La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Economic deprivation and its effects on subjective wellbeing in families of people with multiple sclerosis

Background: There has been limited research on the role of financial strain on the adjustment of people with multiple sclerosis.

Aims: This study examined the financial costs of MS and the impact of financial strain on the quality of life and adjustment of people with MS and their families.

Methods: Interviews were conducted with 16 health professionals, 26 people with MS and 11 family members of people who have MS.

Results: Economic deprivation impacted on the subjective well being of many families living with MS. Concerns included adjustment to a lower income if the person with MS reduced or ceased work, and meeting the costs of home alterations, mobility equipment, and special transport. The additional cost of living with MS is a stress factor, especially for people dependent on disability support pensions.

Conclusions: It is anticipated that the findings from this study will raise the awareness of health professionals and politicians regarding the potential impact of financial stress on people with MS and their families.

The Australian superannuation framework : implications for retirement savings

The provision of retirement income has become a challenge for governments across the world. The population is ageing as a result of lower mortality and fertility rates: this places financial stress on government budgets as welfare spending increases, further compounded by a proportional reduction in working-age taxpayers. The Australian government has introduced a compulsory superannuation charge on employers to assist retirement savings. Even though savings in superannuation have increased significantly over the years, many will still have insufficient savings to fund their retirement. Recent changes to the superannuation framework have emphasised the importance the government places on supporting future generations of Australians in retirement.

Problem gambling among international and domestic university students in Australia : who is at risk?

Young people are a high risk group for gambling problems and university (college) students fall into that category. Given the high accessibility of gambling in Australia and its association with entertainment, students from overseas countries, particularly those where gambling is restricted or illegal, may be particularly vulnerable. This study examines problem gambling and its correlates among international and domestic university students using a sample of 836 domestic students (286 males; 546 females); and 764 international students (369 males; 396 females) at three Australian universities. Our findings indicate that although most students gamble infrequently, around 5 % of students are problem gamblers, a proportion higher than that in the general adult population. Popular gambling choices include games known to be associated with risk (cards, horse races, sports betting, casino games, and gaming machines) as well as lotto/scratch tickets. Males are more likely to be problem gamblers than females, and almost 10 % of male international students could be classified as problem gamblers. Hierarchical regression analysis showed that male gender, international student status, financial stress, negative affect and frequency of gambling on sports, horses/dogs, table games, casino gaming machines, internet casino games and bingo all significantly predicted problem gambling. Results from this study could inform gambling-education programs in universities as they indicate which groups are more vulnerable and specify which games pose more risk of problem gambling.

Cartera vencida y estrés macrofinanciero: un estudio econométrico para Centroamérica y la República Dominicana en 2008-2009

Incluye Bibliografía

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Countries under Adjustment Programmes: What role for the ECB? CEPS Special Report No. 124, December 2015

Providing ‘technical assistance/advice’ on programmes for countries under financial stress is well within the mandate of the European Central Bank (ECB). Being fully part of the Troika, however, is a different role. Formally the ECB does not participate in the ‘decision-making’ on programmes (decisions are taken by the Finance Ministers – and the IMF). However, the ECB is part of the ‘decision-shaping’ process. These two roles have often been confused. The ECB should interpret its formal role in future ESM (European Stability Mechanism) programmes as narrowly as possible. Providing advice but avoid taking part in the operational work of programme surveillance. The ECB should de facto leave the Troika. At any rate, future incidents like the Italian or Spanish letters will be superseded by the OMTs (outright monetary transactions) and an Irish-type situation would be shaped by the legal framework of the Bank Recovery and Resolution Directive (BRRD) and the potential funding from the Single Resolution Fund (SRF). An additional issue for the ECB is internal coherence: Its six-member Executive Board manages the participation in the Troika, monetary policy is decided by the Governing Council and banking supervision is under the Supervisory Board, separated in principle by Chinese walls from the (rest of the) ECB.

Variáveis discriminantes para inferência da insolvência de empresas brasileiras: um estudo para o período de 2008 a 2016

This study aimed to determine if accounting and governance indicators are relevant to foresee the stages of financial stress of companies by using a logistic regression. With the formation of two samples was possible to verify if the inclusion of insolvency data defined by cash flow shortage events were relevant to increase model capacity for prediction of insolvency. The remaining insolvency stages were judicial reorganization and bankruptcy. The control sample is formed by healthy companies, from the same sector and size. The period of analysis includes events that occurred between January 2008 and March 2016. The main variables that showed significant results to predict insolvency states, a year before the event happens, were Profitability, Efficiency and Payment Capacity indicators. The Governance indicator was only significant to predict insolvency arising from judicial reorganization and bankruptcy. Among the models studied, the most accurate model presented total correctness capacity of 88,7%, classifying correctly 88% of solvent companies and 89,3% of insolvent companies. The results indicate the usefulness of financial indicators of Payment Capacity, Efficiency and Profitability, as well as the Governance variable, to discriminate the insolvency of companies.

