Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results.

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.

Asymmetric standing facilities: an unexploited monetary policy tool

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Egalitarian equivalence under asymmetric information

We propose a definition of egalitarian equivalence that extends Pazner and Schmeidler's (1978) concept to environments with incomplete information. If every feasible allocation rule can be implemented by an incentive compatible mechanism (as, for instance, in the case of non-exclusive information), then interim egalitarian equivalence and interim incentive efficiency remain compatible, as they were under complete information. When incentive constraints are more restrictive, on the other hand, the two criteria may become incompatible.

Inequality across countries in energy intensities: an analysis of the role of energy transformation and final energy consumption

This paper analyzes the role of the energy transformation index and of final energy consumption per GDP unit in the disparities in energy intensity across countries. In that vein, we use a Theil decomposition approach to analyze global primary energy intensity inequality as well as inequality across different regions of the world and inequality within these regions. The paper first demonstrates the pre-eminence of divergence in final energy consumption per GDP unit in explaining global primary energy intensity inequality and its evolution during the 1971-2006 period. Secondly, it shows the lower (albeit non negligible) impact of the transformation index in global primary energy inequality. Thirdly, the relevance of regions as unit of analysis in studying crosscountry energy intensity inequality and their explanatory factors is highlighted. And finally, how regions around the world differ as to the relevance of the energy transformation index in explaining primary energy intensity inequality.

Is monetary policy in new members states asymmetric?

Estimated Taylor rules became popular as a description of monetary policy conduct. There are numerous reasons why real monetary policy can be asymmetric and estimated Taylor rule nonlinear. This paper tests whether monetary policy can be described as asymmetric in three new European Union (EU) members (the Czech Republic, Hungary and Poland), which apply an inflation targeting regime. Two different empirical frameworks are

Characterization of the Aspergillus nidulans biotin biosynthetic gene cluster and use of the bioDA gene as a new transformation marker.

The genes involved in the biosynthesis of biotin were identified in the hyphal fungus Aspergillus nidulans through homology searches and complementation of Escherichia coli biotin-auxotrophic mutants. Whereas the 7,8-diaminopelargonic acid synthase and dethiobiotin synthetase are encoded by distinct genes in bacteria and the yeast Saccharomyces cerevisiae, both activities are performed in A. nidulans by a single enzyme, encoded by the bifunctional gene bioDA. Such a bifunctional bioDA gene is a genetic feature common to numerous members of the ascomycete filamentous fungi and basidiomycetes, as well as in plants and oömycota. However, unlike in other eukaryota, the three bio genes contributing to the four enzymatic steps from pimeloyl-CoA to biotin are organized in a gene cluster in pezizomycotina. The A. nidulans auxotrophic mutants biA1, biA2 and biA3 were all found to have mutations in the 7,8-diaminopelargonic acid synthase domain of the bioDA gene. Although biotin auxotrophy is an inconvenient marker in classical genetic manipulations due to cross-feeding of biotin, transformation of the biA1 mutant with the bioDA gene from either A. nidulans or Aspergillus fumigatus led to the recovery of well-defined biotin-prototrophic colonies. The usefulness of bioDA gene as a novel and robust transformation marker was demonstrated in co-transformation experiments with a green fluorescent protein reporter, and in the efficient deletion of the laccase (yA) gene via homologous recombination in a mutant lacking non-homologous end-joining activity.

Malignant transformation of DMBA/TPA-induced papillomas and nevi in the skin of mice selectively lacking retinoid-X-receptor alpha in epidermal keratinocytes.

Retinoid-X-receptor alpha (RXRalpha), a member of the nuclear receptor (NR) superfamily, is a ligand-dependent transcriptional regulatory factor. It plays a crucial role in NR signalling through heterodimerization with some 15 NRs. We investigated the role of RXRalpha and its partners on mouse skin tumor formation and malignant progression upon topical DMBA/TPA treatment. In mutants selectively ablated for RXRalpha in keratinocytes, epidermal tumors increased in size and number, and frequently progressed to carcinomas. As keratinocyte-selective peroxisome proliferator-activated receptor gamma (PPARgamma) ablation had similar effects, RXRalpha/PPARgamma heterodimers most probably mediate epidermal tumor suppression. Keratinocyte-selective RXRalpha-null and vitamin-D-receptor null mice also exhibited more numerous dermal melanocytic growths (nevi) than control mice, but only nevi from RXRalpha mutant mice progressed to invasive human-melanoma-like tumors. Distinct RXRalpha-mediated molecular events appear therefore to be involved, in keratinocytes, in cell-autonomous suppression of epidermal tumorigenesis and malignant progression, and in non-cell-autonomous suppression of nevi formation and progression. Our study emphasizes the crucial role of keratinocytes in chemically induced epidermal and melanocytic tumorigenesis, and raises the possibility that they could play a similar role in UV-induced tumorigenesis, notably in nevi formation and progression to melanoma.