Volcano, Montserrat

Observations of volcanoes extruding andesitic lava to produce lava domes often reveal cyclic behaviour. At Soufriere Hills Volcano, Montserrat, cycles with sub-daily and multi-week periods have been recognised on many occasions. These two types of cycle have been modelled separately as stick-slip magma flow at the junction between a dyke and an overlying cylindrical conduit (Costa et al. 2012), and as the filling and discharge of magma through the elastic-walled dyke (Costa et al., 2007a) respectively. Here, we couple these two models to simulate the behaviour over a period of well-observed multi-week cycles, with accompanying sub-daily cycles, from 13 May to 21 September 1997. The coupled model captures well the asymmetrical first-order behaviour: the first 40% of the multi-week cycle consists of high rates of lava extrusion during short period/high amplitude sub-daily cycles as the dyke reservoir discharges itself. The remainder of the cycle involves increasing pressurization as more magma is stored, and extrusion rate falls, followed by a gradual increase in the period of the sub-daily cycles.

The consolidation and bond strength of rafted sea ice

The consolidation and bond strength of rafted sea ice were investigated through a series of experiments undertaken in the Ice Physics Laboratory at the UCL. To simulate a section of rafted sea ice, blocks of laboratory grown saline ice were stacked in an insulated tank with spacers between adjacent blocks to allow saline water to flood in. The rate of consolidation was then monitored using a combination of temperature readings recorded in the ice and liquid layer, salinity measurements of the liquid layer, and cores taken at specific times of interest. Two states of consolidation were observed: thermodynamic consolidation where the ice blocks were physically bonded but the bond strength was weak, and mechanical consolidation where the bond had reached full strength. Results showed that the rafted ice had physically bonded in less than a day, however it took many more days (6 to 30 depending on the environmental conditions) for the bond to reach maximum strength. Increasing the thickness of the ice, the salinity of the water and the inter-block gap size all increased the consolidation time. Once consolidated, ice cores were taken and sheared using the asymmetric four-point bending method to measure the strength of the bond between the ice blocks. These were then compared to the shear strength of solid ice blocks simulating level sea ice. Our results show that the shear strength of the bond between the rafted ice blocks is about 30% weaker than that of level ice.

Concordance in global office market cycles

Concordance in global office market cycles, Regional Studies. A large proportion of international real estate investment is concentrated in the office markets of the world's largest cities. However, many of these global cities are also key financial services centres, highlighting the possibility of reduced economic diversification from an investor's perspective. This paper assesses the degree of synchronization in cycles across twenty of the world's largest office markets, finding evidence of significant concordance across a large number of markets. The results highlight the problems associated with commonalities in the underlying economic bases of the markets. The concentration of investment also raises the possibility of common flow of funds effects that may further reduce diversification opportunities.

Role of marine biology in glacial-interglacial CO2 cycles

It has been hypothesized that changes in the marine biological pump caused a major portion of the glacial reduction of atmospheric carbon dioxide by 80 to 100 parts per million through increased iron fertilization of marine plankton, increased ocean nutrient content or utilization, or shifts in dominant plankton types. We analyze sedimentary records of marine productivity at the peak and the middle of the last glacial cycle and show that neither changes in nutrient utilization in the Southern Ocean nor shifts in plankton dominance explain the CO2 drawdown. Iron fertilization and associated mechanisms can be responsible for no more than half the observed drawdown.

Testing for bubbles in indirect property price cycles

Speculative bubbles are generated when investors include the expectation of the future price in their information set. Under these conditions, the actual market price of the security, that is set according to demand and supply, will be a function of the future price and vice versa. In the presence of speculative bubbles, positive expected bubble returns will lead to increased demand and will thus force prices to diverge from their fundamental value. This paper investigates whether the prices of UK equity-traded property stocks over the past 15 years contain evidence of a speculative bubble. The analysis draws upon the methodologies adopted in various studies examining price bubbles in the general stock market. Fundamental values are generated using two models: the dividend discount and the Gordon growth. Variance bounds tests are then applied to test for bubbles in the UK property asset prices. Finally, cointegration analysis is conducted to provide further evidence on the presence of bubbles. Evidence of the existence of bubbles is found, although these appear to be transitory and concentrated in the mid-to-late 1990s.

The cyclical relations between traded property stock prices and aggregate time-series

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.