Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Violência na escola : implicações na prática docente

Este estudo aborda fatos veiculados a violência na escola mostrando situações em que docentes e estudantes são ameaçados e agredidos por outros sujeitos vinculados a escola ou a comunidade. Tendo como questão norteadora a violência na escola e suas implicações na prática docente. Nesse sentido procurou-se abordar as mais recentes literaturas acerca do tema em destaque a fim de compreendermos a realidade da qual nos propomos estudar. A finalidade dessa pesquisa é compreender de que maneira esse tipo de violência afeta a vida dos sujeitos em uma escola da Rede Pública Municipal de Olinda-PE, através do levantamento de informações acerca do tipo de violência praticada no contexto escolar; identificando os fatos que levam a prática dessa modalidade de violência por parte dos sujeitos da escola e analisar os fatores que contribuem para ocorrência desse fenômeno no ambiente escolar. Metodologicamente optamos pela abordagem qualitativa descritiva e quantitativa objetivando o aprofundamento da temática proposta, utilizando-se como técnica de coleta de dados o questionário e o inquérito por entrevista. A análise dos dados partiu dos discursos de Bardin (2002), através do método análise de conteúdo. Os autores que subsidiaram o estudo foram: Adorno (1971); Bourdieu (2001); Peralva (2000), Abramovay (2002); Debarbieux (2002); Fante (2005) dentre outros que tratam da violência na escola numa perspectiva histórico-social. Assim, pudemos constatar que essa modalidade de violência origina-se na sociedade e se dissemina através de danos físicos ou simbólicos, que são aplicados de modo individual ou grupos. E que num plano maior muitas vezes é associada à pobreza, a desigualdade social, desemprego e falhas de comunicação. É também oposta a utilização da razão, aceitação e diálogo, estando relacionados a diversos tipos de poderes em todos os tipos de relações entre os seres humanos. Contudo, concluiu-se que os sujeitos não estão preparados para lidar com o fenômeno da violência escolar e que é preciso abrir espaços para que todos participem da busca de soluções para evitar e combater o problema.

A mobilidade no sector bancário português

Devido ao período difícil que o país atravessa é importante para todos os sectores empresariais e também, para a banca, que não se percam clientes para a concorrência, de modo a conseguir fidelizá-los. Os consumidores têm o direito de eleger o banco onde pretendem que exista uma relação. Desta forma, perante o mercado existente e os produtos que as instituições bancárias oferecem num determinado momento, os consumidores têm de analisar as várias propostas dos bancos e esta escolha tem por base diversos fatores: o preço, a localização do banco, qualidade de atendimento, etc. No caso de um determinado consumidor não estar satisfeito com o serviço prestado pelo seu banco, quer em termos de preços ou qualidade, tem o direito de mudar de banco. No entanto, e perante a crise que se atravessa, os bancos colocam alguns entraves na saída do cliente para o banco concorrente, nomeadamente, custos de mudança. Estes custos refletem, principalmente, as comissões de encerramento de produtos bancários. Assim, para que a mobilidade dos clientes se realize sem entraves, os bancos devem simplificar as medidas de modo a facilitar este processo de transferência dos clientes, para outras instituições.

Self-Fulfilling Crises in the Eurozone: An Empirical Test. CEPS Working Document No. 366, 22 June 2012

This paper tests the hypothesis that government bond markets in the eurozone are more fragile and more susceptible to self-fulfilling liquidity crises than in stand-alone countries. We find evidence that a significant part of the surge in the spreads of the PIGS countries (Portugal, Ireland, Greece and Spain) in the eurozone during 2010-11 was disconnected from underlying increases in the debt-to-GDP ratios and fiscal space variables, and was the result of negative self-fulfilling market sentiments that became very strong since the end of 2010. We argue that this can drive member countries of the eurozone into bad equilibria. We also find evidence that after years of neglecting high government debt, investors became increasingly worried about this in the eurozone, and reacted by raising the spreads. No such worries developed in stand-alone countries despite the fact that debt-to-GDP ratios and fiscal space variables were equally high and increasing in these countries.

A budget for Europe's Monetary Union. Bruegel Policy Contribution 2012/22, December 2012

In a monetary union, national fiscal deficits are of limited help to counteract deep recessions; union-wide support is needed. A common euro-area budget (1) should provide a temporary but significant transfer of resources in case of large regional shocks, (2) would be an instrument to counteract severe recessions in the area as a whole, and (3) would ensure financial stability. The four main options for stabilisation of regional shocks to the euro area are: unemployment insurance, payments related to deviations of output from potential, the narrowing of large spreads, and discretionary spending. The common resource would need to be well-designed to be distributionally neutral, avoid free-riding behaviour and foster structural change while be of sufficient size to have an impact. Linking budget support to large deviations of output from potential appears to be the best option. A borrowing capacity equipped with a structural balanced budget rule could address area-wide shocks. It could serve as the fiscal backstop to the bank resolution authority. Resources amounting to 2 percent of euro-area GDP would be needed for stabilisation policy and financial stability.

