Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

This paper provides a method to estimate time varying coefficients structuralVARs which are non-recursive and potentially overidentified. The procedureallows for linear and non-linear restrictions on the parameters, maintainsthe multi-move structure of standard algorithms and can be used toestimate structural models with different identification restrictions. We studythe transmission of monetary policy shocks and compare the results with thoseobtained with traditional methods.

With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression

In May 1927, the German central bank intervenedindirectly to reduce lending to equity investors.The crash that followed ended the only stockmarket boom during Germany s relative stabilization 1924-28. This paper examines thefactors that lead to the intervention as well asits consequences. We argue that genuine concernabout the exuberant level of the stock market,in addition to worries about an inflow offoreign funds, tipped the scales in favour ofintervention. The evidence strongly suggeststhat the German central bank under HjalmarSchacht was wrong to be concerned aboutstockprices-there was no bubble. Also, theReichsbank was mistaken in its belief thata fall in the market would reduce theimportance of short-term foreign borrowing,and help to ease conditions in the money market.The misguided intervention had important realeffects. Investment suffered, helping to tipGermany into depression.

Corporate finance and the monetary transmission mechanism

This paper analyzes the transmission mechanisms of monetarypolicy in a general equilibrium model of securities marketsand banking with asymmetric information. Banks' optimal asset/liability policy is such that in equilibrium capital adequacy constraints are always binding. Asymmetric information about banks' net worth adds a cost to outside equity capital, which limits the extent to which banks can relax their capital constraint. In this context monetarypolicy does not affect bank lending through changes in bank liquidity. Rather, it has the effect of changing theaggregate composition of financing by firms. The model also produces multiple equilibria, one of which displays all the features of a "credit crunch". Thus, monetary policy can also have large effects when it induces a shift from one equilibrium to the other.

The daily market for funds in Europe: Has something changed with the EMU?

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after thestart of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which isable to reproduce our empirical findings.

On the sources of the Great Moderation

The remarkable decline in macroeconomic volatility experienced by the U.S. economy since the mid-80s (the so-called Great Moderation) has been accompanied by large changes in the patterns of comovements among output, hours and labor productivity. Those changes are reflected in both conditional and unconditional second moments as well as in the impulse responses to identified shocks. That evidencepoints to structural change, as opposed to just good luck, as an explanation for the Great Moderation. We use a simple macro model to suggest some of the immediate sources which are likely to be behindthe observed changes.

What is what?: A simple time-domain test of long-memory vs. structural breaks

This paper proposes a new time-domain test of a process being I(d), 0 < d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here is based on the t-ratio (or the infimum of a sequence of t-ratios) of the estimated coefficient on yt-1 in an OLS regression of ?dyt on a simple transformation of the above-mentioned deterministic components and yt-1, possibly augmented by a suitable number of lags of ?dyt to account for serial correlation in the error terms. The case where d = 1 coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the break date is known or unknown, respectively. The statistic is labelled as the SB-FDF (Structural Break-Fractional Dickey- Fuller) test, since it is based on the same principles as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and finite sample properties are analyzed, and two empirical applications are provided.

De la mano de Keynes: "A tract on monetary reform"

En Tract on Monetary Reform, John Maynard Keynes propuso utilizar la base monetaria y el coeficiente de reserva bancaria como variables instrumentales d¿una política monetaria que había sido considerada hasta entonces innecesaria. En este trabajo se intenta desvelar las primeras contribuciones de Keynes al progreso del análisis económico

De la mano de Keynes: "A tract on monetary reform"

En Tract on Monetary Reform, John Maynard Keynes propuso utilizar la base monetaria y el coeficiente de reserva bancaria como variables instrumentales d¿una política monetaria que había sido considerada hasta entonces innecesaria. En este trabajo se intenta desvelar las primeras contribuciones de Keynes al progreso del análisis económico

GDP and life expectancy in Italy and Spain over the long-run (1861-2008): insights from a timeseries approach

The article presents and discusses long-run series of per capita GDP and life expectancy for Italy and Spain (1861-2008). After refining the available estimates in order to make them comparable and with the avail of the most up-to-date researches, the main changes in the international economy and in technological and sociobiological regimes are used as analytical frameworks to re-assess the performances of the two countries; then structural breaks are searched for and Granger causality between the two variables is investigated. The long-run convergence notwithstanding, significant cyclical differences between the two countries can be detected: Spain began to modernize later in GDP, with higher volatility in life expectancy until recent decades; by contrast, Italy showed a more stable pattern of life expectancy, following early breaks in per capita GDP, but also a negative GDP break in the last decades. Our series confirm that, whereas at the early stages of development differences in GDP tend to mirror those in life expectancy, this is no longer true at later stages of development, when, if any, there seems to be a negative correlation between GDP and life expectancy: this finding is in line with the thesis of a non-monotonic relation between life expectancy and GDP and is supported by tests of Granger causality.

