The Global Dimension to Fiscal Sustainability

This paper examines the issue of fiscal sustainability in emerging market countries and industrial countries. We highlight the importance of the time series properties of the primary surplus and debt, and find evidence of a positive long run relationship. Consequently we emphasise, that especially for emerging markets, it is important to recognise the implications of global capital market shocks for fiscal sustainability, a relationship which has hitherto been ignored in the empirical literature. Using a factor model we demonstrate that the relationship between deficit and debt is conditional upon a global factor and we suggest that this global factor is related to world-wide liquidity. We also demonstrate that this acts as a constraint on emerging market economies’ fiscal policy.

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors reflecting different blocks of variables (e.g. a price block, a housing block, a financial block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different points in time. In this paper, we use dynamic model averaging and dynamic model selection to achieve this goal. These methods automatically alter the weights attached to different forecasting models as evidence comes in about which has forecast well in the recent past. In an empirical study involving forecasting output growth and inflation using 139 UK monthly time series variables, we find that the set of predictors changes substantially over time. Furthermore, our results show that dynamic model averaging and model selection can greatly improve forecast performance relative to traditional forecasting methods.

Understanding Liquidity and Credit Risks in the Financial Crisis

This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which reflect liquidity and credit risk. Our empirical results show that surges in the short term LIBOR-OIS spreads during the 2007-2009 fi nancial crisis were largely driven by liquidity risk. However, credit risk played a more signifi cant role in the longer term (twelve-month) LIBOR-OIS spread. The liquidity risk factors are more volatile than the credit risk factor. Most of the familiar events in the financial crisis are linked more to movements in liquidity risk than credit risk.

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors reflecting different blocks of variables (e.g. a price block, a housing block, a financial block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different points in time. In this paper, we use dynamic model averaging and dynamic model selection to achieve this goal. These methods automatically alter the weights attached to different forecasting model as evidence comes in about which has forecast well in the recent past. In an empirical study involving forecasting output and inflation using 139 UK monthly time series variables, we find that the set of predictors changes substantially over time. Furthermore, our results show that dynamic model averaging and model selection can greatly improve forecast performance relative to traditional forecasting methods.

Personality traits and behavioural and psychological symptoms in patients with mild cognitive impairment.

BACKGROUND AND AIMS: Both personality changes and behavioural and psychological symptoms (BPS) may be associated with mild cognitive impairment (MCI) in later life and help identify incipient dementia. We wished to investigate the links between personality and BPS in MCI. METHOD: We studied premorbid personality traits as estimated 5 years back and their changes in 83 control subjects and 52 MCI patients using the revised NEO Personality Inventory for the Five-Factor Model completed by a proxy. Information on BPS was obtained using the Neuropsychiatric Inventory (NPI). Analyses were controlled for current depression and anxiety. RESULTS: Premorbid neuroticism and openness to experience were associated with the total NPI score. The changes in neuroticism, extraversion, openness to experiences, and conscientiousness were associated with apathy and affective symptoms. CONCLUSIONS: Personality changes and BPS occur in MCI. The occurrence of affective BPS and apathy is associated with both premorbid personality traits and their changes.

Co-Movement, Spillovers and Excess Returns in Global Bond Markets

This paper investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in bond yields of seven advanced economies is due to global co-movement, which is mainly attributed to shocks to non-fundamentals. Global fundamentals, especially global inflation, affect yields through a ‘policy channel’ and a ‘risk compensation channel’, but the effects through two channels are offset. This evidence explains the unsatisfactory performance of fundamentals-driven term structure models. Our approach delineates asymmetric spillovers in global bond markets connected to diverging monetary policies. The proposed model is robust as identified factors has significant explanatory power of excess returns. The finding that global inflation uncertainty is useful in explaining realized excess returns does not rule out regime changing as a source of non-fundamental fluctuations.

Personality, psychosocial and health-related predictors of quality of life in old age.

