Informational spillovers in the pre-1914 London sovereign debt market

We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a major informational role to investors, most likely because of the absence of international monitoring agencies and the substantial agency costs. Using two events of financial distress – the Brazilian Funding Loan of 1898 and the Greek Funding Loan of 1893 – as quasi-natural experiments, we document that, following the crises, the bond prices of countries with no meaningful economic links to the distressed countries, but shared the same financial intermediary, suffered a reduction relative to the rest of the market. This result is true for the mean, median and the whole distribution of bond prices, and robust to an extensive sensitivity analysis. We interpret it as evidence that the identity of the financial intermediary was informative, i.e, investors extracted information about the soundness of a debtor based on the existence of financial relationships. This spillover, informational in essence, arises as the flip-side of the relational lending coin: contagion arises for the same reason why relational finance, in this case, underwriting, helps alleviate informational and incentive problems.

Inglorious revolution : sovereign debt, tropical credibility, and financial underdevelopment in imperial Brazil

In 1824 the creation of institutions that constrained the monarch’s ability to unilaterally tax, spend, and debase the currency put Brazil on a path toward a revolution in public finance, roughly analogous to the financial consequences of England’s Glorious Revolution. This credible commitment to honor sovereign debt resulted in successful long-term funded borrowing at home and abroad from the 1820s through the 1880s that was unrivalled in Latin America. Some domestic bonds, denominated in the home currency and bearing exchange clauses, eventually circulated in European financial markets. The share of total debt accounted for by long-term funded issues grew, and domestic debt came to dominate foreign debt. Sovereign debt yields fell over time in London and Rio de Janeiro, and the cost of new borrowing declined on average. The market’s assessment of the probability of default tended to decrease. Imperial Brazil enjoyed favorable conditions for borrowing, and escaped the strong form of “original sin” stressed by recent work on sovereign debt. The development of vibrant private financial markets did not, however, follow from the enhanced credibility of government debt. Private finance in Imperial Brazil suffered from politicized market interventions that undermined the development of domestic capital markets. Private interest rates remained high, entry into commercial banking was heavily restricted, and limited-liability joint-stock companies were tightly controlled. The Brazilian case provides a powerful counterexample to the general proposition of North and Weingast that institutional changes that credibly commit the government to honor its obligations necessarily promote the development of private finance. The very institutions that enhanced the credibility of sovereign debt permitted the systematic repression of private financial development. In terms of its consequences for domestic capital markets, the liberal Constitution of 1824 represented an “inglorious” revolution.

The effect of default risk on trading book capital requirements for public equities : an irc application for the Brazilian market

Esse é um dos primeiros trabalhos a endereçar o problema de avaliar o efeito do default para fins de alocação de capital no trading book em ações listadas. E, mais especificamente, para o mercado brasileiro. Esse problema surgiu em crises mais recentes e que acabaram fazendo com que os reguladores impusessem uma alocação de capital adicional para essas operações. Por essa razão o comitê de Basiléia introduziu uma nova métrica de risco, conhecida como Incremental Risk Charge. Essa medida de risco é basicamente um VaR de um ano com um intervalo de confiança de 99.9%. O IRC visa medir o efeito do default e das migrações de rating, para instrumentos do trading book. Nessa dissertação, o IRC está focado em ações e como consequência, não leva em consideração o efeito da mudança de rating. Além disso, o modelo utilizado para avaliar o risco de crédito para os emissores de ação foi o Moody’s KMV, que é baseado no modelo de Merton. O modelo foi utilizado para calcular a PD dos casos usados como exemplo nessa dissertação. Após calcular a PD, simulei os retornos por Monte Carlo após utilizar um PCA. Essa abordagem permitiu obter os retornos correlacionados para fazer a simulação de perdas do portfolio. Nesse caso, como estamos lidando com ações, o LGD foi mantido constante e o valor utilizado foi baseado nas especificações de basiléia. Os resultados obtidos para o IRC adaptado foram comparados com um VaR de 252 dias e com um intervalo de confiança de 99.9%. Isso permitiu concluir que o IRC é uma métrica de risco relevante e da mesma escala de uma VaR de 252 dias. Adicionalmente, o IRC adaptado foi capaz de antecipar os eventos de default. Todos os resultados foram baseados em portfolios compostos por ações do índice Bovespa.

