Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Social network architecture and the maintenance of deleterious cultural traits.

How have changes in communications technology affected the way that misinformation spreads through a population and persists? To what extent do differences in the architecture of social networks affect the spread of misinformation, relative to the rates and rules by which individuals transmit or eliminate different pieces of information (cultural traits)? Here, we use analytical models and individual-based simulations to study how a 'cultural load' of misinformation can be maintained in a population under a balance between social transmission and selective elimination of cultural traits with low intrinsic value. While considerable research has explored how network architecture affects percolation processes, we find that the relative rates at which individuals transmit or eliminate traits can have much more profound impacts on the cultural load than differences in network architecture. In particular, the cultural load is insensitive to correlations between an individual's network degree and rate of elimination when these quantities vary among individuals. Taken together, these results suggest that changes in communications technology may have influenced cultural evolution more strongly through changes in the amount of information flow, rather than the details of who is connected to whom.

Novel action of a wake-promoting neuropeptide in hippocampus : inhibition of nmda receptor function at excitatory synapses through orexin-a

One of the most intriguing functions of the brain is the ability to learn and memorize. The mechanism through which memory and learning are expressed requires the activation of NMDA receptors (NMDARs). These molecular entities are placed at the postsynaptic density of excitatory synapses and their function is tightly controlled by the actions of several modulators at the extracellular, intracellular and pore sites. A large part of the intracellular modulation comes from the action of G-protein coupled receptors (GPCRs). Through intracellular cascades typically involving kinases and phosphatases, GPCRs potentiate or inhibit NMDARs, controlling the conductive state but also the trafficking within the synapse. The GPCRs are involved in the modulation of a variety of brain functions. Many of them control cognition, memory and learning performance, therefore, their effects on NMDARs are extensively studied. The orexinergic system signals through GPCRs and it is well known for the regulation of waking, feeding, reward and autonomic functions. Moreover, it is involved in potentiating hippocampus-related cognitive tasks. Orexin receptors and fibers are present within the hippocampus, but whether these directly modulate hippocampal cells and synapses has not yet been determined. During my thesis, I studied orexinergic actions on excitatory synaptic transmission via whole-cell patch-clamp recordings in rat acute hippocampal slices. I observed that exogenously applied orexin-A (ox-A) exerted a strong inhibitory action on NMDAR-mediated synaptic potentials at mossy fiber (MF)-CA3 synapses, by postsynaptically activating orexin-2 receptors, a minor inhibition at Schaffer collateral-CAl synapses and did not affect other synapses with the CA3 area. Moreover, I demonstrated that the susceptibility of NMDARs to ox- A depends on the tone of endogenous orexin known to fluctuate during the day-night cycle. In fact, in slices prepared during the active period of the rats, when endogenous orexin levels are high, NMDAR-currents were not affected by exogenously applied ox-A. The inhibitory effect of ox-A was, however, reverted when interfering with the orexinergic system through intraperitoneal injections of almorexant, a dual orexin receptor antagonist, during the active phase prior to slice preparation. This thesis work suggests that the orexinergic system regulates NMDAR-dependent information flow through select hippocampal pathways depending on the time-of-day. The specific orexinergic modulation of NMDARs at MFs dampens the excitability of the hippocampal circuit and could impede the mechanisms related to memory formation, possibly also following extended periods of waking. -- La capacité d'apprentissage et de mémorisation est une des fonctions les plus intrigantes de notre cerveau. Il a été montré qu'elles requièrent l'activation des récepteurs NMDA (NMDARs). Ces entités moléculaires sont présentes au niveau de la densité post-synaptique des synapses excitatrices et leur fonction est étroitement contrôlée par l'action de nombreux modulateurs au niveau extracellulaire, intracellulaire et membranaire de ces récepteurs. Une grande partie de la modulation intracellulaire s'effectue via l'action de récepteurs couplés aux protéines G (GPCRs). Grace à leurs cascades intracellulaires typiquement impliquant des kinases et des phosphatases, les GPCRs favorisent l'activation ou l'inhibition des NMDARs, contrôlant ainsi leur perméabilité mais aussi leur mouvement à la synapse. Les GPCRs sont impliquées dans de nombreuses fonctions cérébrales telles que la cognition, la mémoire ainsi que la capacité d'apprentissage c'est pour cela que leurs effets sur les NMDARs sont très étudiés. Le système orexinergique fait intervenir ces GPCRs et est connu par son rôle dans la régulation de fonctions physiologiques telles que l'éveil, la prise alimentaire, la récompense ainsi que d'autres fonctions du système nerveux autonome. De plus, ce système est impliqué dans la régulation de tâches cognitives liées à l'hippocampe. Bien que les fibres et les récepteurs à l'orexine soient présents dans l'hippocampe, leur mécanisme d'action sur les cellules et les synapses de l'hippocampe n'a pas encore été élucidé. Durant ma thèse, je me suis intéressée aux effets de l'orexine sur la transmission synaptique excitatrice en utilisant la méthode d'enregistrement en patch-clamp en configuration cellule entière sur des tranches aiguës d'hippocampes de rats. J'ai observé que l'application exogène d'orexine A d'une part inhibe fortement les courants synaptiques dépendants de l'activation des NMDARs au niveau de la synapse entre les fibres moussues et CA3 via l'activation post-synaptique des orexine récepteurs 2 mais d'autre part n'inhibe que de façon mineure la synapse entre les collatérales de Schaffer et CAI et n'affecte pas les autres synapses impliquant CA3. J'ai également démontré que la sensibilité des NMDARs à l'orexine A dépend de sa concentration endogène qui fluctue durant le cycle éveil-sommeil. En effet, lorsque les coupes d'hippocampes sont préparées durant la période active de l'animal correspondant à un niveau endogène d'orexine élevé, l'application exogène d'orexine A n'a aucun effet sur les courants dépendants de l'activation des NMDARs. Cependant, l'injection dans le péritoine, durant la phase active de l'animal, d'un antagoniste des orexine récepteurs, l'almorexant, va supprimer l'effet inhibiteur de l'orexine A. Les résultats de ma thèse suggèrent donc que le système orexinergique module les informations véhiculées par les NMDARs via des voies de signalisation sélectives de l'hippocampe en fonction du moment de la journée. La modulation orexinergique des NMDARs au niveau des fibres moussues diminue ainsi l'excitabilité du circuit hippocampal et pourrait entraver les mécanismes liés à la formation de la mémoire, potentiellement après de longues périodes d'éveil.

