Determinants and Effects of Maturity Mismatches in Emerging Markets: Evidence from Bank Level Data

Despite the extensive work on currency mismatches, research on the determinants and effects of maturity mismatches is scarce. In this paper I show that emerging market maturity mismatches are negatively affected by capital inflows and price volatilities. Furthermore, I find that banks with low maturity mismatches are more profitable during crisis periods but less profitable otherwise. The later result implies that banks face a tradeoff between higher returns and risk, hence channeling short term capital into long term loans is caused by cronyism and implicit guarantees rather than the depth of the financial market. The positive relationship between maturity mismatches and price volatility, on the other hand, shows that the banks of countries with high exchange rate and interest rate volatilities can not, or choose not to hedge themselves. These results follow from a panel regression on a data set I constructed by merging bank level data with aggregate data. This is advantageous over traditional studies which focus only on aggregate data.

Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

Salivary cortisol, psychological stress and depressive symptoms among patients undergoing colon cancer screenings

As the second leading cause of cancer-related deaths in the United States, colon cancer has a high cure rate if detected early by a colonoscopy (U.S. Cancer Statistics Working Group, 2007). However, more than 41 million at-risk Americans are not properly receiving colonoscopy screenings according to the recommendations of the Center for Disease Control. This study provides insight into the physiological and psychological benefits of the colonoscopy procedure over and above cancer detection and prevention. Thirty-six patients receiving colonoscopic screening at the University of Connecticut Health Center participated in this study. A questionnaire battery that assessed perceived stress, depressive symptoms, colon cancer related worry, and social support, and optional saliva sampling was completed 2 weeks prior to and post colonoscopy. It was hypothesized that salivary cortisol concentrations, perceived stress, and self-reported depressive symptoms would show significant decreases from pre to post colonoscopy, and that these variables would all be positively correlated with one another. Results showed significant, positive correlations between depressive symptoms and both salivary cortisol (r (34)= .348, p< .05) and perceived stress (r (34)= .635, p< .01). Morning salivary cortisol levels decreased significantly from pre to post colonoscopy to levels below the population mean (t (16)=-3.711, p<. 01). No such differences were observed in either perceived stress or depressive symptoms. These results indicate that by decreasing cortisol concentrations to levels below that of the population mean, the colonoscopy provided physiological health benefits to patients beyond cancer screening. From a health psychology standpoint, this may encourage some of the 41 million Americans not receiving proper colon cancer screenings to adopt this potentially life-saving health behavior.