The fitting of the German yield curve: A dynamic approach using latent, macroeconomic and stock market variables

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Collateral, default penalties and infinite horizon equilibrium

Pascoa and Seghir (2009) noticed that when collateralized promises become subject to utility penalties on default, Ponzi schemes may occur. However, equilibrium exists in some interesting cases. Under low penalties, equilibrium exists if the collateral does not yield utility (for example, when it is a productive asset or a security). Equilibrium exists also under more severe penalties and collateral utility gains, when the promise or the collateral are nominal assets and the margin requirements are endogenous: relative inflation rates and margin coefficients can make the income effects dominate the penalty effects. An equilibrium refinement avoids no-trade equilibria with unduly repayment beliefs. Our refinement differs from the one used by Dubey, Geanakoplos and Shubik (2005) as it does not eliminate no trade equilibria whose low delivery rates are consistent with the propensity to default of agents that are on the verge of selling.

Individual and aggregate money demands

I construct a model in which money and bond holdings are consistent with individual decisions and aggregate variables such as production and interest rates. The agents are infinitely-lived, have constant-elasticity preferences, and receive a fraction of their income in money. Each agent solves a Baumol-Tobin money management problem. Markets are segmented because financial frictions make agents trade bonds for money at different times. Trading frequency, consumption, government decisions and prices are mutually consistent. An increase in inflation, for example, implies higher trading frequency, more bonds sold to account for seigniorage, and lower real balances.

Mechanical characterization of aortas using 2D ultrasound elastography

Rupture of aortic aneurysms (AA) is a major cause of death in the Western world. Currently, clinical decision upon surgical intervention is based on the diameter of the aneurysm. However, this method is not fully adequate. Noninvasive assessment of the elastic properties of the arterial wall can be a better predictor for AA growth and rupture risk. The purpose of this study is to estimate mechanical properties of the aortic wall using in vitro inflation testing and 2D ultrasound (US) elastography, and investigate the performance of the proposed methodology for physiological conditions. Two different inflation experiments were performed on twelve porcine aortas: 1) a static experiment for a large pressure range (0 – 140 mmHg); 2) a dynamic experiment closely mimicking the in vivo hemodynamics at physiological pressures (70 – 130 mmHg). 2D raw radiofrequency (RF) US datasets were acquired for one longitudinal and two cross-sectional imaging planes, for both experiments. The RF-data were manually segmented and a 2D vessel wall displacement tracking algorithm was applied to obtain the aortic diameter–time behavior. The shear modulus G was estimated assuming a Neo-Hookean material model. In addition, an incremental study based on the static data was performed to: 1) investigate the changes in G for increasing mean arterial pressure (MAP), for a certain pressure difference (30, 40, 50 and 60 mmHg); 2) compare the results with those from the dynamic experiment, for the same pressure range. The resulting shear modulus G was 94 ± 16 kPa for the static experiment, which is in agreement with literature. A linear dependency on MAP was found for G, yet the effect of the pressure difference was negligible. The dynamic data revealed a G of 250 ± 20 kPa. For the same pressure range, the incremental shear modulus (Ginc) was 240 ± 39 kPa, which is in agreement with the former. In general, for all experiments, no significant differences in the values of G were found between different image planes. This study shows that 2D US elastography of aortas during inflation testing is feasible under controlled and physiological circumstances. In future studies, the in vivo, dynamic experiment should be repeated for a range of MAPs and pathological vessels should be examined. Furthermore, the use of more complex material models needs to be considered to describe the non-linear behavior of the vascular tissue.

Macroeconomic effects of monetary policy in the Eurozone

To study the macroeconomic effects of unconventional monetary policy across the different countries of the eurozone, I develop an identification scheme to disentangle conventional from non-conventional policy shocks, using futures contracts on overnight interest rates and the size of the European Central Bank balance sheet. Setting these shocks as endogenous variables in a structural vector autoregressive (SVAR) model, along with the CPI and the employment rate, estimated impulse response functions of policy to macroeconomic variables are studied. I find that unconventional policy shocks generated mixed effects in inflation but had a positive impact on employment, with the exception of Portugal, Spain, Greece and Italy where the employment response is close to zero or negative. The heterogeneity that characterizes the responses shows that the monetary policy measures taken in recent years were not sufficient to stabilize the economies of the eurozone countries under more severe economic conditions.

