Delay and Haircuts in Sovereign Debt: Recovery and Sustainability

One of the striking aspects of recent sovereign debt restructurings is, conditional on default, delay length is positively correlated with the size of haircut. In this paper, we develop an incomplete information model of debt restructuring where the prospect of uncertain economic recovery and the signalling about sustainability concerns together generate multi-period delay. The results from our analysis show that there is a correlation between delay length and size of haircut. Such results are supported by evidence. We show that Pareto ranking of equilibria, conditional on default, can be altered once we take into account the ex ante incentive of sovereign debtor. We use our results to evaluate proposals advocated to ensure orderly resolution of sovereign debt crises.

The Forward Premium Puzzle and The Euro

This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate differentials to the forward premium, and the other looking into deviations from the covered interest rate parity (CIRP) condition. Then we provide evidence that the forward premium puzzle indeed became more prominent around the time of the recent crisis periods such as the Lehman Shock and the Euro crisis. This is also shown to be consistent with a deterioration in the CIRP.

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Delay and Haircuts in Sovereign Debt: Recovery and Sustainability

One of the striking aspects of recent sovereign debt restructurings is, conditional on default, delay length is positively correlated with the size of "haircut", which is size of creditor losses. In this paper, we develop an incomplete information model of debt restructuring where the prospect of uncertain economic recovery and the signalling about sustainability concerns together generate multi-period delay. The results from our analysis show that there is a correlation between delay length and size of haircut. Such results are supported by evidence. We show that Pareto ranking of equilibria, conditional on default, can be altered once we take into account the ex ante incentive of sovereign debtor. We use our results to evaluate proposals advocated to ensure orderly resolution of sovereign debt crises.

La crisi sub-prime i el crack de 1929: Comparació d'episodis d'eufòria financera

Treball de recerca realitzat per un alumne d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit científic del Jovent l'any 2009. La present investigació té per objecte d’estudi la relació, atès el període de turbulències econòmiques que travessa el món globalitzat, entre els episodis d’eufòria financera i les crisi financeres i econòmiques, i la periodicitat amb les que aquestes es produeixen. Aquesta pretén confrontar-se des d’una aproximació històric-econòmica, mitjançant l’anàlisi i la comparació de dos successos -el crack borsari de 1929 i la crisi sub-prime- per tal de demostrar la existència de comuns denominadors, i, a la llum dels resultats, apreciar les conclusions que aporta la Història. Serà, doncs, aquesta periodicitat i les seves implicacions la qual s'ambicionarà contrastar amb la realitat mitjançant l'aplicació i l'anàlisi pràctica de dos episodis rellevants i paradigmàtics, amb el recolzament i l'autoritat del model comparatiu establerts per l'economista John Kenneth Galbraith al seu llibre ''Breve historia de la euforia financiera''.

Modelling Interbank Relations during the International Financial Crisis

This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.

Pork Value Chains: A Comparison of Catalonia, Spain and Manitoba, Canada

The purpose of this paper is to provide a comparative analysis of pork value chains in Catalonia, Spain and Manitoba, Canada. Intensive hog production models were implemented in Catalonia in the 1960s as a result of agriculture crises and fostered by feedstuffs factories. The expansion of the hog sector in Manitoba is more recent (in the 1990s) and brought about in large part by the opening of the Maple Leaf Meats processing plant in Brandon, Manitoba. This plant is capable of processing 90,000 hogs per week. Both hog production models ‐ the ‘older’ one in Catalonia (Spain) and the ‘newer’ in Manitoba‐ have been, until recently, examples of success. Inventories and production have been increasing substantially and both regions have proven to have great export potential. Recently, however, tensions have been developing with the hog production models of both regions, particularly as they relate to environmental concerns. The purpose of the paper is to compare the value chains with respect to their origins (e.g. supply a growing demand for pork, ensure farm profitability) and present states (e.g. environmental concerns, profitability). Keywords: pork value chain, hog farms, agri‐food studies. JEL: Q10, Q13, O57

Colitis ulcerosa con afectación periapendicular. Estudio de casos y controles

La colitis ulcerosa (CU) es caracteritza per una afectació contínua de la mucosa rectal en sentit proximal cap a altres zones del còlon. Hi ha formes de CU amb afectació distal i periapendicular (CU-PA). Objectius: avaluar la prevalença de la CU-PA, i comparar les seves característiques clíniques, terapèutiques i evolutives. Mètodes: 14 pacients amb CU-PA van ser comparats en termes d'evolució clínica amb 25 pacients amb CU distal sense afectació periapendicular. Resultats: Es va trobar una major freqüència de CU-PA en homes (p = 0,047), sense diferències en la resta de les variables comparades entre els dos grups de pacients.

