Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Le Service à la famille de l'organisme Dans la rue : points de vue et expériences de jeunes qui y ont fait appel

Malgré l’intérêt accru du public et de la recherche durant les deux dernières décennies pour le phénomène des jeunes de la rue, certains aspects de leurs réalités sont encore peu examinés et mal connus. L’un de ces aspects concerne la parentalité. Pour mieux comprendre les besoins des jeunes en situation de rue qui sont parents ou en voie de l’être et comprendre dans quelle mesure un service s’adressant spécifiquement à eux arrive à y répondre, cette étude a cherché à décrire et comprendre l’expérience d’utilisation du Service à la famille de l’organisme Dans la rue, telle que vécue par des jeunes qui s’y sont adressés. Plus précisément, les objectifs étaient de : situer le Service à la famille dans la démarche de recherche d’aide des jeunes; comprendre ce qui amène un jeune à utiliser le Service à la famille et les activités qui y sont offertes; décrire l’expérience d’utilisation du service; connaître la perception qu’en ont les jeunes; et estimer leur appréciation du service. Pour ce faire, des entrevues semi-dirigées par téléphone ont eu lieu avec neuf jeunes ayant eu un suivi au Service à la famille, au cours desquelles certains thèmes ont été explorés : la recherche d’aide en lien avec la situation parentale, l’expérience d’utilisation des services et des activités du Service à la famille, le portrait de celui-ci, et la satisfaction à son égard. Au moment de l’entrevue, tous les jeunes étaient parents d’au moins un enfant et la majorité d’entre eux avait fait appel au Service à la famille la première fois durant la grossesse pour de l’aide sous diverses formes en rapport à celle-ci. Des besoins de divers ordres ont amené les jeunes à faire appel au Service à la famille. Ceux-ci pouvaient être comblés, mais pas nécessairement toujours, par le biais des rencontres avec les intervenantes du Service à la famille et par la participation aux activités de groupe offertes par la ressource et, par ailleurs, pouvaient concorder avec les objectifs d’intervention explicites du service. Dans l’ensemble, les entrevues suggèrent que les jeunes perçoivent le Service à la famille et, plus précisément, les intervenantes qui y travaillent, d’un œil favorable. Les interviewés formulent en effet une appréciation positive sur un bon nombre d’éléments se rapportant à leur expérience d’utilisation de la ressource. Des jeunes perçoivent néanmoins des limites dans la capacité du Service à la famille à fournir l’aide attendue, notamment des restrictions budgétaires et une surcharge de travail des intervenantes liée à une forte demande de services. Même si les jeunes n’ont pas nécessairement demandé de l’aide de la ressource dans l’optique de prévenir la violence familiale et la négligence, mandat premier du Service à la famille, une bonne part d’entre eux reconnaissent avoir reçu de l’aide utile à cet égard de la part des intervenantes, notamment lorsqu’ils ont rapporté avoir vécu des relations amoureuses teintées de violence conjugale. Ils reconnaissent également différentes façons par le biais desquelles les intervenantes les auraient encouragés à être bien et à prendre soin d’eux-mêmes afin de pouvoir bien s’occuper de leur(s) enfant(s). Tous les jeunes interviewés ont exprimé une satisfaction à l’égard du suivi reçu au Service à la famille et ils ont affirmé qu’ils le recommanderaient à d’autres personnes. L’approche d’intervention préconisée par la ressource est considérée comme un point fort dans la réponse aux besoins des jeunes. Cette approche aurait permis aux jeunes devenus parents d’être aidés en fonction de ce dont ils avaient besoin à un moment précis. L’un des aspects de l’utilisation du service qui gagneraient à être améliorés, aux yeux des jeunes, est l’accessibilité; l’aide dont les interviewés considéraient avoir besoin n’ayant pas toujours été à leur disposition alors qu’ils l’avaient demandée. Devant la perception d’un manque de disponibilité des intervenantes, des jeunes proposent des pistes d’amélioration qui permettraient à l’aide dispensée par le Service à la famille d’être plus accessible aux jeunes quand ils considèrent en avoir besoin.

