Optimal Capital Requirements in Financial Networks with Fire Sales

I explore and analyze a problem of finding the socially optimal capital requirements for financial institutions considering two distinct channels of contagion: direct exposures among the institutions, as represented by a network and fire sales externalities, which reflect the negative price impact of massive liquidation of assets.These two channels amplify shocks from individual financial institutions to the financial system as a whole and thus increase the risk of joint defaults amongst the interconnected financial institutions; this is often referred to as systemic risk. In the model, there is a trade-off between reducing systemic risk and raising the capital requirements of the financial institutions. The policymaker considers this trade-off and determines the optimal capital requirements for individual financial institutions. I provide a method for finding and analyzing the optimal capital requirements that can be applied to arbitrary network structures and arbitrary distributions of investment returns.

In particular, I first consider a network model consisting only of direct exposures and show that the optimal capital requirements can be found by solving a stochastic linear programming problem. I then extend the analysis to financial networks with default costs and show the optimal capital requirements can be found by solving a stochastic mixed integer programming problem. The computational complexity of this problem poses a challenge, and I develop an iterative algorithm that can be efficiently executed. I show that the iterative algorithm leads to solutions that are nearly optimal by comparing it with lower bounds based on a dual approach. I also show that the iterative algorithm converges to the optimal solution.

Finally, I incorporate fire sales externalities into the model. In particular, I am able to extend the analysis of systemic risk and the optimal capital requirements with a single illiquid asset to a model with multiple illiquid assets. The model with multiple illiquid assets incorporates liquidation rules used by the banks. I provide an optimization formulation whose solution provides the equilibrium payments for a given liquidation rule.

I further show that the socially optimal capital problem using the ``socially optimal liquidation" and prioritized liquidation rules can be formulated as a convex and convex mixed integer problem, respectively. Finally, I illustrate the results of the methodology on numerical examples and

discuss some implications for capital regulation policy and stress testing.

On the Regulation of Small Actors: Three Experimental Essays about Policies based on Voluntary Compliance and Decentralized Monitoring

Monitoring and enforcement are perhaps the biggest challenges in the design and implementation of environmental policies in developing countries where the actions of many small informal actors cause significant impacts on the ecosystem services and where the transaction costs for the state to regulate them could be enormous. This dissertation studies the potential of innovative institutions based on decentralized coordination and enforcement to induce better environmental outcomes. Such policies have in common that the state plays the role of providing the incentives for organization but the process of compliance happens through decentralized agreements, trust building, signaling and monitoring. I draw from the literatures in collective action, common-pool resources, game-theory and non-point source pollution to develop the instruments proposed here. To test the different conditions in which such policies could be implemented I designed two field-experiments that I conducted with small-scale gold miners in the Colombian Pacific and with users and providers of ecosystem services in the states of Veracruz, Quintana Roo and Yucatan in Mexico. This dissertation is organized in three essays.

The first essay, “Collective Incentives for Cleaner Small-Scale Gold Mining on the Frontier: Experimental Tests of Compliance with Group Incentives given Limited State Monitoring”, examines whether collective incentives, i.e. incentives provided to a group conditional on collective compliance, could “outsource” the required local monitoring, i.e. induce group interactions that extend the reach of the state that can observe only aggregate consequences in the context of small-scale gold mining. I employed a framed field-lab experiment in which the miners make decisions regarding mining intensity. The state sets a collective target for an environmental outcome, verifies compliance and provides a group reward for compliance which is split equally among members. Since the target set by the state transforms the situation into a coordination game, outcomes depend on expectations of what others will do. I conducted this experiment with 640 participants in a mining region of the Colombian Pacific and I examine different levels of policy severity and their ordering. The findings of the experiment suggest that such instruments can induce compliance but this regulation involves tradeoffs. For most severe targets – with rewards just above costs – raise gains if successful but can collapse rapidly and completely. In terms of group interactions, better outcomes are found when severity initially is lower suggesting learning.

