Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Changes in the community structure of urban and rural forest patches in Baltimore from 1998 to 2015

Urban forests are often highly fragmented with many exotic species. Altered disturbance regimes and environmental pollutants influence urban forest vegetation. One of the best ways to understand the impacts of land-use on forest composition is through long-term research. In 1998, the Baltimore Ecosystem Study established eight forest plots to investigate the impacts of urbanization on natural ecosystems. Four plots were located in urban forest patches and four were located in rural forests. In 2015, I revisited these plots to measure abundances and quantify change in forest composition, diversity, and structure. Sapling, shrub, and seedling abundance were reduced in the rural plots. Alpha diversity and turnover was lower in the rural plots. Beta diversity was reduced in the rural plots. The structure of the urban plots was mostly unchanged, except for a highly reduced sapling layer. Beta diversity in the urban plots was consistent across surveys due to high species turnover.

Trade Liberalization and Organizational Change

We embed a simple incomplete-contracts model of organization design in a standard two-country perfectly-competitive trade model to examine how the liberalization of product and factor markets affects the ownership structure of firms.In our model, managers decide whether or not to integrate their firms, trading off the pecuniary benefits of coordinating production decisions with the private benefits of operating in their preferred ways. The price of output is a crucial determinant of this choice, since it affects the size of the pecuniary benefits. In particular, non-integration is chosen at “low” and “high” prices, while integration occurs at moderate prices. Organizational choices also depend on the terms of trade in supplier markets, which affect the division of surplus between managers. We obtain three main results. First, even when firms do not relocate across countries, the price changes triggered by liberalization of product markets can lead to significant organizational restructuring within countries. Second, the removal of barriers to factor mobility can lead to inefficient reorganization and adversely affect consumers. Third, “deep integration” — the liberalization of both product and factor markets — leads to the convergence of organizational design across countries.

GENETIC VARIATION, LOCAL ADAPTATION AND POPULATION STRUCTURE IN NORTH AMERICAN RED OAK SPECIES, QUERCUS RUBRA L. AND Q. ELLIPSOIDALIS E. J. HILL

Forest trees, like oaks, rely on high levels of genetic variation to adapt to varying environmental conditions. Thus, genetic variation and its distribution are important for the long-term survival and adaptability of oak populations. Climate change is projected to lead to increased drought and fire events as well as a northward migration of tree species, including oaks. Additionally, decline in oak regeneration has become increasingly concerning since it may lead to decreased gene flow and increased inbreeding levels. This will in turn lead to lowered levels of genetic diversity, negatively affecting the growth and survival of populations. At the same time, populations at the species’ distribution edge, like those in this study, could possess important stores of genetic diversity and adaptive potential, while also being vulnerable to climatic or anthropogenic changes. A survey of the level and distribution of genetic variation and identification of potentially adaptive genes is needed since adaptive genetic variation is essential for their long-term survival. Oaks possess a remarkable characteristic in that they maintain their species identity and specific environmental adaptations despite their propensity to hybridize. Thus, in the face of interspecific gene flow, some areas of the genome remain differentiated due to selection. This characteristic allows the study of local environmental adaptation through genetic variation analyses. Furthermore, using genic markers with known putative functions makes it possible to link those differentiated markers to potential adaptive traits (e.g., flowering time, drought stress tolerance). Demographic processes like gene flow and genetic drift also play an important role in how genes (including adaptive genes) are maintained or spread. These processes are influenced by disturbances, both natural and anthropogenic. An examination of how genetic variation is geographically distributed can display how these genetic processes and geographical disturbances influence genetic variation patterns. For example, the spatial clustering of closely related trees could promote inbreeding with associated negative effects (inbreeding depression), if gene flow is limited. In turn this can have negative consequences for a species’ ability to adapt to changing environmental conditions. In contrast, interspecific hybridization may also allow the transfer of genes between species that increase their adaptive potential in a changing environment. I have studied the ecologically divergent, interfertile red oaks, Quercus rubra and Q. ellipsoidalis, to identify genes with potential roles in adaptation to abiotic stress through traits such as drought tolerance and flowering time, and to assess the level and distribution of genetic variation. I found evidence for moderate gene flow between the two species and low interspecific genetic differences at most genetic markers (Lind and Gailing 2013). However, the screening of genic markers with potential roles in phenology and drought tolerance led to the identification of a CONSTANS-like (COL) gene, a candidate gene for flowering time and growth. This marker, located in the coding region of the gene, was highly differentiated between the two species in multiple geographical areas, despite interspecific gene flow, and may play a role in reproductive isolation and adaptive divergence between the two species (Lind-Riehl et al. 2014). Since climate change could result in a northward migration of trees species like oaks, this gene could be important in maintaining species identity despite increased contact zones between species (e.g., increased gene flow). Finally I examined differences in spatial genetic structure (SGS) and genetic variation between species and populations subjected to different management strategies and natural disturbances. Diverse management activities combined with various natural disturbances as well as species specific life history traits influenced SGS patterns and inbreeding levels (Lind-Riehl and Gailing submitted).

