The structural dynamics of output growth and inflation: some international evidence

We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are limited and permanent variations largely absent. Changes in the volatilities of structural shocks matter.

Human nature and institutional analysis

This essay reviews some findings in cognition sciences and examines their consequences for the analysis of institutions. It starts by exploring how humans specialization in producing knowledge ensures our success in dominating the environment but also changes fast our environment. So fast that it did not give time to natural selection to adapt our biology, causing it to be potentially maladapted in important dimensions. A main function of institutions is therefore to fill the gap between the demands of our relatively new environment and our biology, still adapted to our ancestral environment as hunter-gatherers. Moreover, institutions are built with the available elements, which include our instincts. A deeper understanding of both aspects, their adaptive function and this recruitment of ancestral instincts, will add greatly to our ability to manage institutions.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

Reprisals remembered: German-Greek conflict and car sales during the Euro crisis

During the Greek debt crisis after 2010, the German government insisted on harshausterity measures. This led to a rapid cooling of relations between the Greekand German governments. We compile a new index of public acrimony betweenGermany and Greece based on newspaper reports and internet search terms. Thisinformation is combined with historical maps on German war crimes during theoccupation between 1941 and 1944. During months of open conflict between Germanand Greek politicians, German car sales fell markedly more than those of cars fromother countries. This was especially true in areas affected by German reprisals duringWorldWar II: areas where German troops committed massacres and destroyed entirevillages curtailed their purchases of German cars to a greater extent during conflictmonths than other parts of Greece. We conclude that cultural aversion was a keydeterminant of purchasing behavior, and that memories of past conflict can affecteconomic choices in a time-varying fashion. These findings are compatible withbehavioral models emphasizing the importance of salience for individual decision-making.

Una comparación de la selección de los ratios contables en los modelos contable-financieros de predicción de la insolvencia empresarial : la literatura previa frente al analisis factorial

En los últimos 30 años la proliferación de modelos cuantitativos de predicción de la insolvencia empresarial en la literatura contable y financiera ha despertado un gran interés entre los especialistas e investigadores de lamateria. Lo que en un principio fueron unos modelos elaborados con un único objetivo, han derivado en una fuente de investigación constante.En este documento se formula un modelo de predicción de la insolvencia a través de la combinación de diferentes variables cuantitativas extraídas de los estados contables de una muestra de empresas para los años 1994-1997. A través de un procedimiento por etapas se selecciona e interpreta cuáles son las más relevantes en cuanto a aportación de información.Una vez formulado este primer tipo de modelos se busca una alternativa a las variables anteriores a través de la técnica factorial del análisis de componentes principales. Con ella se hace una selección de variables y se aplica, junto conlos ratios anteriores, el análisis univariante. Por último, se comparan los modelos obtenidos y se concluye que aunque la literatura previa ofrece mejores porcentajes de clasificación, los modelos obtenidos a través del análisis decomponentes principales no deben ser rechazados por la claridad en la explicación de las causas que conducen a una empresa a la insolvencia.

Una comparación de la selección de los ratios contables en los modelos contable-financieros de predicción de la insolvencia empresarial : la literatura previa frente al analisis factorial

En los últimos 30 años la proliferación de modelos cuantitativos de predicción de la insolvencia empresarial en la literatura contable y financiera ha despertado un gran interés entre los especialistas e investigadores de lamateria. Lo que en un principio fueron unos modelos elaborados con un único objetivo, han derivado en una fuente de investigación constante.En este documento se formula un modelo de predicción de la insolvencia a través de la combinación de diferentes variables cuantitativas extraídas de los estados contables de una muestra de empresas para los años 1994-1997. A través de un procedimiento por etapas se selecciona e interpreta cuáles son las más relevantes en cuanto a aportación de información.Una vez formulado este primer tipo de modelos se busca una alternativa a las variables anteriores a través de la técnica factorial del análisis de componentes principales. Con ella se hace una selección de variables y se aplica, junto conlos ratios anteriores, el análisis univariante. Por último, se comparan los modelos obtenidos y se concluye que aunque la literatura previa ofrece mejores porcentajes de clasificación, los modelos obtenidos a través del análisis decomponentes principales no deben ser rechazados por la claridad en la explicación de las causas que conducen a una empresa a la insolvencia.