Lupus eritematoso túmido. Estudio clínico, microscópico y fotobiológico

Hem realitzat un estudi retrospectiu de les característiques de 25 pacients amb lupus eritematós túmid (LET) i hem dut a terme un estudi fotobiológic en 9 pacients. Resultats: tots els pacients presentaren les lesions característiques de LET. Només un 20% associaren ANA positius i tan sols un pacient anti Ro positius. Cap pacient presentà complicacions sistèmiques. El 40% de les biòpsies mostraren alteracions epidérmiques lleus, sent el més freqüent la vaquolització de la basal. Estudi fotobiológic: fou positiu en el 55’5% dels pacients, amb un 80% de lesions provocades per UVB. Conclusions: El LET és una variant de LEC amb unes característiques clíniques i evolutives particulars. Microscòpicament, la presència d’alteracions epidérmiques lleus és molt més habitual del que alguns treballs reflecteixen. La fotoprovocació fou positiva en un percentatge significatiu de casos, predominantment dins de l’espectre UVB.

Three essays in international finance

Executive Summary The first essay of this dissertation investigates whether greater exchange rate uncertainty (i.e., variation over time in the exchange rate) fosters or depresses the foreign investment of multinational firms. In addition to the direct capital financing it supplies, foreign investment can be a source of valuable technology and know-how, which can have substantial positive effects on a host country's economic growth. Thus, it is critically important for policy makers and central bankers, among others, to understand how multinationals base their investment decisions on the characteristics of foreign exchange markets. In this essay, I first develop a theoretical framework to improve our knowledge regarding how the aggregate level of foreign investment responds to exchange rate uncertainty when an economy consists of many firms, each of which is making decisions. The analysis predicts a U-shaped effect of exchange rate uncertainty on the total level of foreign investment of the economy. That is, the effect is negative for low levels of uncertainty and positive for higher levels of uncertainty. This pattern emerges because the relationship between exchange rate volatility and 'the probability of investment is negative for firms with low productivity at home (i.e., firms that find it profitable to invest abroad) and the relationship is positive for firms with high productivity at home (i.e., firms that prefer exporting their product). This finding stands in sharp contrast to predictions in the existing literature that consider a single firm's decision to invest in a unique project. The main contribution of this research is to show that the aggregation over many firms produces a U-shaped pattern between exchange rate uncertainty and the probability of investment. Using data from industrialized countries for the period of 1982-2002, this essay offers a comprehensive empirical analysis that provides evidence in support of the theoretical prediction. In the second essay, I aim to explain the time variation in sovereign credit risk, which captures the risk that a government may be unable to repay its debt. The importance of correctly evaluating such a risk is illustrated by the central role of sovereign debt in previous international lending crises. In addition, sovereign debt is the largest asset class in emerging markets. In this essay, I provide a pricing formula for the evaluation of sovereign credit risk in which the decision to default on sovereign debt is made by the government. The pricing formula explains the variation across time in daily credit spreads - a widely used measure of credit risk - to a degree not offered by existing theoretical and empirical models. I use information on a country's stock market to compute the prevailing sovereign credit spread in that country. The pricing formula explains a substantial fraction of the time variation in daily credit spread changes for Brazil, Mexico, Peru, and Russia for the 1998-2008 period, particularly during the recent subprime crisis. I also show that when a government incentive to default is allowed to depend on current economic conditions, one can best explain the level of credit spreads, especially during the recent period of financial distress. In the third essay, I show that the risk of sovereign default abroad can produce adverse consequences for the U.S. equity market through a decrease in returns and an increase in volatility. The risk of sovereign default, which is no longer limited to emerging economies, has recently become a major concern for financial markets. While sovereign debt plays an increasing role in today's financial environment, the effects of sovereign credit risk on the U.S. financial markets have been largely ignored in the literature. In this essay, I develop a theoretical framework that explores how the risk of sovereign default abroad helps explain the level and the volatility of U.S. equity returns. The intuition for this effect is that negative economic shocks deteriorate the fiscal situation of foreign governments, thereby increasing the risk of a sovereign default that would trigger a local contraction in economic growth. The increased risk of an economic slowdown abroad amplifies the direct effect of these shocks on the level and the volatility of equity returns in the U.S. through two channels. The first channel involves a decrease in the future earnings of U.S. exporters resulting from unfavorable adjustments to the exchange rate. The second channel involves investors' incentives to rebalance their portfolios toward safer assets, which depresses U.S. equity prices. An empirical estimation of the model with monthly data for the 1994-2008 period provides evidence that the risk of sovereign default abroad generates a strong leverage effect during economic downturns, which helps to substantially explain the level and the volatility of U.S. equity returns.

