Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has four regimes. Only three of them are statistically different. The first starts at the beginning of the sample and goes until September of 1997. The second starts at October of 1997 until December of 1998. The third starts at January of 1999 and goes until the end of the sample. It is used monthly data. Models that allows for some similarities across the regimes are also estimated and tested. The models are estimated using the Generalized Reduced-Rank Regressions developed by Hansen (2003). All imposed restrictions can be tested using likelihood ratio test with standard asymptotic 1 qui-squared distribution. The results of the paper show evidence in favor of the long run implications of the expectation hypothesis for Brazil.

Stochastic growth and monetary policy: the impacts on the term structure of interest rates

This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible to the intervention of the monetary authority following a policy rule. The model predicts several patterns of the term structure which are in accordance to observed empirical facts: (i) pro-cyclical pattern of the level of nominal interest rates; (ii) countercyclical pattern of the term spread; (iii) pro-cyclical pattern of the curvature of the yield curve; (iv) lower predictability of the slope of the middle of the term structure; and (v) negative correlation of changes in real rates and expected inflation at short horizons.

PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries

This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations will be tested: Purchasing Power Parity (PPP), Uncovered Interest Rate Parity (UIP) and the Fisher Parity condition. The second model follows the line of though of Imperfect Knowledge Economics (IKE) where two equilibrium relations will be tested. According to IKE, even under the assumption that agents are rational, the presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are obtained for Chile.

Previsibilidade de retorno das ações no mercado brasileiro, através da aplicação de modelo de valor presente com retornos esperados constantes num contexto de expectativas racionais

Através de dados financeiros de ações negociadas na Bolsa de Valores de São Paulo, testa-se a validade do modelo de valor presente (MVP) com retornos esperados constantes ao longo do tempo (Campbell & Schiller, 1987). Esse modelo relaciona o preço de uma ação ao seu esperado fluxo de dividendos trazido a valor presente a uma taxa de desconto constante ao longo do tempo. Por trás desse modelo está a hipótese de expectativas racionais, bem como a hipótese de previsibilidade de preço futuro do ativo, através da inserção dos dividendos esperados no período seguinte. Nesse trabalho é realizada uma análise multivariada num arcabouço de séries temporais, utilizando a técnica de Auto-Regressões Vetoriais. Os resultados empíricos apresentados, embora inconclusivos, permitem apenas admitir que não é possível rejeitar completamente a hipótese de expectativas racionais para os ativos brasileiros.

Essays in Macroecometrics: methodological aspects and empirical applications

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of individuals of the panel is small relatively to the number of time series observations. I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries. In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time. I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets. The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Failure or Voluntary Exit? Reassessing the Female Underperformance Hypothesis

We reevaluate the female underperformance hypothesis by challenging the assumption that female-owned ventures are more likely to fail. Instead of equating exit with failure, we draw on exit literature and feminist theories to argue that female entrepreneurs are actually more likely than males to exit voluntarily. We argue for further gender differences by using an even more fine-grained conceptualization of entrepreneurial exit (failure, exit for personal reasons, and exit for other professional/financial opportunities). Post-hoc analyses also point to withingender heterogeneity depending on family status. A sample probe of 219 Spanish entrepreneurs who had exited their business supports our overall reasoning.

Association of HDL cholesterol and triglycerides with mortality in patients with heart failure

It has been demonstrated that there is an association between serum lipoproteins and survival rate in patients with ischemic cardiomyopathy, as well as in patients with non-ischemic causes of heart failure. We tested the hypothesis of an association between serum lipoprotein levels and prognosis in a cohort of outpatients with heart failure, including Chagas' heart disease. The lipid profile of 833 outpatients with heart failure in functional classes III and IV of the New York Heart Association, with a mean age of 46.9 ± 10.6 years, 655 (78.6%) men and 178 (21.4%) women, was studied from April 1991 to June 2003. The survival rate was estimated by the Kaplan-Meyer's method and the Cox proportional hazards models. Etiology of heart failure was ischemic cardiomyopathy in 171 (21%) patients, Chagas' heart disease in 144 (17%), hypertensive cardiomyopathy in 136 (16%), and other etiologies in 83 (10%). In 299 (36%) patients, heart failure was ascribed to idiopathic dilated cardiomyopathy. Variables significantly associated with mortality were age (hazard ratio, HR = 1.02; 95%CI = 1.01-1.03; P = 0.0074), male gender (HR = 1.77; 95%CI = 1.2-2.62; P = 0.004), idiopathic dilated cardiomyopathy (HR = 1.81; 95%CI = 1.16-2.82; P = 0.0085), serum triglycerides (HR = 0.97; 95%CI = 0.96-0.98; P < 0.0001), and HDL cholesterol (HR = 0.99; 95%CI = 0.99-1.0; P = 0.0280). Therefore, higher serum HDL cholesterol and higher serum triglycerides were associated with lower mortality in this cohort of outpatients with heart failure.