Post orthodontic effects of SARPE on sleep-disordered breathing in young adults as observed in a sleep laboratory

Introduction: L’expansion palatine du maxillaire a beaucoup d’effets positifs sur la respiration et la qualité du sommeil, mais peu d'études ont examiné ces données sur des adultes ayant dépassé l’âge permettant de bénéficier d'une expansion palatine conventionnelle. Le but de cette recherche est d’évaluer la stabilité de l’EPRAC (expansion palatine rapide assistée chirurgicalement) et son effet sur les troubles respiratoires après l’ablation des appareils orthodontiques. Méthodes: Neuf patients (Âge moyen 21, entre 16-39 ans) nécessitant une EPRAC ont passé des nuits dans un laboratoire de sommeil, et ce avant l’EPRAC, après l’EPRAC, et après l’ablation des appareils fixes. Les radiographies céphalométriques postéroantérieures ainsi que les modèles d’étude ont été pris pendant ces trois périodes de temps. Résultats: L’analyse des modèles d’étude a démontré une récidive significative au niveau des distances inter-molaires et inter-canines au niveau du maxillaire seulement. Les analyses céphalométriques ont démontré une récidive au niveau de la largeur maxillaire. Aucun changement important n'a été observé dans les stades de sommeil, mais une réduction importante dans l’index de ronflement a été notée. De plus, il y avait moins de changements entre les stades de sommeil. Conclusions: La récidive squelettique est minime et cliniquement non significative. Par contre, les changements dans les distances intermolaires et intercanines sont cliniquement importants. Il semble également qu'une EPRAC ait un effet positif sur la qualité de sommeil par la réduction de l’indice de ronflement ainsi que sur la diminution des changements entre les stades de sommeil.

Nanotoxicité des points quantiques : étude in vitro chez les cellules épithéliales alvéolaires humaines A549

Les nanoparticules (NPs) sont définies comme des particules ayant au moins une dimension comprise entre 1 à 100 nanomètres. Plusieurs études in vitro et in vivo indiquent que les NPs pourraient constituer un risque potentiel pour la santé des personnes les synthétisant ou les manipulant lors de leur incorporation dans d’autres matériaux. La nanotoxicologie est un domaine de recherche émergeant. Les propriétés physico-chimiques particulières des NPs sont responsables d’interférences non spécifiques entre les nanomatériaux et certains des composants des essais in vitro pouvant mener à de faux résultats. L’inhalation a été identifiée comme une voie d’exposition présentant un risque important de toxicité. Dans le cadre de ce projet, nous avons utilisé la lignée de cellules épithéliales alvéolaires humaines, A549. Nous avons étudié chez cette lignée les conséquences de l’exposition aux points quantiques (PQs), NPs d’intérêt pour leurs applications potentielles en médecine (nanovecteur ou nanosonde). La mise au point des conditions expérimentales (interférence entre l’essai LDH et le milieu de culture) a permis de valider les essais de cytotoxicité MTS et LDH en présence des PQs. Nous avons montré que les PQs présentaient une cytotoxicité à court et long terme, et nous avons par la suite étudié un des mécanismes de toxicité potentielle, la mesure du cadmium (Cd2+) libéré des PQs. Nous avons déterminé que la mesure du Cd2+ comportait plusieurs interférences qui invalident cet essai. En conclusion, notre étude a permis d’identifier des interférences qui remettent en question plusieurs conclusions d’études publiées qui n’ont pas vérifié l’existence de telles interférences.