Five (or so) challenges for species distribution modelling

Species distribution modelling is central to both fundamental and applied research in biogeography. Despite widespread use of models, there are still important conceptual ambiguities as well as biotic and algorithmic uncertainties that need to be investigated in order to increase confidence in model results. We identify and discuss five areas of enquiry that are of high importance for species distribution modelling: (1) clarification of the niche concept; (2) improved designs for sampling data for building models; (3) improved parameterization; (4) improved model selection and predictor contribution; and (5) improved model evaluation. The challenges discussed in this essay do not preclude the need for developments of other areas of research in this field. However, they are critical for allowing the science of species distribution modelling to move forward.

Spatial variation in the temporal change of male and female melanic ornamentation in the barn owl.

Because the magnitude of selection can vary between sexes and in space and time, sexually antagonistic selection is difficult to demonstrate. In a Swiss population of barn owls (Tyto alba), a heritable eumelanic colour trait (size of black spots on ventral feathers) was positively selected with respect to yearling survival only in females. It remains unclear whether the absence of negative selection in males is typical in this species. To tackle this issue indirectly, we measured the size of black spots in 1733 skin specimens collected by museums from 1816 to 2001 in seven European countries and in the Middle-East. The temporal change in spot size was sex- and country-specific. In males, spots became smaller particularly in three countries (Middle-East, Italy and Switzerland). In females, the size of spots increased significantly in two countries (UK and Spain) and decreased in two others (Germany and Switzerland). Because migration and phenotypic plasticity cannot explain these results, selection is the most likely cause. The weaker temporal change in spot size in females than males may be because of the combined effect of strong genetic correlation between the sexes and stronger negative selection in males than positive selection in females. We thus suggest that in the barn owl, spot size (or genetically correlated traits) is sexually antagonistically selected and that its pattern of selection may account for the maintenance of its variation and sexual dimorphism.

Adaptive tracking of EEG oscillations.

Neuronal oscillations are an important aspect of EEG recordings. These oscillations are supposed to be involved in several cognitive mechanisms. For instance, oscillatory activity is considered a key component for the top-down control of perception. However, measuring this activity and its influence requires precise extraction of frequency components. This processing is not straightforward. Particularly, difficulties with extracting oscillations arise due to their time-varying characteristics. Moreover, when phase information is needed, it is of the utmost importance to extract narrow-band signals. This paper presents a novel method using adaptive filters for tracking and extracting these time-varying oscillations. This scheme is designed to maximize the oscillatory behavior at the output of the adaptive filter. It is then capable of tracking an oscillation and describing its temporal evolution even during low amplitude time segments. Moreover, this method can be extended in order to track several oscillations simultaneously and to use multiple signals. These two extensions are particularly relevant in the framework of EEG data processing, where oscillations are active at the same time in different frequency bands and signals are recorded with multiple sensors. The presented tracking scheme is first tested with synthetic signals in order to highlight its capabilities. Then it is applied to data recorded during a visual shape discrimination experiment for assessing its usefulness during EEG processing and in detecting functionally relevant changes. This method is an interesting additional processing step for providing alternative information compared to classical time-frequency analyses and for improving the detection and analysis of cross-frequency couplings.

Conditional predictive density evaluation in the presence of instabilities

We propose new methods for evaluating predictive densities. The methods includeKolmogorov-Smirnov and Cram?r-von Mises-type tests for the correct specification ofpredictive densities robust to dynamic mis-specification. The novelty is that the testscan detect mis-specification in the predictive densities even if it appears only overa fraction of the sample, due to the presence of instabilities. Our results indicatethat our tests are well sized and have good power in detecting mis-specification inpredictive densities, even when it is time-varying. An application to density forecastsof the Survey of Professional Forecasters demonstrates the usefulness of the proposedmethodologies.

The effects of monetary policy on stock market bubbles: Some evidence

We estimate the response of stock prices to exogenous monetary policy shocks usinga vector-autoregressive model with time-varying parameters. Our evidence points toprotracted episodes in which, after a a short-run decline, stock prices increase persistently in response to an exogenous tightening of monetary policy. That responseis clearly at odds with the "conventional" view on the effects of monetary policy onbubbles, as well as with the predictions of bubbleless models. We also argue that it isunlikely that such evidence be accounted for by an endogenous response of the equitypremium to the monetary policy shocks.

Seasonality of congenital anomalies in Europe.