Deflation and monetary policy: A look into Japan and the Euro Area

With more than two decades of weak economic performance since the bubble burst in the ‘90s, the Japanese deflationary scenario has become the economic fate every developed economy fears to become. As the euro area continues to experience sustained low inflation, studying the Japanese monetary policy may shed light on how to prevent persistent deflation. Using an SVAR methodology to understand the monetary transmission mechanism, we find some evidence that the euro area may possess characteristics that would eventually lead to a deflationary scenario. The extent of whether it would suffer the same Japanese fate would depend on how macroeconomic policies are timely coordinated as a response to its liquidity problem and increasing public debt across member states.

Different doses of exogenous surfactant for treatment of meconium aspiration syndrome in newborn rabbits

OBJECTIVE: To evaluate the effects of 2 different doses of exogenous surfactant on pulmonary mechanics and on the regularity of pulmonary parenchyma inflation in newborn rabbits. METHOD: Newborn rabbits were submitted to tracheostomy and randomized into 4 study groups: the Control group did not receive any material inside the trachea; the MEC group was instilled with meconium, without surfactant treatment; the S100 and S200 groups were instilled with meconium and were treated with 100 and 200 mg/kg of exogenous surfactant (produced by Instituto Butantan) respectively. Animals from the 4 groups were mechanically ventilated during a 25-minute period. Dynamic compliance, ventilatory pressure, tidal volume, and maximum lung volume (P-V curve) were evaluated. Histological analysis was conducted using the mean linear intercept (Lm), and the lung tissue distortion index (SDI) was derived from the standard deviation of the means of the Lm. One-way analysis of variance was used with a = 0.05. RESULTS: After 25 minutes of ventilation, dynamic compliance (mL/cm H2O · kg) was 0.87 ± 0.07 (Control); 0.49 ± 0.04 (MEC*); 0.67 ± 0.06 (S100); and 0.67 ± 0.08 (S200), and ventilatory pressure (cm H2O) was 9.0 ± 0.9 (Control); 16.5 ± 1.7 (MEC*); 12.4 ± 1.1 (S100); and 12.1 ± 1.5 (S200). Both treated groups had lower Lm values and more homogeneity in the lung parenchyma compared to the MEC group: SDI = 7.5 ± 1.9 (Control); 11.3 ± 2.5 (MEC*), 5.8 ± 1.9 (S100); and 6.7 ± 1.7 (S200) (*P < 0.05 versus all the other groups). CONCLUSIONS: Animals treated with surfactant showed significant improvement in pulmonary mechanics and more regularity of the lung parenchyma in comparison to untreated animals. There was no difference in results after treatment with either of the doses used.

The determinants of net interest margins & net interest spreads in the Russian & Japanese Commercial Banking sectors

This study presents an empirical investigation of the determinants of net interest margins and spreads in the Russian and Japanese banking sectors with a particular focus on commercial banks. Net interest mar-gins and spreads serve as indicators of financial intermediation efficiency. This paper employed a bank-level unbalanced panel dataset prolonging from 2005 to 2014. My main empirical results show that bank characteristics explain the most of the variation in not only net interest margins but also in spreads. Capi-talization, liquidity risk, inflation, economic growth, private and government debt are important determi-nants of margin in Russia. In Japan to the contrary loan and deposit market concentration along with bank size do predominate. Common significant variables in both countries are the substitution effect, cost effi-ciency and profitability. Turning to net interest spreads, micro- and macro-specific variables are the main significant drivers in Russia. I reach the conclusion that there are no significant determinants of net interest spreads in Japan within the original selection of variables, but operating efficiency and deposits to total funding seem to prevail. In both countries, there are solid differences in the net interest margins as well as spreads once the pre- and the post-crisis periods are considered.

