Capital flows and Japanese asset volatility

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is expensive or difficult in decentralized markets such as foreign exchange. We investigate the extent that Japanese capital flows—which are released weekly—reflect information arrival that improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory shocks to GARCH volatility. Transactions by Japanese residents in foreign bond markets have the most explanatory power among capital flows and that power is much greater in the second subsample.Capital movements ; Foreign exchange ; Japan

Cycles of violence, and attacks index for the State of Florida

I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder of Florida State (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincide with documented waves of organized crime, internal tensions, crime legislation, social, and political unrest, and with the periodic terrorist attacks to the U.S. The estimated cyclical component of murder shows that terrorist attacks against the U.S. have affected Florida, creating estimated turning point dates marked by the most tragic terrorist attacks to the nation: the World Trade Center bombing in 1993, and 9/11 2001 This paper belongs to the series of papers helping the U.S, and Homeland Security identify the closeness of terrorist attacks, and constructs the attacks index for Florida. Other indices constructed include the Index for the U.S. http://mpra.ub.uni-uenchen.de/1145/01/MPRA_paper_1145.pdf, New York State http://mpra.ub.uni-muenchen.de/3776/01/MPRA_paper_3776.pdf, New York City http://mpra.ub.uni-muenchen.de/4200/01/MPRA_paper_4200.pdf, Arizona State http://mpra.ub.uni-muenchen.de/4360/01/MPRA_paper_4360.pdf, Massachusetts State http://mpra.ub.uni-muenchen.de/4342/01/MPRA_paper_4342.pdf., California http://mpra.ub.uni-muenchen.de/4547/01/MPRA_paper_4547.pdf., Washington http://mpra.ub.uni-muenchen.de/4604/01/MPRA_paper_4604.pdf., Ohio http://mpra.ub.uni-muenchen.de/4605/01/MPRA_paper_4605.pdf., Philadelphia City, http://mpra.ub.uni-muenchen.de/4783/01/MPRA_paper_4783.pdf, Arkansas http://mpra.ub.uni-muenchen.de/4606/01/MPRA_paper_4606.pdf. These indices must be used as dependent variables in structural models for terrorist attacks and in models assessing the effects of terrorism over the U.S. economy.A model of cyclical terrorist murder in Colombia; 1950-2004. Forecasts 2005-2019; the econometrics of violence; terrorism; and scenarios for peace in Colombia from 1950 to 2019; scenarios for sustainable peace in Colombia by year 2019; decomposing violence: terrorist murder in the twentieth in the United States; using the Beveridge and Nelson decomposition of economic time series for pointing out the occurrence of terrorist attacks; terrorist murder; cycles of violence; and terrorist attacks in New York City during the last two centuries

Cycles of violence, and terrorist attacks index for the State of Oklahoma

I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder of Florida State (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincide with documented waves of organized crime, internal tensions, crime legislation, social, and political unrest, and with the periodic terrorist attacks to the U.S. The estimated cyclical component of murder shows that terrorist attacks against the U.S. have affected Oklahoma, creating estimated turning point dates marked by the most tragic terrorist attacks to the nation, and the State: the World Trade Center bombing in 1993, 9/11 2001, and the Alfred P. Murrah Federal Building bombing This paper belongs to the series of papers helping the U.S, and Homeland Security identify the closeness of terrorist attacks, and constructs the attacks index for Oklahoma. Other indices constructed include the Index for the U.S., New York State, New York City, Arizona, Massachusetts, California, Washington, Ohio, Philadelphia City, Arkansas, Missouri, Florida, and Michigan. These indices must be used as dependent variables in structural models for terrorist attacks and in models assessing the effects of terrorism over the U.S. economy.: A model of cyclical terrorist murder in Colombia; 1950-2004. Forecasts 2005-2019; the econometrics of violence; terrorism; and scenarios for peace in Colombia from 1950 to 2019; scenarios for sustainable peace in Colombia by year 2019; decomposing violence: terrorist murder in the twentieth in the United States; using the Beveridge and Nelson decomposition of economic time series for pointing out the occurrence of terrorist attacks; terrorist murder; cycles of violence; and terrorist attacks in New York City during the last two centuries; and terrorist murder; cycles of violence; and attacks index for the City of Philadelphia during the last two centuries

Magnetoelastic sensing apparatus and method for remote pressure query of an environment

