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.

Queueing Theory And Other Applications Of Stochastic Processes Queueing And Inventory Models With Rest Periods

In this thesis we study the effect of rest periods in queueing systems without exhaustive service and inventory systems with rest to the server. Most of the works in the vacation models deal with exhaustive service. Recently some results have appeared for the systems without exhaustive service.

DNA cleavage and antitumour activity of platinum(II) and copper(II) compounds derived from 4-methyl-2-N-(2-pyridylmethyl)aminophenol: spectroscopic, electrochemical and biological investigation

The reaction of the redox-active ligand, Hpyramol (4-methyl-2-N-(2-pyridylmethyl)aminophenol) with K2PtCl4 yields monofunctional square-planar [Pt(pyrimol)Cl], PtL-Cl, which was structurally characterised by single-crystal X-ray diffraction and NMR spectroscopy. This compound unexpectedly cleaves supercoiled double-stranded DNA stoichiometrically and oxidatively, in a non-specific manner without any external reductant added, under physiological conditions. Spectro-electrochemical investigations of PtL-Cl were carried out in comparison with the analogue CuL-Cl as a reference compound. The results support a phenolate oxidation, generating a phenoxyl radical responsible for the ligand-based DNA cleavage property of the title compounds. Time-dependent in vitro cytotoxicity assays were performed with both PtL-Cl and CuL-Cl in various cancer cell lines. The compound CuL-Cl overcomes cisplatin-resistance in ovarian carcinoma and mouse leukaemia cell lines, with additional activity in some other cells. The platinum analogue, PtL-Cl also inhibits cell-proliferation selectively. Additionally, cellular-uptake studies performed for both compounds in ovarian carcinoma cell lines showed that significant amounts of Pt and Cu were accumulated in the A2780 and A2780R cancer cells. The conformational and structural changes induced by PtL-Cl and CuL-Cl on calf thymus DNA and phi X174 supercoiled phage DNA at ambient conditions were followed by electrophoretic mobility assay and circular dichroism spectroscopy. The compounds induce extensive DNA degradation and unwinding, along with formation of a monoadduct at the DNA minor groove. Thus, hybrid effects of metal-centre variation, multiple DNA-binding modes and ligand-based redox activity towards cancer cell-growth inhibition have been demonstrated. Finally, reactions of PtL-Cl with DNA model bases (9-Ethylguanine and 5'-GMP) followed by NMR and MS showed slow binding at Guanine-N7 and for the double stranded self complimentary oligonucleotide d(GTCGAC)(2) in the minor groove.

Sources of alpha and beta in property funds

This paper examines issues related to potential analytical performance systems for global property funds. These will include traditional attribution methods but will also cover the performance concepts of alpha and beta widely used in other asset classes. We look at issues including...what creates beta, and what drives alpha in real estate investment? How can it be measured and isolated? How do these concepts relate to traditional attribution systems? Can performance records and performance fees adequately distinguish between these drivers? In this paper we illustrate these issues by reference to a case study addressing the complete performance record of a single unlisted fund.

Doses and sources of nitrogen fertilizer and their effects on soil chemical properties and forage yield of Brachiaria brizantha cv. Xaraes

Forage plants, particularly the Brachiaria genus, are the main source of nutrients for cattle and are at times the only feed offered. The concentration of elements in the plant is related to the soil, fertilization, climate, season, variety, and cultural practices. An experiment on dystrophic Red-Yellow Latosol soil in Aracatuba, São Paulo was performed to evaluate the effects of the doses and sources of nitrogen fertilizers on the chemical properties of the soil and the dry matter yield of the grass Brachiaria brizantha cv. Xaraes. A randomized block design was employed involving three replicates in a 3 x 3 factorial, with three doses (100, 200 and 400 kg ha(-1) year(-1)) and three sources (Ajifer (R) L40, ammonium sulfate and urea) of nitrogen and a control treatment without nitrogen (zero). The greatest effects on the chemical properties of the soil as a function of nitrogen fertilization in the Xaraes grass were observed in the topsoil. The use of Ajifer (R) L40 and ammonium sulfate as sources of nitrogen had similar effects, with an increase in the sulfur content and a reduction in the soil pH at the superficial layer. The use of the fertilizers Ajifer (R) L40, ammonium sulfate and urea did not affect the micronutrient contents, except for Fe and Mn, and did not alter the sodium concentration or electrical conductivity of the soil. The dry matter yield of Xaraes grass was similar for all three nitrogen sources.

