Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Gastrointestinal stromal tumors: Arbutus unedo L. as a source of novel chemotherapeutics & mechanisms behind metastasis

Gastrointestinal stromal tumors (GIST) are mesenchymal neoplasms frequently caused by a gain of function mutation in KIT or PDGFRα, two tyrosine kinase receptors (TKR). For this reason, they are successfully treated with imatinib, a tyrosine kinase inhibitor (TKI). However, the therapy is typically long-term ineffective due to imatinib resistance, which represents the main issue in the clinic of GISTs. Although numerous efforts have been made in the last two decades to develop novel therapies for imatinib-resistant GISTs, the approvals of multi-target TKIs have only improved the clinical outcomes modestly. Emblematic is the recent failure of ripretinib in the phase III INTRIGUE trial, decisively marking the end of the paradigm only based on the central role of KIT secondary mutations in imatinib resistance, and the consequent seeking of multi-target TKIs as the solution. Consistent with this clinical result, preclinical studies have revealed numerous mechanisms of resistance that are not targetable with multi-target TKIs, indicating that imatinib resistance is more multifaceted than initially hypothesized and explaining the modest efficacy of these latter. In this scenario, the absence of drugs capable of long-term counteracting the rise of imatinib-resistant subclones unavoidably leads to progressive disease and metastasis. In particular, the onset of metastases remarkably impacts the median overall survival and determines the most GIST-related deaths. Therefore, new therapy proposals are needed. Here, we present two project lines investigating novel strategies to counteract imatinib-resistant GISTs.

Mechanisms Predisposing Penile Fracture And Long-term Outcomes On Erectile And Voiding Functions.

Purpose. To determine the mechanisms predisposing penile fracture as well as the rate of long-term penile deformity and erectile and voiding functions. Methods. All fractures were repaired on an emergency basis via subcoronal incision and absorbable suture with simultaneous repair of eventual urethral lesion. Patients' status before fracture and voiding and erectile functions at long term were assessed by periodic follow-up and phone call. Detailed history included cause, symptoms, and single-question self-report of erectile and voiding functions. Results. Among the 44 suspicious cases, 42 (95.4%) were confirmed, mean age was 34.5 years (range: 18-60), mean follow-up 59.3 months (range 9-155). Half presented the classical triad of audible crack, detumescence, and pain. Heterosexual intercourse was the most common cause (28 patients, 66.7%), followed by penile manipulation (6 patients, 14.3%), and homosexual intercourse (4 patients, 9.5%). Woman on top was the most common heterosexual position (n = 14, 50%), followed by doggy style (n = 8, 28.6%). Four patients (9.5%) maintained the cause unclear. Six (14.3%) patients had urethral injury and two (4.8%) had erectile dysfunction, treated by penile prosthesis and PDE-5i. No patient showed urethral fistula, voiding deterioration, penile nodule/curve or pain. Conclusions. Woman on top was the potentially riskiest sexual position (50%). Immediate surgical treatment warrants long-term very low morbidity.

Up-regulation Of Dnam-1 And Nkp30, Associated With Improvement Of Nk Cells Activation After Long-term Culture Of Mononuclear Cells From Patients With Ovarian Neoplasia.

This study aimed at evaluating the functional activation and activating receptors expression on resting, short- and long-term NK and NK-like T cells from blood of ovarian neoplasia patients. Blood from patients with adnexal benign alterations (n = 10) and ovarian cancer (grade I-IV n = 14) were collected after signed consent. Effector cells activation was evaluated by the expression of the CD107a molecule. Short-term culture was conducted overnight with IL-2 and long-term culture for 21 days, by a method designed to expand CD56(+) lymphocytes. Short-term culture significantly increased NK cells activation compared to resting NK cells (p<0.05), however, the long-term procedure supported an even higher increase (p<0.001). Resting NK-like T cells showed poor activation, which was not altered by the culture procedures. The long-term culture effectively increased the expression of the activating receptors on NK and NK-like T cells, either by increasing the number of cells expressing a given receptor and/or by up-regulating their expression intensity. As a conclusion, the long-term culture system employed, resulted in a high number of functional NK cells. The culture system was particularly efficient on the up-regulation of NKp30 and DNAM-1 receptors on NK cells.