Capital flows to Latin America: second quarter 2002

Includes bibliography

Mortgage securitization and its credit risk control

This dissertation concentrate on the mortgage securitization and its credit risk, which are criticized as the main causes of the financial crisis. From the point of the veiw of mortgage's evolution, the nature, structure and function of mortgage has been radically changed, yet the mortgage law did not give appropriate response to this market change. Meanwhile, the U.S legilslations facilitating the mortgage securitization also have rotten the legal foundations for mortgage market self-regulation and sustained development. In contrast, the EU covered bond system has kept financial stability for 200 years' time, and their statutory approach has been proved to be able to control the credit risk and incentive problems very well, in combination of market self-regulation and public regulation. So the future reform should be directed to strengthen the market's capacity of self-regulation and improve the public regulation. For the development of mortgage securitization in China, it is suggested to introduce the EU covered bond system for the reason of the equilibrium between funding efficiency and financial stability.

Do Words Matter? The Impact of Communication on the PIIGS' CDS and Bond Yield Spreads during Europe's Sovereign Debt Crisis

The paper aims to shed light on the role of communication in the European debt crisis. It examines the effects of public statements by ECB Governing Council members, EU officials and national representatives on the PIIGS' CDS and bond yield spreads. The focus lies on dovish statements that signal strong determination in the rescue of indebted countries, and hawkish statements that indicate limited commitment to support the PIIGS and protect its creditors. The analysis of daily data for the period between January 1, 2009 and August 12, 2011 in an EGARCH framework suggests that communication by representatives of Germany, France, and the EU as well as ECB Governing Council members had an immediate impact on both types of securities. No effects.

Planning and implementation efficacy as a determinant of health risk communication outcomes: Case studies of the U.S. Public Health Service (PHS)

This study was conducted under the auspices of the Subcommittee on Risk Communication and Education of the Committee to Coordinate Environmental Health and Related Programs (CCEHRP) to determine how Public Health Service (PHS) agencies are communicating information about health risk, what factors contributed to effective communication efforts, and what specific principles, strategies, and practices best promote more effective health risk communication outcomes.^ Member agencies of the Subcommittee submitted examples of health risk communication activities or decisions they perceived to be effective and some examples of cases they thought had not been as effective as desired. Of the 10 case studies received, 7 were submitted as examples of effective health risk communication, and 3, as examples of less effective communication.^ Information contained in the 10 case studies describing the respective agencies' health risk communication strategies and practices was compared with EPA's Seven Cardinal Rules of Risk Communication, since similar rules were not found in any PHS agency. EPA's rules are: (1) Accept and involve the public as a legitimate partner. (2) Plan carefully and evaluate your efforts. (3) Listen to the public's specific concerns. (4) Be honest, frank, and open. (5) Coordinate and collaborate with other credible sources. (6) Meet the needs of the media. (7) Speak clearly and with compassion.^ On the basis of case studies analysis, the Subcommittee, in their attempts to design and implement effective health risk communication campaigns, identified a number of areas for improvement among the agencies. First, PHS agencies should consider developing a focus specific to health risk communication (i.e., office or specialty resource). Second, create a set of generally accepted practices and guidelines for effective implementation and evaluation of PHS health risk communication activities and products. Third, organize interagency initiatives aimed at increasing awareness and visibility of health risk communication issues and trends within and between PHS agencies.^ PHS agencies identified some specific implementation strategies the CCEHRP might consider pursuing to address the major recommendations. Implementation strategies common to PHS agencies emerged in the following five areas: (1) program development, (2) building partnerships, (3) developing training, (4) expanding information technologies, and (5) conducting research and evaluation. ^

The response of Texas public health agencies and workers to the emergency preparedness initiatives after 9/11