Exercise training delays cardiac dysfunction and prevents calcium handling abnormalities in sympathetic hyperactivity-induced heart failure mice

Exercise training (ET) is a coadjuvant therapy in preventive cardiology. It delays cardiac dysfunction and exercise intolerance in heart failure (HF); however, the molecular mechanisms underlying its cardioprotection are poorly understood. We tested the hypothesis that ET would prevent Ca2+ handling abnormalities and ventricular dysfunction in sympathetic hyperactivity-induced HF mice. A cohort of male wildtype (WT) and congenic (alpha 2A/alpha 2C)-adrenoceptor knockout ((alpha 2A/alpha 2C)ARKO) mice with C57BL6/J genetic background (3-5 mo of age) were randomly assigned into untrained and exercise-trained groups. ET consisted of 8-wk swimming session, 60 min, 5 days/wk. Fractional shortening (FS) was assessed by two-dimensional guided M-mode echocardiography. The protein expression of ryanodine receptor (RyR), phospho-Ser(2809)-RyR, sarcoplasmic reticulum Ca2+ ATPase (SERCA2), Na+/Ca2+ exchanger (NCX), phospholamban (PLN), phospho-Ser(16)-PLN, and phospho-Thr(17)-PLN were analyzed by Western blotting. At 3 mo of age, no significant difference in FS and exercise tolerance was observed between WT and (alpha 2A/alpha 2C)ARKO mice. At 5 mo, when cardiac dysfunction is associated with lung edema and increased plasma norepinephrine levels, (alpha 2A/alpha 2C)ARKO mice presented reduced FS paralleled by decreased SERCA2 (26%) and NCX (34%). Conversely, (alpha 2A/alpha 2C)ARKO mice displayed increased phospho-Ser(16)-PLN (76%) and phospho-Ser(2809)-RyR (49%). ET in (alpha 2A/alpha 2C)ARKO mice prevented exercise intolerance, ventricular dysfunction, and decreased plasma norepinephrine. ET significantly increased the expression of SERCA2 (58%) and phospho-Ser(16)-PLN (30%) while it restored the expression of phospho-Ser(2809)-RyR to WT levels. Collectively, we provide evidence that improved net balance of Ca2+ handling proteins paralleled by a decreased sympathetic activity on ET are, at least in part, compensatory mechanisms against deteriorating ventricular function in HF.

Biomechanical failure properties and microstructural content of ruptured and unruptured abdominal aortic aneurysms

Purpose: To test the hypothesis that ruptured abdominal aortic aneurysms (AAA) are globally weaker than unruptured ones. Methods: Four ruptured and seven unruptured AAA specimens were harvested whole from fresh cadavers during autopsies performed over an 18-month period. Multiple regionally distributed longitudinally oriented rectangular strips were cut from each AAA specimen for a total of 77 specimen strips. Strips were subjected to uniaxial extension until failure. Sections from approximately the strongest and weakest specimen strips were studied histologically and histochemically. From the load-extension data, failure tension, failure stress and failure strain were calculated. Rupture site characteristics such as location, arc length of rupture and orientation of rupture were also documented. Results: The failure tension, a measure of the tissue mechanical caliber was remarkably similar between ruptured and unruptured AAA (group mean +/- standard deviation of within-subject means: 11.2 +/- 2.3 versus 11.6 +/- 3.6 N/cin; p=0.866 by mixed model ANOVA). In post-hoc analysis, there was little difference between the groups in other measures of tissue mechanical caliber as well such as failure stress (95 +/- 28 versus 98 +/- 23 N/cm(2); p=0.870), failure strain (0.39 +/- 0.09 versus 0.36 +/- 0.09; p=0.705), wall thickness (1.7 +/- 0.4 versus 1.5 +/- 0.4 mm; p=0.470), and % coverage of collagen within tissue cross section (49.6 +/- 12.9% versus 60.8 +/- 9.6%; p=0.133). In the four ruptured AAA, primary rupture sites were on the lateral quadrants (two on left; one on left-posterior; one on right). Remarkably, all rupture lines had a longitudinal orientation and ranged from 1 to 6 cm in length. Conclusion: The findings are not consistent with the hypothesis that ruptured aortic aneurysms are globally weaker than unruptured ones. (C) 2011 Elsevier Ltd. All rights reserved.

