Consumer Confidence and Yield Spreads in Europe

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding the usefulness of the slope of the term structure of interest rates to predict real economic conditions and, in particular, recessions by using a direct measure of expectations. A linear combination of European yield spreads explains a surprising 93.7% of the variability of the Economic Sentiment Indicator. Yield spreads seem to be a key determinant of consumer confidence in Europe.

A thioredoxin with antioxidant activity identified from Eriocheir sinensis

Thioredoxin, with a redox-active disulfide/dithiol in the active site, is the major ubiquitous disulfide reductase responsible for maintaining proteins in their reduced state. In the present study, the cDNA encoding thioredoxin-1 (designated EsTrx1) was cloned from Chinese mitten crab Eriocheir sinensis by using rapid amplification of cDNA ends (RACE) approaches. The full-length cDNA of EsTrx1 was of 641 bp, containing a 51 untranslated region (UTR) of 17 bp, a 3' UTR of 306 bp with a poly (A) tail, and an open reading frame (ORF) of 318 bp encoding a polypeptide of 105 amino acids. The high similarity of EsTrx1 with Trx1s from other animals indicated that EsTrx1 should be a new member of the Trx1 sub-family. Quantitative real-time PCR analysis revealed the presence of EsTrx1 transcripts in gill, gonad, hepato-pancreas, muscle, heart and haemocytes. The expression of EsTrx1 mRNA in haemocytes was up-regulated after Listonella anguillarum challenge, reached the maximum level at 6 h post-stimulation, and then dropped back to the original level gradually. In order to elucidate its biological functions, EsTrx1 was recombined and expressed in E. coli BL21 (DE3). The rEsTrx1 was demonstrated to possess the expected redox activity in enzymatic analysis, and to be more potent than GSH in antioxidant capacity. These results together indicated that EsTrx1 could function as an important antioxidant in a physiological context, and perhaps is involved in the responses to bacterial challenge. (C) 2009 Elsevier Ltd. All rights reserved.

Indications for an influence of hot Jupiters on the rotation and activity of their host stars

Context. The magnetic activity of planet-hosting stars is an importantfactor for estimating the atmospheric stability of close-in exoplanetsand the age of their host stars. It has long been speculated thatclose-in exoplanets can influence the stellar activity level. However,testing for tidal or magnetic interaction effects in samples ofplanet-hosting stars is difficult because stellar activity hindersexoplanet detection, so that stellar samples with detected exoplanetsshow a bias toward low activity for small exoplanets.

Aims: Weaim to test whether exoplanets in close orbits influence the stellarrotation and magnetic activity of their host stars.

Methods: Wedeveloped a novel approach to test for systematic activity-enhancementsin planet-hosting stars. We use wide (several 100 AU) binary systems inwhich one of the stellar components is known to have an exoplanet, whilethe second stellar component does not have a detected planet andtherefore acts as a negative control. We use the stellar coronal X-rayemission as an observational proxy for magnetic activity and analyzeobservations performed with Chandra and XMM-Newton.

Results: Wefind that in two systems for which strong tidal interaction can beexpected the planet-hosting primary displays a much higher magneticactivity level than the planet-free secondary. In three systems forwhich weaker tidal interaction can be expected the activity levels ofthe two stellar components agree with each other.

Conclusions:Our observations indicate that the presence of Hot Jupiters may inhibitthe spin-down of host stars with thick outer convective layers. Possiblecauses for this effect include a transfer of angular momentum from theplanetary orbit to the stellar rotation through tidal interaction, ordifferences during the early evolution of the system, where the hoststar may decouple from the protoplanetary disk early because of a gapopened by the forming Hot Jupiter.

Real-time factor model forecasting and the effects of instability

Factor forecasting models are shown to deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the pre-Great Moderation years from the factor forecasting model estimation period (but not from the data used to extract factors) results in a marked fillip in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample.

Prediction of the economic activity from the short and long-term interest rate differential: new evidences in Chile and the United States of America cases

The purpose of this work is to verify the stability of the relationship between real activity and interest rate spread. The test is based on Chen (1988) and Osorio and Galea (2006). The analysis is applied to Chile and the United States, from 1980 to 1999. In general, in both cases the relationship was statistically significant in early 80s, but a break point is found in both countries during that decades, suggesting that the relationship depends on the monetary rule follow by the Central Bank.

