Dissertations / Theses on the topic 'Shock aggregati'

La tesi è formata da due capitoli su dinamica della distribuzione delle imprese e shock aggregati. Usando un modello ad imprese eterogenee, la tesi studia le fluttuazioni di ciclo economico dovute a shock alla tecnologia ed ai costi in entrata.
This dissertation collects two essays on firm size dynamics and aggregate shocks. By employing a model with heterogeneous firms, search frictions and endogenous entry/exit we investigate the business cycle dynamics of the firm size distribution by looking at entry cost and technology shocks. The thesis is divided into two chapters.\\ The first chapter explores how an increase in entry costs affects the size of new entrants and the concentration of employment according to firm size, along with its effects on macro-variables such as unemployment and the exit rate. To this aim we use a BVAR model to estimate the response of such variables to an entry cost shock, then we develop a heterogeneous-firm model with search frictions and endogenous entry/exit dynamics calibrated on data from Business Dynamics Statistics (BDS) database to address our empirical results.\\ We find that positive entry cost shocks increase the average size of entrants and move employment shares toward the largest firms. These results reveal the role of entry costs' fluctuations in explaining the dynamics at business cycle horizons of both firm and employment share distributions according to size.\\ The second chapter perturbed the model with a technology shock to replicate the long-run differential of job destruction due to exit between small and large firms and its empirical response to technology shocks (estimated by a BVAR). Contrary to frameworks with \textit{exogenous} exit, the model is able to account for the volatility of exit and the differential of job destruction due to exit between small and large firms conditional to the technology shock. Moreover we find that not only entry but also exit is a viable amplification channel for the response of unemployment to the shock.\\

Thesis advisor: Matteo Iacoviello
First part of my dissertation documents a positive correlation between changes in output volatilities and changes in net foreign asset positions for a sample of advanced economies. The correlation is robust to different measures of changes in volatility, to the inclusion of a large set of control variables, and to alternative estimation techniques. Given country specific characteristics, a one standard deviation increase in volatility generates a .21 percent increase in a country's ratio of net foreign asset position to GDP. In addition, the paper finds a clear channel from financial crises to changes in net foreign asset positions through changes in output volatilities, providing a strong empirical support for Bernanke's (2005) conjecture on the main causes for the emergence of a global saving glut. I build DSGE model to account for the relationship between volatility and NFA positions. The model explains around 25% of the change in NFA position for a representative country. Second part of my dissertation demonstrates that simultaneous changes in the volatility of uninsurable idiosyncratic risk across countries can explain the occurrence of global imbalances. I construct an international real business cycle model in which heterogeneous agents are not able to fully insure against aggregate and idiosyncratic shocks to labor earnings. First, I show that changes in idiosyncratic volatility can lead to much larger external imbalances than changes in aggregate volatility of the same magnitude. Second, I employ the Luxembourg Income Study dataset to measure changes in idiosyncratic risk for selected countries over the period 1980-2000, and use the results to calibrate the model. Under this approach, the model can quantitatively explain between 30 and 40 percent of the change in the U.S. net foreign asset position and comes close to explaining the change in Japan's net foreign asset position. The results are robust to different parameter values and model specifications
Thesis (PhD) — Boston College, 2009
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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In economies characterized by both aggregate and privately observed idiosyn- cratic risks we show that constrained e¢cient allocations may display non-trivial dependence on aggregate shocks. Using two period versions of both a Atkeson and Lucas (1992) preference shock model and a dynamic Mirrlees (1971) economy we show that constrained optimal allocations have memory with respect to aggre- gate shocks despite their being i.i.d. and independent from idiosyncratic shocks, whenever the latter are not perfectly persistent. The fact that shocks may have per- sistent e¤ects on allocations despite their public and i.i.d nature, was rst shown by Phelan (1994) in a dynamic moral hazard economy with CARA preference. Our numerical simulations indicate that these are not knife-edge results: there is a monotonic relationship between private persistence and aggregate memory in many di¤erent environments.
Em economias caracterizadas por choques agregados e privados, mostramos que a alocação ótima restrita pode depender de forma não-trivial dos choques agregados. Usando versões dos modelos de Atkeson e Lucas (1992) e Mirrlees (1971) de dois períodos, é mostrado que a alocação ótima apresenta memória com relação aos choques agregados mesmo eles sendo i.i.d. e independentes dos choques individuais, quando esses últimos choques não são totalmente persistentes. O fato de os choques terem efeitos persistentes na alocação mesmo sendo informação pública, foi primeiramente apresentado em Phelan (1994). Nossas simulações numéricas indicam que esse não é um resultado pontual: existe uma relação contínua entre persistência de tipos privados e memória do choque agregado.

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
FUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO
BOLSA NOTA 10
Este trabalho estima a volatilidade de choques agregados e setoriais, bem como suas contribuições para flutuações econômicas, usando microdados de preços. A ideia central é que inovações setoriais estão associadas com a dinâmica de certas estatísticas, como tamanho médio de reajustes de preços, de um setor econômico específico, enquanto a volatilidade de choques agregados pode ser inferida pela correlação destas estatísticas entre setores diferentes. Portanto, microdados de preços contêm informação sobre a natureza dos ciclos econômicos. Emprega-se aqui um modelo de fixação de preços no qual firmas enfrentam não somente custos de menu, mas também fricções de natureza informacional. O modelo é estimado usando o Método dos Momentos Simulados e dados do Reino Unido. Encontra-se que choques setoriais são consideravelmente mais voláteis que choques agregados.
We estimate the volatility of aggregate and sectoral shocks, as well as their contributions to business cycles fluctuations, using price setting data. The key idea is that sector-specific innovations are associated with the dynamics of price setting statistics, such as average size of price adjustments, within a single economic sector, while the volatility of aggregate disturbances can be inferred from the correlation of these statistics across different sectors. Therefore, price setting data provides useful information about the nature of economic fluctuations. We employ a rich price setting model in which firms face not only menu costs, but also informational frictions and estimate it using Simulated Method of Moments and data from the UK. We find that sectoral shocks are considerably more volatile than their aggregate counterparts.

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The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism.
O objetivo deste trabalho é prover uma revisão sucinta da literatura sobre o desenho ótimo de programas de seguro-desemprego, por meio da análise de alguns dos artigos mais influentes publicados nas últimas três décadas, e estender os seus principais resultados para um ambiente econômico sujeito a choques agregados. As propriedades dos contratos ótimos são discutidas à luz das hipóteses-chave usualmente adotadas em publicações teóricas nessa área. Além disso, as implicações associadas ao relaxamento dessas hipóteses também são investigadas. A análise de modelos que contemplam apenas um ciclo de desemprego começa com o trabalho de Shavell e Weiss (1979). A partir de um ambiente econômico simples e comum à maioria dos trabalhos, estudam-se as políticas de benefícios, taxas sobre os salários e o nível ótimo de esforço a ser exercido na procura por emprego. Adicionalmente, questiona-se a idéia de que as distorções no preço relativo de consumo e lazer provocadas pelo seguro-desemprego são a única explicação para alterações marginais dos incentivos à procura por emprego. Usualmente interpretada como um problema de perigo-moral causado por um efeito-substtituição, a redução na oferta de trabalho causada por programas de seguro-social é discutida sob essa nova perspectiva. Apresenta-se ainda um estudo teórico sobre contratos de seguro-desemprego ótimo quando os agentes estão sujeitos a mais de um ciclo de desemprego. Finalmente, uma extensão dos modelos a um ambiente sujeito a múltiplos choques agregados é desenvolvida. O trabalho termina com um exercício numérico acerca das implicações de choques i.i.d. sobre o desenho de programas de seguro-desemprego.