Médecine interne générale ambulatoire: quelques enseignements de la littérature en 2005 [Primary care in general internal medicine: relevant information in 2005]

During the year 2005, the chief residents of the University Medical Outpatient Clinic of Lausanne have done a database of useful articles for daily practice, scientifically validated and with excellent didactic quality, from 10 electronic journals. They have used those selected articles in personal meetings between the chief residents on a regular basis and the possibility to access the database by the junior physicians. Six of these articles concerning different topics (depression, tuberculosis detection, anticoagulation at home, cholinesterase inhibitors, insomnia and therapies, transdermal nitroglycerin and tendinopathies) are presented.

Comparative cost-effectiveness analyses of cardiovascular magnetic resonance and coronary angiography combined with fractional flow reserve for the diagnosis of coronary artery disease.

BACKGROUND: According to recent guidelines, patients with coronary artery disease (CAD) should undergo revascularization if significant myocardial ischemia is present. Both, cardiovascular magnetic resonance (CMR) and fractional flow reserve (FFR) allow for a reliable ischemia assessment and in combination with anatomical information provided by invasive coronary angiography (CXA), such a work-up sets the basis for a decision to revascularize or not. The cost-effectiveness ratio of these two strategies is compared. METHODS: Strategy 1) CMR to assess ischemia followed by CXA in ischemia-positive patients (CMR + CXA), Strategy 2) CXA followed by FFR in angiographically positive stenoses (CXA + FFR). The costs, evaluated from the third party payer perspective in Switzerland, Germany, the United Kingdom (UK), and the United States (US), included public prices of the different outpatient procedures and costs induced by procedural complications and by diagnostic errors. The effectiveness criterion was the correct identification of hemodynamically significant coronary lesion(s) (= significant CAD) complemented by full anatomical information. Test performances were derived from the published literature. Cost-effectiveness ratios for both strategies were compared for hypothetical cohorts with different pretest likelihood of significant CAD. RESULTS: CMR + CXA and CXA + FFR were equally cost-effective at a pretest likelihood of CAD of 62% in Switzerland, 65% in Germany, 83% in the UK, and 82% in the US with costs of CHF 5'794, euro 1'517, £ 2'680, and $ 2'179 per patient correctly diagnosed. Below these thresholds, CMR + CXA showed lower costs per patient correctly diagnosed than CXA + FFR. CONCLUSIONS: The CMR + CXA strategy is more cost-effective than CXA + FFR below a CAD prevalence of 62%, 65%, 83%, and 82% for the Swiss, the German, the UK, and the US health care systems, respectively. These findings may help to optimize resource utilization in the diagnosis of CAD.

