Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market

Using a semiparametric estimation technique, we show that the risk-return tradeoff and the Sharpe ratio of the stock market increases monotonically with the consumption wealth ratio (CAY) across time. While early studies have commonly interpreted such a finding as evidence of the countercyclical variation in aggregate relative risk aversion (RRA), we argue that it mainly reflects changes in investment opportunities for two reasons. First, we fail to reject the null hypothesis of constant RRA after controlling for CAY as a proxy for the hedge against changes in the investment opportunity set. Second, by contrast with habit formation models but consistent with ICAPM, we find that loadings on the conditional stock market variance scaled by CAY are negatively priced in the cross-sectional regressions. For illustration, we replicate the countercyclical stock market risk-return tradeoff using simulated data from Guo's (2004) limited stock market participation model, in which RRA is constant and CAY is a proxy for shareholders' liquidity conditions.Capital assets pricing model ; Stock market

International transmission of inflation among G-7 countries: a data-determined VAR analysis

We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation. Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and FranceInternational finance ; Time-series analysis

Cloning and expression of first gene for biodegrading microcystins by Sphingopyxis sp. USTB-05

Harmful cyanobacterial blooms (HCBs) in natural waters are a growing environmental problem worldwide because microcystins (MCs) produced by cyanobacteria are potent hepatotoxins and tumor promoters. MCs are resistant against physical and chemical factors. Thus, biodegradation is the most efficient method for removing MCs, and a number of bacterial strains, especially genus _Sphingomonas_, have been isolated for biodegrading MCs. Although the pathway, enzyme, and gene for biodegrading MCs by _Sphingomonas sp._ have been widely identified recently, no gene concerned with the biodegradation of MCs has been successfully cloned and expressed. In this study, we show that the first and most important gene of mlrA, containing 1,008 bp nucleotides in length, in the biodegradation pathway of MCs by _Sphingopyxis sp._ USTB-05, which encodes an enzyme MlrA containing 336 amino acid residues, is firstly cloned and expressed in _E. coli_ DH5α, with a cloning vector of pGEM-T easy and an expression vector of pGEX-4T-1. The encoded and expressed enzyme MlrA is responsible for cleaving the target peptide bond between 3-amino-9-methoxy-2,6,8-trimethyl-10-phenyl-deca-4,6-dienoic acid (Adda) and Arg in the cyclic structure of microcystin-RR （MC-RR）and microcystin-LR（MC-LR), two typical and toxic types of MCs. Linear MC-RR and MC-LR are produced as the first products. These findings are important in constructing a new genetic bacterial strain for the efficient removal of MCs from the important water supplies and resolving the controversy on the biodegradation pathway of different types of MCs by genus _Sphingomonas_