Exchange rate pressure in Angola

The objective of this work is to develop an operational tool to analyze exchange rate pressure in the context of Angola. The Angolan economy exhibits a number of relevant characteristics: a closed financial account, a partially controlled current account, a highly dollarized economy and exports (oil) price determined in World markets. These features have a direct effect on the demand of foreign currency and motivate their inclusion in the specification of a model for Angola. The model provides the rational for a measure of an exchange market rate pressure (EMP) index that contains exports changes, imports changes, the foreign interest rate and inflation and the change in foreign reserves corrected for a measure dollarization. The empirical performance new measure is comparable (slightly better) to the performance of the EMP indexes obtained in Eichengreen Rose and Wyplosz (1994) and Klassen and Jager (2011).

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Improving buildings energy performance: comparison between simple payback period and life cycle costs analysis

The building sector is one of the Europeâ s main energy consumer, making buildings an important target for a wiser energy use, improving indoor comfort conditions and reducing the energy consumption. To achieve the European Union targets for energy consumption and carbon reductions it is crucial to act in new, but also in existing buildings, which constitute the majority of the building stock. In existing buildings, the significant improvement of their efficiency requires important investments. Therefore, costs are a major concern in the decision making process and the analysis of the cost effectiveness of the interventions is an important path in the guidance for the selection of the different renovation scenarios. The Portuguese thermal legislation considers the simple payback method for the calculations of the time for the return of the investment. However, this method does not take into consideration inflation, cash flows and cost of capital, as well as the future costs of energy and the building elements lifetime as it happens in a life cycle cost analysis. In order to understand the impact of the economic analysis method used in the choice of the renovation measures, a case study has been analysed using simple payback calculations and life cycle costs analysis. Overall results show that less far-reaching renovation measures are indicated when using the simple payback calculations which may be leading to solutions less cost-effective in a long run perspective.

A inflação pela imaginação: Estudo dos efeitos interferentes

Tese de Doutoramento em Psicologia (Especialidade de Psicologia Experimental e Ciências Cognitivas)

Cutting balloon angioplasty for intrastent restenosis treatment

We describe here two patients with angiographic diagnosis of intrastent restenosis and regional myocardial ischemia. One stent restenosis was located in a native coronary artery and the other in a vein graft. Both were treated with cutting balloon angioplasty (CBA), inflated at low pressures. Angiographic success was obtained and both patients were discharged in the day after the procedure. Cutting balloon angioplasty using low inflation pressures achieved important luminal gains, in these two cases of intrastent restenosis. Further studies are necessary before the effectiveness of this procedure can be precisely defined.

Metabolic and hemodynamic effects of saline infusion to maintain volemia on temporary abdominal aortic occlusion

OBJECTIVE: To analyze hemodynamic and metabolic effects of saline solution infusion in the maintenance of blood volume in ischemia-reperfusion syndrome during temporary abdominal aortic occlusion in dogs. METHODS: We studied 20 dogs divided into 2 groups: the ischemia-reperfusion group (IRG, n=10) and the ischemia-reperfusion group with saline solution infusion aiming at maintaining mean pulmonary arterial wedge pressure between 10 and 20 mmHg (IRG-SS, n=10). All animals were anesthetized with sodium thiopental and maintained on spontaneous ventilation. Occlusion of the supraceliac aorta was obtained with inflation of a Fogarty catheter inserted through the femoral artery. After 60 minutes of ischemia, the balloon was deflated, and the animals were observed for another 60 minutes of reperfusion. RESULTS: IRG-SS dogs did not have hemodynamic instability after aortic unclamping, and the mean systemic blood pressure and heart rate were maintained. However, acidosis worsened, which was documented by a greater reduction of arterial pH that occurred especially due to the absence of a respiratory response to metabolic acidosis that was greater with the adoption of this procedure. CONCLUSION: Saline solution infusion to maintain blood volume avoided hemodynamic instability after aortic unclamping. This procedure, however, caused worsening in metabolic acidosis in this experimental model.

Interactions between fiscal and monetary policy

Mestrado em Economia Monetária e Financeira