Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis

This study examines the impact of macro-liquidity shocks on the returns of UK stock portfolios sorted on the basis of a series of micro-liquidity measures. The macro-liquidity shocks are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in futures contracts on the 3-month LIBOR during the period June 1999- December 2009. We report definitive evidence that these shocks are transmitted to the cross-section of liquidity-sorted portfolios, with most liquid stocks playing a very active role. Our results emphatically document that the shocks-returns relationship has reversed its sign during the recent financial crisis; the standard inverse relationship between interest rate surprises and portfolios’ returns before the crisis has turned into positive during the crisis. This finding confirms the inability of interest rate cuts to boost returns in the shortrun during the crisis, because these were perceived by market participants as a signal of a deteriorating economic outlook.

The EMU sovereign-debt crisis: fundamentals, expectations and contagion

In a research project conducted while visiting the DG-ECFIN in June 2010, we provided a detailed empirical investigation of the EMU sovereign-debt crisis up to February 2010.

Central banks and house prices in the run-up to the crisis

The financial crisis and the role played within it by fluctuations in house prices has reopened the debate about whether monetary policy should respond to asset prices. This paper investigates how the central banks of the euro area, the UK and the US considered, understood and responded to the trends in house prices in the six or seven years preceding the crisis, and how they have analysed those developments since the crisis. It suggests that these central banks, particularly the Anglo-Saxon ones, might have been able to take some useful action if they had devoted more intellectual resources to analysing the possible misalignments of house prices and been willing to act on them.

Financial crisis and quantitative easing: can broad money tell us anything?

When Bank of England (and the Federal Reserve Board) introduced their quantitative easing (QE) operations they emphasised the effects on money and credit, but much of their empirical research on the effects of QE focuses on long-term interest rates. We use a flow of funds matrix with an independent central bank to show the implications of QE and other monetary developments, and argue that the financial crisis, the fiscal expansion and QE are likely to have constituted major exogenous shocks to money and credit in the UK which could not be digested immediately by the usual adjustment mechanisms. We present regressions of a reduced form model which considers the growth of nominal spending as determined by the growth of nominal money and other variables. These results suggest that money was not important during the Great Moderation but has had a much larger role in the period of the crisis and QE. We then use these estimates to illustrate the effects of the financial crisis and QE. We conclude that it would be useful to incorporate money and/or credit in wider macroeconometric models of the UK economy.

Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis

This paper examines the impact of Federal Funds rate (FFR) surprises on stock returns in the United States over the period 1989-2009, focusing on the impact of the recent financial crisis. We find that prior to the crisis, stock prices increased as a response to unexpected FFR cuts. State dependence is also identified with stocks exhibiting larger increases when interest rate easing coincided with recessions, bear stock markets, and tightening credit market conditions. However, an important structural shift took place during the financial crisis, which changed the stock market response to FFR shocks, as well as the nature of state dependence. Specifically, during the crisis period stock market participants did not react positively to unexpected FFR cuts. Our results highlight the severity of the recent financial turmoil episode and the ineffectiveness of conventional monetary policy close to the zero lower bound for nominal interest rates.

Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in 3-month LIBOR futures prices, are transmitted in a differential manner to the cross-section of liquidity-sorted portfolios, with liquid stocks playing the most active role. We also find that there is a significant increase in shares’ trading activity and a rather small increase in their trading cost on MPC meeting days. Finally, our results emphatically document that during the recent financial crisis the shocks-returns relationship has reversed its sign. Interest rate cuts during the crisis were perceived by market participants as a signal of deteriorating economic prospects and reinforced “flight to safety” trading.

