Debt Dilution and Maturity Structure of Sovereign Bonds

We develop a dynamic model of sovereign default and renegotiation to study how expectations of default and debt restructuring in the near future affect the ex ante maturity structure of sovereign debts. This paper argues that the average maturity is shorter when a country is approaching financial distress due to two risks: default risk and "debt dilution" risk. Long-term yield is generally higher than short-term yield to reflect the higher default risk incorporated in long-term debts. When default risk is high and long-term debt is too expensive to afford, the country near default has to rely on short-term debt. The second risk, "debt dilution" risk, is the focus of this paper. It arises because there is no explicit seniority structure among different sovereign debts, and all debt holders are legally equal and expect to get the same haircut rate in the post-default debt restructuring. Therefore, new debt issuances around crisis reduce the amount that can be recovered by existing earlier debt-holders in debt restructuring, and thus ``dilute'' existing debts. As a result, investors tend to hold short-term debt which is more likely to mature before it is "diluted" to avoid the "dilution" risk. Model features non-contingent bonds of two maturities, endogenous default and endogenous hair cut rate in a debt renegotiation after default. We show that ``debt dilution'' effect is always present and is more severe when default risk is high. When default is a likely event in the near future, both default risk and ``dilution'' risk drive the ex ante maturity of sovereign debts to be shorter. In a quantitative analysis, we try to calibrate the model to match various features of the recent crisis episode of Argentina. In particular, we try to account for the shifts in maturity structure before crisis and the volatility of long-term and short-term spreads observed in the prior default episode of ArgentinaMaturity Structure, Debt Dilution, Sovereign Default, Debt Renegotiation

Regional reserve pooling arrangements

Recently, several emerging market countries in East Asia and Latin America have initiated intra-regional reserve pooling mechanisms. This is puzzling from a traditional risk-diversification perspective, because country-level shocks are more correlated within rather than across regions. This paper provides a novel rationale for intra-regional pooling: if non-contingent reserve assets can be used to support production during a crisis, then a country's reserve accumulation decision affects not only its own production and consumption, but also its trading partners. If consumption through terms of trade effects. These terms of trade adjustments can be fully internalized only by a reserve pool among trading partners. If trade linkages are stronger within rather than across regions, then intra-regional reserve pooling may dominate inter-regional pooling, even if shocks are more correlated within regions.

Sample size calculation while controlling false discovery rate for differential expression analysis with RNA-sequencing experiments

This excel file contains comparison of resulting sample size and power between Li et al.’s method [18] and our proposed method for simulation 1, with parameter settings from Table 1 in [18]. The results are obtained under m=200, with Li’s result in the first row from each parameter setting, and our result in the second row. (XLS 49.2 kb

Observation of a thermoelectric Hall plateau in the extreme quantum limit

The thermoelectric Hall effect is the generation of a transverse heat current upon applying an electric field in the presence of a magnetic field. Here we demonstrate that the thermoelectric Hall conductivity $\alpha_{xy}$ in the three-dimensional Dirac semimetal ZrTe$_5$ acquires a robust plateau in the extreme quantum limit of magnetic field. The plateau value is independent of the field strength, disorder strength, carrier concentration, or carrier sign. We explain this plateau theoretically and show that it is a unique signature of three-dimensional Dirac or Weyl electrons in the extreme quantum limit. We further find that other thermoelectric coefficients, such as the thermopower and Nernst coefficient, are greatly enhanced over their zero-field values even at relatively low fields.Comment: 17+21 pages, 3+14 figures; published versio