Prognostic accuracy of cerebral blood flow measurement by perfusion computed tomography, at the time of emergency room admission, in acute stroke patients.

The purpose of this study was to determine the prognostic accuracy of perfusion computed tomography (CT), performed at the time of emergency room admission, in acute stroke patients. Accuracy was determined by comparison of perfusion CT with delayed magnetic resonance (MR) and by monitoring the evolution of each patient's clinical condition. Twenty-two acute stroke patients underwent perfusion CT covering four contiguous 10mm slices on admission, as well as delayed MR, performed after a median interval of 3 days after emergency room admission. Eight were treated with thrombolytic agents. Infarct size on the admission perfusion CT was compared with that on the delayed diffusion-weighted (DWI)-MR, chosen as the gold standard. Delayed magnetic resonance angiography and perfusion-weighted MR were used to detect recanalization. A potential recuperation ratio, defined as PRR = penumbra size/(penumbra size + infarct size) on the admission perfusion CT, was compared with the evolution in each patient's clinical condition, defined by the National Institutes of Health Stroke Scale (NIHSS). In the 8 cases with arterial recanalization, the size of the cerebral infarct on the delayed DWI-MR was larger than or equal to that of the infarct on the admission perfusion CT, but smaller than or equal to that of the ischemic lesion on the admission perfusion CT; and the observed improvement in the NIHSS correlated with the PRR (correlation coefficient = 0.833). In the 14 cases with persistent arterial occlusion, infarct size on the delayed DWI-MR correlated with ischemic lesion size on the admission perfusion CT (r = 0.958). In all 22 patients, the admission NIHSS correlated with the size of the ischemic area on the admission perfusion CT (r = 0.627). Based on these findings, we conclude that perfusion CT allows the accurate prediction of the final infarct size and the evaluation of clinical prognosis for acute stroke patients at the time of emergency evaluation. It may also provide information about the extent of the penumbra. Perfusion CT could therefore be a valuable tool in the early management of acute stroke patients.

Heterogeneity of human monocytes: an optimized four-color flow cytometry protocol for analysis of monocyte subsets.

Monocytes are central mediators in the development of atherosclerotic plaques. They circulate in blood and eventually migrate into tissue including the vessel wall where they give rise to macrophages and dendritic cells. The existence of monocyte subsets with distinct roles in homeostasis and inflammation suggests specialization of function. These subsets are identified based on expression of the CD14 and CD16 markers. Routinely applicable protocols remain elusive, however. Here, we present an optimized four-color flow cytometry protocol for analysis of human blood monocyte subsets using a specific PE-Cy5-conjugated monoclonal antibody (mAb) to HLA-DR, a PE-Cy7-conjugated mAb to CD14, a FITC-conjugated mAb to CD16, and PE-conjugated mAbs to additional markers relevant to monocyte function. Classical CD14(+)CD16(-) monocytes (here termed "Mo1" subset) expressed high CCR2, CD36, CD64, and CD62L, but low CX(3)CR1, whereas "nonclassical" CD14(lo)CD16(+) monocytes (Mo3) essentially showed the inverse expression pattern. CD14(+)CD16(+) monocytes (Mo2) expressed high HLA-DR, CD36, and CD64. In patients with stable coronary artery disease (n = 13), classical monocytes were decreased, whereas "nonclassical" monocytes were increased 90% compared with healthy subjects with angiographically normal coronary arteries (n = 14). Classical monocytes from CAD patients expressed higher CX(3)CR1 and CCR2 than controls. Thus, stable CAD is associated with expansion of the nonclassical monocyte subset and increased expression of inflammatory markers on monocytes. Flow cytometric analysis of monocyte subsets and marker expression may provide valuable information on vascular inflammation. This may translate into the identification of monocyte subsets as selective therapeutic targets, thus avoiding adverse events associated with indiscriminate monocyte inhibition.