Il desiderio materno nei casi di maltrattamento infantile

The work of this thesis would like to investigate two particular questions about the care of underage: on the one hand, the maltreatment, and the mother's desire on the other hand. About the first, this proposal try to underscore the elaborate irregularity and disparity related to this phenomenon and his historical evolution. The objective's thesis propose to underline that the abuse crosses the crisis of educational dimension inside and outside the family. We are talking about a type of crisi that places at the origin of a specific clinic and that it is about the maltreatment designated, at the same time, to cope with the educational void and with the ill-treated under age's hardships. The so-called clinic of the maltreatment horns, therefore, with the purpose to join and to set in order the normative and educational aspects. However, the prescriptive requirement is intended to measure against the same one crisis in a paradoxical way; the laws and the juveniles court must make up for the lack absence of the rules that characterized the maltreatment, getting around to use the typical reference that traditionally were been at the base of the educational way's construction. The same crimes on underage often found in the father the responsibility. The requirements and the therapeutic needs has utilized the theoretical construct of the trauma as the key line of clinical practice. On the one hand, the trauma was been paired controversially to the psychoanalytical concepts as the notion of the phantom, in the same manner that the objective truth is been opposed to the notion of the imagination and fantasy; on the other hand, the trauma was gotten to be the mark and the characteristic that defined the individual identity of the mistreated persons, regardless of the person's clinical structure or, generally, regardless of the their individual position. Both the normative demand and therapeutic converge on the idealization of the imaginary figure that is able to supply to every type of maltreatment: the mother. This position is connected on theoretical construct well-established in the mythology, that associated the mother figure to a natural dimension; this is related to the second point at issue: the mother's desire. The awareness of the mother figure in natural and idealized terms describes accusingly and negatively the trauma, without seeing the difference between trauma that helps to give a structure to the individual position from the trauma solely devastating. The mother's mythology, therefore, is in an evident antagonism with the female figure and woman's sexuality. In these way the maltreatment's clinic suggests that a woman is able to be a mother only when she doesn't appreciate the rule of female. This situation preclusives a comparison with own sexuality and gives to the women a complex of castration. The clinic cases reported highlight as these difficulties are the expression of the familiarity's heredity that wasn't been sufficiently elaborated. This condition (into the relation between mother and his child) turn the infant in the incapacity to symbolized and it doesn't help him to accede to the positive trauma, to the language and to the edipic rule; this is the reason why the child toils difficulties to approach to own personality and to orient himself in the relation with his body, with the body of the adults and the same age children.

Characterisation of heteromers and oligomers in the TNF family of ligands and receptors

TNF family ligands and receptors fulfill a number of functions, mainly in the immune system. For example, the ligands BAFF and APRIL control growth and survival of mature Β cells at various stages of differentiation. TNF family ligands usually form homotrimers, but heteromers have also been described for lymphotoxin α1β2 and for BAFF and APRIL. Interestingly, twenty BAFF homotrimers can assemble into virus-like particles coined BAFF 60-mer, which are superior to BAFF 3-mer regarding their ability to signal in primary Β cells. A screen was performed in 293T cells, by co-transfecting differently tagged ligands, to identify six novel heteromers. The specificity of these novel heteromers, however, did not correspond to that of orphan receptors in the TNFR family. Little is known about heteromers of BAFF and APRIL, in particular their receptor-binding specificity and their ability to signal. A method to produce and purify heteromers of defined stoechiometry was developed, and the resulting reagents were used to demonstrate that BAFF2APRIL, like BAFF, binds to all BAFF receptors - namely BAFFR, TACI and Β CM A -, while APRIL2BAFF and APRIL only binds to TACI and BCMA. Heteromers could signal via their cognate receptors, sometimes as potently and sometimes less potently than homomers, depending on the receptors. A promising system to measure the activity of single-chain homo- and heteromers in vivo was set up: it measures mature Β cell rescue upon administration of single-chain ligands into BAFF-ko mice. To tackle the question of the physiological importance of BAFF 60-mer, a point mutation that prevents assembly of mouse BAFF into 60-mer while retaining its ability to form trimers was identified. This mutation (E247K) was introduced by homologous recombination into mouse embryonic stem cells that are now being used to generate knock-in mice. Results obtained in this work will help to better understand the role of various BAFF and APRIL forms that are elevated in a several autoimmune diseases. - Les ligands et récepteurs de la famille du TNF joue un rôle prédominant dans le système immunitaire. Par exemple, les ligands BAFF et APRIL contrôlent la croissance et la survie des cellules Β matures à différents stades de différenciation. Ces ligands existent souvent sous forme d'homotrimères (3-mer), bien que des héteromères aient été décrits pour la lymphotoxine α1β2 et pour BAFF et APRIL. Dans le cas de BAFF, vingt trimères peuvent, telle une particule virale, s'assembler en 60-mer qui surpasse le 3-mer pour signaler dans des cellules Β primaires. Un crible effectué dans des cellules 293T, par co-transfection de ligands différemment marqués, a permis d'identifier six nouveaux heteromères dont la spécificité n'a, hélas, pas correspondu à celle d'un récepteur orphelin de la famille du TNFR. Les connaissances sur la spécificité de liaison aux récepteurs et la capacité à signaler des heteromères de BAFF et d'APRIL sont fragmentaires. Une méthode pour produire et purifier des heteromères "simple chaîne" de stoechiométrie déterminée a été mise au point, et les réactifs ainsi obtenus utilisés pour démontrer que BAFF2APRIL, comme BAFF, lie tous les récepteurs de BAFF - c'est-à-dire BAFFR, TACI et BCMA -, alors qu'APRIL2BAFF et APRIL ne lient que TACI et BCMA. Les héteromères peuvent transmettre des signaux, parfois aussi bien et parfois plus faiblement que les homomères, selon les récepteurs. Un système prometteur pour mesurer l'activité des ligands simple chaîne in vivo a été mis au point. Il mesure la réapparition de cellules Β matures dans des souris déficientes pour BAFF après administration des ligands. Pour s'attaquer à la question de l'importance physiologique du 60-mer de BAFF, ime mutation empêchant l'assemblage en 60-mer sans affecter la capacité à former des trimères a été identifiée. Cette mutation (E247K) a été introduite par recombinaison homologue dans des cellules souches embryonnaires de souris qui sont utilisées pour obtenir des souris déficientes en BAFF 60-mer. Les résultats de ces travaux contribueront à mieux cerner le rôle des différentes formes de BAFF et d'APRIL produites en excès dans plusieurs maladies auto-immunes.