Independent Central Banks: Low inflation at no cost?: A model with fiscal policy

In this article we extend the rational partisan model of Alesina and Gatti (1995) to include a second policy, fiscal policy, besides monetary policy. It is shown that, with this extension, the politically induced variance of output is not always eliminated nor reduced by delegating monetary policy to an independent and conservative central bank. Further, in flation and output stabilisation will be affected by the degree of conservativeness of the central bank and by the probability of the less in flation averse party gaining power. Keywords: rational partisan theory; fiscal policy; independent central bank JEL Classi fication: E58, E63.

Multimodal MRI analysis of structural and functional networks in the human brain : application to two clinical studies : driving abilities under THC intoxication and early white matter changes in FXTAS

Les approches multimodales dans l'imagerie cérébrale non invasive sont de plus en plus considérées comme un outil indispensable pour la compréhension des différents aspects de la structure et de la fonction cérébrale. Grâce aux progrès des techniques d'acquisition des images de Resonance Magnetique et aux nouveaux outils pour le traitement des données, il est désormais possible de mesurer plusieurs paramètres sensibles aux différentes caractéristiques des tissues cérébraux. Ces progrès permettent, par exemple, d'étudier les substrats anatomiques qui sont à la base des processus cognitifs ou de discerner au niveau purement structurel les phénomènes dégénératifs et développementaux. Cette thèse met en évidence l'importance de l'utilisation d'une approche multimodale pour étudier les différents aspects de la dynamique cérébrale grâce à l'application de cette approche à deux études cliniques: l'évaluation structurelle et fonctionnelle des effets aigus du cannabis fumé chez des consommateurs réguliers et occasionnels, et l'évaluation de l'intégrité de la substance grise et blanche chez des jeunes porteurs de la prémutations du gène FMR1 à risque de développer le FXTAS (Fragile-X Tremor Ataxia Syndrome). Nous avons montré que chez les fumeurs occasionnels de cannabis, même à faible concentration du principal composant psychoactif (THC) dans le sang, la performance lors d'une tâche visuo-motrice est fortement diminuée, et qu'il y a des changements dans l'activité des trois réseaux cérébraux impliqués dans les processus cognitifs: le réseau de saillance, le réseau du contrôle exécutif, et le réseau actif par défaut (Default Mode). Les sujets ne sont pas en mesure de saisir les saillances dans l'environnement et de focaliser leur attention sur la tâche. L'augmentation de la réponse hémodynamique dans le cortex cingulaire antérieur suggère une augmentation de l'activité introspective. Une investigation des ef¬fets au niveau cérébral d'une exposition prolongée au cannabis, montre des changements persistants de la substance grise dans les régions associées à la mémoire et au traitement des émotions. Le niveau d'atrophie dans ces structures corrèle avec la consommation de cannabis au cours des trois mois précédant l'étude. Dans la deuxième étude, nous démontrons des altérations structurelles des décennies avant l'apparition du syndrome FXTAS chez des sujets jeunes, asymptomatiques, et porteurs de la prémutation du gène FMR1. Les modifications trouvées peuvent être liées à deux mécanismes différents. Les altérations dans le réseau moteur du cervelet et dans la fimbria de l'hippocampe, suggèrent un effet développemental de la prémutation. Elles incluent aussi une atrophie de la substance grise du lobule VI du cervelet et l'altération des propriétés tissulaires de la substance blanche des projections afférentes correspondantes aux pédoncules cérébelleux moyens. Les lésions diffuses de la substance blanche cérébrale peu¬vent être un marquer précoce du développement de la maladie, car elles sont liées à un phénomène dégénératif qui précède l'apparition des symptômes du FXTAS. - Multimodal brain imaging is becoming a leading tool for understanding different aspects of brain structure and function. Thanks to the advances in Magnetic Resonance imaging (MRI) acquisition schemes and data processing techniques, it is now possible to measure different parameters sensitive to different tissue characteristics. This allows for example to investigate anatomical substrates underlying cognitive processing, or to disentangle, at a pure structural level degeneration and developmental processes. This thesis highlights the importance of using a multimodal approach for investigating different aspects of brain dynamics by applying this approach to two clinical studies: functional and structural assessment of the acute effects of cannabis smoking in regular and occasional users, and grey and white matter assessment in young FMR1 premutation carriers at risk of developing FXTAS. We demonstrate that in occasional smokers cannabis smoking, even at low concentration of the main psychoactive component (THC) in the blood, strongly decrease subjects' performance on a visuo-motor tracking task, and globally alters the activity of the three brain networks involved in cognitive processing: the Salience, the Control Executive, and the Default Mode networks. Subjects are unable to capture saliences in the environment and to orient attention to the task; the increase in Hemodynamic Response in the Anterior Cingulate Cortex suggests an increase in self-oriented mental activity. A further investigation on long term exposure to cannabis, shows a persistent grey matter modification in brain regions associated with memory and affective processing. The degree of atrophy in these structures also correlates with the estimation of drug use in the three months prior the participation to the study. In the second study we demonstrate structural changes in young asymptomatic premutation carriers decades before the onset of FXTAS that might be related to two different mechanisms. Alteration of the cerebellar motor network and of the hippocampal fimbria/ fornix, may reflect a potential neurodevelopmental effect of the premutation. These include grey matter atrophy in lobule VI and modification of white matter tissue property in the corresponding afferent projections through the Middle Cerebellar Peduncles. Diffuse hemispheric white matter lesions that seem to appear closer to the onset of FXTAS and be related to a neurodegenerative phenomenon may mark the imminent onset of FXTAS.