Impact of a computerized physician order entry system on compliance with prescription accuracy requirements.

OBJECTIVE: To assess the change in non-compliant items in prescription orders following the implementation of a computerized physician order entry (CPOE) system named PreDiMed. SETTING: The department of internal medicine (39 and 38 beds) in two regional hospitals in Canton Vaud, Switzerland. METHOD: The prescription lines in 100 pre- and 100 post-implementation patients' files were classified according to three modes of administration (medicines for oral or other non-parenteral uses; medicines administered parenterally or via nasogastric tube; pro re nata (PRN), as needed) and analyzed for a number of relevant variables constitutive of medical prescriptions. MAIN OUTCOME MEASURE: The monitored variables depended on the pharmaceutical category and included mainly name of medicine, pharmaceutical form, posology and route of administration, diluting solution, flow rate and identification of prescriber. RESULTS: In 2,099 prescription lines, the total number of non-compliant items was 2,265 before CPOE implementation, or 1.079 non-compliant items per line. Two-thirds of these were due to missing information, and the remaining third to incomplete information. In 2,074 prescription lines post-CPOE implementation, the number of non-compliant items had decreased to 221, or 0.107 non-compliant item per line, a dramatic 10-fold decrease (chi(2) = 4615; P < 10(-6)). Limitations of the computerized system were the risk for erroneous items in some non-prefilled fields and ambiguity due to a field with doses shown on commercial products. CONCLUSION: The deployment of PreDiMed in two departments of internal medicine has led to a major improvement in formal aspects of physicians' prescriptions. Some limitations of the first version of PreDiMed were unveiled and are being corrected.

Debris flow hazard modelling on medium scale: Valtellina di Tirano, Italy

Debris flow hazard modelling at medium (regional) scale has been subject of various studies in recent years. In this study, hazard zonation was carried out, incorporating information about debris flow initiation probability (spatial and temporal), and the delimitation of the potential runout areas. Debris flow hazard zonation was carried out in the area of the Consortium of Mountain Municipalities of Valtellina di Tirano (Central Alps, Italy). The complexity of the phenomenon, the scale of the study, the variability of local conditioning factors, and the lacking data limited the use of process-based models for the runout zone delimitation. Firstly, a map of hazard initiation probabilities was prepared for the study area, based on the available susceptibility zoning information, and the analysis of two sets of aerial photographs for the temporal probability estimation. Afterwards, the hazard initiation map was used as one of the inputs for an empirical GIS-based model (Flow-R), developed at the University of Lausanne (Switzerland). An estimation of the debris flow magnitude was neglected as the main aim of the analysis was to prepare a debris flow hazard map at medium scale. A digital elevation model, with a 10 m resolution, was used together with landuse, geology and debris flow hazard initiation maps as inputs of the Flow-R model to restrict potential areas within each hazard initiation probability class to locations where debris flows are most likely to initiate. Afterwards, runout areas were calculated using multiple flow direction and energy based algorithms. Maximum probable runout zones were calibrated using documented past events and aerial photographs. Finally, two debris flow hazard maps were prepared. The first simply delimits five hazard zones, while the second incorporates the information about debris flow spreading direction probabilities, showing areas more likely to be affected by future debris flows. Limitations of the modelling arise mainly from the models applied and analysis scale, which are neglecting local controlling factors of debris flow hazard. The presented approach of debris flow hazard analysis, associating automatic detection of the source areas and a simple assessment of the debris flow spreading, provided results for consequent hazard and risk studies. However, for the validation and transferability of the parameters and results to other study areas, more testing is needed.

Animal model to compare the effects of suture technique on cross-sectional compliance on end-to-side anastomoses.