Genetic Predictors Of Long-term Response To Growth Hormone (gh) Therapy In Children With Gh Deficiency And Turner Syndrome: The Influence Of A Socs2 Polymorphism.

There is great interindividual variability in the response to GH therapy. Ascertaining genetic factors can improve the accuracy of growth response predictions. Suppressor of cytokine signaling (SOCS)-2 is an intracellular negative regulator of GH receptor (GHR) signaling. The objective of the study was to assess the influence of a SOCS2 polymorphism (rs3782415) and its interactive effect with GHR exon 3 and -202 A/C IGFBP3 (rs2854744) polymorphisms on adult height of patients treated with recombinant human GH (rhGH). Genotypes were correlated with adult height data of 65 Turner syndrome (TS) and 47 GH deficiency (GHD) patients treated with rhGH, by multiple linear regressions. Generalized multifactor dimensionality reduction was used to evaluate gene-gene interactions. Baseline clinical data were indistinguishable among patients with different genotypes. Adult height SD scores of patients with at least one SOCS2 single-nucleotide polymorphism rs3782415-C were 0.7 higher than those homozygous for the T allele (P < .001). SOCS2 (P = .003), GHR-exon 3 (P= .016) and -202 A/C IGFBP3 (P = .013) polymorphisms, together with clinical factors accounted for 58% of the variability in adult height and 82% of the total height SD score gain. Patients harboring any two negative genotypes in these three different loci (homozygosity for SOCS2 T allele; the GHR exon 3 full-length allele and/or the -202C-IGFBP3 allele) were more likely to achieve an adult height at the lower quartile (odds ratio of 13.3; 95% confidence interval of 3.2-54.2, P = .0001). The SOCS2 polymorphism (rs3782415) has an influence on the adult height of children with TS and GHD after long-term rhGH therapy. Polymorphisms located in GHR, IGFBP3, and SOCS2 loci have an influence on the growth outcomes of TS and GHD patients treated with rhGH. The use of these genetic markers could identify among rhGH-treated patients those who are genetically predisposed to have less favorable outcomes.

Long-term Postoperative Atrophy Of Contralateral Hippocampus And Cognitive Function In Unilateral Refractory Mtle With Unilateral Hippocampal Sclerosis.

This study aimed to evaluate long-term atrophy in contralateral hippocampal volume after surgery for unilateral MTLE, as well as the cognitive outcome for patients submitted to either selective transsylvian amygdalohippocampectomy (SelAH) or anterior temporal lobe resection (ATL). We performed a longitudinal study of 47 patients with MRI signs of unilateral hippocampal sclerosis (23 patients with right-sided hippocampal sclerosis) who underwent surgical treatment for MTLE. They underwent preoperative/postoperative high-resolution MRI as well as neuropsychological assessment for memory and estimated IQ. To investigate possible changes in the contralateral hippocampus of patients, we included 28 controls who underwent two MRIs at long-term intervals. The volumetry using preoperative MRI showed significant hippocampal atrophy ipsilateral to the side of surgery when compared with controls (p<0.0001) but no differences in contralateral hippocampal volumes. The mean postoperative follow-up was 8.7 years (± 2.5 SD; median=8.0). Our patients were classified as Engel I (80%), Engel II (18.2%), and Engel III (1.8%). We observed a small but significant reduction in the contralateral hippocampus of patients but no volume changes in controls. Most of the patients presented small declines in both estimated IQ and memory, which were more pronounced in patients with left TLE and in those with persistent seizures. Different surgical approaches did not impose differences in seizure control or in cognitive outcome. We observed small declines in cognitive scores with most of these patients, which were worse in patients with left-sided resection and in those who continued to suffer from postoperative seizures. We also demonstrated that manual volumetry can reveal a reduction in volume in the contralateral hippocampus, although this change was mild and could not be detected by visual analysis. These new findings suggest that dynamic processes continue to act after the removal of the hippocampus, and further studies with larger groups may help in understanding the underlying mechanisms.

Caffeine As An Indicator Of Estrogenic Activity In Source Water.

Caffeine has already been used as an indicator of anthropogenic impacts, especially the ones related to the disposal of sewage in water bodies. In this work, the presence of caffeine has been correlated with the estrogenic activity of water samples measured using the BLYES assay. After testing 96 surface water samples, it was concluded that caffeine can be used to prioritize samples to be tested for estrogenic activity in water quality programs evaluating emerging contaminants with endocrine disruptor activity.

