HETEROSIS AND HERITABILITY ESTIMATES OF PURINE ALKALOIDS AND POLYPHENOLS IN COCOA

Cocoa ( Theobroma cacao L. ) is an important allogamous tropical tree crop, whose centre of diversity is considered to be in Central America. Dry cocoa beans from five cocoa clones, and their intercrossed hybrids were analysed based on the variation of alkaloids and polyphenolic compounds contents, in order to gain insights on the heterosis and broad-sense heritability. Polyphenols and alkaloids were analysed at 280 nm by HPLC, using a Photodiode Array Detector (PDA); while anthocyanins were separated with the SEP-PAK Vac 6cc 1000 mg (waters) column and measured at 520 nm with a PDA. Dry cocoa beans displayed high content of purine alkaloids (2.1 and 8.8 mg g-1 for caffein and theobromine, respectively), and polyphenols (25 and 2978 µg g-1 for catechin and epicatechin, respectively). Among the five cocoa clones, SNK16 was the highest in purine alkaloid (caffein and theobromin) and flavanol (catechin and epicatechin); while T79/467 possessed the greatest quantity of cyanidin-3-galactoside and cyanidin-3-arabinoside. From all the parameters studied, anthocyanins (Cyanidin-3-galactoside and cyanidin-3-arabinoside) exhibited the highest level of heterosis. Parental genotypes SNK16 and T79/467 showed good aptitudes for the combination of characters because their reciprocal hybrids F5 and F9, distinguished themselves by better levels of mid-parent heterosis values. Besides, the heritability value in strict sense of this Cyanidin-3-galactoside was very high. Absence of significant difference between genotypes, coming from reciprocal crossbreeding for Cyanidin-3-galactoside, suggests that this character in cocoa would be nuclear contrary to purine alkaloids and flavan-3-ols, where their transmission to offsprings can be stated as cytoplasmic.

Desenvolvimento de um aditivo natural à base de catequina: otimização da extração e estabilização a partir de frutos de Arbutus unedo L.