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We assess the existence of a long run stationary distribution of expected util- ities in a dynamic Mirrlees’s (1971) incentive structure when the government has only imperfect record keeping and the economy is subject to aggregate shocks. When aggregate shocks are i.i.d., we prove the existence of such a distribution and partially characterize the steady-state allocations. We show that the consumption share of each cohort is invariant to the aggregate state. In contrast, when aggre- gate shocks are persistent, efficient allocations display history dependence, and an invariant distribution need not exist.
Nós abordamos a existência de distribuições estacionárias de promessas de utilidade em um modelo Mirrlees dinâmico quando o governo tem record keeping imperfeito e a economia é sujeita a choques agregados. Quando esses choques são iid, provamos a existência de um estado estacionário não degenerado e caracterizamos parcialmente as alocações estacionárias. Mostramos que a proporção do consumo agregado é invariante ao estado agregado. Quando os choques agregados apresentam persistência, porém, alocações eficientes apresentam dependência da história de choques e, em geral, uma distribuição invariante não existe.

Die erfolgreiche Synthese und Faltung von Proteinen ist eine Voraussetzung der Zellfunktion und ein Versagen der Proteinhomöostase führt zu Krankheit oder Tod. In der Zelle sichern molekulare Chaperone die korrekte Faltung der Proteine oder tragen zur Entsorgung unwiederbringlich fehlgefalteter Proteinsubstrate bei. Unter diesen Chaperonen sind kleine Hitzeschockproteine (sHsp) ein ATP-unabhängiger Teil des Proteostasenetzwerks. In dieser Arbeit habe ich das bisher wenig erforschte sHsp HSP-17 aus C. elegans untersucht. Im Gegensatz zu anderen sHsps zeigte HSP-17 nur eine geringe Aktivität beim Verhindern der Aggregation von Proteinsubstraten. Stattdessen konnte ich in vitro zeigen, dass HSP-17 die Aggregation von Modellsubstraten fördert, was hier für Metazoen-sHsps erstmals gezeigt wurde. HSP-17 kopräzipitiert mit Substraten und modifiziert deren Aggregate möglicherweise. HSP-17 kolokalisiert in vivo mit Aggregaten, und seine aggregationsfördernde Aktivität konnte ich für das physiologische Substrat KIN-19 und heterolog exprimierte polyQ-Peptide validieren. Durch ex vivo Analysen konnte ich zeigen, dass die Aktivität von HSP-17 für die Fitness relevant ist  In einem zweiten Projekt habe ich zur Entwicklung eines neuen Modelles für Aß-Pathologie in C. elegans beigetragen, welches substöchiometrische Markierungen verwendet, um eine zeitnahe Visualisierung der Aß-Aggregation in spezifischen Zelltypen zu ermöglichen. Das Modell spiegelt bekannte Phänotypen der Aß-Proteotoxizität aus Menschen und bestehenden C. elegans Aß-Stämmen wider. Interessanterweise zeigt eine Untergruppe der Neuronen, die IL2-Neuronen, eine höhere Anfälligkeit für die Aggregation und Proteotoxizität von Aß1-42. Eine gezielte Reduktion von Aß1-42 in IL2 Neuronen führt zu einer systemischen Reduktion der Pathologie. Somit bietet das Modell eine neue Plattform, um die Bedeutung molekularer Chaperone, wie z. B. der sHsps, für Amyloidosen zu untersuchen, auch im Hinblick auf menschliche Erkrankungen.
Successful synthesis and folding of proteins is a prerequisite for cellular function and failure of protein homeostasis leads to disease or death. Within the cell, molecular chaperones ensure correct protein folding or aid in the disposal of terminally misfolded protein substrates. Among these chaperones, small heat shock proteins (sHsps) are ATP-independent members of the proteostasis network. In this work, I analyzed the so far under-researched C. elegans sHsp HSP-17. Unlike other sHsps, HSP-17 exhibited only weak activity in preventing aggregation of protein substrates. Instead, I could show in vitro that HSP-17 can promote the aggregation of protein substrates, which is the first demonstration for metazoan sHsps. HSP-17 co-precipitates with substrates and potentially modifies the aggregates.  HSP-17 colocalizes with aggregates and pro-aggregation activity is present in vivo, which I demonstrated for the physiological substrate KIN-19 and heterologously expressed amyloidogenic polyQ peptides. By physiological, biochemical and proteomic analysis I showed that HSP-17 activity is relevant for organismal fitness In a second project, I contributed to the development and characterization of a novel model of Aß pathology in C. elegans. This new AD model employs sub-stoichiometric labeling to allow live visualization of Aß aggregation in distinct cell types. The model mirrors known phenotypes of Aß proteotoxicity in humans and existing C. elegans Aß strains. Interestingly, a subset of neurons, the IL2 neurons, is shown to be more vulnerable to Aß proteotoxicity and targeted depletion of Aß in these neurons systemically ameliorates pathology. Thereby, the model presents a new platform to assess the relevance of molecular chaperones such as sHsps in amyloidosis with a perspective on human disease.

Alzheimer’s disease (AD) is a neurodegenerative disorder that is one of such diseases associated with protein aggregation. Aβ is the main protein component of senile plaques in AD, and is neurotoxic when aggregated. In particular, soluble oligomeric forms of Aβ are closely related to neurotoxicity. In this dissertation, we examine the differences in Aβ aggregation intermediates, and final structures formed when only a simple modification in Aβ aggregation conditions is made, the presence or absence of mixing during aggregation. We show that intermediates in the aggregation pathway show significantly different structural rearrangements. The protein stabilities of Αβ species show that spherical aggregates corresponding to the most toxic Αβ species change their structure the most rapidly in denaturant, and that in general, increased toxicity correlated with decreased aggregate stability. In Alzheimer’s disease, even delaying Aβ aggregation onset or slowing its progression might be therapeutically useful, as disease onset is late in life. Small heat shock proteins (sHsps) may be useful for prevention of Αβ aggregation, since sHsps can interact with partly folded intermediate states of proteins to prevent incorrect folding and aggregation. In this research, several small heat shock proteins (sHsps) are tested to prevent Aβ aggregation and toxicity. sHsps used in this research are Hsp17.7, Hsp27, and Hsp20. All types of Hsp20, Hsp20-MBP, His-Hsp20 and His-Hsp20 without 11 residues in C-terminus, can prevent Aβ1-40 aggregation. Hsp20 also prevents Aβ toxicity in the same concentration ranges of it aggregation prevention activity. Hsp17.7 and Hsp27, however, can inhibit Αβ1-40 aggregation but not toxicity. A number of experiments to examine the mechanism of Hsp20 suggest that multivalent binding of sHsp to Aβ is necessary for the toxicity prevention activity. Conclusively, different Aβ incubation conditions in vitro can affect the rate of Aβ fibril formation, the morphology, the toxicity and the conformation of intermediates in the aggregation pathway. Hsp20 rather than other sHsps may be a useful molecular model for the drug design of the next generation of Aβ aggregation inhibitors to be used in the treatment of AD.

This thesis contains 3 empirical chapters with relevance to the ‘international stock market integration’ literature. The first chapter aims to investigate the evolution of the international integration of emerging European stock markets with the world market for the period of 1996 to 2011. For this purpose, using dynamic conditional correlation approaches, the changes that occur in correlation (integration) levels due to four global/regional incidents: i) the 1998 Russian crisis; ii) the 2001 dotcom crisis and the 9/11 shocks; iii) the 2004 EU enlargement; and iv) the 2007-2009 global financial crisis are examined. The findings show that the volatilities of emerging European stock markets and their correlation structures with the world market significantly change due to the impacts of global/regional incidents. Although it is obvious that each incident has a differential impact on each country depending on the internal dynamics of those countries at the times of incidents, the findings still clearly reveal the general common impacts of the investigated incidents on the volatilities and the correlation structures of the sample countries with the world market. The second chapter investigates the international stock market integration phenomenon at a disaggregated level for emerging European countries. For this purpose, by using the Geweke technique (1982) the world market integration levels of individual companies, namely ‘individual stock integrations’ are measured. Furthermore, by using firm specific and industry level variables, the year to year changes in integration levels are explained to identify the determinants of an individual level stock integration. The results confirm the presence of individual stock integration since each company is integrated with the world market at different level of strength. Furthermore, panel data analysis shows that it is possible to explain those differences on the individual integration levels with both company specific variables and industry level variables. Comparing tranquil and shock periods’ heteroscedasticity corrected conditional correlations and dynamic conditional correlations; the final chapter tests the widely accepted belief of the significance of a ‘contagion effect’ from the US to emerging European countries during the latest global financial crisis. The chapter reveals that although the contagion effect is the most blamed factor for the propagation of financial crises, particularly for the last global financial crisis, the presence of contagion effect from the US market (crisis-origin country) is not that certain since the conclusion is highly dependent on econometric specifications and sample period diversifications.

