Essays in macro finance and monetary economics

Les questions abordées dans les deux premiers articles de ma thèse cherchent à comprendre les facteurs économiques qui affectent la structure à terme des taux d'intérêt et la prime de risque. Je construis des modèles non linéaires d'équilibre général en y intégrant des obligations de différentes échéances. Spécifiquement, le premier article a pour objectif de comprendre la relation entre les facteurs macroéconomiques et le niveau de prime de risque dans un cadre Néo-keynésien d'équilibre général avec incertitude. L'incertitude dans le modèle provient de trois sources : les chocs de productivité, les chocs monétaires et les chocs de préférences. Le modèle comporte deux types de rigidités réelles à savoir la formation des habitudes dans les préférences et les coûts d'ajustement du stock de capital. Le modèle est résolu par la méthode des perturbations à l'ordre deux et calibré à l'économie américaine. Puisque la prime de risque est par nature une compensation pour le risque, l'approximation d'ordre deux implique que la prime de risque est une combinaison linéaire des volatilités des trois chocs. Les résultats montrent qu'avec les paramètres calibrés, les chocs réels (productivité et préférences) jouent un rôle plus important dans la détermination du niveau de la prime de risque relativement aux chocs monétaires. Je montre que contrairement aux travaux précédents (dans lesquels le capital de production est fixe), l'effet du paramètre de la formation des habitudes sur la prime de risque dépend du degré des coûts d'ajustement du capital. Lorsque les coûts d'ajustement du capital sont élevés au point que le stock de capital est fixe à l'équilibre, une augmentation du paramètre de formation des habitudes entraine une augmentation de la prime de risque. Par contre, lorsque les agents peuvent librement ajuster le stock de capital sans coûts, l'effet du paramètre de la formation des habitudes sur la prime de risque est négligeable. Ce résultat s'explique par le fait que lorsque le stock de capital peut être ajusté sans coûts, cela ouvre un canal additionnel de lissage de consommation pour les agents. Par conséquent, l'effet de la formation des habitudes sur la prime de risque est amoindri. En outre, les résultats montrent que la façon dont la banque centrale conduit sa politique monétaire a un effet sur la prime de risque. Plus la banque centrale est agressive vis-à-vis de l'inflation, plus la prime de risque diminue et vice versa. Cela est due au fait que lorsque la banque centrale combat l'inflation cela entraine une baisse de la variance de l'inflation. Par suite, la prime de risque due au risque d'inflation diminue. Dans le deuxième article, je fais une extension du premier article en utilisant des préférences récursives de type Epstein -- Zin et en permettant aux volatilités conditionnelles des chocs de varier avec le temps. L'emploi de ce cadre est motivé par deux raisons. D'abord des études récentes (Doh, 2010, Rudebusch and Swanson, 2012) ont montré que ces préférences sont appropriées pour l'analyse du prix des actifs dans les modèles d'équilibre général. Ensuite, l'hétéroscedasticité est une caractéristique courante des données économiques et financières. Cela implique que contrairement au premier article, l'incertitude varie dans le temps. Le cadre dans cet article est donc plus général et plus réaliste que celui du premier article. L'objectif principal de cet article est d'examiner l'impact des chocs de volatilités conditionnelles sur le niveau et la dynamique des taux d'intérêt et de la prime de risque. Puisque la prime de risque est constante a l'approximation d'ordre deux, le modèle est résolu par la méthode des perturbations avec une approximation d'ordre trois. Ainsi on obtient une prime de risque qui varie dans le temps. L'avantage d'introduire des chocs de volatilités conditionnelles est que cela induit des variables d'état supplémentaires qui apportent une contribution additionnelle à la dynamique de la prime de risque. Je montre que l'approximation d'ordre trois implique que les primes de risque ont une représentation de type ARCH-M (Autoregressive Conditional Heteroscedasticty in Mean) comme celui introduit par Engle, Lilien et Robins (1987). La différence est que dans ce modèle les paramètres sont structurels et les volatilités sont des volatilités conditionnelles de chocs économiques et non celles des variables elles-mêmes. J'estime les paramètres du modèle par la méthode des moments simulés (SMM) en utilisant des données de l'économie américaine. Les résultats de l'estimation montrent qu'il y a une évidence de volatilité stochastique dans les trois chocs. De plus, la contribution des volatilités conditionnelles des chocs au niveau et à la dynamique de la prime de risque est significative. En particulier, les effets des volatilités conditionnelles des chocs de productivité et de préférences sont significatifs. La volatilité conditionnelle du choc de productivité contribue positivement aux moyennes et aux écart-types des primes de risque. Ces contributions varient avec la maturité des bonds. La volatilité conditionnelle du choc de préférences quant à elle contribue négativement aux moyennes et positivement aux variances des primes de risque. Quant au choc de volatilité de la politique monétaire, son impact sur les primes de risque est négligeable. Le troisième article (coécrit avec Eric Schaling, Alain Kabundi, révisé et resoumis au journal of Economic Modelling) traite de l'hétérogénéité dans la formation des attentes d'inflation de divers groupes économiques et de leur impact sur la politique monétaire en Afrique du sud. La question principale est d'examiner si différents groupes d'agents économiques forment leurs attentes d'inflation de la même façon et s'ils perçoivent de la même façon la politique monétaire de la banque centrale (South African Reserve Bank). Ainsi on spécifie un modèle de prédiction d'inflation qui nous permet de tester l'arrimage des attentes d'inflation à la bande d'inflation cible (3% - 6%) de la banque centrale. Les données utilisées sont des données d'enquête réalisée par la banque centrale auprès de trois groupes d'agents : les analystes financiers, les firmes et les syndicats. On exploite donc la structure de panel des données pour tester l'hétérogénéité dans les attentes d'inflation et déduire leur perception de la politique monétaire. Les résultats montrent qu'il y a évidence d'hétérogénéité dans la manière dont les différents groupes forment leurs attentes. Les attentes des analystes financiers sont arrimées à la bande d'inflation cible alors que celles des firmes et des syndicats ne sont pas arrimées. En effet, les firmes et les syndicats accordent un poids significatif à l'inflation retardée d'une période et leurs prédictions varient avec l'inflation réalisée (retardée). Ce qui dénote un manque de crédibilité parfaite de la banque centrale au vu de ces agents.