The common Mediterranean ornamental strawberry-tree (Arbutus unedo L.) produces an edible reddish sweet berry that is found to be bland and tasteless unless it is consumed overripe, otherwise it is discarded or used as basic agricultural sub residue. The bioactive properties of this fruit have been reported and related with phenolic compounds, mainly flavan-3-ols, such as catechin and procyanidins, which has opened the opportunity to exploit their extraction from alternative sources.The common Mediterranean ornamental strawberry-tree (Arbutus unedo L.) produces an edible reddish sweet berry that is found to be bland and tasteless unless it is consumed overripe, otherwise it is discarded or used as basic agricultural sub residue. The bioactive properties of this fruit have been reported and related with phenolic compounds, mainly flavan-3-ols, such as catechin and procyanidins, which has opened the opportunity to exploit their extraction from alternative sources. This study compares and optimizes the maceration, microwave and ultrasound extraction techniques in the recovery of a catechin extract from Arbutus unedo L. fruits and evaluate the stability of flavan-3-ols during storage and application processes. To obtain conditions that maximize the catechin extraction yield, a response surface methodology was used. Maceration and microwave extractions were found to be the most effective methods, capable of yielding 1.38±0.1 and 1.70±0.3 mg of catechin/g dry weight (dw) in the corresponding optimal extraction conditions. The optimal conditions for maceration were 93.2±3.7 min, 79.6±5.2 ºC and 23.1±3.7 % of ethanol, while for the microwave extraction were 42.2±4.1 min, 137.1±8.1 ºC and 12.1±1.1 % of ethanol. The microwave system was a quicker solution, conducting to slightly higher yields of catechin than maceration, but this one needed lower temperatures to reach similar yields. The ultrasound method was the least effective solution in terms of catechin yield extraction (0.71±0.1 mg/g at 42.4±3.6 min, 314.9±21.2 W and 40.3±3.8 %. ethanol). The stability was tested with of the catechin-enriched extract (60% flavan-3-ols and 22% catechin), obtained under the best maceration conditions, was tested. Therefore, catechin-enriched extracts were submitted to physical and chemical stability studies, considering the main affecting variables (time, temperature and pH): i) a stability study of the extracts during storage as powder system; and ii) a stability study of the extracts in simulated food environment (aqueous solution system). The measured responses were the flavan-3-ols and catechin contents, determined by HPLC-DAD, and the antioxidant activity of the extracts evaluated by hydrophilic assays. Mechanistic and phenomenological equations were used to describe the responses, and the optimal conditions for flavan-3-ols (including catechin) stability as powder extract during a month were pH= 5.4 and T= -20ºC; while its stability in aqueous solution remained during the 24 h of application at pH<4 and T<30ºC. This study compares and optimizes the maceration, microwave and ultrasound extraction techniques in the recovery of a catechin extract from Arbutus unedo L. fruits and evaluate the stability of flavan-3-ols during storage and application processes. To obtain conditions that maximize the catechin extraction yield, a response surface methodology was used. Maceration and microwave extractions were found to be the most effective methods, capable of yielding 1.38±0.1 and 1.70±0.3 mg of catechin/g dry weight (dw) in the corresponding optimal extraction conditions. The optimal conditions for maceration were 93.2±3.7 min, 79.6±5.2 ºC and 23.1±3.7 % of ethanol, while for the microwave extraction were 42.2±4.1 min, 137.1±8.1 ºC and 12.1±1.1 % of ethanol. The microwave system was a quicker solution, conducting to slightly higher yields of catechin than maceration, but this one needed lower temperatures to reach similar yields. The ultrasound method was the least effective solution in terms of catechin yield extraction (0.71±0.1 mg/g at 42.4±3.6 min, 314.9±21.2 W and 40.3±3.8 %. ethanol). The stability was tested with of the catechin-enriched extract (60% flavan-3-ols and 22% catechin), obtained under the best maceration conditions, was tested. Therefore, catechin-enriched extracts were submitted to physical and chemical stability studies, considering the main affecting variables (time, temperature and pH): i) a stability study of the extracts during storage as powder system; and ii) a stability study of the extracts in simulated food environment (aqueous solution system). The measured responses were the flavan-3-ols and catechin contents, determined by HPLC-DAD, and the antioxidant activity of the extracts evaluated by hydrophilic assays. Mechanistic and phenomenological equations were used to describe the responses, and the optimal conditions for flavan-3-ols (including catechin) stability as powder extract during a month were pH= 5.4 and T= -20ºC; while its stability in aqueous solution remained during the 24 h of application at pH<4 and T<30ºC.

The use of wild fruits of Fragaria vesca L. in preparations with bioactive properties: chemical characterization, antioxidant, antibacterial and antibiofilm activities

Wild strawberry, Fragaria vesca L., belongs to Rosaceae family and is commonly found in roadsides and slopes [1]. The most consumed parts of this plant are its sweet small fruits, which constitute a source of vitamins and phenolic compounds, being also used in infusions due to their organoleptic properties and for the treatment of some intestinal disorders [2, 3]. In the present work, F. vesca fruits were evaluated for their nutritional value and further used in the preparation of infusions. The chemical composition of the fruits and corresponding infusions was determined in terms of soluble sugars, organic acids, tocopherols, folates (by HPLC coupled to different detectors), phenolic compounds (by HPLC-DAD/ESI-MS) and mineral elements (atomic absorption spectroscopy). Some of these bioactive compounds were correlated with antioxidant and antibacterial properties evaluated either in infusions as also in hydromethanolic extracts. Carbohydrates were the main macronutrients in the fruits, followed by fat and proteins. Regarding the fatty acids, polyunsaturated fatty acids showed higher prevalence, mainly due to the presence of D-linolenic (Cl8:3n3) and y-linolenic (Cl8:3n6) acids. Sucrose and citric acid were, respectively, the main sugar and organic acid found in the fruits and in its infusions. The microelement found in higher amounts in both samples was manganese, while potassium and calcium were the macroelements present in higher levels in the fruits and infusions, respectively. Both samples presented folates and tocopherols, being ytocopherol the main isoform detected in the fruits, while a-tocopherol was the only isoform quantified in the infusion. The hydromethanolic extract prepared from the fruits gave higher antioxidant and antibacterial activities, namely against Escherichia coli and Pseudomonas aeruginosa, than the infusion; it also showed capacity to inhibit the formation of bacterial biofilm. Both bioactivities are highly correlated with the presence of phenolic compounds, in which the major are ellagic acid derivatives (sanguiin hlO) followed by tlavan 3-ols ((+)catechin) and anthocyanin compounds (pelargonidin-3-glucoside). Although fruits of wild F. vesca are mainly consumed in fresh, this study also proves the potentiality of their infusions as a source of bioactive molecules and properties.