INTERACTIVE EFFECTS OF CLIMATE CHANGE AND FUNGAL COMMUNITIES ON THE DECOMPOSITION OF WOOD-DERIVED CARBON IN FOREST SOILS

Soils are the largest sinks of carbon in terrestrial ecosystems. Soil organic carbon is important for ecosystem balance as it supplies plants with nutrients, maintains soil structure, and helps control the exchange of CO2 with the atmosphere. The processes in which wood carbon is stabilized and destabilized in forest soils is still not understood completely. This study attempts to measure early wood decomposition by different fungal communities (inoculation with pure colonies of brown or white rot, or the original microbial community) under various interacting treatments: wood quality (wood from +CO2, +CO2+O3, or ambient atmosphere Aspen-FACE treatments from Rhinelander, WI), temperature (ambient or warmed), soil texture (loamy or sandy textured soil), and wood location (plot surface or buried 15cm below surface). Control plots with no wood chips added were also monitored throughout the study. By using isotopically-labelled wood chips from the Aspen-FACE experiment, we are able to track wood-derived carbon losses as soil CO2 efflux and as leached dissolved organic carbon (DOC). We analyzed soil water for chemical characteristics such as, total phenolics, SUVA254, humification, and molecular size. Wood chip samples were also analyzed for their proportion of lignin:carbohydrates using FTIR analysis at three time intervals throughout 12 months of decomposition. After two years of measurements, the average total soil CO2 efflux rates were significantly different depending on wood location, temperature, and wood quality. The wood-derived portion soil CO2 efflux also varied significantly by wood location, temperature, and wood quality. The average total DOC and the wood-derived portion of DOC differed between inoculation treatments, wood location, and temperature. Soil water chemical characteristics varied significantly by inoculation treatments, temperature, and wood quality. After 12 months of decomposition the proportion of lignin:carbohydrates varied significantly by inoculation treatment, with white rot having the only average proportional decrease in lignin:carbohydrates. Both soil CO2 efflux and DOC losses indicate that wood location is important. Carbon losses were greater from surface wood chips compared with buried wood chips, implying the importance of buried wood for total ecosystem carbon stabilization. Treatments associated with climate change also had an effect on the level of decomposition. DOC losses, soil water characteristics, and FTIR data demonstrate the importance of fungal community on the degree of decomposition and the resulting byproducts found throughout the soil.

Ultra high-pressure homogenized emulsions stabilized by sodium caseinate: effects of protein concentration and pressure on emulsions structure and stability

Microstructure, physical properties and oxidative stability of emulsions treated by colloid mill (CM), conventional homogenization (CH, 15 MPa) and ultra-high-pressure homogenization (UHPH, 100–300 MPa) by using different concentrations of 1, 3 and 5 g/100 g of sodium caseinate (SC), were evaluated. The application of UHPH treatment at 200 and 300 MPa resulted in emulsions that were highly stable to creaming and oxidation, especially when the protein content increased from 1 to 3 and 5 g/100 g. Further, increasing the protein content to 3 and 5 g/100 g in UHPH emulsions tended to change the rheological behavior from Newtonian to shear thinning. CH emulsions containing 1 g/100 g of protein exhibited Newtonian flow behavior with lower tendencies to creaming compared to those formulated with 3 or 5 g/100 g. This study has proved that UHPH processing at pressures (200–300 MPa) and in the presence of sufficient amount of sodium caseinate (5 g/100 g), produces emulsions with oil droplets in nano-/submicron scale with a narrow size distribution and high physical and oxidative stabilities, compared to CM and CH treatments.

