Job creation under liquidity constraints: The Spanish case

This paper shows that liquidity constraints restrict jobcreation even when labor markets are flexible. In a dynamicmodel of labor demand, I show that in an environment of imperfect capital and imperfect labor markets, firms usetemporary contracts to relax financial constraints. Evidence for the predictions of the model is presented using Spanish data from the CBBE (Central de Balances del Banco de España - Balance Sheet data from the Bank of Spain). It is shown that firms substitute temporary laborfor permanent one and use less debt as their financial position improves. In particular, it is rejected that Spanish firms operate in an environment of free capital markets and of no labor adjustment costs. The labor reform of 1984, which created temporary contracts, implied to some extent a relaxation of liquidity constraints.Accordingly, firms used these contracts more extensivelyand used less debt; however, as capital markets continueto be imperfect, permanent job creation continues to beslow. Consequently, relaxation of liquidity constraints should also be part of a job creation strategy.

Examining non-response bias in substance use research-Are late respondents proxies for non-respondents?

BACKGROUND: Non-response is a major concern among substance use epidemiologists. When differences exist between respondents and non-respondents, survey estimates may be biased. Therefore, researchers have developed time-consuming strategies to convert non-respondents to respondents. The present study examines whether late respondents (converted former non-participants) differ from early respondents, non-consenters or silent refusers (consent givers but non-participants) in a cohort study, and whether non-response bias can be reduced by converting former non-respondents. METHODS: 6099 French- and 5720 German-speaking Swiss 20-year-old males (more than 94% of the source population) completed a short questionnaire on substance use outcomes and socio-demographics, independent of any further participation in a cohort study. Early respondents were those participating in the cohort study after standard recruitment procedures. Late respondents were non-respondents that were converted through individual encouraging telephone contact. Early respondents, non-consenters and silent refusers were compared to late respondents using logistic regressions. Relative non-response biases for early respondents only, for respondents only (early and late) and for consenters (respondents and silent refusers) were also computed. RESULTS: Late respondents showed generally higher patterns of substance use than did early respondents, but lower patterns than did non-consenters and silent refusers. Converting initial non-respondents to respondents reduced the non-response bias, which might be further reduced if silent refusers were converted to respondents. CONCLUSION: Efforts to convert refusers are effective in reducing non-response bias. However, converted late respondents cannot be seen as proxies of non-respondents, and are at best only indicative of existing response bias due to persistent non-respondents.

Bank liquidity, interbank markets and monetary policy

A major lesson of the recent financial crisis is that the interbank lending marketis crucial for banks facing large uncertainty regarding their liquidity needs. Thispaper studies the efficiency of the interbank lending market in allocating funds. Weconsider two different types of liquidity shocks leading to different implications foroptimal policy by the central bank. We show that, when confronted with a distributional liquidity-shock crisis that causes a large disparity in the liquidity held amongbanks, the central bank should lower the interbank rate. This view implies that thetraditional tenet prescribing the separation between prudential regulation and monetary policy should be abandoned. In addition, we show that, during an aggregateliquidity crisis, central banks should manage the aggregate volume of liquidity. Twodifferent instruments, interest rates and liquidity injection, are therefore required tocope with the two different types of liquidity shocks. Finally, we show that failureto cut interest rates during a crisis erodes financial stability by increasing the riskof bank runs.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

Molecular Proxies for Climate Maladaptation in a Long-Lived Tree (Pinus pinaster Aiton, Pinaceae).

Understanding adaptive genetic responses to climate change is a main challenge for preserving biological diversity. Successful predictive models for climate-driven range shifts of species depend on the integration of information on adaptation, including that derived from genomic studies. Long-lived forest trees can experience substantial environmental change across generations, which results in a much more prominent adaptation lag than in annual species. Here, we show that candidate-gene SNPs (single nucleotide polymorphisms) can be used as predictors of maladaptation to climate in maritime pine (Pinus pinaster Aiton), an outcrossing long-lived keystone tree. A set of 18 SNPs potentially associated with climate, 5 of them involving amino acid-changing variants, were retained after performing logistic regression, latent factor mixed models, and Bayesian analyses of SNP-climate correlations. These relationships identified temperature as an important adaptive driver in maritime pine and highlighted that selective forces are operating differentially in geographically discrete gene pools. The frequency of the locally advantageous alleles at these selected loci was strongly correlated with survival in a common garden under extreme (hot and dry) climate conditions, which suggests that candidate-gene SNPs can be used to forecast the likely destiny of natural forest ecosystems under climate change scenarios. Differential levels of forest decline are anticipated for distinct maritime pine gene pools. Geographically defined molecular proxies for climate adaptation will thus critically enhance the predictive power of range-shift models and help establish mitigation measures for long-lived keystone forest trees in the face of impending climate change.