The second essay, “Collective Compliance can be Efficient and Inequitable: Impacts of Leaders among Small-Scale Gold Miners in Colombia”, explores the channels through which communication help groups to coordinate in presence of collective incentives and whether the reached solutions are equitable or not. Also in the context of small-scale gold mining in the Colombian Pacific, I test the effect of communication in compliance with a collective environmental target. The results suggest that communication, as expected, helps to solve coordination challenges but still some groups reach agreements involving unequal outcomes. By examining the agreements that took place in each group, I observe that the main coordination mechanism was the presence of leaders that help other group members to clarify the situation. Interestingly, leaders not only helped groups to reach efficiency but also played a key role in equity by defining how the costs of compliance would be distributed among group members.

The third essay, “Creating Local PES Institutions and Increasing Impacts of PES in Mexico: A real-Time Watershed-Level Framed Field Experiment on Coordination and Conditionality”, considers the creation of a local payments for ecosystem services (PES) mechanism as an assurance game that requires the coordination between two groups of participants: upstream and downstream. Based on this assurance interaction, I explore the effect of allowing peer-sanctions on upstream behavior in the functioning of the mechanism. This field-lab experiment was implemented in three real cases of the Mexican Fondos Concurrentes (matching funds) program in the states of Veracruz, Quintana Roo and Yucatan, where 240 real users and 240 real providers of hydrological services were recruited and interacted with each other in real time. The experimental results suggest that initial trust-game behaviors align with participants’ perceptions and predicts baseline giving in assurance game. For upstream providers, i.e. those who get sanctioned, the threat and the use of sanctions increase contributions. Downstream users contribute less when offered the option to sanction – as if that option signal an uncooperative upstream – then the contributions rise in line with the complementarity in payments of the assurance game.

Drug prescribing patterns in the General Medical Services Scheme in Ireland and projected costs to 2026

The primary objective is to investigate the main factors contributing to GMS expenditure on pharmaceutical prescribing and projecting this expenditure to 2026. This study is located in the area of pharmacoeconomic cost containment and projections literature. The thesis has five main aims: 1. To determine the main factors contributing to GMS expenditure on pharmaceutical prescribing. 2. To develop a model to project GMS prescribing expenditure in five year intervals to 2026, using 2006 Central Statistics Office (CSO) Census data and 2007 Health Service Executive{Primary Care Reimbursement Service (HSE{PCRS) sample data. 3. To develop a model to project GMS prescribing expenditure in five year intervals to 2026, using 2012 HSE{PCRS population data, incorporating cost containment measures, and 2011 CSO Census data. 4. To investigate the impact of demographic factors and the pharmacology of drugs (Anatomical Therapeutic Chemical (ATC)) on GMS expenditure. 5. To explore the consequences of GMS policy changes on prescribing expenditure and behaviour between 2008 and 2014. The thesis is centered around three published articles and is located between the end of a booming Irish economy in 2007, a recession from 2008{2013, to the beginning of a recovery in 2014. The literature identified a number of factors influencing pharmaceutical expenditure, including population growth, population aging, changes in drug utilisation and drug therapies, age, gender and location. The literature identified the methods previously used in predictive modelling and consequently, the Monte Carlo Simulation (MCS) model was used to simulate projected expenditures to 2026. Also, the literature guided the use of Ordinary Least Squares (OLS) regression in determining demographic and pharmacology factors influencing prescribing expenditure. The study commences against a backdrop of growing GMS prescribing costs, which has risen from e250 million in 1998 to over e1 billion by 2007. Using a sample 2007 HSE{PCRS prescribing data (n=192,000) and CSO population data from 2008, (Conway et al., 2014) estimated GMS prescribing expenditure could rise to e2 billion by2026. The cogency of these findings was impacted by the global economic crisis of 2008, which resulted in a sharp contraction in the Irish economy, mounting fiscal deficits resulting in Ireland's entry to a bailout programme. The sustainability of funding community drug schemes, such as the GMS, came under the spotlight of the EU, IMF, ECB (Trioka), who set stringent targets for reducing drug costs, as conditions of the bailout programme. Cost containment measures included: the introduction of income eligibility limits for GP visit cards and medical cards for those aged 70 and over, introduction of co{payments for prescription items, reductions in wholesale mark{up and pharmacy dispensing fees. Projections for GMS expenditure were reevaluated using 2012 HSE{PCRS prescribing population data and CSO population data based on Census 2011. Taking into account both cost containment measures and revised population predictions, GMS expenditure is estimated to increase by 64%, from e1.1 billion in 2016 to e1.8 billion by 2026, (ConwayLenihan and Woods, 2015). In the final paper, a cross{sectional study was carried out on HSE{PCRS population prescribing database (n=1.63 million claimants) to investigate the impact of demographic factors, and the pharmacology of the drugs, on GMS prescribing expenditure. Those aged over 75 (ẞ = 1:195) and cardiovascular prescribing (ẞ = 1:193) were the greatest contributors to annual GMS prescribing costs. Respiratory drugs (Montelukast) recorded the highest proportion and expenditure for GMS claimants under the age of 15. Drugs prescribed for the nervous system (Escitalopram, Olanzapine and Pregabalin) were highest for those between 16 and 64 years with cardiovascular drugs (Statins) were highest for those aged over 65. Females are more expensive than males and are prescribed more items across the four ATC groups, except among children under 11, (ConwayLenihan et al., 2016). This research indicates that growth in the proportion of the elderly claimants and associated levels of cardiovascular prescribing, particularly for statins, will present difficulties for Ireland in terms of cost containment. Whilst policies aimed at cost containment (co{payment charges, generic substitution, reference pricing, adjustments to GMS eligibility) can be used to curtail expenditure, health promotional programs and educational interventions should be given equal emphasis. Also policies intended to affect physicians prescribing behaviour include guidelines, information (about price and less expensive alternatives) and feedback, and the use of budgetary restrictions could yield savings.