Neonatal Outcomes Of Late Preterm And Early Term Birth.

To compare neonatal deaths and complications in infants born at 34-36 weeks and six days (late preterm: LPT) with those born at term (37-41 weeks and six days); to compare deaths of early term (37-38 weeks) versus late term (39-41 weeks and six days) infants; to search for any temporal trend in LPT rate. A retrospective cohort study of live births was conducted in the Campinas State University, Brazil, from January 2004 to December 2010. Multiple pregnancies, malformations and congenital diseases were excluded. Control for confounders was performed. The level of significance was set at p<0.05. After exclusions, there were 17,988 births (1653 late preterm and 16,345 term infants). A higher mortality in LPT versus term was observed, with an adjusted odds ratio (OR) of 5.29 (p<0.0001). Most complications were significantly associated with LPT births. There was a significant increase in LPT rate throughout the study period, but no significant trend in the rate of medically indicated deliveries. A higher mortality was observed in early term versus late term infants, with adjusted OR: 2.43 (p=0.038). LPT and early term infants have a significantly higher risk of death.

Estimated Disability-adjusted Life Years Averted By Long-term Provision Of Long Acting Contraceptive Methods In A Brazilian Clinic.

What is the contribution of the provision, at no cost for users, of long acting reversible contraceptive methods (LARC; copper intrauterine device [IUD], the levonorgestrel-releasing intrauterine system [LNG-IUS], contraceptive implants and depot-medroxyprogesterone [DMPA] injection) towards the disability-adjusted life years (DALY) averted through a Brazilian university-based clinic established over 30 years ago. Over the last 10 years of evaluation, provision of LARC methods and DMPA by the clinic are estimated to have contributed to DALY averted by between 37 and 60 maternal deaths, 315-424 child mortalities, 634-853 combined maternal morbidity and mortality and child mortality, and 1056-1412 unsafe abortions averted. LARC methods are associated with a high contraceptive effectiveness when compared with contraceptive methods which need frequent attention; perhaps because LARC methods are independent of individual or couple compliance. However, in general previous studies have evaluated contraceptive methods during clinical studies over a short period of time, or not more than 10 years. Furthermore, information regarding the estimation of the DALY averted is scarce. We reviewed 50 004 medical charts from women who consulted for the first time looking for a contraceptive method over the period from 2 January 1980 through 31 December 2012. Women who consulted at the Department of Obstetrics and Gynaecology, University of Campinas, Brazil were new users and users switching contraceptive, including the copper IUD (n = 13 826), the LNG-IUS (n = 1525), implants (n = 277) and DMPA (n = 9387). Estimation of the DALY averted included maternal morbidity and mortality, child mortality and unsafe abortions averted. We obtained 29 416 contraceptive segments of use including 25 009 contraceptive segments of use from 20 821 new users or switchers to any LARC method or DMPA with at least 1 year of follow-up. The mean (± SD) age of the women at first consultation ranged from 25.3 ± 5.7 (range 12-47) years in the 1980s, to 31.9 ± 7.4 (range 16-50) years in 2010-2011. The most common contraceptive chosen at the first consultation was copper IUD (48.3, 74.5 and 64.7% in the 1980s, 1990s and 2000s, respectively). For an evaluation over 20 years, the cumulative pregnancy rates (SEM) were 0.4 (0.2), 2.8 (2.1), 4.0 (0.4) and 1.3 (0.4) for the LNG-IUS, the implants, copper IUD and DMPA, respectively and cumulative continuation rates (SEM) were 15.1 (3.7), 3.9 (1.4), 14.1 (0.6) and 7.3 (1.7) for the LNG-IUS, implants, copper IUD and DMPA, respectively (P < 0.001). Over the last 10 years of evaluation, the estimation of the contribution of the clinic through the provision of LARC methods and DMPA to DALY averted was 37-60 maternal deaths; between 315 and 424 child mortalities; combined maternal morbidity and mortality and child mortality of between 634 and 853, and 1056-1412 unsafe abortions averted. The main limitations are the number of women who never returned to the clinic (overall 14% among the four methods under evaluation); consequently the pregnancy rate could be different. Other limitations include the analysis of two kinds of copper IUD and two kinds of contraceptive implants as the same IUD or implant, and the low number of users of implants. In addition, the DALY calculation relies on a number of estimates, which may vary in different parts of the world. LARC methods and DMPA are highly effective and women who were well-counselled used these methods for a long time. The benefit of averting maternal morbidity and mortality, child mortality, and unsafe abortions is an example to health policy makers to implement more family planning programmes and to offer contraceptive methods, mainly LARC and DMPA, at no cost or at affordable cost for the underprivileged population. This study received partial financial support from the Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP), grant # 2012/12810-4 and from the National Research Council (CNPq), grant #573747/2008-3. B.F.B., M.P.G., and V.M.C. were fellows from the scientific initiation programme from FAPESP. Since the year 2001, all the TCu380A IUD were donated by Injeflex, São Paulo, Brazil, and from the year 2006 all the LNG-IUS were donated by the International Contraceptive Access Foundation (ICA), Turku, Finland. Both donations are as unrestricted grants. The authors declare that there are no conflicts of interest associated with this study.

