Is there a low-risk premium in commodity markets?

This paper examines the existence of a low-risk anomaly in the asset class of commodity futures. Using dynamic market betas as ranking variable for sorted portfolios, results indicate that significant factors can be constructed by slightly altering the parameters used in previous literature. When additional asset-specific risk measures are incorporated to sort assets into longshort portfolios, especially low-drawdown portfolios yield abnormal returns with regards to the benchmarks. Although not constituting an anomaly, findings on the compensation of tail risks in the form of kurtosis, that consistently showed up significant throughout robustness tests, are also reported

Climate policies for road transport revisited (II): Closing the policy gap with cap-and-trade

Current policies in the road transport sector fail to deliver consistent and efficient incentives for greenhouse gas abatement (see companion article by Creutzig et al., 2010a). Market-based instruments such as cap-and-trade systems close this policy gap and are complementary to traditional policies which are required where specific market failures arise. Even in presence of strong existing non-market policies, cap-and-trade delivers additional abatement and efficiency by incentivizing demand side abatement options. This paper analyzes generic design options and economic impacts of including the European road transport sector to the EU ETS. The point of regulation in a road transport cap-and-trade system should be upstream in the fuel chain to ensure effectiveness (cover all life-cycle emissions and avoid double-counting), efficiency (incentivize all abatement options) and low transaction costs. Based on year 2020 marginal abatement cost curves from different models and current EU climate policy objectives we show that in contrast to conventional wisdom road transport inclusion would not change the EU ETS allowance price. This puts concerns over industrial carbon leakage as a consequence of adding road transport to the EU ETS into perspective.Climate Policy, Road Transport, Cap-and-trade

The great moderation through the lens of sectoral spillovers

Publisher Copyright: Copyright © 2023 The Authors.We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging because they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis of their performance. We show that standard estimators of large connectedness tables lead to biased results and high estimation uncertainty, both of which are mitigated by regularization. To explore possible causes for the Great Moderation, we apply a cross-validated estimator on sectoral spillovers of industrial production in the US from 1972 to 2019. We find that the spillover network has considerably weakened, which hints at structural change, for example, through improved inventory management, as a critical explanation for the Great Moderation.publishersversionpublishe

Obituary to analgesic nephropathy—an autopsy study

Background. To determine whether classic analgesic nephropathy with renal papillary and urothelial capillary sclerosis could still be detected at autopsy in the beginning of the 21st century, the present study which is similar to a previous one performed in 1980 was undertaken as suggested by the Ad Hoc Committee of the International Study Group on Analgesics and Nephropathy. Methods. Consecutive autopsies of 616 adults performed at the Basle Institute of Pathology between November 2000 and February 2002 were analysed. Tissue samples of renal cortex and papilla of 1220 kidneys and of each ureter and main renal artery available were subjected to a very careful and meticulous study using classical histopathological methodology. Results. A number of lesions was found macroscopically but not a single case of papillary necrosis or analgesic nephropathy could be detected preceding histological analysis. Histologically, the most frequent lesions were vascular in 57.8% of kidneys followed by glomerular lesions in 13.1% (mostly diabetic glomerulosclerosis). Tubulo-interstitial lesions, mostly pyelonephritis were detected in 9.3% with only a single case of classic analgesic nephropathy with bilateral complete papillary necrosis and ureteral capillary sclerosis in a female who had received a renal transplant 14 years before her demise at the age of 67. In another five cases, complete papillary necrosis was detected associated with pyelonephritis, hydronephrosis or in completely shrunken kidneys. However, in the absence of capillary sclerosis, a histopathological diagnosis of classic analgesic nephropathy could not be made in any of these five cases. Conclusions. The Basle autopsy prevalence of analgesic nephropathy decreased continuously from some 3% in 1980 to 0.2% in 2000 as shown by the present study. Similarly, capillary sclerosis of the urinary tract, the initiating event in the pathophysiology of papillary necrosis and analgesic nephropathy and the histological hallmark of the effect of toxic metabolites of phenacetin in analgesic abusers decreased from 4% of autopsy cases between 1978 and 1980 to the single case of the present study observed at the end of 2000. Thus, the classic analgesic nephropathy has disappeared some 20 years after the removal of phenacetin from the analgesic market despite the fact that mixed analgesics containing paracetamol, the main metabolite of phenacetin, have continued to be popular and widely used drug

Potential Neutrino Signals from Galactic Gamma-Ray Sources

The recent progress made in Galactic gamma-ray astronomy using the High Energy Stereoskopic System (H.E.S.S.) instrument provides for the first time a population of Galactic TeV gamma-rays, and hence potential neutrino sources, for which the neutrino flux can be estimated. Using the energy spectra and source morphologies measured by H.E.S.S., together with new parameterisations of pion production and decay in hadronic interactions, we estimate the signal and background rates expected for these sources in a first-generation water Cherenkov detector (ANTARES) and a next-generation neutrino telescope in the Mediterranean Sea, KM3NeT, with an instrumented volume of 1 km^3. We find that the brightest gamma-ray sources produce neutrino rates above 1 TeV, comparable to the background from atmospheric neutrinos. The expected event rates of the brightest sources in the ANTARES detector make a detection unlikely. However, for a 1 km^3 KM3NeT detector, event rates of a few neutrinos per year from these sources are expected, and the detection of individual sources seems possible. Although generally these estimates should be taken as flux upper limits, we discuss the conditions and type of gamma-ray sources for which the neutrino flux predictions can be considered robust.Comment: 20 pages, 4 figures; v2: ERROR in energy scale of KM3NeT effective neutrino area corrected which resulted in event rates being about a factor 3 too low; v3: grammatical changes and update of references after receiving proof

