De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Mercados laborales en entornos de conflictos armados: un análisis empírico para Colombia

Históricamente se ha reconocido que los conflictos internos afectan de manera directa variables a nivel individual como la salud de las personas, los niveles de escolaridad y el desplazamiento forzoso de los afectados. Sin embargo, solo hasta la última década las investigaciones académicas se han inclinado en documentar y cuantificar rigurosamente los efectos colaterales de la violencia sobre las condiciones de vida de los individuos. La presente investigación estudia cómo la exposición al conflicto en Colombia ha afectado las decisiones en términos de mercado laboral de las personas. La estrategia de identificación internaliza los reconocidos problemas de endogeneidad del conflicto con variables de actividad y desarrollo económico y presenta resultados robustos a fenómenos de migración interna y desplazamiento. En términos de participación laboral y desempleo, se encuentran efectos heterogéneos a nivel de género como respuestas a la violencia experimentada. En particular, la probabilidad de participación laboral de las mujeres se incremente como consecuencia de la exposición al conflicto, mientras que la de desempleo disminuye. Para los hombres, los resultados muestran una menor probabilidad de participación, efecto contrario al de las mujeres, y un efecto análogo en términos de desempleo. La investigación no encuentra efectos diferenciales en términos de informalidad laboral.

Essays on Spatial Econometrics

Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.

Forecasting with serially correlated regression models

In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.

Repeated disturbances and canopy disturbance regime in a tropical semi-deciduous forest

The canopy disturbance regime and the influence of gap methods on the interpretation of forest structure and dynamics were evaluated in a tropical semi-deciduous forest in south-eastern Brazil. We encountered a gap density of 11.2 gaps ha(-1) and an average size which varied from 121 to 333 m(2) depending on the gap delimitation method considered (minimum gap size was 10 m(2)). Although average size was slightly higher, the median value obtained (78 m(2)) was comparable to other tropical forest sites and the gap size-class distribution found supported the pattern described for such forest sites. Among 297 gap makers, snapping and uprooting were the most common modes of disturbance. The number and basal area of gap makers were good predictors of gap size. Almost 25% of all gaps suffered from repeated disturbance events that brought about larger gap sizes. Such processes, along with delimitation methods, strongly influenced the estimation of turnover rate and therefore the interpretation of forest dynamics. These results demonstrated the importance of further studies on repeated disturbances, which is often neglected in forest studies.

Characterization of fungal soil communities by F-RISA and arbuscular mycorrhizal fungi from Araucaria angustifolia forest soils after replanting and wildfire disturbances

The Fungal Ribosomal Intergenic Spacer Analysis (F-RISA) was used to characterize soil fungal communities from three ecosystems of Araucaria angustifolia from Brazil: a native forest and two replanted forest ecosystems, one of them with a past history of wildfire. The arbuscular mycorrhizal fungi (AMF) infection was evaluated in Araucaria roots of 18-month-old axenic plants previously inoculated with soils collected from those areas in a greenhouse experiment. The principal component analysis of F-RISA profiles showed different soil fungal community between the three studied areas. Sixty three percent of F-RISA fragments amplified in the soil and the substrate samples presented lengths between 500 and 700 bp. The number of Operational Taxonomic Units (OTUs) was 34 for soil and 38 for substrate, however, more fragments were detected in soil (214) than in substrate (163). An in silico F-RISA analysis to compare our data with ITS1-5.8S-ITS2 sequences from NCBI database showed the presence of Ascomycota, Basidiomycota and Glomeromycota among the soil and substrate fungal communities. AMF infection was higher in plants inoculated with soil from the native forest and the replanted forest with wildfire, both presenting similar chemical characteristics but with different disturbance levels. These results indicate that soil chemical composition may influence the soil fungal community structures rather than the anthropogenic or fire disturbances.

The Bone Histology Spectrum in Experimental Renal Failure: Adverse Effects of Phosphate and Parathyroid Hormone Disturbances

Bone disease is a common disorder of bone remodeling and mineral metabolism, which affects patients with chronic kidney disease. Minor changes in the serum level of a given mineral can trigger compensatory mechanisms, making it difficult to evaluate the role of mineral disturbances in isolation. The objective of this study was to determine the isolated effects that phosphate and parathyroid hormone (PTH) have on bone tissue in rats. Male Wistar rats were subjected to parathyroidectomy and 5/6 nephrectomy or were sham-operated. Rats were fed diets in which the phosphate content was low, normal, or high. Some rats received infusion of PTH at a physiological rate, some received infusion of PTH at a supraphysiological rate, and some received infusion of vehicle only. All nephrectomized rats developed moderate renal failure. High phosphate intake decreased bone volume, and this effect was more pronounced in animals with dietary phosphate overload that received PTH infusion at a physiological rate. Phosphate overload induced hyperphosphatemia, hypocalcemia, and changes in bone microarchitecture. PTH at a supraphysiological rate minimized the phosphate-induced osteopenia. These data indicate that the management of uremia requires proper control of dietary phosphate, together with PTH adjustment, in order to ensure adequate bone remodeling.