Long-term Prospects For The Environmental Profile Of Advanced Sugar Cane Ethanol.

This work assessed the environmental impacts of the production and use of 1 MJ of hydrous ethanol (E100) in Brazil in prospective scenarios (2020-2030), considering the deployment of technologies currently under development and better agricultural practices. The life cycle assessment technique was employed using the CML method for the life cycle impact assessment and the Monte Carlo method for the uncertainty analysis. Abiotic depletion, global warming, human toxicity, ecotoxicity, photochemical oxidation, acidification, and eutrophication were the environmental impacts categories analyzed. Results indicate that the proposed improvements (especially no-til farming-scenarios s2 and s4) would lead to environmental benefits in prospective scenarios compared to the current ethanol production (scenario s0). Combined first and second generation ethanol production (scenarios s3 and s4) would require less agricultural land but would not perform better than the projected first generation ethanol, although the uncertainties are relatively high. The best use of 1 ha of sugar cane was also assessed, considering the displacement of the conventional products by ethanol and electricity. No-til practices combined with the production of first generation ethanol and electricity (scenario s2) would lead to the largest mitigation effects for global warming and abiotic depletion. For the remaining categories, emissions would not be mitigated with the utilization of the sugar cane products. However, this conclusion is sensitive to the displaced electricity sources.

Long-term Results Of Anderson-hynes Pyeloplasty In Children: How Long Follow-up Is Necessary?

Purpose After a successful pyeloplasty at 3 to 6 months, the question remains whether children need a long follow-up. Methods The medical charts of patients with long-term follow-up (> 5 years), who underwent dismembered pyeloplasty for uretero-pelvic junction obstruction (UPJO) from May 1998 to May 2007, excluding those with bilateral UPJO, solitary kidney, associated vesicoureteral reflux or other abnormalities, and inconclusive renogram due to poor renal function, were retrospectively reviewed. Ultrasonography, differential renal function (DRF, DMSA), and renal drainage on diuretic renography (diethylene-triamine-pentaacetate technetium-99 or DTPA-Tc99) were performed at 3 and 6 months every year. Results Complete data were available for 28 consecutive patients (28 renal unities) with 2 months to 12 years (mean age, 2.4 years) at surgery, of whom 21 (75%) were boys, 17 diagnosed prenatally (61%) and 18 unities (64.3%) were left, with median follow-up of 10.7 years. Images were graded according to the Society for Fetal Urology grading system: Grade III in 11 (49%) and grade IV in 17 (61%). All cases presented > 10% DRF (DMSA) and obstructed DTPA-Tc99. The T1/2 (the half-time of drainage) less than 20 minutes at 3 months was found in 21 cases (75%) and less than 25 minutes in 7 cases (25%). Renal function and patency were maintained during follow-up for all units with 8% maximum fluctuation of DRF. One index case (3.6%) of renal function deterioration presented DRF fluctuation > 8% at 3 months (from 23 to 32%) and progressive hydronephrosis and indeterminate DTPA at 6 months. Conclusions Satisfactory diuretic renogram at 3 to 6 months after pyeloplasty with maintained renal function and stable hydronephrosis suggests no need for further follow-up and indicates no functional loss with time. More than 8% DRF fluctuation might be a significant cutoff for further intervention aiming nephron preservation.