Depuis la crise financière, les interdépendances entre les institutions financières font partie intégrante de l’analyse et de la politique économique. Le monde entier a appris douloureusement comment des chocs relativement petits et localisés (comme la crise des subprimes aux États-Unis) peuvent se propager par le système financier à travers le monde et générer des conséquences importantes pour l’économie réelle. Depuis lors, les analyses académiques ont cherché à comprendre les caractéristiques du système financier qui déterminent le risque systémique. Le point de départ de la majorité de ces études est de considérer la structure du réseau financier comme étant donnée. Cependant, chaque jour des quantités importantes d’instruments financiers sont échangées. Cette structure change donc. Cette thèse démontre que ces ajustements endogènes jouent un rôle clé pour la transmission de chocs par les réseaux financiers. Sur le plan théorique, la thèse construit des modèles d’équilibre général qui permettent de comprendre la formation endogène des réseaux. En effet, le réseau est le résultat d’échanges d’instruments financiers entre les institutions financières. Les analyses empiriques exploitent quant-à-elles plusieurs bases de données micro- et macro-économiques pour mesurer l’importance des mécanismes théoriques. La thèse bénéficie particulièrement des bases confidentielles et détaillées de la Banque de France.Le premier chapitre fait le lien avec l’économie réelle. Il montre comment les chocs de productivité au niveau d’une entreprise peuvent se propager par le réseau financier : deux entreprises peuvent être liées par leur financement externe même si elles n’ont pas ou peu de liens par leur activité réelle. Ces liens peuvent avoir des conséquences macro-économiques. Le chapitre construit un modèle théorique multi-sectoriel de la production avec des entreprises hétérogènes qui financent une partie de leurs dépenses en émettant des titres. Ces titres de créances sont achetés par les banques qui sont contraintes de respecter un certain ratio de capitalisation. A l’équilibre, les chocs de productivité se propagent par les réseaux financiers. Le modèle est estimé et pourra également se prêter à l’étude de la régulation macro-prudentielle et la politique monétaire.Le deuxième chapitre de la thèse exploite les données désagrégées sur les avoirs et les engagements des banques. Elles permettent d’identifier et estimer un modèle d’équilibre général d’échanges d’instruments financiers. Les banques choisissent la taille et la diversification de leurs bilans. La propagation de chocs est déterminée, non pas par le montant des investissements mais par les ajustements des bilans bancaires face à ces chocs. Le réseau a les caractéristiques clés suivantes : (i) un réseau plus connecté implique moins d’amplification, (ii) l’influence d’une banque est indépendante de la taille de ses positions, (iii) les banques qui sont plus averses au risque réussissent à diminuer leur risque, mais accroissent leur influence sur les autres banques du réseau. Sur le plan empirique, le chapitre montre que la réponse endogène du réseau est deux à trois fois plus importante pour la propagation de chocs que le réseau préexistant. Le modèle estimé permet d’évaluer les effets des programmes d’achat de titres mis en place par la Banque Centrale Européenne.Le troisième chapitre conclue la thèse avec une analyse plus agrégée. Il montre d’abord que des évolutions sectorielles, comme l’expansion de l’endettement extérieur du secteur public français, ont été à l’origine de la détérioration de la position extérieure nette de la France entre 2008 et 2014. Il fournit une représentation de réseau des liens entre les secteurs institutionnels domestiques avec l’étranger et documente leurs évolutions sur la période. La propagation des chocs sectoriels à travers les détentions de titres est étudiée dans un modèle de contagion qui est estimé grâce à la méthode de moments généralisés
Financial inter-dependencies are since the financial crisis at the forefront of macroeconomic research and policy making. The world had painfully learned how small and localized events can travel through the global financial system with huge repercussions for the real economy. Since then, many studies have analyzed the propagation properties of given financial exposure networks. Each day, however, large amounts of financial assets are traded and financial institutions’ balance-sheets change in response to new information, regulation or monetary policy. Changes in exposures crucially affect the transmission of shocks. This thesis develops general equilibrium frameworks that show how financial networks emerge endogenously from trade in financial assets between heterogeneous institutions. I use micro and macro-level datasets including confidential data from the Banque de France to structurally identify risk-preferences, institutions' beliefs about the distribution of future financial asset returns, and the specific constraints that drive financial network formation. The thesis also derives an explicit firm-level link of financial networks to an economy's productive structure.Chapter 1 of the thesis shows how firm-level productivity shocks propagate through financial networks. If firms need external funds to finance capital expenditure, banks create linkages between them that go beyond their input-output relationships. These links can affect aggregate output. The chapter builds a multi-sector production model of heterogeneous firms that are financed by heterogeneous leverage targeting banks. Banks are themselves connected through bilateral cross-holdings. Endogenous financial asset prices introduce a new propagation channel of productivity shocks. Structural parameters such as bank-level leverage constraints determine the strength of this channel and one statistic is sufficient to capture it. I use confidential matched bank-firm-level data from the Banque de France on corporate bond investments to estimate the model. The model can be used to study macro-prudential regulation and monetary policy.Chapter 2 uses bank- and instrument-level data on asset holdings and liabilities to identify and estimate a general equilibrium model of trade in financial instruments shaping an endogenous network of interlinked banks' balance-sheets. Bilateral ties are formed as each bank selects the size and the diversification of its assets and liabilities. Shocks propagate due to the response, rather than the size, of bilateral ties to such shocks. The network exhibit key theoretical properties: (i) more connected networks lead to less amplification of partial equilibrium shocks, (ii) the influence of a bank's equity is independent of the size of its holdings; (iii) more risk-averse banks are more diversified, lowering their own volatility but increasing their influence on other banks. The structural estimation of the network model for the universe of French banks shows that the endogenous change in the network matters two to three times more than the initial network of cross-holdings for the transmission of shocks. The estimated network is used to assess the effects of the ECB's quantitative easing policy.Chapter 3 concludes the thesis with a more aggregated sector-level analysis. It first studies how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. It provides a network representation of the links between domestic sectors and the rest of the world. Sectoral shock propagation through inter-sectoral security holdings is studied in an estimated balance-sheet contagion model

β-Glucosidase (β-D-glucoside glucohydrolase, EC 3.2.1.21) catalyzes the hydrolysis of aryl and alkyl β-D-glucosides as well as glucosides with a carbohydrate moiety such as cellobiose and other beta-linked oligosaccharides. In maize (Zea mays L.), β-glucosidase exists as 120 kD homodimers, but also forms high-molecular-weight (HMW) aggregates in certain maize inbreds (nulls). In this study we show that the null β-glucosidase phenotype is caused by the formation of HMW enzyme aggregates (>1.5 X 10⁶ Daltons), caused by a β-glucosidase aggregating factor (BGAF). BGAF is a 32 kD protein that binds specifically to β-glucosidase and renders it insoluble during extraction. The data unequivocally demonstrate that BGAF is solely responsible for β-glucosidase aggregation and insolubility, and thus, the apparent null phenotype. Additionally, I have isolated the cDNA encoding BGAF and have identified BGAF as a member of the small heat-shock protein (sHsp) family. Interestingly, BGAF binds to both maize β-glucosidase isozymes (Glu1 and Glu2), but does not bind to their sorghum homolog Dhurrinase-1 (Dhr1; Sorghum beta-glucosidase), that shares 70% sequence identity with Glu1 and Glu2. Therefore, these proteins provide an excellent system to study functional differences at nonconserved residues and elucidate the mechanism of enzyme aggregation and insolubility. By examining the behavior of β-glucosidase chimeras in binding assays, I demonstrate that BGAF binding is conformation dependent, highly specific, and reminiscent of antigen-antibody interactions. Additionally, I have identified two disparate polypeptide segments in the primary structure of the maize beta-glucosidase isozyme Glu1 that form a BGAF binding site in the tertiary structure of the enzyme.
Master of Science

