Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

On the justice of voting systems

What are the best voting systems in terms of utilitarianism? Or in terms of maximin, or maximax? We study these questions for the case of three alternatives and a class of structurally equivalent voting rules. We show that plurality, arguably the most widely used voting system, performs very poorly in terms of remarkable ideals of justice, such as utilitarianism or maximin, and yet is optimal in terms of maximax. Utilitarianism is bestapproached by a voting system converging to the Borda count, while the best way to achieve maximin is by means of a voting system converging to negative voting. We study the robustness of our results across different social cultures, measures of performance, and population sizes.

Intergenerational mobility and the informative content of surnames

We propose an alternative method for measuring intergenerational mobility. Measurements obtained fromtraditional methods (based on panel data) are scarce, difficult to compare across countries and almost impossible to get across time. In particular, this means that we do not know how intergenerational mobility is correlated with growth, income or the degree of inequality.Our proposal is to measure the informative content of surnames in one census. The more information thesurname has on the income of an individual, the more important is her background in determining her outcomes; and thus, the less mobility there is.The reason is that surnames provide information about family relationships because the distribution ofsurnames is necessarily very skewed. A large percentage of the population is bound to have a very unfrequent surname. For them the partition generated by surnames is very informative on family linkages.First, we develop a model whose endogenous variable is the joint distribution of surnames and income.There, we explore the relationship between mobility and the informative content of surnames. We allow for assortative mating to be a determinant of both.Second, we use our methodology to show that in large Spanish region the informative content of surnamesis large and consistent with the model. We also show that it has increased over time, indicating a substantial drop in the degree of mobility. Finally, using the peculiarities of the Spanish surname convention we show that the degree of assortative mating has also increased over time, in such a manner that might explain the decrease in mobility observed.Our method allows us to provide measures of mobility comparable across time. It should also allow us tostudy other issues related to inheritance.

The evolution of inequity in the access to health care in Spain: 1987-2001

This paper reports an analysis of the evolution of equity in access to health care in Spain over the period 1987-2001, a time span covering the development of the modern Spanish National Health System. Our measures of access are the probabilities of visiting a doctor, using emergency services and being hospitalised. For these three measures we obtain indices of horizontal inequity from microeconometric models of utilization that exploit the individual information in the Spanish National Health Surveys of 1987 and 2001. We find that by 2001 the system has improved in the sense that differences in income no longer lead to different access given the same level of need. However, the tenure of private health insurance leads to differences in access given the same level of need, and its contribution to inequity has increased over time, both because insurance is more concentrated among the rich and because the elasticity of utilization for the three services has increased too.

Asset prices and the measurement of wealth and saving

The paper defines concepts of real wealth and saving which take into account the intertemporal index number problem that results from changing interest rates. Unlike conventional measures of real wealth, which are based on the market value of assets and ignore the index number problem, the new measure correctly reflects the changes in the welfare of households over time. An empirically operational approximation to the theoretical measure is provided and applied to US data. A major empirical finding is that US real financial wealth increased strongly in the 1980s, much more than is revealed by the market value of assets.

Prediction of the bulking phenomenon in wastewater treatment plants

The control and prediction of wastewater treatment plants poses an important goal: to avoid breaking the environmental balance by always keeping the system in stable operating conditions. It is known that qualitative information — coming from microscopic examinations and subjective remarks — has a deep influence on the activated sludge process. In particular, on the total amount of effluent suspended solids, one of the measures of overall plant performance. The search for an input–output model of this variable and the prediction of sudden increases (bulking episodes) is thus a central concern to ensure the fulfillment of current discharge limitations. Unfortunately, the strong interrelationbetween variables, their heterogeneity and the very high amount of missing information makes the use of traditional techniques difficult, or even impossible. Through the combined use of several methods — rough set theory and artificial neural networks, mainly — reasonable prediction models are found, which also serve to show the different importance of variables and provide insight into the process dynamics

Specialisation in Europe and asymmetric shocks: potential risks of EMU

Most optimistic views, based on Optimum Currency Areas (OCA) literature, have concluded that the probability of asymmetric shocks to occur at anational level will tend to diminish in the Economic and Monetary Union (EMU)as a result of the intensification of the integration process during the most recent years. Therefore, since Economic Geography Theories predict a higherspecialisation of regions, it is expected that asymmetric shocks will increase.Previous studies have examined to what extent asymmetric shocks have been relevant in the past using, mainly, static measures of asymmetries such as the correlation coefficients between series of shocks previously calculated from astructural VAR model (Bayoumi and Eichengreen, 1992).In this paper, we study the evolution of manufacturing specific asymmetries in Europe from a dynamic point of view (applying the modelproposed by Haldane and Hall, 1991) in order to obtain new evidence about potential risks of EMU.