Long-term Spinal Ventral Root Reimplantation, But Not Bone Marrow Mononuclear Cell Treatment, Positively Influences Ultrastructural Synapse Recovery And Motor Axonal Regrowth.

We recently proposed a new surgical approach to treat ventral root avulsion, resulting in motoneuron protection. The present work combined such a surgical approach with bone marrow mononuclear cells (MC) therapy. Therefore, MC were added to the site of reimplantation. Female Lewis rats (seven weeks old) were subjected to unilateral ventral root avulsion (VRA) at L4, L5 and L6 levels and divided into the following groups (n = 5 for each group): Avulsion, sealant reimplanted roots and sealant reimplanted roots plus MC. After four weeks and 12 weeks post-surgery, the lumbar intumescences were processed by transmission electron microscopy, to analyze synaptic inputs to the repaired α motoneurons. Also, the ipsi and contralateral sciatic nerves were processed for axon counting and morphometry. The ultrastructural results indicated a significant preservation of inhibitory pre-synaptic boutons in the groups repaired with sealant alone and associated with MC therapy. Moreover, the average number of axons was higher in treated groups when compared to avulsion only. Complementary to the fiber counting, the morphometric analysis of axonal diameter and g ratio demonstrated that root reimplantation improved the motor component recovery. In conclusion, the data herein demonstrate that root reimplantation at the lesion site may be considered a therapeutic approach, following proximal lesions in the interface of central nervous system (CNS) and peripheral nervous system (PNS), and that MC therapy does not further improve the regenerative recovery, up to 12 weeks post lesion.

Onset Of Hypertension During Pregnancy Is Associated With Long-term Worse Blood Pressure Control And Adverse Cardiac Remodeling.

Up to 20% of women with hypertensive pregnancy disorders might persist with chronic hypertension. This study compared clinical and echocardiographic features between women whose hypertension began as hypertensive pregnancy disorders (PH group) and women whose diagnosis of hypertension did not occur during pregnancy (NPH group). Fifty PH and 100 NPH women were cross-sectionally evaluated by clinical, laboratory, and echocardiography analysis, and the groups were matched by duration of hypertension. PH exhibited lower age (46.6 ± 1.4 vs. 65.3 ± 1.1 years; P < .001), but higher systolic (159.8 ± 3.9 vs. 148.0 ± 2.5 mm Hg; P = .009) and diastolic (97.1 ± 2.4 vs. 80.9 ± 1.3 mm Hg; P < .001) blood pressure than NPH, although used more antihypertensive classes (3.4 ± 0.2 vs. 2.6 ± 0.1; P < .001). Furthermore, PH showed higher left ventricular wall thickness and increased prevalence of concentric hypertrophy than NPH after adjusting for age and blood pressure. In conclusion, this study showed that PH may exhibit worse blood pressure control and adverse left ventricular remodeling compared with NPH.

Long-term Follow-up Of Patients With 46,xy Partial Gonadal Dysgenesis Reared As Males.

Background/Aims. Studies on 46,XY partial gonadal dysgenesis (PGD) have focused on molecular, gonadal, genital, and hormone features; little is known about follow-up. Our aim was to analyze long-term outcomes of PGD. Methods. Retrospective longitudinal study conducted at a reference service in Brazil. Ten patients were first evaluated in the 1990s and followed up until the 2010s; follow-up ranged from 13.5 to 19.7 years. All were reared as males and had at least one scrotal testis; two bore NR5A1 mutations. Main outcomes were: associated conditions, pubertal development, and growth. Results. All patients had normal motor development but three presented cognitive impairment; five had various associated conditions. At the end of the prepubertal period, FSH was high or high-normal in 3/6 patients; LH was normal in all. At the last evaluation, FSH was high or high-normal in 8/10; LH was high or high-normal in 5/10; testosterone was decreased in one. Final height in nine cases ranged from -1.57 to 0.80 SDS. All had spontaneous puberty; only one needed androgen therapy. Conclusions. There is good prognosis for growth and spontaneous pubertal development but not for fertility. Though additional studies are required, screening for learning disabilities is advisable.