GERMAN WORKS COUNCILS AND THE ANATOMY OF WAGES

Using matched employer-employee data from the German LIAB for 2001, the authors found that German works councils are in general associated with higher earnings, even after accounting for establishment- and worker heterogeneity. Works Council wage premia exceed those of collective bargaining and are higher, in fact, where both institutions are present in the workplace. The authors also found evidence indicating that works councils benefit women relative to men and appear to favor foreign, east-German, and service-sector workers as well. Separate evidence from quantile regressions suggests that the conjunction of works council presence and collective bargaining is important to the narrowing process. In smaller plants even the presence of a works council markup depends on the coexistence of the works council entity With the machinery of collective bargaining.

DNA hypermethylation and DNA hypomethylation is present at different loci in chronic kidney disease

Genetic risk factors for chronic kidney disease (CKD) are being identified through international collaborations. By comparison, epigenetic risk factors for CKD have only recently been considered using population-based approaches. DNA methylation is a major epigenetic modification that is associated with complex diseases, so we investigated methylome-wide loci for association with CKD. A total of 485,577 unique features were evaluated in 255 individuals with CKD (cases) and 152 individuals without evidence of renal disease (controls). Following stringent quality control, raw data were quantile normalized and β values calculated to reflect the methylation status at each site. The difference in methylation status was evaluated between cases and controls with resultant P values adjusted for multiple testing. Genes with significantly increased and decreased levels of DNA methylation were considered for biological relevance by functional enrichment analysis using KEGG pathways in Partek Genomics Suite. Twenty-three genes, where more than one CpG per loci was identified with Padjusted < 10−8, demonstrated significant methylation changes associated with CKD and additional support for these associated loci was sought from published literature. Strong biological candidates for CKD that showed statistically significant differential methylation include CUX1, ELMO1, FKBP5, INHBA-AS1, PTPRN2, and PRKAG2 genes; several genes are differentially methylated in kidney tissue and RNA-seq supports a functional role for differential methylation in ELMO1 and PRKAG2 genes. This study reports the largest, most comprehensive, genome-wide quantitative evaluation of DNA methylation for association with CKD. Evidence confirming methylation sites influence development of CKD would stimulate research to identify epigenetic therapies that might be clinically useful for CKD.

Ecological impacts of invasive alien species along temperature gradients: testing the role of environmental matching

Invasive alien species (IAS) can cause substantive ecological impacts, and the role of temperature in mediating these impacts may become increasingly significant in a changing climate. Habitat conditions and physiological optima offer predictive information for IAS impacts in novel environments. Here, using meta-analysis and laboratory experiments, we tested the hypothesis that the impacts of IAS in the field are inversely correlated with the difference in their ambient and optimal temperatures. A meta-analysis of 29 studies of consumptive impacts of IAS in inland waters revealed that the impacts of fishes and crustaceans are higher at temperatures that more closely match their thermal growth optima. In particular, the maximum impact potential was constrained by increased differences between ambient and optimal temperatures, as indicated by the steeper slope of a quantile regression on the upper 25th percentile of impact data compared to that of a weighted linear regression on all data with measured variances. We complemented this study with an experimental analysis of the functional response - the relationship between predation rate and prey supply - of two invasive predators (freshwater mysid shrimp, Hemimysis anomala and Mysis diluviana) across relevant temperature gradients; both of these species have previously been found to exert strong community-level impacts that are corroborated by their functional responses to different prey items. The functional response experiments showed that maximum feeding rates of H. anomala and M. diluviana have distinct peaks near their respective thermal optima. Although variation in impacts may be caused by numerous abiotic or biotic habitat characteristics, both our analyses point to temperature as a key mediator of IAS impact levels in inland waters and suggest that IAS management should prioritize habitats in the invaded range that more closely match the thermal optima of targeted invaders.

Prediction of surface roughness during hard turning of AISI 4340 steel (69 HRC)

In this study, 39 sets of hard turning (HT) experimental trials were performed on a Mori-Seiki SL-25Y (4-axis) computer numerical controlled (CNC) lathe to study the effect of cutting parameters in influencing the machined surface roughness. In all the trials, AISI 4340 steel workpiece (hardened up to 69 HRC) was machined with a commercially available CBN insert (Warren Tooling Limited, UK) under dry conditions. The surface topography of the machined samples was examined by using a white light interferometer and a reconfirmation of measurement was done using a Form Talysurf. The machining outcome was used as an input to develop various regression models to predict the average machined surface roughness on this material. Three regression models - Multiple regression, Random Forest, and Quantile regression were applied to the experimental outcomes. To the best of the authors’ knowledge, this paper is the first to apply Random Forest or Quantile regression techniques to the machining domain. The performance of these models was compared to each other to ascertain how feed, depth of cut, and spindle speed affect surface roughness and finally to obtain a mathematical equation correlating these variables. It was concluded that the random forest regression model is a superior choice over multiple regression models for prediction of surface roughness during machining of AISI 4340 steel (69 HRC).