Individual Decision-Making and Inflation Persistence

The traditional task of a central bank is to preserve price stability and, in doing so, not to impair the real economy more than necessary. To meet this challenge, it is of great relevance whether inflation is only driven by inflation expectations and the current output gap or whether it is, in addition, influenced by past inflation. In the former case, as described by the New Keynesian Phillips curve, the central bank can immediately and simultaneously achieve price stability and equilibrium output, the so-called ‘divine coincidence’ (Blanchard and Galí 2007). In the latter case, the achievement of price stability is costly in terms of output and will be pursued over several periods. Similarly, it is important to distinguish this latter case, which describes ‘intrinsic’ inflation persistence, from that of ‘extrinsic’ inflation persistence, where the sluggishness of inflation is not a ‘structural’ feature of the economy but merely ‘inherited’ from the sluggishness of the other driving forces, inflation expectations and output. ‘Extrinsic’ inflation persistence is usually considered to be the less challenging case, as policy-makers are supposed to fight against the persistence in the driving forces, especially to reduce the stickiness of inflation expectations by a credible monetary policy, in order to reestablish the ‘divine coincidence’. The scope of this dissertation is to contribute to the vast literature and ongoing discussion on inflation persistence: Chapter 1 describes the policy consequences of inflation persistence and summarizes the empirical and theoretical literature. Chapter 2 compares two models of staggered price setting, one with a fixed two-period duration and the other with a stochastic duration of prices. I show that in an economy with a timeless optimizing central bank the model with the two-period alternating price-setting (for most parameter values) leads to more persistent inflation than the model with stochastic price duration. This result amends earlier work by Kiley (2002) who found that the model with stochastic price duration generates more persistent inflation in response to an exogenous monetary shock. Chapter 3 extends the two-period alternating price-setting model to the case of 3- and 4-period price durations. This results in a more complex Phillips curve with a negative impact of past inflation on current inflation. As simulations show, this multi-period Phillips curve generates a too low degree of autocorrelation and too early turnings points of inflation and is outperformed by a simple Hybrid Phillips curve. Chapter 4 starts from the critique of Driscoll and Holden (2003) on the relative real-wage model of Fuhrer and Moore (1995). While taking the critique seriously that Fuhrer and Moore’s model will collapse to a much simpler one without intrinsic inflation persistence if one takes their arguments literally, I extend the model by a term for inequality aversion. This model extension is not only in line with experimental evidence but results in a Hybrid Phillips curve with inflation persistence that is observably equivalent to that presented by Fuhrer and Moore (1995). In chapter 5, I present a model that especially allows to study the relationship between fairness attitudes and time preference (impatience). In the model, two individuals take decisions in two subsequent periods. In period 1, both individuals are endowed with resources and are able to donate a share of their resources to the other individual. In period 2, the two individuals might join in a common production after having bargained on the split of its output. The size of the production output depends on the relative share of resources at the end of period 1 as the human capital of the individuals, which is built by means of their resources, cannot fully be substituted one against each other. Therefore, it might be rational for a well-endowed individual in period 1 to act in a seemingly ‘fair’ manner and to donate own resources to its poorer counterpart. This decision also depends on the individuals’ impatience which is induced by the small but positive probability that production is not possible in period 2. As a general result, the individuals in the model economy are more likely to behave in a ‘fair’ manner, i.e., to donate resources to the other individual, the lower their own impatience and the higher the productivity of the other individual. As the (seemingly) ‘fair’ behavior is modelled as an endogenous outcome and as it is related to the aspect of time preference, the presented framework might help to further integrate behavioral economics and macroeconomics.

Spin spaces and positive decomposition of linear maps on ordered Banach spaces

Spin factors and generalizations are used to revisit positive generation of B(E, F), where E and F are ordered Banach spaces. Interior points of B(E, F)+ are discussed and in many cases it is seen that positive generation of B(E, F) is controlled by spin structure in F when F is a JBW-algebra.

The sequential analysis of repeated binary responses: a score test for the case of three time points

In this paper a robust method is developed for the analysis of data consisting of repeated binary observations taken at up to three fixed time points on each subject. The primary objective is to compare outcomes at the last time point, using earlier observations to predict this for subjects with incomplete records. A score test is derived. The method is developed for application to sequential clinical trials, as at interim analyses there will be many incomplete records occurring in non-informative patterns. Motivation for the methodology comes from experience with clinical trials in stroke and head injury, and data from one such trial is used to illustrate the approach. Extensions to more than three time points and to allow for stratification are discussed. Copyright © 2005 John Wiley & Sons, Ltd.

On the cardinality and complexity of the set of codings for self-similar sets with positive Lebesgue measure

Let λ1,…,λn be real numbers in (0,1) and p1,…,pn be points in Rd. Consider the collection of maps fj:Rd→Rd given by fj(x)=λjx+(1−λj)pj. It is a well known result that there exists a unique nonempty compact set Λ⊂Rd satisfying Λ=∪nj=1fj(Λ). Each x∈Λ has at least one coding, that is a sequence (ϵi)∞i=1 ∈{1,…,n}N that satisfies limN→∞fϵ1…fϵN(0)=x. We study the size and complexity of the set of codings of a generic x∈Λ when Λ has positive Lebesgue measure. In particular, we show that under certain natural conditions almost every x∈Λ has a continuum of codings. We also show that almost every x∈Λ has a universal coding. Our work makes no assumptions on the existence of holes in Λ and improves upon existing results when it is assumed Λ contains no holes.

