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.

Reactive rise in blood pressure upon cuff inflation : cuff inflation at the arm causes a greater rise in pressure than at the wrist in hypertensive patients

Résumé en français: Il est admis que l'inflation d'une manchette à pression au niveau du bras engendre une augmentation réactionnelle de la tension artérielle qui peut être le résultat d'une gêne lors de l'inflation et peut diminuer la précision de la mesure. Dans cette étude, nous comparons séquentiellement l'augmentation de la tension artérielle lorsque la manchette à pression est positionnée au niveau du bras et au niveau du poignet. Nous avons étudié un collectif de 34 participants normotendus et 34 patients hypertendus. Chacun d'eux était équipé de deux manchettes à pression, l'une au niveau du bras et l'autre au niveau du poignet. Nous avons randomisé l'ordre d'inflation des manchettes ainsi que la pression d'inflation maximale (180mmHg versus 240mmHg). Trois mesures étaient effectuées pour chaque pression d'inflation maximale, ceci au bras comme poignet, et leur séquence était également randomisée. En parallèle, un enregistrement continu de la tension artérielle avait lieu au niveau du majeur de la main opposée à l'aide d'un photoplethysmographe. Cette valeur était considérée comme la valeur de tension artérielle au repos. Pour les participants normotendus, aucune différence statistiquement significative n'a pu être mise en évidence en lien avec la position de la manchette à pression, ceci indépendamment de la pression d'inflation maximale. Variation de la pression systolique à 180 mmHg: 4.3+/-3.0 mmHg au bras et 3.7+/-2.9 mmHg au poignet (p=ns), à 240 mmHg: 5.5+/-3.9 au bras et 4.2+/-2.7 mmHg au poignet (p=0.052). En revanche, concernant les patients hypertendus, une augmentation significative de la tension artérielle a été mise en évidence entre le bras et le poignet. Ceci pour les valeurs de tension artérielle systolique et diastolique et quelle que soit la pression d'inflation maximale utilisée. Augmentation de la pression artérielle systolique 6.513.5 mmHg au bras et 3.812.1mmHg au poignet pour une pression d'inflation maximale de 180 mmHg (p<0.01) et respectivement 6.413.5 mmHg et 4.713.0 mmHg pour 240 mmHg (p=0.01). L'augmentation des valeurs de tension artérielle était indépendante de la valeur tensionnelle de base. Ces résultats montrent que les patients hypertendus réagissent significativement moins à l'inflation d'une manchette ä pression lorsque celle-ci est positionnée au niveau du poignet par rapport au bras, ceci indépendamment des valeurs de tension artérielle de base des patients. Nous pouvons donc suggérer que l'inflation d'une manchette à pression cause moins de désagrément lorsqu'elle est placée au niveau du poignet, notamment chez les patients hypertendus et qu'elle peut être une alternative à la mesure standard au niveau du bras.

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.

Reactive rise in blood pressure upon cuff inflation: cuff inflation at the arm causes a greater rise in pressure than at the wrist in hypertensive patients.

OBJECTIVE: Cuff inflation at the arm is known to cause an instantaneous rise in blood pressure, which might be due to the discomfort of the procedure and might interfere with the precision of the blood pressure measurement. In this study, we compared the reactive rise in blood pressure induced by cuff inflation when the cuff was placed at the upper arm level and at the wrist. PARTICIPANTS AND METHODS: The reactive rise in systolic and diastolic blood pressure to cuff inflation was measured in 34 normotensive participants and 34 hypertensive patients. Each participant was equipped with two cuffs, one around the right upper arm (OMRON HEM-CR19, 22-32 cm) and one around the right wrist (OMRON HEM-CS 19, 17-22 cm; Omron Health Care Europe BV, Hoofddorp, The Netherlands). The cuffs were inflated in a double random order (maximal cuff pressure and position of the cuff) with two maximal cuff pressures: 180 and 240 mmHg. The cuffs were linked to an oscillometric device (OMRON HEM 907; Omron Health Care). Simultaneously, blood pressure was measured continuously at the middle finger of the left hand using photoplethysmography. Three measurements were made at each level of blood pressure at the arm and at the wrist, and the sequence of measurements was randomized. RESULTS: In normotensive participants, no significant difference was observed in the reactive rise in blood pressure when the cuff was inflated either at the arm or at the wrist irrespective of the level of cuff inflation. Inflating a cuff at the arm, however, induced a significantly greater rise in blood pressure than inflating it at the wrist in hypertensive participants for both systolic and diastolic pressures (P<0.01), and at both levels of cuff inflation. The blood pressure response to cuff inflation was independent of baseline blood pressure. CONCLUSIONS: The results show that in hypertensive patients, cuff inflation at the wrist produces a smaller reactive rise in blood pressure. The difference between the arm and the wrist is independent of the patient's level of blood pressure.

