Macroeconomic impacts of politics and policy: Applications to financial and real markets

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Liquidity, business cycles and monetary policy: A simulation

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics

Health expenditures in the OECD: A political economy analysis using structural breaks

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics

Perfil sociodemográfico e saúde mental em cuidadores informais de idosos no município de São Paulo-Brasil: desafios para as políticas públicas

RESUMO: INTRODUÇÃO: O rápido envelhecimento populacional, o aumento da prevalência de transtornos neuropsiquiátricos, o aumento das taxas de morbilidade clínica e incapacidade entre idosos de países em desenvolvimento têm trazido preocupações sobre a saúde mental e sobrecarga de cuidadores informais. Está bem estabelecida a elevada prevalência de transtornos mentais comuns (TMC) associada à adversidade socioeconômica, baixo nível educacional, estresse e gênero. Idosos e cuidadores vivendo em comunidade compartilham fatores de risco para morbilidade física e psiquiátrica. Adicionalmente, os cuidadores tem uma tripla carga, sendo simultaneamente familiares, trabalhadores leigos em saúde sem suporte dos serviços de saúde e assistência social e um paciente com necessidades não atendidas. O cuidador informal é o principal provedor de cuidado em todos os países. OBJETIVOS: Acessar perfil sociodemográfico, níveis de transtorno mental comum (TMC) e sobrecarga em cuidadores, características do cuidado e prevalência de demência e depressão no idosos, numa área carente da região oeste de São Paulo –Brasil. MÉTODO: Esta pesquisa transversal deriva do São Paulo Ageing and Health Study (SPAH) que incluiu idosos com 65 anos ou mais e seus respectivos cuidadores. Os participantes foram identificados por arrolamento domiciliar e entrevistadas em suas casas com protocolo padronizado de pesquisa. O instrumento utilizado para acessar os transtornos mentais comuns, foi o Self Rating Questionnaire SRQ-20.A sobrecarga foi quantificada pelo Zarit Caregiver Burden Scale. Diagnósticos psicogeriátricos foram mensurados através do SRQ-20 e critérios do CID-10 e do DSM-IV. 8 RESULTADOS: 588 cuidadores e respectivos idosos foram incluídos. Nos idosos, a prevalência de demência foi 15,9%, de depressão pelo CiD-10 9.9% e de TMC 39,25% Nos cuidadores, a prevalência de TMC foi de 55,1% e 32,8% dos cuidadores apresentaram sobrecarga elevada. O perfil do cuidador foi filha,com idade em torno dos 49 anos, casada e com baixo nível educacional.------------------ABSTRACT: BACKGROUND: With the fast population aging, growing prevalence of neuropsychiatric disorders, clinical morbidity and disability among the elderly particularly in low income countries (LAMIC), has brought concerns about informal caregiver Mental Health and Burden. It is well established the high prevalence of Common Mental Disorders (CMD) associated to socioeconomic adversity, low educational attainment, stress and gender. Community-dwelling elders and caregivers share risk factors for physical and psychiatric morbidity. In addition, caregivers have a triple strain, being simultaneously, family members, lay health workers with lack of support from health and social work services and a hidden patient with unmet needs. The world main source of caregiving relies on informal caregiver. AIMS: To assess 1) the sociodemographic profile, levels of CMD and burden among caregivers, and 2) the characteristics of care and prevalence of dementia and depression in elderly in a socioeconomic underprivileged area in western region of Sao Paulo – Brazil. METHOD: The present investigation is a cross-sectional part of Sao Paulo Ageing and Health Study (SPAH) which included participants aged 65 or older and their respective caregivers. Participants were identified by household enrollment and interviewed in their homes using a standardized research protocol. The assessment of common mental disorders was performed with the Self Rating Questionnaire – 20 (SRQ-20), used to establish psychiatric caseness. The assessment of burden was performed with Zarit Caregiver Burden Scale. Dementia and psychogeriatric diagnosis were reached through ICD-10, SRQ-20 and DSM-IV criteria. 10 RESULTS: 588 caregivers and respective elderly relatives were included. Prevalence of dementia was 15.9%, ICD-10 depression 9.9% and CMD 39.3% among the elderlys. Common mental disorder prevalence in caregivers was 55.1% and high burden was reached in 32.8% of the caregiver sample. Most of the caregivers were married and co-resident daughters with a mean age of 49 years (CI 95% - 48.7 to 51).

