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Primary myelofibrosis (PMF) is a rare myeloproliferative neoplasm characterized by stem-cell-derived clonal over-proliferation of mature myeloid lineages, bone marrow fibrosis, osteosclerosis, defective erythropoiesis, and pro-inflammatory cytokine over-expression. The aim of the present study was to highlight possible differences in the transcriptome among CD34⁺ cells from peripheral blood (PB) of PMF patients. Therefore, we merged two microarray datasets of healthy control subjects and PMF (34 JAK2^V617F MUTATED and 28 JAK2 wild-type). The GO analysis of upregulated genes revealed enrichment for JAK2/STAT1 pathway gene set in PB CD34⁺ cells of PMF patients with and without the <i>JAK2^V617F mutation</i> comparing to the healthy control subjects, and in particular a significant upregulation of immunoproteasome (IP)-belonging genes as <i>PSMB8</i>, <i>PSMB9,</i> and <i>PSMB10.</i> A more detailed investigation of the IFN-gamma (IFNG) pathway also revealed that <i>IFNG, IRF1,</i> and <i>IFNGR2</i> were significantly upregulated in PB CD34⁺ cells of PMF patients carrying the mutation for JAK2^V617F compared to JAK2 wild-type PMF patients. Finally, we showed an upregulation of HLA-class I genes in PB CD34⁺ cells from PMF JAK2^V617F mutated patients compared to JAK2 wild-type and healthy controls. In conclusion, our results demonstrate that IPs and IFNG pathways could be involved in PMF disease and in particular in patients carrying the <i>JAK2^V617F mutation</i>.