The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market.

The usual measure of the undiversifiable risk of a portfolio is its beta. Recent research has allowed beta estimates to vary over time, often based on symmetric multivariate GARCH models. There is, however, widespread evidence in the literature that the volatilities of asset returns, in particular those from stock markets, show evidence of an asymmetric response to good and bad news. Using UK equity index data, this paper considers the impact of news on time varying measures of beta. The results suggest that beta depends on two sources of news-news about the market and news about the sector. The asymmetric effect in beta is consistent across all sectors considered. Recent research provides conflicting evidence as to whether abnormalities in equity returns are a result of changes in expected returns in an efficient market or an over-reaction to new information. The evidence in this paper suggests that such abnormalities may occur as a result of changes in expected return caused by time-variation and asymmetry in beta.STOCK MARKET ; RISK

Australian Economic Growth: Non-Linearities and Internaitonal Influences.

This paper considers the extent to which fluctuations in Australian economic growth are affected by domestic and overseas economic performance. We investigate the performance of a range of non-linear models versus linear models using Bayes factors and posterior odds ratios. The posterior odds ratios favour non-linear specifications in which fluctuations in economic activity in the US affect Australia's economic performance. Our results suggest that an exogenous negative shock will be more persistent, lead to greater output volatility, and have a greater impact on growth, than a positive shock of equal magnitude.ECONOMIC GROWTH ; BUSINESS CYCLES ; INTERNATIONAL ECONOMY

TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT

Empirical evidence documents a level effect in the volatility of short term rates of interest. That is, volatility is positively correlated with the level of the short term interest rate. Using Monte-Carlo simulations this paper examines the performance of the commonly used Engle-Ng (1993) tests which differentiate the effect of good and bad news on the predictability of future short rate volatility. Our results show that the tests exhibit serious size distortions and loss of power in the face of a neglected level effect.Level Effects; Asymmetry; Engle-Ng Tests

The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model.

We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for postwar U.S. data in a multivariate asymmetric GARCH-M model. Our statistical model differs from other work in that we allow the conditional covariance of inflation and growth to be both nondiagonal and asymmetric. We show that the data reject diagonality and symmetry restrictions frequently imposed in the literature. Our results on the macroeconomic effects of uncertainty also differ from those in other recent studies using a more restrictive covariance model. Specifically, we find that increased growth uncertainty is associated with significantly higher average growth, and that higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation.Asymmetry; Multivariate GARCH-M; Inflation; Uncertainty; Growth

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric

Changes in Serum Electrolytes, Urea, and Creatinine in Aloe Vera-treated Rats

This study was carried out to investigate the effect of Aloe vera extract (AvE) on serum electrolytes, urea, and creatinine as indices of renal function in Sprague-Dawley rats. Twelve male Sprague-Dawley rats weighing between 80 and 130 g were used. Rats were divided into two groups: The control and the test groups (n=6). The test group received 1 ml of AvE daily for 28 days. Both the groups fed on standard rat chow and water ad libitum. The results showed a decrease in serum levels of sodium, and potassium, but an increase in the serum levels of bicarbonate, urea, and creatinine in the test group. The changes seen were, however, statistically insignificant, except for the serum levels of sodium and creatinine (P<0.05). It is thus concluded that AvE impairs renal handling of electrolytes with consequent hyponatremia and hypercreatinemia. However, this might be of therapeutic value in conditions associated with hypernatremia

Leech blood-meal invertebrate-derived DNA reveals differences in Bornean mammal diversity across habitats

The application of metabarcoding to environmental and invertebrate-derived DNA (eDNA and iDNA) is a new and increasingly applied method for monitoring biodiversity across a diverse range of habitats. This approach is particularly promising for sampling in the biodiverse humid tropics, where rapid land-use change for agriculture means there is a growing need to understand the conservation value of the remaining mosaic and degraded landscapes. Here we use iDNA from blood-feeding leeches (Haemadipsa picta) to assess differences in mammalian diversity across a gradient of forest degradation in Sabah, Malaysian Borneo. We screened 557 individual leeches for mammal DNA by targeting fragments of the 16S rRNA gene and detected 14 mammalian genera. We recorded lower mammal diversity in the most heavily degraded forest compared to higher quality twice logged forest. Although the accumulation curves of diversity estimates were comparable across these habitat types, diversity was higher in twice logged forest, with more taxa of conservation concern. In addition, our analysis revealed differences between the community recorded in the heavily logged forest and that of the twice logged forest. By revealing differences in mammal diversity across a human-modified tropical landscape, our study demonstrates the value of iDNA as a noninvasive biomonitoring approach in conservation assessments. © 2020 The Authors. Molecular Ecology published by John Wiley & Sons Lt

1000 Genomes-based metaanalysis identifies 10 novel loci for kidney function

HapMap imputed genome-wide association studies (GWAS) have revealed >50 loci at which common variants with minor allele frequency >5% are associated with kidney function. GWAS using more complete reference sets for imputation, such as those from The 1000 Genomes project, promise to identify novel loci that have been missed by previous efforts. To investigate the value of such a more complete variant catalog, we conducted a GWAS meta-Analysis of kidney function based on the estimated glomerular filtration rate (EGFR) in 110,517 European ancestry participants using 1000 Genomes imputed data. We identified 10 novel loci with p-value < 5 × 10-8 previously missed by HapMap-based GWAS. Six of these loci (HOXD8, ARL15, PIK3R1, EYA4, ASTN2, and EPB41L3) are tagged by common SNPs unique to the 1000 Genomes reference panel. Using pathway analysis, we identified 39 significant (FDR < 0.05) genes and 127 significantly (FDR < 0.05) enriched gene sets, wh

A Comment on

Research by Ghali (1999) tested for the existence of causality between wages and prices in United States' aggregate data using a multivariate cointegration framework. We show that Ghali's model is misspecified and that the correct specification leads to a different interpretation of the long-run dynamic relation between wages and prices.INFLATION ; WAGES ; ECONOMETRICS