This paper explores the impact of investor flows and financial market conditions on returns in crude oil futures markets. I argue that informational frictions and the associated speculative activity ...may induce prices to drift away from "fundamental" values, and may result in price booms and busts. Particular attention is given to the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity in oil markets. Furthermore, I present new evidence that there were economically and statistically significant effects of investor flows on futures prices, after controlling for returns in the United States and emerging-economy stock markets, a measure of the balance sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The largest impacts on futures prices were from intermediate-term growth rates of index positions and managed-money spread positions. Moreover, my findings suggest that these effects were through risk or informational channels distinct from changes in convenience yield. Finally, the evidence suggests that hedge fund trading in spread positions in futures impacted the shape of term structure of oil futures prices.
This paper was accepted by Wei Xiong, finance.
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. ...Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies.
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of ...credit events ($\lambda ^{{\Bbb Q}}$), but also the loss rates given credit events. Applying our framework to Mexico, Turkey, and Korea, we show that a single-factor model with$\lambda ^{{\Bbb Q}}$following a lognormal process captures most of the variation in the term structures of spreads. The risk premiums associated with unpredictable variation in$\lambda ^{{\Bbb Q}}$are found to be economically significant and co-vary importantly with several economic measures of global event risk, financial market volatility, and macroeconomic policy.
In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is ...maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM in which the pricing factors are observable portfolios of yields. For our normalization, standard maximum likelihood algorithms converge to the global optimum almost instantaneously. We present empirical estimates and out-of-sample forecasts for several GDTSMs using data on U.S. Treasury bond yields.
Corneal confocal microscopy is a novel diagnostic technique for the detection of nerve damage and repair in a range of peripheral neuropathies, in particular diabetic neuropathy. Normative reference ...values are required to enable clinical translation and wider use of this technique. We have therefore undertaken a multicenter collaboration to provide worldwide age-adjusted normative values of corneal nerve fiber parameters.
A total of 1,965 corneal nerve images from 343 healthy volunteers were pooled from six clinical academic centers. All subjects underwent examination with the Heidelberg Retina Tomograph corneal confocal microscope. Images of the central corneal subbasal nerve plexus were acquired by each center using a standard protocol and analyzed by three trained examiners using manual tracing and semiautomated software (CCMetrics). Age trends were established using simple linear regression, and normative corneal nerve fiber density (CNFD), corneal nerve fiber branch density (CNBD), corneal nerve fiber length (CNFL), and corneal nerve fiber tortuosity (CNFT) reference values were calculated using quantile regression analysis.
There was a significant linear age-dependent decrease in CNFD (-0.164 no./mm(2) per year for men, P < 0.01, and -0.161 no./mm(2) per year for women, P < 0.01). There was no change with age in CNBD (0.192 no./mm(2) per year for men, P = 0.26, and -0.050 no./mm(2) per year for women, P = 0.78). CNFL decreased in men (-0.045 mm/mm(2) per year, P = 0.07) and women (-0.060 mm/mm(2) per year, P = 0.02). CNFT increased with age in men (0.044 per year, P < 0.01) and women (0.046 per year, P < 0.01). Height, weight, and BMI did not influence the 5th percentile normative values for any corneal nerve parameter.
This study provides robust worldwide normative reference values for corneal nerve parameters to be used in research and clinical practice in the study of diabetic and other peripheral neuropathies.
Abstract The Utah Diabetic Neuropathy Study (UDNS) examined 218 type 2 diabetic subjects without neuropathy symptoms, or with symptoms of < 5 years, in order to evaluate risk factors for neuropathy ...development. Each subject completed symptom questionnaires, the Utah Early Neuropathy Scale (UENS), nerve conduction studies (NCS), quantitative sensory testing (QST) for vibration and cold detection, quantitative sudomotor axon reflex testing (QSART), and skin biopsy with measurement of intraepidermal nerve fiber density (IENFD). Those with abnormalities of ≥ 3 were classified as having probable, and those with 1–2 as possible neuropathy. The relationship between glycemic control, lipid parameters (high density lipoprotein and triglyceride levels), blood pressure, and obesity, and neuropathy risk was examined. There was a significant relationship between the number of abnormalities among these features and neuropathy status (p < 0.01). Hypertriglyceridemia, obesity and 3 or more abnormalities increased neuropathy risk (risk ratios 2.1 p < 0.03, 2.9 p > 0.02 and 3.0 p < 0.004 respectively). Multivariate analysis found obesity and triglycerides were related to loss of small unmyelinated axons based on IENFD whereas elevated hemoglobin A1c was related to large myelinated fiber loss (motor conduction velocity). These findings indicate obesity and hypertriglyceridemia significantly increase risk for peripheral neuropathy, independent of glucose control. Obesity/hypertriglyceridemia and hyperglycemia may have differential effects on small versus large fibers.
