Government consumption and private consumption correlations

This paper examines whether the introduction of government consumptionexpenditure in a standard one good model of the international real businesscycle is sufficient to reconcile the theory with the existing pattern ofinternational consumption and output correlations. I calibrate the model totwo different pairs of countries and generate the simulated distribution ofconsumption and output correlations implied by several specifications of themodel. It is shown that the model can account for existing internationalconsumption correlations only under very specific assumptions about the sizeof effect of government expenditure on agents' utility or the variabilityof government expenditure shocks. Crucial parameters are identified and thesensitivity of the results discussed.

Firms vs. insiders as traders of last resort

We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders trading activities have a clear impact on return distributions. Furthermore, we provide empirical evidence on insiders transactions and firm transactions affecting returns in a different manner. In particular, while insiders transactions (both purchases and sales) have a strong impact on skewness in the short run and to a lesser extent in short run volatility, company repurchases only have a clear impact on volatility, both in the short and the long run. We provide explanations for this asymmetry.

Productivity growth and the exchange rate regime: The role of financial development

This paper offers empirical evidence that a country's choice of exchange rate regime can have a signifficant impact on its medium-term rate of productivity growth. Moreover, the impact depends critically on the country's level of financial development, its degree of market regulation, and its distance from the global technology frontier. We illustrate how each of these channels may operate in a simple stylized growth model in which real exchange rate uncertainty exacerbates the negative investment e¤ects of domestic credit market constraints. The empirical analysis is based on an 83 country data set spanning the years 1960-2000. Our approach delivers results that are in striking contrast to the vast existing empirical exchange rate literature, which largely finds the effects of exchange rate volatility on real activity to be relatively small and insignificant.

The elusive costs and the immaterial gains of fiscal contraints

We study whether and how fiscal restrictions alter the business cycle features macrovariables for a sample of 48 US states. We also examine the 'typical' transmission properties of fiscal disturbances and the implied fiscal rules of states with different fiscal restrictions. Fiscal constraints are characterized with a number of indicators. There are similarities in second moments of macrovariables and in the transmission properties of fiscal shocks across states with different fiscal constraints. The cyclical response of expenditure differs in size and sometimes in sign, but heterogeneity within groups makes point estimates statistically insignificant. Creative budget accounting isresponsible for the pattern. Implications for the design of fiscal rules and thereform of the Stability and Growth Pact are discussed.

The role of phylogeny in the spatial distributions and assembly of mountain plant communities.

A major challenge in community ecology is a thorough understanding of the processes that govern the assembly and composition of communities in time and space. The growing threat of climate change to the vascular plant biodiversity of fragile ecosystems such as mountains has made it equally imperative to develop comprehensive methodologies to provide insights into how communities are assembled. In this perspective, the primary objective of this PhD thesis is to contribute to the theoretical and methodological development of community ecology, by proposing new solutions to better detect the ecological and evolutionary processes that govern community assembly. As phylogenetic trees provide by far, the most advanced tools to integrate the spatial, ecological and evolutionary dynamics of plant communities, they represent the cornerstone on which this work was based. In this thesis, I proposed new solutions to: (i) reveal trends in community assembly on phylogenies, depicted by the transition of signals at the nodes of the different species and lineages responsible for community assembly, (ii) contribute to evidence the importance of evolutionarily labile traits in the distribution of mountain plant species. More precisely, I demonstrated that phylogenetic and functional compositional turnover in plant communities was driven by climate and human land use gradients mostly influenced by evolutionarily labile traits, (iii) predict and spatially project the phylogenetic structure of communities using species distribution models, to identify the potential distribution of phylogenetic diversity, as well as areas of high evolutionary potential along elevation. The altitudinal setting of the Diablerets mountains (Switzerland) provided an appropriate model for this study. The elevation gradient served as a compression of large latitudinal variations similar to a collection of islands within a single area, and allowed investigations on a large number of plant communities. Overall, this thesis highlights that stochastic and deterministic environmental filtering processes mainly influence the phylogenetic structure of plant communities in mountainous areas. Negative density-dependent processes implied through patterns of phylogenetic overdispersion were only detected at the local scale, whereas environmental filtering implied through phylogenetic clustering was observed at both the regional and local scale. Finally, the integration of indices of phylogenetic community ecology with species distribution models revealed the prospects of providing novel and insightful explanations on the potential distribution of phylogenetic biodiversity in high mountain areas. These results generally demonstrate the usefulness of phylogenies in inferring assembly processes, and are worth considering in the theoretical and methodological development of tools to better understand phylogenetic community structure.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

State power and protected areas: Dynamics and contradictions of forest conservation in Madhya Pradesh, India

The traditionally coercive and state-controlled governance of protected areas for nature conservation in developing countries has in many cases undergone change in the context of widespread decentralization and liberalization. This article examines an emerging "mixed" (coercive, community- and market-oriented) conservation approach in managed-resource protected areas and its effects on state power through a case study on forest protection in the central Indian state of Madhya Pradesh. The findings suggest that imperfect decentralization and partial liberalization resulted in changed forms, rather than uniform loss, of state power. A forest co-management program paradoxically strengthened local capacity and influence of the Forest Department, which generally maintained its territorial and knowledge-based control over forests and timber management. Furthermore, deregulation and reregulation enabled the state to withdraw from uneconomic activities but also implied reduced place-based control of non-timber forest products. Generally, the new policies and programs contributed to the separation of livelihoods and forests in Madhya Pradesh. The article concludes that regulatory, community- and market-based initiatives would need to be better coordinated to lead to more effective nature conservation and positive livelihood outcomes.