OBJECTIVES: Beyond its well-documented association with depressive symptoms across the lifespan, at an individual level, quality of life may be determined by multiple factors: psychosocial characteristics, current physical health and long-term personality traits. METHOD: Quality of life was assessed in two distinct community-based age groups (89 young adults aged 36.2 ± 6.3 and 92 older adults aged 70.4 ± 5.5 years), each group equally including adults with and without acute depressive symptoms. Regression models were applied to explore the association between quality of life assessed with the World Health Organization Quality of Life - Bref (WHOQOL-Bref) and depression severity, education, social support, physical illness, as well as personality dimensions as defined by the Five-Factor Model. RESULTS: In young age, higher quality of life was uniquely associated with lower severity of depressive symptoms. In contrast, in old age, higher quality of life was related to both lower levels of depressive mood and of physical illness. In this age group, a positive association was also found between quality of life and higher levels of Openness to experience and Agreeableness personality dimensions. CONCLUSION: Our data indicated that, in contrast to young cohorts, where acute depression is the main determinant of poor quality of life, physical illness and personality dimensions represent additional independent predictors of this variable in old age. This observation points to the need for concomitant consideration of physical and psychological determinants of quality of life in old age.

Psychometric properties of the French version of the Zuckerman-Kuhlman Personality Questionnaire

This instrumental study was designed to investigate the psychometric properties of the French version and the cross-language replicability of the Zuckerman-Kuhlman Personality Questionnaire (ZKPQ) at the factor- and at the facet-level. The ZKPQ is an instrument aimed at assessing the five basic factors of Zuckerman's Alternative Five-Factor Model (AFFM). Subjects were 843 French-speaking Swiss, mainly students. At the factor-level, the reliability ranged from .73 to .87 and at the facet level, the reliability ranged from .57 to .77. Differences between genders are congruent with those found in the American sample. Women scored higher on N-Anx, and lower on ImpSS, and Act. A series of exploratory factor analyses supported the overall five-factor structure and the structure at the facet-level. The correlations among the scales support that the five basic factors of the AFFM are orthogonal. Targeted factor analyses and congruence coefficients show high cross-language replicability at the factor- and at the facet-level. The adequacy of the model at the factor- and facet-level was tested using confirmatory factor analyses. The results show that the French version of the ZKPQ is a reliable and valid instrument and has a high cross-language replicability.

Fiscal foresight and the effects of government spending

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. Government spending raises both consumption and investment, with no evidence of crowding out. The impact multiplier is 1.7 and the long run multiplier is 0.6.

Fiscal policy, foresight and the trade balance in the U.S.

This paper investigates the effects of fiscal policy on the trade balance using a structural factor model. A fiscal policy shock worsens the trade balance and produces an appreciation of the domestic currency but the effects are quantitatively small. The findings match the theoretical predictions of the standard Mundell-Fleming model, although fiscal policy should not be considered one of the main causes of the large US external deficit. My conclusions differ from those reached using VAR models since the fiscal shock, possibly due to fiscal foresight, is nonfundamental for the variables typically used in open economy VARs.

Personality changes in patients with beginning Alzheimer disease.

Objective: To investigate personality traits in patients with Alzheimer disease, compared with mentally healthy control subjects. We compared both current personality characteristics using structured interviews as well as current and previous personality traits as assessed by proxies. Method: Fifty-four patients with mild Alzheimer disease and 64 control subjects described their personality traits using the Structured Interview for the Five-Factor Model. Family members filled in the Revised NEO Personality Inventory, Form R, to evaluate their proxies' current personality traits, compared with 5 years before the estimated beginning of Alzheimer disease or 5 years before the control subjects. Results: After controlling for age, the Alzheimer disease group presented significantly higher scores than normal control subjects on current neuroticism, and significantly lower scores on current extraversion, openness, and conscientiousness, while no significant difference was observed on agreeableness. A similar profile, though less accentuated, was observed when considering personality traits as the patients' proxies remembered them. Diachronic personality assessment showed again significant differences between the 2 groups for the same 4 domains, with important personality changes only for the Alzheimer disease group. Conclusions: Group comparison and retrospective personality evaluation are convergent. Significant personality changes follow a specific trend in patients with Alzheimer disease and contrast with the stability generally observed in mentally healthy people in their personality profile throughout their lives. Whether or not the personality assessment 5 years before the current status corresponds to an early sign of Alzheimer disease or real premorbid personality differences in people who later develop Alzheimer disease requires longitudinal studies.

No news in business cycles

This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology.

