Monetary Policy in a Portfolio Balance Model with Endogenous Physical Capital

We develop a portfolio balance model with real capital accumulation. The introduction of real capital as an asset as well as a good produced and demanded by firms enriches extant portfolio balance models of exchange rate determination. We show that expansionary monetary policy causes exchange rate overshooting, not once, but twice; the secondary repercussion comes through the reaction of firms to changed asset prices and the firms' decisions to invest in real capital. The model sheds further light on the volatility of real and nominal exchange rates, and it suggests that changes in corporate sector profitability may affect exchange rates through portfolio diversification in corporate securities.

Is the supply of long-term debt independent of the term premia? Evidence from Portugal

An important assumption in the statistical analysis of the financial market effects of the central bank’s large scale asset purchase program is that the "long-term debt stock variables were exogenous to term premia". We test this assumption for a small open economy in a currency union over the period 2000M3 to 2015M10, via the determinants of short- term financing relative to long-term financing. Empirical estimations indicate that the maturity composition of debt does not respond to the level of interest rate or to the term structure. These findings suggest a lower adherence to the cost minimization mandate of debt management. However, we find that volatility and relative market size respectively decrease and increase short-term financing relative to long-term financing, while it decreases with an increase in government indebtedness.

The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

Portifolio selection with random transaction costs

Transaction costs have a random component in the bid-ask spread. Facing a high bid-ask spread, the consumer has the option to wait for better terms oI' trade, but only by carrying an undesirable portfolio balance. We present the best policy in this case. We pose the control problem and show that the value function is the uni que viscosity solution of the relevant variational inequality. Next, a numerical procedure for the problem is presented.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

When in peril, retrench: Testing the portfolio channel of contagion

One plausible mechanism through which financial market shocks may propagate across countriesis through the impact that past gains and losses may have on investors risk aversion and behavior. This paper presents a stylized model illustrating how heterogeneous changes in investors risk aversion affect portfolio allocation decisions and stock prices. Our empirical findings suggest that when funds returns are below average, they adjust their holdings toward the average (or benchmark) portfolio. In so doing, funds tend to sell the assets of countries in which they were overweight , increasing their exposure to countries in which they were underweight. Based on this insight, the paper constructs an index of financial interdependence which reflects the extent to which countries share overexposed funds. The index helps in explain the pattern of stock market comovement across countries. Moreover, a comparison of this interdependence measure to indices of trade or commercial bank linkages indicates that our index can improve predictions about which countries are more likely to be affected by contagion from crisis centers.

ENaC-mediated alveolar fluid clearance and lung fluid balance depend on the channel-activating protease 1.

Sodium transport via epithelial sodium channels (ENaC) expressed in alveolar epithelial cells (AEC) provides the driving force for removal of fluid from the alveolar space. The membrane-bound channel-activating protease 1 (CAP1/Prss8) activates ENaC in vitro in various expression systems. To study the role of CAP1/Prss8 in alveolar sodium transport and lung fluid balance in vivo, we generated mice lacking CAP1/Prss8 in the alveolar epithelium using conditional Cre-loxP-mediated recombination. Deficiency of CAP1/Prss8 in AEC induced in vitro a 40% decrease in ENaC-mediated sodium currents. Sodium-driven alveolar fluid clearance (AFC) was reduced in CAP1/Prss8-deficient mice, due to a 48% decrease in amiloride-sensitive clearance, and was less sensitive to beta(2)-agonist treatment. Intra-alveolar treatment with neutrophil elastase, a soluble serine protease activating ENaC at the cell surface, fully restored basal AFC and the stimulation by beta(2)-agonists. Finally, acute volume-overload increased alveolar lining fluid volume in CAP1/Prss8-deficient mice. This study reveals that CAP1 plays a crucial role in the regulation of ENaC-mediated alveolar sodium and water transport and in mouse lung fluid balance.

The epithelial sodium channel and the control of sodium balance.

