The Monetary policy rules in Europe: heterogeneity and common patters

The objective of this study is the empirical identification of the monetary policy rules pursued in individual countries of EU before and after the launch of European Monetary Union. In particular, we have employed an estimation of the augmented version of the Taylor rule (TR) for 25 countries of the EU in two periods (1992-1998, 1999-2006). While uniequational estimation methods have been used to identify the policy rules of individual central banks, for the rule of the European Central Bank has been employed a dynamic panel setting. We have found that most central banks really followed some interest rate rule but its form was usually different from the original TR (proposing that domestic interest rate responds only to domestic inflation rate and output gap). Crucial features of policy rules in many countries have been the presence of interest rate smoothing as well as response to foreign interest rate. Any response to domestic macroeconomic variables have been missing in the rules of countries with inflexible exchange rate regimes and the rules consisted in mimicking of the foreign interest rates. While we have found response to long-term interest rates and exchange rate in rules of some countries, the importance of monetary growth and asset prices has been generally negligible. The Taylor principle (the response of interest rates to domestic inflation rate must be more than unity as a necessary condition for achieving the price stability) has been confirmed only in large economies and economies troubled with unsustainable inflation rates. Finally, the deviation of the actual interest rate from the rule-implied target rate can be interpreted as policy shocks (these deviation often coincided with actual turbulent periods).

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

Nominal Stability and Financial Globalization

Over the past four decades, advanced economies experienced a large growth in gross external portfolio positions. This phenomenon has been described as Financial Globalization. Over roughly the same time frame, most of these countries also saw a substantial fall in the level and variability of inflation. Many economists have conjectured that financial globalization contributed to the improved performance in the level and predictability of inflation. In this paper, we explore the causal link running in the opposite direction. We show that a monetary policy rule which reduces inflation variability leads to an increase in the size of gross external positions, both in equity and bond portfolios. This appears to be a robust prediction of open economy macro models with endogenous portfolio choice. It holds across different modeling specifications and parameterizations. We also present preliminary empirical evidence which shows a negative relationship between inflation volatility and the size of gross external positions.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

The thermal stability of yellow fever vaccines

The assessment of yellow fever vaccine thermostability both in lyophilized form and after reconstitution were analyzed. Two commercial yellow fever vaccines were assayed for their thermal stability. Vaccines were exposed to test temperatures in the range of 8 (graus) C to 45 (graus) C. Residual infectivity was measured by a plaque assay using Vero cells. The titre values were used in an accelerated degradation test that follows the Arrhenius equation and the minimum immunizing dose was assumed to be 10 (ao cubo) particles forming unit (pfu)/dose. Some of the most relevant results include that (i) regular culture medium show the same degradation pattern of a reconstituted 17D-204 vaccine; (ii) reconstituted YF-17D-204 showed a predictable half life of more than six days if kept at 0 (graus) C; (iii) there are differences in thermostability between different products that are probably due to both presence of stabilizers in the preparation and the modernization in the vaccine production; (iv) it is important to establish a proper correlation between the mouse infectivity test and the plaque assay since the last appears to be more simple, economical, and practical for small laboratories to assess the potency of the vaccine, and (v) the accelerated degradation test appears to be the best procedure to quantify the thermostability of biological products.

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.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Design and evaluation of a solid sampler for the monitoring of airborne 1,6-hexamethylene diisocyanate (HDI) and its prepolymers in 2-component spray painting

An active, solvent-free solid sampler was developed for the collection of 1,6-hexamethylene diisocyanate (HDI) aerosol and prepolymers. The sampler was made of a filter impregnated with 1-(2-methoxyphenyl)piperazine contained in a filter holder. Interferences with HDI were observed when a set of cellulose acetate filters and a polystyrene filter holder were used; a glass fiber filter and polypropylene filter cassette gave better results. The applicability of the sampling and analytical procedure was validated with a test chamber, constructed for the dynamic generation of HDI aerosol and prepolymers in commercial two-component spray paints (Desmodur(R) N75) used in car refinishing. The particle size distribution, temporal stability, and spatial uniformity of the simulated aerosol were established in order to test the sample. The monitoring of aerosol concentrations was conducted with the solid sampler paired to the reference impinger technique (impinger flasks contained 10 mL of 0.5 mg/mL 1-(2-methoxyphenyl)piperazine in toluene) under a controlled atmosphere in the test chamber. Analyses of derivatized HDI and prepolymers were carried out by using high-performance liquid chromatography and ultraviolet detection. The correlation between the solvent-free and the impinger techniques appeared fairly good (Y = 0.979X - 0.161; R = 0.978), when the tests were conducted in the range of 0.1 to 10 times the threshold limit value (TLV) for HDI monomer and up to 60-mu-g/m3 (3 U.K. TLVs) for total -N = C = O groups.