Abstract Aims Diagnosis of early distal symmetric polyneuropathy (DSP) is challenging. Nerve conduction studies (NCS) are often normal. Skin biopsy for intraepidermal nerve fiber density (IENFD) has ...better sensitivity, but is invasive. Sudoscan is a novel technology that measures electrochemical skin conductance (ESC; microSiemens, μS), which is thought to be proportionate to the number of functional sweat glands. This study evaluated Sudoscan’s diagnostic utility for DSP. Methods 55 patients with suspected DSP (22 with diabetes, 2 prediabetes, 31 idiopathic) and 42 controls underwent the Utah Early Neuropathy Scale (UENS) and Sudoscan. Each was offered skin biopsy. DSP participants underwent quantitative sudomotor axon reflex testing (QSART) and NCS. Results Feet and hands ESCs were reduced among DSP participants compared to controls (64 ± 22 vs. 76 ± 14 μS p < 0.005, and 58 ± 19 vs. 66 ± 18 μS p < 0.04). There was no difference between diabetic and idiopathic DSP. Receiver operating characteristic curve analysis revealed feet ESC and IENFD had similar areas under the curve (0.761 and 0.752). ESC correlated with Sural amplitude (0.337, p < 0.02), UENS (− 0.388, p < 0.004), and MNSI (− 0.398, p < 0.005). Conclusions Sudoscan is a promising diagnostic test for diabetic and idiopathic DSP, with diagnostic performance similar to IENFD.
IMPORTANCE: Chemotherapy-induced peripheral neuropathy (CIPN) is a common adverse effect of neurotoxic chemotherapy resulting in pain, sensory loss, and decreased quality of life. Few studies have ...prospectively examined the relationship between sensory neuropathy symptoms, falls, and fall-related injuries for patients receiving neurotoxic chemotherapy. OBJECTIVE: To determine the association between the symptoms of CIPN and the risk of falls for patients receiving neurotoxic chemotherapy. DESIGN, SETTING, AND PARTICIPANTS: In this secondary analysis of a prospective study, 116 patients with breast, ovarian, or lung cancer who were beginning neurotoxic chemotherapy with a taxane or platinum agent were recruited from oncology clinics. These patients would call a novel automated telephone system daily for 1 full course of chemotherapy. The telephone system (SymptomCare@Home) used a series of relevant CIPN questions to track symptoms on a 0 to 10 ordinal scale and contained a questionnaire about falls. Those reporting a numbness and tingling severity score of 3 or greater for at least 10 days were considered to have significant CIPN symptoms and were compared with those patients who did not. Data analysis was performed in November 2015. EXPOSURE: Chemotherapy with a neurotoxic taxane or platinum agent. MAIN OUTCOMES AND MEASURES: Patient-reported falls or near falls and fall-related injuries. The hypothesis was generated after data collection but prior to data analysis. RESULTS: Of the 116 patients who started neurotoxic chemotherapy (mean SD age was 55.5 11.9 years, and 109 94.0% were female), 32 met the predetermined criteria for CIPN symptoms. The mean duration of follow-up was 62 days, with 51 telephone calls completed per participant. Seventy-four falls or near falls were reported. The participants with CIPN symptoms were nearly 3 times more likely to report a fall or near fall than the participants without CIPN symptoms (hazard ratio, 2.67 95% CI, 1.62-4.41; P < .001). The participants with CIPN symptoms were more likely than the participants without CIPN symptoms to obtain medical care for falls (8 of 32 participants with CIPN symptoms 25.0% vs 6 of 84 participants without CIPN symptoms 7.1%; P = .01). CONCLUSIONS AND RELEVANCE: These findings suggest that the sensory symptoms of CIPN are an indicator of an increased risk of falling and an increased use of health care resources. This study demonstrates the utility of a novel telephone-based system to track neuropathy symptoms. Careful monitoring and coaching of patients receiving neurotoxic chemotherapy for new sensory symptoms may facilitate more effective fall prevention strategies.
When Japanese short-term bond yields were near their zero bound, yields on long-term bonds showed substantial fluctuation, and there was a strong positive relationship between the level of interest ...rates and yield volatilities/risk premiums. We explore whether several families of dynamic term structure models that enforce a zero lower bound on short rates imply conditional distributions of Japanese bond yields consistent with these patterns. Multi-factor “shadow-rate” and quadratic-Gaussian models, evaluated at their maximum likelihood estimates, capture many features of the data. Furthermore, model-implied risk premiums track realized excess returns during extended periods of near-zero short rates. In contrast, the conditional distributions implied by non-negative affine models do not match their sample counterparts, and standard Gaussian affine models generate implausibly large negative risk premiums.
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