A importância do sector microcrédito e o perfil do microempresário: Ilha de Santo Antão Cabo Verde

As microempresas desempenham um papel fundamental na promoção do emprego, na inovação, na criação de rendimentos e no desenvolvimento económico e social. Para os países em vias de desenvolvimento, crê-se que a dinamização das microempresas pode ser um instrumento privilegiado de promoção e combate à pobreza, na medida em que esta poderá ser a via para incentivar as camadas mais pobres das populações rurais e urbanas a criarem os seus próprios negócios e a providenciarem os seus próprios rendimentos. A criação e o crescimento das microempresas estão, todavia, condicionados por vários constrangimentos. A inexistência de capital inicial (Start-Up Capital) é apontada na literatura financeira como uma das mais relevantes. O recurso ao capital externo, como fonte de financiamento, dependerá, por sua vez, de vários factores. O presente estudo foi realizado em Santo Antão, a ilha mais a norte e a mais montanhosa do Arquipélago de Cabo Verde. O sector micro crédito chama atenção pelo facto de ser um instrumento de importância primordial para Cabo Verde e, particularmente, para a ilha de Santo Antão que possui uma estrutura económica e social muito vulnerável o que nos leva a compreender melhor, o funcionamento das microempresas, instaladas nos três municípios da Ilha (Paul, Ribeira Grande e Porto Novo). Ao longo do estudo definimos o perfil sócio económico do micro empresário Santantonense, com o objectivo de compreender e quantificar o contributo do sector para o desenvolvimento empresarial da ilha, sem esquecer os constrangimentos e dificuldades que se colocam aos micros empresários na procura de financiamento. O processo de recolha de informação foi efectuado com recurso a pesquisas de campo, a partir da elaboração e aplicação de entrevistas de uma forma semi-estruturada, no sentido de identificar as principais características/perfil do empresário. Os dados recolhidos pelas entrevistas têm por base uma apreciação crítica da gestão para melhor compreender e comparar as fragilidades existentes e analisar a capacidade de sucesso dos micros empresários. A configuração da actividade económica foi feita com base na análise quantitativa e qualitativa, dos dados obtidos na aplicação dos questionários. De igual modo, analisamos e comparamos os casos de sucesso e insucesso nas microempresas em estudo, casos de sucesso no que diz respeito aos benefícios de micro créditos para a redução da pobreza e do desemprego, de criação do auto-emprego, e da formação/informação aos micros empresários santantonenses. Nos casos de insucesso analisamos as causas que estiveram na sua origem assim como as consequências daí advenientes. Uma das constatações do estudo, como se verá pela análise dos dados, é que o micro empresário Santantonense, possui um baixo nível de escolaridade e que na sua maioria são mulheres. Um outro resultado evidenciado pelo estudo, é que há uma necessidade da política pública de desenvolvimento no sentido de definição de incentivos à criação e à promoção de micro negócios, atendendo às características demográficas e às necessidades específicas dos beneficiários. Micro enterprises perform a fundamental component in promoting employment, innovation, and earnings-generation and in socio-economic development. For countries en route to development, the belief is that the dynamic engine of the micro enterprises could be a privileged instrument to promote in the battle against poverty, in the hope that this could be the venue to incentivize the poorest of the rural and urban populations to create their own businesses and forecast their own earnings. The creation and the growth of micro enterprises is, however, conditional upon various constraints. The inexistence of initial capital is cited in financial literature as one of the more important. To resort to external capital as a financing source, is itself dependent on various factors. The current study was conducted in Santo Antão, the most northern and mountainous island in the Archipelago of Cape Verde. The micro credit´s sector calls attention to the fact that it is an essential instrument in Cape Verde, particularly in the island of Santo Antão which has an economic and social structure extremely vulnerable, leading us to a better understanding of how micro enterprises operate in the three municipalities of the Island (Paul, Ribeira Grande and Porto Novo). During the course of the study we defined the socio-economic character of the micro entrepreneur Santantonense, with the goal of understanding and quantifying the sector´s contribution to the Island´s entrepreneurial development, keeping in mind the contraints and difficulties that confront the entrepreneurs when seeking financing. The process for gathering the information was performed through field research, beginning with elaboration and application of interviews, designed to identify the entrepreneur´s major characteristics and the importance of micro credit for the island of Santo Antão. The data gathered through the interviews have un underlying basic and critic appreciation of management for a better understanding and comparing the existing fragilities and for analyzing the micro entrepreneurs´ capacity to succeed. The configuration of economic activities was designed based on quantitative and qualitative analysis from data obtained from the questionnaires. Likewise, we analyzed and compared the success and non-success cases of the micro enterprises in the study, success cases with respect to the benefits of micro credit in reducing poverty and unemployment, creation of self-employment, and the education/information for the micro entrepreneurs of Santo Antão. In the non-success cases we analyzed the original causes as well as the impending consequences. One of the study´s contentions, as the data analysis shows, is that micro entrepreneur of Santo Antão has a low level of education with the majority of them being women. In addition the study shows that there is a need for a public discourse in terms of defining and developing incentives for creating and promoting micro businesses given the demographic characteristics and the specific necessities of the beneficiaries.