Income and mental health

RESUMO: A enorme carga e o sofrimento provocado pelas doenças mentais no mundo tornam imperioso conhecer melhor os seus determinantes. Combater as desigualdades em saude tornou-‐se uma prioridadade de saúde publica, mas e necessário estabelecer as suas vias causais para ser possível implementar intervenções e politicas efetivas. A literatura cientifica tem sugerido a importância dos determinantes sociais na etiologia e evolucao das principais doenças mentais e do suicidio, com especial enfase no papel da desvantagem social. Ainda assim, o papel dos factores psicossociais na saúde mental, e especificamente o papel do rendimento e da sua distribuição não tem sido investigado no meu pais, Portugal. No meu projecto de investigação proponho‐me a estudar se em Portugal existe uma associação entre as doenças mentais e o rendimento absoluto e relativo. Pretendo usar os dados do primeiro inquérito epidemiológico sobre saude mental realizado em Portugal,um inquérito nacional transversal no domicilio que foi conduzido em 2009, integrado no WHO World Mental Health Survey Consortium. Nesta tese de mestrado apresento os resultados da minha revisão da literatura Sobre a relação entre oestatuto socio-economico e a saúde mental e esboço uma proposta de pesquisa para continuar a investigar estetema. A evidencia que apresento mostra que a exposição aum vasto leque de riscos psicossociais, como o baixo rendimento, a educação limitada e o estatuto ocupacionalbaixo,aumenta a probabilidade de desenvolver problemas de saúde mental.. As diferencas em saúde seguem um gradiente social, com piores resultados de saúde a medida que a posição na hierarquia social diminui. Tambem sumarizo a literatura sobre o papel do contexto na produção de desigualdades em saúde para alem das características individuais. Tem especial interesse o potencial efeito na saúde do rendimento relativo e a importância da distribuição dos rendimentos como determinante de saude. Finalmente, delineio os possíveis mecanismos através dos quais o estatuto socio-economico contribui para as disparidades em saúde.-------------------ABSTRACT: The enormous burden and suffering from mental disorders worldwide makes it imperative to better understand its determinants. Tackling nhealth inequalities has become a public health priority, but it is necessary to establish their causalpathways in order to implement effective interventions and policies. Scientific literature has suggested the importance of social determinants in the aetiology and course of major mental disorders and suicide, with special emphasis on the role of social disadvantage. Nevertheless, the role of psychosocial factors on mental health, and specifically the role of income and its distribution, has not been researched in my home country, Portugal. In my research project I propose to study whether in Portugal there is an association between mental disorders and absolute and relative income. I intend to use data from the first Portuguese Mental Health Survey, a national cross-sectional household survey that was conducted in 2009, integrated in the WHO World Mental Health Survey Consortium. In this masters thesis I present the results of my literature review on the relation between Socioeconomic status and mental health and outline a research proposal to further nvestigate this topic. The body of evidence that I present shows that exposure to a wide range of psychosocial risks, such as low income, limited education, and low occupational status, increases the likelihood of mental health problems. Differences in health follow a social gradient, with worsening health as the position in the social ladder decreases. I also summarize the literature on the role of context in producing health inequalities beyond individual characteristics. Of special interest is the potential health effect of relative income and the importance of income distribution as a health determinant. Finally, I outline the various possible mechanisms for health disparities associated with socioeconomic status.

Firms and aggregate dynamics

We investigate the role of permanent and transitory shocks for firms and aggregate dynamics. We find that permanent shocks to productivity and permanent shifts in the composition of output explain at least four-fifths of firms’ dynamics. However, these permanent shocks are almost uncorrelated across firms and are therefore less relevant for aggregate dynamics. Transitory shocks, on the other hand, are not very important at the firm level,but they account for most of the volatility of aggregate hours and output, because they are significantly correlated across firms. Finally, we try to make some progress on the interpretation of the shocks.

Mental health and the crisis: Evidence from share

Mental health constitutes a significant share of the global burden of disease. It is shaped to a great extent by socioeconomic factors and is vulnerable to external shocks. The recent financial crisis brought about stressors prone to trigger and aggravate mental illnesses. This project presents a micro analysis of the effect of the economic crisis on mental health in eleven European countries, through the estimation of individual health production functions accounting for socioeconomic controls and macroeconomic indicators. We find that mental health has deteriorated since 2007, even though the development of depression episodes is unchanged. Additionally, his variation can be partially attributed to economic recession and budgetary cuts in health spending.