Ownership Structure, Board Composition and Entrepreneurship : Evidence from Family Firms and Venture-Capital Backed Firms

The purpose of this article is to investigate how ownership structure, especially family and/or venture-capital involvement, as well as entrepreneurial activities, defined as strategic change and renewal, help explain the involvement of independent members on boards of directors. The CEOs of 2,455 small and medium-sized, private enterprises from practically all industries were contacted in a telephone survey, resulting in an exceptionally high response rate. The findings reveal that family firms are more reluctant to involve independent directors on their boards than non-family firms that presence of venture capitalists increases the frequency of independent board members and that ownership has an impact on board roles. The results do not support the hypothesised relationship that independent directors enhance entrepreneurial activities. One implication of our study is that the often-argued-for strategic contribution of outsiders to the boards in family firms may be overemphasised. Another implication is that family firms that choose to acquire additional capital should be aware that this could result in a change in the board composition and the loss of control of the business. However, new and external owners’ inclusion on the board seems to be negotiable since there are also venture capitalists that do not insist on board representation.

Regionalism as trading blocks, a comparative analysis of the legal structure of the EC and NAFTA within the context of the WTO

Geography has almost become obsolete. The world’s goods and services can now be accessed instantaneously by electronic commerce. Small and medium sized countries have felt the cold winds of change blowing, and have adopted the “safety in numbers” philosophy. Regional organisations throughout the world have sprung up, with their original raison d'être the encouragement and development of regional trading blocks. Two of the most developed regional groupings are the EU/EC and NAFTA. These two organisations represent two quite different philosophies of regional trade groupings, with contrasting legal structures. The advent of Trade Globalisation, with the founding of the WTO has brought these two approaches into confrontation, as each side of the Atlantic Ocean tries to influence the development on the naissant WTO. This paper examines the two contrasting legal structures, and the conflict on an inter regional level that they are engendering.

Regional variation and change in the history of English strong verbs

This thesis investigates how the strong verb system inherited from Old English evolved in the regional dialects of Middle English (ca. 1100-1500). Old English texts preserve a relatively complex system of strong verbs, in which traditionally seven different ablaut classes are distinguished. This system becomes seriously disrupted from the Late Old English and Early Middle English periods onwards. As a result, many strong verbs die out, or have their ablaut patterns affected by sound change and morphological analogy, or transfer to the weak conjugation. In my thesis, I study the beginnings of two of these developments in two strong verb classes to find out what the evidence from Middle English regional dialects can tell us about their origins and diffusion. Chapter 2 concentrates on the strong-to-weak shift in Class III verbs, and investigates to what extent strong, mixed and weak past tense and participle forms vary in Middle English dialects, and whether the variation is more pronounced in the paradigms of specific verbs or sub-classes. Chapter 3 analyses the regional distribution of ablaut levelling in strong Class IV verbs throughout the Middle English period. The Class III and IV data for the Early Middle English period are drawn from A Linguistic Atlas of Early Middle English, and the data for the Late Middle English period from a sub-corpus of files from The Penn-Helsinki Parsed Corpus of Middle English and The Middle English Grammar Corpus. Furthermore, The English Dialect Dictionary and Grammar are consulted as an additional reference point to find out to what extent the Middle English developments are reflected in Late Modern English dialects. Finally, referring to modern insights into language variation and change and linguistic interference, Chapter 4 discusses to what extent intra- and extra-linguistc factors, such as token and type frequency, stem structure and language contact, might correlate with the strong-to-weak shift and ablaut levelling in Class III and IV verbs in the Middle English period. The thesis is accompanied by six appendices that contain further information about my distinction of Middle English dialect areas (Appendix A), historical Class III and IV verbs (B and C) and the text samples and linguistic data from the Middle English text corpora (D, E and F).

