What explains the Great Moderation in the US? A structural analysis

This paper investigates what has caused output and inflation volatility to fall in the USusing a small scale structural model using Bayesian techniques and rolling samples. Thereare instabilities in the posterior of the parameters describing the private sector, the policyrule and the standard deviation of the shocks. Results are robust to the specification ofthe policy rule. Changes in the parameters describing the private sector are the largest,but those of the policy rule and the covariance matrix of the shocks explain the changes most.

Self-selection and risk selection on the Swiss health insurance market

Abstract This thesis presents three empirical studies in the field of health insurance in Switzerland. First we investigate the link between health insurance coverage and health care expenditures. We use claims data for over 60 000 adult individuals covered by a major Swiss Health Insurance Fund, followed for four years; the data show a strong positive correlation between coverage and expenditures. Two methods are developed and estimated in order to separate selection effects (due to individual choice of coverage) and incentive effects ("ex post moral hazard"). The first method uses the comparison between inpatient and outpatient expenditures to identify both effects and we conclude that both selection and incentive effects are significantly present in our data. The second method is based on a structural model of joint demand of health care and health insurance and makes the most of the change in the marginal cost of health care to identify selection and incentive effects. We conclude that the correlation between insurance coverage and health care expenditures may be decomposed into the two effects: 75% may be attributed to selection, and 25 % to incentive effects. Moreover, we estimate that a decrease in the coinsurance rate from 100% to 10% increases the marginal demand for health care by about 90% and from 100% to 0% by about 150%. Secondly, having shown that selection and incentive effects exist in the Swiss health insurance market, we present the consequence of this result in the context of risk adjustment. We show that if individuals choose their insurance coverage in function of their health status (selection effect), the optimal compensations should be function of the se- lection and incentive effects. Therefore, a risk adjustment mechanism which ignores these effects, as it is the case presently in Switzerland, will miss his main goal to eliminate incentives for sickness funds to select risks. Using a simplified model, we show that the optimal compensations have to take into account the distribution of risks through the insurance plans in case of self-selection in order to avoid incentives to select risks.Then, we apply our propositions to Swiss data and propose a simple econometric procedure to control for self-selection in the estimation of the risk adjustment formula in order to compute the optimal compensations.

Automatic Prediction of Facial Trait Judgments: Appearance vs. Structural Models

Evaluating other individuals with respect to personality characteristics plays a crucial role in human relations and it is the focus of attention for research in diverse fields such as psychology and interactive computer systems. In psychology, face perception has been recognized as a key component of this evaluation system. Multiple studies suggest that observers use face information to infer personality characteristics. Interactive computer systems are trying to take advantage of these findings and apply them to increase the natural aspect of interaction and to improve the performance of interactive computer systems. Here, we experimentally test whether the automatic prediction of facial trait judgments (e.g. dominance) can be made by using the full appearance information of the face and whether a reduced representation of its structure is sufficient. We evaluate two separate approaches: a holistic representation model using the facial appearance information and a structural model constructed from the relations among facial salient points. State of the art machine learning methods are applied to a) derive a facial trait judgment model from training data and b) predict a facial trait value for any face. Furthermore, we address the issue of whether there are specific structural relations among facial points that predict perception of facial traits. Experimental results over a set of labeled data (9 different trait evaluations) and classification rules (4 rules) suggest that a) prediction of perception of facial traits is learnable by both holistic and structural approaches; b) the most reliable prediction of facial trait judgments is obtained by certain type of holistic descriptions of the face appearance; and c) for some traits such as attractiveness and extroversion, there are relationships between specific structural features and social perceptions.

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Effect of Cumulating Exposure to Abacavir on the Risk of Cardiovascular Disease Events in Patients From the Swiss HIV Cohort Study.

BACKGROUND: Patients with HIV exposed to the antiretroviral drug abacavir may have an increased risk of cardiovascular disease (CVD). There is concern that this association arises because of a channeling bias. Even if exposure is a risk, it is not clear how that risk changes as exposure cumulates. METHODS: We assess the effect of exposure to abacavir on the risk of CVD events in the Swiss HIV Cohort Study. We use a new marginal structural Cox model to estimate the effect of abacavir as a flexible function of past exposures while accounting for risk factors that potentially lie on a causal pathway between exposure to abacavir and CVD. RESULTS: A total of 11,856 patients were followed for a median of 6.6 years; 365 patients had a CVD event (4.6 events per 1000 patient-years). In a conventional Cox model, recent--but not cumulative--exposure to abacavir increased the risk of a CVD event. In the new marginal structural Cox model, continued exposure to abacavir during the past 4 years increased the risk of a CVD event (hazard ratio = 2.06; 95% confidence interval: 1.43 to 2.98). The estimated function for the effect of past exposures suggests that exposure during the past 6-36 months caused the greatest increase in risk. CONCLUSIONS: Abacavir increases the risk of a CVD event: the effect of exposure is not immediate, rather the risk increases as exposure cumulates over the past few years. This gradual increase in risk is not consistent with a rapidly acting mechanism, such as acute inflammation.

