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

A Numerical Investigation of Human Cough Jet Development and Droplet Dispersion

As part of the Western Cold and Flu aerosol (WeCoF) studies, the present study provides Computational Fluid Dynamics (CFD) modelling of human cough flow. The cough flow is characterized in two different aspects, the flow field and the droplets. In the study of the flow field of coughing, various dynamic characteristics, including the velocity variation, streamwise penetration and power spectral density, are examined. CFD simulations using two different approaches, the unsteady Reynolds Averaged Navier-Stokes (URANS) and the large eddy simulation (LES), are performed for comparison purposes. The numerical results are validated by the experimental data obtained from the measurements by the particle image velocimetry (PIV) and hot-wire anemometry (HWA), as well as the published data. Based on the comparison with the URANS approach and the experimental data, the LES approach can be considered as a good candidate to predict the flow field of coughing. In the study of the droplets produced by coughing, the dynamic characteristics, including the dispersion and evaporation processes, are analyzed. The Lagrangian discrete phase model is adopted to track a total 2084 droplets in the diameter range 3-750 μm. The effects of the relative humidity (RH) of the ambient air and the inlet time-dependent cough velocity on the dispersion and evaporation of the droplets are investigated. It is found that the larger droplets precipitate on the ground as the time progresses, and the precipitating speed depends on the droplet size, whereas the smaller droplets with the diameter dp ≤ 10 μm remain suspended for a longer period. The dispersion process in terms of the droplet penetration is weakened by both a higher ambient RH and a lower inlet cough velocity. The droplet evaporation is significantly affected by the ambient RH, i.e. the higher the RH, the slower the evaporation. However, the inlet cough velocity doesn’t show a strong influence on the evaporation of the droplets

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

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

Study of the Phase Behavior of Hydrocarbons under the Confinement Effect Using Molecular Simulation

The phase behavior of hydrocarbons in shale reservoirs has garnered increasing attention in the petroleum industry. Significant differences in the phase behavior of petroleum fluids between conventional reservoirs and shale reservoirs have been observed. Because of the existence of nano-scale porous media in shale reservoirs, there are substantial surface–fluid interactions that can lead to a heterogeneous distribution of molecules and an alteration of the fluid phase behavior. In this work, we use Monte Carlo molecular simulation to investigate the confinement effect on the phase behavior of reservoir fluids in different models. Gauge Gibbs ensemble Monte Carlo (gauge-GEMC) and grand canonical Monte Carlo (GCMC) simulations are used to study the saturation pressure, adsorption, desorption, and hysteresis effect of single-component fluids in nanopores. Moreover, a simplified pore size distribution (PSD) model is proposed to investigate the effect of the PSD in shale rocks, and a multi-scale model in molecular simulation is created for the first time to mimic the nano-scale and macro-scale (macro-pores and fractures) porous media in shale rocks. We are also the first to use the Gibbs ensemble Monte Carlo (GEMC) simulation at imposed pressures to simulate the constant composition expansion (CCE) experiment for multi-component hydrocarbon mixtures in the multi-scale pore model. Our results show that 1) the critical temperature, critical pressure, and saturation pressure of single-component fluids decrease in nanopores; 2) the smaller the nanopore is, the stronger the confinement effect becomes and the further the phase diagram shifts; 3) when multiple pores exist in the fluid system, the fluids in larger pores take priority over those in smaller pores in vaporization, while the fluids in smaller pores have priority in condensing; 4) PSD can lead to an overall confinement effect in which it may be possible to use a single-pore model to represent the pore system of a shale sample; 5) in the multi-scale model, the confinement effect will cause a significant difference between the compositions of the fluids in different regions, where the fluid in the bulk region is leaner than that in the confined region and the difference in compositions will increase as the pressure decreases; and 6) the confinement effect in the multi-scale model may cause a significant shift or disappearance of the saturation pressure of the fluid in the bulk region

Essays on Sovereign Debt Structure, Default and Renegotiation

Emerging market economies have witnessed recurrent large-scale sovereign debt crises. Many of these crises shared two features: a significant shift towards short-term debt before a crisis, and a prolonged debt renegotiation afterwards. This dissertation studies each phenomenon in a chapter. The first chapter constructs a dynamic model of sovereign debt default and renegotiation in which the shift towards short-term debt before a default results from two inefficiencies in the sovereign debt market: no legal enforcement of debt repayment and no explicit seniority structure. These inefficiencies give rise to "default risk" and "debt dilution risk". The mechanism by which default risk favors short-term debt is well understood: long-term bonds incorporate additional default risk, and hence bear higher risk premia than short-term bonds, giving the government the incentive to rely more on short-term debt before a crisis. "Debt dilution" occurs because the absence of an explicit seniority structure implies that new short-term debt issuances can reduce the amount recoverable by existing long-term debt-holders, and thus "dilute" existing long-term debt. This effect is more severe as default and debt restructuring become more likely, resulting in higher risk premia on long-term bonds as a crisis approaches. Quantitative analysis shows that the model generates a large shift to short-term debt before a default. The fraction of this shift due to debt dilution is significantly larger than the fraction due to default risk. The second chapter provides an explanation to the observed length of delays in debt restructuring negotiations. Contrary to the common wisdom that delays are costly and inefficient, this chapter argues that delays can be beneficial in that they allow the economy to recover from a crisis and make more resources available to settle the defaulted debt. As a result, the negotiating parties can be better off by waiting and then dividing a larger "cake". By introducing a stochastic bargaining game, based on Merlo and Wilson's (1995) framework, into a sovereign default model, this chapter shows quantitatively that our argument can generate an average delay length comparable to that experienced by Argentina in its most recent debt restructuring