OBJECTIVE: An animal model has been developed to compare the effects of suture technique on the luminal dimensions and compliance of end-to-side vascular anastomoses. METHODS: Carotid and internal mammalian arteries (IMAs) were exposed in three pigs (90 kg). IMAs were sectioned distally to perform end-to-side anastomoses on carotid arteries. One anastomosis was performed with 7/0 polypropylene running suture. The other was performed with the automated suture delivery device (Perclose/Abbott Labs Inc.) that makes a 7/0 polypropylene interrupted suture. Four piezoelectric crystals were sutured on toe, heel and both lateral sides of each anastomosis to measure anastomotic axes. Anastomotic cross-sectional area (CSAA) was calculated with: CSAA = pi x mM/4 where m and M are the minor and major axes of the elliptical anastomosis. Cross-sectional anastomotic compliance (CSAC) was calculated as CSAC=Delta CSAA/Delta P where Delta P is the mean pulse pressure and Delta CSAA is the mean CSAA during cardiac cycle. RESULTS: We collected a total of 1200000 pressure-length data per animal. For running suture we had a mean systolic CSAA of 26.94+/-0.4 mm(2) and a mean CSAA in diastole of 26.30+/-0.5 mm(2) (mean Delta CSAA was 0.64 mm(2)). CSAC for running suture was 4.5 x 10(-6)m(2)/kPa. For interrupted suture we had a mean CSAA in systole of 21.98+/-0.2 mm(2) and a mean CSAA in diastole of 17.38+/-0.3 mm(2) (mean Delta CSAA was 4.6+/-0.1 mm(2)). CSAC for interrupted suture was 11 x 10(-6) m(2)/kPa. CONCLUSIONS: This model, even with some limitations, can be a reliable source of information improving the outcome of vascular anastomoses. The study demonstrates that suture technique has a substantial effect on cross-sectional anastomotic compliance of end-to-side anastomoses. Interrupted suture may maximise the anastomotic lumen and provides a considerably higher CSAC than continuous suture, that reduces flow turbulence, shear stress and intimal hyperplasia. The Heartflo anastomosis device is a reliable instrument that facilitates performance of interrupted suture anastomoses.

Nouveautés en médecine interne hospitalière 2007: perspective des chefs de clinique [Highlights 2007 in hospital-based internal medicine: the point of view from the chief residents]

L'année 2007 a été marquée par la publication de plusieurs études internationales concernant directement le quotidien de l'interniste hospitalier. Un résumé de ces travaux ne saurait être qu'un extrait condensé et forcément subjectif d'une croissante et dynamique diversité. Au gré de leurs lectures, de leurs intérêts et de leurs interrogations, les chefs de clinique du Service de médecine interne vous proposent ainsi un parcours original revisitant les thèmes de l'insuffisance cardiaque, du diabète, de l'endocardite, de la BPCO ou de la qualité des soins. Cette variété de sujets illustre à la fois le vaste champ couvert par la médecine interne actuelle, ainsi que les nombreuses incertitudes liées à la pratique médicale moderne basée sur les preuves. In 2007, several international studies brought useful information for the daily work of internists in hospital settings. This summary is of course subjective but reflects the interests and questions of the chief residents of the Department of internal medicine who wrote this article like an original trip in medical literature. This trip will allow you to review some aspects of important fields such as heart failure, diabetes, endocarditis, COPD, and quality of care. Besides the growing diversity of the fields covered by internal medicine, these various topics underline also the uncertainty internists have to face in a practice directed towards evidence.

Incremental Prognostic Value of Myocardial Blood Flow Quantification with Rb-82 Cardiac PET in Patients With Known or Suspected CAD