Chemical and biological properties of phosphorus-fertilized soil under legume and grass cover (Cerrado region, Brazil)

The use of cover crops has been suggested as an effective method to maintain and/or increase the organic matter content, while maintaining and/or enhancing the soil physical, chemical and biological properties. The fertility of Cerrado soils is low and, consequently, phosphorus levels as well. Phosphorus is required at every metabolic stage of the plant, as it plays a role in the processes of protein and energy synthesis and influences the photosynthetic process. This study evaluated the influence of cover crops and phosphorus rates on soil chemical and biological properties after two consecutive years of common bean. The study analyzed an Oxisol in Selvíria (Mato Grosso do Sul, Brazil), in a randomized block, split plot design, in a total of 24 treatments with three replications. The plot treatments consisted of cover crops (millet, pigeon pea, crotalaria, velvet bean, millet + pigeon pea, millet + crotalaria, and millet + velvet bean) and one plot was left fallow. The subplots were represented by phosphorus rates applied as monoammonium phosphate (0, 60 and 90 kg ha-1 P2O5). In August 2011, the soil chemical properties were evaluated (pH, organic matter, phosphorus, potential acidity, cation exchange capacity, and base saturation) as well as biological variables (carbon of released CO2, microbial carbon, metabolic quotient and microbial quotient). After two years of cover crops in rotation with common bean, the cover crop biomass had not altered the soil chemical properties and barely influenced the microbial activity. The biomass production of millet and crotalaria (monoculture or intercropped) was highest. The biological variables were sensitive and responded to increasing phosphorus rates with increases in microbial carbon and reduction of the metabolic quotient.

Chains of Infinite Order, Chains with Memory of Variable Length, and Maps of the Interval

We show how to construct a topological Markov map of the interval whose invariant probability measure is the stationary law of a given stochastic chain of infinite order. In particular we characterize the maps corresponding to stochastic chains with memory of variable length. The problem treated here is the converse of the classical construction of the Gibbs formalism for Markov expanding maps of the interval.

Allegations of improper lobbying by Department of Defense personnel of the C-5B and B-1B aircraft and sale to Saudi Arabia of the airborne warning and control system : report together with separate views of the Investigations Subcommittee of the Committee on Armed Services, House of Representatives, Ninety-seventh Congress, second session, December 30, 1982.

Mode of access: Internet.

Causes of variability in light absorption by particles in snow at sites in Idaho and Utah.

This file accompanies “NAmer2014SnowBC_Dohertyetal_v1.xlsx”, which contains data on black carbon (BC) and other light-absorbing particles in snow in Utah and Idaho, for samples collected January-March 2014 in Jan/Feb 2013 and 2014 in Utah. Data are available as an Excel file with headers, or as a comma-separated data file, with no headers. There is one entry per layer of snow sampled. All entries (other than column titles in the .xlsx) are numeric. Detailed information on our measurements can be found in a series of publications, as given below.  Description of the instrument and method used to make the measurements: Grenfell, T. C., S. J. Doherty, A. D. Clarke, and S. G. Warren, Spectrophotometric determination of absorptive impurities in snow, Appl. Opt., 50(14), pp.2037-2048, 2011.  Summary and discussion of dataset “NAmer2014SnowBC_Dohertyetal.xlsx”, including maps of sample locations: Doherty, S. J., D. A. Hegg, P. K. Quinn, J. E. Johnson, J. P. Schwarz, C. Dang and S. G. Warren, Causes of variability in light absorption by particles in snow at sites in Idaho and Utah, J. Geophys. Res. Atmos., 121, doi:10.1002/2015JD024375, 2016. Note that the measurement and analysis techniques used to produce these data were also used in a broad Arctic survey (2006-2010) of BC and other light-absorbing particles snow, as reported here: Doherty, S. J., S. G. Warren, T. C. Grenfell, A. D. Clarke, and R. E. Brandt: Light-absorbing impurities in Arctic snow, Atmos. Chem. Phys., 10, 11647-11680, doi:10.5194/acp-10-11647-2010, 2010. http://www.atmos-chem-phys.net/10/11647/2010/acp-10-11647-2010.html