This paper analyzes and distinguishes the role and importance of the shocks related to the aggregate demand and aggregate supply on the behavior of the Peruvian inflation during the period 1997:1-2009:2. We use the methodology based on structural vector autoregressive (SVAR) models using a long-run identification based on Blanchard and Quah (1989) which allows to obtain the historical decomposition of the annual inflation. Unlike Salas (2009), this paper uses a more simple model of aggregate demand and aggregate supply, and a larger sample. The results show that the behavior of inflation was largely explained for shocks related to the aggregate demand side in comparison with aggregate supply shocks. Furthermore, the results of the variance decomposition of the prediction error show that in the short and long term, the shocks of the demand side explain around 70% and 60% of the movements of the inflation. The results are robust to the inclusion of different variables in the set of information.
Este documento distingue y explica el rol y la importancia de los choques de demanda y oferta agregada en el comportamiento de la inflación peruana durante el periodo 1997:1-2009:2. Para esto se utiliza la metodología de Vectores Autoregresivos Estructurales (SVAR, por sus siglas en inglés) con una descomposición de largo plazo propuesta por Blanchard y Quah (1989), lo que permite obtener la descomposición histórica de la inflación anual. A diferencia de Salas (2009), el presente trabajo se basa en un modelo simple de demanda y oferta agregada, y una muestra más amplia. Los resultados muestran que el comportamiento de la inflación obedeció en mayor medida a choques de demanda agregada en comparación con los choques de oferta agregada. Los resultados de la descomposición de la varianza del error de predicción muestran que, en el corto y largo plazo, los choques de demanda agregada explican alrededor del 70% y 60% de los movimientos de la inflación. Los resultados son robustos a la inclusión de diferentes variables dentro del conjunto de información.

Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In this work, I empirically investigate the macroeconomic determinants of UK ERP. For this I parsimoniously cover a large body of literature stemming from ERP puzzle. I motivate the empirical investigation based on three mutually exclusive theoretical lenses. The thesis is organised in the journal paper format. In the first paper I review the literature on ERP over the past twenty-eight years. In particular, the aim of the paper is three fold. First, to review the methods and techniques, proposed by the literature to estimate ERP. Second, to review the literature that attempts to resolve the ERP puzzle, first coined by Mehra and Prescott (1985), by exploring five different types of modifications to the standard utility framework. And third, to review the literature that investigates and develops relationship between ERP and various macroeconomic and market factors in domestic and international context. I find that ERP puzzle is still a puzzle, within the universe of standard power utility framework and Consumption Capital Asset Pricing Model, a conclusion which is in line with Kocherlakota (1996) and Mehra (2003). In the second paper, I investigate the impact of structural monetary policy shocks on ex-post ERP. More specifically, the aim of this paper is to investigate the whether the response of UK ERP is different to the structural monetary policy shocks, before and after the implementation of Quantitative Easing in the UK. I find that monetary policy shocks negatively affect the ERP at aggregate level. However, at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of Quantitative Easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the Bank of England’s monetary policy before and after the monetary stimulus. In the third paper I examine the impact of aggregate and disaggregate consumption shocks on the ex-post ERP of various FTSE indices and the 25 Fama-French style value-weighted portfolios, constructed on the basis of size and book-to-market characteristics. I extract consumption shocks using Structural Vector Autoregression (SVAR) and investigate its time-series and cross-sectional implications for ERP in the UK. These structural consumption shocks represent deviation of agent’s actual consumption path from its theoretically expected path. Aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, when the actual consumption is less than expected, the ERP rises. Durable and Semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks. In the fourth and final paper I investigate the impact of short and long term market implied volatility on the UK ERP. I also examine the pricing implications of innovations to short and long term implied market volatility in the cross-section of stocks returns. I find that both the short and the long term implied volatility have significant negative impact on the aggregate ERP, while at sectoral level the impact is heterogeneous. I find both short and long term volatility is priced negatively indicating that (i) investors care both short and long term market implied volatility (ii) investors are ready to pay for insurance against these risks.

A decade of growth and wealth generation in Russia ended in 2009 with the collapse in GDP and rising unemployment. This Great Recession added new economic challenges to the ‘old’ problems facing children and families, including widening income inequalities and the phenomenon of social orphanage. One question is how the new and existing material pressures affect parent–child relationships. This research contributes to the answer by examining, in aggregate terms, the role poverty plays in the allocation of parental time in this emerging economy. Utilising a nationally representative sample of children, it explores how child interactions with parents are affected by aggregate and idiosyncratic shocks. Drawing on the rational choice paradigm and its critique, we put forward the Parental Time Equilibrium as an analytical guide to the study. This theoretical approach presents individual decisions concerning time spent with children over the long term as the product of a defined equilibrium between resources and demands for involvement. We test this approach through pooled cross-sectional and panel analyses based on the Russian Longitudinal Monitoring Survey dataset from 2007 to 2009. Children in low-income households face the double disadvantage of a lack of money and time investments at home, with both persistent and transient poverty being associated with lower than average parental time inputs in the sample. Moreover, while on average, we find that children do maintain the amount of time they spend with their parents under conditions of severe financial strain, low–income children lose out on play time with the mother. Material resources cannot be considered in isolation from structural disadvantages, of which rural location in particular is detrimental for parent–child time together. The study demonstrates that the cumulative stress of adverse macro-economic conditions and depleted material resources makes it difficult for parents to sustain their human investment in children. The evidence this study provides on the associations between economic stress and pa-rental time allocations advances our knowledge of the disparities of in the childhood experience in modern Russian society. The findings strongly support the equal importance of available resources and basic demand for involvement, thus drawing policy attention to the need to address both in the best interests of children.

Among heat shock proteins, Hsp90 is unusual because it is not required for the proper folding of most cellular proteins but rather is disproportionally linked to the activation of signal transduction proteins including over forty kinases and many steroid hormone receptors. Mutated forms of many Hsp90 clients are causative agents in cancer, making Hsp90 a promising pharmacological target. Many small molecular inhibitors have been identified that competitively bind to the ATP binding site of Hsp90, some of which are in clinical trials as anticancer agents. Although the activation of kinase and hormone receptor clients by Hsp90 and its co-chaperones has been extensively studied, the molecular mechanism of client protein activation is poorly understood. Hsp90 is a dimeric chaperone containing three domains: the N-terminal (N) and middle (M) domains contribute directly to ATP binding and hydrolysis and the C-terminal (C) domain mediates dimerization. At physiological concentration, Hsp90 predominantly forms dimers, but the possibility that full-length monomers might also function in cells has not been tested. In Chapter 3, we used a single-chain strategy to design a full-length Hsp90 monomer (NMCC). The resulting construct was predominantly monomeric at physiological concentration and did not function to support yeast viability as the sole Hsp90. NMCC Hsp90 was also defective at ATP hydrolysis and the activation of kinase and steroid hormone receptor clients in yeast cells. The ability to support yeast growth was rescued by the addition of a coiled-coil dimerization domain, indicating that the parental single-chain construct is functionally defective because it is monomeric. After finding that a full-length Hsp90 monomer containing only one ATPase site was unable to support yeast viability or activate Hsp90 clients, we set out to further explore the role of ATPase activity in client protein activation. Approximately 10 % of the yeast proteome binds to Hsp90 making it important to study Hsp90 function in the cellular environment where all binding partners are present. In Chapter 4, we observed that co-expression of different Hsp90 subunits in Saccharomyces cerevisiae caused unpredictable synthetic growth defects due to cross-dimerization. We engineered super-stabilized Hsp90 dimers that resisted cross-dimerization with endogenous Hsp90 and alleviated the synthetic growth defect. We utilized these super-stabilized dimers to analyze the ability of ATPase mutant homodimers to activate known Hsp90 client proteins in yeast cells. We found that ATP binding and hydrolysis by Hsp90 are both required for the efficient maturation of the glucocorticoid hormone receptor (GR) and v-src confirming the critical role of ATP hydrolysis in the maturation of steroid hormone receptors and kinases in vivo. In addition to its role in the activation of signal transduction client proteins, Hsp90 has been shown to suppress the in vitro aggregation of numerous hard-to-fold proteins. In Chapter 5, we examine the role of charge in Hsp90 anti-aggregation activity. The charge on Hsp90 is largely concentrated in two highly acidic regions. We found that deletion of both charge-rich regions dramatically impaired Hsp90 anti-aggregation activity. Addition of an acid-rich region with a distinct amino acid sequence to our double-deleted Hsp90 construct rescued the anti-aggregation activity of Hsp90 indicating that the net charge contributes to its anti-aggregation activity. The in vitro anti-aggregation activity of Hsp90 studied in Chapter 5 occurs in the absence of ATP. However, all of the biologically important functions of Hsp90 in cells identified to date, including the maturation of kinases and nuclear steroid hormone receptors, clearly require ATP hydrolysis. Why does Hsp90 robustly hinder the aggregation of hard-to-fold proteins without ATP in vitro, but in vivo uses ATP hydrolysis for all of its essential functions? By utilizing separation of function Hsp90 variants (that specifically lack in vitro anti-aggregation activity) we have begun to address this question. We find that anti-aggregation deficient Hsp90 is unable to support yeast growth under stressful conditions, potentially due to reduced cellular expression. Interestingly, the ATP-independent anti-aggregation activity of Hsp90 has no measureable impact on cellular function. Thus, hindering the aggregation of most hard-to- fold proteins by Hsp90 (independent of ATP hydrolysis) does not appear to be important for cell function. These results suggest a cellular model where the Hsp40/60/70 machinery is responsible for hindering the aggregation of most hard-to-fold proteins while Hsp90 assists in the maturation of a select set of clients in an ATP-dependent fashion, potentially aided by its inherent anti-aggregation properties.

