Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

Wage adjustments under extreme downward nominal wage rigidity

Using a rich and highly accurate dataset for Portugal spanning from 1986 to 2013, this paper analyzes the determinants of downward nominal wage rigidity, mainly focusing on macroeconomic factors. The data supports the hypothesis that recessionary periods alongside with low in ation contribute to a higher degree of wage rigidity, as measured by the incidence of nominal wage freezes. It is further highlighted how this lack of wage adjustments con- tributed to an increase in labor costs which culminated in a wage markup of 6-7%. This paper, thus seems to corroborate the argument that low in ation did exacerbated the downward in exibility of (real) wages after the Great Recession.

Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

Macroeconomic risk in commodities market

The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.

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.

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.

Determinants for the subcellular localization of the inner and outer spore coat hubs in Bacillus subtilis

Endospores, or spores for simplicity, are a highly resistant cell type produced by some bacterial species under adverse conditions. Two main protective layers contribute to the resilience of spores: the cortex, composed of peptidoglycan, and the outermost proteinaceous coat. In Bacillus subtilis, the coat comprises up to 80 different proteins, organized into four sublayers: the basement layer, the inner coat, the outer coat and the crust. These proteins are synthesized at different times during sporulation and deposited at the spore surface in multiple coordinated waves. Central to coat formation is a group of morphogenetic proteins that guide the assembly of the coat components. Targeting of the coat proteins to the surface of the developing spore is mainly controlled by the SpoIVA morphogenetic ATPase. In a second stage, the coat proteins fully encircle the spore, a process termed encasement that requires the morphogenetic protein SpoVID. Assembly of the inner coat requires SafA, whereas formation of the outer coat and the crust requires CotE. SafA interacts directly with the N terminus of SpoVID. (...)

Comprehensive Expression Analyses of Neural Cell-Type-Specific miRNAs Identify New Determinants of the Specification and Maintenance of Neuronal Phenotypes.

MicroRNAs (miRNAs) have been shown to play important roles in both brain development and the regulation of adult neural cell functions. However, a systematic analysis of brain miRNA functions has been hindered by a lack of comprehensive information regarding the distribution of miRNAs in neuronal versus glial cells. To address this issue, we performed microarray analyses of miRNA expression in the four principal cell types of the CNS (neurons, astrocytes, oligodendrocytes, and microglia) using primary cultures from postnatal d 1 rat cortex. These analyses revealed that neural miRNA expression is highly cell-type specific, with 116 of the 351 miRNAs examined being differentially expressed fivefold or more across the four cell types. We also demonstrate that individual neuron-enriched or neuron-diminished RNAs had a significant impact on the specification of neuronal phenotype: overexpression of the neuron-enriched miRNAs miR-376a and miR-434 increased the differentiation of neural stem cells into neurons, whereas the opposite effect was observed for the glia-enriched miRNAs miR-223, miR-146a, miR-19, and miR-32. In addition, glia-enriched miRNAs were shown to inhibit aberrant glial expression of neuronal proteins and phenotypes, as exemplified by miR-146a, which inhibited neuroligin 1-dependent synaptogenesis. This study identifies new nervous system functions of specific miRNAs, reveals the global extent to which the brain may use differential miRNA expression to regulate neural cell-type-specific phenotypes, and provides an important data resource that defines the compartmentalization of brain miRNAs across different cell types.

Heritability, determinants and reference values of renal length: a family-based population study.

OBJECTIVES: In this population-based study, reference values were generated for renal length, and the heritability and factors associated with kidney length were assessed. METHODS: Anthropometric parameters and renal ultrasound measurements were assessed in randomly selected nuclear families of European ancestry (Switzerland). The adjusted narrow sense heritability of kidney size parameters was estimated by maximum likelihood assuming multivariate normality after power transformation. Gender-specific reference centiles were generated for renal length according to body height in the subset of non-diabetic non-obese participants with normal renal function. RESULTS: We included 374 men and 419 women (mean ± SD, age 47 ± 18 and 48 ± 17 years, BMI 26.2 ± 4 and 24.5 ± 5 kg/m(2), respectively) from 205 families. Renal length was 11.4 ± 0.8 cm in men and 10.7 ± 0.8 cm in women; there was no difference between right and left renal length. Body height, weight and estimated glomerular filtration rate (eGFR) were positively associated with renal length, kidney function negatively, age quadratically, whereas gender and hypertension were not. The adjusted heritability estimates of renal length and volume were 47.3 ± 8.5 % and 45.5 ± 8.8 %, respectively (P < 0.001). CONCLUSION: The significant heritability of renal length and volume highlights the familial aggregation of this trait, independently of age and body size. Population-based references for renal length provide a useful guide for clinicians. KEY POINTS: • Renal length and volume are heritable traits, independent of age and size. • Based on a European population, gender-specific reference values/percentiles are provided for renal length. • Renal length correlates positively with body length and weight. • There was no difference between right and left renal lengths in this study. • This negates general teaching that the left kidney is larger and longer.

