Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Reagointitavat markkinariskin vähentämiseksi pk-yrityksissä

Tutkielman tavoitteena oli etsiä PK-yrittäjien reagointitapoja markkinariskiin va¬rautumiseen. Tutkielman teoriaosa jakautui kahteen osaan, jossa ensimmäisessä osassa haettiin markkinariskeille alttiita yrityksen kasvukohtia. Teorian toisessa osassa etsittiin teoriasta reagointitapoja suhteessa markkinariskeihin. Tutkimusmenetelmäksi valittiin teemahaastattelu. Tutkimusaineisto koostui Ky¬menlaakson alueen eri toimialan PK-yrittäjän haastattelusta. Haastattelun teemoina olivat korko-, valuutta- ja hyödykehintariski. Edellä mainittuja teemoja käsi¬teltiin yrityksen oston, varastoinnin ja myynnin näkökulmista. Kahdeksan yrittäjän haastattelujen lisäksi haastateltiin kolmea pankissa toimivaa asiakasvastuullista johtajaa tai neuvojaa. Asiakasvastuullisten haastattelujen tarkoituksena oli saada tutkimuksen analysointiin myös rahoittajan näkökulma. Kerätty haastatteluaineisto analysoitiin kvalitatiivisin menetelmin. Tutkielmassa havaittiin PK-yrittäjien käyttävän hyödykseen teoriamalleja eniten korkoriskin hallintaan. Valuutta- ja hyödykehintariskeihin ei tutkielman mukaan esitellyt teoriat soveltuneet vaan niihin yrittäjät pyrkivät varautumaan käytännössä muilla keinoilla.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

US real interest rates and default risk in emerging economies

This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship

Myocardial Extracellular Volume Expansion And The Risk Of Recurrent Atrial Fibrillation After Pulmonary Vein Isolation.

This study tested whether myocardial extracellular volume (ECV) is increased in patients with hypertension and atrial fibrillation (AF) undergoing pulmonary vein isolation and whether there is an association between ECV and post-procedural recurrence of AF. Hypertension is associated with myocardial fibrosis, an increase in ECV, and AF. Data linking these findings are limited. T1 measurements pre-contrast and post-contrast in a cardiac magnetic resonance (CMR) study provide a method for quantification of ECV. Consecutive patients with hypertension and recurrent AF referred for pulmonary vein isolation underwent a contrast CMR study with measurement of ECV and were followed up prospectively for a median of 18 months. The endpoint of interest was late recurrence of AF. Patients had elevated left ventricular (LV) volumes, LV mass, left atrial volumes, and increased ECV (patients with AF, 0.34 ± 0.03; healthy control patients, 0.29 ± 0.03; p < 0.001). There were positive associations between ECV and left atrial volume (r = 0.46, p < 0.01) and LV mass and a negative association between ECV and diastolic function (early mitral annular relaxation [E'], r = -0.55, p < 0.001). In the best overall multivariable model, ECV was the strongest predictor of the primary outcome of recurrent AF (hazard ratio: 1.29; 95% confidence interval: 1.15 to 1.44; p < 0.0001) and the secondary composite outcome of recurrent AF, heart failure admission, and death (hazard ratio: 1.35; 95% confidence interval: 1.21 to 1.51; p < 0.0001). Each 10% increase in ECV was associated with a 29% increased risk of recurrent AF. In patients with AF and hypertension, expansion of ECV is associated with diastolic function and left atrial remodeling and is a strong independent predictor of recurrent AF post-pulmonary vein isolation.

Risk optimization of a steel frame communications tower subject to tornado winds

The structural engineering community in Brazil faces new challenges with the recent occurrence of high intensity tornados. Satellite surveillance data shows that the area covering the south-east of Brazil, Uruguay and some of Argentina is one of the world most tornado-prone areas, second only to the infamous tornado alley in central United States. The design of structures subject to tornado winds is a typical example of decision making in the presence of uncertainty. Structural design involves finding a good balance between the competing goals of safety and economy. This paper presents a methodology to find the optimum balance between these goals in the presence of uncertainty. In this paper, reliability-based risk optimization is used to find the optimal safety coefficient that minimizes the total expected cost of a steel frame communications tower, subject to extreme storm and tornado wind loads. The technique is not new, but it is applied to a practical problem of increasing interest to Brazilian structural engineers. The problem is formulated in the partial safety factor format used in current design codes, with all additional partial factor introduced to serve as optimization variable. The expected cost of failure (or risk) is defined as the product of a. limit state exceedance probability by a limit state exceedance cost. These costs include costs of repairing, rebuilding, and paying compensation for injury and loss of life. The total expected failure cost is the sum of individual expected costs over all failure modes. The steel frame communications, tower subject of this study has become very common in Brazil due to increasing mobile phone coverage. The study shows that optimum reliability is strongly dependent on the cost (or consequences) of failure. Since failure consequences depend oil actual tower location, it turn,,; out that different optimum designs should be used in different locations. Failure consequences are also different for the different parties involved in the design, construction and operation of the tower. Hence, it is important that risk is well understood by the parties involved, so that proper contracts call be made. The investigation shows that when non-structural terms dominate design costs (e.g, in residential or office buildings) it is not too costly to over-design; this observation is in agreement with the observed practice for non-optimized structural systems. In this situation, is much easier to loose money by under-design. When by under-design. When structural material cost is a significant part of design cost (e.g. concrete dam or bridge), one is likely to lose significantmoney by over-design. In this situation, a cost-risk-benefit optimization analysis is highly recommended. Finally, the study also shows that under time-varying loads like tornados, the optimum reliability is strongly dependent on the selected design life.