Es bien subido en la geografía económica que la distribución espacial de la población y las empresas está lejos de ser aleatoria, incluso después de controlar por características geográficas, como la existencia de recursos naturales, ríos, atraque marítimo o número de horas de sol en un año. Dentro de los países, observamos áreas muy densas con numerosas empresas locales activas con gran potencial de mercado y también lugares escasamente poblados. La aglomeración afecta a una amplia gama de fenómenos económicos que influyen en la vida cotidiana de los agentes económicos. Por ejemplo, la aglomeración puede causar mayores niveles de productividad para las empresas o mayores salarios para los trabajadores. Por otro lado, las áreas más densas también pueden sufrir los efectos de la congestión, que pueden dar lugar a elevados precios de alquiler y compra de vivienda, así como de otros bienes de consumo. La motivación subyacente de mi tesis es entender las relativamente menos estudiadas o nuevas consecuencias de las fuerzas de aglomeración. El principal objetivo de esta tesis es estimar el impacto de la aglomeración en los precios de los bienes raíces e investigar empíricamente el efecto de la densidad económica en la estabilidad del crecimiento de las empresas. La tesis también evalúa el impacto de esas fluctuaciones en la volatilidad del crecimiento agregado. La tesis contribuye al campo de la Microeconomía desde una perspectiva empírica, y se divide en tres capítulos separados. El objetivo del primer capítulo de la tesis es contrastar las implicaciones derivadas de una versión simplificada del modelo de renta ricardiana utilizando datos para Hungría. Según los principales resultados que obtenemos en este trabajo, un aumento de 10 puntos porcentuales en el crecimiento esperado de la población eleva los precios de la vivienda entre un 2 y un 8% según las diferentes especificaciones regionales. La magnitud de la población también influye significativamente: la elasticidad de los precios de la vivienda con respecto al tamaño de la ciudad varía de 0,065 a 0,21. La ubicación relativa es también un factor clave para determinar los precios de la vivienda: vivir un minuto más lejos del centro micro-regional disminuye un 2% el precio de la vivienda. El segundo capítulo investiga empíricamente el papel de la densidad económica en las fluctuaciones de las empresas. Según de los principales resultados de este segundo capítulo, la densidad de la actividad económica influye en la volatilidad de las empresas. La aglomeración, medida por la población local, el número de empresas o el número de trabajadores, afecta negativamente a la volatilidad del crecimiento de las ventas y el empleo de las empresas manufactureras húngaras durante los años 2000 y 2008. Estimamos una elasticidad negativa de la volatilidad de las empresas con respecto a la densidad, que implica que duplicar la densidad en un municipio o en una microrregión, mitiga las fluctuaciones de la empresa en torno a 2-11% dependiendo de las diferentes definiciones de aglomeración y técnicas econométricas. Para hacer controlar por la potencial endogeneidad de la aglomeración, debida a características de localización no observadas que simultáneamente atraen a las empresas y los trabajadores y alteran las fluctuaciones de las empresas, utilizamos un análisis de variables instrumentales análogo al de de Ciccone y Hall (1996) que utiliza valores históricos de la población local como instrumento para la densidad. Para aprovechar la estructura del panel de los datos, también utilizamos efectos fijos de empresa para controlar por las características inobservables que no varían en el tiempo. Ambos métodos llevan a la misma conclusión: niveles más altos de densidad económica local mitigan las fluctuaciones de las empresas. En el tercer capítulo se muestra que las fluctuaciones en las tasas de crecimiento de las empresas también tienen consecuencias a nivel agregado. Según los resultados, a nivel de la empresa, la gran mayoría de los shocks que afectan a las empresas son idiosincráticos, mientras que el componente macro-sectorial desempeña un papel relativamente menos importante para explicar el crecimiento de las ventas de la empresa. Curiosamente y lo más importante, esos shocks idiosincráticos no desaparecen a nivel de país. Además, la desviación estándar relativa del componente específico de la empresa es sorprendentemente alta: el 55,5% de las fluctuaciones agregadas puede explicarse por shocks idiosincráticos para toda la economía y 56,4% para el sector manufacturero. Estos resultados son robustos para diferentes definiciones de crecimiento y recorte y también a incorporar reacciones heterogéneas a los shocks. La contribución de la tesis al campo de la Microeconomía Aplicada es triple. En primer lugar, la comprensión de las consecuencias de la población (cambiante) sobre los precios de la vivienda es crucial, ya que la vivienda constituye la mayor parte de la riqueza de la mayoría de las familias. Los hallazgos, según los cuales una disminución de 10 puntos porcentuales del crecimiento esperado de la población disminuye los precios de la vivienda en un 2-10%, implica serias consecuencias para los mercados locales de vivienda a medio plazo, teniendo en cuenta que en muchos países se espera que ocurran cambios considerables a la estructura de edad con una distribución espacial desigual. Los asentamientos con menor población futura esperada, como las pequeñas aldeas en las zonas transdanúbianas del sur o en las regiones noreste de Hungría, tienden a tener precios de vivienda más bajos ya. Mientras tanto, los mercados inmobiliarios de los cinturones suburbanos en crecimiento disfrutan de un mayor nivel de precios debido a la creciente población esperada. No sólo el cambio, sino la magnitud de la población es crucial en la determinación de los precios de la vivienda, un factor mayormente y equivocadamente ignorado de los enfoques hedónicos. La elasticidad de la población en los precios de la vivienda está entre 0.065 y 0.21. Como predice la teoría ricardiana de la renta, la localización es también un factor clave para determinar los precios de la vivienda: vivir un minuto más lejos del centro micro-regional da como resultado un alojamiento más barato del 2%, sin embargo, la ubicación relativa a otros centros agregados, como a un condado o a una región, no tiene impacto en los precios de la vivienda. Las fuerzas de aglomeración también podrían tener un impacto positivo en los agentes económicos. La tesis da una nueva perspectiva de tales ventajas al proporcionar evidencia empírica sobre el efecto de la densidad económica sobre la estabilidad del crecimiento de las empresas. Los resultados indican que duplicar la población local, o el número de empresas o trabajadores en un municipio o micro-región mitiga las fluctuaciones de las ventas y el empleo de un 2-11% dependiendo de las medidas de estratificación y densidad regionales usadas. Nuestros hallazgos principales sugieren que la proximidad a otras empresas, especialmente a los proveedores de inputs potenciales, y los mercados de trabajo más grandes, se asocian con una trayectoria de crecimiento más estable. Por otro lado, en los municipios y micro-regiones menos aglomerados, las personas se enfrentan a un mayor riesgo de ser despedidas, lo que exige la necesidad de tener en cuenta esos riesgos no sólo para los trabajadores, sino también para los responsables de la política laboral. Nuestros hallazgos también podrían aportar nuevas ideas para los debates de política regional. Aunque a nivel individual, la mayoría de los shocks idiosincráticos golpean a las empresas, los shocks a nivel de empresa también son capaces de dar forma al ciclo económico, además tienen una contribución sorprendentemente alta en la volatilidad agregada del crecimiento de las ventas - a diferencia del saber común de décadas de antigüedad según la cual los shocks idiosincráticos se promedian a nivel macro. A pesar de que Hungría es una de las economías más abiertas del mundo, expuesta a shocks externos y sectoriales, casi el 50% de la volatilidad agregada de las ventas se debe a las fluctuaciones de la empresa. La evidencia sugiere que la alta contribución de los factores específicos de la empresa a las fluctuaciones agregadas es impulsada por vínculos entre empresas: los shocks de una sola empresa pueden propagarse y amplificarse a través de las redes de producción. Aunque las ventas húngaras están bastante concentradas, los resultados también implican que el rendimiento de las grandes empresas tiene un impacto moderado en la volatilidad agregada. La sorprendentemente alta importancia de los shocks a nivel de la empresa en la generación de ciclos económicos exige la necesidad de futuras investigaciones sobre la comprensión de los determinantes de las perturbaciones a nivel de la empresa. Para resumir las contribuciones de esta tesis doctoral al campo de la Economía Urbana e Inmobiliaria y la investigación de la fluctuaciones de las empresas, podemos resaltar que el Capítulo 1 es el primero en cuantificar el impacto de la población cambiante en los precios de la vivienda en Hungría, mientras que la novedad del capítulo 3 radica en el cálculo de la distribución estándar relativa de los shocks idiosincráticos a la volatilidad agregada de las ventas utilizando también datos de empresas húngaras. El capítulo 2 prueba y valida una nueva idea, según la cual la densidad económica tiene un efecto positivo sobre la estabilidad del crecimiento de las empresas.