Los conceptos de salud financiera, riesgo y epidemiología en los estados financieros de las compañías del sector de extracción de petróleo crudo y gas natural en Colombia

El presente proyecto tiene como objeto identificar cuáles son los conceptos de salud, enfermedad, epidemiología y riesgo aplicables a las empresas del sector de extracción de petróleo y gas natural en Colombia. Dado, el bajo nivel de predicción de los análisis financieros tradicionales y su insuficiencia, en términos de inversión y toma de decisiones a largo plazo, además de no considerar variables como el riesgo y las expectativas de futuro, surge la necesidad de abordar diferentes perspectivas y modelos integradores. Esta apreciación es pertinente dentro del sector de extracción de petróleo y gas natural, debido a la creciente inversión extranjera que ha reportado, US$2.862 millones en el 2010, cifra mayor a diez veces su valor en el año 2003. Así pues, se podrían desarrollar modelos multi-dimensional, con base en los conceptos de salud financiera, epidemiológicos y estadísticos. El termino de salud y su adopción en el sector empresarial, resulta útil y mantiene una coherencia conceptual, evidenciando una presencia de diferentes subsistemas o factores interactuantes e interconectados. Es necesario mencionar también, que un modelo multidimensional (multi-stage) debe tener en cuenta el riesgo y el análisis epidemiológico ha demostrado ser útil al momento de determinarlo e integrarlo en el sistema junto a otros conceptos, como la razón de riesgo y riesgo relativo. Esto se analizará mediante un estudio teórico-conceptual, que complementa un estudio previo, para contribuir al proyecto de finanzas corporativas de la línea de investigación en Gerencia.