Stable O and H isotopic composition of hydrous minerals as proxies for paleoclimate and -topography : application to the European Alps

The isotopie composition of clay minerals can be used to gain information on paleoaltitude, -topography and -climate during the time of their formation, as they form in isotopie equilibrium with ambient water, which has an isotopie composition that is determined by previous rain-out. In this thesis, the usability of this approach is evaluated for sample material from both the North Alpine Foreland Basin and internal parts of the European Alps. The isotopie composition of precipitation is determined by the air temperature and the extent of previous rain-out, which in turn is affected by the distance to the point of origin of the water vapor and the condensation conditions. An orographic barrier leads to uplift and adiabatic cooling of air masses and thereby enhances rainfall with a characteristic depletion in heavy 0 and H isotopes. Processes such as evaporation and mixing of water with different origin affect the isotopie composition further on the surface. Clay minerals are hydrous phyllosilicates that can form during weathering or pedogenesis in isotopie equilibrium with the present water and inherit its isotopie composition with a characteristic fractionation. If their isotopie composition was preserved after formation and the necessary parameters are known, it is possible to calculate the isotopie composition of the ambient water and thereby reconstruct climatic and topographic conditions during their formation. Due to the hygroscopic behavior of the sample material, analytical procedures needed to be modified to allow an analysis of the oxygen and hydrogen isotopie composition of the hydroxyl water built into their crystal structure and not the one of recently adsorbed water. In order to determine typical 5lsO and 8D values of meteoric water and minerals in the weathering environment in high Alpine regions, samples of surface water and soils from the valley of Visp in the Swiss Alps were studied that were collected along a transect with varying altitudes and host rock lithologies. The actual aim to attempt the reconstruction of Alpine paleoelevations was addressed by the analysis of sediments deposited under marine and terrestrial conditions during the Miocene and Oligocene, which were sampled from different locations in Switzerland, Germany and Austria. Further bentonite and fault gouge clay samples were used as reference material from low and high elevations. Results show that the isotopie composition of clay minerals can be influenced by several factors, such as the mode and site of their formation, possible isotope exchange (which is evident for 8D values), the samples' mineral composition (such as the presence of detrital material) and the deposition environment. With a consideration of these parameters and limitation to certain sample material, conclusions are drawn on the isotopie composition of the water from which the clay minerals formed. Most of the obtained values lie in the same range as has been reported in literature for foreland precipitation. The reconstruction of paleoelevation might be possible for selected sites with a geographical setting close to the Alpine chain or for intramontane basins. - La composition isotopique des argiles, qui se forment typiquement en contact avec des eaux superficielles, peut être utilisée pour obtenir des informations sur la paléoaltitude, la paléotopographie et le paléoclimat pendant leur création. La composition en isotopes stable (oxygène et hydrogène) des eaux de pluie est déterminée par l'altitude, la température, la distance depuis le lieu d'évaporation et par le taux de précipitation. Certains processus comme l'évaporation, l'interaction avec des minéraux et le mélange d'eaux d'origines variées peuvent aussi changer la composition des eaux de surface. Les argiles sont des pliyllosilicates hydratés qui sont crées par l'altération des roches au contact de ces eaux de surface et ils acquièrent une composition isotopique qui est soumise à un certain fractionnement. L'objectif de cette thèse est d'évaluer si l'effet de l'altitude des Alpes, est détectable dans la composition isotopique des sédiments du bassin d'avant-pavs pendant le Miocène. Après avoir établi la procédure analytique, des compositions isotopiques typiques de régions de hautes altitudes ont été determine sur les eaux de surfaces (rivières) et sur des échantillons de sols, le long d'une coupe dans la valée de Visp, dans les Alpes Suisses. Une reconstruction des paléoaltitudes Miocènes Alpines a ensuite été mené par l'analyse de sédiments marins et terrestres en utilisant des échantillons d'âges variés et provenant de Suisse, d'Allemagne et d'Autriche. Les résultats montrent que la composition isotopique des échantillons est impactée par de multiples facteurs, tels que le mode de et le lieu de formation. un possible échange isotopique tardif (surtout pour 5D). leur composition minéralogique et l'environnement de leur sédimentation. Après un examen prudent de ces paramètres, et en se limitant à un certain assortiment d'échatillons, on peut tirer des conclusions sur la composition isotopique des eaux originelles pour en déduire l'effet du climat et de la topographie.