Medidas de Perda na Avalia ção do Desempenho de Fundos de Investimentos

Uma das medidas de performance mais utilizada e a medida de Sharpe. A sua utiliza c~ao e inadequada quando as rendibilidades n~ao seguem uma distribui c~ao normal, assim originou o aparecimento de uma variedade de medidas alternativas. Em fun c~ao disso, surge ent~ao a quest~ao de saber se essas medidas alternativas produzem rankings signi cativamente diferentes da que se obt em com a medida de Sharpe. Apesar da exist^encia de muitos estudos emp ricos sobre esta problem atica a resposta n~ao e consensual. Neste trabalho fez-se a compara c~ao entre o ranking produzido pela medida de Sharpe e as algumas medidas alternativas, as que se baseiam no Low Partial Moments (Omega, Sortino, Kappa3 e Upside Potential Ratio) e, as que se baseiam no VaR - Value-at-Risk (ERV - Excess Return on VaR, ERMV - Excess Return on Modi ed VaR, ERCV - Excess Return on Conditional VaR e ERV? - Excess Return com VaR hist orico). Utilizando 26 fundos de investimentos norte-americanos, com registo di ario das rendibilidades para o per odo de Janeiro 2000 a Setembro 2009, encontrou-se um elevado coe ciente de correla c~ao de Spearman e de Kendall entre a medida de Sharpe e as alternativas, bem como as alternativas entre si, excepto para Upside Potential Ratio que os coe cientes s~ao relativamente baixos. Os resultados permitem concluir que existe uma medida que proporciona ordena c~oes diferentes.

Inducible inactivation of Notch1 causes nodular regenerative hyperplasia in mice

Résumé : La découverte que des mutations du gène humain Jagged 1 (JAG1) sont la cause du Syndrome d'Alagille, indique que la voie de signalisation Notch joue un rôle prépondérant dans l'homéostasie des canaux biliaires. L'analyse fonctionnelle de cette voie de signalisation est rendue difficile par le fait que les mutations ciblées des gènes : Jagged1, Notch1 ou Notch2 présentent un phénotype létal. Dans un précédent travail, nous avions généré une souris permettant l'inactivation de Notch1 de manière inductible en combinant un transgéne inductible par l'interféron de la Cre-recombinase et le gène Notch1 flanqué de deux séquence loxP. Nous avons utilisé cette souris knock-out conditionnelle afin d'étudier le rôle de la voie de signalisation de Notch1 dans la prolifération et la différentiation cellulaire hépatique. La délétion de Notch1 ne conduit pas à une diminution du nombre des canaux biliaires, mais de manière surprenante, l'absence de Notch1 induit une prolifération continue des hépatocytes. En conclusion, en quelques semaines après l'inactivation de Notch1 les souris développent une hyperplasie nodulaire régénérative, sans modification vasculaire dans le foie. Abstract: The discovery that the human Jagged1 gene (JAG1) is the Alagille syndrome disease gene indicated that Notch signaling has an important role in bile duct homeostasis. The functional study of this signaling pathway has been difficult because mice with targeted mutations in Jagged1, Notch1, or Notch2 have an embryonic lethal phenotype. We have previously generated mice with inducible Notch1 disruption using an interferon-inducible Cre-recombinase transgene in combination with the loxP flanked Notch1 gene. We used this conditional Notch1 knockout mouse model to investigate the role of Notch1 signaling in liver cell proliferation and differentiation. Deletion of Notch1 did not result in bile duct paucity, but, surprisingly, resulted in a continuous proliferation of hepatocytes. In conclusion, within weeks after Notch1 inactivation, the mice developed nodular regenerative hyperplasia without vascular changes in the liver.