Treatment motivation in adolescents with psychosis or at high risk: Determinants and impact on improvements in symptoms and cognitive functioning, preliminary results.

Abstract Low motivation is frequent in chronic disorders such as psychosis and may limit treatment efficacy. Although some evidence supports this view in adults, few studies so far have focused on adolescents. We assessed the impact of baseline symptoms, cognitive deficits and cognitive treatment characteristics on treatment motivation (TM), and examined whether TM affected treatment outcome. Twenty-eight adolescents with psychotic disorders participated in 16 sessions of computerized cognitive remediation or games. TM was assessed for each session. Lower TM was predicted by more severe symptoms at baseline, and was associated with smaller improvements in symptoms and both cognitive and psychosocial functioning at the end of the intervention. Experiencing success in the treatment exercises enhanced TM in all patients.

Contextual determinants of alcohol consumption changes and preventive alcohol policies: a 12-country European study in progress.

Beginning with France in the 1950s, alcohol consumption has decreased in Southern European countries with few or no preventive alcohol policy measures being implemented, while alcohol consumption has been increasing in Northern European countries where historically more restrictive alcohol control policies were in place, even though more recently they were loosened. At the same time, Central and Eastern Europe have shown an intermediate behavior. We propose that country-specific changes in alcohol consumption between 1960 and 2008 are explained by a combination of a number of factors: (1) preventive alcohol policies and (2) social, cultural, economic, and demographic determinants. This article describes the methodology of a research study designed to understand the complex interactions that have occurred throughout Europe over the past five decades. These include changes in alcohol consumption, drinking patterns and alcohol-related harm, and the actual determinants of such changes.

Abortion trends 1990-1999 in a Swiss region and determinants of abortion recurrence.

OBJECTIVE: To assess age- and nationality-specific trends in abortion rates over the last decade, and to describe women's characteristics, identifying risk factors for repeated abortion. METHODS: From 1990-1999, the Health Department of Canton Vaud (Switzerland) received 13'857 abortion requests from residents aged 14-49. Population data were obtained to compute rates. RESULTS: Both the number of abortions (1400 annually) as well as their rate (8.9 per thousand women [95% confidence interval (CI) 7.3-10.5]) were stable over the decade in question. The rate of abortion for foreign women, especially from ex-Yugoslavia and Africa, was twice that for Swiss women. Half of the requests came from single women, 43% had a low education level, and half were childless. The main reason for requesting termination of pregnancy was psychosocial (93%). The mean gestational age was 7.7 weeks (SD +/- 2.3), but 96% of requests were submitted before 12 weeks. Sixty-three percent of women reported that they had used no contraception, 36% the condom and 17% the pill. Among requests, the adjusted risk of repeated abortion (22% of abortion candidates) was greater among divorced/separated/widowed women (odds ratio [OR] 1.9 [95% CI 1.5-2.4]), unemployed women (OR 1.8 [95% CI 1.5-2.1]), and those who had not attended university (OR 1.6 [95% CI 1.1-2.2]). CONCLUSIONS: Although Swiss law only permitted abortion under strict conditions, this procedure was widely available in Vaud, which nevertheless has one of the lowest rates worldwide. Efforts must be intensified to ensure universal access to family planning services, especially for foreign women and adolescents. Professionals should also target "repeaters" to provide personalised counselling.

Socio-cultural determinants of adiposity and physical activity in preschool children: a cross-sectional study.

Both individual socio-cultural determinants such as selected parental characteristics (migrant background, low educational level and workload) as well as the regional environment are related to childhood overweight and physical activity (PA). The purpose of the study was to compare the impact of distinct socio-cultural determinants such as the regional environment and selected parental characteristics on adiposity, PA and motor skills in preschool children. Forty preschools (N = 542 children) of two culturally different urban regions (German and French speaking part of Switzerland) participated in the study (Ballabeina Study). Outcome measures included adiposity (BMI and skinfold thickness), objectively measured sedentary activities and PA (accelerometers) and agility performance (obstacle course). Parental characteristics (migrant status, educational level and workload) were assessed by questionnaire. Children from the French speaking areas had higher adiposity, lower levels of total and of more intense PA, were more sedentary and less agile than children from the German speaking regions (percent differences for all outcome parameters except for BMI ≥10%; all p ≤ 0.04). Differences in skinfold thickness, sedentary activities and agility, but not in PA, were also found between children of Swiss and migrant parents, though they were ≤8% (p ≤ 0.02). While paternal workload had no effect, maternal workload and parental education resulted in differences in some PA measures and/or agility performance (percent differences in both: ≤9%, p ≤ 0.008), but not in adiposity or sedentary activities (p = NS). Regional differences in skinfold thickness, PA, sedentary activities and agility performance persisted after adjustment for parental socio-cultural characteristics, parental BMI and, where applicable, children's skinfolds (all p ≤ 0.01). The regional environment, especially the broader social environment, plays a prominent role in determining adiposity, PA and motor skills of young children and should be implicated in the prevention of obesity and promotion of PA in children. clinicaltrials.gov NCT00674544.