The European Union-an expanding security community? EU Diplomacy Paper 06/2012, August 2012

This paper investigates why and how the geographical scope of the security community centered around the European Union (EU) is expanding. It starts from the assumption that the EU itself is a ‘tightly-coupled mature pluralistic security community’. The analysis of the expansion of this peaceful area is based on the theoretical framework first designed by Karl Deutsch and later developed by Emmanuel Adler and Michael Barnett. Contrary to the logic of the adage ‘si vis pacem para bellum’, I argue that the security community is expanding because the EU’s own origins and self-perception are driven by an ambition to create lasting peace. The key mechanisms I explore are the EU’s enlargement and neighborhood policies, which are best understood when analyzed against the concept of concentric circles: the regional EU-centered security community is a multi-speed security community, stronger at its core and weaker as it spreads towards its margins.

Understanding land-sea warming contrast in response to increasing greenhouse gases. Part I: Transient adjustment

Climate model simulations consistently show that surface temperature over land increases more rapidly than over sea in response to greenhouse gas forcing. The enhanced warming over land is not simply a transient effect caused by the land–sea contrast in heat capacities, since it is also present in equilibrium conditions. This paper elucidates the transient adjustment processes over time scales of days to weeks of the surface and tropospheric climate in response to a doubling of CO2 and to changes in sea surface temperature (SST), imposed separately and together, using ensembles of experiments with an atmospheric general circulation model. These adjustment processes can be grouped into three stages: immediate response of the troposphere and surface processes (day 1), fast adjustment of surface processes (days 2–5), and adjustment of the whole troposphere (days 6–20). Some land surface warming in response to doubled CO2 (with unchanged SSTs) occurs immediately because of increased downward longwave radiation. Increased CO2 also leads to reduced plant stomatal resistance and hence restricted evaporation, which increases land surface warming in the first day. Rapid reductions in cloud amount lead in the next few days to increased downward shortwave radiation and further warming, which spreads upward from the surface, and by day 5 the surface and tropospheric response is statistically consistent with the equilibrium value. Land surface warming in response to imposed SST change (with unchanged CO2) is slower. Tropospheric warming is advected inland from the sea, and over land it occurs at all levels together rather than spreading upward from the surface. The atmospheric response to prescribed SST change in about 20 days is statistically consistent with the equilibrium value, and the warming is largest in the upper troposphere over both land and sea. The land surface warming involves reduction of cloud cover and increased downward shortwave radiation, as in the experiment with CO2 change, but in this case it is due to the restriction of moisture supply to the land (indicated by reduced soil moisture), whereas in the CO2 forcing experiment it is due to restricted evaporation despite increased moisture supply (indicated by increased soil moisture). The warming over land in response to SST change is greater than over the sea and is the dominant contribution to the land–sea warming contrast under enhanced CO2 forcing.

Cross-hemispheric transport of Central African biomass burning pollutants: Implications for downwind ozone production

Pollutant plumes with enhanced concentrations of trace gases and aerosols were observed over the southern coast of West Africa during August 2006 as part of the AMMA wet season field campaign. Plumes were observed both in the mid and upper troposphere. In this study we examined the origin of these pollutant plumes, and their potential to photochemically produce ozone (O3) downwind over the Atlantic Ocean. Their possible contribution to the Atlantic O3 maximum is also discussed. Runs using the BOLAM mesoscale model including biomass burning carbon monoxide (CO) tracers were used to confirm an origin from central African biomass burning fires. The plumes measured in the mid troposphere (MT) had significantly higher pollutant concentrations over West Africa compared to the upper tropospheric (UT) plume. The mesoscale model reproduces these differences and the two different pathways for the plumes at different altitudes: transport to the north-east of the fire region, moist convective uplift and transport to West Africa for the upper tropospheric plume versus north-west transport over the Gulf of Guinea for the mid-tropospheric plume. Lower concentrations in the upper troposphere are mainly due to enhanced mixing during upward transport. Model simulations suggest that MT and UT plumes are 16 and 14 days old respectively when measured over West Africa. The ratio of tracer concentrations at 600 hPa and 250 hPa was estimated for 14–15 August in the region of the observed plumes and compares well with the same ratio derived from observed carbon dioxide (CO2) enhancements in both plumes. It is estimated that, for the period 1–15 August, the ratio of Biomass Burning (BB) tracer concentration transported in the UT to the ones transported in the MT is 0.6 over West Africa and the equatorial South Atlantic. Runs using a photochemical trajectory model, CiTTyCAT, initialized with the observations, were used to estimate in-situ net photochemical O3 production rates in these plumes during transport downwind of West Africa. The mid-troposphere plume spreads over altitude between 1.5 and 6 km over the Atlantic Ocean. Even though the plume was old, it was still very photochemically active (mean net O3 production rates over 10 days of 2.6 ppbv/day and up to 7 ppbv/day during the first days) above 3 km especially during the first few days of transport westward. It is also shown that the impact of high aerosol loads in the MT plume on photolysis rates serves to delay the peak in modelled O3 concentrations. These results suggest that a significant fraction of enhanced O3 in mid-troposphere over the Atlantic comes from BB sources during the summer monsoon period. According to simulated occurrence of such transport, BB may be the main source for O3 enhancement in the equatorial south Atlantic MT, at least in August 2006. The upper tropospheric plume was also still photochemically active, although mean net O3 production rates were slower (1.3 ppbv/day). The results suggest that, whilst the transport of BB pollutants to the UT is variable (as shown by the mesoscale model simulations), pollution from biomass burning can make an important contribution to additional photochemical production of O3 in addition to other important sources such as nitrogen oxides (NOx) from lightning.