Les conséquences des chocs économiques négatifs sur les ménages ont été documentés extensivement, mais on en sait beaucoup moins sur la manière dont ces chocs sont transmis aux individus à travers la médiation du ménage. Le ménage contribue-il à modérer l'effet des chocs négatifs ? Dans quelle mesure le choc économique pèse-t-il dans la négociation familiale ? À partir de données sur la crise économique argentine de 2001, je montre d'abord que les femmes en couple ont une plus grande probabilité de devenir actives si leur mari a fait l'expérience d'un choc de revenu. Ensuite, je montre que le cycle économique importe dans les décisions d'investissement en capital humain. Sur le long terme, les profils de salaire et d'employabilité des hommes argentins sont affectés de manière persistante par les conditions économiques initiales au moment de l'obtention du diplôme. Enfin, je considère la dimension “man-cession” de la crise économique de 2009 en Espagne et montre que la part des ressources du ménage reçues par les femmes pour leur consommation privée augmente avec la diminution de l'écart des taux de chômage hommes-femmes, confortant l'hypothèse que les chocs négatifs modifient le pouvoir de négociation des individus au sein du ménage
The consequences of adverse aggregate shocks on households have been repeatedly documented, but far less has been said on the way they are passed over to individuals through the mediation of the household. Does the household contribute in mitigating the effects? Or does the economic shock rather invite itself at the family negociating table? Using the Argentine 2001 economic crisis as a natural experiment, I first show that married women are more likely to enter the labor market if their husband experienced a loss in income, giving credit to the insurance mechanism. Then, I show that the business cycle matters for investments in education, and that long run labor outcomes of Argentine men are persistently affected by the initial conditions upon graduation. Finally, I consider the “Mancession” dimension of the Great Recession in Spain and demonstrate that the resource share accruing to wives for own consumption increases together with the decreasing unemployment gap, which comes in support to the bargaining hypothesis

This thesis addresses three relevant macroeconomic issues: (i) why

Central Banks behave so cautiously compared to optimal theoretical

benchmarks, (ii) do monetary variables add information about

future Euro Area inflation to a large amount of non monetary

variables and (iii) why national saving and investment are so

correlated in OECD countries in spite of the high degree of

integration of international financial markets.

The process of innovation in the elaboration of economic theory

and statistical analysis of the data witnessed in the last thirty

years has greatly enriched the toolbox available to

macroeconomists. Two aspects of such a process are particularly

noteworthy for addressing the issues in this thesis: the

development of macroeconomic dynamic stochastic general

equilibrium models (see Woodford, 1999b for an historical

perspective) and of techniques that enable to handle large data

sets in a parsimonious and flexible manner (see Reichlin, 2002 for

an historical perspective).

Dynamic stochastic general equilibrium models (DSGE) provide the

appropriate tools to evaluate the macroeconomic consequences of

policy changes. These models, by exploiting modern intertemporal

general equilibrium theory, aggregate the optimal responses of

individual as consumers and firms in order to identify the

aggregate shocks and their propagation mechanisms by the

restrictions imposed by optimizing individual behavior. Such a

modelling strategy, uncovering economic relationships invariant to

a change in policy regimes, provides a framework to analyze the

effects of economic policy that is robust to the Lucas'critique

(see Lucas, 1976). The early attempts of explaining business

cycles by starting from microeconomic behavior suggested that

economic policy should play no role since business cycles

reflected the efficient response of economic agents to exogenous

sources of fluctuations (see the seminal paper by Kydland and Prescott, 1982}

and, more recently, King and Rebelo, 1999). This view was challenged by

several empirical studies showing that the adjustment mechanisms

of variables at the heart of macroeconomic propagation mechanisms

like prices and wages are not well represented by efficient

responses of individual agents in frictionless economies (see, for

example, Kashyap, 1999; Cecchetti, 1986; Bils and Klenow, 2004 and Dhyne et al. 2004). Hence, macroeconomic models currently incorporate

some sources of nominal and real rigidities in the DSGE framework

and allow the study of the optimal policy reactions to inefficient

fluctuations stemming from frictions in macroeconomic propagation

mechanisms.

Against this background, the first chapter of this thesis sets up

a DSGE model in order to analyze optimal monetary policy in an

economy with sectorial heterogeneity in the frequency of price

adjustments. Price setters are divided in two groups: those

subject to Calvo type nominal rigidities and those able to change

their prices at each period. Sectorial heterogeneity in price

setting behavior is a relevant feature in real economies (see, for

example, Bils and Klenow, 2004 for the US and Dhyne, 2004 for the Euro

Area). Hence, neglecting it would lead to an understatement of the

heterogeneity in the transmission mechanisms of economy wide

shocks. In this framework, Aoki (2001) shows that a Central

Bank maximizing social welfare should stabilize only inflation in

the sector where prices are sticky (hereafter, core inflation).