Migraine, céphalées de l'enfant et de l'adolescent

La migraine de l'enfant est paradoxale à plus d'un titre : lors des crises, la douleur est sévère, les enfants sont souvent livides, « cadavériques », incapables de bouger, ils sont obligés de s'allonger dans la pénombre, vomissent parfois massivement, voient, sentent, entendent des « choses bizarres » - correspondant aux auras ; mais ils se réveillent en pleine forme après avoir dormi quelques heures... et tous les examens sont normaux. Alors que 5 à 10 % des enfants sont migraineux, le diagnostic n'est posé que pour une petite partie d'entre eux. La migraine est pourtant la première cause de céphalées intenses récurrentes chez l'enfant, la plupart des professionnels cherchant vainement une cause, et évoquant « les yeux, une gastro, les sinus ou bien une origine psy... ». Cet ouvrage a pour double objectif de présenter l'état de la science (épidémiologie, physiopathologie, génétique...) qui s'est largement enrichi ces dix dernières années et d'apporter aux professionnels des outils concrets pour identifier les céphalées et améliorer la prise en charge des enfants et des adolescents migraineux. Les céphalées de tension, les céphalées chroniques, les syndromes épisodiques associés à la migraine sont aussi détaillés. Illustré de nombreuses vignettes cliniques, cet ouvrage précise les critères diagnostiques, les pièges et les idées fausses ; il décrit comment rechercher les facteurs déclenchants et particulièrement ceux d'origine psychosociale, comment utiliser et combiner les traitements médicamenteux et non médicamenteux (notamment les approches psychothérapeutiques et psychocorporelles). Telle est l'ambition de ce livre, destiné à tous les professionnels confrontés à des enfants et des adolescents migraineux, mais également accessible en grande partie aux familles.

Pluralized life courses? An exploration of the life trajectories of individuals with psychiatric disorders.

BACKGROUND: : Most of the existing research relating to the life courses of people with psychiatric symptoms focuses on the occurrence and the impact of non-normative events on the onsets of crises; it usually disregards the more regular dimensions of life, such as work, family and intimate partnerships that may be related to the timing and seriousness of psychiatric problems. An additional reason for empirically addressing life trajectories of individuals with psychiatric problems relates to recent changes of family and occupational trajectories in relation to societal trends such as individualization and pluralization of life courses.¦AIM: : This paper explores the life trajectories of 86 individuals under clinical supervision and proposes a typology of their occupational, co-residence and intimacy trajectories. The results are discussed in light of the life-course paradigm.¦METHOD: : A multidimensional optimal matching analysis was performed on a sample of 86 individuals under clinical supervision to create a typology of trajectories. The influence of these trajectories on psychiatric disorders, evaluated using a SCL-90-R questionnaire, was then assessed using linear regression modelling.¦RESULTS: : The typologies of trajectories showed that the patients developed a diversity of life trajectories. Individuals who have developed a standard life course with few institutionalization periods reported more symptoms and distress than individuals with an institutionalized life trajectory.¦CONCLUSION: : The results of this study stress that psychiatric patients are social actors who are influenced by society at large and its ongoing process of change. Therefore, it is essential to take into account the diversity of occupational and family trajectories when dealing with individuals in therapeutic settings.

La crisi Japonesa dels anys 90 : Formació, causes, evolució i recuperació econòmica

Treball que analitza la crisi japonesa dels anys noranta. Es descriu la formació de l'economia bombolla i el seu esclat, les causes de la crisi, el sistema econòmic i polític japonès i la recuperació econòmica començada l'any 2003.

Els canvis en la banca japonesa després de la crisi de 1990

Aquesta recerca vol endinsar-se en les particularitats del sector bancari japonès. Per particularitats entenem aquelles característiques que defineixen una societat, i que la caracteritza com a singular i única, diferent a les altres. Per tal d'enfocar-ne la recerca, prendrem com a punt de partida i referència, la situació de l'economia japonesa dels anys noranta, després de l'esclat de la bombolla financera l'any 1990. Tanmateix, prèviament farem un breu incís amb l'objectiu de contextualitzar la situació financera abans de l'esclat de la bombolla, per entendre així quines foren les primeres conseqüències que provocà la crisi financera de 1990. Les respostes i el posicionament que emprendrà el Govern també ens ajudaran a comprendre les característiques del sistema bancari japonès. A través de l'estudi d'aquest sistema financer centrat en els bancs, identificarem conceptes com: la banca de relació, la qual ens marcarà una de les característiques principals d'aquest sistema. A través de la descripció de figures com: bancs principals i keiretsu , també aconseguirem identificar nous trets. A través de la observació crítica de la relació entre entitats bancàries i Govern, aconseguirem anar detallant les pràctiques bancàries que han seguit, amb l'objectiu de per poder descriure les polítiques de risc aplicades per les entitats bancàries. Un cop caracteritzats els trets principals del sistema bancari japonès, arribarà l'hora de mostrar els canvis que s'han produït en el sistema bancari japonès. L'estudi de la reestructuració del sistema, ens mostrarà el nou mapa bancari japonès així com la nova regulació a la qual és sotmès. Finalment serem capaços d'identificar aquells trets que han generat els principals problemes del sector bancari.

Evolución de los derivados verbales con prefijo a- y en-: del latín al español clásico

Esta investigación en curso se centra en el análisis de los verbos con prefijo a- y en- en la historia del español. En la primera parte de esta investigación se ha elaborado un estado de la cuestión sobre la prefijación verbal con ad-, ab- e in- en latín. En la segunda parte se estudian las tendencias evolutivas de los derivados verbales en a- y en- en español medieval y clásico, a partir del análisis de los verbos de mayor frecuencia de uso que siguen estos esquemas en el corpus textual de Davies