ECB Policy and Eurozone Fragility: Was De Grauwe Right? CEPS Working Document No. 397, June 2014

Paul De Grauwe’s fragility hypothesis states that member countries of a monetary union such as the eurozone are highly vulnerable to a self-fulfilling mechanism by which the efforts of investors to avoid losses from default can end up triggering the very default they fear. The authors test this hypothesis by applying an eclectic methodology to a time window around Mario Draghi’s “whatever it takes” (to keep the eurozone on firm footing) pledge on 26 July 2012. This pledge was soon followed by the announcement of the Outright Monetary Transactions (OMT) programme (the prospective and conditional purchase by the European Central Bank of sovereign bonds of eurozone countries having difficulty issuing debt). The principal components of eurozone credit default swap spreads validate this choice of time frame. An event study reveals significant pre announcement contagion emanating from Spain to Italy, Belgium, France and Austria. Furthermore, time-series regression confirms frequent clusters of large shocks affecting the credit default swap spreads of the four eurozone countries but solely during the pre-announcement period. The findings of this report support the fragility hypothesis for the eurozone and endorse the Outright Monetary Transactions programme.

The eurozone in bad need of a psychiatrist. EuropEos Commentary No. 6, 9 December 2010

Stefano Micossi, Director General of Assonime and member of the CEPS Board of Directors, observes in a new EuropEos Commentary that there is something surreal to the unfolding financial crisis of the eurozone, as the leaders grudgingly do what is needed to prevent disaster just minutes before it’s too late, and then in the next minute revert to the same behaviour that had brought them against the wall in the first place. He cites rising sovereign spreads within the area as the visible result of this strategy: they signal investors’ expectation that the future can only bring more of the same, a series of ever-larger sovereign debt crises, under Damocles’ sword that at some stage Germany, the paymaster of last resort, will close its purse and let Armageddon start.

Time for the ECB to bite the bullet. CEPS Commentary, 19 January 2015

This Commentary summarises the main reasons why the ECB can no longer delay launching a massive bond-buying programme, also including sovereigns of eurozone member countries, and why such interventions will indeed be effective in raising inflation, thus restoring the ECB’s credibility and spurring economic activity. A credible programme must continue either until an explicit inflation target has been achieved or the ECB balance sheet has reached the €2 trillion target already announced by the ECB’s Governing Council. Regardless of how such interventions will be undertaken, they will reduce interest-rate spreads between eurozone markets, but it is nevertheless important that the ECB designs its operations so as to avoid any implication of direct support or deficit financing facilitation for the eurozone’s most indebted countries. Finally, some kind of guarantee against first losses by the ECB on its sovereign bonds may be appropriate, while entrusting open market operations to each national central bank for their own sovereigns could threaten the very survival of monetary union.

A macro-financial analysis of the euro area sovereign bond market. National Bank of Belgium Working Paper No. 259, June 2014

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin, Singleton, and Zhu (2011) and introduce next to standard spanned factors a set of unspanned macro factors, as in Joslin, Priebsch, and Singleton (2013). The model is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our results show that economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign debt crisis in the summer of 2011

A análise de redes sociais no estudo do processo da construção da ajuda mútua da pessoa com doença oncológica com blogue

Os recentes desenvolvimentos na saúde, sociedade e tecnologia, têm conduzido a novas formas de estar. Encarar hoje a doença oncológica (DO) é enfrentar um desafio. A comunicação, também sofreu evolução e a Internet assume um espaço crescente na sociedade. O blogue revolucionou a partilha de experiências, como é o caso da vivência da DO, podendo ser gerador de um processo de construção de ajuda mútua. Emergiu a questão: Quais os bloguitas mais ativos e dominantes numa rede de pessoas com doença oncológica com blogue? Este artigo tem como objetivos: Identificar as pessoas com DO com blogue; Identificar as pessoas mais ativas e as pessoas dominantes na rede, recorrendo à Análise Estrutural da Rede Social. Para selecionar a amostra recorreu-se ao método de amostragem não probabilística, intencional, em bola de neve. A rede encontrada constitui-se por 32 blogues, com 1602 ligações (720 com pessoas com DO e 434 na rede), dos quais foram selecionados 17 blogues. A rede estudada tem uma boa densidade (0,438), pelo que a informação se difunde com facilidade entre os nós, cujos atores têm altos níveis de capital social.

