Reconstrucció de les temperatures superficials de l’aigua i de l’aire del Skagerrak (Escandinàvia) dels darrers 2000 anys

S’han utilitzat uns proxies nous per a estimar les temperatures superficials de l’aigua i de l’aire dels darrers 2000 anys de la zona de l’estret del Skagerrak per tal d’estudiar l’evolució del clima en aquesta zona i comparar-la amb la tendència del pal d’hoquei observada en diversos registres de l’hemisferi Nord. Els proxies utilitzats estan basats el els GDGTS i són el TEX86, que permet estimar la SST, el MAAT que permet estimar la temperatura mitjana anual de l’aire, el BIT que permet estimar la proporció de material terrestre en sediments marins o lacustres i el CBT que permet estimar el pH del sòl. Aquestes estimacions s’han comparat amb altres registres de la mateixa zona d’estudi. S’observa que el senyal de temperatura estimat pel TEX86 prové d’una zona en la columna d’aigua situada entre la zona fòtica i el fons marí. L’estimació del MAAT permet observar un òptim climàtic medieval, una petita edat del gel i un increment accentuat de les temperatures en els darrers 200 anys en la zona d’estudi. D’altra banda sembla que el MAAT estima la temperatura anual de l’aire a nivell regional, no local. L’estimació del BIT permet observar que la major part del testimoni sedimentari analitzat prové de material autòcton. S’observen dos pics al voltant de 445 DC i 1462 DC que podrien indicar episodis de pluges torrencials i/o canvis en la dinàmica de les corrents marines al Skagerrak. Finalment el pH estimat mitjançant el CBT sembla ser no representatiu dels sòls de Noruega, per tant aquesta forma d’estimar el pH podria ser no vàlida per als sediments marins.

In Search of a theory of debt management

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market approach to debt management is valid even when the government only issues non-contingent bonds. A number of authors conclude from this approach that governments should issue long term debt and invest in short term assets. We argue that the conclusions of this approach are too fragile to serve as a basis for policy recommendations. This is because bonds at different maturities have highly correlated returns, causing the determination of the optimal portfolio to be ill-conditioned. To make this point concrete we examine the implications of this approach to debt management in various models, both analytically and using numerical methods calibrated to the US economy. We find the complete market approach recommends asset positions which are huge multiples of GDP. Introducing persistent shocks or capital accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these simulations we find no presumption that governments should issue long term debt ? policy recommendations can be easily reversed through small perturbations in the specification of shocks or small variations in the maturity of bonds issued. We further extend the literature by removing the assumption that governments every period costlessly repurchase all outstanding debt. This exacerbates the size of the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that it is very difficult to insulate fiscal policy from shocks by using the complete markets approach to debt management. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The result is the positions recommended by this approach conflict with a number of features that we believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until these features are all fully incorporated we remain in search of a theory of debt management capable of providing robust policy insights.

Epidemiological traits of the malaria-like parasite Polychromophilus murinus in the Daubenton¿s bat Myotis daubentonii.

BackgroundThe great diversity of bat haemosporidians is being uncovered with the help of molecular tools. Yet most of these studies provide only snapshots in time of the parasites discovered. Polychromophilus murinus, a malaria-like blood parasite, specialised on temperate-zone bats is a species that is being `rediscovered¿. This study describes the infection dynamics over time and between host sex and age classes.MethodsFor three years we followed the members of three breeding colonies of Myotis daubentonii in Western Switzerland and screened them for the prevalence and parasitemia of P. murinus using both molecular tools and traditional microscopy. In order to identify more susceptible classes of hosts, we measured, sexed and aged all individuals. During one year, we additionally measured body temperature and haematocrit values.ResultsJuvenile bats demonstrated much higher parasitemia than any other age class sampled, suggesting that first exposure to the parasite is very early in life during which infections are also at their most intense. Moreover, in subadults there was a clear negative correlation between body condition and intensity of infection, whereas a weak positive correlation was observed in adults. Neither body temperature, nor haematocrit, two proxies used for pathology, could be linked to intensities of infection.ConclusionIf both weaker condition and younger age are associated with higher infection intensity, then the highest selection pressure exerted by P. murinus should be at the juvenile stage. Confusion over the identities and nomenclature of malarial-like parasites requires that molecular barcodes are coupled to accurate morphological descriptions.