Three essays on short-term macroeconomics : business fluctuations, large devaluations and inflation dynamics

Résumé: At least since the Great Depression, explaining why there are business fluctuations has been one of the biggest challenges that the science of economics has had to face. The hope is that if we could better understand recessions, then we could also be more successful in overcoming them. This dissertation consists of three papers that are part of the general endeavor of economists to understand these fluctuations. The first paper discusses, for a particular model, whether a result related to fluctuations would still hold if time were modeled as continuous rather than discrete. The two other papers focus on price stickiness. The second paper discusses why, after a large devaluation, prices of non-tradables may change by only a small amount in comparison to the magnitude of the devaluation. The third paper examines price adjustment in a model in which information is imperfect and it is costly to change prices.

PulseCath iVAC 3LTM hemodynamic performance for simple assisted flow.

The PulseCath iVAC 3L? left ventricular assist device is an option to treat transitory left heart failure or dysfunction post-cardiac surgery. Assisted blood flow should reach up to 3 l/min. In the present in vitro model exact pump flow, depending on various frequencies and afterload was examined. Optimal flow was achieved with inflation/deflation frequencies of about 70-80/min. The maximal flow rate was achieved at about 2.5 l/min with a minimal afterload of 22 mmHg. Handling of the device was easy due to the connection to a standard intra-aortic balloon pump console. With increasing afterload (up to a simulated mean systemic pressure of 66 mmHg) flow rate and cardiac support are in some extent limited.

Modified 'dumbbell' technique: a simple and intuitive method to position balloon-expandable stent valves.

Intraoperative cardiac imaging plays a key role during transcatheter aortic valve replacement. In recent years, new techniques and new tools for improved image quality and virtual navigation have been proposed, in order to simplify and standardize stent valve positioning and implantation. But routine performance of the new techniques may require major economic investments or specific knowledge and skills and, for this reason, they may not be accessible to the majority of cardiac centres involved in transcatheter valve replacement projects. Additionally, they still require injections of contrast medium to obtain computed images. Therefore, we have developed and describe here a very simple and intuitive method of positioning balloon-expandable stent valves, which represents the evolution of the 'dumbbell' technique for echocardiography-guided transcatheter valve replacement without angiography. This method, based on the partial inflation of the balloon catheter during positioning, traps the crimped valve in the aortic valve orifice and, consequently, very near to the ideal landing zone. It does not require specific echocardiographic knowledge; it does not require angiographies that increase the risk of postoperative kidney failure in elderly patients, and it can be also performed in centres not equipped with a hybrid operating room.

Le cérémonial princier à la cour de Savoie (1490-1550) : entre stratégies dynastiques et représentation du pouvoir

Au tournant du XVIe siècle, dans la plupart des cours princières européennes, le cérémonial connut une inflation sans précédent : les rituels touchant le monarque et sa famille se mirent à faire l'objet de célébrations de plus en plus élaborées, rapportées par une documentation à l'ampleur jusqu'alors inédite. C'est ce phénomène que cette thèse se propose d'analyser, en étudiant l'ensemble des cérémonies produites par un Etat particulier lors d'une période donnée - soit le duché de Savoie des années 1490 à 1550. Une recherche qui s'articule essentiellement autour de deux problématiques : la manière dont les cérémonies devinrent, d'une part, les principaux vecteurs de la mise en scène du pouvoir princier et, d'autre part, une incarnation concrète des stratégies dynastiques de la famille régnante. En un mot : comment les rituels furent utilisés comme instruments de gouvernement. Ce travail s'attelle à reconstituer en détail le déroulement et les enjeux propres à cinq genres de célébrations (les mariages, les joyeuses entrées, les baptêmes, les funérailles et les rituels liés aux ordres de chevalerie), pour ensuite réunir et comparer les résultats obtenus dans une perspective plus large, en vue de considérer le cérémonial de cour comme un tout. Il s'agit d'une démarche novatrice, car si les différents types de cérémonies princières ont chacun fait l'objet d'une abondante littérature, ils n'ont jamais véritablement été envisagés en interaction les uns avec les autres, du moins pour l'époque médiévale. Cette optique comparatiste, d'abord appliquée au champ de recherche spécifique constitué par la Savoie de la première moitié du XVIe siècle, permet ensuite une plus ample réflexion sur le cérémonial princier de la fin du Moyen Age et du début de l'époque moderne, en particulier dans l'espace francophone (Savoie, France, Bourgogne). La présente étude accorde en outre un intérêt tout particulier à un genre littéraire qui apparut à la fin du XVe siècle et connut une fortune croissante au cours des siècles suivants : les 'récits de cérémonie', soit des textes de propagande voués à relater dans leurs moindres détails des célébrations princières. Ce genre documentaire a jusqu'ici été peu étudié - et seulement pour l'époque moderne. En conséquence, cette thèse s'applique à retracer l'apparition de ces récits dans les cours princières occidentales et à proposer une typographie de leurs exemplaires les plus anciens. Enfin, le choix du cadre temporel et géographique de ce travail permet de combler partiellement un vide historiographique. Le duché de Savoie, très bien étudié jusqu'au milieu du XVe siècle et dès le milieu du XVIe siècle, n'a en effet que peu intéressé les chercheurs pour la centaine d'années s'étendant de 1450 à 1550. Sans avoir la prétention de pallier cette lacune, cette recherche offre une reconstitution précise de l'histoire du duché savoyard à la Renaissance, en particulier durant le principat du duc Charles II de Savoie (1504-1553).

