Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.

Risk factors for macro- and microvascular complications among older adults with diagnosed type 2 diabetes: findings from The Irish Longitudinal Study on Ageing

Objective. To explore risk factors for macro- and microvascular complications in a nationally representative sample of adults aged 50 years and over with type 2 diabetes in Ireland. Methods. Data from the first wave of The Irish Longitudinal Study on Ageing (TILDA) (2009–2011) was used in cross-sectional analysis. The presence of doctor diagnosis of diabetes, risk factors, and macro and microvascular complications were determined by self-report. Gender-specific differences in risk factor prevalence were assessed with the chi-squared test. Binomial regression analysis was conducted to explore independent associations between established risk factors and diabetes-related complications. Results. Among 8175 respondents, 655 were classified as having type 2 diabetes. Older age, being male, a history of smoking, a lower level of physical activity, and a diagnosis of high cholesterol were independent predictors of macrovascular complications. Diabetes diagnosis of 10 or more years, a history of smoking, and a diagnosis of hypertension were associated with an increased risk of microvascular complications. Older age, third-level education, and a high level of physical activity were protective factors (

Water chemistry, carbonate system parameters, and macro-organism biomass of vent and off-vent sites in the Columbretes Islands Marine Reserve

Ocean acidification is receiving increasing attention because of its potential to affect marine ecosystems. Rare CO2 vents offer a unique opportunity to investigate the response of benthic ecosystems to acidification. However, the benthic habitats investigated so far are mainly found at very shallow water (less than or equal to 5 m depth) and therefore are not representative of the broad range of continental shelf habitats. Here, we show that a decrease from pH 8.1 to 7.9 observed in a CO2 vent system at 40 m depth leads to a dramatic shift in highly diverse and structurally complex habitats. Forests of the kelp Laminaria rodriguezii usually found at larger depths (greater than 65 m) replace the otherwise dominant habitats (i.e. coralligenous outcrops and rhodolith beds), which are mainly characterized by calcifying organisms. Only the aragonite-calcifying algae are able to survive in acidified waters, while high-magnesium-calcite organisms are almost completely absent. Although a long-term survey of the venting area would be necessary to fully understand the effects of the variability of pH and other carbonate parameters over the structure and functioning of the investigated mesophotic habitats, our results suggest that in addition of significant changes at species level, moderate ocean acidification may entail major shifts in the distribution and dominance of key benthic ecosystems at regional scale, which could have broad ecological and socio-economic implications.

Macro-epibenthic communities, bathymetry and enviromental information at the tip of the Antarctic Peninsula

The Southern Ocean ecosystem at the Antarctic Peninsula has steep natural environmental gradients, e.g. in terms of water masses and ice cover, and experiences regional above global average climate change. An ecological macroepibenthic survey was conducted in three ecoregions in the north-western Weddell Sea, on the continental shelf of the Antarctic Peninsula in the Bransfield Strait and on the shelf of the South Shetland Islands in the Drake Passage, defined by their environmental envelop. The aim was to improve the so far poor knowledge of the structure of this component of the Southern Ocean ecosystem and its ecological driving forces. It can also provide a baseline to assess the impact of ongoing climate change to the benthic diversity, functioning and ecosystem services. Different intermediate-scaled topographic features such as canyon systems including the corresponding topographically defined habitats 'bank', 'upper slope', 'slope' and 'canyon/deep' were sampled. In addition, the physical and biological environmental factors such as sea-ice cover, chlorophyll-a concentration, small-scale bottom topography and water masses were analysed. Catches by Agassiz trawl showed high among-station variability in biomass of 96 higher systematic groups including ecological key taxa. Large-scale patterns separating the three ecoregions from each other could be correlated with the two environmental factors, sea-ice and depth. Attribution to habitats only poorly explained benthic composition, and small-scale bottom topography did not explain such patterns at all. The large-scale factors, sea-ice and depth, might have caused large-scale differences in pelagic benthic coupling, whilst small-scale variability, also affecting larger scales, seemed to be predominantly driven by unknown physical drivers or biological interactions.

Ciudadanía heterogénea y colonización de las prácticas simbólicas micro y macro fronterizas

El objetivo de este ensayo es el de relacionar de forma reflexiva las nuevas dinámicas de colonización, dominación y poder contemporáneas, con las cartografías simbólicas de la ciudad global y sus respectivas fronteras o bordes sistémicos, muchos de ellos desapercibidos por las personas y atravesados por jerarquías y clasificaciones las cuales se hallan inmersas, a su vez,en una multidimensionalidad social tanto positiva como negativa que genera que podamos hablar de una indecibilidad de lo simbólico. En torno a ello se desprende, asimismo, el objetivo de repensar desde una perspectiva crítica y relacional el espacio urbano y heterogéneo en el cual confluyen formas diversas de identidad, subjetividad y aplicabilidad normativa y social de lo jurídico. Finalmente se dejará planteada la pregunta de hasta dónde puede llegar la agencia humana ante cada una de las distintas fronteras y bordes sistémicos y simbólicos de lo global-heterogéneo, considerando para ello aportes teóricos como los de Suely Rolnik, que indican que hoy en día existen subjetividades acríticas por las cuales el poder adquiere cierta plasticidad y hegemonía alienantes.