The foodomics approach to investigate the impact of the matrix structure on food quality: applications of magnetic resonance spectroscopy, relaxometry and imaging

The aim of this thesis is to explore the possible influence of the food matrix on food quality attributes. Using nuclear magnetic resonance techniques, the matrix-dependent properties of different foods were studied and some useful indices were defined to classify food products based on the matrix behaviour when responding to processing phenomena. Correlations were found between fish freshness indices, assessed by certain geometric parameters linked to the morphology of the animal, i.e. a macroscopic structure, and the degradation of the product structure. The same foodomics approach was also applied to explore the protective effect of modified atmospheres on the stability of fish fillets, which are typically susceptible to oxidation of the polyunsaturated fatty acids incorporated in the meat matrix. Here, freshness is assessed by evaluating the time-dependent change in the fish metabolome, providing an established freshness index, and its relationship to lipid oxidation. In vitro digestion studies, focusing on food products with different matrixes, alone and in combination with other meal components (e.g. seasoning), were conducted to investigate possible interactions between enzymes and food, modulated by matrix structure, which influence digestibility. The interaction between water and the gelatinous matrix of the food, consisting of a network of protein gels incorporating fat droplets, was also studied by means of nuclear magnetic relaxometry, in order to create a prediction tool for the correct classification of authentic and counterfeit food products protected by a quality label. This is one of the first applications of an NMR method focusing on the supramolecular structure of the matrix, rather than the chemical composition, to assess food authenticity. The effect of innovative processing technologies, such as PEF applied to fruit products, has been assessed by magnetic resonance imaging, exploiting information associated with the rehydration kinetics exerted by a modified food structure.

Correlation between structure and electrochemistry of LiMO2 cathode materials (M = Ni, Co)

Technical diversity and various knowledge is required for the understanding of undoubtedly complex system such as a Lithium-ion battery. The peculiarity is to combine different techniques that allow a complete investigation while the battery is working. Nowadays, research on Li-ion batteries (LIBs) is experiencing an exponential growth in the development of new cathode materials. Accordingly, Li-rich and Ni-rich NMCs, which have similar layered structure of LiMO2 oxides, have been recently proposed. Despite the promising performance on them, still a lot of issues have to be resolved and the materials need a more in depth characterisation for further commercial applications. In this study LiMO2 material, in particular M = Co and Ni, will be presented. We have focused on the synthesis of pure LiCoO2 and LiNiO2 at first, followed by the mixed LiNi0.5Co0.5O2. Different ways of synthesis were investigated for LCO but the sol-gel-water method showed the best performances. An accurate and systematic structural characterization followed by the appropriate electrochemical tests were done. Moreover, the in situ techniques (in-situ XRD and in situ OEMS) allowed a deep investigation in the structural change and gas evolution upon the electrochemically driven processes.

Analysis, modelling and design of a groin as coastal protection structure at Lido di Dante, Ravenna

An analysis and a subsequent solution is here presented. This document is about a groin design able to contrast the erosion actions given by waves in Lido di Dante. Advantages will be visible also for Fiumi Uniti's inlet, in the north side of the shoreline. Beach future progression and growth will be subjected to monitoring actions in the years after groin construction. The resulting effects of the design will have a positive impact not only on the local fauna and environment, but also, a naturalistic appeal will increase making new type of tourists coming not only for recreational purposes. The design phase is focused on possible design alternatives and their features. Particular interest is given to scouring phenomena all around the groin after its construction. Groin effects will impact not only on its south side, instead they will cause an intense erosion process on the downdrift front. Here, many fishing hut would be in danger, thus a beach revetment structure is needed to avoid any future criticality. In addiction, a numerical model based on a generalized shoreline change numerical model, also known as GENESIS, has been applied to the study area in order to perform a simplistic analysis of the shoreline and its future morphology. Critical zones are visible in proximity of the Fiumi Uniti's river inlet, where currents from the sea and the river itself start the erosion process that is affecting Lido di Dante since mid '80s, or even before. The model is affected by several assumptions that make results not to be interpreted as a real future trend of the shore. Instead the model allows the user to have a more clear view about critical processes induced by monochromatic inputed waves. In conclusion, the thesis introduce a wide analysis on a complex erosion process that is affecting many shoreline nowadays. A groin design is seen as a hard solution it is considered to be the only means able to decrease the rate of erosion.