Distribution patterns of infection with multiple types of human papillomaviruses and their association with risk factors

Background: Infection with multiple types of human papillomavirus (HPV) is one of the main risk factors associated with the development of cervical lesions. In this study, cervical samples collected from 1,810 women with diverse sociocultural backgrounds, who attended to their cervical screening program in different geographical regions of Colombia, were examined for the presence of cervical lesions and HPV by Papanicolau testing and DNA PCR detection, respectively. Principal Findings: The negative binomial distribution model used in this study showed differences between the observed and expected values within some risk factor categories analyzed. Particularly in the case of single infection and coinfection with more than 4 HPV types, observed frequencies were smaller than expected, while the number of women infected with 2 to 4 viral types were higher than expected. Data analysis according to a negative binomial regression showed an increase in the risk of acquiring more HPV types in women who were of indigenous ethnicity (+37.8%), while this risk decreased in women who had given birth more than 4 times (-31.1%), or were of mestizo (-24.6%) or black (-40.9%) ethnicity. Conclusions: According to a theoretical probability distribution, the observed number of women having either a single infection or more than 4 viral types was smaller than expected, while for those infected with 2-4 HPV types it was larger than expected. Taking into account that this study showed a higher HPV coinfection rate in the indigenous ethnicity, the role of underlying factors should be assessed in detail in future studies.

Land use for England and Wales: evaluation of management options to support 'good ecological status' in surface freshwaters

This paper analyses historic records of agricultural land use and management for England and Wales from 1931 and 1991 and uses export coefficient modelling to hindcast the impact of these practices on the rates of diffuse nitrogen (N) and phosphorus (P) export to water bodies for each of the major geo-climatic regions of England and Wales. Key trends indicate the importance of animal agriculture as a contributor to the total diffuse agricultural nutrient loading on waters, and the need to bring these sources under control if conditions suitable for sustaining 'Good Ecological Status' under the Water Framework Directive are to be generated. The analysis highlights the importance of measuring changes in nutrient loading in relation to the catchment-specific baseline state for different water bodies. The approach is also used to forecast the likely impact of broad regional scale scenarios on nutrient export to waters and highlights the need to take sensitive land out of production, introduce ceilings on fertilizer use and stocking densities, and controls on agricultural practice in higher risk areas where intensive agriculture is combined with a low intrinsic nutrient retention capacity, although the uncertainties associated with the modelling applied at this scale should be taken into account in the interpretation of model output. The paper advocates the need for a two-tiered approach to nutrient management, combining broad regional policies with targeted management in high risk areas at the catchment and farm scale.

Errors associated with preparation of adult and paediatric parenteral nutrition in UK hospital pharmacies

Rationale: In UK hospitals, the preparation of all total parenteral nutrition (TPN) products must be made in the pharmacy as TPNs are categorised as high-risk injectables (NPSA/2007/20). The National Aseptic Error Reporting Scheme has been collecting data on pharmacy compounding errors in the UK since August 2003. This study reports on types of error associated with the preparation of TPNs, including the stage at which these were identified and potential and actual patient outcomes. Methods: Reports of compounding errors for the period 1/2004 - 3/2007 were analysed on an Excel spreadsheet. Results: Of a total of 3691 compounding error reports, 674 (18%) related to TPN products; 548 adult vs. 126 paediatric. A significantly higher proportion of adult TPNs (28% vs. 13% paediatric) were associated with labelling errors and a significantly higher proportion of paediatric TPNs (25% vs. 15% adult) were associated with incorrect transcriptions (Chi-Square Test; p<0.005). Labelling errors were identified equally by pharmacists (42%) and technicians (48%) with technicians detecting mainly at first check and pharmacists at final check. Transcription errors were identified mainly by technicians (65% vs. 27% pharmacist) at first check. Incorrect drug selection (13%) and calculation errors (9%) were associated with adult and paediatric TPN preparations in the same ratio. One paediatric TPN error detected at first check was considered potentially catastrophic; 31 (5%) errors were considered of major and 38 (6%) of moderate potential consequence. Five errors (2 moderate, 1 minor) were identified during or after administration. Conclusions: While recent UK patient safety initiatives are aimed at improving the safety of injectable medicines in clinical areas, the current study highlights safety problems that exist within pharmacy production units. This could be used in the creation of an error management tool for TPN compounding processes within hospital pharmacies.