On the real effects of financial pressure: Evidence from euro area firm-level employment during the recent financial crisis.

Using a large panel of unquoted euro-area firms over the period 2003-11, this paper examines the impact of financial pressure on firms’ employment. The analysis finds evidence that financial pressure negatively affects firms’ employment decisions. This effect is stronger during the 2007-2009 financial crisis, especially for firms in the periphery area compared to their counterparts in the core European economies. We also find that impact of financial pressure on employment is more potent for firms classified as financially constrained and operating in periphery economies during the financial crisis.

The role of education in equity portfolios during the recent financial crisis

Using a panel of 38 economies, over the period 2001 to 2010, we analyse the link between diversification in equity portfolios and different facets of education. We find that traditionally used measures of education play an important role in reducing equity home bias. After separating countries according to their level of financial development, we find that less developed economies tend to benefit more from an improvement in the level of education compared to their more developed counterparts. We also find that the beneficial effect of education is more pronounced during the most recent financial crisis, especially for economies with less developed financial markets.

How family caregivers' medical and moral assumptions influence decision making for patients in the vegetative state: a qualitative interview study.

Background Decisions on limiting life-sustaining treatment for patients in the vegetative state (VS) are emotionally and morally challenging. In Germany, doctors have to discuss, together with the legal surrogate (often a family member), whether the proposed treatment is in accordance with the patient's will. However, it is unknown whether family members of the patient in the VS actually base their decisions on the patient's wishes. Objective To examine the role of advance directives, orally expressed wishes, or the presumed will of patients in a VS for family caregivers' decisions on life-sustaining treatment. Methods and sample A qualitative interview study with 14 next of kin of patients in a VS in a long-term care setting was conducted; 13 participants were the patient's legal surrogates. Interviews were analysed according to qualitative content analysis. Results The majority of family caregivers said that they were aware of aforementioned wishes of the patient that could be applied to the VS condition, but did not base their decisions primarily on these wishes. They gave three reasons for this: (a) the expectation of clinical improvement, (b) the caregivers' definition of life-sustaining treatments and (c) the moral obligation not to harm the patient. If the patient's wishes were not known or not revealed, the caregivers interpreted a will to live into the patient's survival and non-verbal behaviour. Conclusions Whether or not prior treatment wishes of patients in a VS are respected depends on their applicability, and also on the medical assumptions and moral attitudes of the surrogates. We recommend repeated communication, support for the caregivers and advance care planning.