Effets préventifs et thérapeutiques des polyphénols dans un modèle in vitro et in vivo de maladie inflammatoire de l’intestin : caractérisation des polyphénols de la pelure de pomme et de la canneberge par spectrométrie de masse

La muqueuse intestinale est exposée à des agents oxydants provenant de l’ingestion d’aliments modifiés, de cellules immuno-inflammatoires et de la flore intestinale. Une diète élevée en fruits et légumes peut diminuer le stress oxydant (SOx) ainsi que l’inflammation via plusieurs mécanismes. Ces effets bénéfiques peuvent être attribuables à leur contenu élevé en polyphénols. La première étude de mon doctorat consistait à tester l’hypothèse que les polyphénols extraits de pelures de pomme (DAPP) pouvaient diminuer le stress oxydant et l'inflammation impliqués dans les maladies inflammatoires de l'intestin (MII). Nous avons caractérisé les polyphénols des DAPP par spectrométrie de masse (LC-MS) et examiné leur potentiel antioxydant et anti-inflammatoire au niveau des cellules intestinales. L’identification des structures chimiques des polyphénols a été effectuée par LC-MS. Le SOx a été induit par l’ajout du complexe fer/ascorbate (Fe/Asc, 200 µM/2 mM) et l’inflammation par la lipopolysaccharide (LPS, 200µg/mL) à des cellules intestinales Caco-2/15 pré-incubées avec les DAPP (250 µg/mL). L’effet du SOx est déterminé par le dosage du malondialdéhyde (MDA), de la composition des acides gras polyinsaturés et de l’activité des enzymes antioxydantes endogènes (SOD et GPx). L’impact des DAPP sur l’inflammation a été testé par l’analyse de l’expression des marqueurs inflammatoires: cyclooxygénase-2 (COX-2), le facteur de nécrose tumorale alpha (TNF-a et l’interleukine-6 (IL-6) et les facteurs de transcription NF-KB, Nrf-2 et PGC1α par immunobuvardage. Nos données ont montré que les flavonols et les flavan-3-ols constituent les composés polyphénoliques majoritaires des DAPP. L’ajout de Fer2+/Asc a provoqué une augmentation de la peroxidation lipidique comparativement aux cellules contrôles, un appauvrissement des acides gras polyinsaturés n-3 et n-6, et une modulation des enzymes antioxydantes, se traduisant par une augmentation de l’activité de la SOD et une diminution de la GPx. En contrepartie, les DAPP ont exhibé leur potentiel à corriger la plupart des perturbations, y compris l’expression protéique anormalement élevée du COX-2 et la production de la prostaglandine E2 (PGE2), ainsi que l’inflammation telle que réflétée par les facteurs NF-κB, TNF-α et IL-6. Par ailleurs, les mécanismes sous-jacents à ces changements bénéfiques des DAPP ont fait intervenir les facteurs de transcription antioxydants (Nrf-2, PGC1α). Vraisemblablement, cette première étude a permis de démontrer la capacité des DAPP à amoindrir le SOx et à réduire l’inflammation, deux processus étroitement impliqués dans les MII. Dans la deuxième étape de mon doctorat, nous avons voulu comparer les résultats de DAPP à ceux des polyphénols dérivant de la canneberge qui est considérée par la communauté scientifique comme le fruit ayant le plus fort potentiel antioxydant. À cette fin, nous avons caractérisé l’effet des composés polyphénoliques de la canneberge (CPC) sur le SOx, la défense antioxydante et l’inflammation au niveau intestinal tout en définissant leur métabolisme intraluminal. Les différents CPC ont été séparés selon leur poids moléculaire par chromatographie et leurs structures chimiques ont été identifiées par LC-MS. Suite à une pré-incubation des cellules Caco-2/15 avec les extraits CPC (250 µg/mL), le Fe/Asc et la LPS ont été administrés comme inducteurs du SOx et de l’inflammation, respectivement. La caractérisation globale des CPC a révélé que les acides phénoliques composaient majoritairement l’extrait de canneberge de petit poids moléculaire (LC) alors que les flavonoïdes et les procyanidines dimériques/trimériques représentaient