Essays on firm behaviour in the euro area

This thesis examines firms' real decisions using a large panel of unquoted euro area firms over the period 2003-2011. To this end, this thesis is composed of five chapters in which three are the main empirical chapters. They assess the dimensions of firm behaviour across different specifications. Each of these chapters provide a detailed discussion on the contribution, theoretical and empirical background as well as the panel data techniques which are implemented. Chapter 1 describes the introduction and outline of the thesis. Chapter 2 presents an empirical analysis on the link between financial pressure and firms' employment level. In this set-up, it is explored the strength of financial pressure during the financial crisis. It is also tested whether this effect has a different impact for financially constrained and unconstrained firms in the periphery and non-periphery regions. The results of this chapter denote that financial pressure exerts a negative impact on firms' employment decisions and that this effect is stronger during the crisis for financially constrained firms in the periphery. Chapter 3 analyses the cash policies of private and public firms. Controlling for firm size and other standard variables in the literature of cash holdings, empirical findings suggest that private firms hold higher cash reserves than their public counterparts indicating a greater precautionary demand for cash by the former. The relative difference between these two type of firms decreases (increases) the higher (lower) is the the level of financial pressure. The findings are robust to various model specifications and over different sub-samples. Overall, this chapter shows the relevance of firms' size. Taken together, the findings of Chapter 3 are in line with the early literature on cash holdings and contradict the recent studies, which find that the precautionary motive to hold cash is less pronounced for private firms than for public ones. Chapter 4 undertakes an investigation on the relation between firms' stocks of inventories and trade credit (i.e. extended and taken) whilst controlling for the firms' size, the characteristics of the goods transacted, the recent financial crisis and the development of the banking system. The main findings provide evidence of a trade-off between trade credit extended and firms' stock of inventories. In other words, firms' prefer to extend credit in the form of stocks to their financially constrained customers to avoid holdings costly inventories and to increase their sales levels. The provision of trade credit by the firms also depends on the characteristics of the goods transacted. This impact is stronger during the crisis. Larger and liquid banking systems reduce the trade-off between the volume of stocks of inventories and the amount sold on credit. Trade credit taken is not affected by firms' stock of inventories. Chapter 5 presents the conclusions of the thesis. It provides the main contributions, implications and future research of each empirical chapter.

"Nos llaman ladrones y se roban nuestro salario": Hacia una reinterpretación de la movilización rural salvadoreña, 1929-1931.

ResumenEste artículo examina los orígenes sociales de los movimientos que desencadenaron la revuelta campesina de 1932 en el centro-occidente de El Salvador. Utiliza fuentes orales y documentales nuevas, para trazar la forma en que el reformismo, la crisis económica y el activismo de los militantes comunistas lograron romper las barreras étnicas y regionales que dividían al campesinado occidental y estimular una movilización masiva.AbstractThis article delves into the social origins of the movements that triggered the 1932 peasant revolt in the central-western region of El Salvador. The authors used new oral and documentary sources to outline the way in which reformism, the economic crisis, and the communist activism managed to break the ethnic and regional barriers that divided the western peasantry and fostered a massive mobilization.

Desestructuración económica y crisis social. El Pacífico Sur costarricense en el marco de la década perdida

ResumenEl artículo explora a partir de fuentes diversas (orales, hemerográficas y documentales) la problemática de la desestructuración económica sufrida por el Pacífico Sur costarricense, los distintos impactos sociales de la crisis que esta suscitó, el gran conflicto huelguístico del año 1984 y las políticas y respuestas ofrecidas por el Estado y los distintos actores sociales, de cara a tal problemáticaAbstractThrough the use of a wide diversity of sources (oral, newspaper, and documentary), this article explores the problem areas of the economic destructuring suffered by the Costa Rican Southern Pacific region, the different social impacts generated by this crisis, the great strike of 1984, and the policies and solutions proposed by the State and other social actors, in the face of these major issues.

Movimenti di genti in tempo di peste: studio antropologico e documentale dei deceduti nel Lazzaretto Vecchio di Venezia (xv-xvii secolo).

