Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in 3-month LIBOR futures prices, are transmitted in a differential manner to the cross-section of liquidity-sorted portfolios, with liquid stocks playing the most active role. We also find that there is a significant increase in shares’ trading activity and a rather small increase in their trading cost on MPC meeting days. Finally, our results emphatically document that during the recent financial crisis the shocks-returns relationship has reversed its sign. Interest rate cuts during the crisis were perceived by market participants as a signal of deteriorating economic prospects and reinforced “flight to safety” trading.

Beneficial effects of strontium ranelate compared to alendronate on bone micro-structure - a 2-year study

Aims: In a head-to-head study, we compared the effects of strontium ranelate (SrRan) and alendronate (ALN), anti-osteoporotic agents with antifracture efficacy, on bone microstructure, a component of bone quality, hence of bone strength. Methods: In a randomised, double-dummy, double-blind controlled trial, 88 postmenopausal osteoporotic women were randomised to SrRan 2g/day or ALN 70mg/week for 2 years. Microstructure of the distal radius and distal tibia were assessed by HR-pQCT after 3,6,12,18 and 24 months of treatment. Primary endpoint was HR-pQCT variables relative changes from baseline. An ITT analysis was applied. Results: Baseline characteristics were similar in both groups (mean ±SD): age: 63.6±7.5 vs. 63.7±7.6 yrs; L1-L4T Score: -2.7±0.8 vs. -2.8±0.8g/cm², Cortical Thickness (CTh), trabecular bone fraction (BV/TV) and cortical density=721±242 vs. 753±263μm, 9.5±2.5 vs. 9.3±2.7%, and 750±87 vs. 745±78mg/cm3 respectively. Over 2 yrs, distal radius values changes were within 1 to 2% without significant differences except cortical density. In contrast distal tibia CTh, BV/TV, trabecular and cortical densities increased significantly more in the SrRan group than in the ALN group (Table). No significant between-group differences were observed for the remaining measured parameter (trabecular number, trabecular spacing, and trabecular thickness). After 2 years, L1- L4 and hip aBMD increases were similar to results from pivotal trials (L1-L4:+6.5% and +5.6%;total hip:+4.1% and +2.9%, in Sr- Ran and ALN groups, respectively). In the SrRan group, bALP increased by a median of 18% (p<0.001) and sCTX decreased by a median of -16% (p=0.005) while in the ALN group, bALP and CTX decreased by median of -31% (p<0.001) and -59% (p<0.001) respectively. Relative changes from baseline to last observation (%) SrRan ALN Estimated between group difference p value CTh (μm) 6.29±9.53 0.93±6.23 5.411±1.836 0.004 BV/TV (%) 2.48±5.13 0.84±3.81 1.783±0.852 0.040 Trabecular density (mgHA/cm3) 2.47±5.07 0.88±4.00 1.729±0.859 0.048 Cortical density (mgHA/cm3) 1.43±2.77 0.36±2.14 1.137±0.530 0.045 The two treatments were well tolerated. Conclusions: Within the constraints related to HRpQCT technology, it appears that strontium ranelate has greater effects than alendronate on distal tibia cortical thickness, trabecular and cortical bone densities in women with postmenopausal osteoporosis after two years of treatment. A concomitant significant increase in bone formation marker is observed in the SrRan group.

Two dimensional Lattice Boltzmann simulation of fluid flow through an idealized micro-structure of disordered media

This technical report discusses the application of Lattice Boltzmann Method (LBM) in the fluid flow simulation through porous filter-wall of disordered media. The diesel particulate filter (DPF) is an example of disordered media. DPF is developed as a cutting edge technology to reduce harmful particulate matter in the engine exhaust. Porous filter-wall of DPF traps these soot particles in the after-treatment of the exhaust gas. To examine the phenomena inside the DPF, researchers are looking forward to use the Lattice Boltzmann Method as a promising alternative simulation tool. The lattice Boltzmann method is comparatively a newer numerical scheme and can be used to simulate fluid flow for single-component single-phase, single-component multi-phase. It is also an excellent method for modelling flow through disordered media. The current work focuses on a single-phase fluid flow simulation inside the porous micro-structure using LBM. Firstly, the theory concerning the development of LBM is discussed. LBM evolution is always related to Lattice gas Cellular Automata (LGCA), but it is also shown that this method is a special discretized form of the continuous Boltzmann equation. Since all the simulations are conducted in two-dimensions, the equations developed are in reference with D2Q9 (two-dimensional 9-velocity) model. The artificially created porous micro-structure is used in this study. The flow simulations are conducted by considering air and CO2 gas as fluids. The numerical model used in this study is explained with a flowchart and the coding steps. The numerical code is constructed in MATLAB. Different types of boundary conditions and their importance is discussed separately. Also the equations specific to boundary conditions are derived. The pressure and velocity contours over the porous domain are studied and recorded. The results are compared with the published work. The permeability values obtained in this study can be fitted to the relation proposed by Nabovati [8], and the results are in excellent agreement within porosity range of 0.4 to 0.8.