Medidas de Perda na Avaliacão do Desempenho de Fundos de Investimentos

Uma das medidas de performance mais utilizada e a medida de Sharpe. A sua utilizacão e inadequada quando as rendibilidades não seguem uma distribuicão normal, assim originou o aparecimento de uma variedade de medidas alternativas. Em fun c~ao disso, surge então a questão de saber se essas medidas alternativas produzem rankings signi cativamente diferentes da que se obt em com a medida de Sharpe. Apesar da existencia de muitos estudos emp ricos sobre esta problem atica a resposta não e consensual. Neste trabalho fez-se a comparacão entre o ranking produzido pela medida de Sharpe e as algumas medidas alternativas, as que se baseiam no Low Partial Moments (Omega, Sortino, Kappa3 e Upside Potential Ratio) e, as que se baseiam no VaR - Value-at-Risk (ERV - Excess Return on VaR, ERMV - Excess Return on Modi ed VaR, ERCV - Excess Return on Conditional VaR e ERV? - Excess Return com VaR hist orico). Utilizando 26 fundos de investimentos norte-americanos, com registo di ario das rendibilidades para o per odo de Janeiro 2000 a Setembro 2009, encontrou-se um elevado coe ciente de correla c~ao de Spearman e de Kendall entre a medida de Sharpe e as alternativas, bem como as alternativas entre si, excepto para Upside Potential Ratio que os coe cientes s~ao relativamente baixos. Os resultados permitem concluir que existe uma medida que proporciona ordena c~oes diferentes.

Campaign effects in direct-democratic votes in Switzerland

The purpose of this article is to analyse the conditions under which referendum campaigns have an impact on voting choices. Based on a model of opinion formation that integrates both campaign effects and partisan effects, we argue that campaign effects vary according to the context of the popular vote (size and type of conflict among the party elite and intensity and direction of the referendum campaign). We test our hypotheses with two-step estimations for hierarchical models on data covering 25 popular votes on foreign, European and immigration policy in Switzerland. Our results show strong campaign effects and they suggest that their strength and nature are indeed highly conditional on the context of the vote: the type of party coalition pre-structures the patterns of individual voting choices, campaign effects are higher when the campaign is highly intense and they are more symmetric when it is balanced.

Parameterized expectations approach; Some practical issues

We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has been applied in models of macroeconomics, financial economics, economic growth, contracttheory, etc. It turns out to be a convenient algorithm, especially when there is a large number of state variables and stochastic shocks in the conditional expectations. We discuss some practical issues having to do with the application of the algorithm, and we discuss a Fortran program for implementing the algorithm that is available through the internet.We discuss these issues in a battery of six examples.

The credit ratings game

The spectacular failure of top-rated structured finance products has broughtrenewed attention to the conflicts of interest of Credit Rating Agencies (CRAs). We modelboth the CRA conflict of understating credit risk to attract more business, and the issuerconflict of purchasing only the most favorable ratings (issuer shopping), and examine theeffectiveness of a number of proposed regulatory solutions of CRAs. We find that CRAs aremore prone to inflate ratings when there is a larger fraction of naive investors in the marketwho take ratings at face value, or when CRA expected reputation costs are lower. To theextent that in booms the fraction of naive investors is higher, and the reputation risk forCRAs of getting caught understating credit risk is lower, our model predicts that CRAs aremore likely to understate credit risk in booms than in recessions. We also show that, due toissuer shopping, competition among CRAs in a duopoly is less efficient (conditional on thesame equilibrium CRA rating policy) than having a monopoly CRA, in terms of both totalex-ante surplus and investor surplus. Allowing tranching decreases total surplus further.We argue that regulatory intervention requiring upfront payments for rating services (beforeCRAs propose a rating to the issuer) combined with mandatory disclosure of any ratingproduced by CRAs can substantially mitigate the con.icts of interest of both CRAs andissuers.