Still Unequal at Birth: Birth Weight, Socioeconomic Status and Outcomes at Age 9

The prevalence of low birth weight is an important aspect of public health which has been linked to increased risk of infant death, increased cost of care, and a range of later life outcomes. Using data from a new Irish cohort study, I document the relationship between birth weight and socio-economic status. The association of maternal education with birth weight does not appear to be due to the timing of birth or complications during pregnancy, even controlling for a wide range of background characteristics. However, results do suggest intergenerational persistence in the transmission of poor early life conditions. Birth weight predicts a number of outcomes at age 9, including test scores, hospital stays and health. An advantage of the data is that I am able to control for a number of typically unmeasured variables. I determine whether parental investments (as measured by the quality of interaction with the child, parenting style, or school quality) mediate the association between birth weight and later indicators. For test scores, there is evidence of non-linearity, and boys are more adversely affected than girls. I also consider whether there are heterogeneous effects by ability using quantile regression. These results are consistent with a literature which finds that there is a causal relationship between early life conditions and later outcomes.

Shared common variants in prostate cancer and blood lipids

BACKGROUND: Epidemiological and clinical studies suggest comorbidity between prostate cancer (PCA) and cardiovascular disease (CVD) risk factors. However, the relationship between these two phenotypes is still not well understood. Here we sought to identify shared genetic loci between PCA and CVD risk factors.

METHODS: We applied a genetic epidemiology method based on conjunction false discovery rate (FDR) that combines summary statistics from different genome-wide association studies (GWAS), and allows identification of genetic overlap between two phenotypes. We evaluated summary statistics from large, multi-centre GWA studies of PCA (n=50 000) and CVD risk factors (n=200 000) [triglycerides (TG), low-density lipoprotein (LDL) cholesterol and high-density lipoprotein (HDL) cholesterol, systolic blood pressure, body mass index, waist-hip ratio and type 2 diabetes (T2D)]. Enrichment of single nucleotide polymorphisms (SNPs) associated with PCA and CVD risk factors was assessed with conditional quantile-quantile plots and the Anderson-Darling test. Moreover, we pinpointed shared loci using conjunction FDR.

RESULTS: We found the strongest enrichment of P-values in PCA was conditional on LDL and conditional on TG. In contrast, we found only weak enrichment conditional on HDL or conditional on the other traits investigated. Conjunction FDR identified altogether 17 loci; 10 loci were associated with PCA and LDL, 3 loci were associated with PCA and TG and additionally 4 loci were associated with PCA, LDL and TG jointly (conjunction FDR <0.01). For T2D, we detected one locus adjacent to HNF1B.

CONCLUSIONS: We found polygenic overlap between PCA predisposition and blood lipids, in particular LDL and TG, and identified 17 pleiotropic gene loci between PCA and LDL, and PCA and TG, respectively. These findings provide novel pathobiological insights and may have implications for trials using targeting lipid-lowering agents in a prevention or cancer setting.

Acute Asthma Epidemics, Weather and Pollen in England, 1987-1994

Recent epidemics of acute asthma have caused speculation that, if their causes were known, early warnings might be feasible. In particular, some epidemics seemed to be associated with thunderstorms. We wondered what risk factors predicting epidemics could be identified. Daily asthma admissions counts during 1987-1994, for two age groups (0-14 yrs and > or = 15 yrs), were measured using the Hospital Episodes System (HES). Epidemics were defined as combinations of date, age group and English Regional Health Authority (RHA) with exceptionally high asthma admission counts compared to the predictions of a log-linear autoregression model. They were compared with control days 1 week before and afterwards, regarding seven meteorological variables and 5 day average pollen counts for four species. Fifty six asthma epidemics were identified. The mean density of sferics (lightning flashes), temperature and rainfall on epidemic days were greater than those on control days. High sferics densities were overrepresented in epidemics. Simultaneously high sferics and grass pollen further increased the probability of an epidemic, but only to 15% (95% confidence interval 2-45%). Two thirds of epidemics were not preceded by thunderstorms. Thunderstorms and high grass pollen levels precede asthma epidemics more often than expected by chance. However, most epidemics are not associated with thunderstorms or unusual weather conditions, and most thunderstorms, even following high grass pollen levels, do not precede epidemics. An early warning system based on the indicators examined here would, therefore, detect few epidemics and generate an unacceptably high rate of false alarms.