Evaluating gene by sex and age interactions on cardiovascular risk factors in Brazilian families

Background: In family studies, it is important to evaluate the impact of genes and environmental factors on traits of interest. In particular, the relative influences of both genes and the environment may vary in different strata of the population of interest, such as young and old individuals, or males and females. Methods: In this paper, extensions of the variance components model are used to evaluate heterogeneity in the genetic and environmental variance components due to the effects of sex and age (the cutoff between young and old was 43 yrs). The data analyzed were from 81 Brazilian families (1,675 individuals) of the Baependi Family Heart Study. Results: The models allowing for heterogeneity of variance components by sex suggest that genetic and environmental variances are not different in males and females for diastolic blood pressure, LDL-cholesterol, and HDL-cholesterol, independent of the covariates included in the models. However, for systolic blood pressure, fasting glucose and triglycerides, the evidence for heterogeneity was dependent on the covariates in the model. For instance, in the presence of sex and age covariates, heterogeneity in the genetic variance component was suggested for fasting glucose. But, for systolic blood pressure, there was no evidence of heterogeneity in any of the two variance components. Except for the LDL-cholesterol, models allowing for heterogeneity by age provide evidence of heterogeneity in genetic variance for triglycerides and systolic and diastolic blood pressure. There was evidence of heterogeneity in environmental variance in fasting glucose and HDL-cholesterol. Conclusions: Our results suggest that heterogeneity in trait variances should not be ignored in the design and analyses of gene-finding studies involving these traits, as it may generate additional information about gene effects, and allow the investigation of more sophisticated models such as the model including sex-specific oligogenic variance components.

The economic determinants of the Brazilian nominal term structure of interest rates

The purpose of this study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR model under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble those of the US economy: monetary policy shocks that flatten the term structure of interest rates. We find that monetary policy shocks in Brazil explain a significantly larger share of the dynamics of the term structure than in the USA. Finally, we analyse the importance of standard macroeconomic variables (e. g. GDP, inflation and measure of country risk) to the dynamics of the term structure in Brazil.

Revisiting the interest rate puzzle

This article makes a connection between Lucas` (1978) asset pricing model and the macroeconomic dynamics for some selected countries. Both the relative risk aversion and the impatience for postponing consumption by synthesizing the investor behaviour can help to understand some key macroeconomic issues across countries, such as the savings decision and the real interest rate. I find that the government consumption makes worse the so-called `equity premium-interest rate puzzle`. The first root of the quadratic function for explaining the real interest rate can produce this puzzle, but not the second root. Thus, Mehra and Prescott (1985) identified only one possible solution.

Vitamin D insufficiency: A risk factor to vertebral fractures in community-dwelling elderly women

Objective:To determine the risk factors for the presence of moderate/severe vertebral fracture, specifically 25-hydroxyvitamin D (25-OHD). Study design: Cross-sectional study conducted for 2 years in the city of Sao Paulo, Brazil including community-dwelling elderly women. Methods: Bone mineral density (BMD), serum 25-OHD, intact parathyroid hormone (iPTH), calcium and estimated glomerular filtration rate (eGFR) were examined in 226 women without vertebral fractures (NO FRACTURE group) and 189 women with at least one moderate/severe vertebral fracture (FRACTURE group). Vertebral fracture assessment (VFA) was evaluated using both the Genant semiquantitative (SQ) approach and morphometry. Results: Patients in the NO FRACTURE group had lower age, increased height, higher calcium intake, and higher BMD compared to those patients in the FRACTURE group (p < 0.05). Of interest, serum levels of 25-OHD in the NO FRACTURE group were higher than those observed in the FRACTURE group (51.73 nmol/L vs. 42.31 nmol/L, p < 0.001). Reinforcing this finding, vitamin D insufficiency (25-OHD < 75 nmol/L) was observed less in the NO FRACTURE group (82.3% vs. 93.65%, p = 0.001). After adjustment for significant variables within the patient population (age, height, race, calcium intake, 25-OHD, eGFR and sites BMD), the logistic-regression analyses revealed that age (OR = 1.09, 95% Cl 1.04-1.14, p < 0.001) femoral neck BMD (OR = 0.7, 95% CI 0.6-0.82, p < 0.001) and 25-OHD <75 nmol/L (OR = 2.38, 95% CI 1.17-4.8, p = 0.016) remains a significant factor for vertebral fracture. Conclusion: Vitamin D insufficiency is a contributing factor for moderate/severe vertebral fractures. This result emphasizes the importance of including this modifiable risk factor in the evaluation of elderly women. (C) 2009 Elsevier Ireland Ltd. All rights reserved.