Ratio maps and correspondence analysis

We compare two methods for visualising contingency tables and developa method called the ratio map which combines the good properties of both.The first is a biplot based on the logratio approach to compositional dataanalysis. This approach is founded on the principle of subcompositionalcoherence, which assures that results are invariant to considering subsetsof the composition. The second approach, correspondence analysis, isbased on the chi-square approach to contingency table analysis. Acornerstone of correspondence analysis is the principle of distributionalequivalence, which assures invariance in the results when rows or columnswith identical conditional proportions are merged. Both methods may bedescribed as singular value decompositions of appropriately transformedmatrices. Correspondence analysis includes a weighting of the rows andcolumns proportional to the margins of the table. If this idea of row andcolumn weights is introduced into the logratio biplot, we obtain a methodwhich obeys both principles of subcompositional coherence and distributionalequivalence.

Audit risk and rent extraction: Evidence from a randomized evaluation in Brazil

We report results from a randomized policy experiment designed to test whether increasedaudit risk deters rent extraction in local public procurement and service delivery in Brazil. Ourestimates suggest that temporarily increasing annual audit risk by about 20 percentage pointsreduced the proportion of irregular local procurement processes by about 17 percentage points.This reduction was driven entirely by irregularities involving mismanagement or corruption. Incontrast, we find no evidence that increased audit risk affected the quality of publicly providedpreventive and primary health care services -measured based on user satisfaction surveys- orcompliance with national regulations of the conditional cash transfer program "Bolsa Família".

Three essays in dynamic corporate finance

Summary Throughout my thesis, I elaborate on how real and financing frictions affect corporate decision making under uncertainty, and I explore how firms time their investment and financing decisions given such frictions. While the macroeconomics literature has focused on the impact of real frictions on investment decisions assuming all equity financed firms, the financial economics literature has mainly focused on the study of financing frictions. My thesis therefore assesses the join interaction of real and financing frictions in firms' dynamic investment and financing decisions. My work provides a rationale for the documented poor empirical performance of neoclassical investment models based on the joint effect of real and financing frictions on investment. A major observation relies in how the infrequency of corporate decisions may affect standard empirical tests. My thesis suggests that the book to market sorts commonly used in the empirical asset pricing literature have economic content, as they control for the lumpiness in firms' optimal investment policies. My work also elaborates on the effects of asymmetric information and strategic interaction on firms' investment and financing decisions. I study how firms time their decision to raise public equity when outside investors lack information about their future investment prospects. I derive areal-options model that predicts either cold or hot markets for new stock issues conditional on adverse selection, and I provide a rational approach to study jointly the market timing of corporate decisions and announcement effects in stock returns. My doctoral dissertation therefore contributes to our understanding of how under real and financing frictions may bias standard empirical tests, elaborates on how adverse selection may induce hot and cold markets in new issues' markets, and suggests how the underlying economic behaviour of firms may induce alternative patterns in stock prices.

Civil conflict and human capital accumulation: The long-term effects of political violence in Perú

This paper provides empirical evidence of the persistent effect of exposure to political violence on humancapital accumulation. I exploit the variation in conflict location and birth cohorts to identify the longandshort-term effects of the civil war on educational attainment. Conditional on being exposed toviolence, the average person accumulates 0.31 less years of education as an adult. In the short-term,the effects are stronger than in the long-run; these results hold when comparing children within thesame household. Further, exposure to violence during early childhood leads to permanent losses. I alsoexplore the potential causal mechanisms.

When to carry eccentric products? Optimal retail assortment under consumer returns

To understand whether retailers should consider consumer returns when merchandising, we study howthe optimal assortment of a price-taking retailer is influenced by its return policy. The retailer selects itsassortment from an exogenous set of horizontally differentiated products. Consumers make purchase andkeep/return decisions in nested multinomial logit fashion. Our main finding is that the optimal assortmenthas a counterintuitive structure for relatively strict return policies: It is optimal to offer a mix of the mostpopular and most eccentric products when the refund amount is sufficiently low, which can be viewed asa form of risk sharing between the retailer and consumers. In contrast, if the refund is sufficiently high, orwhen returns are disallowed, optimal assortment is composed of only the most popular products (a commonfinding in the literature). We provide preliminary empirical evidence for one of the key drivers of our results:more eccentric products have higher probability of return conditional on purchase. In light of our analyticalfindings and managerial insights, we conclude that retailers should take their return policies into accountwhen merchandising.