Biological monitoring and Biological Limit Values (BLV): The strategy of the European Union

Occupational standards concerning allowable concentrations of chemical compounds in the ambient air of workplaces have been established in several countries worldwide. With the integration of the European Union (EU), there has been a need of establishing harmonised Occupational Exposure Limits (OEL). The European Commission Directive 95/320/EC of 12 July 1995 has given the tasks to a Scientific Committee for Occupational Exposure Limits (SCOEL) to propose, based on scientific data and where appropriate, occupational limit values which may include the 8-h time-weighted average (TWA), short-term limits/excursion limits (STEL) and Biological Limit Values (BLVs). In 2000, the European Union issued a list of 62 chemical substances with Occupational Exposure Limits. Of these, 25 substances received a skin notation, indicating that toxicologically significant amounts may be taken up via the skin. For such substances, monitoring of concentrations in ambient air may not be sufficient, and biological monitoring strategies appear of potential importance in the medical surveillance of exposed workers. Recent progress has been made with respect to formulation of a strategy related to health-based BLVs. (c) 2005 Elsevier Ireland Ltd. All rights reserved.

Szimulációk és érzékenységvizsgálatok a magyar gazdaság egy középméretű makromodelljével = Simulations and sensitivity analyses with a medium-sized macro model of the Hungarian economy

A tanulmányban a Pénzügyminisztérium gazdaságpolitikai főosztálya és az MTA Közgazdaságtudományi Intézete által kifejlesztett középméretű negyedéves makrogazdasági modell segítségével elemezzük a magyar gazdaság legfontosabb mechanizmusait. A modellezés során követett alapelvek és a modell blokkjainak bemutatása után egy forgatókönyv-elemzés keretében vizsgáljuk a makrogazdasági és költségvetési folyamatokat befolyásoló főbb faktorok hatásait. A - tágan értelmezett - "bizonytalansági tényezőket" három csoportba soroljuk: megkülönböztetjük a külső környezet (például árfolyam) változását, a gazdasági szereplők viselkedésében rejlő bizonytalanságokat (például a bérigazodás sebességének vagy a fogyasztássimítás mértékének bizonytalanságát), valamint a gazdaságpolitikai lépéseket (például állami bérek emelését). Megmutatjuk, hogy e kockázatok makrokövetkezményei nem függetlenek egymástól, például egy árfolyamváltozás hatását befolyásolja a bérigazodás sebessége. ______ This paper analyses the most important mechanisms of the Hungarian economy using a medium-sized quarterly macroeconomic model developed jointly by the Economic Policy Department of the Ministry of Finance and the Institute of Economics of the Hungarian Academy of Sciences. After introducing the fundamental principles of modelling and the building blocks of the model investigated, within a scenario analysis, the authors present the effects of the main factors behind the macroeconomic and budgetary processes. The sources of uncertainty - defined in a broad sense - are categorized in three groups: change in the external environment (e.g. the exchange rate), uncertainties in the behav-iour of economic agents (e.g. in speed of wage adjustment or extent of consumption smoothing), and economic policy decisions (e.g. the increase in public sector wages). The macroeconomic consequences of these uncertainties are shown not to be independent of each other. For instance, the effects of an exchange rate shock are influenced by the speed of wage adjustment.