Three essays on the determinants of output, inflation and interest rates

Résumé: Output, inflation and interest rates are key macroeconomic variables, in particular for monetary policy. In modern macroeconomic models they are driven by random shocks which feed through the economy in various ways. Models differ in the nature of shocks and their transmission mechanisms. This is the common theme underlying the three essays of this thesis. Each essay takes a different perspective on the subject: First, the thesis shows empirically how different shocks lead to different behavior of interest rates over the business cycle. For commonly analyzed shocks (technology and monetary policy errors), the patterns square with standard models. The big unknown are sources of inflation persistence. Then the thesis presents a theory of monetary policy, when the central bank can better observe structural shocks than the public. The public will then seek to infer the bank's extra knowledge from its policy actions and expectation management becomes a key factor of optimal policy. In a simple New Keynesian model, monetary policy becomes more concerned with inflation persistence than otherwise. Finally, the thesis points to the huge uncertainties involved in estimating the responses to structural shocks with permanent effects.

Metabolic and structural rearrangement during dark-induced autophagy in soybean (Glycine max L.) nodules: An electron microscopy and P-31 and C-13 nuclear magnetic resonance study

The effects of dark-induced stress on the evolution of the soluble metabolites present in senescent soybean (Glycine max L.) nodules were analysed in vitro using C-13- and P-31-NMR spectroscopy. Sucrose and trehalose were the predominant soluble storage carbons. During dark-induced stress, a decline in sugars and some key glycolytic metabolites was observed. Whereas 84% of the sucrose disappeared, only one-half of the trehalose was utilised. This decline coincides with the depletion of Gln, Asn, Ala and with an accumulation of ureides, which reflect a huge reduction of the N-2 fixation. Concomitantly, phosphodiesters and compounds like P-choline, a good marker of membrane phospholipids hydrolysis and cell autophagy, accumulated in the nodules. An autophagic process was confirmed by the decrease in cell fatty acid content. In addition, a slight increase in unsaturated fatty acids (oleic and linoleic acids) was observed, probably as a response to peroxidation reactions. Electron microscopy analysis revealed that, despite membranes dismantling, most of the bacteroids seem to be structurally intact. Taken together, our results show that the carbohydrate starvation induced in soybean by dark stress triggers a profound metabolic and structural rearrangement in the infected cells of soybean nodule which is representative of symbiotic cessation.

Fiscal sustainability and fiscal shocks in a dollarized and oil-exporting country: Ecuador

This paper investigates the fiscal sustainability of an emerging, dollarized, oil-exporting country: Ecuador. A cointegrated VAR approach is adopted in testing, first, if the intertemporal budget constraint is satisfied in Ecuador and, second, in identifying the permanent and transitory shocks that affect a fiscal policy characterized by inertia and a heavy dependence on oil revenues. Following confirmation that the debt-GDP ratio does not place the Ecuadorian budget under any pressure, we reformulate the model and identify two forces that push the fiscal system out of equilibrium, namely, economic activity and oil revenues implemented in the government budget. We argue that Ecuador needs to recover control of its monetary policy and to promote the diversification of its economy in order that non-oil tax revenues can replace oil revenues as a pushing force. Finally, we calculate quarterly elasticities of tax revenues with respect to Ecuador’s GDP and that of eight Eurozone countries. We illustrate graphically how the Eurozone countries with low positive or high negative elasticities’ levels suffer debt problems after the crisis. This finding emphasizes the pressing need for Ecuador to strengthen the connection between its tax revenues and output, and also suggests that the convergence of these elasticities in the Eurozone might contribute to the success of an eventually future fiscal union.

The Regulation of Foreign Banks in Switzerland (1956-1972)

The Swiss financial centre witnessed an important shift during the 1960s: the number of foreign banks and their importance in relation to the domestic banking sector significantly increased. Faced with this rapid development, Swiss bank representatives and political and monetary authorities reacted strongly. This paper investigates the evolution of the regulatory response by Swiss banking policy actors to the proliferation of foreign financial in- stitutions. In 1969, those reactions led to the adoption of a discriminatory regime, setting higher entry barriers for foreign banks than for domestic institutions. After examining possible reasons for the attractiveness of Switzerland to foreign banks, this paper will analyse the concerns and fears of the domestic banking sector and its regulators. In this regard, it appears that issues such as mere competition, preservation of the international reputation of the Swiss banks and anti-inflationary monetary policy were central to the chosen regulatory regime. Moreover, this paper shows that foreign banks were used as scapegoats in the evolution of the Swiss system of banking supervision. They were more tightly regulated, yet the general framework remained very lax.