Nd and Sr isotope compositions in modern and fossil bones - Proxies for vertebrate provenance and taphonomy

Rare earth elements (REE), while not essential for the physiologic functions of animals, are ingested and incorporated in ppb concentrations in bones and teeth. Nd isotope compositions of modern bones of animals from isotopically distinct habitats demonstrate that the (143)Nd/(144)Nd of the apatite can be used as a fingerprint for bedrock geology or ambient water mass. This potentially allows the provenance and migration of extant vertebrates to be traced, similar to the use of Sr isotopes. Although REE may be enriched by up to 5 orders of magnitude during diagenesis and recrystallization of bone apatite, in vivo (143)Nd/(144)Nd may be preserved in the inner cortex of fossil bones or enamel. However, tracking the provenance of ancient or extinct vertebrates is possible only for well-preserved archeological and paleontological skeletal remains with in vivo-like Nd contents at the ppb-level. Intra-bone and -tooth REE analysis can be used to screen for appropriate areas. Large intra-bone Nd concentration gradients of 10(1)-10(3) are often measured. Nd concentrations in the inner bone cortex increase over timescales of millions of years, while bone rims may be enriched over millenial timescales. Nevertheless, epsilon(Nd) values are often similar within one epsilon(Nd) unit within a single bone. Larger intra-bone differences in specimens may either reflect a partial preservation of in vivo values or changing epsilon(Nd) values of the diagenetic fluid during fossilization. However, most fossil specimens and the outer rims of bones will record taphonomic (143)Nd/(144)Nd incorporated post mortem during diagenesis. Unlike REE patterns, (143)Nd/(144)Nd are not biased by fractionation processes during REE-uptake into the apatite crystal lattice, hence the epsilon(Nd) value is an important tracer for taphonomy and reworking. Bones and teeth from autochthonous fossil assemblages have small variations of +/- 1 epsilon(Nd) unit only. In contrast, fossil bones and teeth from over 20 different marine and terrestrial fossil sites have a total range of epsilon(Nd) values from -13.0 to 4.9 (n = 80), often matching the composition of the embedding sediment. This implies that the surrounding sediment is the source of Nd in the fossil bones and that the specimens of this study seem not to have been reworked. Differences in epsilon(Nd) values between skeletal remains and embedding sediment may either indicate reworking of fossils and/or a REE-uptake from a diagenetic fluid with non-sediment derived epsilon(Nd) values. The latter often applies to fossil shark teeth, which may preserve paleo-seawater values. Complementary to epsilon(Nd) values, (87)Sr/(86)Sr can help to further constrain the fossil provenance and reworking. (C) 2011 Elsevier Ltd. All rights reserved.

Impact of controlled changes in grain size and pore space characteristics on the hydraulic conductivity and spectral induced polarization response of "proxies" of saturated alluvial sediments

Understanding the influence of pore space characteristics on the hydraulic conductivity and spectral induced polarization (SIP) response is critical for establishing relationships between the electrical and hydrological properties of surficial unconsolidated sedimentary deposits, which host the bulk of the world's readily accessible groundwater resources. Here, we present the results of laboratory SIP measurements on industrial-grade, saturated quartz samples with granulometric characteristics ranging from fine sand to fine gravel, which can be regarded as proxies for widespread alluvial deposits. We altered the pore space characteristics by changing (i) the grain size spectra, (ii) the degree of compaction, and (iii) the level of sorting. We then examined how these changes affect the SIP response, the hydraulic conductivity, and the specific surface area of the considered samples. In general, the results indicate a clear connection between the SIP response and the granulometric as well as pore space characteristics. In particular, we observe a systematic correlation between the hydraulic conductivity and the relaxation time of the Cole-Cole model describing the observed SIP effect for the entire range of considered grain sizes. The results do, however, also indicate that the detailed nature of these relations depends strongly on variations in the pore space characteristics, such as, for example, the degree of compaction. The results of this study underline the complexity of the origin of the SIP signal as well as the difficulty to relate it to a single structural factor of a studied sample, and hence raise some fundamental questions with regard to the practical use of SIP measurements as site- and/or sample-independent predictors of the hydraulic conductivity.

Liquidity and Asset Pricing in the French Stock Market

This thesis investigates pricing of liquidity in the French stock market. The study covers 835 ordinary shares traded in the period of 1996-2014 on Paris Euronext. The author utilizes the Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) recently developed by Acharya and Pedersen (2005) to test whether liquidity level and risks significantly affect stock returns. Three different liquidity measures – Amihud, FHT, and PQS – are incorporated into the model to find any difference between the results they could provide. It appears that the findings largely depend on the liquidity measure used. In general the results exhibit more evidence for insignificant influence of liquidity level and risks as well as market risk on stock returns. The similar conclusion was reported earlier by Lee (2011) for several regions, including France. This finding of the thesis, however, is not consistent across all the liquidity measures. Nevertheless, the difference in the results between these measures provides new insight to the existing literature on this topic. The Amihud-based findings might indicate that market resiliency is not priced in the French stock market. At the same time the contradicting results from FHT and PQS provide some foundation for the hypothesis that one of two leftover liquidity dimensions – market depth or breadth – could significantly affect stock returns. Therefore, the thesis’ findings suggest a conjecture that different liquidity dimensions have different impacts on stock returns.