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. One possible way out consists here in using a variant of the Anderson-Rubin (1949, Ann. Math. Stat.) procedure. The latter, however, allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, which in general does not allow for individual coefficients. This problem may in principle be overcome by using projection techniques [Dufour (1997, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. AR-types are emphasized because they are robust to both weak instruments and instrument exclusion. However, these techniques can be implemented only by using costly numerical techniques. In this paper, we provide a complete analytic solution to the problem of building projection-based confidence sets from Anderson-Rubin-type confidence sets. The latter involves the geometric properties of “quadrics” and can be viewed as an extension of usual confidence intervals and ellipsoids. Only least squares techniques are required for building the confidence intervals. We also study by simulation how “conservative” projection-based confidence sets are. Finally, we illustrate the methods proposed by applying them to three different examples: the relationship between trade and growth in a cross-section of countries, returns to education, and a study of production functions in the U.S. economy.

Comparison of stochastic parametrization approaches in a single-column model

We discuss and test the potential usefulness of single-column models (SCMs) for the testing of stchastic physics schemes that have been proposed for use in general circulation models (GCMs). We argue that although single column tests cannot be definitive in exposing the full behaviour of a stochastic method in the full GCM, and although there are differences between SCM testing of deterministic and stochastic methods, nonetheless SCM testing remains a useful tool. It is necessary to consider an ensemble of SCM runs produced by the stochastic method. These can be usefully compared to deterministic ensembles describing initial condition uncertainty and also to combinations of these (with structural model changes) into poor man's ensembles. The proposed methodology is demonstrated using an SCM experiment recently developed by the GCSS community, simulating the transitions between active and suppressed periods of tropical convection.

Comparison of stochastic parameterisation approaches in a single-column model

We discuss and test the potential usefulness of single-column models (SCMs) for the testing of stochastic physics schemes that have been proposed for use in general circulation models (GCMs). We argue that although single column tests cannot be definitive in exposing the full behaviour of a stochastic method in the full GCM, and although there are differences between SCM testing of deterministic and stochastic methods, SCM testing remains a useful tool. It is necessary to consider an ensemble of SCM runs produced by the stochastic method. These can be usefully compared to deterministic ensembles describing initial condition uncertainty and also to combinations of these (with structural model changes) into poor man's ensembles. The proposed methodology is demonstrated using an SCM experiment recently developed by the GCSS (GEWEX Cloud System Study) community, simulating transitions between active and suppressed periods of tropical convection.

A modified signed likelihood ratio test in elliptical structural models

In this paper we deal with the issue of performing accurate testing inference on a scalar parameter of interest in structural errors-in-variables models. The error terms are allowed to follow a multivariate distribution in the class of the elliptical distributions, which has the multivariate normal distribution as special case. We derive a modified signed likelihood ratio statistic that follows a standard normal distribution with a high degree of accuracy. Our Monte Carlo results show that the modified test is much less size distorted than its unmodified counterpart. An application is presented.

In search of exchange rate predictability : a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model

Este estudo investiga o poder preditivo fora da amostra, um mês à frente, de um modelo baseado na regra de Taylor para previsão de taxas de câmbio. Revisamos trabalhos relevantes que concluem que modelos macroeconômicos podem explicar a taxa de câmbio de curto prazo. Também apresentamos estudos que são céticos em relação à capacidade de variáveis macroeconômicas preverem as variações cambiais. Para contribuir com o tema, este trabalho apresenta sua própria evidência através da implementação do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o “symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant”. Para isso, utilizamos uma amostra de 14 moedas em relação ao dólar norte-americano que permitiu a geração de previsões mensais fora da amostra de janeiro de 2000 até março de 2014. Assim como o critério adotado por Galimberti e Moura (2012), focamos em países que adotaram o regime de câmbio flutuante e metas de inflação, porém escolhemos moedas de países desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclusão da previsibilidade da taxa de câmbio depende do teste estatístico adotado, sendo necessária a adoção de testes robustos e rigorosos para adequada avaliação do modelo. Após constatar não ser possível afirmar que o modelo implementado provém previsões mais precisas do que as de um passeio aleatório, avaliamos se, pelo menos, o modelo é capaz de gerar previsões “racionais”, ou “consistentes”. Para isso, usamos o arcabouço teórico e instrumental definido e implementado por Cheung e Chinn (1998) e concluímos que as previsões oriundas do modelo de regra de Taylor são “inconsistentes”. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contemporâneos observados. Apuramos que o modelo fundamental é incapaz de antecipar os retornos realizados.