Validation of the French version of the Hierarchical Personality Inventory for Children (HiPIC): Influence of gender and age on personality traits from 8 to 12 years

The study was designed to investigate the psychometric properties of the French version and the cross-language replicability of the Hierarchical Personality Inventory for Children (HiPIC). The HiPIC is an instrument aimed at assessing the five dimensions of the Five-Factor Model for Children. Subjects were 552 children aged between 8 and 12 years, rated by one or both parents. At the domain level, reliability ranged from .83 to .93 and at the facet level, reliability ranged from .69 to .89. Differences between genders were congruent with those found in the Dutch sample. Girls scored higher on Benevolence and Conscientiousness. Age was negatively correlated with Extraversion and Imagination. For girls, we also observed a decrease of Emotional Stability. A series of exploratory factor analyses confirmed the overall five-factor structure for girls and boys. Targeted factor analyses and congruence coefficients revealed high cross-language replicability at the domain and at the facet levels. The results showed that the French version of the HiPIC is a reliable and valid instrument for assessing personality with children and has a particularly high cross-language replicability.

Mesurer la stigmatisaion perçue chez les personnes souffrant de troubles psychiques : traduction française, validation et adaptation de la Stigma Scale

L'objectif de l'étude présentée est d'adapter et de valider une version française de la Stigma Scale (King, 2007) auprès d'une population de personnes souffrant de troubles psychiques. Dans une première phase, la stabilité temporelle (fidélité test-retest), la cohérence interne et la validité convergente de l'instrument original à 28 items traduit en français ont été évaluées auprès d'un échantillon de 183 patients. Les résultats d'analyses factorielles confirmatoires ne nous ont pas permis de confirmer la structure originale de l'instrument. Nous avons donc proposé, sur la base des résultats d'une analyse factorielle exploratoire, une version courte de l'échelle de stigmatisation (9 items) qui conserve la structure en trois facteurs du modèle original. Dans une deuxième phase, nous avons examiné les qualités psychométriques et validé cette version abrégée de l'échelle de stigmatisation auprès d'un second échantillon de 234 patients. Les indices d'ajustements de notre analyse factorielle confirmatoire confirme la structure en trois facteurs de la version abrégée de la Stigma Scale. Les résultats suggèrent que la version française abrégée de l'échelle de stigmatisation constitue un instrument utile, fiable et valide dans l'autoévaluation de la stigmatisation perçue par des personnes souffrant de troubles psychiques. - Aim People suffering from mental illness are exposed to stigma. However, only few tools are available to assess stigmatization as perceived from the patient's perspective. The aim of this study is to adapt and validate a French version of the Stigma Scale (King, 2007). This self-report questionnaire has a three-factor structure: discrimination, disclosure and positive aspects of mental illness. Discrimination subscale refers to perceived negative reactions by others. Disclosure subscale refers mainly to managing disclosure to avoid discrimination and finally positive aspects subscale taps into how patients are becoming more accepting, more understanding toward their illness. Method In the first step, internal consistency, convergent validity and test-retest reliability of the French adaptation of the 28-item scale have been assessed on a sample of 183 patients. Results of confirmatory factor analyses (CFA) did not confirm the hypothesized structure. In light of the failed attempts to validate the original version, an alternative 9-item short-form version of the Stigma Scale, maintaining the integrity of the original model, was developed based on results of exploratory factor analyses in the first sample and cross- validated in a new sample of 234 patients. Results Results of CFA did not confirm that the data fitted well to the three-factor model of the 28-item Stigma Scale (χ2/άί=2.02, GFI=0.77, AGFI=0.73, RMSEA=0.07, CFI=0.77 et NNFI=0.75). Cronbach's α are excellent for discrimination (0.84) and disclosure (0.83) subscales but poor for potential positive aspects (0.46). External validity is satisfactory. Overall Stigma Scale total score is negatively correlated with score on Rosenberg's Self-Esteem Scale (r = -0.49), and each sub-scale is significantly correlated with a visual analogue scale that refers to the specific aspect of stigma (0.43 < |r| < 0.60). Intraclass correlation coefficients between 0.68 and 0.89 indicate good test- retest reliability. Results of CFA demonstrate that the items chosen for the short version of the Stigma Scale have the expected fit properties fa2/df=1.02, GFI=0.98, AGFI=0.98, RMSEA=0.01, CFI=1.0 et NNFI=1.0). Considering the small number (3 items) of items in each subscales of the short version of the Stigma Scale, a coefficients for the discrimination (0.57), disclosure (0.80) and potential positive aspects subscales (0.62) are considered as good. Conclusion Our results suggest that the 9-item French short-version of the Stigma Scale is a useful, reliable and valid self-report questionnaire to assess perceived stigmatization in people suffering from mental illness. The time of completion is really short and questions are well understood and accepted by the patients.