Rb-82cardiac PET has been used to non-invasively assess myocardial blood flow (MBF)and myocardial flow reserve (MFR). The impact of MBF and MFR for predictingmajor adverse cardiovascular events (MACE) has not been investigated in aprospective study, which was our aim. MATERIAL AND METHODS: In total, 280patients (65±10y, 36% women) with known or suspected CAD were prospectivelyenrolled. They all underwent both a rest and adenosine stress Rb-82 cardiacPET/CT. Dynamic acquisitions were processed with the FlowQuant 2.1.3 softwareand analyzed semi-quantitatively (SSS, SDS) and quantitatively (MBF, MFR) andreported using the 17-segment AHA model. Patients were stratified based on SDS,stress MBF and MFR and allocated into tertiles. For each group, annualizedevent rates were computed by dividing the number of annualized MACE (cardiacdeath, myocardial infarction, revascularisation or hospitalisation forcardiac-related event) by the sum of individual follow-up periods in years.Outcome were analysed for each group using Kaplan-Meier event-free survivalcurves and compared using the log-rank test. Multivariate analysis wasperformed in a stepwise fashion using Cox proportional hazards regressionmodels (p<0.05 for model inclusion). RESULTS: In a median follow-up of 256days (range 168-440d), 44 MACE were observed. Ischemia (SDS≥2) was observed in95 patients who had higher annualized MACE rate as compared to those without(55% vs. 9.8%, p<0.0001). The group with the lowest MFR tertile (MFR<1.76)had higher MACE rate than the two highest tertiles (51% vs. 9% and 14%,p<0.0001). Similarly, the group with the lowest stress MBF tertile(MBF<1.78mL/min/g) had the highest annualized MACE rate (41% vs. 26% and 6%,p=0.0002). On multivariate analysis, the addition of MFR or stress MBF to SDSsignificantly increased the global χ2 (from 56 to 60, p=0.04; and from56 to 63, p=0.01). The best prognostic power was obtained in a model combiningSDS (p<0.001) and stress MBF (p=0.01). Interestingly, the integration ofstress MBF enhanced risk stratification even in absence of ischemia.CONCLUSIONS: Quantification of MBF or MFR in Rb-82 cardiac PET/CT providesindependent and incremental prognostic information over semi-quantitativeassessment with SDS and is of value for risk stratification.

Evolution of a debris flow channel monitored using a 3D terrestrial laser scanner

Like numerous torrents in mountainous regions, the Illgraben creek (canton of Wallis, SW Switzerland) produces almost every year several debris flows. The total area of the active catchment is only 4.7 km², but large events ranging from 50'000 to 400'000 m³ are common (Zimmermann 2000). Consequently, the pathway of the main channel often changes suddenly. One single event can for instance fill the whole river bed and dig new several-meters-deep channels somewhere else (Bardou et al. 2003). The quantification of both, the rhythm and the magnitude of these changes, is very important to assess the variability of the bed's cross section and long profile. These parameters are indispensable for numerical modelling, as they should be considered as initial conditions. To monitor the channel evolution an Optech ILRIS 3D terrestrial laser scanner (LIDAR) was used. LIDAR permits to make a complete high precision 3D model of the channel and its surroundings by scanning it from different view points. The 3D data are treated and interpreted with the software Polyworks from Innovmetric Software Inc. Sequential 3D models allow for the determination of the variation in the bed's cross section and long profile. These data will afterwards be used to quantify the erosion and the deposition in the torrent reaches. To complete the chronological evolution of the landforms, precise digital terrain models, obtained by high resolution photogrammetry based on old aerial photographs, will be used. A 500 m long section of the Illgraben channel was scanned on 18th of August 2005 and on 7th of April 2006. These two data sets permit identifying the changes of the channel that occurred during the winter season. An upcoming scanning campaign in September 2006 will allow for the determination of the changes during this summer. Preliminary results show huge variations in the pathway of the Illgraben channel, as well as important vertical and lateral erosion of the river bed. Here we present the results of a river bank on the left (north-western) flank of the channel (Figure 1). For the August 2005 model the scans from 3 viewpoints were superposed, whereas the April 2006 3D image was obtained by combining 5 separate scans. The bank was eroded. The bank got eroded essentially on its left part (up to 6.3 m), where it is hit by the river and the debris flows (Figures 2 and 3). A debris cone has also formed (Figure 3), which suggests that a part of the bank erosion is due to shallow landslides. They probably occur when the river erosion creates an undercut slope. These geometrical data allow for the monitoring of the alluvial dynamics (i.e. aggradation and degradation) on different time scales and the influence of debris flows occurrence on these changes. Finally, the resistance against erosion of the bed's cross section and long profile will be analysed to assess the variability of these two key parameters. This information may then be used in debris flow simulation.