Increased muscle sympathetic nerve activity predicts mortality in heart failure patients

Background: Previous studies have associated neurohumoral excitation, as estimated by plasma norepinephrine levels, with increased mortality in heart failure. However, the prognostic value of neurovascular interplay in heart failure (HF) is unknown. We tested the hypothesis that the muscle sympathetic nerve activity (MSNA) and forearm blood flow would predict mortality in chronic heart failure patients. Methods: One hundred and twenty two heart failure patients, NYHA II-IV, age 50 +/- 1 ys, LVEF 33 +/- 1%, and LVDD 7.1 +/- 0.2 mm, were followed up for one year. MSNA was directly measured from the peroneal nerve by microneurography. Forearm blood flow was obtained by venous occlusion plethysmography. The variables were analyzed by using univariate, stepwise multivariate Cox proportional hazards analysis, and Kaplan-Meier analysis. Results: After one year, 34 pts died from cardiac death. The univariate analysis showed that MSNA, forearm blood flow, LVDD, LVEF, and heart rate were significant predictors of mortality. The multivariate analysis showed that only MSNA (P = 0.001) and forearm blood flow (P = 0.003) were significant independent predictors of mortality. On the basis of median levels of MSNA, survival rate was significantly lower in pts with >49 bursts/min. Similarly, survival rate was significantly lower in pts with forearm blood flow <1.87 ml/min/100 ml (P = 0.002). Conclusion: MSNA and forearm blood flow predict mortality rate in patients with heart failure. It remains unknown whether therapies that specifically target these abnormalities will improve survival in heart failure. (C) 2008 Elsevier Ireland Ltd. All rights reserved.

Serum Leptin Concentration, Body Mass Index and Incident Heart Failure: The Health, Aging, and Body Composition Study

Background: Leptin is produced primarily by adipocytes. Although originally associated with the central regulation of satiety and energy metabolism, increasing evidence indicates that leptin may be an important factor for congestive heart faire (CHF). In the study, we aimed to test the hypothesis that leptin may influence CHF pathophysiology via a pathway of increasing body mass index (BMI). Methods: We studied 2,389 elderly participants aged 70 and older (M; 1161, F: 1228) without CHF and with serum leptin measures at the Health Aging, and Body Composition study. We analyzed the association between serum leptin level and risk of incident CHF using Cox hazard proportional regression models. Elevated leptin level was defined as more than the highest quartile (Q4) of leptin distribution in the total sample for each gender. Adjusted-covariates included demographic, behavior, lipid and inflammation variables (partially-adjusted models), and further included BMI (fully-adjusted models). Results: In a mean 9-year follow-up, 316 participants (13.2%) developed CHF. The partially-adjusted models indicated that men and women with elevated serum leptin levels (>=9.89 ng/ml in men and >=25 ng/ml in women) had significantly higher risks of developing CHF than those with leptin level of less than Q4. The adjusted hazard ratios (95%CI) for incident CHF was 1.49 (1.04 -2.13) in men and 1.71 (1.12 -2.58) in women. However, these associations became non-significant after adjustment for including BMI for each gender. The fully-adjusted hazard ratios (95%CI) were 1.43 (0.94 -2.18) in men and 1.24 (0.77-1.99) in women. Conclusion: Subjects with elevated leptin levels have a higher risk of CHF. The study supports the hypothesis that the influence of leptin level on risk of CHF may be through a pathway related to increasing BMI.

Immunocompetence and nestling survival in the house martin: the tasty chick hypothesis

In altricial birds post-fledging survival is usually positively related to nestling body mass. A large number of studies have shown that the latest hatched chick is the more likely to die, even if food is abundant. Here we suggest that ectoparasites may be a key factor in the evolution and the maintenance of the establishment of weight hierarchies within broods. We prepose the hypothesis that weight hierarchies within broods may be adaptive if the chick in poor condition is the one with the least efficient immune system within a nest. In this case parasites would preferentially feed on such a "tasty chick", because it would allow high reproductive rates for the parasites, without negatively affecting the survival of the other nestlings. This could prevent entire nest failure of the brood or allow the other chicks to grow more efficiently. This hypothesis was investigated in a colony of house martins Delichon urbica. We predicted that immunocompetence was positively correlated with body condition, and that nestlings dying before hedging should have lower immune responses when challenged with an antigen. T-cell immune response to an experimentally injected antigen was strongly positively related to body condition. Non-surviving chicks had low body condition and a weak immune response. The implications of these results are discussed in the context of the adaptive significance of hatching asynchrony.

