Skip to main content
eScholarship
Open Access Publications from the University of California

Scholarly Works (6 results)

  • Thesis
  • Peer Reviewed
UCLA Electronic Theses and Dissertations (2012)

My thesis examines return predictability in government bond markets and currency markets. In Chapter 1, I take the term structure model in Cochrane and Piazzesi (2008) and construct currency market prices. The implied currency market prices are then counterfactually volatile and predictable, at least with respect to commonly used predictor variables. Getting the model closer to currency market data means reducing bond risk compensation but doing so nearly eliminates predictability in bond markets. One way to generate sensible time-variation in bond and currency risk-premia allows the volatility of returns to be time-varying.

In Chapter 2, I test if alternative forecast rules perform better than the return-forecasting factor of Cochrane and Piazzesi (2008). I compare forecasts assuming all historical data is available to recursively made ones that are revised with the arrival of news. Differences in the two forecast rules systematically move with realized bond risk-premia and forecast mean yield curve levels and short-term interest rates one year ahead not just for the U.S., but also for government bond markets of other industrialized economies. I show that lower long-term rates relative to short-rates in 2004-2005 is consistent with an expected a decline of interest rates by market participants.

In Chapter 3, I show that the cross-sectional average spread in the return-forecasting factor of Cochrane and Piazzesi (2005, 2008) can forecast currency risk-premia. However, the return-forecasting factor spread consistent with real-time data does not forecast currency risk-premia. I also find that both currency risk-premia and exchange rate changes have a predictable component that is detected by the information gap, what I call the hidden FX market factor, between forecasts that take as given the full sample of data and those consistent with real-time availability. Controlling for large and transitory exchange rate changes using this information gap make interest rate differentials between the average foreign country and the U.S. positively correlated with dollar appreciation rates, delivering the right sign predicted by uncovered interest parity.

    Cover page: Essays on Return Predictability in Financial Markets
    • Article
    • Peer Reviewed
    UC San Francisco Previously Published Works (2016)
    The biopharmaceutics drug disposition classification system was developed in 2005 by Wu and Benet as a tool to predict metabolizing enzyme and drug transporter effects on drug disposition. The system was modified from the biopharmaceutics classification system and classifies drugs according to their extent of metabolism and their water solubility. By 2010, Benet et al. had classified over 900 drugs. In this paper, we incorporate more than 175 drugs into the system and amend the classification of 13 drugs. We discuss current and additional applications of BDDCS, which include predicting drug-drug and endogenous substrate interactions, pharmacogenomic effects, food effects, elimination routes, central nervous system exposure, toxicity, and environmental impacts of drugs. When predictions and classes are not aligned, the system detects an error and is able to self-correct, generally indicating a problem with initial class assignment and/or measurements determining such assignments.
      Cover page: BDDCS Predictions, Self-Correcting Aspects of BDDCS Assignments, BDDCS Assignment Corrections, and Classification for more than 175 Additional DrugsCreative Commons 'BY' version 4.0 license
      • Article
      • Peer Reviewed
      UCLA Previously Published Works (2014)
        • Article
        • Peer Reviewed
        UC San Francisco Previously Published Works (2016)

        Purpose

        We examined the relationship between glycemic control and urinary tract infections in women with type 1 diabetes mellitus.

        Materials and methods

        Women enrolled in the Epidemiology of Diabetes Interventions and Complications study, the observational followup of the Diabetes Control and Complications Trial, were surveyed to assess the rate of physician diagnosed urinary tract infections in the preceding 12 months. The relationship between glycated hemoglobin levels and number of urinary tract infections in the previous 12 months was assessed using a multivariable Poisson regression model.