The purpose of this research was to better understand the impact of the terrorist attacks in 2001 on public health, particularly for Texas public health. This study employed mixed methods to examine changes to public health culture within Texas local public health agencies, important attitudes of public health workers toward responding to a disaster, and the funding policies that might ensure our investment in public health emergency preparedness is protected. ^ A qualitative analysis of interviews conducted with a large sample of public health officials in Texas found that all the constituent parts of a peculiar culture for public health preparedness existed that spanned the state's local health departments regardless of size, or funding level. The new preparedness culture in Texas had the hallmarks necessary for a robust public health preparedness and emergency response system. ^ The willingness of public health workers, necessary to make these kinds of changes and mount a disaster response was examined in one of Texas' most experienced disaster response teams—the public health workers for the City of Houston. A hypothesized latent variable model showed that willingness mediated all other factors in the model (self-efficacy, knowledge, barriers, and risk perception) for self-reported likelihood of reporting to work for a disaster. The RMSEA for the final model was 0.042 with a confidence interval of 0.036—0.049 and the chi-squared difference test was P=0.08, indicating a well-fitted model that suggests willingness is an important factor for consideration by preparedness planners and researchers alike. ^ Finally, with disasters on the rise and federal funding for preparedness dwindling, a review of states' policies for the distribution of these funds and their advantages and disadvantages were examined through a review of current literature and public documents, and a survey of state-level public health officials, emergency management professionals and researchers. Although the base plus per-capita method is the most common, it is not necessarily perceived to be the most effective. No clear "optimal" method emerged from the study, but recommendations for a strategic combination of three methods were made that has the potential to maximize the benefits of each method, while minimizing the weaknesses.^

Development of a Household Pharmaceutical Waste Collection Program for Atlanta, Georgia: An Analysis of Risk Factors and Public Awareness with a Comprehensive Collection Plan

Decades of mixed messages from three federal agencies left many Americans unaware of the hazards associated with the indiscriminate disposal of unwanted or expired medicines. For this Capstone project, a systematic review of state and federal regulations was undertaken to determine how these laws obstruct household pharmaceutical waste collection. In addition, a survey of 654 Atlanta residents was conducted to evaluate unwanted medicine disposal habits, awareness of pharmaceutical compounds being detected in drinking water, surface, and ground waters, and willingness to participate in a household pharmaceutical waste collection program. Survey responses were tabulated to provide overall results and by age group, gender, and race. A household pharmaceutical waste collection plan was developed for the city and included as an appendix.

The Impact of the ECB’s Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area. Bruges European Economic Research Papers 35/2015

This paper estimates the immediate impact of the European Central Bank’s asset purchase programmes on sovereign bond spreads in the euro area between 2008 and 2015 using a country-by-country GARCH model. The baseline estimates are rigorously diagnosed for misspecification and subjected to a wide range of sensitivity tests. Among others, changes in the dependent variable, the independent variables and the number of (G)ARCH terms are tested. Moreover, the model is applied to subsamples and dynamic conditional correlations are analyzed to estimate the effects of the asset purchases on the contagion of spread movements. Generally, it is found that the asset purchase programmes triggered an reduction of sovereign bond spreads. More specifically, the Securities Markets Programme (SMP) had the most significant immediate effects on sovereign bond spreads across the euro area. The announcements related to the Outright Monetary Transactions (OMT) programme also yielded substantial spread compression in the periphery. In contrast to that, the most recent Public Sector Purchase Programme (PSPP) announced in January 2015 and implemented since March 2015 had no significant immediate effects on sovereign bond spreads, except for Irish spreads. Hence, immediate effects seem to be dependent upon the size of the programme, the extent to which it targets distressed sovereigns and the way in which it is communicated.

Treaty between the Twenty Two Sovereign Nations on the Reduction of their Conventional Armed Forces in Europe.

Includes protocols and annexes to the treaty.

Agriculture, Rural Development, Food and Drug Administration, and related agencies appropriations for 2012 : hearings before a Subcommittee of the Committee on Appropriations, House of Representatives, One Hundred Twelfth Congress, first session /

Shipping list number: 2011-0276-P (pt. 1A), 2011-0274-P (pt. 1B), 2011-0283-P (pt. 1C), 2011-0318-P (pt. 2), 2011-0339-P (pt. 4), 2011-0366-P (pt. 5), 2011-0375-P (pt. 6), 2011-0367-P (pt. 7), 2011-0372-P (pt. 8), 2012-0014-P (pt. 9).

The nullity of the government of Queen Victoria in Ireland, or, The pope the virtual ruler of the land : Being an exhibition of the laws of the papacy, set up by the Romish bishops to subvert the authority of their lawful sovereign, in 1832 /

Mode of access: Internet.

Antibiotic resistance : federal agencies need to better focus efforts to address risk to humans from antibotics use in animals : report to congressional requesters /

"GAO-04-490."