Fostering efficiency of computational resource allocation - Integrating information services into markets

The application of market mechanisms for the allocation of computing services is a demanding task, which requires bridging economic and associated technical challenges. Even if the market-based approach promises an efficient allocation of computing services, the wide heterogeneity of consumer requirements and the diversity of computational services on provider side are challenging the processes of finding, allocating, and using an appropriate service in an autonomous way. The focus of the most papers is mainly devoted to the optimization embedded in the allocation process itself. However, we think that the optimization process starts much earlier and contains the information gathering until the final market-based resource allocations. In this paper we introduce an integrated framework for market-based allocation of computing services, integrating information retrieval of market information, prediction models, bidding strategies and marked mechanisms. As proof-of-concept, we implemented a first prototype of the framework. Furthermore, we propose a methodology for evaluating strategic behavior in market mechanisms with bidding strategies using market information and statistical prediction techniques. First simulation results show strategic behavior in selected market mechanisms by applying the proposed techniques

Das Coronavirus und die Grenzen des Notrechts - Überlegungen zu einer ausserordentlichen ausserordentlichen Lage

Zur Bekämpfung der Coronavirus-Krise und zur Linderung ihrer wirtschaftlichen und sozialen Folgen hat der Bundesrat im Frühling 2020 gestützt auf Art. 185 Abs. 3 BV zahlreiche Notverordnungen erlassen. In ihrer Quantität und Qualität gehen die darin enthaltenen Massnahmen über die bisherigen Anwendungsfälle des intrakonstitutionellen Notrechts hinaus. In dieser «ausserordentlichen ausserordentlichen Lage» stellt sich die Frage nach ihrer Zulässigkeit. Der Beitrag geht dieser Frage nach. Die Autoren kommen zum Schluss, dass die Massnahmen des Bundesrates in weitem Umfang zulässig sind. Sie müssen allerdings im Einzelnen einer Interessenabwägung standhalten; in einzelnen Punkten mag der Bundesrat den Bogen des nach Art. 185 Abs. 3 BV Zulässigen überspannt haben. Nun ist es nötig, dass die Bundesversammlung die bundesrätlichen Massnahmen – wenn sie an ihnen festhält – möglichst rasch auf die Grundlage von parlamentarischem Recht stellt. Für diesen «Verholzungsprozess» stellt dieser Aufsatz einige Leitlinien auf

The connection between linguistic and mathematical performance in different content areas

Der Zusammenhang zwischen sprachlicher und mathematischer Kompetenz wurde für Schülerinnen und Schüler des dritten Schuljahres im Hinblick auf zwei Sprachmasse und drei mathematische Inhaltsbereiche untersucht (N = 215). Dabei zeigen sich für beide Sprachmasse erhebliche Zusammenhänge mit den Leistungen bei mathematischen Textaufgaben, aber ebenso bei relativ spracharmen, ikonisch repräsentierten geometrischen Aufgaben. Deutlich wird, dass bekannte Zusammenhänge zwischen sprachlichen und mathematischen Leistungen im Hinblick auf die Aufgabengestaltung, aber auch bezüglich des mathematischen Inhaltsbereichs vertieft analysiert werden sollten, um ein entsprechendes Potenzial für eine sprachbewusste und fach- bzw. inhaltsfokussierte Lernbegleitung und Förderung entfalten zu können. (DIPF/Orig.)The relationship between linguistic and mathematical performance was examined for third-year pupils with regard to two language measures and three mathematical content areas (N = 215). For both language measures, considerable correlations were found with the performance in mathematical text tasks, but also with relatively language-poor, iconic geometric tasks. It becomes clear that known correlations between linguistic and mathematical performance should be analyzed in greater depth with regard to the task design, but also with regard to the mathematical content area, in order to be able to develop a corresponding potential for language-conscious and subject- or content-focused learning support and encouragement. (DIPF/Orig.

Hepatic manifestations of drug reaction with eosinophilia and systemic symptoms syndrome

Drug reaction with eosinophilia and systemic symptoms (DRESS) syndrome is a potentially life-threatening drug reaction, which can affect multiple organs. Patients with DRESS syndrome and hepatic manifestations may present alterations ranging from mild hepatitis to acute liver failure. The diagnosis might be difficult, and the management of these patients is challenging. This report analyzes a series of five cases reporting the clinical presentation, which ranged from acute hepatitis to liver failure, and discussed their treatment