Fragilidad financiera en Colombia y las decisiones de política monetaria del Banco de la República, 1996-2012

Este artículo evalúa cuál ha sido el papel de las decisiones de política monetaria del Banco de la República dentro de los procesos de inestabilidad financiera acaecidos en Colombia en el período 1996-2012. Según la revisión de hechos, la crisis de 1999 puso en duda el papel estabilizador del banco central, lo cual reflejó una postura contra-cíclica demasiado débil para la recuperación, y la crisis de 2008 encontró un banco más preparado, aunque con respuesta tardía a los procesos emergentes de fragilidad financiera. A través de estimaciones econométricas se evidencia que una política monetaria contractiva puede inducir una crisis financiera cuando la reacción se da en momentos de mayor estrés financiero.

The new global financial landscape under stress

Includes bibliography

Stress and coping among migrant labourers in urban Vietnam : an adaptation cycle and health vulnerabilities

Rural-urban migration continues to grow in many developing countries including Vietnam. The experience of stress and coping associated with this process may vary for people from different circumstances. However, there has been little research on migrants to date. This study adopts a qualitative approach to research on unregistered, male, migrant freelance labourers in urban Vietnam and to explore factors contributing to stress and coping among this population. The study revealed an array of stressors related to migrants' life experiences in urban space, including physical, financial and social factors. Coping was diverse, including problem-focused coping (PFC) and emotion-focused coping (EFC), pro-social and anti-social, active and passive. Less active and anti-social coping appeared common. Together, weak social network and lack of support from formal systems placed coping and adaptation in a cyclic relationship. The results highlight a multi-disciplinary approach to help cope and adapt effectively for these men.

The Levels of Job Satisfaction, Stress and Burnout In Australian and New Zealand Haemodialysis Nurses

Background: Job dissatisfaction, stress and burnout is linked to high rates of nurses leaving the profession, poor morale, poor patient outcomes and increased financial expenditure. Haemodialysis nurses find their work satisfying although it can be stressful. Little is known, however, about job satisfaction, stress or burnout levels of haemodialysis nurses in Australia and New Zealand. Aims: To assess the current levels of job satisfaction, stress, burnout and nurses’ perception of the haemodialysis work environment. Methods: An observational study involved a cross-sectional sample of 417 registered or enrolled nurses working in Australian or New Zealand haemodialysis units. Data was collected using an on-line questionnaire containing demographic and work characteristics as well as validated measures of job satisfaction, stress, burnout and the work environment Results: 74% of respondents were aged over 40 and 75% had more than six years of haemodialysis nursing experience. Job satisfaction levels were comparable to studies in other practice areas with higher satisfaction derived from professional status and interactions with colleagues. Despite nurses viewing their work environment favourably, moderate levels of burnout were noted with frequent stressors related to workload and patient death and dying. Interestingly there were no differences found between the type or location of dialysis unit. Conclusion: Despite acceptable levels of job satisfaction and burnout, stress with workloads and facets of patient care were found. Understanding the factors that contribute to job satisfaction, stress and burnout can impact the healthcare system through decreased costs by retaining valued staff and through improved patient care.

Cortisol shifts financial risk preferences

Risk taking is central to human activity. Consequently, it lies at the focal point of behavioral sciences such as neuroscience, economics, and finance. Many influential models from these sciences assume that financial risk preferences form a stable trait. Is this assumption justified and, if not, what causes the appetite for risk to fluctuate? We have previously found that traders experience a sustained increase in the stress hormone cortisol when the amount of uncertainty, in the form of market volatility, increases. Here we ask whether these elevated cortisol levels shift risk preferences. Using a double-blind, placebo-controlled, cross-over protocol we raised cortisol levels in volunteers over eight days to the same extent previously observed in traders. We then tested for the utility and probability weighting functions underlying their risk taking, and found that participants became more risk averse. We also observed that the weighting of probabilities became more distorted among men relative to women. These results suggest that risk preferences are highly dynamic. Specifically, the stress response calibrates risk taking to our circumstances, reducing it in times of prolonged uncertainty, such as a financial crisis. Physiology-induced shifts in risk preferences may thus be an under-appreciated cause of market instability.

Progress towards understanding the genetics of posttraumatic stress disorder

Posttraumatic stress disorder (PTSD) is a complex syndrome that occurs following exposure to a potentially life threatening traumatic event. This review summarises the literature on the genetics of PTSD including gene–environment interactions (GxE), epigenetics and genetics of treatment response. Numerous genes have been shown to be associated with PTSD using candidate gene approaches. Genome-wide association studies have been limited due to the large sample size required to reach statistical power. Studies have shown that GxE interactions are important for PTSD susceptibility. Epigenetics plays an important role in PTSD susceptibility and some of the most promising studies show stress and child abuse trigger epigenetic changes. Much of the molecular genetics of PTSD remains to be elucidated. However, it is clear that identifying genetic markers and environmental triggers has the potential to advance early PTSD diagnosis and therapeutic interventions and ultimately ease the personal and financial burden of this debilitating disorder.