Analysis of CD4+ and CD8+ T cells by defined MHC-peptide complexes

MHC class II-peptide multimers are important tools for the detection, enumeration and isolation of antigen-specific CD4+ Τ cells. However, their erratic and often poor performance impeded their broad application and thus in-depth analysis of key aspects of antigen-specific CD4+ Τ cell responses. In the first part of this thesis we demonstrate that a major cause for poor MHC class II tetramer staining performance is incomplete peptide loading on MHC molecules. We observed that peptide binding affinity for "empty" MHC class II molecules poorly correlates with peptide loading efficacy. Addition of a His-tag or desthiobiotin (DTB) at the peptide N-terminus allowed us to isolate "immunopure" MHC class II-peptide monomers by affinity chromatography; this significantly, often dramatically, improved tetramer staining of antigen-specific CD4+ Τ cells. Insertion of a photosensitive amino acid between the tag and the peptide, permitted removal of the tag from "immunopure" MHC class II-peptide complex by UV irradiation, and hence elimination of its potential interference with TCR and/or MHC binding. Moreover, to improve loading of self and tumor antigen- derived peptides onto "empty" MHC II molecules, we first loaded these with a photocleavable variant of the influenza A hemagglutinin peptide HA306-318 and subsequently exchanged it with a poorly loading peptide (e.g. NY-ESO-1119-143) upon photolysis of the conditional ligand. Finally, we established a novel type of MHC class II multimers built on reversible chelate formation between 2xHis-tagged MHC molecules and a fluorescent nitrilotriacetic acid (NTA)-containing scaffold. Staining of antigen-specific CD4+ Τ cells with "NTAmers" is fully reversible and allows gentle cell sorting. In the second part of the thesis we investigated the role of the CD8α transmembrane domain (TMD) for CD8 coreceptor function. The sequence of the CD8α TMD, but not the CD8β TMD, is highly conserved and homodimerizes efficiently. We replaced the CD8α TMD with the one of the interleukin-2 receptor a chain (CD8αTac) and thus ablated CD8α TMD interactions. We observed that ΤΙ Τ cell hybridomas expressing CD8αTacβ exhibited severely impaired intracellular calcium flux, IL-2 responses and Kd/PbCS(ABA) P255A tetramer binding. By means of fluorescence resonance energy transfer experiments (FRET) we established that CD8αTacβ associated with TCR:CD3 considerably less efficiently than CD8αβ, both in the presence and the absence of Kd/PbCS(ABA) complexes. Moreover, we observed that CD8αTacβ partitioned substantially less in lipid rafts, and related to this, associated less efficiently with p56Lck (Lck), a Src kinase that plays key roles in TCR proximal signaling. Our results support the view that the CD8α TMD promotes the formation of CD8αβP-CD8αβ dimers on cell surfaces. Because these contain two CD8β chains and that CD8β, unlike CD8α, mediates association of CD8 with TCR:CD3 as well as with lipid rafts and hence with Lck, we propose that the CD8αTMD plays an important and hitherto unrecognized role for CD8 coreceptor function, namely by promoting CD8αβ dimer formation. We discuss what implications this might have on TCR oligomerization and TCR signaling. - Les multimères de complexes MHC classe II-peptide sont des outils importants pour la détection, le dénombrement et l'isolation des cellules Τ CD4+ spécifiques pour un antigène d'intérêt. Cependant, leur performance erratique et souvent inadéquate a empêché leur utilisation généralisée, limitant ainsi l'analyse des aspects clés des réponses des lymphocytes Τ CD4+. Dans la première partie de cette thèse, nous montrons que la cause principale de la faible efficacité des multimères de complexes MHC classe II-peptide est le chargement incomplet des molécules MHC par des peptides. Nous montrons également que l'affinité du peptide pour la molécule MHC classe II "vide" n'est pas nécessairement liée au degré du chargement. Grâce à l'introduction d'une étiquette d'histidines (His-tag) ou