Myeloperoxidase activity is increased in gingival crevicular fluid and whole saliva after fixed orthodontic appliance activation

Introduction: Orthodontic tooth movement uses mechanical forces that result in inflammation in the first days. Myeloperoxidase (MPO) is an enzyme found in polymorphonuclear neutrophil (PMN) granules, and it is used to estimate the number of PMN granules in tissues. So far, MPO has not been used to study the inflammatory alterations after the application of orthodontic tooth movement forces. The aim of this study was to determine MPO activity in the gingival crevicular fluid (GCF) and saliva (whole stimulated saliva) of orthodontic patients at different time points after fixed appliance activation. Methods: MPO was determined in the GCF and collected by means of periopaper from the saliva of 14 patients with orthodontic fixed appliances. GCF and saliva samples were collected at baseline, 2 hours, and 7 and 14 days after application of the orthodontic force. Results: Mean MPO activity was increased in both the GCF and saliva of orthodontic patients at 2 hours after appliance activation (P<0.02 for all comparisons). At 2 hours, PMN infiltration into the periodontal ligament from the orthodontic force probably results in the increased MPO level observed at this time point. Conclusions: MPO might be a good marker to assess inflammation in orthodontic movement; it deserves further studies in orthodontic therapy. (Am J Orthod Dentofacial Orthop 2010;138:613-6)

Newton`s iterates can converge to non-stationary points

In this note we discuss the convergence of Newton`s method for minimization. We present examples in which the Newton iterates satisfy the Wolfe conditions and the Hessian is positive definite at each step and yet the iterates converge to a non-stationary point. These examples answer a question posed by Fletcher in his 1987 book Practical methods of optimization.

Augmented Lagrangian methods under the constant positive linear dependence constraint qualification

Two Augmented Lagrangian algorithms for solving KKT systems are introduced. The algorithms differ in the way in which penalty parameters are updated. Possibly infeasible accumulation points are characterized. It is proved that feasible limit points that satisfy the Constant Positive Linear Dependence constraint qualification are KKT solutions. Boundedness of the penalty parameters is proved under suitable assumptions. Numerical experiments are presented.

Twisted conjugacy classes in nilpotent groups

A group is said to have the R(infinity) property if every automorphism has an infinite number of twisted conjugacy classes. We study the question whether G has the R(infinity) property when G is a finitely generated torsion-free nilpotent group. As a consequence, we show that for every positive integer n >= 5, there is a compact nilmanifold of dimension n on which every homeomorphism is isotopic to a fixed point free homeomorphism. As a by-product, we give a purely group theoretic proof that the free group on two generators has the R(infinity) property. The R(infinity) property for virtually abelian and for C-nilpotent groups are also discussed.

Genericity of Nondegenerate Critical Points and Morse Geodesic Functionals

We consider a family of variational problems on a Hilbert manifold parameterized by an open subset of a Banach manifold, and we discuss the genericity of the nondegeneracy condition for the critical points. Using classical techniques, we prove an abstract genericity result that employs the infinite dimensional Sard-Smale theorem, along the lines of an analogous result of B. White [29]. Applications are given by proving the genericity of metrics without degenerate geodesics between fixed endpoints in general (non compact) semi-Riemannian manifolds, in orthogonally split semi-Riemannian manifolds and in globally hyperbolic Lorentzian manifolds. We discuss the genericity property also in stationary Lorentzian manifolds.

The trasition from fixed to floating exchange rate regimes: the case of Brazil

This dissertation evaluates macroeconomic management in Brazil from 1994 to the present, with particular focus on exchange rate policy. It points out that while Brazil's Real Plan succeeded in halting the hyperinflation that had reached more than 2000 percent in 1993, it also caused significant real appreciation of the exchange rate situation that was only made worse by the extremely high interest rates and ensuing bout of severe financial crises in the intemational arena. By the end of 1998, the accumulation of internai and externai imbalances led the authorities to drop foreign exchange controls and allow the currency to float. In spite of some initial scepticism, the flexible rate regime cum inflation target proved to work well. Inflation was kept under control; the current account position improved significantly, real interest rates fell and GDP growth resumed. Thus, while great challenges still lie ahead, the recent successes bestow some optimism on the well functioning of this exchange rate regime. The Brazilian case suggests that successful transition from one foreign exchange system to another, particularly during financial crisis, does not depend only on one variable be it fiscal or monetary. In reality, it depends on whole set of co-ordinated policies aimed at resuming price stability with as little exchange rate and output volatility as possible.