Essays on Intergenerational and Regional Aspects of Water Management

This dissertation consists of three essays on different aspects of water management. The first essay focuses on the sustainability of freshwater use by introducing the notion that altruistic parents do bequeath economic assets for their offspring. Constructing a two-period, over-lapping generational model, an optimal ratio of consumption and pollution for old and young generations in each period is determined. Optimal levels of water consumption and pollution change according to different parameters, such as, altruistic degree, natural recharge rate, and population growth. The second essay concerns water sharing between countries in the case of trans-boundary river basins. The paper recognizes that side payments fail to forge water-sharing agreement among the international community and that downstream countries have weak bargaining power. An interconnected game approach is developed by linking the water allocation issue with other non-water issues such as trade or border security problems, creating symmetry between countries in bargaining power. An interconnected game forces two countries to at least partially cooperate under some circumstances. The third essay introduces the concept of virtual water (VW) into a traditional international trade model in order to estimate water savings for a water scarce country. A two country, two products and two factors trade model is developed, which includes not only consumers and producer’s surplus, but also environmental externality of water use. The model shows that VW trade saves water and increases global and local welfare. This study should help policy makers to design appropriate subsidy or tax policy to promote water savings especially in water scarce countries.

Economic contribution of Chinese caterpillar fungus to the livelihoods of mountain communities in Nepal

Harvesting of Chinese caterpillar fungus, one of the most expensive biological commodities in the world, has become an important livelihood strategy for mountain communities of Nepal. However, very little is known about the role of Chinese caterpillar fungus in household economy. We estimated the economic contribution of Chinese caterpillar fungus to the household income, quantified the extent of "Chinese caterpillar fungus dependence" among households with different economic and social characteristics, and assessed the role of cash income from the Chinese caterpillar fungus harvest in meeting various household needs including education, debt payments, and food security. Results show that Chinese caterpillar fungus income is the second largest contributor to the total household income after farm income with 21.1% contribution to the total household income and 53.3% to the total cash income. The contribution of Chinese caterpillar fungus income to total household income decreases as the household income increases making its contribution highest for the poorest households. There is significant correlation between Chinese caterpillar fungus dependency and percentage of family members involved in harvesting, number of food-sufficient months, and total income without Chinese caterpillar fungus income. Income from Chinese caterpillar fungus is helping the poorest to educate children, purchase food, and pay debts. However, reported decline of Chinese caterpillar fungus from its natural habitat might threaten local livelihoods that depend on the Chinese caterpillar fungus in future. Therefore, sustainable management of Chinese caterpillar fungus through partnership among local institutions and the state is critical in conserving the species and the sustained flow of benefits to local communities.