Indirect population dynamic benefits of altered life-history trade-offs in response to egg harvesting

Variations in demographic rates due to differential resource allocation between individuals are important considerations in the development of accurate population dynamic models. Systematic harvesting can alter age structure and/or reduce population density, conferring indirect positive benefits on the source population as a result of a consequent redistribution of resources between the remaining individuals. Independently of effects mediated through changes in density and competition, demographic rates can also be influenced by within-individual competition for resources. Harvesting dependent life stages can reduce an individual's current reproductive costs, allowing increased investment in its future fecundity and survival. Although such changes in demographic rates are well known, there has been little exploration of the potential impact on population dynamics. We use empirical data collected from a successfully reintroduced population of the Mauritius kestrel Falco punctatus to explore the population consequences of manipulating reproductive effort through harvesting. Consequent increases in an individual's future fecundity and survival allow source populations to withstand longer and more intensive harvesting regimes without being exposed to an increase in extinction risk, increasing maximum sustainable yields. These effects may also buffer populations against the impacts of stochastic events, but directional shifts in environmental conditions that increase reproductive costs may have detrimental population-level effects.

Extinction processes in hotspots of avian biodiversity and the targeting of pre-emptive conservation action

Hot spots of endemism are regarded as important global sites for conservation as they are rich in threatened endemic species and currently experiencing extensive habitat loss. Targeting pre-emptive conservation action to sites that are currently relatively intact but which would be vulnerable to particular human activities if they occurred in the future is, however, also valuable but has received less attention. Here, we address this issue by using data on Endemic Bird Areas (EBAs). First, we identify the ecological factors that affect extinction risk in the face of particular human activities, and then use these insights to identify EBAs that should be priorities for pre-emptive conservation action. Threatened endemic species in EBAs are significantly more likely to be habitat specialists or relatively large-bodied than non-threatened species, when compared across avian families. Increasing habitat loss causes a significant increase in extinction risk among habitat specialists, but we found no evidence to suggest that the presence of alien species/human exploitation causes a significant increase in extinction risk among large-bodied species. This suggests that these particular human activities are contributing to high extinction risk among habitat specialists, but not among large-bodied species. Based on these analyses, we identify 39 EBAs containing 570 species (24% of the total in EBAs) that are not currently threatened with severe habitat loss, but would be ecologically vulnerable to future habitat loss should it occur. We show that these sites tend to be poorly represented in existing priority setting exercises involving hot spots, suggesting that vulnerability must be explicitly included within these exercises if such sites are to be adequately protected.

Gene flow, risk assessment and the environmental release of transgenic plants

The release of genetically modified plants is governed by regulations that aim to provide an assessment of potential impact on the environment. One of the most important components of this risk assessment is an evaluation of the probability of gene flow. In this review, we provide an overview of the current literature on gene flow from transgenic plants, providing a framework of issues for those considering the release of a transgenic plant into the environment. For some plants gene flow from transgenic crops is well documented, and this information is discussed in detail in this review. Mechanisms of gene flow vary from plant species to plant species and range from the possibility of asexual propagation, short- or long-distance pollen dispersal mediated by insects or wind and seed dispersal. Volunteer populations of transgenic plants may occur where seed is inadvertently spread during harvest or commercial distribution. If there are wild populations related to the transgenic crop then hybridization and eventually introgression in the wild may occur, as it has for herbicide resistant transgenic oilseed rape (Brassica napus). Tools to measure the amount of gene flow, experimental data measuring the distance of pollen dispersal, and experiments measuring hybridization and seed survivability are discussed in this review. The various methods that have been proposed to prevent gene flow from genetically modified plants are also described. The current "transgenic traits'! in the major crops confer resistance to herbicides and certain insects. Such traits could confer a selective advantage (an increase in fitness) in wild plant populations in some circumstances, were gene flow to occur. However, there is ample evidence that gene flow from crops to related wild species occurred before the development of transgenic crops and this should be taken into account in the risk assessment process.

Extinction processes in hot spots of avian biodiversity and the targeting of pre-emptive conservation action

Hot spots of endemism are regarded as important global sites for conservation as they are rich in threatened endemic species and currently experiencing extensive habitat loss. Targeting pre-emptive conservation action to sites that are currently relatively intact but which would be vulnerable to particular human activities if they occurred in the future is, however, also valuable but has received less attention. Here, we address this issue by using data on Endemic Bird Areas (EBAs). First, we identify the ecological factors that affect extinction risk in the face of particular human activities, and then use these insights to identify EBAs that should be priorities for pre-emptive conservation action. Threatened endemic species in EBAs are significantly more likely to be habitat specialists or relatively large-bodied than non-threatened species, when compared across avian families. Increasing habitat loss causes a significant increase in extinction risk among habitat specialists, but we found no evidence to suggest that the presence of alien species/human exploitation causes a significant increase in extinction risk among large-bodied species. This suggests that these particular human activities are contributing to high extinction risk among habitat specialists, but not among large-bodied species. Based on these analyses, we identify 39 EBAs containing 570 species (24% of the total in EBAs) that are not currently threatened with severe habitat loss, but would be ecologically vulnerable to future habitat loss should it occur. We show that these sites tend to be poorly represented in existing priority setting exercises involving hot spots, suggesting that vulnerability must be explicitly included within these exercises if such sites are to be adequately protected.

