Fiscal policy under financial stress: A threshold VAR approach

The purpose of the project is to measure the impact of fiscal policy on the Portuguese GDP and how it may vary according to the state of the financial market. A Threshold VAR model is presented in which the two regimes are found using a financial stress index that divides the economy into a situation of financial stress and financial stability.

Financial stress and sovereign debt composition

"Published online: 19 Oct 2015"

Monetary Policy in Times of Financial Stress.

Some studies argue that the Fed reacts to financial market developments. Using data covering the period 1985:Q1 - 2008:Q4 and employing an augmented Taylor rule specification, we re-examine that conjecture. We find that evidence in favour of such a reaction is largely driven by the Fed’s behaviour during the 2007-2008 financial crisis.

Monetary policy rules and financial stress: does financial instability matter for monetary

We examine whether and how main central banks responded to episodes of financial stress over the last three decades. We employ a new methodology for monetary policy rules estimation, which allows for time-varying response coefficients as well as corrects for endogeneity. This flexible framework applied to the U.S., U.K., Australia, Canada and Sweden together with a new financial stress dataset developed by the International Monetary Fund allows not only testing whether the central banks responded to financial stress but also detects the periods and type of stress that were the most worrying for monetary authorities and to quantify the intensity of policy response. Our findings suggest that central banks often change policy

Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

Estructura factorial y consistencia interna de la versi??n espa??ola del Parenting Stress Index-Short Form

Resumen tomado de la publicaci??n

The impact of real estate on the mixed-asset portfolio in periods of financial stress

The case for holding real estate in the mixed-asset portfolio is typically made on its stabilising effect as a result of its diversification benefits. However, portfolio diversification often fails when it is most needed, i.e. during periods of financial stress. In these periods, the variability of returns for most asset classes increases thus reducing the stabilising effect of a diversified portfolio. This paper applies the approach of Chow et al (1999) to the US domestic mixed-asset portfolio to establish whether real estate, represented by REITs, is especially useful in times of financial stress. To this end monthly returns data on five assets classes: large cap stocks, small cap stocks, long dated government bonds, cash (T-Bills) and real estate (REITs) are evaluated over the period January 1972 to December 2001. The results indicate that the inclusion of REITs in the mixed-asset portfolio can lead to increases or decreases in returns depending on the asset class replaced and whether the period is one of calm or stress. However, the inclusion of REITs invariably leads to reductions in portfolio risk that are greater than any loss in return, especially in periods of financial stress. In other words, REITs acts as a stabilising force on the mixed-asset portfolio when it is most needed, i.e. in periods of financial stress.

Efficient interactive budget planning and adjusting under financial stress

One of the most challenging tasks in financial management for large governmental and industrial organizations is Planning and Budgeting (P&B). The processes involved with P&B are cost and time intensive, especially when dealing with uncertainties and budget adjustments during the planning horizon. This work builds on our previous research in which we proposed and evaluated a fuzzy approach that allows optimizing the budget interactively beyond the initial planning stage. In this research we propose an extension that handles financial stress (i.e. drastic budget cuts) occurred during the budget period. This is done by introducing fuzzy stress parameters which are used to re-distribute the budget in order to minimize the negative impact of the financial stress. The benefits and possible issues of this approach are analyzed critically using a real world case study from the Nuremberg Institute of Technology (NIT). Additionally, ongoing and future research directions are presented.

A New Index of Financial Conditions

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of financial variables.

Index of thermal stress for cows (ITSC) under high solar radiation in tropical environments

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Oxidative stress and cellular immunity in patients with recurrent aphthous ulcers

Recurrent aphthous ulcer (RAU) is an inflammatory condition of the oral mucosa characterized by painful, well-circumscribed, single or multiple round or ovoid ulcerations. The exact etiologic factor(s) of these ulcerations are not yet understood. The objective of this study was to evaluate inflammatory processes and free radical metabolism of 25 patients with RAUs compared to 25 healthy controls. The levels of malondialdehyde (MDA) and glutathione (GSH) were determined by high-performance liquid chromatography. Tumor necrosis factor-alpha (TNF-α), interleukin-2 (IL-2), IL-10, and IL-12 were determined by ELISA. Nitric oxide (NO), myeloperoxidase (MPO), total antioxidant status (TAS), and total oxidant status (TOS) levels were measured spectroscopically in serum. The levels of MDA, GSH, TNF-α, IL-2, IL-12, MPO, and TOS, and oxidative stress index (OSI) were higher, and the levels of NO, IL-10, and TAS were lower in patients with RAU than in controls. Statistical analysis showed that GSH, TNF-α, IL-2, IL-10, and OSI differed significantly in patients with RAU compared to controls. These parameters have important roles in oxidant/antioxidant defense.