Studies aiming at the elucidation of the genetic basis of rare monogenic forms of hypertension have identified mutations in genes coding for the epithelial sodium channel ENaC, for the mineralocorticoid receptor, or for enzymes crucial for the synthesis of aldosterone. These genetic studies clearly demonstrate the importance of the regulation of Na(+) absorption in the aldosterone-sensitive distal nephron (ASDN), for the maintenance of the extracellular fluid volume and blood pressure. Recent studies aiming at a better understanding of the cellular and molecular basis of ENaC-mediated Na(+) absorption in the distal part of nephron, have essentially focused on the regulation ENaC activity and on the aldosterone-signaling cascade. ENaC is a constitutively open channel, and factors controlling the number of active channels at the cell surface are likely to have profound effects on Na(+) absorption in the ASDN, and in the amount of Na(+) that is excreted in the final urine. A number of membrane-bound proteases, kinases, have recently been identified that increase ENaC activity at the cell surface in heterologous expressions systems. Ubiquitylation is a general process that regulates the stability of a variety of target proteins that include ENaC. Recently, deubiquitylating enzymes have been shown to increase ENaC activity in heterologous expressions systems. These regulatory mechanisms are likely to be nephron specific, since in vivo studies indicate that the adaptation of the renal excretion of Na(+) in response to Na(+) diet occurs predominantly in the early part (the connecting tubule) of the ASDN. An important work is presently done to determine in vivo the physiological relevance of these cellular and molecular mechanisms in regulation of ENaC activity. The contribution of the protease-dependent ENaC regulation in mediating Na(+) absorption in the ASDN is still not clearly understood. The signaling pathway that involves ubiquitylation of ENaC does not seem to be absolutely required for the aldosterone-mediated control of ENaC. These in vivo physiological studies presently constitute a major challenge for our understanding of the regulation of ENaC to maintain the Na(+) balance.

Multi-Objective and Financial Portfolio Optimization of Carrier-Sense Multiple Access Protocols with Cooperative Diversity

8th International Workshop on Multiple Access Communications (MACOM2015), Helsinki, Finland.

Portuguese banks and the economic adjustment programme: balance sheet adjustments and impact on profitability

Double Degree. A Work Project presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics and a Masters Degree in Finance from Louvain School of Management

Regulation of the epithelial Na+ channel ENaC by Tsg101 in renal epithelial cells