A pressure sensing apparatus for operative arrangement within an environment, having: a sensor comprising a hermetically-sealed receptacle, at least one side of which has an flexible membrane to which a magnetically hard element is attached. Enclosed within the receptacle is a magnetostrictive element that vibrates in response to a time-varying magnetic field. Also included is a receiver to measure a plurality of successive values for magneto-elastic emission intensity of the sensor taken over an operating range of successive interrogation frequencies to identify a resonant frequency value for the sensor. Additional features include: (a) the magnetically hard element may be adhered to an inner or outer side of, or embedded within, the membrane; (b) the magnetostrictive element can include one or more of a variety of different pre-formed, hardened regions; (c) the magneto-elastic emission may be a primarily acoustic or electromagnetic emission; and (d) in the event the time-varying magnetic field is emitted as a single pulse or series of pulses, the receiver unit can detect a transitory time-response of the emission intensity of each pulse (detected after a threshold amplitude value for the transitory time-response is observed). A Fourier transform of the time-response can yield results in the frequency domain. Also, an associated method of sensing pressure of an environment is included that uses a sensor having a magnetostrictive element to identify a magneto-elastic resonant frequency value therefore. Using the magneto-elastic resonant frequency value identified, a value for the pressure of the environment can be identified

RNA-binding protein immunoprecipitation as a tool to investigate plant miRNA processing interference by regulatory proteins of diverse origin

Background: Due to the nature of viral RNA genomes, RNA viruses depend on many RNA-binding proteins (RBP) of viral and host origin for replication, dissemination and evasion of host RNA degradation pathways. Some viruses interfere with the microRNA (miRNA) pathway to generate better fitness. The development of an adjusted, reliable and sensitive ribonucleoprotein immunoprecipitation (RIP) assay is needed to study the interaction between RBP of different origin (including viral origin) and miRNA precursors. The method could be further applied to transiently expressed heterologous proteins in different plant species. Results: Here we describe a modified RIP assay applied to nuclear epitope-tagged proteins of heterologous origin and transiently expressed in Nicotiana benthamiana. The assay includes a combination of optimized steps as well as the careful selection of control samples and rigorous data analysis. It has proven efficient to detect and quantify miRNA processing intermediates associated with regulatory proteins. Conclusions: The RIP method described here provides a reliable tool to study the interaction of RBPs, such as transiently expressed regulatory proteins with lowly represented host RNA, as is the case of miRNA precursors. This modified method was efficiently adjusted to recover nuclear proteins and reduce unspecific background. The purification scheme optimized here for GFP-tagged proteins can be applied to a wide array of RBPs. The subsequent application of next-generation sequencing technologies will permit to sequence and characterize all RNA species bound in vivo by a given RBP.Fil: Marmisollé, Facundo Ernesto. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto de Biotecnología y Biología Molecular. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Instituto de Biotecnología y Biología Molecular; ArgentinaFil: Garcia, Maria Laura. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto de Biotecnología y Biología Molecular. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Instituto de Biotecnología y Biología Molecular; ArgentinaFil: Reyes Martinez, Carina Andrea. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto de Biotecnología y Biología Molecular. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Instituto de Biotecnología y Biología Molecular; Argentin

Signalling the Dotcom bubble: a multiple changes in persistence approach

This study investigates multiple changes in persistence in the dividend-price and price-earnings ratio of the NASDAQ composite index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne et al. (2007). The method allows for breaks between periods in which the data are integrated of order zero I(0) and integrated of order one I(1). The results confirm the existence of the so-called Dotcom bubble with its start and end dates. Furthermore, an unexpected negative bubble was also identified, extending from the beginning of the 1970s to the beginning of the 1990s, suggesting that the NASDAQ stock prices were below their fundamental values as indicated by their dividend yields, finding not previously reported in the literature. As the tools used by regulators take considerable time to take effect, methods capable of picking up warnings signals of the start of a bubble could be very useful. We conjecture that the methodology can also be applied to study recent phenomena in real estate, commodity and foreign exchange markets

The changing dynamics of US inflation persistence : a quantile regression approach : [Version 4 September 2012]

We examine both the degree and the structural stability of inflation persis tence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. Economic theory, however, provides various reasons -for example downward wage rigidities or menu costs- to expect higher inflation persistence at the upper than at the lower tail of the conditional inflation distribution. Based on post-war US data we indeed find slower mean reversion in response to positive than to negative shocks. We find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. Inflation persistence has decreased and become more homogeneous across quantiles. Persistence at the conditional mean became more informative about the degree of persistence across the entire conditional inflation distribution. While prior to the 1980s inflation was not mean reverting in response to large positive shocks, our evidence strongly suggests that since the end of the Volcker disinflation the unit root can be rejected at every quantile including the upper tail of the conditional inflation distribution

Does the Great Recession imply the end of the Great Moderation? International evidence

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009 worldwide recession adversely impacted output levels in most of advanced countries. This Great Recession period was characterized by a sharp apparent increase in output volatility. In this paper we evaluate whether this sudden event is likely to be temporary. Whether or not this new volatility regime is likely to persist would have strong macroeconomic effects, especially on business cycles. Based on break detection methods applied to a set of advanced countries, our empirical results do not give evidence to the end of the Great Moderation period but rather that the Great Recession is characterized by a dramatic temporary effect on the output growth but not on its volatility. In addition, we show that neglecting those breaks both in mean and in variance can have large effects on output volatility modelling. Last we empirically show that observed breaks during the Great Recession are to some extent related to uncertainty measures