Co-digestion of terrestrial plant biomass with marine macro-algae for biogas production

This paper investigates factors affecting anaerobic degradation of marine macro-algae (or seaweed), when used as a co-substrate with terrestrial plant biomass for the production of biogas. Using Laminaria digitata, a brown marine seaweed species and green peas, results showed that when only 2% of feedstock of a reactor treating the green peas at an organic loading rate (OLR) of 2.67 kg VS.m3.day-1 was replaced with the seaweed, methane production was disrupted, whilst acidogenesis, seemed to be less adversely affected, resulting in excessive volatile acids accumulation. Reactor stability was difficult to achieve thereafter. The experiment was repeated with a lower initial OLR of green peas of 0.70 kg VS.m3.day-1 before the addition of the seaweed. Although similar symptoms as in first trial were observed, process stability was restored through the control of OLR and alkalinity. These measures led to an increase in overall OLR of 1.25 kg VS.m3.day-1 comprising of 35% seaweed. This study has shown that certain seaweed constituents are more inhibitory to the methanogens even at trace concentrations than to the other anaerobic digestion microbial groups. Appropriate adaptation strategy, involving initial low proportion of the seaweed relative to the total OLR, and overall low OLR, is necessary to ensure effective adaptation of the microorganisms to the inhibitory constituents of seaweed. Where there is seasonal availability of seaweed, the results of this study suggest that a fresh adaptation or start-up strategy must be implemented during each cycle of seaweed availability in order to ensure sustainable process stability.

Do U.S. and Colombian macro factors improve the forecasting ability of unrestricted VAR models of the local term structure of interest rate?

Este estudio empírico compara la capacidad de los modelos Vectores auto-regresivos (VAR) sin restricciones para predecir la estructura temporal de las tasas de interés en Colombia -- Se comparan modelos VAR simples con modelos VAR aumentados con factores macroeconómicos y financieros colombianos y estadounidenses -- Encontramos que la inclusión de la información de los precios del petróleo, el riesgo de crédito de Colombia y un indicador internacional de la aversión al riesgo mejora la capacidad de predicción fuera de la muestra de los modelos VAR sin restricciones para vencimientos de corto plazo con frecuencia mensual -- Para vencimientos de mediano y largo plazo los modelos sin variables macroeconómicas presentan mejores pronósticos sugiriendo que las curvas de rendimiento de mediano y largo plazo ya incluyen toda la información significativa para pronosticarlos -- Este hallazgo tiene implicaciones importantes para los administradores de portafolios, participantes del mercado y responsables de las políticas

New constraints on European glacial freshwater releases to the North Atlantic Ocean

During the late Quaternary, both external and internal forcings have driven major climatic shifts from glacial to interglacial conditions. Nonlinear climatic steps characterized the transitions leading to these extrema, with intermediate excursions particularly well expressed in the dynamics of the Northern Hemisphere cryosphere. Here we document the impact of these dynamics on the north-eastern North Atlantic Ocean, focussing on the 35-10 ka interval. Sea-surface salinities have been reconstructed quantitatively based on two independent methods from core MD95-2002, recovered from the northern Bay of Biscay adjacent to the axis of the Manche paleoriver outlet and thus in connection with proximal European ice sheets and glaciers. Quantitative reconstructions deriving from dinocyst and planktonic foraminiferal analyses have been combined within a robust chronology to assess the amplitude and timing of hydrological changes in this region. Our study evidences strong pulsed freshwater discharges which may have impacted the North Atlantic Meridional Overturning Circulation.