Anaesthesia for electroconvulsive therapy: time for a change?

Introduction: Electroconvulsive therapy (ECT) may be used to treat severe depression and needs a specific general anaesthesia. Important cardiovascular changes occur during the ECT with a parasympathetic induced bradycardia followed by a sympathetic response. A dedicated protocol was designed 6 years ago. The goal of this study was to analyse the management of anaesthesia for ECT in our institution, the adherence to the protocol and the occurrence of adverse events during anaesthesia. Methods: After Institutional Ethics Committee approval, we conducted a retrospective analysis of our anaesthesia protocol for patients scheduled for electroshock therapy during a five years period (2004- 2008). The protocol includes administration of atropine subcutaneously 30 minutes before the procedure, followed by general anaesthesia induced with etomidate (0.2 mg/kg). Suxamethonium (1 mg/kg) is administered after the inflation of a pneumatic tourniquet on the opposite arm, in order to observe the electroshocks convulsive effects. The psychiatrist initiates the convulsive crisis once curarisation is achieved. Face mask ventilation is then applied during the post-ictal phase with closed blood pressure monitoring. : 228 ECT were performed in 25 patients. The median dosage of etomidate was 0.37 mg/kg and suxamethonium 1.20 mg/kg. Hypertension during the ECT procedure was present in 62.7% of cases, tachycardia 23.2% and bradycardia 10.5%. Esmolol was administered in 73.4% of hypertensive patients in a range of 0 to 30 mg. The protocol was followed in half of the cases in regards to atropine administration (50.4%). We observed a significant increase of hypertension (73.9%, p = 0.001) after atropine administration, without effect on heart rate. Conclusions: The management of anaesthesia for ECT is specific and follows a predefined protocol in our institution. Adherence to our protocol was poor. Adverse events are frequent and significant association between the administration of atropine and the incidence of hypertension as well as poor protocol adherence implies reconsideration of our anaesthesia protocol for electroconvulsive therapy and better quality control of the clinical practice.