Since complete stabilization is the only true objective of the

policymaker in Aoki (2001) and, hence, is not only desirable

but also implementable, the equilibrium real interest rate in the

economy is equal to the natural interest rate irrespective of the

degree of heterogeneity that is assumed. This would lead to

conclude that stabilizing core inflation rather than overall

inflation does not imply any observable difference in the

aggressiveness of the policy behavior. While maintaining the

assumption of sectorial heterogeneity in the frequency of price

adjustments, this chapter adds non negligible transaction

frictions to the model economy in Aoki (2001). As a

consequence, the social welfare maximizing monetary policymaker

faces a trade-off among the stabilization of core inflation,

economy wide output gap and the nominal interest rate. This

feature reflects the trade-offs between conflicting objectives

faced by actual policymakers. The chapter shows that the existence

of this trade-off makes the aggressiveness of the monetary policy

reaction dependent on the degree of sectorial heterogeneity in the

economy. In particular, in presence of sectorial heterogeneity in

price adjustments, Central Banks are much more likely to behave

less aggressively than in an economy where all firms face nominal

rigidities. Hence, the chapter concludes that the excessive

caution in the conduct of monetary policy shown by actual Central

Banks (see, for example, Rudebusch and Svennsson, 1999 and Sack, 2000) might not

represent a sub-optimal behavior but, on the contrary, might be

the optimal monetary policy response in presence of a relevant

sectorial dispersion in the frequency of price adjustments.

DSGE models are proving useful also in empirical applications and

recently efforts have been made to incorporate large amounts of

information in their framework (see Boivin and Giannoni, 2006). However, the

typical DSGE model still relies on a handful of variables. Partly,

this reflects the fact that, increasing the number of variables,

the specification of a plausible set of theoretical restrictions

identifying aggregate shocks and their propagation mechanisms

becomes cumbersome. On the other hand, several questions in

macroeconomics require the study of a large amount of variables.

Among others, two examples related to the second and third chapter

of this thesis can help to understand why. First, policymakers

analyze a large quantity of information to assess the current and

future stance of their economies and, because of model

uncertainty, do not rely on a single modelling framework.

Consequently, macroeconomic policy can be better understood if the

econometrician relies on large set of variables without imposing

too much a priori structure on the relationships governing their

evolution (see, for example, Giannone et al. 2004 and Bernanke et al. 2005).

Moreover, the process of integration of good and financial markets

implies that the source of aggregate shocks is increasingly global

requiring, in turn, the study of their propagation through cross

country links (see, among others, Forni and Reichlin, 2001 and Kose et al. 2003). A

priori, country specific behavior cannot be ruled out and many of

the homogeneity assumptions that are typically embodied in open

macroeconomic models for keeping them tractable are rejected by

the data. Summing up, in order to deal with such issues, we need

modelling frameworks able to treat a large amount of variables in

a flexible manner, i.e. without pre-committing on too many

a-priori restrictions more likely to be rejected by the data. The

large extent of comovement among wide cross sections of economic

variables suggests the existence of few common sources of

fluctuations (Forni et al. 2000 and Stock and Watson, 2002) around which

individual variables may display specific features: a shock to the

world price of oil, for example, hits oil exporters and importers

with different sign and intensity or global technological advances

can affect some countries before others (Giannone and Reichlin, 2004). Factor

models mainly rely on the identification assumption that the

dynamics of each variable can be decomposed into two orthogonal

components - common and idiosyncratic - and provide a parsimonious

tool allowing the analysis of the aggregate shocks and their

propagation mechanisms in a large cross section of variables. In

fact, while the idiosyncratic components are poorly

cross-sectionally correlated, driven by shocks specific of a

variable or a group of variables or measurement error, the common

components capture the bulk of cross-sectional correlation, and

are driven by few shocks that affect, through variable specific

factor loadings, all items in a panel of economic time series.

Focusing on the latter components allows useful insights on the

identity and propagation mechanisms of aggregate shocks underlying

a large amount of variables. The second and third chapter of this

thesis exploit this idea.

The second chapter deals with the issue whether monetary variables

help to forecast inflation in the Euro Area harmonized index of

consumer prices (HICP). Policymakers form their views on the

economic outlook by drawing on large amounts of potentially

relevant information. Indeed, the monetary policy strategy of the

European Central Bank acknowledges that many variables and models

can be informative about future Euro Area inflation. A peculiarity

of such strategy is that it assigns to monetary information the

role of providing insights for the medium - long term evolution of

prices while a wide range of alternative non monetary variables

and models are employed in order to form a view on the short term

and to cross-check the inference based on monetary information.

However, both the academic literature and the practice of the

leading Central Banks other than the ECB do not assign such a

special role to monetary variables (see Gali et al. 2004 and

references therein). Hence, the debate whether money really

provides relevant information for the inflation outlook in the

Euro Area is still open. Specifically, this chapter addresses the

issue whether money provides useful information about future

inflation beyond what contained in a large amount of non monetary

variables. It shows that a few aggregates of the data explain a

large amount of the fluctuations in a large cross section of Euro

Area variables. This allows to postulate a factor structure for

the large panel of variables at hand and to aggregate it in few

synthetic indexes that still retain the salient features of the

large cross section. The database is split in two big blocks of

variables: non monetary (baseline) and monetary variables. Results

show that baseline variables provide a satisfactory predictive

performance improving on the best univariate benchmarks in the

period 1997 - 2005 at all horizons between 6 and 36 months.

Remarkably, monetary variables provide a sensible improvement on

the performance of baseline variables at horizons above two years.

However, the analysis of the evolution of the forecast errors

reveals that most of the gains obtained relative to univariate

benchmarks of non forecastability with baseline and monetary

variables are realized in the first part of the prediction sample

up to the end of 2002, which casts doubts on the current

forecastability of inflation in the Euro Area.

The third chapter is based on a joint work with Domenico Giannone

and gives empirical foundation to the general equilibrium

explanation of the Feldstein - Horioka puzzle. Feldstein and Horioka (1980) found

that domestic saving and investment in OECD countries strongly

comove, contrary to the idea that high capital mobility should

allow countries to seek the highest returns in global financial

markets and, hence, imply a correlation among national saving and

investment closer to zero than one. Moreover, capital mobility has

strongly increased since the publication of Feldstein - Horioka's

seminal paper while the association between saving and investment

does not seem to comparably decrease. Through general equilibrium

mechanisms, the presence of global shocks might rationalize the

correlation between saving and investment. In fact, global shocks,

affecting all countries, tend to create imbalance on global

capital markets causing offsetting movements in the global

interest rate and can generate the observed correlation across

national saving and investment rates. However, previous empirical

studies (see Ventura, 2003) that have controlled for the effects

of global shocks in the context of saving-investment regressions

failed to give empirical foundation to this explanation. We show

that previous studies have neglected the fact that global shocks

may propagate heterogeneously across countries, failing to

properly isolate components of saving and investment that are

affected by non pervasive shocks. We propose a novel factor

augmented panel regression methodology that allows to isolate

idiosyncratic sources of fluctuations under the assumption of

heterogenous transmission mechanisms of global shocks. Remarkably,

by applying our methodology, the association between domestic

saving and investment decreases considerably over time,

consistently with the observed increase in international capital

mobility. In particular, in the last 25 years the correlation

between saving and investment disappears.

Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished

The first chapter explores how income inequality affects fiscal consolidation multipliers. Higher labor income risk induces more precautionary savings and consequently a lower percentage of constrained agents. As these agents have lower labor supply elasticity, this explains the positive correlation between multipliers and inequality. The second chapter explores the nonlinearity of the fiscal multiplier. We find the multiplier to be increasing on the size of the shock. This is explained by the impact these shocks have on the wealth distribution. The last chapter explores the consequences of non-financial firms’ savings portfolio in the propagation of aggregate shocks. Firms with more risky assets drop investment by more during recessions but grow faster during expansions, amplifying the business cycle.