l’extrait de poids moléculaire moyen (MC) tout en laissant les procyanidines oligo et polymériques à l’extrait de haut poids moléculaire (HC). Les CPC ont permis de restaurer la plupart des perturbations engendrées dans les Caco-2/15 par le Fe/Asc et le LPS. Les CPC exhibaient le potentiel d’abaisser les niveaux de MDA, de corriger la composition des acides gras polyinsaturés n-3 et n-6, d’augmenter l’activité des enzymes antioxydantes (SOD, GPx et CAT) et d’élever l’expression de Nrf2 et PGC1α. En outre, les CPC pouvaient aussi réduire les niveaux élevés des protéines inflammatoires COX-2, TNF-α et IL-6 ainsi que la production des PGE2 par un mécanisme impliquant le NF-κB. Au niveau mitochondrial, les procyanidines oligomériques ont réussi à corriger les dysfonctions reliées à la production d’énergie (ATP), l’apoptose (Bcl-2, Cyt C et AIF) et le statut des facteurs de transcription mitochondriaux (mtTFA, mtTFB1, mtTFB2). Dans le but de bien comprendre les mécanismes d’action des CPC, nous avons défini par LC-MS les composés polyphénoliques qui ont été transportés ou absorbés par l’entérocyte. Nos analyses soulignent le transport (i) des acides cinnamiques et benzoïques (LC); (ii) la quercétine glycosylée et conjuguée et les procyanidines dimériques de type A (MC); et (iii) l’épicatéchine et les procyanidines oligomériques (HC). Les processus de métabolisation (méthylation, glucuronidation et sulfatation) au niveau de l’entérocyte ont probablement permis le transport de ces CPC surtout sous leur forme conjuguée. Les procyanidines oligomériques ayant un degré de polymérisation supérieur à 2 (HC) ont semblé adhérer aux cellules Caco-2/15. L’épicatéchine suivi par les procyanidines dimériques de type A ont été trouvés majoritaires au niveau des mitochondries. Même si nous ignorons encore l’action biologique de chaque composé polyphénolique, nous pouvons suggérer que leurs effets combinatoires exercent des fonctions antioxydantes, anti-inflammatoires et mitochondriales dans le modèle intestinal Caco-2/15. Dans une troisième étape, nous avons procédé à l’évaluation des aspects préventifs et thérapeutique des DAPP tout en sondant les mécanismes sous-jacents dans une étude préclinique. À cette fin, nous avons exploité le modèle de souris avec colite expérimentale provoquée par le Dextran Sulfate de Sodium (DSS). L’induction de l’inflammation intestinale chez la souris C57BL6 a été effectuée par l’administration orale de DSS à 2.5% pendant 10 jours. Des doses physiologiques et supra-physiologiques de DAPP (200 et 400 mg/kg/j, respectivement) ont été administrées par gavage pendant 10 jours pré- et post-DSS. L’inflammation par le DSS a provoqué une perte de poids, un raccourcissement du côlon, le décollement dystrophique de l’épithélium, l’exulcération et les infiltrations de cellules mono et polynucléaires au niveau du côlon. De plus, le DSS a induit une augmentation de la peroxidation lipidique, une régulation à la baisse des enzymes antioxydantes, une expression protéique à la hausse de la myéloperoxidase (MPO), du COX-2 et de la production des PGE2. Par ailleurs, les DAPP ont permis de corriger ou du moins d’alléger la plupart de ces anomalies en situation préventive ou thérapeutique, en plus d’abaisser l’expression protéique de NF-κB et des cytokines inflammatoires (TNF-a et l’IL-6) tout en stimulant les facteurs de transcription antioxydants (Nrf-2, PGC1α). Conséquemment, les polyphénols des DAPP ont exhibé leur puissant pouvoir antioxydant et anti-inflammatoire au niveau intestinal dans un modèle in vivo. Leurs actions sont associées à la régulation des voies de signalisation cellulaire et des changements dans la composition du microbiote. Ces trois projets de recherche permettent d’envisager l’évaluation des effets préventifs et thérapeutiques des DAPP cliniquement chez les patients avec des désordres inflammatoires de l’intestin.