Kidneys are the main regulator of salt homeostasis and blood pressure. In the distal region of the tubule active Na-transport is finely tuned. This transport is regulated by various hormonal pathways including aldosterone that regulates the reabsorption at the level of the ASDN, comprising the late DCT, the CNT and the CCD. In the ASDN, the amiloride-sensitive epithelial Na-channel (ENaC) plays a major role in Na-homeostasis, as evidenced by gain-of function mutations in the genes encoding ENaC, causing Liddle's syndrome, a severe form of salt-sensitive hypertension. In this disease, regulation of ENaC is compromised due to mutations that delete or mutate a PY-motif in ENaC. Such mutations interfere with Nedd4-2- dependent ubiquitylation of ENaC, leading to reduced endocytosis of the channel, and consequently to increased channel activity at the cell surface. After endocytosis ENaC is targeted to the lysosome and rapidly degraded. Similarly to other ubiquitylated and endocytosed plasma membrane proteins (such as the EGFR), it is likely that the multi-protein complex system ESCRT is involved. To investigate the involvement of this system we tested the role of one of the ESCRT proteins, Tsg101. Here we show that Tsg101 interacts endogenously and in transfected HEK-293 cells with all three ENaC sub-units. Furthermore, mutations of cytoplasmic lysines of ENaC subunits lead to the disruption of this interaction, indicating a potential involvement of ubiquitin in Tsg101 / ENaC interaction. Tsg101 knockdown in renal epithelial cells increases the total and cell surface pool of ENaC, thus implying TsglOl and consequently the ESCRT system in ENaC degradation by the endosomal/lysosomal system. - Les reins sont les principaux organes responsables de la régulation de la pression artérielle ainsi que de la balance saline du corps. Dans la région distale du tubule, le transport actif de sodium est finement régulé. Ce transport est contrôlé par plusieurs hormones comme l'aldostérone, qui régule la réabsorption au niveau de l'ASDN, segment comprenant la fin du DCT, le CNT et le CCD. Dans l'ASDN, le canal à sodium épithélial sensible à l'amiloride (ENaC) joue un rôle majeur dans l'homéostasie sodique, comme cela fut démontré par les mutations « gain de fonction » dans les gênes encodant ENaC, causant ainsi le syndrome de Liddle, une forme sévère d'hypertension sensible au sel. Dans cette maladie, la régulation d'ENaC est compromise du fait des mutations qui supprime ou mute le domaine PY présent sur les sous-unités d'ENaC. Ces mutations préviennent l'ubiquitylation d'ENaC par Nedd4-2, conduisant ainsi à une baisse de l'endocytose du canal et par conséquent une activité accrue d'ENaC à la surface membranaire. Après endocytose, ENaC est envoyé vers le lysosome et rapidement dégradé. Comme d'autres protéines membranaires ubiquitylées et endocytées (comme l'EGFR), il est probable que le complexe multi-protéique ESCRT est impliqué dans le transport d'ENaC au lysosome. Pour étudier l'implication du système d'ESCRT dans la régulation d'ENaC nous avons testé le rôle d'une protéine de ces complexes, TsglOl. Notre étude nous a permis de démontrer que TsglOl se lie aux trois sous-unités ENaC aussi bien en co-transfection dans des cellules HEK-293 que de manière endogène. De plus, nous avons pu démontrer l'importance de l'ubiquitine dans cette interaction par la mutation de toutes les lysines placées du côté cytoplasmique des sous-unités d'ENaC, empêchant ainsi l'ubiquitylation de ces sous-unités. Enfin, le « knockdown » de TsglOl dans des cellules épithéliales de rein induit une augmentation de l'expression d'ENaC aussi bien dans le «pool» total qu'à la surface membranaire, indiquant ainsi un rôle pour TsglOl et par conséquent du système d'ESCRT dans la dégradation d'ENaC par la voie endosome / lysosome. - Le corps humain est composé d'organes chacun spécialisé dans une fonction précise. Chaque organe est composé de cellules, qui assurent la fonction de l'organe en question. Ces cellules se caractérisent par : - une membrane qui leur permet d'isoler leur compartiment interne (milieu intracellulaire ou cytoplasme) du liquide externe (milieu extracellulaire), - un noyau, où l'ADN est situé, - des protéines, sortent d'unités fonctionnelles ayant une fonction bien définie dans la cellule. La séparation entre l'extérieure et l'intérieure de la cellule est essentielle pour le maintien des composants de ces milieux ainsi que pour la bonne fonction de l'organisme et des cellules. Parmi ces composants, le sodium joue un rôle essentiel car il conditionne le maintien de volume sanguin en participant au maintien du volume extracellulaire. Une augmentation du sodium dans l'organisme provoque donc une augmentation du volume sanguin et ainsi provoque une hypertension. De ce fait, le contrôle de la quantité de sodium présente dans l'organisme est essentiel pour le bon fonctionnement de l'organisme. Le sodium est apporté par l'alimentation, et c'est au niveau du rein que va s'effectuer le contrôle de la quantité de sodium qui va être retenue dans l'organisme pour le maintien d'une concentration normale de sodium dans le milieu extracellulaire. Le rein va se charger de réabsorber toutes sortes de solutés nécessaires pour l'organisme avant d'évacuer les déchets ou le surplus de ces solutés en produisant l'urine. Le rein va se charger de réabsorber le sodium grâce à différentes protéines, parmi elle, nous nous sommes intéressés à une protéine appelée ENaC. Cette protéine joue un rôle important dans la réabsorption du sodium, et lorsqu'elle fonctionne mal, comme il a pu être observé dans certaines maladies génétiques, il en résulte des problèmes d'hypo- ou d'hypertension. Les problèmes résultant du mauvais fonctionnement de cette protéine obligent donc la cellule à réguler efficacement ENaC par différents mécanismes, notamment en diminuant son expression et en dégradant le « surplus ». Dans cette travail de thèse, nous nous sommes intéressés au mécanisme impliqué dans la dégradation d'ENaC et plus précisément à un ensemble de protéines, appelé ESCRT, qui va se charger « d'escorter » une protéine vers un sous compartiment à l'intérieur de la cellule ou elle sera dégradée.

The heterotetrameric architecture of the epithelial sodium channel (ENaC).