The Brazilian real estate securitization market: determinants of pricing

Analisamos os determinantes de precificação de Certificados de Recebíveis Imobiliários (CRIs) com relação ao ativo objeto e níveis de garantias, controlando por variáveis de tamanho, prazo e rating. Verifica-se um prêmio médio adicional em CRIs de 1,0 p.p. quando comparados com debêntures de prazos semelhantes e de mesmo rating. A justificativa desse prêmio é analisada em duas frentes: (a) apesar de CRI seguir relativa padronização, encontramos que o papel pode representar diferentes níveis de risco e ativos-objeto; e (b) essa falta de padronização leva a níveis de precificação diferenciados por suas características específicas de riscos. Os diferentes níveis de risco são percebidos pelas diversas garantias utilizadas sendo que 41% das emissões possuem garantias pessoais de originadores (aval ou fiança). Conclui-se que existe, em geral, uma diferença de retornos positiva (o spread médio na emissão dos CRIs indexados à inflação foi de 321 bps superior à curva de juros de mercado), sendo mais preponderante a depender do segmento (prêmio para os segmentos residencial e loteamentos) e mitigado pelo nível de garantias oferecido. É possível verificar um prêmio médio de 1,4 p.p. para os segmentos residencial e de loteamentos. Algumas características das emissões foram analisadas como controle (tamanho, prazo e, por fim, das notas e origem da agência avaliadora de rating). Os CRIs de maior volume e maior prazo apresentam spreads menores. Quanto ao rating, os CRIs apresentam efeitos diversos a depender do segmento. Para CRIs residenciais, o efeito é positivo (redução de spread) caso a emissão seja avaliada por alguma agência de rating, enquanto que para os CRIs comerciais, o efeito é negativo. O efeito pode ser positivo para os CRIs comerciais (redução de spread) em caso de avaliação por agência de rating internacional ou possuir notas de rating superiores à nota ‘A’.

Radon 222 excess measured on water bottle samples during HEINCKE cruise HE153

In the years 2000 and 2001 we measured methane concentrations exceeding up to two orders of magnitude the equilibrium with the atmosphere in the water column on the SW-Spitsbergen continental shelf. This methane anomaly extended from its centre on the shelf westwards over the upper slope and eastwards well into the inner basins of the two southernmost Spitsbergen fjords, the Hornsundfjord and the van Mijenfjord. Methane concentrations and stable carbon isotopic ratios varied between 2 and 240 nM, and between -53 per mill and -20 per mill VPDB, respectively. Methane in high concentrations was depleted in 13C whereas in low concentrations d13CCH4 values were highly variable. On the continental shelf we found that methane discharged from seeps on top of sandy and gravelly banks is isotopically heavier than methane escaping from troughs filled with silty and clayey sediments. These distinct isotopic signatures suggest that methane is gently released from several inter-granular seepages or micro-seepages widely spread over the shelf. A potential migration path for thermogenic or hydrate methane may be the Hornsund Fracture Zone, a south-north running reactivated fault system created by stretching of the continental crust. After discharge into the water column, local water currents fed by Atlantic water, coastal water, and freshwater outflows from the fjords further determine pathways and fate of the methane. We used d18Owater and 222Rn data to trace origin and advection of the local water masses and water mixing processes. Methane spreads predominantly along pycnoclines and by vertical mixing. During transport methane is influenced simultaneously by oxidation and dilution, as well as loss into the atmosphere. Together these processes cause the spatial variability of the anomaly and heterogeneity in d13CCH4 in this polar shelf environment.