La personnalité comme facteur prédictif des symptômes comportementaux et psychologiques chez les patients qui présentent des troubles cognitifs légers

Background and Aims: Both personality changes and behavioural and psychological symptoms (BPS) may be associated with mild cognitive impairment (MCI) in later life and help identify incipient dementia. We wished to investigate the links between personality and BPS in MCI. Method: We studied premorbid personality traits as estimated five years back and their changes in 83 control subjects and 52 MCI patients using the NEO-PI-R for the Five-Factor Model completed by a proxy. Information on BPS was obtained using the Neuropsychiatrie Inventory (NPI). Analyses were controlled for current depression and anxiety. Results: premorbid neuroticism and openness to experience were associated with the total NPI score. The changes in neuroticism, extraversion, openness to experiences, and conscientiousness were associated with apathy and affective symptoms. Conclusions: Personality changes and BPS occur in MCI. The occurrence of affective BPS and apathy is associated with both premorbid personality and their changes. - Cette thèse a eu pour objectif d'étudier l'impact des traits de la personnalité sur le développement de symptômes comportementaux et psychologiques (SCP) chez des personnes qui présentent de troubles cognitifs légers (Mild Cognitive Impairment ou MCI) par rapport à un groupe de sujets contrôle en bonne santé sans troubles cognitifs. Cette thèse s'est s'inserite dans une étude plus large regroupant des aspects neuropsychologiques, génétiques et des marqueurs structuraux cérébraux d'imagerie chez les mêmes participants. La découverte d'un MCI a un impact important en soulevant la question d'éventuels traitements préventifs et de modification du cours d'un trouble ou d'une maladie sous-jacente. Les manifestations cliniques, notamment les SCP, sont source de souffrance chez le patient et les proches et la première cause d'institutionnalisation. Connaître les liens entre la personnalité et les SCP chez les patients qui présentent un MCI s'avère primordial si l'on veut les détecter précocement et favoriser un traitement mieux adapté, tant pharmacologique que psychothérapeutique, pour tenter de freiner leur impact sur l'évolution de la maladie. Nous avons comparé 52 patients MCI avec 83 sujets contrôles. La personnalité au moment de l'étude et estimée rétrospectivement à cinq ans en arrière a été évalué par un proche à l'aide du NEO-PI-R, principal instrument basé sur le Five Factor Model. Pour évaluer la présence de SCP nous avons utilisé l'inventaire neuropsychiatrique (NPI-Q). Les analyses ont étés contrôlées en tenant compte des principales variables confondantes. Le groupe MCI présente des traits de personnalité prémorbide différents de ceux des participants contrôles avec des niveaux inférieurs d'ouverture à l'expérience, d'agréabilité et de conscience. Les changements de personnalité sont marqués chez les MCI avec une augmentation du névrosisme et une diminution de l'extraversion et de la conscience. La personnalité est restée stable chez le groupe contrôle. Le groupe MCI présente souvent des SCP, en particulier des symptômes affectifs (dépression, anxiété, irritabilité, troubles du sommeil) et de l'apathie tandis que les SCP sont presqu'inexistantes chez le groupe contrôle. Les valeurs de névrosisme plus élevés et l'ouverture à l'expérience plus basses sont associées à la présence de SCP. En plus, le changement de la personnalité, à savoir l'augmentation du névrosisme et la diminution de conscience sont associées à la présence de SCP, aux symptômes affectifs et à l'apathie. La diminution d'extraversion et d'ouverture à l'expérience sont associées à la présence de SCP, aux symptômes affectifs mais pas à l'apathie. Cette étude montre que la personnalité change déjà au stade de MCI et que l'apparition des SCP affectifs et de l'apathie est précoce. Certains profils prémorbides et changements de personnalité sont associés à la présence de SCP. L'évaluation de ces changements peut favoriser le diagnostic précoce des troubles cognitifs. Des études prospectives sur des patients MCI sont essentielles afin d'approfondir la compréhension des facteurs de risque liés à la personnalité sur le déclin cognitif et les SCP associés.