Liquidity levels of Finnish SME’s from 2007 to 2013 and a closer analysis of the IC sector

TAVOITTEET: Tämän tutkielman tarkoitus on tarkastella eri toimialojen likviditeettitasoja vuosien 2007 ja 2013 välillä. Se tarkastelee myös kassanhallinnan ja likviditeetin kirjallisuutta, erilaisia likviditeettiä kuvaavia tunnuslukuja sekä asioita, joilla on vaikutusta likviditeettiin. Tämän lisäksi se tutkii informaatio ja kommunikaatio sektoria tarkemmin. DATA: Data on kerätty Orbis tietokannasta. Toimialakohtaiset keskiarvot on laskettu joko kappaleen 2 esittämillä kaavoilla tai noudettu suoraan tietokannasta. Hajonta kuvaajat on tehty Excelillä ja korrelaatio matriisi ja regressioanalyysit SAS EG:llä. TULOKSET: Tämä tutkimus esittää toimialakohtaiset keskiarvot liquidity ratiosta, solvency ratiosta sekä gearingista, kuten monista muista likviditeettiä kuvaavista tai siihen vaikuttavista tunnusluvuista. Tutkimus osoittaa, että keskimäärin likviditeetti ja maksuvalmius ovat säilyneet melko samana, mutta toimialakohtaiset muutokset ovat voimakkaita. IC sektorilla likviditeettiin vaikuttaa katetuotto, työntekijöiden määrä, liikevaihto, taseen määrä sekä maksuaika.

Exclusão financeira no Brasil: uma análise regional exploratória

Financial exclusion in Brazil: a regional investigation. Despite the fact that after the second half of the nineties the studies of financial exclusion have gained strength among the studies about poverty and regional and social inequalities, a few studies about this problem had appear in the Brazilian economic literature. The present work aims to contribute to this discussion by doing a regional investigation about the phenomenon of financial exclusion inside Brazil. The main hypothesis of the study is that this phenomenon is not disassociated of the space in which it happens. Thought of the use of proxies two dimensions of financial exclusion had been studied: the access to financial services and the suitability of it.

Liquidity Risk in the Finnish Stock Market

This study explores the pricing of liquidity risk and its effect on stock returns in the Finnish stock market. In addition to that, it investigates whether there is a trend in liquidity risk. Finally, it analyzes whether the two chosen liquidity measures provide different results. The data consists of all the common shares listed in the Finnish stock market during the period of 1/1997–7/2015. To examine whether liquidity risk affects stock returns in the Finnish stock market, this study utilizes a conditional version of liquidity-adjusted capital asset pricing model (LCAPM) by Acharya and Pedersen (2005). Two recently proposed illiquidity measures – PQS and AdjILLIQ – are used in the empirical estimation to see whether there are differences in the results between the measures. The time-varying conditional liquidity risks are estimated by using a multivariate DCC-GARCH model, while the pricing of the liquidity risk is conducted by applying fixed effect panel regression. The results imply that investors in the Finnish stock market are willing to pay a premium to hedge from wealth shocks and having liquid assets during the declined market liquidity. However, investors are not willing to pay a premium for stocks with higher returns during illiquid markets. The total annualized illiquidity premiums found in the Finnish stock market are 1.77% and 1.04%, based on the PQS and AdjILLIQ measures, respectively. The study also shows that liquidity risk does not exhibit decreasing trend, and investors should consider liquidity risk in their portfolio diversification in the Finnish stock market.

Pricing of Liquidity Risks in London Stock Exchange

This thesis aims to investigate pricing of liquidity risks in London Stock Exchange. Liquidity Adjusted Capital Asset Pricing Model i.e. LCAPM developed by Acharya and Pedersen (2005) is being applied to test the influence of various liquidity risks on stock returns in London Stock Exchange. The Liquidity Adjusted Capital Asset Pricing model provides a unified framework for the testing of liquidity risks. All the common stocks listed and delisted for the period of 2000 to 2014 are included in the data sample. The study has incorporated three different measures of liquidity – Percent Quoted Spread, Amihud (2002) and Turnover. The reason behind the application of three different liquidity measures is the multi-dimensional nature of liquidity. Firm fixed effects panel regression is applied for the estimation of LCAPM. However, the results are robust according to Fama-Macbeth regressions. The results of the study indicates that liquidity risks in the form of (i) level of liquidity, (ii) commonality in liquidity (iii) flight to liquidity, (iv) depressed wealth effect and market return as well as aggregate liquidity risk are priced at London Stock Exchange. However, the results are sensitive to the choice of liquidity measures.