Three essays in international finance

Executive Summary The first essay of this dissertation investigates whether greater exchange rate uncertainty (i.e., variation over time in the exchange rate) fosters or depresses the foreign investment of multinational firms. In addition to the direct capital financing it supplies, foreign investment can be a source of valuable technology and know-how, which can have substantial positive effects on a host country's economic growth. Thus, it is critically important for policy makers and central bankers, among others, to understand how multinationals base their investment decisions on the characteristics of foreign exchange markets. In this essay, I first develop a theoretical framework to improve our knowledge regarding how the aggregate level of foreign investment responds to exchange rate uncertainty when an economy consists of many firms, each of which is making decisions. The analysis predicts a U-shaped effect of exchange rate uncertainty on the total level of foreign investment of the economy. That is, the effect is negative for low levels of uncertainty and positive for higher levels of uncertainty. This pattern emerges because the relationship between exchange rate volatility and 'the probability of investment is negative for firms with low productivity at home (i.e., firms that find it profitable to invest abroad) and the relationship is positive for firms with high productivity at home (i.e., firms that prefer exporting their product). This finding stands in sharp contrast to predictions in the existing literature that consider a single firm's decision to invest in a unique project. The main contribution of this research is to show that the aggregation over many firms produces a U-shaped pattern between exchange rate uncertainty and the probability of investment. Using data from industrialized countries for the period of 1982-2002, this essay offers a comprehensive empirical analysis that provides evidence in support of the theoretical prediction. In the second essay, I aim to explain the time variation in sovereign credit risk, which captures the risk that a government may be unable to repay its debt. The importance of correctly evaluating such a risk is illustrated by the central role of sovereign debt in previous international lending crises. In addition, sovereign debt is the largest asset class in emerging markets. In this essay, I provide a pricing formula for the evaluation of sovereign credit risk in which the decision to default on sovereign debt is made by the government. The pricing formula explains the variation across time in daily credit spreads - a widely used measure of credit risk - to a degree not offered by existing theoretical and empirical models. I use information on a country's stock market to compute the prevailing sovereign credit spread in that country. The pricing formula explains a substantial fraction of the time variation in daily credit spread changes for Brazil, Mexico, Peru, and Russia for the 1998-2008 period, particularly during the recent subprime crisis. I also show that when a government incentive to default is allowed to depend on current economic conditions, one can best explain the level of credit spreads, especially during the recent period of financial distress. In the third essay, I show that the risk of sovereign default abroad can produce adverse consequences for the U.S. equity market through a decrease in returns and an increase in volatility. The risk of sovereign default, which is no longer limited to emerging economies, has recently become a major concern for financial markets. While sovereign debt plays an increasing role in today's financial environment, the effects of sovereign credit risk on the U.S. financial markets have been largely ignored in the literature. In this essay, I develop a theoretical framework that explores how the risk of sovereign default abroad helps explain the level and the volatility of U.S. equity returns. The intuition for this effect is that negative economic shocks deteriorate the fiscal situation of foreign governments, thereby increasing the risk of a sovereign default that would trigger a local contraction in economic growth. The increased risk of an economic slowdown abroad amplifies the direct effect of these shocks on the level and the volatility of equity returns in the U.S. through two channels. The first channel involves a decrease in the future earnings of U.S. exporters resulting from unfavorable adjustments to the exchange rate. The second channel involves investors' incentives to rebalance their portfolios toward safer assets, which depresses U.S. equity prices. An empirical estimation of the model with monthly data for the 1994-2008 period provides evidence that the risk of sovereign default abroad generates a strong leverage effect during economic downturns, which helps to substantially explain the level and the volatility of U.S. equity returns.

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The chapter provides an account of the changing role played by active labour market policies (ALMPs) in Europe since the post-war years. Focusing on six countries (Sweden, Denmark, France, Germany, Italy, and the United Kingdom), it shows that the role of ALMPs is related to the broad economic situation. At times of rapid expansion and labour shortage, like the 1950s and 1960s, their key objective was to upskill the workforce. After the oil shocks of the 1970s, the raison d'être of ALMPs shifted from economic to social policy, and since the mid-1990s, we see the development of a new function, well captured by the notion of activation, which refers to the strengthening of work incentives and the removal of obstacles to employment, mostly for low-skilled people. The adequacy between economic context and policy is not always optimal, though. Like other ones, this policy domain suffers from inertia, with the result that the countries that have led the way in one period have more difficulty adapting to the economic conditions prevailing in the following one.

Total aortic arch stenting--hemodynamical impact of carotid artery perfusion.

The aim of this experimental study is to evaluate the feasibility and the outcome of total endovascular stent implantation in the aortic arch. Indications for this operation-technique would be acute or chronic dissection of the aortic arch (non-A-non-B dissection) or type B dissection with retrograde extension. Four pigs were canulated via the distal abdominal aorta and a retrograde placement of a Djumbodis arch stent (4-9 cm) was controlled by using intravascular ultrasound and intracardiac ultrasound by the inferior cava vein and under radioscopic control. Cerebral perfusion, by using a flow meter placed on one prepared carotid artery, were controlled before, immediate post-procedural (<1 min), and in the early follow-up after aortic arch stent implantation. During the implantation process, especially during balloon inflation and deflation, mean carotid perfusion decreases slightly. A reactive increase of carotid perfusion after stent placements indicates transitory cerebral hypo-perfusion. Non-covered aortic arch stent implantation is technically feasible and could be a potential treatment option in otherwise inoperable arch dissections. The time required for balloon inflation and deflation causes an important risk of cerebral ischemia. The latter can be reduced by transaxillary perfusion.