Fondato nel 1423 per decisione del Maggior Consiglio di Venezia, il Lazzaretto Vecchio, è la prima struttura permanente in Europa destinata al ricovero degli ammalati di peste e alla quarantena preventiva di coloro che erano entrati in contatto con infetti o che provenivano da zone epidemiche. Questo studio si pone come obiettivo quello di analizzare antropologicamente una parte dei resti umani rinvenuti e comparare i risultati ottenuti con le fonti edite riguardanti la composizione dei ricoverati all’interno della struttura. Sono stati selezionati 110 individui provenienti da 9 comuni appartenenti a due diversi archi cronologici, il 1575-1577 e il 1630-1631. Gli individui sono stati sottoposti a diverse analisi antropologiche tradizionali e indagini più dettagliate di stampo biomolecolare. Parallelamente, è stata vagliata la letteratura prodotta da studi popolazionistici editi. Le analisi antropologiche hanno rivelato un quadro popolazionistico con normale presenza di maschi e femmine, e attestazione di tutte le classi di età, dagli 0 agli oltre 50 anni. Le analisi chimico-fisiche hanno rivelato la presenza di sette individui non locali. Con riguardo all’alimentazione non vi sono particolari differenze in termini di periodi cronologici o di sesso degli individui, quanto invece si possono individuare schemi relativi alla qualità del cibo ingerito in relazione all’inserimento nel mondo del lavoro. Per quanto riguarda le indagini di carattere documentale, nonostante alcuni degli studi popolazionistici individuati non siano considerabili recenti, ci forniscono un quadro dell’andamento della popolazione a Venezia a partire dal 1500 fino al 1700, coprendo in questo modo le cronologie d’interesse del progetto, legate agli episodi di maggiore mortalità della peste. Si riscontra una sostanziale coerenza tra i dati riportati nei diversi resoconti e la sex ratio e le fasce di età alla morte riscontrate, anche se non mancano casi specifici di forte discostamento tra i dati.

One archive, many readings. Personal archives as complex networks in the semantic web

Personal archives are the archives created by individuals for their own purposes. Among these are the library and documentary collections of writers and scholars. It is only recently that archival literature has begun to focus on this category of archives, emphasising how their heterogeneous nature necessitates the conciliation of different approaches to archival description, and calling for a broader understanding of the principle of provenance, recognising that multiple creators, including subsequent researchers, can contribute to shaping personal archives over time by adding new layers of contexts. Despite these advances in the theoretical debate, current architectures for archival representation remain behind. Finding aids privilege a single point of view and do not allow subsequent users to embed their own, potentially conflicting, readings. Using semantic web technologies this study aims to define a conceptual model for writers' archives based on existing and widely adopted models in the cultural heritage and humanities domains. The model developed can be used to represent different types of documents at various levels of analysis, as well as record content and components. It also enables the representation of complex relationships and the incorporation of additional layers of interpretation into the finding aid, transforming it from a static search tool into a dynamic research platform.  The personal archive and library of Giuseppe Raimondi serves as a case study for the creation of an archival knowledge base using the proposed conceptual model. By querying the knowledge graph through SPARQL, the effectiveness of the model is evaluated. The results demonstrate that the model addresses the primary representation challenges identified in archival literature, from both a technological and methodological standpoint. The ultimate goal is to bring the output par excellence of archival science, i.e. the finding aid, more in line with the latest developments in archival thinking.

