Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Interest rates mapping

The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Exploratory data analysis includes a variety of tools widely used in econophysics and geostatistics. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and pattern perception purposes, to develop and to explore economical hypotheses, to produce dynamic asset-liability simulations and for financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well. (C) 2008 Elsevier B.V. All rights reserved.

Le renouveau des antagonistes de l'atdostérone [The revived interest in aldosterone antagonists]

Aldosterone plays a pivotal role in sodium and water homeostasis, in particular in patients with heart failure or high blood pressure. These medications, when used on top of a standard therapy, improve the outcome of patients with heart failure and are also effective in lowering blood pressure of hypertensive patients. The major risk associated with the use of these antagonists is hyperkalemia, which can be prevented in avoiding their prescription in patients with impaired renal function. Eplerenone has the advantage, compared with spironolactone, to be better tolerated in terms of "hormonal" adverse effects.

Three essays on the determinants of output, inflation and interest rates

Résumé: Output, inflation and interest rates are key macroeconomic variables, in particular for monetary policy. In modern macroeconomic models they are driven by random shocks which feed through the economy in various ways. Models differ in the nature of shocks and their transmission mechanisms. This is the common theme underlying the three essays of this thesis. Each essay takes a different perspective on the subject: First, the thesis shows empirically how different shocks lead to different behavior of interest rates over the business cycle. For commonly analyzed shocks (technology and monetary policy errors), the patterns square with standard models. The big unknown are sources of inflation persistence. Then the thesis presents a theory of monetary policy, when the central bank can better observe structural shocks than the public. The public will then seek to infer the bank's extra knowledge from its policy actions and expectation management becomes a key factor of optimal policy. In a simple New Keynesian model, monetary policy becomes more concerned with inflation persistence than otherwise. Finally, the thesis points to the huge uncertainties involved in estimating the responses to structural shocks with permanent effects.

Accuracy of cognitive MRI-targeted biopsy in hitting prostate cancer-positive regions of interest.

PURPOSE: Prostate cancer (PCa) diagnosis relies on clinical suspicion leading to systematic transrectal ultrasound-guided biopsy (TRUSGB). Multiparametric magnetic resonance imaging (mpMRI) allows for targeted biopsy of suspicious areas of the prostate instead of random 12-core biopsy. This method has been shown to be more accurate in detecting significant PCa. However, the precise spatial accuracy of cognitive targeting is unknown. METHODS: Consecutive patients undergoing mpMRI-targeted TRUSGB with cognitive registration (MRTB-COG) followed by robot-assisted radical prostatectomy were included in the present analysis. The regions of interest (ROIs) involved by the index lesion reported on mpMRI were subsequently targeted by two experienced urologists using the cognitive approach. The 27 ROIs were used as spatial reference. Mapping on radical prostatectomy specimen was used as reference to determine true-positive mpMRI findings. Per core correlation analysis was performed. RESULTS: Forty patients were included. Overall, 40 index lesions involving 137 ROIs (mean ROIs per index lesion 3.43) were identified on MRI. After correlating these findings with final pathology, 117 ROIs (85 %) were considered as true-positive lesions. A total of 102 biopsy cores directed toward such true-positive ROIs were available for final analysis. Cognitive targeted biopsy hit the target in 82 % of the cases (84/102). The only identified risk factor for missing the target was an anterior situated ROI (p = 0.01). CONCLUSION: In experienced hands, cognitive MRTB-COG allows for an accuracy of 82 % in hitting the correct target, given that it is a true-positive lesion. Anterior tumors are less likely to be successfully targeted.