        Results

        A total of 572 women were evaluated at year 17. Mean age was 50.7 ± 7.2 years, mean body mass index was 28.6 ± 5.9 kg/m(2), mean type 1 diabetes duration was 29.8 ± 5.0 years and mean glycated hemoglobin was 8.0% ± 0.9%. Of these women 86 (15.0%) reported at least 1 physician diagnosed urinary tract infection during the last 12 months. Higher glycated hemoglobin levels were significantly associated with number of urinary tract infections such that for every unit increase (1%) in recent glycated hemoglobin level, there was a 21% (p=0.02) increase in urinary tract infection frequency in the previous 12 months after adjusting for race, hysterectomy status, urinary incontinence, sexual activity in the last 12 months, peripheral and autonomic neuropathy, and nephropathy.

        Conclusions

        The frequency of urinary tract infections increases with poor glycemic control in women with type 1 diabetes. This relationship is independent of other well described predictors of urinary tract infections and suggests that factors directly related to glycemic control may influence the risk of lower urinary tract infections.
          Cover page: Glycemic Control and Urinary Tract Infections in Women with Type 1 Diabetes: Results from the DCCT/EDIC
          • Article
          • Peer Reviewed
          UCLA Previously Published Works (2016)
          We examined whether persistence of epigenetic DNA methylation (DNA-me) alterations at specific loci over two different time points in people with diabetes are associated with metabolic memory, the prolonged beneficial effects of intensive vs. conventional therapy during the Diabetes Control and Complications Trial (DCCT) on the progression of microvascular outcomes in the long-term follow-up Epidemiology of Diabetes Interventions and Complications (EDIC) Study. We compared DNA-me profiles in genomic DNA of whole blood (WB) isolated at EDIC Study baseline from 32 cases (DCCT conventional therapy group subjects showing retinopathy or albuminuria progression by EDIC Study year 10) vs. 31 controls (DCCT intensive therapy group subjects without complication progression by EDIC year 10). DNA-me was also profiled in blood monocytes (Monos) of the same patients obtained during EDIC Study years 16-17. In WB, 153 loci depicted hypomethylation, and 225 depicted hypermethylation, whereas in Monos, 155 hypomethylated loci and 247 hypermethylated loci were found (fold change ≥1.3; P < 0.005; cases vs. controls). Twelve annotated differentially methylated loci were common in both WB and Monos, including thioredoxin-interacting protein (TXNIP), known to be associated with hyperglycemia and related complications. A set of differentially methylated loci depicted similar trends of associations with prior HbA1c in both WB and Monos. In vitro, high glucose induced similar persistent hypomethylation at TXNIP in cultured THP1 Monos. These results show that DNA-me differences during the DCCT persist at certain loci associated with glycemia for several years during the EDIC Study and support an epigenetic explanation for metabolic memory.
            Cover page: Epigenomic profiling reveals an association between persistence of DNA methylation and metabolic memory in the DCCT/EDIC type 1 diabetes cohort
            • Article
            • Peer Reviewed
            UCLA Previously Published Works (2013)
            Refractive errors are common eye disorders of public health importance worldwide. Ocular axial length (AL) is the major determinant of refraction and thus of myopia and hyperopia. We conducted a meta-analysis of genome-wide association studies for AL, combining 12,531 Europeans and 8,216 Asians. We identified eight genome-wide significant loci for AL (RSPO1, C3orf26, LAMA2, GJD2, ZNRF3, CD55, MIP, and ALPPL2) and confirmed one previously reported AL locus (ZC3H11B). Of the nine loci, five (LAMA2, GJD2, CD55, ALPPL2, and ZC3H11B) were associated with refraction in 18 independent cohorts (n = 23,591). Differential gene expression was observed for these loci in minus-lens-induced myopia mouse experiments and human ocular tissues. Two of the AL genes, RSPO1 and ZNRF3, are involved in Wnt signaling, a pathway playing a major role in the regulation of eyeball size. This study provides evidence of shared genes between AL and refraction, but importantly also suggests that these traits may have unique pathways.
              Cover page: Nine Loci for Ocular Axial Length Identified through Genome-wide Association Studies, Including Shared Loci with Refractive Error
              Top