Studying the Causes and Consequences of Internal Labor Migration Using Survey and Administrative Data Sources

This dissertation comprises three chapters. The first chapter motivates the use of a novel data set combining survey and administrative sources for the study of internal labor migration. By following a sample of individuals from the American Community Survey (ACS) across their employment outcomes over time according to the Longitudinal Employer-Household Dynamics (LEHD) database, I construct a measure of geographic labor mobility that allows me to exploit information about individuals prior to their move. This enables me to explore aspects of the migration decision, such as homeownership and employment status, in ways that have not previously been possible. In the second chapter, I use this data set to test the theory that falling home prices affect a worker’s propensity to take a job in a different metropolitan area from where he is currently located. Employing a within-CBSA and time estimation that compares homeowners to renters in their propensities to relocate for jobs, I find that homeowners who have experienced declines in the nominal value of their homes are approximately 12% less likely than average to take a new job in a location outside of the metropolitan area where they currently reside. This evidence is consistent with the hypothesis that housing lock-in has contributed to the decline in labor mobility of homeowners during the recent housing bust. The third chapter focuses on a sample of unemployed workers in the same data set, in order to compare the unemployment durations of those who find subsequent employment by relocating to a new metropolitan area, versus those who find employment in their original location. Using an instrumental variables strategy to address the endogeneity of the migration decision, I find that out-migrating for a new job significantly reduces the time to re-employment. These results stand in contrast to OLS estimates, which suggest that those who move have longer unemployment durations. This implies that those who migrate for jobs in the data may be particularly disadvantaged in their ability to find employment, and thus have strong short-term incentives to relocate.

O argumento de inclusão enquanto política de acesso à universidade pública

There are a great number of evidences showing that education is extremely important in many economic and social dimensions. In Brazil, education is a right guaranteed by the Federal Constitution; however, in the Brazilian legislation the right to the three stages of basic education: Kindergarten, Elementary and High School is better promoted and supported than the right to education at College level. According to educational census data (INEP, 2009), 78% of all enrolments in College education are in private schools, while the reverse is found in High School: 84% of all matriculations are in public schools, which shows a contradiction in the admission into the universities. The Brazilian scenario presents that public universities receive mostly students who performed better and were prepared in elementary and high school education in private schools, while private universities attend students who received their basic education in public schools, which are characterized as low quality. These facts have led researchers to raise the possible determinants of student performance on standardized tests, such as the Brazilian Vestibular exam, to guide the development of policies aimed at equal access to College education. Seeking inspiration in North American models of affirmative action policies, some Brazilian public universities have suggested rate policies to enable and facilitate the entry of "minorities" (blacks, pardos1, natives, people of low income and public school students) to free College education. At the Federal University of the state Rio Grande do Norte (UFRN), the first incentives for candidates from public schools emerged in 2006, being improved and widespread during the last 7 years. This study aimed to analyse and discuss the Argument of Inclution (AI) - the affirmative action policy that provides additional scoring for students from public schools. From an extensive database, the Ordinary Least Squares (OLS) technique was used as well as a Quantile Regression considering as control the variables of personal, socioeconomic and educational characteristics of the candidates from the Brazilian Vestibular exam 2010 of the Federal University of the state Rio Grande do Norte (UFRN). The results demonstrate the importance of this incentive system, besides the magnitude of other variables

Colombian mutual funds that invest in stocks: Do they create value?