Three essays on local demand for public services

Local provision of public services has the positive effect of increasing the efficiency because each locality has its idiosyncrasies that determine a particular demand for public services. This dissertation addresses different aspects of the local demand for public goods and services and their relationship with political incentives. The text is divided in three essays. The first essay aims to test the existence of yardstick competition in education spending using panel data from Brazilian municipalities. The essay estimates two-regime spatial Durbin models with time and spatial fixed effects using maximum likelihood, where the regimes represent different electoral and educational accountability institutional settings. First, it is investigated whether the lame duck incumbents tend to engage in less strategic interaction as a result of the impossibility of reelection, which lowers the incentives for them to signal their type (good or bad) to the voters by mimicking their neighbors’ expenditures. Additionally, it is evaluated whether the lack of electorate support faced by the minority governments causes the incumbents to mimic the neighbors’ spending to a greater extent to increase their odds of reelection. Next, the essay estimates the effects of the institutional change introduced by the disclosure on April 2007 of the Basic Education Development Index (known as IDEB) and its goals on the strategic interaction at the municipality level. This institutional change potentially increased the incentives for incumbents to follow the national best practices in an attempt to signal their type to voters, thus reducing the importance of local information spillover. The same model is also tested using school inputs that are believed to improve students’ performance in place of education spending. The results show evidence for yardstick competition in education spending. Spatial auto-correlation is lower among the lame ducks and higher among the incumbents with minority support (a smaller vote margin). In addition, the institutional change introduced by the IDEB reduced the spatial interaction in education spending and input-setting, thus diminishing the importance of local information spillover. The second essay investigates the role played by the geographic distance between the poor and non-poor in the local demand for income redistribution. In particular, the study provides an empirical test of the geographically limited altruism model proposed in Pauly (1973), incorporating the possibility of participation costs associated with the provision of transfers (Van de Wale, 1998). First, the discussion is motivated by allowing for an “iceberg cost” of participation in the programs for the poor individuals in Pauly’s original model. Next, using data from the 2000 Brazilian Census and a panel of municipalities based on the National Household Sample Survey (PNAD) from 2001 to 2007, all the distance-related explanatory variables indicate that an increased proximity between poor and non-poor is associated with better targeting of the programs (demand for redistribution). For instance, a 1-hour increase in the time spent commuting by the poor reduces the targeting by 3.158 percentage points. This result is similar to that of Ashworth, Heyndels and Smolders (2002) but is definitely not due to the program leakages. To empirically disentangle participation costs and spatially restricted altruism effects, an additional test is conducted using unique panel data based on the 2004 and 2006 PNAD, which assess the number of benefits and the average benefit value received by beneficiaries. The estimates suggest that both cost and altruism play important roles in targeting determination in Brazil, and thus, in the determination of the demand for redistribution. Lastly, the results indicate that ‘size matters’; i.e., the budget for redistribution has a positive impact on targeting. The third essay aims to empirically test the validity of the median voter model for the Brazilian case. Information on municipalities are obtained from the Population Census and the Brazilian Supreme Electoral Court for the year 2000. First, the median voter demand for local public services is estimated. The bundles of services offered by reelection candidates are identified as the expenditures realized during incumbents’ first term in office. The assumption of perfect information of candidates concerning the median demand is relaxed and a weaker hypothesis, of rational expectation, is imposed. Thus, incumbents make mistakes about the median demand that are referred to as misperception errors. Thus, at a given point in time, incumbents can provide a bundle (given by the amount of expenditures per capita) that differs from median voter’s demand for public services by a multiplicative error term, which is included in the residuals of the demand equation. Next, it is estimated the impact of the module of this misperception error on the electoral performance of incumbents using a selection models. The result suggests that the median voter model is valid for the case of Brazilian municipalities.