Augment de la resolució en la reconstrucció de les temperatures de l'aigua i de l'aire del llac Baikal (Sibèria) dels últims 60.000 anys

Aquest estudi consisteix en l’augment de la resolució en la reconstrucció de la temperatura de l’aigua i l’aire del llac Baikal durant els últims 60.000 anys mitjançant l’ús de les proxies de reconstrucció de la temperatura TEX86 i MAAT, i la d’aportació de matèria orgànica d’origen terrestre, el BIT. L’objectiu general d’aquesta investigació és incrementar la resolució temporal en el mostreig del testimoni CON-01-603-02 per tal de millorar el registre de dades obtingudes i d’aquesta manera poder contrastar la hipòtesi de la interconnexió climàtica global, així com identificar esdeveniments climàtics sobtats, tals com els Heinrich events i els esdeveniments D-O. Un cop obtinguts els resultats s’ha realitzat l’anàlisi de la qualitat i fiabilitat de les dades a les resolucions de 5, 10 i 20 Kanys, i es conclou que existeixen diferències globals estadísticament significatives amb els resultats realitzats per Escala et al., (r.n.p [resultats no publicats]), la resolució dels quals es volia augmentar. S’han tractat d’anular aquestes diferències restant o bé sumant la diferència mitjana obtinguda entre les dues mostres en cada un dels intervals de 5 Kanys en què s’han donat aquestes. Els resultats integrats d’Escala et al.,(r.n.p) i els d’aquest estudi, aporten dades que recolzen l’hipòtesi de la interconnexió climàtica global, ja que al comparar-los amb els registres climàtics de Grenlàndia (GRIP2) i l’Antàrtica (Vostok) mostren respostes similars tant per les forces de Milankovitch com per les de subMilankovitch.

Reconstrucció de les temperatures superficials marines dels últims dos milions d'anys al Corrent de Benguela utilitzant l'índex TEX86

Per tal de reconstruir i obtenir una evolució climàtica a partir de les temperatures superficials marines dels últims dos milions d’anys al Corrent de Benguela (costa oest sud-africana) s’han analitzat 60 mostres del testimoni amb ODP 175-1084. Per fer-ho, s’ha utilitzat la nova calibració de l’índex TEX86 (Kim et al., 2007) i s’han representat els resultats juntament amb els valors obtinguts amb altres índexs referents a les temperatures mitjanes anuals de l’aire (MAAT) i el grau d’aportació sedimentària d’origen continental als sediments marins (BIT). També s’han comparat amb els registres de temperatura d’altres estudis en la mateixa àrea obtinguts a partir de proxies diferents. Els resultats del TEX86 mostren certa concordança amb alguns dels valors obtinguts en altres estudis i proposen hipòtesis que relacionen de manera directa els tres índexs calculats.

An empirical analysis of wealth taxation: equity Vs.tax compliance

Capital taxation is currently under debate, basically due to problems of administrative control and proper assessment of the levied assets. We analyze both problems focusing on a capital tax, the annual wealth tax (WT), which is only applied in five OECD countries, being Spain one of them. We concentrate our analysis on top 1% adult population, which permits us to describe the evolution of wealth concentration in Spain along 1983-2001. On average top 1% holds about 18% of total wealth, which rises to 19% when tax incompliance and under-assessment is corrected for housing, the main asset. The evolution suggests wealth concentration has risen. Regarding WT, we analyze whether it helps to reduce wealth inequality or, on the contrary, it reinforces vertical inequity (due to especial concessions) and horizontal inequity (due to the de iure and to de facto different treatment of assets). We analyze in detail housing and equity shares. By means of a time series analysis, we relate the reported values with reasonable price indicators and proxies of the propensity to save. We infer net tax compliance is extremely low, which includes both what we commonly understand by (gross) tax compliance and the degree of under-assessment due to fiscal legislation (for housing). That is especially true for housing, whose level of net tax compliance is well below 50%. Hence, we corroborate the difficulties in taxing capital, and so cast doubts on the current role of the WT in Spain in reducing wealth inequality.

Expectations, Learning and Monetary Policy: An Overview of Recent Research

Expectations about the future are central for determination of current macroeconomic outcomes and the formulation of monetary policy. Recent literature has explored ways for supplementing the benchmark of rational expectations with explicit models of expectations formation that rely on econometric learning. Some apparently natural policy rules turn out to imply expectational instability of private agents’ learning. We use the standard New Keynesian model to illustrate this problem and survey the key results about interest-rate rules that deliver both uniqueness and stability of equilibrium under econometric learning. We then consider some practical concerns such as measurement errors in private expectations, observability of variables and learning of structural parameters required for policy. We also discuss some recent applications including policy design under perpetual learning, estimated models with learning, recurrent hyperinflations, and macroeconomic policy to combat liquidity traps and deflation.

The Global Dimension to Fiscal Sustainability

This paper examines the issue of fiscal sustainability in emerging market countries and industrial countries. We highlight the importance of the time series properties of the primary surplus and debt, and find evidence of a positive long run relationship. Consequently we emphasise, that especially for emerging markets, it is important to recognise the implications of global capital market shocks for fiscal sustainability, a relationship which has hitherto been ignored in the empirical literature. Using a factor model we demonstrate that the relationship between deficit and debt is conditional upon a global factor and we suggest that this global factor is related to world-wide liquidity. We also demonstrate that this acts as a constraint on emerging market economies’ fiscal policy.