A theoretical and practical study on linear reforms of dual taxes

[cat] En aquest treball extenem les reformes lineals introduïdes per Pfähler (1984) al cas d’impostos duals. Estudiem l’efecte relatiu que els retalls lineals duals d’un impost dual tenen sobre la distribució de la desigualtat -es pot fer un estudi simètric per al cas d’augments d’impostos-. Tambe introduïm mesures del grau de progressivitat d’impostos duals i mostrem que estan connectades amb el criteri de dominació de Lorenz. Addicionalment, estudiem l’elasticitat de la càrrega fiscal de cadascuna de les reformes proposades. Finalment, gràcies a un model de microsimulació i una gran base de dades que conté informació sobre l’IRPF espanyol de l’any 2004, 1) comparem l’efecte que diferents reformes tindrien sobre l’impost dual espanyol i 2) estudiem quina redistribució de la riquesa va suposar la reforma dual de l’IRPF (Llei ’35/2006’) respecte l’anterior impost.

Specialisation in Europe and asymmetric shocks: potential risks of EMU

Most optimistic views, based on Optimum Currency Areas (OCA) literature, have concluded that the probability of asymmetric shocks to occur at anational level will tend to diminish in the Economic and Monetary Union (EMU)as a result of the intensification of the integration process during the most recent years. Therefore, since Economic Geography Theories predict a higherspecialisation of regions, it is expected that asymmetric shocks will increase.Previous studies have examined to what extent asymmetric shocks have been relevant in the past using, mainly, static measures of asymmetries such as the correlation coefficients between series of shocks previously calculated from astructural VAR model (Bayoumi and Eichengreen, 1992).In this paper, we study the evolution of manufacturing specific asymmetries in Europe from a dynamic point of view (applying the modelproposed by Haldane and Hall, 1991) in order to obtain new evidence about potential risks of EMU.

A theoretical and practical study on linear reforms of dual taxes

[cat] En aquest treball extenem les reformes lineals introduïdes per Pfähler (1984) al cas d’impostos duals. Estudiem l’efecte relatiu que els retalls lineals duals d’un impost dual tenen sobre la distribució de la desigualtat -es pot fer un estudi simètric per al cas d’augments d’impostos-. Tambe introduïm mesures del grau de progressivitat d’impostos duals i mostrem que estan connectades amb el criteri de dominació de Lorenz. Addicionalment, estudiem l’elasticitat de la càrrega fiscal de cadascuna de les reformes proposades. Finalment, gràcies a un model de microsimulació i una gran base de dades que conté informació sobre l’IRPF espanyol de l’any 2004, 1) comparem l’efecte que diferents reformes tindrien sobre l’impost dual espanyol i 2) estudiem quina redistribució de la riquesa va suposar la reforma dual de l’IRPF (Llei ’35/2006’) respecte l’anterior impost.

Semiquantitative RT-PCR measurement of gene expression in rat tissues including a correction for varying cell size and number

