A taxa ótima de hedge no mercado brasileiro do boi gordo: uma abordagem com BEKK, DCC e BEKK com dummies de safra e entressafra

Esta dissertação tem três objetivos. O primeiro é encontrar o melhor método para se calcular a taxa ótima de “hedge” no mercado brasileiro do boi gordo. Para isso, foram testados cinco modelos: BEKK, DCC de Tse e Tsui (2002), DCC de Engle e Sheppard (2001), BEKK com dummy de safra e BEKK com dummy de entressafra. O segundo é calcular o diferencial de razões de “hedge” entre a safra e entressafra, pois a taxa de “hedge” na entressafra deve ser maior devido a uma maior incerteza sobre um possível choque de oferta, o que afetaria negativamente os custos dos frigoríficos. O terceiro e último objetivo é desvendar o porquê da literatura brasileira de taxa ótima de “hedge” estar encontrando estimativas muito pequenas das taxas quando comparadas às realizadas no mercado. Conclui-se que os modelos DCC’s são os que, no geral, obtém um desempenho melhor pelo critério de redução de variância e aumento do índice de Sharpe e que a taxa de “hedge” na entressafra não deve ser maior que na safra. Nota-se também que a quebra da expectativa intertemporal com a mudança de contratos faz com que a variância da série dos retornos futuros aumente muito, diminuindo assim a taxa de “hedge”.

The Law and Economics of Hedge Fund Regulation: A Comparison between the U.S. and the EU

This doctoral dissertation seeks to assess and address the potential contribution of the hedge fund industry to financial instability. In so doing, the dissertation investigates three main questions. What are the contributions of hedge funds to financial instability? What is the optimal regulatory strategy to address the potential contribution of hedge funds to financial instability? And do new regulations in the U.S. and the EU address the contribution of hedge funds to financial instability? With respect to financial stability concerns, it is argued that despite their benefits, hedge funds can contribute to financial instability. Hedge funds’ size and leverage, their interconnectedness with Large Complex Financial Institutions (LCFIs), and the likelihood of herding behavior in the industry can potentially undermine financial stability. Nonetheless, the data on hedge funds’ size and leverage suggest that these features are far from being systemically important. In contrast, the empirical evidence on the interconnectedness of hedge funds with LCFIs and their herding behavior is mixed. Based on these findings, the thesis focuses on one particular aspect of hedge fund regulation: direct vs. indirect regulation. In this respect, a major contribution of the thesis to the literature consists in the explicit discussion of the relationships between hedge funds and other market participants. Specifically, the thesis locates the domain of the indirect regulation in the inter-linkages between hedge funds and prime brokers. Accordingly, the thesis argues that the indirect regulation is likely to address the contribution of hedge funds to systemic risk without compromising their benefits to financial markets. The thesis further conducts a comparative study of the regulatory responses to the potential contribution of hedge funds to financial instability through studying the EU Directive on Alternative Investment Fund Managers (AIFMD) and the hedge fund-related provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.

Azacyclic FTY720 Analogues That Limit Nutrient Transporter Expression but Lack S1P Receptor Activity and Negative Chronotropic Effects Offer a Novel and Effective Strategy to Kill Cancer Cells in Vivo

FTY720 sequesters lymphocytes in secondary lymphoid organs through effects on sphingosine-1-phosphate (S1P) receptors. However, at higher doses than are required for immunosuppression, FTY720 also functions as an anticancer agent in multiple animal models. Our published work indicates that the anticancer effects of FTY720 do not depend on actions at S1P receptors but instead stem from FTY720s ability to restrict access to extracellular nutrients by down-regulating nutrient transporter proteins. This result was significant because S1P receptor activation is responsible for FTY720s dose-limiting toxicity, bradycardia, that prevents its use in cancer patients. Here, we describe diastereomeric and enantiomeric 3- and 4-C-aryl 2-hydroxymethyl pyrrolidines that are more active than the previously known analogues. Of importance is that these compounds fail to activate S1P1 or S1P3 receptors in vivo but retain inhibitory effects on nutrient transporter proteins and anticancer activity in solid tumor xenograft models. Our studies reaffirm that the anticancer activity of FTY720 does not depend upon S1P receptor activation and uphold the promise of using S1P receptor-inactive azacyclic FTY720 analogues in human cancer patients.