Controversy over the Taxation of Recogidas in the Philippines in the mid- 18th Century. The Case of Santa Rita de Pasig’s Spiritual Absorption

This article studies the house of seclusion established for devout Indian and mestizo laywomen in the town of Pasig in 1740, and the dispute over tribute obligations that affected retreated or “pious” women. Founded outside of the Royal Patronato, this house of seclusion was extraordinarily attractive as a place for voluntary retreat and as an educational center. The dispute over tribute payments brought to light misgivings and conflicts of interest between the parties involved, while revealing the fundamental problem: the traditionally undefined juridical status of this type of establishment on the Islands. The solution given to the problem (tribute exemption) was to be extended to other similar centers in the Philippines. This article, realized with the use of unpublished documentation from the General Archives of the Indies, contributes therefore to our knowledge of the world of women in the Philippine archipelago; an ambit of great complexity that, as of yet, has been insufficiently studied.

B-1 Monthly Report of Medical Services Provided under Title XIX of the Social Security Act, April 2016

B-1 Medicaid Reports -- The monthly Medicaid series of eight reports provide summaries of Medicaid eligibles, recipients served, and total payments by county, category of service, and aid category. These reports may also be known as the B-1 Reports. These reports are each available as a PDF for printing or as a CSV file for data analysis. Report Report name IAMM1800-R001--Medically Needy by County - No Spenddown and With Spenddown; IAMM1800-R002--Total Medically Needy, All Other Medicaid, and Grand Total by County; IAMM2200-R002--Monthly Expenditures by Category of Service; IAMM2200-R003--Fiscal YTD Expenditures by Category of Service; IAMM3800-R001--ICF & ICF-MR Vendor Payments by County; IAMM4400-R001--Monthly Expenditures by Eligibility Program; IAMM4400-R002--Monthly Expenditures by Category of Service by Program; IAMM4600-R002--Elderly Waiver Summary by County.

B-1 Monthly Report of Medical Services Provided under Title XIX of the Social Security Act, May 2016

B-1 Medicaid Reports -- The monthly Medicaid series of eight reports provide summaries of Medicaid eligibles, recipients served, and total payments by county, category of service, and aid category. These reports may also be known as the B-1 Reports. These reports are each available as a PDF for printing or as a CSV file for data analysis. Report Report name IAMM1800-R001--Medically Needy by County - No Spenddown and With Spenddown; IAMM1800-R002--Total Medically Needy, All Other Medicaid, and Grand Total by County; IAMM2200-R002--Monthly Expenditures by Category of Service; IAMM2200-R003--Fiscal YTD Expenditures by Category of Service; IAMM3800-R001--ICF & ICF-MR Vendor Payments by County; IAMM4400-R001--Monthly Expenditures by Eligibility Program; IAMM4400-R002--Monthly Expenditures by Category of Service by Program; IAMM4600-R002--Elderly Waiver Summary by County.

B-1 Monthly Report of Medical Services Provided under Title XIX of the Social Security Act, February 2016

B-1 Medicaid Reports -- The monthly Medicaid series of eight reports provide summaries of Medicaid eligibles, recipients served, and total payments by county, category of service, and aid category. These reports may also be known as the B-1 Reports. These reports are each available as a PDF for printing or as a CSV file for data analysis. Report Report name IAMM1800-R001--Medically Needy by County - No Spenddown and With Spenddown; IAMM1800-R002--Total Medically Needy, All Other Medicaid, and Grand Total by County; IAMM2200-R002--Monthly Expenditures by Category of Service; IAMM2200-R003--Fiscal YTD Expenditures by Category of Service; IAMM3800-R001--ICF & ICF-MR Vendor Payments by County; IAMM4400-R001--Monthly Expenditures by Eligibility Program; IAMM4400-R002--Monthly Expenditures by Category of Service by Program; IAMM4600-R002--Elderly Waiver Summary by County.

B-1 Monthly Report of Medical Services Provided under Title XIX of the Social Security Act, June 2016

B-1 Medicaid Reports -- The monthly Medicaid series of eight reports provide summaries of Medicaid eligibles, recipients served, and total payments by county, category of service, and aid category. These reports may also be known as the B-1 Reports. These reports are each available as a PDF for printing or as a CSV file for data analysis. Report Report name IAMM1800-R001--Medically Needy by County - No Spenddown and With Spenddown; IAMM1800-R002--Total Medically Needy, All Other Medicaid, and Grand Total by County; IAMM2200-R002--Monthly Expenditures by Category of Service; IAMM2200-R003--Fiscal YTD Expenditures by Category of Service; IAMM3800-R001--ICF & ICF-MR Vendor Payments by County; IAMM4400-R001--Monthly Expenditures by Eligibility Program; IAMM4400-R002--Monthly Expenditures by Category of Service by Program; IAMM4600-R002--Elderly Waiver Summary by County.