BACKGROUND: This study describes seasonality of congenital anomalies in Europe to provide a baseline against which to assess the impact of specific time varying exposures such as the H1N1 pandemic influenza, and to provide a comprehensive and recent picture of seasonality and its possible relation to etiologic factors. METHODS: Data on births conceived in 2000 to 2008 were extracted from 20 European Surveillance for Congenital Anomalies population-based congenital anomaly registries in 14 European countries. We performed Poisson regression analysis encompassing sine and cosine terms to investigate seasonality of 65,764 nonchromosomal and 12,682 chromosomal congenital anomalies covering 3.3 million births. Analysis was performed by estimated month of conception. Analyses were performed for 86 congenital anomaly subgroups, including a combined subgroup of congenital anomalies previously associated with influenza. RESULTS: We detected statistically significant seasonality in prevalence of anomalies previously associated with influenza, but the conception peak was in June (2.4% excess). We also detected seasonality in congenital cataract (April conceptions, 27%), hip dislocation and/or dysplasia (April, 12%), congenital hydronephrosis (July, 12%), urinary defects (July, 5%), and situs inversus (December, 36%), but not for nonchromosomal anomalies combined, chromosomal anomalies combined, or other anomalies analyzed. CONCLUSION: We have confirmed previously described seasonality for congenital cataract and hip dislocation and/or dysplasia, and found seasonality for congenital hydronephrosis and situs inversus which have not previously been studied. We did not find evidence of seasonality for several anomalies which had previously been found to be seasonal. Influenza does not appear to be an important factor in the seasonality of congenital anomalies.

The effect of combined antiretroviral therapy on the overall mortality of HIV-infected individuals.

OBJECTIVE: To estimate the effect of combined antiretroviral therapy (cART) on mortality among HIV-infected individuals after appropriate adjustment for time-varying confounding by indication. DESIGN: A collaboration of 12 prospective cohort studies from Europe and the United States (the HIV-CAUSAL Collaboration) that includes 62 760 HIV-infected, therapy-naive individuals followed for an average of 3.3 years. Inverse probability weighting of marginal structural models was used to adjust for measured confounding by indication. RESULTS: Two thousand and thirty-nine individuals died during the follow-up. The mortality hazard ratio was 0.48 (95% confidence interval 0.41-0.57) for cART initiation versus no initiation. In analyses stratified by CD4 cell count at baseline, the corresponding hazard ratios were 0.29 (0.22-0.37) for less than 100 cells/microl, 0.33 (0.25-0.44) for 100 to less than 200 cells/microl, 0.38 (0.28-0.52) for 200 to less than 350 cells/microl, 0.55 (0.41-0.74) for 350 to less than 500 cells/microl, and 0.77 (0.58-1.01) for 500 cells/microl or more. The estimated hazard ratio varied with years since initiation of cART from 0.57 (0.49-0.67) for less than 1 year since initiation to 0.21 (0.14-0.31) for 5 years or more (P value for trend <0.001). CONCLUSION: We estimated that cART halved the average mortality rate in HIV-infected individuals. The mortality reduction was greater in those with worse prognosis at the start of follow-up.

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

3D crosshole ERT for aquifer characterization and monitoring of infiltrating river water

The hydrogeological properties and responses of a productive aquifer in northeastern Switzerland are investigated. For this purpose, 3D crosshole electrical resistivity tomography (ERT) is used to define the main lithological structures within the aquifer (through static inversion) and to monitor the water infiltration from an adjacent river. During precipitation events and subsequent river flooding, the river water resistivity increases. As a consequence, the electrical characteristics of the infiltrating water can be used as a natural tracer to delineate preferential flow paths and flow velocities. The focus is primarily on the experiment installation, data collection strategy, and the structural characterization of the site and a brief overview of the ERT monitoring results. The monitoring system comprises 18 boreholes each equipped with 10 electrodes straddling the entire thickness of the gravel aquifer. A multi-channel resistivity system programmed to cycle through various four-point electrode configurations of the 180 electrodes in a rolling sequence allows for the measurement of approximately 15,500 apparent resistivity values every 7 h on a continuous basis. The 3D static ERT inversion of data acquired under stable hydrological conditions provides a base model for future time-lapse inversion studies and the means to investigate the resolving capability of our acquisition scheme. In particular, it enables definition of the main lithological structures within the aquifer. The final ERT static model delineates a relatively high-resistivity, low-porosity, intermediate-depth layer throughout the investigated aquifer volume that is consistent with results from well logging and seismic and radar tomography models. The next step will be to define and implement an appropriate time-lapse ERT inversion scheme using the river water as a natural tracer. The main challenge will be to separate the superposed time-varying effects of water table height, temperature, and salinity variations associated with the infiltrating water.