d'une molécule de desthiobiotine à l'extrémité N-terminale du peptide, des monomères MHC classe II- peptide dits "immunopures" ont pu être isolés par chromatographic d'affinité. Ceci a permis d'améliorer significativement et souvent de façon spectaculaire, le marquage des cellules Τ CD4+ spécifiques pour un antigène d'intérêt. L'insertion d'un acide aminé photosensible entre l'étiquette et le peptide a permis la suppression de l'étiquette du complexe MHC classe- Il peptide "immunopure" par irradiation aux UV, éliminant ainsi de potentielles interférences de liaison au TCR et/ou au MHC. De plus, afin d'améliorer le chargement des molécules MHC classe II "vides" avec des peptides dérivés d'auto-antigènes ou d'antigènes tumoraux, nous avons tout d'abord chargé les molécules MHC "vides" avec un analogue peptidique photoclivable issu du peptide HA306-318 de l'hémagglutinine de la grippe de type A, puis, sous condition de photolyse, nous l'avons échangé avec de peptides à chargement faible (p.ex. NY-ESO-1119-143). Finalement, nous avons construit un nouveau type de multimère réversible, appelé "NTAmère", basé sur la formation chélatante reversible entre les molécules MHC-peptide étiquettés par 2xHis et un support fluorescent contenant des acides nitrilotriacetiques (NTA). Le marquage des cellules Τ CD4+ spécifiques pour un antigène d'intérêt avec les "NTAmères" est pleinement réversible et permet également un tri cellulaire plus doux. Dans la deuxième partie de cette thèse nous avons étudié le rôle du domaine transmembranaire (TMD) du CD8α pour la fonction coréceptrice du CD8. La séquence du TMD du CD8α, mais pas celle du TMD du CD8β, est hautement conservée et permet une homodimérisation efficace. Nous avons remplacé le TMD du CD8α avec celui de la chaîne α du récepteur à l'IL-2 (CD8αTac), éliminant ainsi les interactions du TMD du CD8α. Nous avons montré que les cellules des hybridomes Τ T1 exprimant le CD8αTacβ présentaient une atteinte sévère du flux du calcium intracellulaire, des réponses d'IL-2 et de la liaison des tétramères Kd/PbCS(ABA) P255A. Grâce aux expériences de transfert d'énergie entre molécules fluorescentes (FRET), nous avons montré que l'association du CD8αTacβ avec le TCR:CD3 est considérablement moins efficace qu'avec le CD8αβ, et ceci aussi bien en présence qu'en absence de complexes Kd/PbCS(ABA). De plus, nous avons observé que le CD8αTacβ se distribuait beaucoup moins bien dans les radeaux lipidiques, engendrant ainsi, une association moins efficace avec p56Lck (Lck), une kinase de la famille Src qui joue un rôle clé dans la signalisation proximale du TCR. Nos résultats soutiennent l'hypothèse que le TMD du CD8αβ favorise la formation des dimères de CD8αβ à la surface des cellules. Parce que ces derniers contiennent deux chaînes CD8β et que CD8β, contrairement à CD8α, favorise l'association du CD8 au TCR:CD3 aussi bien qu'aux radeaux lipidiques et par conséquent à Lck, nous proposons que le TMD du CD8α joue un rôle important, jusqu'alors inconnu, pour la fonction coreceptrice du CD8, en encourageant la formation des dimères CD8αβ. Nous discutons des implications possibles sur l'oligomerisation du TCR et la signalisation du TCR.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set

We evaluate conditional predictive densities for U.S. output growth and inflationusing a number of commonly used forecasting models that rely on a large number ofmacroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly used normality assumption fit actual realizationsout-of-sample. Our focus on predictive densities acknowledges the possibility that, although some predictors can improve or deteriorate point forecasts, they might have theopposite effect on higher moments. We find that normality is rejected for most modelsin some dimension according to at least one of the tests we use. Interestingly, however,combinations of predictive densities appear to be correctly approximated by a normaldensity: the simple, equal average when predicting output growth and Bayesian modelaverage when predicting inflation.