Stability of isoenzyme and kinetoplast DNA (k-DNA) patterns in successively cloned Trypanosoma cruzi populations

Four Trypanosoma cruzi strains from zymodermes A, B, C and D were successively clonedon BHI-LIT-agar-blood BLAB). Twenty clones from the first generation (F1), 10 from The second (F2) and 4 from the third (F3) from the strains A138, B147 and C23 were isolated. The D150 strain provied 29 F1 and F2 clones. The strains and clones had their isoenzyme and K-DNA patterns determined. The clones from A138, Bl47 and C231 strains presented isoemzyme and K-DNA patterns identical between thewmselves and their respective parental strains. Therefore showing the homogenety and stability of isoenzyme and K-DNA patterns after successive cloning. The Dl50 strain from zymodeme D (ZD) showed heterogeneity. Twenty-eight out of 29 clones of the first generation were of zymodeme A and only one was of zymodeme C, confirming previous reports that ZD strains consisted of ZA and ZC parasite populations. The only D150 strain clone of zymodeme C showed a K-DNA pattern identical to its parental strain. The remining clones although similar among themselves were different from the parental strain. Thus the T. cruzi strains had either homonogeneus or heterogeneous populations. The clones produced by successive cloning provided genetically homonogeous populations. Their experimental use will make future results more reliable and reproducible.

Three-dimensional slope stability analysis of South Peak, Crowsnest Pass, Alberta, Canada

South Peak is a 7-Mm3 potentially unstable rock mass located adjacent to the 1903 Frank Slide on Turtle Mountain, Alberta. This paper presents three-dimensional numerical rock slope stability models and compares them with a previous conceptual slope instability model based on discontinuity surfaces identified using an airborne LiDAR digital elevation model (DEM). Rock mass conditions at South Peak are described using the Geological Strength Index and point load tests, whilst the mean discontinuity set orientations and characteristics are based on approximately 500 field measurements. A kinematic analysis was first conducted to evaluate probable simple discontinuity-controlled failure modes. The potential for wedge failure was further assessed by considering the orientation of wedge intersections over the airborne LiDAR DEM and through a limit equilibrium combination analysis. Block theory was used to evaluate the finiteness and removability of blocks in the rock mass. Finally, the complex interaction between discontinuity sets and the topography within South Peak was investigated through three-dimensional distinct element models using the code 3DEC. The influence of individual discontinuity sets, scale effects, friction angle and the persistence along the discontinuity surfaces on the slope stability conditions were all investigated using this code.

Gains from switching and evolutionary stability in multi-player matrix games.

In this paper we unify, simplify, and extend previous work on the evolutionary dynamics of symmetric N-player matrix games with two pure strategies. In such games, gains from switching strategies depend, in general, on how many other individuals in the group play a given strategy. As a consequence, the gain function determining the gradient of selection can be a polynomial of degree N-1. In order to deal with the intricacy of the resulting evolutionary dynamics, we make use of the theory of polynomials in Bernstein form. This theory implies a tight link between the sign pattern of the gains from switching on the one hand and the number and stability of the rest points of the replicator dynamics on the other hand. While this relationship is a general one, it is most informative if gains from switching have at most two sign changes, as is the case for most multi-player matrix games considered in the literature. We demonstrate that previous results for public goods games are easily recovered and extended using this observation. Further examples illustrate how focusing on the sign pattern of the gains from switching obviates the need for a more involved analysis.

Generic super-exponential stability of invariant tori in Hamiltonian systems

In this article, we consider solutions starting close to some linearly stable invariant tori in an analytic Hamiltonian system and we prove results of stability for a super-exponentially long interval of time, under generic conditions. The proof combines classical Birkhoff normal forms and a new method to obtain generic Nekhoroshev estimates developed by the author and L. Niederman in another paper. We will mainly focus on the neighbourhood of elliptic fixed points, the other cases being completely similar.