The Real Exchange Rate in Small Open Developed Economies: Evidence from Cointegration Analysis

We examine the effects of the terms of trade and the expected real interest rate differential on the real exchange rate in a sample of small open developed economies. We employ cointegration analysis to search for possible long-term linkages. We find that while both the terms of trade and the expected real interest rate differentials affect the real exchange rate in the long run, the role of the terms of trade generally proves more consistent across countries. The speed of adjustment for the expected real interest rate differential in the error-correction model, however, is quantitatively larger than it is for the terms of trade.

Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.

Formation of a supported hybrid bilayer membrane on gold: A sterically enhanced hydrophobic effect

Adsorption of a monolayer of didecanoyl-L-alpha-phosphatidylcholine (DDPC) from dispersions of small unilamellar vesicles onto hydrophobic surfaces was investigated by mean of cyclic voltammetry and impedance spectroscopy. The hydrophobic surfaces were self-assembled monolayers of 2-mereapto-3-n-octylthiophene (MOT) on gold. One characteristic of the MOT monolayer is its permeability to organic molecules in aqueous solution, thus providing a more energetically favorable hydrophobic surface for the addition of phospholipid vesicles. The kinetics of the lipid monolayer formation were followed by measuring the time-dependent interfacial capacitance. Unusual values of thickness and capacitance of the MOT/ DDPC bilayers were observed. An interdigitating conformation of the bilayer structure was proposed to interpret the experimental results, The horseradish peroxidase reconstituted into the bilayer demonstrated the expected protein activity, showing practical use in research and in biosensor application.

Projecto de execução de estruturas e fundações de uma obra de arte corrente em betão armado e pré-esforçado

Trabalho de Projecto para obtenção do grau de Mestre em Engenharia Civil.

Hot cognition and activation of the medial prefrontal cortex: Self-regulating in contexts involving motivational pressures

The medial prefrontal cortex (mPFC) is involved in performance-monitoring and has been implicated in the generation of several electrocortical responses associated with self-regulation. The error-related negativity (ERN), the inhibitory Nogo N2 (N2), and the feedback-related negativity (FRN) are event-related potential (ERP) components which reflect mPFC activity associated with feedback to behavioural (ERN, N2) and environmental (FRN) consequences. Our main goal was to determine whether or not rnPFC activation varies as a function of motivational context (e.g., those involving performance-related incentives) or the use of internally versus externally generated feedback signals (i.e., errors). Additionally, we assessed medial prefrontal activity in relation to individual differences in personality and temperament. Participants completed a combination of tasks in which performance-related incentives were associated with task performance and feedback generated from internal versus external responses. MPFC activity was indexed using both ERP scalp voltage peaks and intracerebral current source density (CSD) of dorsal and ventral regions. Additionally, participants completed several questionnaires assessing personality and temperament styles. Given previous studies have shown that enhanced mPFC activity to loss (or negative) feedback, we expected that activity in the mPFC would generally be greater during the Loss condition relative to the Win condition for both the ERN and N2. Also, due to the evidence that the (vmPFC) is engaged in arousing contexts, we hypothesized that activity in the ventromedial prefrontal cortex (vmPFC) would be greater than activity in the dorsomedial prefrontal cortex (dmPFC), especially in the Loss condition of the GoNogo task (ERN). Similarly, loss feedback in the BART (FRN) was expected to engage the vmPFC more than the dmPFC. Finally, we predicted that persons rating themselves as more willing to engage in approach-related behaviours or to exhibit rigid cognitive styles would show reduced activity of the mPFC. Overall, our results emphasize the role of affective evaluations of behavioural and environmental consequences when self-regulating. Although there were no effects of context on brain activity, our data indicate that, during the time of the ERN and N2 on the MW Go-Nogo task and the FRN on the BART, the vrnPFC was more active compared to the dmPFC. Moreover, regional recruitment in the mPFC was similar across internally (ERN) and externally (FRN) generated errors signals associated with loss feedback, as reflected by relatively greater activity in the vmPFC than the dmPFC. Our data also suggest that greater activity in the mPFC is associated with better inhibitory control, as reflected by both scalp and CSD measures. Additionally, deactivation of the subgenual anterior cingulate cortex (sgACC) and lower levels of self-reported positive affect were both related to increased voluntary risk-taking on the BART. Finally, persons reporting higher levels of approach-related behaviour or cognitive rigidity showed reduced activity of the mPFC. These results are in line with previous research emphasizing that affect/motivation is central to the processes reflected by mediofrontal negativities (MFNs), that the vmPFC is involved in regulating demands on motivational/affective systems, and that the underlying mechanisms driving these functions vary across both individuals and contexts.

Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.

Finance and Growth : Empirical Evidence from Developing Countries, 1960-1990

This paper examines the empirical relationship between financial intermediation and economic growth using cross-country and panel data regressions for 69 developing countries for the 1960-1990 period. The main results are : (i) financial development is a significant determinant of economic growth, as it has been shown in cross-sectional regressions; (ii) financial markets cease to exert any effect on real activity when the temporal dimension is introduced in the regressions. The paradox may be explained, in the case of developing countries, by the lack of an entrepreneurial private sector capable to transform the available funds into profitable projects; (iii) the effect of financial development on economic growth is channeled mainly through an increase in investment efficiency.

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.

Cost-benefit evaluation of routine influenza immunisation in people 65-74 years of age

OBJECTIVES: To determine the cost-effectiveness of influenza vaccination in people aged 65-74 years in the absence of co-morbidity. DESIGN: Primary research: randomised controlled trial. SETTING: Primary care. PARTICIPANTS: People without risk factors for influenza or contraindications to vaccination were identified from 20 general practitioner (GP) practices in Liverpool in September 1999 and invited to participate in the study. There were 5875/9727 (60.4%) people aged 65-74 years identified as potentially eligible and, of these, 729 (12%) were randomised. INTERVENTION: Participants were randomised to receive either influenza vaccine or placebo (ratio 3:1), with all individuals receiving pneumococcal vaccine unless administered in the previous 10 years. Of the 729 people randomised, 552 received vaccine and 177 received placebo; 726 individuals were administered pneumococcal vaccine. MAIN OUTCOME MEASURES AND METHODOLOGY OF ECONOMIC EVALUATION: GP attendance with influenza-like illness (ILI) or pneumonia (primary outcome measure); or any respiratory symptoms; hospitalisation with a respiratory illness; death; participant self-reported ILI; quality of life (QoL) measures at 2, 4 and 6 months post-study vaccination; adverse reactions 3 days after vaccination. A cost-effectiveness analysis was undertaken to identify the incremental cost associated with the avoidance of episodes of influenza in the vaccination population and an impact model was used to extrapolate the cost-effectiveness results obtained from the trial to assess their generalisability throughout the NHS. RESULTS: In England and Wales, weekly consultations for influenza and ILI remained at baseline levels (less than 50 per 100,000 population) until week 50/1999 and then increased rapidly, peaking during week 2/2000 with a rate of 231/100,000. This rate fell within the range of 'higher than expected seasonal activity' of 200-400/100,000. Rates then quickly declined, returning to baseline levels by week 5/2000. The predominant circulating strain during this period was influenza A (H3N2). Five (0.9%) people in the vaccine group were diagnosed by their GP with an ILI compared to two (1.1%) in the placebo group [relative risk (RR), 0.8; 95% confidence interval (CI) = 0.16 to 4.1]. No participants were diagnosed with pneumonia by their GP and there were no hospitalisations for respiratory illness in either group. Significantly fewer vaccinated individuals self-reported a single ILI (4.6% vs 8.9%, RR, 0.51; 95% CI for RR, 0.28 to 0.96). There was no significant difference in any of the QoL measurements over time between the two groups. Reported systemic side-effects showed no significant differences between groups. Local side-effects occurred with a significantly increased incidence in the vaccine group (11.3% vs 5.1%, p = 0.02). Each GP consultation avoided by vaccination was estimated from trial data to generate a net NHS cost of 174 pounds. CONCLUSIONS: No difference was seen between groups for the primary outcome measure, although the trial was underpowered to demonstrate a true difference. Vaccination had no significant effect on any of the QoL measures used, although vaccinated individuals were less likely to self-report ILI. The analysis did not suggest that influenza vaccination in healthy people aged 65-74 years would lead to lower NHS costs. Future research should look at ways to maximise vaccine uptake in people at greatest risk from influenza and also the level of vaccine protection afforded to people from different age and socio-economic populations.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.