Volatility and VaR Forecasting in the Madrid Stock Exchange

This paper provides an empirical study to assess the forecasting performance of a wide range of models for predicting volatility and VaR in the Madrid Stock Exchange. The models performance was measured by using different loss functions and criteria. The results show that FIAPARCH processes capture and forecast more accurately the dynamics of IBEX-35 returns volatility. It is also observed that assuming a heavy-tailed distribution does not improve models ability for predicting volatility. However, when the aim is forecasting VaR, we find evidence of that the Student’s t FIAPARCH outperforms the models it nests the lower the target quantile.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate, we introduce the savings-investment rate differential (SID). Investigating each country through a vector autoregression (VAR) model, we observe extremely insignificant coefficient estimates of the historical SIDs upon the present FX rates. We also report similar findings through the panel VAR approach. We thus conclude that the historical SIDs are useless in forecasting the FX rate. Nonetheless, the coefficients of the past FX rates upon the current SIDs for both the country-specific and the panel VAR models are statistically significant. Therefore, we conclude that the historical FX rates can conversely predict the SID to some degree. Specifically, depreciation in the domestic currency would cause the increase in the SID.

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non-Gaussian multivariate Markov processes. In the context of a linear regression model with AR(1) errors, we show how these results can be used to simplify the distributional properties of the model by conditioning a subset of the data on the remaining observations. This transformation leads to a new model which has the form of a two-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and confidence sets for the mean and/or autoregressive parameters of the model. We also develop a test on the order of an autoregression. We show that a combination of subsample-based inferences can improve the performance of the procedure. An application to U.S. domestic investment data illustrates the method.

Short run and long run causality in time series: Inference

We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses considered are nonlinear, the proposed methods only require linear regression techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case of integrated processes, we propose extended regression methods that avoid nonstandard asymptotics. The methods are applied to a VAR model of the U.S. economy.

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number of lags or the number of equations is not small, we propose a general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In particular, we show that maximized Monte Carlo tests [Dufour (2002)] can provide provably exact tests for such models, whether they are stationary or integrated. Applications to order selection and causality testing are considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money, interest rates and prices, over the period 1965-1996.

Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

Labour, industries and the politics of immigration

Cette thèse par articles examine les causes et conséquences économiques des politiques d'immigration du point de vue des pays receveurs. Je soutiens que les politiques d'immigration affectent la composition industrielle, et que l'immigration non-qualifiée a ralenti le développement des secteurs haute-technologie dans les pays de l'OCDE au cours des dernières décennies. Néanmoins, les gouvernements élus ont des incitatifs à accroître les niveaux d'immigration et à admettre des immigrants non-qualifiés, afin de conserver l'appui du secteur privé, et de façon à éviter les réactions négatives qui résulteraient de l'affaiblissement des industries traditionnelles. Le premier article s'appuie sur un modèle de progrès technologique endogène et soutient que les activités de recherche des entreprises croissent avec l'offre relative en travail qualifié, et se contractent avec l'offre relative en travail non-qualifié. À l'aide de données panel sur les pays de l'OCDE entre 1971 et 2003, j'estime l'élasticité des dépenses en R&D par rapport à l'offre relative de facteurs au moyen d'un modèle OLS dynamique (DOLS). Les résultats sont conséquents avec les propositions théoriques, et je démontre que l'immigration non-qualifiée a ralenti l'intensité des investissements privés en R&D. Le deuxième article examine la réponse des gouvernements fédéraux canadiens au lobbying des entreprises sur l'enjeu de l'immigration, à l'aide de données trimestrielles entre 1996 et 2011. J'argue que les gouvernements ont des incitatifs électoraux à accroître les niveaux d'immigration malgré les préférences restrictives du public sur cet enjeu, afin de s'assurer de l'appui des groupes d'intérêt corporatifs. Je teste cet argument à l'aide d'un modèle vectoriel autorégressif. Un résultat clé est la réponse positive des influx de travailleurs temporaires à l'intensité du lobbying des entreprises. Le troisième article soutient que les gouvernements ont des incitatifs à gérer la sélection des immigrants de façon à préserver la composition industrielle régionale. Je teste cet argument avec des données panel sur les provinces canadiennes entre 2001 et 2010, et un devis de recherche basé sur l'approche des doubles moindres carrés (two-stage least squares). Les résultats tendent à appuyer l'argument principal : les provinces dont l'économie repose davantage sur des industries traditionnelles sont susceptibles de recevoir une plus grande proportion d'immigrants non-qualifiés, ce qui contribue à renforcer cette spécialisation.