Three essays on bankruptcy risk

Abstract Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate the liquidity premium that is time- varying and firm-specific. We show that when time-dependent liquidity premiums are considered, corporate bond spreads and CDS rates behave in a much closer way than previous studies have shown. We find that high equity volatility drives pricing differences that can be explained by the CTD option.

The Role of Institutions in Cross-Section Income and Panel Data Growth Models: A Deeper Investigation on the Weakness and Proliferation of Instruments

This paper investigates the role of institutions in determining per capita income levels and growth. It contributes to the empirical literature by using different variables as proxies for institutions and by developing a deeper analysis of the issues arising from the use of weak and too many instruments in per capita income and growth regressions. The cross-section estimation suggests that institutions seem to matter, regardless if they are the only explanatory variable or are combined with geographical and integration variables, although most models suffer from the issue of weak instruments. The results from the growth models provides some interesting results: there is mixed evidence on the role of institutions and such evidence is more likely to be associated with law and order and investment profile; government spending is an important policy variable; collapsing the number of instruments results in fewer significant coefficients for institutions.

Contracting Institutions and Development

The quality of contracting institutions has been thought to be of second-order importance next to the impact that good property rights institutions can have on long-run growth. Using a large range of proxies for each type of institution, we find a robust negative link between the quality of contracting institutions and long-run growth when we condition on property rights and a number of additional macroeconomic variables. Although the result remains something of a puzzle, we present evidence which suggests that only when property rights institutions are good do contracting institutions appear also to be good for development. Good contracting institutions can reduce long-run growth when property rights are not secured, presumably because the gains from the (costly) contracting institutions cannot be realised. This suggests that contracting institutions can benefit growth, and that the sequence of institutional change can matter.

The Rise and Fall of the ABS Market

The nancial crisis has raised some concern about the quality of information available on some traded assets on the securities markets to market participants and regulators. Asset-backed securitization in general got partial blame for the paucity of liquidity on bank balance sheets and the consequent credit crunch. After the Asset-Backed Security (ABS) market fell to near inactivity in 2009, the US federal government's Term Asset-Backed Securities Loan Facility (TALF) provided backing and a boost to the issuance of asset-backed securitization. In this market condition, given the nature of ABS, it is di¢ cult for them not to be relatively illiquid, and this has resulted in unacceptable levels of market risk for most investors. Their liquidity before the crisis was driven by a market in continuous expansion, fed by Special Purpose Vehicle (SPV), Conduits, and other low capitalized term-transformation vehicles. Nowadays, the industry is concerned with the ongoing ABS reforms and how these will be implemented. This article reviews the ABS market in the last decade and the possible consequences of the recent regulatory proposals. It proposes a retention policy and the institution of a new nancial body to supervise the quality of the security in an ABS pool, its liquidity, and the model risk implied by the issuer's valuation model.

Why do UK banks securitize?

The eight years from 2000 to 2008 saw a rapid growth in the use of securitization by UK banks. We aim to identify the reasons that contributed to this rapid growth. The time period (2000 to 2010) covered by our study is noteworthy as it covers the pre- financial crisis credit-boom, the peak of the fi nancial crisis and its aftermath. In the wake of the financial crisis, many governments, regulators and political commentators have pointed an accusing finger at the securitization market - even in the absence of a detailed statistical and economic analysis. We contribute to the extant literature by performing such an analysis on UK banks, focussing principally on whether it is the need for liquidity (i.e. the funding of their balance sheets), or the desire to engage in regulatory capital arbitrage or the need for credit risk transfer that has led to UK banks securitizing their assets. We show that securitization has been signi ficantly driven by liquidity reasons. In addition, we observe a positive link between securitization and banks credit risk. We interpret these latter findings as evidence that UK banks which engaged in securitization did so, in part, to transfer credit risk and that, in comparison to UK banks which did not use securitization, they had more credit risk to transfer in the sense that they originated lower quality loans and held lower quality assets. We show that banks which issued more asset-backed securities before the financial crisis suffered more defaults after the financial crisis.

The determinants of sovereign bond yield spreads in the EMU

We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, unlike the period preceding the global financial crisis, European government bond yield spreads are wellexplained by macro- and fiscal fundamentals over the crisis period. We also find that the menu of macro and fiscal risks priced by markets has been significantly enriched since March 2009, including the risk of the crisis’ transmission among EMU member states, international risk and liquidity risk. Finally, we find that sovereign credit ratings are statistically significant in explaining spreads, yet compared to macro- and fiscal fundamentals their role is limited.

Relationship between trade openness and economic growth of India: A time series analysis

The paper aims to examine the empirical relationship between trade openness and economic growth of India for the time period 1970-2010. Trade openness is a multi-dimensional concept and hence measures of both trade barriers and trade volumes have been used as proxies for openness. The estimation results from Vector Autoregressive method suggest that growth in trade volumes accelerate economic growth in case of India. We do not find any evidence from our analysis that trade barriers lower growth.