Spatial and temporal interaction between sediment and microphytobenthos in a temperate estuarine macro-intertidal bay

Intertidal flats of the estuarine macro-intertidal Baie des Veys (France) were investigated to identify spatial features of sediment and microphytobenthos (MPB) in April 2003. Gradients occurred within the domain, and patches were identified close to vegetated areas or within the oyster-farming areas where calm physical conditions and biodeposition altered the sediment and MPB landscapes. Spatial patterns of chl a content were explained primarily by the influence of sediment features, while bed elevation and compaction brought only minor insights into MPB distribution regulation. The smaller size of MPB patches compared to silt patches revealed the interplay between physical structure defining the sediment landscape, the biotic patches that they contain, and that median grain-size is the most important parameter in explaining the spatial pattern of MPB. Small-scale temporal dynamics of sediment chl a content and grain-size distribution were surveyed in parallel during 2 periods of 14 d to detect tidal and seasonal variations. Our results showed a weak relationship between mud fraction and MPB biomass in March, and this relationship fully disappeared in July. Tidal exposure was the most important parameter in explaining the summer temporal dynamics of MPB. This study reveals the general importance of bed elevation and tidal exposure in muddy habitats and that silt content was a prime governing physical factor in winter. Biostabilisation processes seemed to behave only as secondary factors that could only amplify the initial silt accumulation in summer rather than primary factors explaining spatial or long-term trends of sediment changes.

Variation in composition of macro-benthic invertebrates as an indication of water quality status in three bays in Lake Victoria

Knowledge of how biota can be used to monitor ecosystem health and assess impacts by human alterations such as land use and management measures taken at different spatial scales is critical for improving the ecological quality of aquatic ecosystems. This knowledge in Uganda is very limited or unavailable yet it is needed to better understand the relationship between environmental factors at different spatial scales, assemblage structure and taxon richness of aquatic ecosystems. In this study, benthic invertebrate community patterns were sampled between June 2001 and April 2002 and analysed in relation to water quality and catchment land use patterns from three shallow near-shore bays characterized by three major land uses patterns: urban (Murchison Bay); semi-urban (Fielding Bay); rural (Hannington Bay). Variations in density and guild composition of benthic macro-invertebrates communities were evaluated using GIS techniques along an urban-rural gradient of land use and differences in community composition were related to dissolved oxygen and conductivity variation. Based on numerical abundance and tolerance values, Hilsenhoff's Biotic Index ofthe invertebrates was determined in order to evaluate the relative importance of water quality in the three bays. Murchison Bay supported a relatively taxa-poor invertebrate assemblage mainly comprising stenotopic and eurytopic populations of pollution-tolerant groups such as worms and Chironomus sp. with an overall depression in species diversity. On the contrary, the communities in Fielding and Hannington bays were quite similar and supported distinct and diverse assemblages including pollution-intolerant forms such as Ephemeroptera (mayflies), Odonata (dragonflies). The Hilsenhoff Biotic Index in Murchison Bay was 6.53. (indicating poor water quality) compared to 6.34 for Fielding Bay and 5.78 for Hannington Bay (both indicating fair water quality). The characterization of maximum taxa richness balanced among taxa groups with good representation of intolerant individuals in Hannington Bay relative to Fielding and Murchison bays concludes that the bay is the cleanest in terms of water quality. Contrary, the dominance of few taxa with many tolerant iqdividuals present in Murchison Bay indicates that the bay is degraded in terms of water quality. These result are ofimportance when planning conservation and management measures, implementing large-scale biomonitoring programs, and predicting how human alterations (e.g nutrient loading) affect water ecosystems. Therefore, analysis of water quality in relation to macro-invertebrate community composition patterns as bio-indicators can lead to further understanding of their responses to environmental manipulations and perturbations.

Macro-geographical differences influenced by family-based expression on cultured pearl grade, shape and colour in the black-lip "pearl oyster" Pinctada margaritifera: a preliminary bi-local case study in French Polynesia

In French Polynesia, the aquaculture of P. margaritifera is carried out in numerous grow-out sites, located over three archipelagos (Gambier, Society and Tuamotu). To evaluate the impact of macro-geographical effects of these growing sites on pearl quality traits, five hatcheries produced families were used as homogeneous donor oysters in an experimental graft. The molluscs were then reared in two commercial locations: Tahaa island (Society) and Rangiroa atoll (Tuamotu). At harvest, eight pearl quality traits were recorded and compared: surface defects, lustre, grade, circles, shape categories, darkness level, body and secondary colour and visual colour categories. Overall inter-site comparison revealed that: 1) all traits were affected by grow-out location except for lustre and round shape, and 2) a higher mean rate of valuable pearls was produced in Rangiroa. Indeed, for pearl grade, Rangiroa showed twice as many A-B and less reject samples than Tahaa. This was related to the number of surface defects (grade component): in Rangiroa, twice as many pearls had no defects and less pearls had up to 10 defects. Concerning pearl shape, more circled and baroque pearls were found in Tahaa (+10%). For colour variation, 10% more pearls have an attractive green overtone in Rangiroa than in Tahaa, where more grey bodycolor were harvested. Lustre does not seem to be affected by these two culture site (except at a family scale). This is the first time P. margaritifera donor family have been shown to vary in the quality of pearls they produce depending on their grow-out location.