Epigenetic regulation of Hoxa1 and Hoxa2

Hoxa1 and Hoxa2 are master regulators in the development of hindbrain, ear, palate, bone and cardiovascular development. There is little information on the epigenetic regulator(s) of Hoxa2 gene during development. In this thesis, I have determined whether regulation of Hoxa2 is occurring via a specific epigenetic pathway, and investigated the role of DNA methylation, noncoding RNAs (microRNAs and long non-coding RNAs) and histone protein modification. First, analysis of Hoxa2 promoter revealed the presence of three CpG islands near the Hoxa2 5′ regulatory region. Using methylation specific PCR (MSP) and the bisulfite specific PCR (BSP) primers followed by DNA sequencing, I found the methylation status of CpG island 1 remains unmethylated and that the DNA methylation status of the Hoxa2 promoter does not change with the spatio-temporal expression of Hoxa2 during palatogenesis. These findings indicate that DNA methylation does not appear to play a key role in the epigenetic regulation of Hoxa2 gene during palatogenesis. My second objective was to determine whether specific miRNAs impact Hoxa2 expression. I performed in-silico analysis and identified six miRNAs that have the potential to bind 3'UTR of the Hoxa2 gene. The miR-669b and miR-376c were capable of down regulating Hoxa2 expression at both transcriptional and translational level. Two direct miR-669b binding sites were identified on mouse Hoxa2 3'UTR. Luciferase assays showed that the two miR-669b binding sites appear to work independently of each other and that mutations within the seed sequences abrogated luciferase activity. I further analyzed the degree of sequence similarity of both miR-669b binding sites and found that binding site 1 is evolutionarily conserved between the five species (human, mouse, rat, chimpanzee and dog). In the developing mouse palate (from E13 to E15), miR-669b showed a complementary expression to that of Hoxa2. No direct interaction between miR-376c and Hoxa2 3'UTR was identified. Thus my results indicated that the miR-669b likely plays a role in regulating Hoxa2 expression during palate development My third objective was to characterize a new lncRNA (mHotairm1) that I identified between mouse Hoxa1 and Hoxa2 intergenic region. I demonstrated that mHotairm1 is involved in recruiting MLL1/WDR5 to Hoxa1 and Hoxa2 genes and regulating their expressions. In situ hybridization histochemistry of E14 developing palate showed expression of mHotairm1 in medial edge epithelia (MEE), indicating mHotairm1 may play a role in the palatal fusion. Downregulation of mHotairm1 in NIH 3T3 cells resulted in significantly decreased expression of Hoxa1 and Hoxa2 expression, whereas treatment with ATRA resulted in increased expression of mHotairm1, Hoxa1 and Hoxa2. Using capture hybridization analysis of RNA targets (CHART) and pull down assays, I found that the TrxG protein WDR5 is associated with mHotairm1, and knockdown of mHotairm1 resulted in reduced occupancy of gene activation mark H3K4me3 and increased occupancy of gene suppression mark H3K27me3, suggesting MLL1/WDR5 complex may be playing a role in the regulation of Hoxa1 and Hoxa2 gene expression through mHotairm1. Lastly, I found that WDR5 was sumoylated. This modification appears to be important for its interaction with mHotairm1 and MLL and for its cellular distribution, primarily to the nuclei. Following ATRA treatment, although the total WDR5 protein remained unchanged, an increase in sumoylated WDR5 was observed together with increased expression of mHotairm1, Hoxa1 and Hoxa2 gene. These findings reveal that sumoylated WDR5 with its interaction with mHotairm1 plays an important role in H3K4me3 and H3K27me3 occupancy and influencing the epigenetic regulation of Hoxa1 and Hoxa2 genes

XI-DeepONet: An operator learning method for elliptic interface problems

Scientific computing has been an indispensable tool in applied sciences and engineering, where traditional numerical methods are often employed due to their superior accuracy guarantees. However, these methods often encounter challenges when dealing with problems involving complex geometries. Machine learning-based methods, on the other hand, are mesh-free, thus providing a promising alternative. In particular, operator learning methods have been proposed to learn the mapping from the input space to the solution space, enabling rapid inference of solutions to partial differential equations (PDEs) once trained. In this work, we address the parametric elliptic interface problem. Building upon the deep operator network (DeepONet), we propose an extended interface deep operator network (XI-DeepONet). XI-DeepONet exhibits three unique features: (1) The interface geometry is incorporated into the neural network as an additional input, enabling the network to infer solutions for new interface geometries once trained; (2) The level set function associated with the interface geometry is treated as the input, on which the solution mapping is continuous and can be effectively approximated by the deep operator network; (3) The network can be trained without any input-output data pairs, thus completely avoiding the need for meshes of any kind, directly or indirectly. We conduct a comprehensive series of numerical experiments to demonstrate the accuracy and robustness of the proposed method