Structural and optical properties of CaTiO3 perovskite-based materials obtained by microwave-assisted hydrothermal synthesis: An experimental and theoretical insight

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A structure based model for liposome disruption and the role of catalytic activity in myotoxic phospholipase A(2)S

Venom phospholipase A(2)s (PLA(2)s) display a wide spectrum of pharmacological activities and, based on the wealth of biochemical and structural data currently available for PLA(2)S, mechanistic models can now be inferred to account for some of these activities. A structural model is presented for the role played by the distribution of surface electrostatic potential in the ability of myotoxic D49/K49 PLA(2)s to disrupt multilamellar vesicles containing negatively charged natural and non-hydrolyzable phospholipids. Structural evidence is provided for the ability of K49 PLA(2)s to bind phospholipid analogues and for the existence of catalytic activity in K49 PLA(2)s. The importance of the existence of catalytic activity of D49 and K49 PLA(2)s in myotoxicity is presented. (C) 2003 Elsevier Ltd. All rights reserved.

Structural studies of NaPO3-MoO3 glasses by solid-state nuclear magnetic resonance and raman spectroscopy

Vitreous samples were prepared in the (100 - x)% NaPO3-x% MoO3 (0 <= x <= 70) glass-forming system by a modified melt method that allowed good optical quality samples to be obtained. The structural evolution of the vitreous network was monitored as a function of composition by differential scanning calorimetry (DSC), Fourier transform infrared spectroscopy (FT-IR), Raman scattering, and solid-state nuclear magnetic resonance (NMR) for P-31, Na-23, and Mo-95 nuclei. Addition of MoO3 to the NaPO3 glass melt leads to a pronounced increase in the glass transition temperatures up to x = 45, suggesting a significant increase in network connectivity. For this same composition range, vibrational spectra suggest that the Mo6+ ions are bonded to some nonbridging oxygen atoms (Mo-O- or Mo=O bonded species). Mo-O-Mo bond formation occurs only at MoO3 contents exceeding x = 45. P-31 magic-angle spinning (MAS) NMR spectra, supported by two-dimensional J-resolved spectroscopy, allow a clear distinction between species having two, one, and zero P-O-P linkages. These sites are denoted as Q(2Mo)((2)), Q(1Mo)((2)), and Q(0Mo)((2)), respectively. For x < 0.45, the populations of these sites can be described along the lines of a binary model, according to which each unit of MoO3 converts two Q(nMo)((2)) sites into two Q((n+1)Mo)((2)) sites (n = 0, 1). This structural model is consistent with the presence of tetrahedral Mo(=O)(2)(O-1/2)(2) environments. Indeed, Mo-95 NMR data suggest that the majority of the molybdenum species are four-coordinated. However, the presence of additional six-coordinate molybdenum in the MAS NMR spectra indicates that the structure of these glasses may be more complicated and may additionally involve sharing of network modifier oxide between the network formers phosphorus and molybdenum. This latter hypothesis is further supported by Na-23{P-31} rotational echo double resonance (REDOR) data, which clearly reveal that the magnetic dipole-dipole interactions between P-31 and Na-23 are increasingly diminished with increasing molybdenum content. The partial transfer of modifier from the phosphate to the molybdate network former implies a partial repolymerization of the phosphate species, resulting in the formation of Q(nMo)((3)) species and accounting for the observed increase in the glass transition temperature with increasing MoO3 content that is observed in the composition range 0 <= x <= 45. Glasses with MoO3 contents beyond x = 45 show decreased thermal and crystallization stability. Their structure is characterized by isolated phosphate species [most likely of the P(OMo)(4) type] and molybdenum oxide clusters with a large extent of Mo-O-Mo connectivity.

Molecular model of cyclin-dependent kinase 5 complexed with roscovitine

Here is described a structural model for the binary complex CDK5-roscovitine. Roscovitine has been shown to potently inhibit cyclin-dependent kinases 1, 2 and 5 (CDK1, 2, and 5), and the structure of CDK2 complexed with roscovitine has been reported; however, no structural data, are available for complexes of CDK5 with inhibitors. The structural model indicates that roscovitine strongly binds to the ATP-binding pocket of CDK5 and structural comparison of the CDK2-roscovitine complex correlates the structural differences with differences in inhibition of these CDKs by this inhibitor. This structure opens the possibility of testing new inhibitor families, in addition to new substituents for the already known lead structures of adenine derivatives. (C) 2002 Elsevier B.V. (USA). All rights reserved.

Structural characterization of a tin oxyhydroxide gel and its precursor sol

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)