Multi-scale micro-structure generation strategy for up-scaling transport in clays

Clays and claystones are used as backfill and barrier materials in the design of waste repositories, because they act as hydraulic barriers and retain contaminants. Transport through such barriers occurs mainly by molecular diffusion. There is thus an interest to relate the diffusion properties of clays to their structural properties. In previous work, we have developed a concept for up-scaling pore-scale molecular diffusion coefficients using a grid-based model for the sample pore structure. Here we present an operational algorithm which can generate such model pore structures of polymineral materials. The obtained pore maps match the rock’s mineralogical components and its macroscopic properties such as porosity, grain and pore size distributions. Representative ensembles of grains in 2D or 3D are created by a lattice Monte Carlo (MC) method, which minimizes the interfacial energy of grains starting from an initial grain distribution. Pores are generated at grain boundaries and/or within grains. The method is general and allows to generate anisotropic structures with grains of approximately predetermined shapes, or with mixtures of different grain types. A specific focus of this study was on the simulation of clay-like materials. The generated clay pore maps were then used to derive upscaled effective diffusion coefficients for non-sorbing tracers using a homogenization technique. The large number of generated maps allowed to check the relations between micro-structural features of clays and their effective transport parameters, as is required to explain and extrapolate experimental diffusion results. As examples, we present a set of 2D and 3D simulations and investigated the effects of nanopores within particles (interlayer pores) and micropores between particles. Archie’s simple power law is followed in systems with only micropores. When nanopores are present, additional parameters are required; the data reveal that effective diffusion coefficients could be described by a sum of two power functions, related to the micro- and nanoporosity. We further used the model to investigate the relationships between particle orientation and effective transport properties of the sample.

Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis

This study examines the impact of macro-liquidity shocks on the returns of UK stock portfolios sorted on the basis of a series of micro-liquidity measures. The macro-liquidity shocks are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in futures contracts on the 3-month LIBOR during the period June 1999- December 2009. We report definitive evidence that these shocks are transmitted to the cross-section of liquidity-sorted portfolios, with most liquid stocks playing a very active role. Our results emphatically document that the shocks-returns relationship has reversed its sign during the recent financial crisis; the standard inverse relationship between interest rate surprises and portfolios’ returns before the crisis has turned into positive during the crisis. This finding confirms the inability of interest rate cuts to boost returns in the shortrun during the crisis, because these were perceived by market participants as a signal of a deteriorating economic outlook.

A generalised dynamic model for char particle gasification with structure evolution and peripheral fragmentation

A generalised model for the prediction of single char particle gasification dynamics, accounting for multi-component mass transfer with chemical reaction, heat transfer, as well as structure evolution and peripheral fragmentation is developed in this paper. Maxwell-Stefan analysis is uniquely applied to both micro and macropores within the framework of the dusty-gas model to account for the bidisperse nature of the char, which differs significantly from the conventional models that are based on a single pore type. The peripheral fragmentation and random-pore correlation incorporated into the model enable prediction of structure/reactivity relationships. The occurrence of chemical reaction within the boundary layer reported by Biggs and Agarwal (Chem. Eng. Sci. 52 (1997) 941) has been confirmed through an analysis of CO/CO2 product ratio obtained from model simulations. However, it is also quantitatively observed that the significance of boundary layer reaction reduces notably with the reduction of oxygen concentration in the flue gas, operational pressure and film thickness. Computations have also shown that in the presence of diffusional gradients peripheral fragmentation occurs in the early stages on the surface, after which conversion quickens significantly due to small particle size. Results of the early commencement of peripheral fragmentation at relatively low overall conversion obtained from a large number of simulations agree well with experimental observations reported by Feng and Bhatia (Energy & Fuels 14 (2000) 297). Comprehensive analysis of simulation results is carried out based on well accepted physical principles to rationalise model prediction. (C) 2001 Elsevier Science Ltd. AH rights reserved.