The Financial Statement Insurance Alternative to Auditor Liability

These articles evaluate using financial statement insurance (FSI) to reduce the frequency and magnitude of audit failure. The FSI concept was pioneered by Josh Ronen, NYU Accounting Professor, who has modeled its economic aspects. My paper examines FSI’s efficacy from policy and legal perspectives. I conclude that while the model is not perfect, it promises considerable advantages over the current model. While some of the existing system’s imperfections are sustained or reappear in different guises, none of the existing imperfections appears to be aggravated and the rest likely are mitigated significantly. So I prescribe a framework to permit companies, on an experimental-basis and with investor approval, to use FSI as an optional alternative to financial statement auditing backed by auditor liability.

Stress Parental e Desempenho Académico

Este estudo pretende verificar se o stress parental influencia o desempenho escolar nas disciplinas de português e matemática de crianças que frequentam o primeiro e o quarto ano de escolaridade numa amostra de 50 mães (26-51 ou mais anos) e 50 crianças (6-11anos) na Escola Básica nº1 da Boavista, Rio Tinto. Utilizou-se o PSI-Índice de Stress Parental (Abidin & Santos, 2003) e a um questionário sociodemográfico. Verificamos que à medida que o stress parental aumenta, o desempenho escolar diminui e encontramos alguns resultados significativos entre as subescalas do PSI e as variáveis sociodemográficas. Concluímos que o stress parental tem alguma influência no desempenho escolar da criança, mas que existem outros fatores que também influenciam significativamente o desempenho.

Econometric models of financial risks

The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

Anticipatory cognitive stress appraisal and the acute procoagulant stress response in men

OBJECTIVE: Acute mental stress elicits blood hypercoagulability. Following a transactional stress model, we investigated whether individuals who anticipate stress as more threatening, challenging, and as exceeding their coping skills show greater stress reactivity of the coagulation activation marker D-dimer, indicating fibrin generation in plasma. METHODS: Forty-seven men (mean age 44 +/- 14 years; mean blood pressure [MBP] 101 +/- 12 mm Hg; mean body mass index [BMI] 26 +/- 3 kg/m(2)) completed the Primary Appraisal Secondary Appraisal (PASA) scale before undergoing the Trier Social Stress Test (combination of mock job interview and mental arithmetic task). Heart rate, blood pressure, plasma catecholamines, and D-dimer levels were measured before and after stress, and during recovery up to 60 minutes poststress. RESULTS: Hemodynamic measures, catecholamines, and D-dimer changed across all time points (p values <.001). The PASA "Stress Index" (integrated measure of transactional stress perception) correlated with total D-dimer area under the curve (AUC) between rest and 60 minutes poststress (r = 0.30, p = .050) and with D-dimer change from rest to immediately poststress (r = 0.29, p = .046). Primary appraisal (combined "threat" and "challenge") correlated with total D-dimer AUC (r = 0.37, p = .017), D-dimer stress change (r = 0.41, p = .004), and D-dimer recovery (r = 0.32, p = .042). "Challenge" correlated more strongly with D-dimer stress change than "threat" (p = .020). Primary appraisal (DeltaR(2) = 0.098, beta = 0.37, p = .019), and particularly its subscale "challenge" (DeltaR(2) = 0.138, beta = 0.40, p = .005), predicted D-dimer stress change independently of age, BP, BMI, and catecholamine change. CONCLUSIONS: Anticipatory cognitive appraisal determined the extent of coagulation activation to and recovery from stress in men. Particularly individuals who anticipated the stressor as more challenging and also more threatening had a greater fibrin stress response.