Financial Markets and Real Ecinomy: Four Essays in International Trade

Financial markets play an important role in an economy performing various functions like mobilizing and pooling savings, producing information about investment opportunities, screening and monitoring investments, implementation of corporate governance, diversification and management of risk. These functions influence saving rates, investment decisions, technological innovation and, therefore, have important implications for welfare. In my PhD dissertation I examine the interplay of financial and product markets by looking at different channels through which financial markets may influence an economy.My dissertation consists of four chapters. The first chapter is a co-authored work with Martin Strieborny, a PhD student from the University of Lausanne. The second chapter is a co-authored work with Melise Jaud, a PhD student from the Paris School of Economics. The third chapter is co-authored with both Melise Jaud and Martin Strieborny. The last chapter of my PhD dissertation is a single author paper.Chapter 1 of my PhD thesis analyzes the effect of financial development on growth of contract intensive industries. These industries intensively use intermediate inputs that neither can be sold on organized exchange, nor are reference-priced (Levchenko, 2007; Nunn, 2007). A typical example of a contract intensive industry would be an industry where an upstream supplier has to make investments in order to customize a product for needs of a downstream buyer. After the investment is made and the product is adjusted, the buyer may refuse to meet a commitment and trigger ex post renegotiation. Since the product is customized to the buyer's needs, the supplier cannot sell the product to a different buyer at the original price. This is referred in the literature as the holdup problem. As a consequence, the individually rational suppliers will underinvest into relationship-specific assets, hurting the downstream firms with negative consequences for aggregate growth. The standard way to mitigate the hold up problem is to write a binding contract and to rely on the legal enforcement by the state. However, even the most effective contract enforcement might fail to protect the supplier in tough times when the buyer lacks a reliable source of external financing. This suggests the potential role of financial intermediaries, banks in particular, in mitigating the incomplete contract problem. First, financial products like letters of credit and letters of guarantee can substantially decrease a risk and transaction costs of parties. Second, a bank loan can serve as a signal about a buyer's true financial situation, an upstream firm will be more willing undertake relationship-specific investment knowing that the business partner is creditworthy and will abstain from myopic behavior (Fama, 1985; von Thadden, 1995). Therefore, a well-developed financial (especially banking) system should disproportionately benefit contract intensive industries.The empirical test confirms this hypothesis. Indeed, contract intensive industries seem to grow faster in countries with a well developed financial system. Furthermore, this effect comes from a more developed banking sector rather than from a deeper stock market. These results are reaffirmed examining the effect of US bank deregulation on the growth of contract intensive industries in different states. Beyond an overall pro-growth effect, the bank deregulation seems to disproportionately benefit the industries requiring relationship-specific investments from their suppliers.Chapter 2 of my PhD focuses on the role of the financial sector in promoting exports of developing countries. In particular, it investigates how credit constraints affect the ability of firms operating in agri-food sectors of developing countries to keep exporting to foreign markets.Trade in high-value agri-food products from developing countries has expanded enormously over the last two decades offering opportunities for development. However, trade in agri-food is governed by a growing array of standards. Sanitary and Phytosanitary standards (SPS) and technical regulations impose additional sunk, fixed and operating costs along the firms' export life. Such costs may be detrimental to firms' survival, "pricing out" producers that cannot comply. The existence of these costs suggests a potential role of credit constraints in shaping the duration of trade relationships on foreign markets. A well-developed financial system provides the funds to exporters necessary to adjust production processes in order to meet quality and quantity requirements in foreign markets and to maintain long-standing trade relationships. The products with higher needs for financing should benefit the most from a well functioning financial system. This differential effect calls for a difference-in-difference approach initially proposed by Rajan and Zingales (1998). As a proxy for demand for financing of agri-food products, the sanitary risk index developed by Jaud et al. (2009) is used. The empirical literature on standards and norms show high costs of compliance, both variable and fixed, for high-value food products (Garcia-Martinez and Poole, 2004; Maskus et al., 2005). The sanitary risk index reflects the propensity of products to fail health and safety controls on the European Union (EU) market. Given the high costs of compliance, the sanitary risk index captures the demand for external financing to comply with such regulations.The prediction is empirically tested examining the export