Financial fragility, trade credit and contagion effects during the crisis: a spatial econometric approach to firm-level data

The number of distressed manufacturing firms increased sharply during recessionary phase 2009-13. Financial indebtness traditionally plays a key role in assessing firm solvency but contagion effects that originate from the supply chain are usually neglected in literature. Firm interconnections, captured via the trade credit channel, represent a primary vehicle of individual shocks’ propagation, especially during an economic downturn, when liquidity tensions arise. A representative sample of 11,920 Italian manufacturing firms is considered to model a two-step econometric design, where chain reactions in terms of trade credit accumulation (i.e. default of payments to suppliers) are primarily analyzed by resorting to a spatial autoregressive approach (SAR). Spatial interactions are modeled based on a unique dataset of firm-to-firm transactions registered before the outbreak of the crisis. The second step in instead a binary outcome model where trade credit chains are considered together with data on the bank-firm relationship to assess determinants of distress likelihoods in 2009-13. Results show that outstanding trade debt is affected by the liquidity position of a firm and by positive spatial effects. Trade credit chain reactions are found to exert, in turn, a positive impact on distress likelihoods during the crisis. The latter effect is comparable in magnitude to the one exerted by individual financial rigidity, and stresses the importance to include complex interactions between firms in the analysis of the solvency behavior.

Impact of the Subprime Crisis in the Provision of Credit Risk of Major National Banks

Financial institutions are directly exposed to the credit risk, that is, the risk of the borrower not fulfill with their obligations, paying their debts in its stated periods established previously. The bank predict this type of risk, including them in their balance-sheets. In 2006/2007 there was the impact of a new financial crisis that spread around the world, known as the crisis of subprime. The objective of this study is to analyze if the provisions for credit risk or liquidation increased the sprouting of the crisis of subprime in ten major national banks, chosen accordant to their total assets. To answer this question, the balance-sheets of each one of these banks in the period of 2005 to 2007 were analyzed. This research is characterized, as for its objectives, as descriptive and as for the procedures as documentary research. It is also characterized as having a qualitative approach. The results show that the crisis of subprime has caused little impact in the credit risk provision of the analyzed institutions. It was noticed a slight increase in the provision indicators at the peak of the crisis in 2006. These percentages were reduced in, 2007, probably reflecting the economic stability of Brazil and the stagnation of the crisis Of subprime in that year, at least in relation to in our country.

Credit risk stress testing: The Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

Credit markets and the propagation of monetary policy shocks

This paper analyzes the propagation of monetary policy shocks through the creation of credit in an economy. Models of the monetary transmission mechanism typically feature responses which last for a few quarters contrary to what the empirical evidence suggests. To propagate the impact of monetary shocks over time, these models introduce adjustment costs by which agents find it optimal to change their decisions slowly. This paper presents another explanation that does not rely on any sort of adjustment costs or stickiness. In our economy, agents own assets and make occupational choices. Banks intermediate between agents demanding and supplying assets. Our interpretation is based on the way banks create credit and how the monetary authority affects the process of financial intermediation through its monetary policy. As the central bank lowers the interest rate by buying government bonds in exchange for reserves, high productive entrepreneurs are able to borrow more resources from low productivity agents. We show that this movement of capital among agents sets in motion a response of the economy that resembles an expansionary phase of the cycle.

Understanding Liquidity and Credit Risks in the Financial Crisis

This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which reflect liquidity and credit risk. Our empirical results show that surges in the short term LIBOR-OIS spreads during the 2007-2009 fi nancial crisis were largely driven by liquidity risk. However, credit risk played a more signifi cant role in the longer term (twelve-month) LIBOR-OIS spread. The liquidity risk factors are more volatile than the credit risk factor. Most of the familiar events in the financial crisis are linked more to movements in liquidity risk than credit risk.

Paper money and national distress: William Huskisson and the early theories of credit, speculation and crises

This paper examines the explanation of commercial crises offered by William Huskisson in 1810 in the wake of the debate on the Bullion Report. Huskisson argued that the suspension of convertibility made it possible to extend issues of paper currency beyond its proper limits. Such an expansion, being in the interest of all parties concerned, would actually take place and stimulate excessive speculations, which would eventually prove unsustainable and bring generalized ruin and distress. Although some elements of this explanations were not new (having been anticipated by writers sucha as James Currie in 1793, William Roscoe in 1793, William Anderson in 1797 and an anonymous in 1796), Huskisson's explanation is more systematic and better organized, and his emphasis on the endogenous character of the crisis and on the instability of the dynamics of trade and credit makes it an interesting foreshadower of the theories of crises that were advanced half a century later.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.