Long-term monounsaturated fatty acid diets reduce platelet aggregation in healthy young subjects

The aim of the present study was to compare the response of a range of atherogenic and thrombogenic risk markers to two dietary levels of saturated fatty acid (SFA) substitution with monounsaturated fatty acids (MUFA) in students living in a university hall of residence. Although the benefits of such diets have been reported for plasma lipoproteins in high-risk groups, more needs to be known about effects of more modest SFA-MUFA substitutions over the long term and in young healthy adults. In a parallel design over 16 weeks, fifty-one healthy young subjects were randomised to one of two diets: (1) a moderate-MUFA diet in which 16 g dietary SFA/100 g total fatty acids were substituted with MUFA (n 25); (2) a high-MUFA diet in which 33 g dietary SFA/100 g total fatty acids were substituted with MUFA (n 26). All subjects followed an 8-week run-in diet (reference diet), with a fatty acid composition close to the UK average values. There were no differences in plasma lipid responses between the two diets over 16 weeks of the study with similar reductions in total cholesterol (P<0.001) and LDL-cholesterol (P<0.01) in both groups; a small but significant reduction in HDL-cholesterol was also observed in both groups (P<0.01). Platelet responses to ADP (P<0.01) and arachidonic acid (P<0.05) differed with time on the two diets; at 16 weeks, platelet aggregatory response to ADP was significantly lower on the high-MUFA than the moderate-MUFA (P<0.01) diet; ADP responses were also significantly lower within this group at 8 (P< 0.05) and 16 (P< 0.01) weeks compared with baseline. There were no differences in fasting factor VII activity (factors VIII and VIIag), fibrinogen concentration or tissue-type plasminogen activator activity between the diets. There were no differences in postprandial factor VIII responses to a standard meal (area under the curve) between the diets after 16 weeks, but postprandial factor VIII response was lower than on the high-MUFA diet compared with baseline (P<0.01). In conclusion, a high-MUFA diet sustains potentially beneficial effects on platelet aggregation and postprandial activation of factor VII. Moderate or high substitution of MUFA for SFA achieves similar reductions in fasting blood lipids in young healthy subjects.

Age-related increases in circulating inflammatory markers in men are independent of BMI, blood pressure and blood lipid concentrations

Objective: To examine whether age-related increase in concentrations of circulating inflammatory mediators is due to concurrent increases in cardiovascular risk factors or is independent of these. Methods and results: Cytokines (IL-6, IL-18), chemokines (6Ckine, MCP-1, IP-10), soluble adhesion molecules (sICAM-1, sVCAM-1, sE-selectin) and adipokines (adiponectin) were measured in the plasma of healthy male subjects aged 18-84 years (n = 162). These were related to known cardiovascular risk factors (age, BMI, systolic and diastolic blood pressure, plasma total cholesterol, LDL cholesterol, HDL cholesterol and triacylglycerol concentrations) in order to identify significant associations. Plasma concentrations of sVCAM-1, sE-selectin, IL-6, IL-18, MCP-1, 6Ckine, IP-10 and adiponectin, but not sICAM-1, were significantly positively correlated with age, as well as with several other cardiovascular risk factors. The correlations with other risk factors disappeared when age was controlled for. In contrast, the correlations with age remained significant for sVCAM-1, IL-6, MCP-1, 6Ckine and IP-10 when other cardiovascular risk factors were controlled for. Conclusions: Plasma concentrations of some inflammatory markers (sVCAM-1, IL-6, MCP-L 6Ckine, IP-10) are positively correlated with age, independent of other cardiovascular risk factors. This suggests that age-related inflammation may not be driven by recognised risk factors. (C) 2006 Elsevier Ireland Ltd. All rights reserved.