Training primary care physicians to offer their patients faecal occult blood testing and colonoscopy for colorectal cancer screening on an equal basis: a pilot intervention with before-after and parallel group surveys.

OBJECTIVES Primary care physicians (PCPs) should prescribe faecal immunochemical testing (FIT) or colonoscopy for colorectal cancer screening based on their patient's values and preferences. However, there are wide variations between PCPs in the screening method prescribed. The objective was to assess the impact of an educational intervention on PCPs' intent to offer FIT or colonoscopy on an equal basis. DESIGN Survey before and after training seminars, with a parallel comparison through a mailed survey to PCPs not attending the training seminars. SETTING All PCPs in the canton of Vaud, Switzerland. PARTICIPANTS Of 592 eligible PCPs, 133 (22%) attended a seminar and 106 (80%) filled both surveys. 109 (24%) PCPs who did not attend the seminars returned the mailed survey. INTERVENTION A 2 h-long interactive seminar targeting PCP knowledge, skills and attitudes regarding offering a choice of colorectal cancer (CRC) screening options. OUTCOME MEASURES The primary outcome was PCP intention of having their patients screened with FIT and colonoscopy in equal proportions (between 40% and 60% each). Secondary outcomes were the perceived role of PCPs in screening decisions (from paternalistic to informed decision-making) and correct answer to a clinical vignette. RESULTS Before the seminars, 8% of PCPs reported that they had equal proportions of their patients screened for CRC by FIT and colonoscopy; after the seminar, 33% foresaw having their patients screened in equal proportions (p<0.001). Among those not attending, there was no change (13% vs 14%, p=0.8). Of those attending, there was no change in their perceived role in screening decisions, while the proportion responding correctly to a clinical vignette increased (88-99%, p<0.001). CONCLUSIONS An interactive training seminar increased the proportion of physicians with the intention to prescribe FIT and colonoscopy in equal proportions.

Strategic Behavior in Day-Ahead and Real-Time Markets for Electricity: Offer Cost or Payment Cost Minimization?

This study compares the procurement cost-minimizing and productive efficiency performance of the auction mechanism used by independent system operators (ISOs) in wholesale electricity auction markets in the U.S. with that of a proposed alternative. The current practice allocates energy contracts as if the auction featured a discriminatory final payment method when, in fact, the markets are uniform price auctions. The proposed alternative explicitly accounts for the market clearing price during the allocation phase. We find that the proposed alternative largely outperforms the current practice on the basis of procurement costs in the context of simple auction markets featuring both day-ahead and real-time auctions and that the procurement cost advantage of the alternative is complete when we simulate the effects of increased competition. We also find that a trade-off between the objectives of procurement cost minimization and productive efficiency emerges in our simple auction markets and persists in the face of increased competition.

Ending the State-Building Impasse: What Can Be Learned from Previous EU Enlargements that Might Offer Solutions for Bosnia and Herzegovina. ACES Working Paper No. 10, 2007

On the basis of the success of the two previous waves of European Union enlargement to post-communist states, EU accession is the international community's solution for ending the state-building impasse in Bosnia and Herzegovina. Through a literature review of analysis of the recent EU enlargements, this paper compares those countries' experiences with the current situation in Bosnia, and raises questions about the ability of the EU to address state-building issues through the accession process. The paper concludes that the previous enlargements do not provide a model for state-building in Bosnia. Because the EU's attempts to help along the process of state building in Bosnia is a new type of policy project, the paper proposes how the enlargement process might be adapted to address the specific problems in Bosnia, particularly in terms using human rights norms to compel Bosnian leaders to adopt necessary reforms.