Predictive Analytics and Decision Support for Heart Failure patients

Thesis (Master's)--University of Washington, 2016-08

AN ECONOMIC ANALYSIS OF THE ADDITION OF BEVACIZUMAB TO STANDARD CHEMOTHERAPY IN PATIENTS WITH MALIGNANT PLEURAL MESOTHELIOMA

Thesis (Master's)--University of Washington, 2016-08

Modelling and estimating models of physician labour supply and productivity

Ma thèse s’intéresse aux politiques de santé conçues pour encourager l’offre de services de santé. L’accessibilité aux services de santé est un problème majeur qui mine le système de santé de la plupart des pays industrialisés. Au Québec, le temps médian d’attente entre une recommandation du médecin généraliste et un rendez-vous avec un médecin spécialiste était de 7,3 semaines en 2012, contre 2,9 semaines en 1993, et ceci malgré l’augmentation du nombre de médecins sur cette même période. Pour les décideurs politiques observant l’augmentation du temps d’attente pour des soins de santé, il est important de comprendre la structure de l’offre de travail des médecins et comment celle-ci affecte l’offre des services de santé. Dans ce contexte, je considère deux principales politiques. En premier lieu, j’estime comment les médecins réagissent aux incitatifs monétaires et j’utilise les paramètres estimés pour examiner comment les politiques de compensation peuvent être utilisées pour déterminer l’offre de services de santé de court terme. En second lieu, j’examine comment la productivité des médecins est affectée par leur expérience, à travers le mécanisme du "learning-by-doing", et j’utilise les paramètres estimés pour trouver le nombre de médecins inexpérimentés que l’on doit recruter pour remplacer un médecin expérimenté qui va à la retraite afin de garder l’offre des services de santé constant. Ma thèse développe et applique des méthodes économique et statistique afin de mesurer la réaction des médecins face aux incitatifs monétaires et estimer leur profil de productivité (en mesurant la variation de la productivité des médecins tout le long de leur carrière) en utilisant à la fois des données de panel sur les médecins québécois, provenant d’enquêtes et de l’administration. Les données contiennent des informations sur l’offre de travail de chaque médecin, les différents types de services offerts ainsi que leurs prix. Ces données couvrent une période pendant laquelle le gouvernement du Québec a changé les prix relatifs des services de santé. J’ai utilisé une approche basée sur la modélisation pour développer et estimer un modèle structurel d’offre de travail en permettant au médecin d’être multitâche. Dans mon modèle les médecins choisissent le nombre d’heures travaillées ainsi que l’allocation de ces heures à travers les différents services offerts, de plus les prix des services leurs sont imposés par le gouvernement. Le modèle génère une équation de revenu qui dépend des heures travaillées et d’un indice de prix représentant le rendement marginal des heures travaillées lorsque celles-ci sont allouées de façon optimale à travers les différents services. L’indice de prix dépend des prix des services offerts et des paramètres de la technologie de production des services qui déterminent comment les médecins réagissent aux changements des prix relatifs. J’ai appliqué le modèle aux données de panel sur la rémunération des médecins au Québec fusionnées à celles sur l’utilisation du temps de ces mêmes médecins. J’utilise le modèle pour examiner deux dimensions de l’offre des services de santé. En premierlieu, j’analyse l’utilisation des incitatifs monétaires pour amener les médecins à modifier leur production des différents services. Bien que les études antérieures ont souvent cherché à comparer le comportement des médecins à travers les différents systèmes de compensation,il y a relativement peu d’informations sur comment les médecins réagissent aux changementsdes prix des services de santé. Des débats actuels dans les milieux de politiques de santé au Canada se sont intéressés à l’importance des effets de revenu dans la détermination de la réponse des médecins face à l’augmentation des prix des services de santé. Mon travail contribue à alimenter ce débat en identifiant et en estimant les effets de substitution et de revenu résultant des changements des prix relatifs des services de santé. En second lieu, j’analyse comment l’expérience affecte la productivité des médecins. Cela a