Topics in climate change risk

In this Thesis, we analyze how climate risk impacts economic players and its consequences on the financial markets. Essentially, literature unravels two main channels through which climate change poses risks to the status quo, namely physical and transitional risk, that we cover in three works. Firstly, the call for a global shift to a net-zero economy implicitly devalues assets that contribute to global warming that regulators are forcing to dismiss. On the other hand, abnormal changes in the temperatures as well as weather-related events challenge the environmental equilibrium and could directly affect operations as well as profitability. We start the analysis with the physical component, by presenting a statistical measure that generally represents shocks to the distribution of temperature anomalies. We oppose this statistic to classical physical measures and assess that it is the driver of the electricity consumption, in the weather derivatives market, and in the cross-section of equity returns. We find two transmission channels, namely investor attention, and firm operations. We then analyze the transition risk component, by associating a regulatory horizon characterization to fixed income valuation. We disentangle a risk driver for corporate bond overperformance that is tight to change in credit riskiness. After controlling a statistical learning algorithm to forecast excess returns, we include carbon emission metrics without clear evidence. Finally, we analyze the effects of change in carbon emission on a regulated market such as the EU ETS by selecting utility sector corporate bond and, after controlling for the possible risk factor, we document how a firm’s carbon profile differently affects the term structure of credit riskiness.

Dynamics of terricolous alpine lichen communities of the Alps and Mediterranean Mountains in a climate change perspective

This thesis focuses on the impact of climate change in alpine ecosystems stressing the response of high elevation terricolous lichen communities. In fact, despite the strong sensitivity of cryptogams to changes in climatic factors, information is still scanty.We collected records in 154 plots placed in the summit area of the Majella Massif. In Following a multitaxon approach, Chapter 1 includes cryptogams and vascular plants. We analysed patterns in species richness, beta diversity and functional composition. In Chapter 2, we analysed the relationships between climatic variables and phylogenetic diversity and structure indices. Chapter 3 provides a long-term response relative to the consequences of climate change on a representative terricolous lichen genus across the Alps. Chapter 4 explores the relationships between the species richness and the functional composition of lichen growing on two types of substrates (carbonatic and siliceous soils) along different elevation gradients in the Eastern Alps. Climate change could affect cryptogams and lichens much more than vascular plants in Mediterranean mountains. Contrasting species-climate and traits-climate relationships were found between lichens and bryophytes, suggesting that each group may be sensitive to different components of climate change. Ongoing climate change may also lead to a loss of genetic diversity at high elevation ranges in the Mediterranean mountains, pauperising the life history richness of lichens. Alpine results forecasted that moderate range loss dynamics will occur at low elevation and in peripheral areas of the alpine chain. Results also support the view that range dynamics could be associated with functional traits mainly related to water-use strategies, dispersal, and establishment ability. We also highlighted the importance of substrates as a main driver of both species’ richness and functional traits composition. A “trade-off” also occurs between stress tolerance and the competitive response of communities of terricolous lichens that grow above siliceous and carbonatic soils.

Repertory of best practices to mitigate the effects of climate change and expand the resilience of the Built Environment.

The way we live has revealed a lot about the choices made in the last decades. These choices are mostly based on a predatory socioeconomic structure, based on the pillars of anthropocentrism and inconsistent with the principles of global sustainability. This structure based on fossil fuels degrades the environment and directly and indirectly impacts the biomes. According to The International Energy Agency (2020), the sector was responsible for more than a third of global energy consumption and 40% of total GHG emissions into the atmosphere (directly and indirectly). This thesis presents the main effects of climate change observed in the built environment and at the urban territorial scale, through a review of the state of the art of the subject in the last decade (2010-2021). The thesis breaks down the projectual process seeking to identify how the architect and urban planner can mitigate the effects of climate change, adapting existing structures or in projects, and also promoting the expansion of the resilience of these building systems.