LIPGENE food-exchange model for alteration of dietary fat quantity and quality in free-living participants from eight European countries

Controlled human intervention trials are required to confirm the hypothesis that dietary fat quality may influence insulin action. The aim was to develop a food-exchange model, suitable for use in free-living volunteers, to investigate the effects of four experimental diets distinct in fat quantity and quality: high SFA (HSFA); high MUFA (HMUFA) and two low-fat (LF) diets, one supplemented with 1.24g EPA and DHA/d (LFn-3). A theoretical food-exchange model was developed. The average quantity of exchangeable fat was calculated as the sum of fat provided by added fats (spreads and oils), milk, cheese, biscuits, cakes, buns and pastries using data from the National Diet and Nutrition Survey of UK adults. Most of the exchangeable fat was replaced by specifically designed study foods. Also critical to the model was the use of carbohydrate exchanges to ensure the diets were isoenergetic. Volunteers from eight centres across Europe completed the dietary intervention. Results indicated that compositional targets were largely achieved with significant differences in fat quantity between the high-fat diets (39.9 (SEM 0.6) and 38.9 (SEM 0.51) percentage energy (%E) from fat for the HSFA and HMUFA diets respectively) and the low-fat diets (29.6 (SEM 0.6) and 29.1 (SEM 0.5) %E from fat for the LF and LFn-3 diets respectively) and fat quality (17.5 (SEM 0.3) and 10.4 (SEM 0.2) %E front SFA and 12.7 (SEM 0.3) and 18.7 (SEM 0.4) %E MUFA for the HSFA and HMUFA diets respectively). In conclusion, a robust, flexible food-exchange model was developed and implemented successfully in the LIPGENE dietary intervention trial.

Increased n-6 polyunsaturated fatty acids do not attenuate the effects of long-chain n-3 polyunsaturated fatty acids on insulin sensitivity or triacylglycerol reduction in Indian Asians

Background: Indian Asians in Western countries have a higher rate of coronary artery disease than do the indigenous white populations, and this higher rate may be influenced by a dietary imbalance of n-6 and n-3 polyunsaturated fatty acids (PUFAs). Objective: The objective of the study was to test the hypothesis that a high background dietary intake of n-6 PUFA attenuates the effects of fish-oil supplementation on insulin sensitivity and associated blood lipids of the metabolic syndrome. Design: Twenty-nine Indian Asian men were recruited to participate in a 12-wk dietary intervention trial. Volunteers were randomly assigned to receive either a moderate or a high n-6 PUFA diet featuring modified oils and spreads over a 6-wk period. After this 6-wk period, both groups were supplemented with 4.0 g fish oil/d (2.5 g eicosapentaenoic acid + docosahexaenoic acid) for an additional 6 wk in combination with the dietary treatment. Volunteers participated in a postprandial study and an insulin sensitivity test after the 6-wk dietary intervention and again after the fish-oil supplementation period. Results: There was no significant time X treatment interaction for blood lipids or insulin action after dietary intervention with the moderate or high n-6 PUFA diets in combination with fish oil. After the 6-wk period of fish oil supplementation, fasting and postprandial plasma triacylglycerol concentrations decreased significantly. Conclusion: The background dietary n-6 PUFA concentration did not modulate the effect of fish-oil supplementation on blood lipids or measures of insulin sensitivity in this ethnic group.