Industry concentration and market volatility

In this paper our aim is to gain a better understanding of the relationship between market volatility and industrial structure. As conflicting results have been documented regarding the relationship between market industry concentration and market volatility, this study investigates this relationship in the time series. We have found that this relationship is only significant and positive for Spain. Our results suggest that we cannot generalize across different countries that market industrial structure (concentration) is a significant factor in explaining market volatility.

Monetary policy with signal extraction from the bond market

Monetary policy is conducted in an environment of uncertainty. This paper sets upa model where the central bank uses real-time data from the bond market togetherwith standard macroeconomic indicators to estimate the current state of theeconomy more efficiently, while taking into account that its own actions influencewhat it observes. The timeliness of bond market data allows for quicker responsesof monetary policy to disturbances compared to the case when the central bankhas to rely solely on collected aggregate data. The information content of theterm structure creates a link between the bond market and the macroeconomythat is novel to the literature. To quantify the importance of the bond market asa source of information, the model is estimated on data for the United Statesand Australia using Bayesian methods. The empirical exercise suggests that thereis some information in the US term structure that helps the Federal Reserve toidentify shocks to the economy on a timely basis. Australian bond prices seemto be less informative than their US counterparts, perhaps because Australia is arelatively small and open economy.

Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies

The Organization of the Thesis The remainder of the thesis comprises five chapters and a conclusion. The next chapter formalizes the envisioned theory into a tractable model. Section 2.2 presents a formal description of the model economy: the individual heterogeneity, the individual objective, the UI setting, the population dynamics and the equilibrium. The welfare and efficiency criteria for qualifying various equilibrium outcomes are proposed in section 2.3. The fourth section shows how the model-generated information can be computed. Chapter 3 transposes the model from chapter 2 in conditions that enable its use in the analysis of individual labor market strategies and their implications for the labor market equilibrium. In section 3.2 the Swiss labor market data sets, stylized facts, and the UI system are presented. The third section outlines and motivates the parameterization method. In section 3.4 the model's replication ability is evaluated and some aspects of the parameter choice are discussed. Numerical solution issues can be found in the appendix. Chapter 4 examines the determinants of search-strategic behavior in the model economy and its implications for the labor market aggregates. In section 4.2, the unemployment duration distribution is examined and related to search strategies. Section 4.3 shows how the search- strategic behavior is influenced by the UI eligibility and section 4.4 how it is determined by individual heterogeneity. The composition effects generated by search strategies in labor market aggregates are examined in section 4.5. The last section evaluates the model's replication of empirical unemployment escape frequencies reported in Sheldon [67]. Chapter 5 applies the model economy to examine the effects on the labor market equilibrium of shocks to the labor market risk structure, to the deep underlying labor market structure and to the UI setting. Section 5.2 examines the effects of the labor market risk structure on the labor market equilibrium and the labor market strategic behavior. The effects of alterations in the labor market deep economic structural parameters, i.e. individual preferences and production technology, are shown in Section 5.3. Finally, the UI setting impacts on the labor market are studied in Section 5.4. This section also evaluates the role of the UI authority monitoring and the differences in the Way changes in the replacement rate and the UI benefit duration affect the labor market. In chapter 6 the model economy is applied in counterfactual experiments to assess several aspects of the Swiss labor market movements in the nineties. Section 6.2 examines the two equilibria characterizing the Swiss labor market in the nineties, the " growth" equilibrium with a "moderate" UI regime and the "recession" equilibrium with a more "generous" UI. Section 6.3 evaluates the isolated effects of the structural shocks, while the isolated effects of the UI reforms are analyzed in section 6.4. Particular dimensions of the UI reforms, the duration, replacement rate and the tax rate effects, are studied in section 6.5, while labor market equilibria without benefits are evaluated in section 6.6. In section 6.7 the structural and institutional interactions that may act as unemployment amplifiers are discussed in view of the obtained results. A welfare analysis based on individual welfare in different structural and UI settings is presented in the eighth section. Finally, the results are related to more favorable unemployment trends after 1997. The conclusion evaluates the features embodied in the model economy with respect to the resulting model dynamics to derive lessons from the model design." The thesis ends by proposing guidelines for future improvements of the model and directions for further research.