Nitrate in soil solution with use of plant cocktails as green manure in diferent tillage systems in the brazilian semi-arid

Tillage systems strongly affect nutrient transformations and plant availability. The objective of this study was to assess the nitrate dynamic in soil solution in different tillage systems with use of plant cocktail as green manure in fertilized melon (Cucumis melon) in Brazilian semi-arid. The treatments were arranged in four blocks in a split-plot design and included three types of cover crops and two tillage systems, conventional tillage (CT) and no-till (NT). The data showed no strong effect of plant cocktails composition on NO3-N dynamic in the soil. Mean concentration of NO3-N ranged from 19.45 mg L-1 at 15 cm to 60.16 mg L-1 at 50 cm soil depth, indicating high leachability. No significant differences were observed between NT and CT treatments for 15 cm depth. The high soil moisture content at ~ 30 cm depth concentrated high NO3-N in all treatments, mean of 54.27 mg L-1 to NT and 54.62 mg L-1 to CT. The highest NO3-N concentration was observed at 50 cm depth in TC (60.16 mg L-1). High concentration of NO3-N in CT may be attributed to increase in decomposition of soil organic matter and crop residues incorporated into the soil.

[the Use Of Fish On Buccal Smear To Investigate Mosaicism With A 45,x Cell Line: Study On Healthy Men And Patients With Disorders Of Sex Development].

To verify whether fluorescence in situ hybridization (FISH) of cells from the buccal epithelium could be employed to detect cryptomosaicism with a 45,X lineage in 46,XY patients. Samples of nineteen 46,XY healthy young men and five patients with disorders of sex development (DSD), four 45,X/46,XY and one 46,XY were used. FISH analysis with X and Y specific probes on interphase nuclei from blood lymphocytes and buccal epithelium were analyzed to investigate the proportion of nuclei containing only the signal of the X chromosome. The frequency of nuclei containing only the X signal in the two tissues of healthy men did not differ (p = 0.69). In all patients with DSD this frequency was significantly higher, and there was no difference between the two tissues (p = 0.38), either. Investigation of mosaicism with a 45,X cell line in patients with 46,XY DSD or sterility can be done by FISH directly using cells from the buccal epithelium.

PKC beta II inhibition attenuates myocardial infarction induced heart failure and is associated with a reduction of fibrosis and pro-inflammatory responses

Protein kinase C beta II (PKC beta II) levels increase in the myocardium of patients with end-stage heart failure (HF). Also targeted overexpression of PKC beta II in the myocardium of mice leads to dilated cardiomyopathy associated with inflammation, fibrosis and myocardial dysfunction. These reports suggest a deleterious role of PKC beta II in HF development. Using a post-myocardial infarction (MI) model of HF in rats, we determined the benefit of chronic inhibition of PKC beta II on the progression of HF over a period of 6 weeks after the onset of symptoms and the cellular basis for these effects. Four weeks after MI, rats with HF signs that were treated for 6 weeks with the PKC beta II selective inhibitor (beta IIV5-3 conjugated to TAT(47-57) carrier peptide) (3 mg/kg/day) showed improved fractional shortening (from 21% to 35%) compared to control (TAT(47-57) carrier peptide alone). Formalin-fixed mid-ventricle tissue sections stained with picrosirius red, haematoxylin and eosin and toluidine blue dyes exhibited a 150% decrease in collagen deposition, a two-fold decrease in inflammation and a 30% reduction in mast cell degranulation, respectively, in rat hearts treated with the selective PKC beta II inhibitor. Further, a 90% decrease in active TGF beta 1 and a significant reduction in SMAD2/3 phosphorylation indicated that the selective inhibition of PKC beta II attenuates cardiac remodelling mediated by the TGF-SMAD signalling pathway. Therefore, sustained selective inhibition of PKC beta II in a post-MI HF rat model improves cardiac function and is associated with inhibition of pathological myocardial remodelling.

Communication and health beliefs - Mass and interpersonal influences on perceptions of risk to self and others

This study investigated the impact of media coverage of a health issue (skin cancer) on judgements of risk to self and others and the role of related communication processes. Consistent with predictions derived from the impersonal impact hypothesis, the effects of mass communication were more evident in perceptions of risk to others rather than in perceptions of personal risk. Perceptions of personal risk were more strongly correlated with interpersonal communication. However, as suggested by media system dependency theory, the relationship between mass communication and beliefs was complex. The impact of mass communication on both personal and impersonal perceptions was bound to be moderated by self-reported dependence on mass mediated information. The effect of this two-way interaction 071 perceptions of personal risk was partially mediated through interpersonal communication. Results point to the interdependence of mass and interpersonal communication as sources of social influence and the role of media dependency in shaping media impact.