Influence of gender on long-term prognosis of patients with chronic heart failure seen in heart failure clinics.

BACKGROUND Controversy exists concerning the influence of gender in the prognosis of patients with heart failure and no evidence is available from specific heart failure clinics. HYPOTHESIS Women with ambulatory heart failure are managed differently than men, although their prognosis might be better than men. METHODS AND RESULTS We analyzed the clinical characteristics, complementary test results, treatment, and prognosis in 4720 patients with chronic heart failure seen in 62 specialized clinics forming part of a multicenter registry during a mean follow-up of 40 months. The mean age was 65 +/- 12 years and 71% were men. The men were younger than the women and more often had a history of hyperlipidemia and ischemic heart disease. The men had a more advanced heart failure New York Heart Association (NYHA) functional class (III-IV) than the women and a greater frequency of systolic ventricular dysfunction. The men more often received treatment with beta-blockers, vasodilators, and antiplatelet aggregators as well as higher mean doses as compared with the women. The overall survival after the follow-up was similar for both genders, although the women had lower rates of survival free of admission for heart failure. CONCLUSIONS Despite the mortality of women and men with heart failure being similar, the rate of readmission for heart failure is greater in women in specialized heart failure clinics. These results may be associated with the pharmacological treatment differences observed.

Effect of oral calcium carbonate on aortic calcification in apolipoprotein E-deficient (apoE-/-) mice with chronic renal failure.

BACKGROUND: In chronic kidney disease (CKD) patients, the intake of calcium-based phosphate binders is associated with a marked progression of coronary artery and aortic calcification, in contrast to patients receiving calcium-free phosphate binders. The aim of this study was to reexamine the role of calcium carbonate in vascular calcification and to analyse its effect on aortic calcification-related gene expression in chronic renal failure (CRF). METHODS: Mice deficient in apolipoprotein E underwent either sham operation or subtotal nephrectomy to create CRF. They were then randomly assigned to one of the three following groups: a control non-CRF group and a CRF group fed on standard diet, and a CRF group fed on calcium carbonate enriched diet, for a period of 8 weeks. Aortic atherosclerotic plaque and calcification were evaluated using quantitative morphologic image processing. Aortic gene and protein expression was examined using immunohistochemistry and Q-PCR methods. RESULTS: Calcium carbonate supplementation was effective in decreasing serum phosphorus but was associated with a higher serum calcium concentration. Compared with standard diet, calcium carbonate enriched diet unexpectedly induced a significant decrease of both plaque (p<0.05) and non-plaque-associated calcification surface (p<0.05) in CRF mice. It also increased osteopontin (OPN) protein expression in atherosclerotic lesion areas of aortic root. There was also a numerical increase in OPN and osteoprotegerin gene expression in total thoracic aorta but the difference did not reach the level of significance. Finally, calcium carbonate did not change the severity of atherosclerotic lesions. CONCLUSION: In this experimental model of CRF, calcium carbonate supplementation did not accelerate but instead decreased vascular calcification. If our observation can be extrapolated to humans, it appears to question the contention that calcium carbonate supplementation, at least when given in moderate amounts, necessarily enhances vascular calcification. It is also compatible with the hypothesis of a preponderant role of phosphorus over that of calcium in promoting vascular calcification in CRF.

Robust accelerated failure time regression

Robust estimators for accelerated failure time models with asymmetric (or symmetric) error distribution and censored observations are proposed. It is assumed that the error model belongs to a log-location-scale family of distributions and that the mean response is the parameter of interest. Since scale is a main component of mean, scale is not treated as a nuisance parameter. A three steps procedure is proposed. In the first step, an initial high breakdown point S estimate is computed. In the second step, observations that are unlikely under the estimated model are rejected or down weighted. Finally, a weighted maximum likelihood estimate is computed. To define the estimates, functions of censored residuals are replaced by their estimated conditional expectation given that the response is larger than the observed censored value. The rejection rule in the second step is based on an adaptive cut-off that, asymptotically, does not reject any observation when the data are generat ed according to the model. Therefore, the final estimate attains full efficiency at the model, with respect to the maximum likelihood estimate, while maintaining the breakdown point of the initial estimator. Asymptotic results are provided. The new procedure is evaluated with the help of Monte Carlo simulations. Two examples with real data are discussed.