Esta investigación evalúa el desempeño de 73 fondos de inversión colectiva (FIC) colombianos enfocados en acciones de 2005 a 2015 -- Para cuantificar el valor generado por estos fondos en comparación con sus respectivos activos de referencia (“benchmarks”), se calcula el alfa de Jensen mediante dos metodologías de regresión: Mínimos Cuadrados Ordinarios (MCO) y Regresión por Cuantiles -- También se analiza si estos fondos muestran evidencia de “market timing” o no, utilizando dos modelos: efecto cuadrático y variable binaria interactiva -- De igual manera, nuestro estudio propone la creación de una empresa privada en Colombia que provea a los inversores de información precisa sobre las características y desempeño histórico de estos fondos de inversión colectiva, como lo hace Morningstar Inc. en Estados Unidos -- Esto permitiría a los inversores seleccionar los fondos con mejores perspectivas y, como es de esperarse, haría este mercado más eficiente y atractivo para nuevos inversores potenciales

EL "PASS THROUGH" DEL TIPO DE CAMBIO EN LOS PRECIOS DE BIENES TRANSABLES Y NO TRANSABLES EN COSTA RICA

Este trabajo estima el coeficiente de pass through del tipo de cambio en los precios de bienes transables y no transables en Costa Rica, para el corto y el largo plazo. Se utiliza el análisis de mínimos cuadrados para estimar los coeficientes, y se explora la dinámica de ajuste de los modelos utilizando el análisis de vectores auto regresivo. Dentro de los principales resultados del modelo se encontró un coeficiente de pass through para los bienes transables de 13% en el corto plazo y de 68% en el largo plazo; para los bienes no transables, el pass through es de 10% y 52% en el corto y largo plazo respectivamente. En el largo plazo se incluye un 7% de pass through indirecto producto del efecto de los precios de los transables en los de no transables. El estudio de la dinámica de ajuste de los precios de transables y no transables ante un choque del tipo de cambio mostró una duración de 17 y 27 meses respectivamente. Además se realizaron pruebas de causalidad de Granger y estabilidad del modelo. La primera mostró una relación de precedencia entre las variaciones de tipo de cambio e inflación, y entre inflación de los transables y de los no transables. La segunda evidencia un cambio estructural en el modelo de los no transables entre fines de 1995 e inicio de 1996. AbstractThis paper estimates short run and long run coefficients of exchange rate pass through in to the prices of tradable and non tradable goods in Costa Rica. The coefficients are estimated by OLS. A VAR analysis is conducted in order to estimate the dynamic process between exchange rate and inflation. Granger causality test and a stability test are conducted too. The short run pass through coefficients are 13% and 10%, for tradable and non tradable goods respectively and the long run coefficients are 68% and 52% in the same order. There is a second stage pass through of 7% included in the long run coefficient for non tradable goods. The dynamic analysis shows that the adjustment process of prices as a result of an exchange rate shock takes 17 months for tradable goods and 27 months for non tradable goods. The Granger causality test shows precedence between variation in the exchange rate and inflation, and between the prices of tradable and non tradable goods. There is statistical evidence of a structural change in the non tradable model between the end of 1995 and the beginning of 1996.

Determinantes financeiros da estrutura de capital das PME industriais portuguesas ao longo dos ciclos económicos

Dissertação de Mestrado em Gestão Empresarial. Faculdade de Economia, Univ. do Algarve, 2004

Reputational risk of banks : a study on the effects of regulatory sanctions for major european banks

Mestrado em Finanças

The determinants of VAT revenues in Portugal

Mestrado em Finanças

Three Essays on a Longitudinal Analysis of Business Start-ups using the Kauffman Firm Survey

This dissertation focused on the longitudinal analysis of business start-ups using three waves of data from the Kauffman Firm Survey. The first essay used the data from years 2004-2008, and examined the simultaneous relationship between a firm’s capital structure, human resource policies, and its impact on the level of innovation. The firm leverage was calculated as, debt divided by total financial resources. Index of employee well-being was determined by a set of nine dichotomous questions asked in the survey. A negative binomial fixed effects model was used to analyze the effect of employee well-being and leverage on the count data of patents and copyrights, which were used as a proxy for innovation. The paper demonstrated that employee well-being positively affects the firm's innovation, while a higher leverage ratio had a negative impact on the innovation. No significant relation was found between leverage and employee well-being. The second essay used the data from years 2004-2009, and inquired whether a higher entrepreneurial speed of learning is desirable, and whether there is a linkage between the speed of learning and growth rate of the firm. The change in the speed of learning was measured using a pooled OLS estimator in repeated cross-sections. There was evidence of a declining speed of learning over time, and it was concluded that a higher speed of learning is not necessarily a good thing, because speed of learning is contingent on the entrepreneur's initial knowledge, and the precision of the signals he receives from the market. Also, there was no reason to expect speed of learning to be related to the growth of the firm in one direction over another. The third essay used the data from years 2004-2010, and determined the timing of diversification activities by the business start-ups. It captured when a start-up diversified for the first time, and explored the association between an early diversification strategy adopted by a firm, and its survival rate. A semi-parametric Cox proportional hazard model was used to examine the survival pattern. The results demonstrated that firms diversifying at an early stage in their lives show a higher survival rate; however, this effect fades over time.

Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

Performance determinants For Swedish Financial Monetary Institutions: Panel Data evidence between 2010-2014.

Due to the rapid changes that governs the Swedish financial sector such as financial deregulations and technological innovations, it is imperative to examine the extent to which the Swedish Financial institutions had performed amid these changes. For this to be accomplish, the work investigates what are the determinants of performance for Swedish Financial Monetary Institutions? Assumptions were derived from theoretical and empirical literatures to investigate the authenticity of this research question using seven explanatory variables. Two models were specified using Returns on Asset (ROA) and Return on Equity (ROE) as the main performance indicators and for the sake of reliability and validity, three different estimators such as Ordinary Least Square (OLS), Generalized Least Square (GLS) and Feasible Generalized Least Square (FGLS) were employed. The Akaike Information Criterion (AIC) was also used to verify which specification explains performance better while performing robustness check of parameter estimates was done by correcting for standard errors. Based on the findings, ROA specification proves to have the lowest Akaike Information Criterion (AIC) and Standard errors compared to ROE specification. Under ROA, two variables; the profit margins and the Interest coverage ratio proves to be statistically significant while under ROE just the interest coverage ratio (ICR) for all the estimators proves significant. The result also shows that the FGLS is the most efficient estimator, then follows the GLS and the last OLS. when corrected for SE robust, the gearing ratio which measures the capital structure becomes significant under ROA and its estimate become positive under ROE robust. Conclusions were drawn that, within the period of study three variables (ICR, profit margins and gearing) shows significant and four variables were insignificant. The overall findings show that the institutions strive to their best to maximize returns but these returns were just normal to cover their costs of operation. Much should be done as per the ASC theory to avoid liquidity and credit risks problems. Again, estimated values of ICR and profit margins shows that a considerable amount of efforts with sound financial policies are required to increase performance by one percentage point. Areas of further research could be how the individual stochastic factors such as the Dupont model, repo rates, inflation, GDP etc. can influence performance.

Fatores explicativos da rentabilidade do setor bancário

Na atual conjuntura económica em que o sistema financeiro vem apresentando rendibilidades divergentes nos últimos anos motivou o desenvolvimento deste temática na presente dissertação. Assim, o principal objetivo foi analisar e determinar as variáveis explicativas da rendibilidade das instituições financeiras que operam em Portugal, medida dada pela rendibilidade dos seus ativos. Neste estudo empirico utilizou-se uma amostra composta por 29 bancos portugueses e os resultados estimados foram obtidos pela aplicação do método econométrico OLS e repostam a 31 de Dezembro dos anos de 2002 a 2012. Os resultados estimados sugerem que as variáveis concentração, rácio de capital, rácio de endividamento e credito e juros vencidos revelaram-se estaticamente significativas nesta analise. Assim, parece existir uma relação positiva entre o grau de concentração do sistema bancário português e a sua rendibilidade. Por sua vez, existirá uma relação inversa entre o rácio de capital dos bancos e a sua rendibilidade. O mesmo se verifica com as variáveis rácio de endividamento e o credito e juros vencidos. Ou seja, quanto maior o nível de endividamento e o nível de incumprimento do sistema bancário menor será a sai rendibilidade. Todavia as variáveis macroeconómicas, inflação e PIB, assim como o rácio de solvabilidade não se apresentam como estatisticamente significativas na explicação da rendibilidade bancaria em Portugal.