Pricing inefficiencies in private real estate markets using total return swaps

Efficient markets should guarantee the existence of zero spreads for total return swaps. However, real estate markets have recorded values that are significantly different from zero in both directions. Possible explanations might suggest non-rational behaviour by inexperienced market players or unusual features of the underlying asset market. We find that institutional characteristics in the underlying market lead to market inefficiencies and, hence, to the creation of a rational trading window with upper and lower bounds within which transactions do not offer arbitrage opportunities. Given the existence of this rational trading window, we also argue that the observed spreads can substantially be explained by trading imbalances due to the limited liquidity of a newly formed market and/or to the effect of market sentiment, complementing explanations based on the lag between underlying market returns and index returns.

Cholesterol reduction using manufactured foods high in monounsaturated fatty acids: a randomized crossover study

In two separate studies, the cholesterol-lowering efficacy of a diet high in monounsaturated fatty acids (MUFA) was evaluated by means of a randomized crossover trial. In both studies subjects were randomized to receive either a high-MUFA diet or the control diet first, which they followed for a period of 8 weeks; following a washout period of 4–6 weeks they were transferred onto the opposing diet for a further period of 8 weeks. In one study subjects were healthy middle-aged men (n 30), and in the other they were young men (n 23) with a family history of CHD recruited from two centres (Guildford and Dublin). The two studies were conducted over the same time period using identical foods and study designs. Subjects consumed 38% energy as fat, with 18% energy as MUFA and 10% as saturated fatty acids (MUFA diet), or 13% energy as MUFA and 16% as saturated fatty acids (control diet). The polyunsaturated fatty acid content of each diet was 7%. The diets were achieved by providing subjects with manufactured foods such as spreads, ‘ready meals’, biscuits, puddings and breads, which, apart from their fatty acid compositions, were identical for both diets. Subjects were blind to which of the diets they were following on both arms of the study. Weight changes on the diets were less than 1 kg. In the groups combined (n 53) mean total and LDL-cholesterol levels were significantly lower at the end of the MUFA diet than the control diet by 0×29 (SD 0×61) mmol/l (P,0×001) and 0×38 (SD 0×64) mmol/l (P, 0×0001) respectively. In middle-aged men these differences were due to a mean reduction in LDL-cholesterol of ¹11 (SD 12) % on the MUFA diet with no change on the control diet (¹1×1 (SD 10) %). In young men the differences were due to an increase in LDL-cholesterol concentration on the control diet of þ6×2 (SD 13) % and a decrease on the MUFA diet of ¹7×8 (SD 20) %. Differences in the responses of middle-aged and young men to the two diets did not appear to be due to differences in their habitual baseline diets which were generally similar, but appeared to reflect the lower baseline cholesterol concentrations in the younger men. There was a moderately strong and statistically significant inverse correlation between the change in LDLcholesterol concentration on each diet and the baseline fasting LDL-cholesterol concentration (r¹0×49; P,0×0005). In conclusion, diets in which saturated fat is partially replaced by MUFA can achieve significant reductions in total and LDL-cholesterol concentrations, even when total fat and energy intakes are maintained. The dietary approach used to alter fatty acid intakes would be appropriate for achieving reductions in saturated fat intakes in whole populations.

Substitution of dietary monounsaturated fatty acids for saturated fatty acids in a free-living population: a feasibility study

The fatty acid composition of the diet of seven free-living subjects (five men and two women) aged 41–56 years was altered for 1 month. The aim was to increase the intake of monounsaturated fatty acids (MUFAs) from subjects current habitual levels of 12% dietary energy to a target intake of 18% dietary energy, and to decrease saturated fatty acid (SFA) from habitual levels of 16% dietary energy to target levels of 10% dietary energy. The change in fatty acid intake was achieved by supplying volunteers with foods prepared using MUFA-containing spreads or olive oil (ready meals, sweet biscuits and cakes) and also by supplying spreads, cooking oil and MUFA-enriched milk for domestic use. Body weight and plasma total cholesterol measurements were made at baseline and at 2 and 4 weeks on the diet as an aid to maintaining subject compliance. MUFA consumption was significantly increased from 12% dietary energy to 16% dietary energy (P<0.01), and SFA intake was reduced from 16% dietary energy to 6% dietary energy (P<0.01) during the 4-week intervention. The diet failed to achieve the target increase in MUFA but exceeded the target reduction in SFA. This was due to the fact that subjects reduced their total fat intake from a mean habitual level of 38% dietary energy to a mean level of 30% dietary energy. During the dietary period, mean plasma cholesterol levels were lower at 2 weeks (P<0.01) and at 4 weeks (P<0.01) than the baseline, with a mean reduction of 20% over the dietary period. This study demonstrates the difficulty of achieving increased MUFA intakes (by SFA substitution) in free-living populations when only a limited range of fatty-acid modified food products are provided to volunteers.

Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.