une importante implication sur le recrutement des médecins afin de satisfaire la demande croissante due à une population vieillissante, en particulier lorsque les médecins les plus expérimentés (les plus productifs) vont à la retraite. Dans le premier essai, j’ai estimé la fonction de revenu conditionnellement aux heures travaillées, en utilisant la méthode des variables instrumentales afin de contrôler pour une éventuelle endogeneité des heures travaillées. Comme instruments j’ai utilisé les variables indicatrices des âges des médecins, le taux marginal de taxation, le rendement sur le marché boursier, le carré et le cube de ce rendement. Je montre que cela donne la borne inférieure de l’élasticité-prix direct, permettant ainsi de tester si les médecins réagissent aux incitatifs monétaires. Les résultats montrent que les bornes inférieures des élasticités-prix de l’offre de services sont significativement positives, suggérant que les médecins répondent aux incitatifs. Un changement des prix relatifs conduit les médecins à allouer plus d’heures de travail au service dont le prix a augmenté. Dans le deuxième essai, j’estime le modèle en entier, de façon inconditionnelle aux heures travaillées, en analysant les variations des heures travaillées par les médecins, le volume des services offerts et le revenu des médecins. Pour ce faire, j’ai utilisé l’estimateur de la méthode des moments simulés. Les résultats montrent que les élasticités-prix direct de substitution sont élevées et significativement positives, représentant une tendance des médecins à accroitre le volume du service dont le prix a connu la plus forte augmentation. Les élasticitésprix croisées de substitution sont également élevées mais négatives. Par ailleurs, il existe un effet de revenu associé à l’augmentation des tarifs. J’ai utilisé les paramètres estimés du modèle structurel pour simuler une hausse générale de prix des services de 32%. Les résultats montrent que les médecins devraient réduire le nombre total d’heures travaillées (élasticité moyenne de -0,02) ainsi que les heures cliniques travaillées (élasticité moyenne de -0.07). Ils devraient aussi réduire le volume de services offerts (élasticité moyenne de -0.05). Troisièmement, j’ai exploité le lien naturel existant entre le revenu d’un médecin payé à l’acte et sa productivité afin d’établir le profil de productivité des médecins. Pour ce faire, j’ai modifié la spécification du modèle pour prendre en compte la relation entre la productivité d’un médecin et son expérience. J’estime l’équation de revenu en utilisant des données de panel asymétrique et en corrigeant le caractère non-aléatoire des observations manquantes à l’aide d’un modèle de sélection. Les résultats suggèrent que le profil de productivité est une fonction croissante et concave de l’expérience. Par ailleurs, ce profil est robuste à l’utilisation de l’expérience effective (la quantité de service produit) comme variable de contrôle et aussi à la suppression d’hypothèse paramétrique. De plus, si l’expérience du médecin augmente d’une année, il augmente la production de services de 1003 dollar CAN. J’ai utilisé les paramètres estimés du modèle pour calculer le ratio de remplacement : le nombre de médecins inexpérimentés qu’il faut pour remplacer un médecin expérimenté. Ce ratio de remplacement est de 1,2.

B-1 Monthly Report of Medical Services Provided under Title XIX of the Social Security Act, July 2016

B-1 Medicaid Reports -- The monthly Medicaid series of eight reports provide summaries of Medicaid eligibles, recipients served, and total payments by county, category of service, and aid category. These reports may also be known as the B-1 Reports. These reports are each available as a PDF for printing or as a CSV file for data analysis. Report Report name IAMM1800-R001--Medically Needy by County - No Spenddown and With Spenddown; IAMM1800-R002--Total Medically Needy, All Other Medicaid, and Grand Total by County; IAMM2200-R002--Monthly Expenditures by Category of Service; IAMM2200-R003--Fiscal YTD Expenditures by Category of Service; IAMM3800-R001--ICF & ICF-MR Vendor Payments by County; IAMM4400-R001--Monthly Expenditures by Eligibility Program; IAMM4400-R002--Monthly Expenditures by Category of Service by Program; IAMM4600-R002--Elderly Waiver Summary by County.

Essays on Machine Learning and Hedonic Models

Thesis (Ph.D.)--University of Washington, 2016-08