Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information

The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that (a) all risky assets are tradable, (b) investors have homogeneous beliefs, (c) other assets can be traded without transactions costs and (d) that all assets have returns which are Ito processes.

Estimating the Continuous Time Consumption Based Asset Pricing Model

The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions.

The Determinants of the Variability of Stock Market Prices

The most familiar interpretation for the large and unpredictable swings that characterize common stock price indices is that price changes represent the efficient discounting of "new information" It is remarkable given the popularity of this interpretation that it has never been established what this information is about. Recent work by Shiller, and Stephen LeRoy and Richard Porter, has shown evidence that the variability of stock price indices cannot be accounted for by information regarding future dividends since dividends just do not seem to vary enough to justify the price movement. These studies assume a constant discount factor. In this paper, we consider whether the variability of stock prices can be attributed to information regarding discount factors (i.e., real interest rates), which are in turn related to current and future levels of economic activity. The appropriate discount factor to be applied to dividends which are received k years from today is the marginal rate of substitution between consumption today and consumption k periods from today, We use historical data on per capita consumption from 1890-1979 to estimate the realized value of these marginal rates of substitution. Theoretically, as LeRoy and C. J. La Civita have also noted independently of us, consumption variability may induce stock price variability whose magnitude depends on the degree of risk aversion.

A development of a spatial prototype related to building a high density urban form

Thesis (B.Arch)--Massachusetts Institute of Technology, Dept. of Architecture, 1970.by Sanford Bond, Robert J. Slattery.B.Arc

Analysis of histamine as a hair-cell transmitter in the lateral line of Xenopus laevis

The actions of histamine and histamine antagonists on afferent nerve activity were investigated in the lateral line of Xenopus laevis. Histamine (0.002-2.0 mM) had no effect on spontaneous activity or excitatory responses to water motion. In contrast, pyrilamine, an H1 receptor antagonist, suppressed spontaneous activity beginning at 0.01-0.05 mM. Below 0.3 mM the suppression was often preceded by a small excitatory response and responses to high (24-30 dB re threshold), but not low (0-18 dB) levels of water motion were selectively suppressed. Higher concentrations (0.3-2.0 mM) abolished spontaneous activity and suppressed responses at all levels of water motion. Cimetidine, an H2 receptor antagonist, had similar actions but was one-tenth as potent as pyrilamine. Tetrodotoxin (0.001-0.1 [mu]M), which blocks voltage-sensitive Na+ channels, mimicked the suppressive effects of the histamine antagonists. Histamine (2.0 mM) failed to block the actions of pyrilamine (0.1 mM) indicating its effects are mediated through a mechanism other than histamine receptors. In addition, pyrilamine (0.05-0.1 mM) non-selectively suppressed excitation to exogenously applied -glutamate (1.0-2.0 mM), -aspartate (1.0-2.0 mM), kainate (0.005-0.01 mM), and quisqualate (0.002-0.005 mM) and altered responses to (0.5-1.0 mM). The results are inconsistent with histamine being a transmitter in the Xenopus lateral line and reveal that the actions of histamine antagonists are nonspecific, possibly due, in part, to blockade of voltage-sensitive Na+ channels.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/28027/1/0000465.pd

Observed suppression of ozone formation at extremely high temperatures due to chemical and biophysical feedbacks

Ground level ozone concentrations ([O3]) typically show a direct linear relationship with surface air temperature. Three decades of California measurements provide evidence of a statistically significant change in the ozone-temperature slope (ΔmO3-T) under extremely high temperatures (> 312 K). This ΔmO3-T leads to a plateau or decrease in [O3], reflecting the diminished role of nitrogen oxide sequestration by peroxyacetyl nitrates and reduced biogenic isoprene emissions at high temperatures. Despite inclusion of these processes in global and regional chemistry-climate models, a statistically significant change in ΔmO3-T has not been noted in prior studies. Future climate projections suggest a more frequent and spatially widespread occurrence of this ΔmO3-T response, confounding predictions of extreme ozone events based on the historically observed linear relationship

Biomass and nutrient dynamics associated with slash fires in neotropical dry forests

Unprecedented rates of deforestation and biomass burning in tropical dry forests are dramatically influencing biogeochemical cycles, resulting in resource depletion, declines in biodiversity, and atmospheric pollution. We quantified the effects of defores- tation and varying levels of slash-fire severity on nutrient losses and redistribution in a second-growth tropical dry forest ("Caatinga") near Serra Talhada, Pernambuco, Brazil. Total aboveground biomass prior to burning was 74 Mg/ha. Nitrogen and phosphorus concentrations were highest in litter, leaves attached to slash, and fine wood debris (<0.64 cm diameter). While these components comprised only 30% of the prefire aboveground biomass, they accounted for -60% of the aboveground pools of N and P. Three experi- mental fires were conducted during the 1989 burning season. In these treatments con- sumption was 78, 88, and 95% of the total aboveground biomass. As much as 96% of the prefire aboveground N and C pools and 56% of the prefire aboveground P pool was lost during combustion processes. Nitrogen losses exceeded 500 kg/ha and P losses exceeded 20 kg/ha in the fires of the greatest severity. With increasing fire severity, the concentrations of N and P in ash decreased while the concentration of Ca increased. This indicates greater amounts of these nutrients were volatilized (i.e., greater ecosystem losses occurred) with increasing fire severity. Following fire, up to 47% of the residual aboveground N and 84% of the residual aboveground P were in the form of ash, which was quickly lost from the site via wind erosion. Fires appeared to have a minor immediate effect on total N, C, or P in the soils. However, soils in forests with no history of cultivation had significantly higher concentrations of C and P than second-growth forests. Based upon the measured losses of nutrients from these single slash-burning events, it would likely require a century or more of fallow for reaccumulation to occur. However, current fallow periods in this region are 15 yr or less