Fish ecology in Lake Banyoles (NE Spain): a tribute to Ramon Margalef

Lake Banyoles is the second largest lake in the Iberian Peninsula and due to this relative uniqueness, its peculiar geological origin, and its considerable age attracted the early attention of the late Professor Ramon Margalef. One of the first papers by Margalef was on the biota of Lake Banyoles and two of the first four Ph.D. theses that he supervised were about the limnology of this lake. Unfortunately, the uniqueness of this lake also implied that it was the first place of introduction into the Iberian Peninsula of several exotic fish species, early in the XXth Century and nowadays the lake fish assemblage is dominated by invasive species, and some native ones have been extirpated. Although the limnological studies in Lake Banyoles were pioneering within the Iberian Peninsula, studies on fish ecology of the lake did not start until 1989. Thereafter, four Ph.D. theses have been completed on different aspects of the fish assemblages of Lake Banyoles. The aim of this paper is to provide a short overview of this research, largely brought about by the considerable limnological information previously available for this lake, thanks to the insightful, pioneering work of Professor Margalef

The great diversification and its undoing

We investigate the hypothesis that macroeconomic fluctuations are primitively theresults of many microeconomic shocks, and show that it has significant explanatorypower for the evolution of macroeconomic volatility. We define ?fundamental? volatilityas the volatility that would arise from an economy made entirely of idiosyncratic microeconomicshocks, occurring primitively at the level of sectors or firms. In its empiricalconstruction, motivated by a simple model, the sales share of different sectors vary overtime (in a way we directly measure), while the volatility of those sectors remains constant.We find that fundamental volatility accounts for the swings in macroeconomicvolatility in the US and the other major world economies in the past half century. Itaccounts for the ?great moderation? and its undoing. Controlling for our measure offundamental volatility, there is no break in output volatility. The initial great moderationis due to a decreasing share of manufacturing between 1975 and 1985. The recentrise of macroeconomic volatility is due to the increase of the size of the financial sector.We provide a model to think quantitatively about the large comovement generated byidiosyncratic shocks. As the origin of aggregate shocks can be traced to identifiablemicroeconomic shocks, we may better understand the origins of aggregate fluctuations.

Monetary policy and rational asset price bubbles

I examine the impact of alternative monetary policy rules on arational asset price bubble, through the lens of an overlapping generations model with nominal rigidities. A systematic increase in interestrates in response to a growing bubble is shown to enhance the fluctuations in the latter, through its positive effect on bubble growth. Theoptimal monetary policy seeks to strike a balance between stabilization of the bubble and stabilization of aggregate demand. The paper'smain findings call into question the theoretical foundations of the casefor "leaning against the wind" monetary policies.

p53-induced protein with a death domain (PIDD) isoforms differentially activate nuclear factor-kappaB and caspase-2 in response to genotoxic stress

Cells respond to DNA damage in a complex way and the fate of damaged cells depends on the balance between pro- and antiapoptotic signals. This is of crucial importance in cancer as genotoxic stress is implied both in oncogenesis and in classical tumor therapies. p53-induced protein with a death domain (PIDD), initially described as a p53-inducible gene, is one of the molecular switches able to activate a survival or apoptotic program. Two isoforms of PIDD, PIDD (isoform 1) and LRDD (isoform 2), have already been reported and we describe here a third isoform. These three isoforms are differentially expressed in tissues and cell lines. Genotoxic stress only affects PIDD isoform 3 mRNA levels, whereas isoforms 1 and 2 mRNA levels remain unchanged. All isoforms are capable of activating nuclear factor-kappaB in response to genotoxic stress, but only isoform 1 interacts with RIP-associated ICH-1/CED-3 homologous protein with a death domain and activates caspase-2. Isoform 2 counteracts the pro-apoptotic function of isoform 1, whereas isoform 3 enhances it. Thus, the differential splicing of PIDD mRNA leads to the formation of at least three proteins with antagonizing/agonizing functions, thereby regulating cell fate in response to DNA damage

Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).

Financial Integration, Trade Openness and International Transmission

[cat] Com afecten l’obertura comercial i financera a la volatilitat macroeconòmica? La literatura existent, tant empírica com teòrica, no ha assolit encara un consens. Aquest article usa un model microfonamentat de dos països simètrics amb entrada endògena d’empreses per estudiar-ho. L’anàlisis es du a terme per tres règims econòmics diferents amb diferents nivells d’integració internacional: una economia tancada, una autarquia financera i una integració plena. Es consideren diversos nivells d’obertura comercial, en forma de biaix domèstic de la demanda i l’economia pot patir pertorbacions en la productivitat del treball i en innovació. El model conclou que la incertesa macroeconòmica, representada principalment per la volatilitat del consum, la producció i la relació real d’intercanvi internacional, depèn del grau d’obertura i del tipus de pertorbació.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)