Productivity gains from migration: An analysis of Cape Verdean return migrants

Are return migrants more productive than non-migrants? If so, is it a causal effect or simply self-selection? Existing literature has not reached a consensus on the role of return migration for origin countries. To answer these research questions, an empirical analysis was performed based on household data collected in Cape Verde. One of the most common identification problems in the migration literature is the presence of migrant self-selection. In order to disentangle potential selection bias, we use instrumental variable estimation using variation provided by unemployment rates in migrant destination countries, which is compared with OLS and Nearest Neighbor Matching (NNM) methods. The results using the instrumental variable approach provide evidence of labour income gains due to return migration, while OLS underestimates the coefficient of interest. This bias points towards negative self-selection of return migrants on unobserved characteristics, although the different estimates cannot be distinguished statistically. Interestingly, migration duration and occupational changes after migration do not seem to influence post-migration income. There is weak evidence that return migrants from the United States have higher income gains caused by migration than the ones who returned from Portugal.

Macroeconomic effects of monetary policy in the Eurozone

To study the macroeconomic effects of unconventional monetary policy across the different countries of the eurozone, I develop an identification scheme to disentangle conventional from non-conventional policy shocks, using futures contracts on overnight interest rates and the size of the European Central Bank balance sheet. Setting these shocks as endogenous variables in a structural vector autoregressive (SVAR) model, along with the CPI and the employment rate, estimated impulse response functions of policy to macroeconomic variables are studied. I find that unconventional policy shocks generated mixed effects in inflation but had a positive impact on employment, with the exception of Portugal, Spain, Greece and Italy where the employment response is close to zero or negative. The heterogeneity that characterizes the responses shows that the monetary policy measures taken in recent years were not sufficient to stabilize the economies of the eurozone countries under more severe economic conditions.

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

To what extent do aspects of sustainability impact established firms' resilience

An organizations´ level of sustainability has so far been primarily been analyzed within the context of economic performance. This study changes that dependent variable to “resilience”, namely a company’s ability to recover from potential lethal shocks or disruptive events. The research questions aims to investigate whether sustainability and resilience are related. This study utilizes the financial crisis from 2007/08 as disruptive event, as it encompassed market phase-out but also survival by established firms. Two Swiss luxury watchmaking companies have been chosen as industry sample and the study’s investigation is based on a comparative case study approach. The latter applies both quantitative data, in the form of the respective annual company reports, and qualitative data, in the form of semi-structured interviews with three stakeholder groups. Findings indicate that the investigated measures of sustainability are related the investigated companies’ level of resilience. These findings contribute to the building of new theory towards resilience as this study outlines specifically which measures have been proven to be of relevance for companies’ resilience. Moreover, the results are of high relevance for companies that are operating in constant evolving markets and struggling adapting to any disruptive environment as it is outlined why and how comparative companies have to be sustainable in order to become more resilient towards future shocks.

Students' choice of a master in management in Portugal: A means-end chain approach

In the increasingly competitive market of higher education introduced by the Bologna Declaration, understanding the decision-making of master in management students is at the center of institutional management and marketing efforts on its mission to attract prospective students in a less costly, more efficient manner. The means-end chain approach, applied to the choice of a Portuguese institution in which to pursue a master in management, points to the position in rankings and to the non-specificity of the program as the most important attributes. Additionally, results show that students with distinct demographic, household, or background characteristics choose in significantly different manners.

The effect of social and environmental sustainability on firm resilience

Double degree

Measuring poverty in Portugal: An absolute approach

The aim of this article is to measure poverty in Portugal from an absolute perspective. We estimated several absolute poverty lines and defined maximum and minimum thresholds. We applied aggregation measures to these thresholds and constructed probit models to assess the effect of some variables on poverty. The intervals obtained contain the poverty lines constructed by other approaches. We got evidence that poverty is positively correlated with the number of people in the household, with living alone; negatively correlated with the number of workers in the household, the share on non-food expenditure and the existence of a heating device at home.

Inovcity- Structure of trials evaluation

In 2007, the UK government commissioned the Energy Demand Research Project to conduct a large scale experiment of smart metering technologies to test the impacts from many different forms of feedback to residential consumers. A full evaluation of the results was completed in 2011. In Portugal, EDP is also conducting smart meter trials in a project called InovCity in the city of Évora whose results will be evaluated during 2012. In this work, the case of Great Britain is studied as a reference on how an evaluation of trial results should be conducted. I also discuss potential limitations of the experiments, implications for national roll-out decisions, and finally draw some lessons that can be applied to the Portuguese case.