On the crystallization kinetics and micro-structural transformations of Fe40Ni38B18Mo4 alloys

Activation energy for crystallization (Ec) is a pertinent parameter that decides the application potential of many metallic glasses and is proportional to the crystallization temperature. Higher crystallization temperatures are desirable for soft magnetic applications, while lower values for data storage purposes. In this investigation, from the heating rate dependence of peak crystallization temperature Tp, the Ec values have been evaluated by three different methods for metglas 2826 MB (Fe40Ni38B18Mo4) accurately. The Ec values are correlated with the morphological changes, and the structural evolution associated with annealing temperatures is discussed.

Anisotropy of magnetoviscous effect in structure-forming ferrofluids

The magnetoviscous effect, change in viscosity with change in magnetic field strength, and the anisotropy of magnetoviscous effect, change in viscosity with orientation of magnetic field, have been a focus of interest since four decades. A satisfactory understanding of the microscopic origin of anisotropy of magnetoviscous effect in magnetic fluids is still a matter of debate and a field of intense research. Here, we present an extensive simulation study to understand the relation between the anisotropy of magnetoviscous effect and the underlying change in micro-structures of ferrofluids. Our results indicate that field-induced chain-like structures respond very differently depending on their orientation relative to the direction of an externally applied shear flow, which leads to a pronounced anisotropy of viscosity. In this work, we focus on three exemplary values of dipolar interaction strengths which correspond to weak, intermediate and strong interactions between dipolar colloidal particles. We compare our simulation results with an experimental study on cobalt-based ferrofluids as well as with an existing theoretical model called the chain model. A non-monotonic behaviour in the anisotropy of magnetoviscous effect is observed with increasing dipolar interaction strength and is explained in terms of micro-structure formation.

Trade and sustainable development: spatial distribution of trade policies impacts on agriculture

Incluye Bibliografía

Micro-meso-macro

Building on the ontology of evolutionary realism recently proposed by Dopfer and Potts (forthcoming), we develop an analytical framework for evolutionary economics with a micro-meso-macro architecture. The motive for reconception is to make clear the highly complex and emergent nature of existence and change in economic evolution. For us, the central insight is that an economic system is a population of rules, a structure of rules, and a process of rules. The economic system is a rule-system contained in what we call the meso. From the evolutionary perspective, one cannot directly sum micro into macro. Instead, we conceive of an economic system as a set of meso units, where each meso consists of a rule and its population of actualizations. The proper analytical structure of evolutionary economics is in terms of micro-meso-macro. Micro refers to the individual carriers of rules and the systems they organize, and macro consists of the population structure of systems of meso. Micro structure is between the elements of the meso, and macro structure is between meso elements. The upshot is an ontologically coherent framework for analysis of economic evolution as change in the meso domain - in the form of what we call a meso trajectory - and a way of understanding the micro-processes and macro-consequences involved. We believe that the micro-meso-macro analytical framework can greatly enhance the focus, clarity, and, ultimately, power, of evolutionary economic theory.

[theoretical Construction In The Sociology Of Health: A Reflection On Its Trajectory].

The scope of this paper is to reflect on the theoretical construction in the constitution of the sociology of health, still called medical sociology in some countries. Two main ideas constitute the basis for this: interdisciplinarity and the degree of articulation in the fields of medicine and sociology. We sought to establish a dialogue with some dimensions - macro/micro, structure/action - that constitute the basis for understanding medicine/health in relation to the social/sociological dimension. The main aspects of these dimensions are initially presented. Straus' two medical sociologies and the theory/application impasses are then addressed, as well as the dilemmas of the sociology of medicine in the 1960s and 1970s. From these analyses the theoretical production before 1970 is placed as a counterpoint. Lastly, the sociology of health is seen in the general context of sociology, which underwent a fragmentation process from 1970 with effects in all subfields of the social sciences. This process involves a rethinking of the theoretical issues in a broadened spectrum of possibilities. The 1980s are highlighted when theoretical issues in the sociology of health are reinvigorated and the issue of interdisciplinarity is once again addressed.