The epithelial sodium channel (ENaC) is a key element for the maintenance of sodium balance and the regulation of blood pressure. Three homologous ENaC subunits (alpha, beta and gamma) assemble to form a highly Na+-selective channel. However, the subunit stoichiometry of ENaC has not yet been solved. Quantitative analysis of cell surface expression of ENaC alpha, beta and gamma subunits shows that they assemble according to a fixed stoichiometry, with alpha ENaC as the most abundant subunit. Functional assays based on differential sensitivities to channel blockers elicited by mutations tagging each alpha, beta and gamma subunit are consistent with a four subunit stoichiometry composed of two alpha, one beta and one gamma. Expression of concatameric cDNA constructs made of different combinations of ENaC subunits confirmed the four subunit channel stoichiometry and showed that the arrangement of the subunits around the channel pore consists of two alpha subunits separated by beta and gamma subunits.

Colon-specific deletion of epithelial sodium channel causes sodium loss and aldosterone resistance.

Aldosterone promotes electrogenic sodium reabsorption through the amiloride-sensitive epithelial sodium channel (ENaC). Here, we investigated the importance of ENaC and its positive regulator channel-activating protease 1 (CAP1/Prss8) in colon. Mice lacking the αENaC subunit in colonic superficial cells (Scnn1a(KO)) were viable, without fetal or perinatal lethality. Control mice fed a regular or low-salt diet had a significantly higher amiloride-sensitive rectal potential difference (∆PDamil) than control mice fed a high-salt diet. In Scnn1a(KO) mice, however, this salt restriction-induced increase in ∆PDamil did not occur, and the circadian rhythm of ∆PDamil was blunted. Plasma and urinary sodium and potassium did not change with regular or high-salt diets or potassium loading in control or Scnn1a(KO) mice. However, Scnn1a(KO) mice fed a low-salt diet lost significant amounts of sodium in their feces and exhibited high plasma aldosterone and increased urinary sodium retention. Mice lacking the CAP1/Prss8 in colonic superficial cells (Prss8(KO)) were viable, without fetal or perinatal lethality. Compared with controls, Prss8(KO) mice fed regular or low-salt diets exhibited significantly reduced ∆PDamil in the afternoon, but the circadian rhythm was maintained. Prss8(KO) mice fed a low-salt diet also exhibited sodium loss through feces and higher plasma aldosterone levels. Thus, we identified CAP1/Prss8 as an in vivo regulator of ENaC in colon. We conclude that, under salt restriction, activation of the renin-angiotensin-aldosterone system in the kidney compensated for the absence of ENaC in colonic surface epithelium, leading to colon-specific pseudohypoaldosteronism type 1 with mineralocorticoid resistance without evidence of impaired potassium balance.

Effects of mineralocorticoid and K+ concentration on K+ secretion and ROMK channel expression in a mouse cortical collecting duct cell line.

The cortical collecting duct (CCD) plays a key role in regulated K(+) secretion, which is mediated mainly through renal outer medullary K(+) (ROMK) channels located in the apical membrane. However, the mechanisms of the regulation of urinary K(+) excretion with regard to K(+) balance are not well known. We took advantage of a recently established mouse CCD cell line (mCCD(cl1)) to investigate the regulation of K(+) secretion by mineralocorticoid and K(+) concentration. We show that this cell line expresses ROMK mRNA and a barium-sensitive K(+) conductance in its apical membrane. As this conductance is sensitive to tertiapin-Q, with an apparent affinity of 6 nM, and to intracellular acidification, it is probably mediated by ROMK. Overnight exposure to 100 nM aldosterone did not significantly change the K(+) conductance, while it increased the amiloride-sensitive Na(+) transport. Overnight exposure to a high K(+) (7 mM) concentration produced a small but significant increase in the apical membrane barium-sensitive K(+) conductance. The mRNA levels of all ROMK isoforms measured by qRT-PCR were not changed by altering the basolateral K(+) concentration but were decreased by 15-45% upon treatment with aldosterone (0.3 or 300 nM for 1 and 3 h). The paradoxical response of ROMK expression to aldosterone could possibly work as a preventative mechanism to avoid excessive K(+) loss which would otherwise result from the increased electrogenic Na(+) transport and associated depolarization of the apical membrane in the CCD. In conclusion, mCCD(cl1) cells demonstrate a significant K(+) secretion, probably mediated by ROMK, which is not stimulated by aldosterone but increased by overnight exposure to a high K(+) concentration.