Time course of haemodynamic, respiratory and inflammatory disturbances induced by experimental acute pulmonary polystyrene microembolism

Background and objective The time course of cardiopulmonary alterations after pulmonary embolism has not been clearly demonstrated and nor has the role of systemic inflammation on the pathogenesis of the disease. This study aimed to evaluate over 12 h the effects of pulmonary embolism caused by polystyrene microspheres on the haemodynamics, lung mechanics and gas exchange and on interleukin-6 production. Methods Ten large white pigs (weight 35-42 kg) had arterial and pulmonary catheters inserted and pulmonary embolism was induced in five pigs by injection of polystyrene microspheres (diameter similar to 300 mu mol l(-1)) until a value of pulmonary mean arterial pressure of twice the baseline was obtained. Five other animals received only saline. Haemodynamic and respiratory data and pressure-volume curves of the respiratory system were collected. A bronchoscopy was performed before and 12 h after embolism, when the animals were euthanized. Results The embolism group developed hypoxaemia that was not corrected with high oxygen fractions, as well as higher values of dead space, airway resistance and lower respiratory compliance levels. Acute haemodynamic alterations included pulmonary arterial hypertension with preserved systemic arterial pressure and cardiac index. These derangements persisted until the end of the experiments. The plasma interleukin-6 concentrations were similar in both groups; however, an increase in core temperature and a nonsignificant higher concentration of bronchoalveolar lavage proteins were found in the embolism group. Conclusion Acute pulmonary embolism induced by polystyrene microspheres in pigs produces a 12-h lasting hypoxaemia and a high dead space associated with high airway resistance and low compliance. There were no plasma systemic markers of inflammation, but a higher central temperature and a trend towards higher bronchoalveolar lavage proteins were found. Eur J Anaesthesiol 27:67-76 (C) 2010 European Society of Anaesthesiology.

Behavioral disturbances in Noonan Syndrome: Brazilian preliminary data

Different from other countries Of Europe and North American, studies about the behavioral profile of Noonan syndrome`s patients are inexistent. The objective of this study was to report the profiles of behavioral functions of 10 participants (4 females and 6 males), with mutations in the PTPN11 gene. For this assessment it was used the Inventory of Behaviors of Children and Adolescents from 6 to 18 years (CBCL/6-18) and the Inventory of Auto-Evaluation for Adults from 18 to 59 years (ASR). The main results point that in Adaptive Functioning Scale all the participants were in the normality range. In the Syndrome Scale the adult participants were in normality range and the children were in clinical range to the sub-scales anxious/depressed, somatic complaints and aggressive behavior. In the DSM-Oriented Scale, 25% of the adult patients were in the borderline clinical range and clinical range, respectively, for Avoidant Personality Problems and Antisocial Personality Problems. About the both children in this scale were in the clinical range of Affective Problems and Anxiety Problems. This relatively homogenous sample, regarding the PTPN11 gene, shows a normal adult behavioral profile, on the average. However, the individual children anti adult profiles show diverse internalizing and externalizing behavioral disturbances.

Disturbances in microbiota - cause or effect?

IBD are a group of complex polygenetic diseases also involving environmental factors. Evidence for a role for bacteria in IBD include an increased abundance of mucosa-associated bacteria in IBD (which occurs even where there is no intestinal inflammation), and the positive impact of antibiotics on the progress of both Crohn's disease (CD) and ulcerative colitis (UC) of the pouch - pouchitis. Bacteria are necessary for most animal models of IBD. The increased abundance of mucosal bacteria in IBD is not non-specific because while some mucosal bacteria are more abundant this is not the case for all mucosal bacteria including the very abundant Bacteroides vulgatus. On the other hand, antibiotic treatments are not curative, and the humoral immune Ig response to bacterial antigens which is more evident in CD, appears to be polyclonal. While this argues against a role for specific bacteria causing a classical infection, certain mucosal bacteria may damage the mucosal barrier. This would promote invasion by other commensal mucosal bacteria triggering an immune response. Altered adaptive, and to a lesser extent, innate immunity have been extensively studied, and genetic defects in the CARD15 (or NOD2) gene that encodes a bacterial sensing protein modulating innate and adaptive immunity are strongly associated with ileal CD. However, the penetrance of the homozygous CARD15 frameshift mutation, which is the most strongly CD-associated genotype, is very low with only 4% of humans with this developing CD. Furthermore, mice with the same defects in CARD15 do not develop spontaneous ileitis or colitis. Therefore, there have to be other aetiological factor(s). Altered permeability is a consistent finding in subclinical CD. There are other data to suggest that altered mucin is an early event in UC. We propose that the pathogenesis of IBD is multifactorial involving specific mucosal bacteria, defective barrier function and altered mucosal immunity in an aetiology triangle.

Transient analysis of variable-speed wind turbines at wind speed disturbances and a pitch control malfunction

As wind power generation undergoes rapid growth, new technical challenges emerge: dynamic stability and power quality. The influence of wind speed disturbances and a pitch control malfunction on the quality of the energy injected into the electric grid is studied for variable-speed wind turbines with different power-electronic converter topologies. Additionally, a new control strategy is proposed for the variable-speed operation of wind turbines with permanent magnet synchronous generators. The performance of disturbance attenuation and system robustness is ascertained. Simulation results are presented and conclusions are duly drawn. (C) 2010 Elsevier Ltd. All rights reserved.