A behavioral comparison between motorcyclists and a matched group of non-motorcycling car drivers: factors influencing accident risk

Motorcyclists and a matched group of non-motorcycling car drivers were assessed on behavioral measures known to relate to accident involvement. Using a range of laboratory measures, we found that motorcyclists chose faster speeds than the car drivers, overtook more, and pulled into smaller gaps in traffic, though they did not travel any closer to the vehicle in front. The speed and following distance findings were replicated by two further studies involving unobtrusive roadside observation. We suggest that the increased risk-taking behavior of motorcyclists was only likely to account for a small proportion of the difference in accident risk between motorcyclists and car drivers. A second group of motorcyclists was asked to complete the simulator tests as if driving a car. They did not differ from the non-motorcycling car drivers on the risk-taking measures but were better at hazard perception. There were also no differences for sensation seeking, mild social deviance, and attitudes to riding/driving, indicating that the risk-taking tendencies of motorcyclists did not transfer beyond motorcycling, while their hazard perception skill did. (C) 2002 Elsevier Science Ltd. All rights reserved.

Validation of the social communication questionnaire in a population cohort of children with autism spectrum disorders

Objective: To examine the properties of the Social Communication Questionnaire (SCQ) in a population cohort of children with autism spectrum disorders (ASDs) and in the general population, Method: SCQ data were collected from three samples: the Special Needs and Autism Project (SNAP) cohort of 9- to 10-year-old children with special educational needs with and without ASD and two similar but separate age groups of children from the general population (n = 411 and n = 247). Diagnostic assessments were completed on a stratified subsample (n = 255) of the special educational needs group. A sample-weighting procedure enabled us to estimate characteristics of the SCQ in the total ASD population. Diagnostic status of cases in the general population samples were extracted from child health records. Results: The SCQ showed strong discrimination between ASD and non-ASD cases (sensitivity 0.88, specificity 0.72) and between autism and nonautism cases (sensitivity 0.90, specificity 0.86). Findings were not affected by child IQ or parental education. In the general population samples between 4% and 5% of children scored above the ASD cutoff including 1.5% who scored above the autism cutoff. Although many of these high-scoring children had an ASD diagnosis, almost all (similar to 90%) of them had a diagnosed neurodevelopmental disorder. Conclusions: This study confirms the utility of the SCQ as a,first-level screen for ASD in at-risk samples of school-age children.

NOS3 gene polymorphisms are associated with risk markers of cardiovascular disease, and interact with omega-3 polyunsaturated fatty acids

Objective Omega-3 polyunsaturated fatty acids (n-3 PUFA) may protect against the development of cardiovascular disease (CVD). Genotype at key genes such as nitric oxide synthase (NOS3) may determine responsiveness to fatty acids. Gene–nutrient interactions may be important in modulating the development of CVD, particularly in high-risk individuals with the metabolic syndrome (MetS). Methods Biomarkers of CVD risk, plasma fatty acid composition, and NOS3 single nucleotide polymorphism (SNP) genotype (rs11771443, rs1800783, rs1800779, rs1799983, rs3918227, and rs743507) were determined in 450 individuals with the MetS from the LIPGENE dietary intervention cohort. The effect of dietary fat modification for 12 weeks on metabolic indices of the MetS was determined to understand potential NOS3 gene–nutrient interactions. Results Several markers of inflammation and dyslipidaemia were significantly different between the genotype groups. A significant gene–nutrient interaction was observed between the NOS3 rs1799983 SNP and plasma n-3 PUFA status on plasma triacylglycerol (TAG) concentrations. Minor allele carriers (AC + AA) showed an inverse association with significantly higher plasma TAG concentrations in those with low plasma n-3 PUFA status and vice versa but the major allele homozygotes (CC) did not. Following n-3 PUFA supplementation, plasma TAG concentrations of minor allele carriers of rs1799983 were considerably more responsive to changes in plasma n-3 PUFA, than major allele homozygotes. Conclusions Carriers of the minor allele at rs1799983 in NOS3 have plasma TAG concentrations which are more responsive to n-3 PUFA. This suggests that these individuals might show greater beneficial effects of n-3 PUFA consumption to reduce plasma TAG concentrations.