Mucosal leishmaniasis: description of case management approaches and analysis of risk factors for treatment failure in a cohort of 140 patients in Brazil

Background Mucosal leishmaniasis is caused mainly by Leishmania braziliensis and it occurs months or years after cutaneous lesions. This progressive disease destroys cartilages and osseous structures from face, pharynx and larynx. Objective and methods The aim of this study was to analyse the significance of clinical and epidemiological findings, diagnosis and treatment with the outcome and recurrence of mucosal leishmaniasis through binary logistic regression model from 140 patients with mucosal leishmaniasis from a Brazilian centre. Results The median age of patients was 57.5 and systemic arterial hypertension was the most prevalent secondary disease found in patients with mucosal leishmaniasis (43%). Diabetes, chronic nephropathy and viral hepatitis, allergy and coagulopathy were found in less than 10% of patients. Human immunodeficiency virus (HIV) infection was found in 7 of 140 patients (5%). Rhinorrhea (47%) and epistaxis (75%) were the most common symptoms. N-methyl-glucamine showed a cure rate of 91% and recurrence of 22%. Pentamidine showed a similar rate of cure (91%) and recurrence (25%). Fifteen patients received itraconazole with a cure rate of 73% and recurrence of 18%. Amphotericin B was the drug used in 30 patients with 82% of response with a recurrence rate of 7%. The binary logistic regression analysis demonstrated that systemic arterial hypertension and HIV infection were associated with failure of the treatment (P < 0.05). Conclusion The current first-line mucosal leishmaniasis therapy shows an adequate cure but later recurrence. HIV infection and systemic arterial hypertension should be investigated before start the treatment of mucosal leishmaniasis. Conflicts of interest The authors are not part of any associations or commercial relationships that might represent conflicts of interest in the writing of this study (e.g. pharmaceutical stock ownership, consultancy, advisory board membership, relevant patents, or research funding).

A practical approach to assess depression risk and to guide risk reduction strategies in later life

Background: Many factors have been associated with the onset and maintenance of depressive symptoms in later life, although this knowledge is yet to be translated into significant health gains for the population. This study gathered information about common modifiable and non-modifiable risk factors for depression with the aim of developing a practical probabilistic model of depression that can be used to guide risk reduction strategies. \Methods: A cross-sectional study was undertaken of 20,677 community-dwelling Australians aged 60 years or over in contact with their general practitioner during the preceding 12 months. Prevalent depression (minor or major) according to the Patient Health Questionnaire (PHQ-9) assessment was the main outcome of interest. Other measured exposures included self-reported age, gender, education, loss of mother or father before age 15 years, physical or sexual abuse before age 15 years, marital status, financial stress, social support, smoking and alcohol use, physical activity, obesity, diabetes, hypertension, and prevalent cardiovascular diseases, chronic respiratory diseases and cancer. Results: The mean age of participants was 71.7 +/- 7.6 years and 57.9% were women. Depression was present in 1665 (8.0%) of our subjects. Multivariate logistic regression showed depression was independently associated with age older than 75 years, childhood adverse experiences, adverse lifestyle practices (smoking, risk alcohol use, physical inactivity), intermediate health hazards (obesity, diabetes and hypertension), comorbid medical conditions (clinical history of coronary heart disease, stroke, asthma, chronic obstructive pulmonary disease, emphysema or cancers), and social or financial strain. We stratified the exposures to build a matrix that showed that the probability of depression increased progressively with the accumulation of risk factors, from less than 3% for those with no adverse factors to more than 80% for people reporting the maximum number of risk factors. Conclusions: Our probabilistic matrix can be used to estimate depression risk and to guide the introduction of risk reduction strategies. Future studies should now aim to clarify whether interventions designed to mitigate the impact of risk factors can change the prevalence and incidence of depression in later life.