博士
長庚大學
臨床醫學研究所
97
ABSTRACT Sirtuin inhibitors (sirtinol, splitomicin) are cell-permeable lactone derived from β-naphthol, Which are the potent selectively inhibitor of Sir2 (silent information regulator 2) enzyme. Previous studies have demonstrated that some naphthoic compounds possess an inhibitory effect on platelets and anti-inflammatory effect on neutrophils. Therefore, their naphthoic moiety might be responsible for their inhibitory effects on platelet aggregation and attenuation injury effect on hemorrhagic shock. The major aims of our studies were to examine possible mechanisms of action of sirtuin inhibitors on platelet aggregation and hemorrhagic shock in order to promote development of a new anti-platelet therapy in cardiovascular and cerebrovascular diseases and find a novel treatment method for hemorrhagic shock injury. To study the inhibitory effects of sirtuin inhibitors on platelet aggregation, we used washed human platelets, and monitored platelet aggregation and ATP release induced by thrombin (0.1 U/ml), collagen (2μg/ml), arachidonic acid (AA) (0.5 mM), U46619 (2 μM) or ADP (10 μM). Cytosolic Ca++ influx concentration was detected by fluorescence spectrophotometer. P-selection expression was analyzed by flowcytometry. The concentration of TXB2 and cAMP were measured by enzyme immunoassay kits. To study the inhibitory effects of sirtuin inhibitors on hemorrhagic shock, we used male Sprague-Dawley rats following trauma-hemorrhage shock, and monitor include hepatic myeloperoxidase activity, CINC-1, CINC-3, ICAM-1, and IL-6 levels and plasma ALT concentrations on hepatic injury and monitor include myeloperoxidase activity, TNF-α, IL-6, IL-10 and hemeoxygenase-1 levels and protein concentrations of bronchoalveolar lavage fluid on lung injury. In platelets aggregation studies, sirtinol and splitomicin inhibited platelet aggregation induced by thrombin, collagen, AA and U46619 in a concentration dependent manner. Moreover, sirtinol and splitomicin attenuated intracellular Ca++ release and thromboxane B2 formation stimulated by thrombin, collagen, AA and U46619 in human washed platelets. Increasing cAMP was noted when sirtinol and splitomicin were treated with Prostaglandin E1 in washed platelets. They did not further increase cAMP when combined with IBMX. This data indicated that sirtinol and splitomicin increase cAMP by inhibiting activity of phosphodiestease. In hemorrhage shock studies, sirtinol administration on attenuation of hepatic injury following trauma-hemorrhage are related to reduction of pro-inflammatory mediators (CINC-1, CINC-3, ICAM-1, and IL-6 levels ), hepatic MPO activity, and plasma ALT concentrations. Sirtinol treatment following trauma-hemorrhage leads to increase in HO-1 expression of lung injury in male Sprague-Dawley rats. Sirtinol administration also attenuated the increase in bronchoalveolar lavage fluid total protein content and attenuated the increase in lung TNF-α, IL-6, MPO activity. In conclusion, the inhibitory mechanism of sirtuin inhibitors (sirtinol and splitomicin) on human washed platelet aggregation may include an increase cyclic AMP levels via inhibition of cyclic AMP phosphodiesterase activity and subsequent inhibition of intracellular Ca++ mobilization, TXB2 formation and ATP release. Sirtinol administration following trauma-hemorrhage may decrease pro-inflammatory cytokine production and protect against hepatic injury in male Sprague-Dawley rats. Sirtinol also attenuates of lung injury following trauma-hemorrhage are mediated via upregulation of hemeoxygenase-1 expression.

碩士
國立成功大學
臨床醫學研究所
104
Huntington’s disease (HD) is an autosomal dominant, progressive neurodegenerative disorder with no current drug treatment that can effectively modify disease progression. The mutation that causes HD is an expansion of CAG repeats that codes for an abnormal polyglutamine (polyQ) tract in the huntingtin protein (Htt). Mutant Htt can form oligomers, polymers and large aggregates which are insoluble and toxic to neurons through interference with gene transcription, enhanced mitochondrial stress and dysfunction of the proteasome degradation system. Heat shock response (HSR) can protect cells from mutant Htt by refolding misfolded proteins and reducing the ability of mutant Htt to aggregate. PIN1 is an abudundant cis-trans isomerase in neurons that is known to participate in many cell signaling processes. In my project, I found that PIN1 can interact with HSF1, which is crucial for HSF1 tramsactivation and thus enhance key chaperon proteins expression attributed to HSR. Modulation PIN1 in SHSY5Y and cortical primary neuron under heat shock circumstances can interfere amount of aggregates and inclusion bodies. PIN1(+/+)、(+/-),(-/-) primary neuron result showed that PIN1 level is poositive correlated with chaperon protein expression and is negative related to aggregates level. In mouse model, I illustrate that PIN1 manipulation only has little effect on aggregates level, while PIN1 combined with HSF1 activation can decrease mutant Htt aggregates burden. My finding reveal that PIN1 is indispensable for HSF1-mediated Htt aggregates reduction.

This study aims to analyse the impact of monetary shocks, both on the aggregate euro area as a whole and also at the country level. We estimate a dynamic factor model that summarises the information in a large data set with few estimated factors, subsequently incorporated in a recursive VAR. We find that (i) when compared with the VAR model, the FAVAR better identified the shock, mainly after the 2008 crises; (ii) the monetary policy seems to have lost impact over the economy in recent years; (iii) across countries, the results reveal mixed reactions, being the larger economies the ones that predominantly benefited from the monetary policy.

This thesis investigates the contribution of productivity shocks at different aggregation levels to residential investment and relative house prices in ten local housing markets in Canada from 1986 to 2007. It has two major conclusions. First, while in BC, Ontario, and four Atlantic Provinces, residential investment is more likely to be affected by aggregate shocks, in Quebec and three Prairie Provinces, residential investment is less responsive to aggregate shocks, and more likely to be affected by region-specific shocks. Second, relative house prices are much more variable than residential investment, and largely depend on region-specific factors.

Research Doctorate - Doctor of Philosophy (PhD)
While the 2007-2008 global financial crisis (GFC) began as a localised financial disturbance due to the collapse of the US real estate boom, it quickly transformed into a global economic downturn due to the inter-connectivity of the international financial system. The aim of this study has been to analyse the underlying causes of the 2007–2008 GFC through a stock-flow-consistent macroeconomic modelling approach (SFC). Economists following the Post-Keynesian tradition believe that the slackening aggregate demand in both the US and in many other nations has been caused by policies of continual fiscal withdrawal, aggravated by the decades-long decline of wage share in the GDP, which in combination has led the non-government sector into cumulative deficits and rising indebtedness. The key contribution of this study has been an investigation into the impact of this coupling of real wage repression and declining government, complemented by an analysis of financial behaviour on the part of private sector agents (e.g. credit rationing, asset price appreciation), which was seen to have undermined financial and macroeconomic stability in the US (and elsewhere). To this end, a tractable, and parsimonious stock-flow-consistent macroeconomic model (SFC) with four-sectors (household, production firm, commercial bank and consolidated government) was constructed. Three independent sets of simulations, focusing, respectively, on: (i) government-expenditure and wage-share shocks; (ii) wage-share, interest-rate and-house-price shocks, and, (iii) marginal propensity to consume (MPC), interest-rate, and-house-price shocks were analysed by examining the aftershock paths of most of the key growth variables, both the short run and long run. The first and second set of simulations had similar consequences for the economy. However, due to the presence of capital gains from house price appreciation, in the second set, the increasing net wealth of the households boosted autonomous consumption. The third set featured growth of consumption induced by income. In summary, policies aimed at promoting a consistent and rapid appreciation of asset prices, as pursued by many nations, were shown to be associated with burgeoning private debt, ultimately, with recessionary consequences. Hopefully, this thesis will contribute to a better understanding the downside for policies of this kind, which characterise the current era of New Capitalism—one marked, in particular, by consumption-related expenditure that has become more autonomous in relation to disposable income. The findings can also be applied to the evaluation of more sustainable policy alternatives—including those associated with a currency-sovereign government exploiting its freedom to engage in fiscal policy directed at the maintenance of overall macroeconomic and financial stability.

We unveil the implicit countryweights in the ECB’s monetary policy conduct across a sample of 12 Eurozone member-states. Using linear and non-linear Taylor rules, as well as observed and simulated data, we produce counterfactual interest rate paths to assess the differential between observed interest rates and those assumed to have prevailed under autonomy. Then, the estimated weights are compared with the correlation of countries’ business cycles and aggregate disturbances overtime. Results show that Germany and Luxembourg persistently receive the biggest weight, while Greece and Ireland secure the smallest. Finally, findings also indicate that countries with a smaller weight are those least correlated with Germany.

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other.
MCom (Risk Management), North-West University, Potchefstroom Campus, 2013