Minutes of proceedings and evidence. No. 1 [-65] Tuesday, October 30, 1934 [-Friday, February 1, 1935]

Paged continuously.

Determinantes da remuneração do spread de certificados de recebíveis do agronegócio no mercado brasileiro

O objetivo deste trabalho é avaliar os fatores que afetam a determinação dos spreads nas operações de Certificado de Recebível do Agronegócio (CRA). Foram selecionadas na amostra todas as emissões registradas na ANBIMA entre os anos de 2012 e maio de 2016. Verificou-se que a remuneração desse título é influenciada principalmente pela presença de reforço de crédito/garantias, pelo setor originador dos recebíveis e pela companhia securitizadora. Em uma segunda análise mais detalhada e acrescentando as variáveis uma a uma de forma a testar a aderência do modelo, encontraram-se evidências de que o tamanho da emissão e o percentual de subordinação são importantes variáveis de controle na determinação do spread. Ao incluirmos a variável rating, esta passa a ser relevante e da mesma forma acontece com a garantia, demonstrando que o percentual de subordinação reduz o spread do título, mas quando se acrescenta garantia, ele deixa de ser significativo. O sinal da variável garantia é positivo e demonstra que se há a necessidade de incluir garantias na emissão, é porque provavelmente é essencial para que a emissão ocorra. Por fim, a variável securitizadora mostrou-se relevante, indicando que o investidor leva em consideração a qualidade da mesma para a precificação do título.

An observational and theoretical study of the structure and propagation of the Madden-Julian Oscillation

Thesis (Ph.D.)--University of Washington, 2016-06

Essays on International Asset Allocation and Pricing

Thesis (Ph.D.)--University of Washington, 2016-06

Air pollution exposure and novel biomarkers of inflammation and cardiac stress in the Multi-Ethnic Study of Atherosclerosis and Air Pollution (MESA Air)

Thesis (Master's)--University of Washington, 2016-06

Centromere identification and inactivation on a neo-Y chromosome fusion in threespine stickleback fish (Gasterosteus aculeatus)

Thesis (Ph.D.)--University of Washington, 2016-05

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

Unlocking pathology archives for molecular genetic studies: a reliable method to generate probes for chromogenic and fluorescent in situ hybridization

Chromogenic (CISH) and fluorescent ( FISH) in situ hybridization have emerged as reliable techniques to identify amplifications and chromosomal translocations. CISH provides a spatial distribution of gene copy number changes in tumour tissue and allows a direct correlation between copy number changes and the morphological features of neoplastic cells. However, the limited number of commercially available gene probes has hindered the use of this technique. We have devised a protocol to generate probes for CISH that can be applied to formalin-fixed, paraffin-embedded tissue sections (FFPETS). Bacterial artificial chromosomes ( BACs) containing fragments of human DNA which map to specific genomic regions of interest are amplified with phi 29 polymerase and random primer labelled with biotin. The genomic location of these can be readily confirmed by BAC end pair sequencing and FISH mapping on normal lymphocyte metaphase spreads. To demonstrate the reliability of the probes generated with this protocol, four strategies were employed: (i) probes mapping to cyclin D1 (CCND1) were generated and their performance was compared with that of a commercially available probe for the same gene in a series of 10 FFPETS of breast cancer samples of which five harboured CCND1 amplification; (ii) probes targeting cyclin-dependent kinase 4 were used to validate an amplification identified by microarray-based comparative genomic hybridization (aCGH) in a pleomorphic adenoma; (iii) probes targeting fibroblast growth factor receptor 1 and CCND1 were used to validate amplifications mapping to these regions, as defined by aCGH, in an invasive lobular breast carcinoma with FISH and CISH; and (iv) gene-specific probes for ETV6 and NTRK3 were used to demonstrate the presence of t(12; 15)(p12; q25) translocation in a case of breast secretory carcinoma with dual colour FISH. In summary, this protocol enables the generation of probes mapping to any gene of interest that can be applied to FFPETS, allowing correlation of morphological features with gene copy number.