Background: Current methodology of gene expression analysis limits the possibilities of comparison between cells/tissues of organs in which cell size and/or number changes as a consequence of the study (e.g. starvation). A method relating the abundance of specific mRNA copies per cell may allow direct comparison or different organs and/or changing physiological conditions. Methods: With a number of selected genes, we analysed the relationship of the number of bases and the fluorescence recorded at a present level using cDNA standards. A lineal relationship was found between the final number of bases and the length of the transcript. The constants of this equation and those of the relationship between fluorescence and number of bases in cDNA were determined and a general equation linking the length of the transcript and the initial number of copies of mRNA was deduced for a given pre-established fluorescence setting. This allowed the calculation of the concentration of the corresponding mRNAs per g of tissue. The inclusion of tissue RNA and the DNA content per cell, allowed the calculation of the mRNA copies per cell. Results: The application of this procedure to six genes: Arbp, cyclophilin, ChREBP, T4 deiodinase 2, acetyl-CoA carboxylase 1 and IRS-1, in liver and retroperitoneal adipose tissue of food-restricted rats allowed precise measures of their changes irrespective of the shrinking of the tissue, the loss of cells or changes in cell size, factors that deeply complicate the comparison between changing tissue conditions. The percentage results obtained with the present methods were essentially the same obtained with the delta-delta procedure and with individual cDNA standard curve quantitative RT-PCR estimation. Conclusion: The method presented allows the comparison (i.e. as copies of mRNA per cell) between different genes and tissues, establishing the degree of abundance of the different molecular species tested.

Agreement in interpersonal perception as a predictor of group performance

The present work deals with quantifying group characteristics. Specifically, dyadic measures of interpersonal perceptions were used to forecast group performance. 46 groups of students, 24 of four and 22 of five people, were studied in a real educational assignment context and marks were gathered as an indicator of group performance. Our results show that dyadic measures of interpersonal perceptions account for final marks. By means of linear regression analysis 85% and 85.6% of group performance was respectively explained for group sizes equal to four and five. Results found in the scientific literature based on the individualistic approach are no larger than 18%. The results of the present study support the utility of dyadic approaches for predicting group performance in social contexts.

Regional economic growth and human capital: the role of overeducation

This article analyses the link between human capital and regional economic growth in the European Union. Using various indicators of human capital calculated from census microdata, we conclude that the recent economic performance of European regions is associated with an increase in overeducation. In fact, measures of educational mismatch seem to be more strongly connected to regional economic performance than do other traditional measures of human capital stock.

Cross-validation of methods used for analysis of MTBE and other gasoline components in groundwater.

Head space gas chromatography with flame-ionization detection (HS-GC-FID), ancl purge and trap gas chromatography-mass spectrometry (P&T-GC-MS) have been used to determine methyl-tert-butyl ether (MTBE) and benzene, toluene, and the ylenes (BTEX) in groundwater. In the work discussed in this paper measures of quality, e.g. recovery (94-111%), precision (4.6 - 12.2%), limits of detection (0.3 - 5.7 I~g L 1 for HS and 0.001 I~g L 1 for PT), and robust-ness, for both methods were compared. In addition, for purposes of comparison, groundwater samples from areas suffering from odor problems because of fuel spillage and tank leakage were analyzed by use of both techniques. For high concentration levels there was good correlation between results from both methods.

Assessment of insecticide resistance in eggs and neonate larvae of Cydia pomonella (Lepidoptera: Tortricidae)

Spanish Cydia pomonella (L.) field populations have developed resistance to several insecticide groups. Diagnostic concentrations were established as the LC90 calculated on a susceptible strain (S_Spain) for five and seven insecticides and tested on eggs and neonate larvae field populations, respectively. The three most relevant enzymatic detoxification systems (mixed-function oxidases (MFO), glutathione S-tranferases (GST) and esterases (EST)) were studied for neonate larvae. In eggs, 96% of the field populations showed a significantly lower efficacy when compared with the susceptible strain (S_Spain) and the most effective insecticides were fenoxycarb and thiacloprid. In neonate larvae, a significant loss of susceptibility to the insecticides was detected. Flufenoxuron, azinphos-methyl and phosmet showed the lowest efficacy, while lambda-cyhalothrin, alpha-cypermethrin and chlorpyrifos-ethyl showed the highest. Biochemical assays showed that the most important enzymatic system involved in insecticide detoxification was MFO, with highest enzymatic activity ratios (5.1–16.6 for neonates from nine field populations). An enhanced GST and EST activities was detected in one field population, with enzymatic activity ratios of threefold and fivefold for GST and EST, respectively, when compared with the susceptible strain. The insecticide bioassays showed that the LC90 used were effective as diagnostic concentrations. Measures of MFO activity alongside bioassays with insecticide diagnostic concentrations could be used as tools for monitoring insecticide resistance in neonate larvae of C. pomonella.