survival of different agri-food products from firms operating in Ghana, Mali, Malawi, Senegal and Tanzania. The results suggest that agri-food products that require more financing to keep up with food safety regulation of the destination market, indeed sustain longer in foreign market, when they are exported from countries with better developed financial markets.Chapter 3 analyzes the link between financial markets and efficiency of resource allocation in an economy. Producing and exporting products inconsistent with a country's factor endowments constitutes a serious misallocation of funds, which undermines competitiveness of the economy and inhibits its long term growth. In this chapter, inefficient exporting patterns are analyzed through the lens of the agency theories from the corporate finance literature. Managers may pursue projects with negative net present values because their perquisites or even their job might depend on them. Exporting activities are particularly prone to this problem. Business related to foreign markets involves both high levels of additional spending and strong incentives for managers to overinvest. Rational managers might have incentives to push for exports that use country's scarce factors which is suboptimal from a social point of view. Export subsidies might further skew the incentives towards inefficient exporting. Management can divert the export subsidies into investments promoting inefficient exporting.Corporate finance literature stresses the disciplining role of outside debt in counteracting the internal pressures to divert such "free cash flow" into unprofitable investments. Managers can lose both their reputation and the control of "their" firm if the unpaid external debt triggers a bankruptcy procedure. The threat of possible failure to satisfy debt service payments pushes the managers toward an efficient use of available resources (Jensen, 1986; Stulz, 1990; Hart and Moore, 1995). The main sources of debt financing in the most countries are banks. The disciplining role of banks might be especially important in the countries suffering from insufficient judicial quality. Banks, in pursuing their rights, rely on comparatively simple legal interventions that can be implemented even by mediocre courts. In addition to their disciplining role, banks can promote efficient exporting patterns in a more direct way by relaxing credit constraints of producers, through screening, identifying and investing in the most profitable investment projects. Therefore, a well-developed domestic financial system, and particular banking system, would help to push a country's exports towards products congruent with its comparative advantage.This prediction is tested looking at the survival of different product categories exported to US market. Products are identified according to the Euclidian distance between their revealed factor intensity and the country's factor endowments. The results suggest that products suffering from a comparative disadvantage (labour-intensive products from capital-abundant countries) survive less on the competitive US market. This pattern is stronger if the exporting country has a well-developed banking system. Thus, a strong banking sector promotes exports consistent with a country comparative advantage.Chapter 4 of my PhD thesis further examines the role of financial markets in fostering efficient resource allocation in an economy. In particular, the allocative efficiency hypothesis is investigated in the context of equity market liberalization.Many empirical studies document a positive and significant effect of financial liberalization on growth (Levchenko et al. 2009; Quinn and Toyoda 2009; Bekaert et al., 2005). However, the decrease in the cost of capital and the associated growth in investment appears rather modest in comparison to the large GDP growth effect (Bekaert and Harvey, 2005; Henry, 2000, 2003). Therefore, financial liberalization may have a positive impact on growth through its effect on the allocation of funds across firms and sectors.Free access to international capital markets allows the largest and most profitable domestic firms to borrow funds in foreign markets (Rajan and Zingales, 2003). As domestic banks loose some of their best clients, they reoptimize their lending practices seeking new clients among small and younger industrial firms. These firms are likely to be more risky than large and established companies. Screening of customers becomes prevalent as the return to screening rises. Banks, ceteris paribus, tend to focus on firms operating in comparative-advantage sectors because they are better risks. Firms in comparative-disadvantage sectors finding it harder to finance their entry into or survival in export markets either exit or refrain from entering export markets. On aggregate, one should therefore expect to see less entry, more exit, and shorter survival on export markets in those sectors after financial liberalization.The paper investigates the effect of financial liberalization on a country's export pattern by comparing the dynamics of entry and exit of different products in a country export portfolio before and after financial liberalization.The results suggest that products that lie far from the country's comparative advantage set tend to disappear relatively faster from the country's export portfolio following the liberalization of financial markets. In other words, financial liberalization tends to rebalance the composition of a country's export portfolio towards the products that intensively use the economy's abundant factors.