Optimal monetary policy with the risk-taking channel

La investigación empírica sugiere que los tipos de interés más bajos inducen a los bancos a asumir mayores riesgos. Analizamos lo que este canal de toma de riesgos implica para la política monetaria óptima en un modelo neokeynesiano manejable. Mostramos que este canal crea un motivo para que el planificador estabilice el tipo real. Este objetivo entra en conflicto con el objetivo estándar de estabilización de la inflación. Por tanto, la política óptima tolera una mayor volatilidad de la inflación. Una función de reacción inercial de tipo Taylor deviene óptima. También cuantificamos la importancia del canal de toma de riesgos para la política monetaria en una extensión estimada de mediana escala del modelo. Ignorar el canal a la hora de diseñar la política monetaria conlleva unos costes de bienestar no despreciables (equivalentes al 0,7 % del consumo de por vida).Empirical research suggests that lower interest rates induce banks to take higher risks. We assess analytically what this risk-taking channel implies for optimal monetary policy in a tractable New Keynesian model. We show that this channel creates a motive for the planner to stabilize the real rate. This objective conflicts with the standard inflation stabilization objective. Optimal policy thus tolerates more inflation volatility. An inertial Taylor-type reaction function becomes optimal. We then quantify the significance of the risk-taking channel for monetary policy in an estimated medium-scale extension of the model. Ignoring the channel when designing policy entails non-negligible welfare costs (0.7% lifetime consumption equivalent)

Essays on macro financial linkages

Defence date: 14 January 2016Examining Board: Prof. Massimiliano Marcellino, Bocconi University and EUI, Supervisor; Prof. Fabio Canova, EUI and BI Norwegian Business School; Prof. Dimitris Korobilis, University of Glasgow; Dr. Emanuel Mönch, Deutsche Bundesbank.The first chapter, joint with Dominik Thaler, is a New Keynesian model of how monetary policy can in uence the risk-taking behaviour of banks. Lower interest rates change bank incentives, making them prefer riskier investments. This mechanism alters the tradeoff faced by the monetary authority, affecting optimal policy conduct. After estimating the model, we find that the monetary authority should react less aggressively to in ation, trading off more in ation volatility in exchange for less financial market distortions. The second chapter, written with Prof. Massimiliano Marcellino, investigates whether modelling parameter time variation and stochastic volatility improves the forecasts of three major exchange rates vis-a-vis the US dollar. We find that modelling time-varying volatility signifficantly refines the estimation of forecast uncertainty through an accurate calibration of the entire forecast distribution at all forecast horizons. Similar empirical tools are employed in the third chapter, where I show that the inclusion of default risk and risk aversion measures improves the forecasts of key activity and banking indicators. The bulk of forecast improvement takes place during the 2001 and 2008 recessions, when credit constraints were arguably binding. A structural VAR further reveals that an unexpected credit spread increase in 2010 causes an output contraction that lasts for about two years, and explains up to 35% percent of output variation. The final project, joint with Sandra Eickmeier, Prof. Massimiliano Marcellino and Wolfgang Lemke, investigates the changing international transmission of financial shocks over 1971-2012. A time-varying parameter FAVAR shows that global financial shocks, measured as unexpected changes in a US financial condition index, strongly impact growth in the nine countries considered. In addition, financial shocks in 2008 explain approximately 20% of the GDP growth variation in the 9 countries, as opposed to an average of 5% percent before the crisis

An analysis of the monetary policy transmission mechanism in the United States using structural dynamic factor models

With this project we propose to analyse the monetary policy transmission mechanism in the United States using structural dynamic factor models. More precisely, we would like to investigate the impact that policy has on financial and monetary aggregates in order to find evidence of the existence of a broad credit channel, thought as an amplification factor of the more traditional interest-rate and exchange-rate channels through which monetary policy is assumed to affect the real economy

Monetary policy effects on bank risk taking. National Bank of Belgium Working Paper No. 287

Motivated by VAR evidence on the risk-taking channel in the US, we develop a New Keynesian model where low levels of the risk-free rate induce banks to grant credit to riskier borrowers. In the model an agency problem between depositors and equity holders incentivizes banks to take excessive risk. As the real interest rate declines these incentives become stronger and risk taking increases. We estimate the model on US data using Bayesian techniques and assess optimal monetary policy conduct in the estimated model, assuming that the interest rate is the only available instrument. Our results suggest that in a risk taking channel environment, the monetary authority should seek to stabilize the path of the real interest rate, trading off more inflation volatility in exchange for less interest rate and output volatility

Long-Term Field Evaluation of Conventional vs. Micropropagated Plants of Chrysanthemum cinerariifolium

Pyrethrum is a perennial herbaceous plant endemic to the eastern coast of the Adriatic Sea, and introduced in large areas of nearly all continents, where it is cultivated for the industrial extraction of pyrethrins. Pyrethrins are a group of six closely related monoterpene esters, widely used as natural insecticides. The world production of natural pyrethrins is lower than the market demand, and a wider introduction of this crop within the Mediterranean agrosystems could be an appealing opportunity for farmers and manufacturers. The availability of adequate amounts of selected plant material to bring into cultivation is, however, one of the major issues. Therefore, the in vitro propagation of elite pyrethrum genotypes could be a suitable alternative to conventional propagation methods. In this paper, we present the results of a 9-year field comparison between pyrethrum plants coming from an in vitro propagation protocol and plants obtained by cutting from the same mother plants. Furthermore, since plantlets derived from in vitro regeneration may experience ploidy changes, we evaluated the stability of the ploidy level of pyrethrum micropropagated plants by flow cytometry (FCM) analysis. FCM screening revealed no differences among the morphotypes and between them and the mother plant. Likewise, the field evaluation of plants gave no significant differences between flower yields in both groups. Hence, micropropagation was confirmed as an easy, efficient and reproducible method to obtain large quantities of selected pyrethrum genotypes

Atypical ductal hyperplasia: Our experience in the management and long term clinical follow-up in 71 patients

Abstract Introduction Atypical ductal hyperplasia (ADH) is a high-risk benign lesion found in approximately 1–10% of breast biopsies and associated with a variable incidence of carcinoma after surgical excision. The main goal of our study is to present our experience in the management and long-term follow-up of 71 patients with ADH diagnosed on breast biopsy. Materials and methods Results of 3808 breast biopsy specimens from 1 January 2000 to 31 December 2005 were analyzed to identify all biopsies which resulted in a diagnosis of ADH. The histopathological results of the 45 patients who underwent surgery were analyzed. Long-term follow-up for the remaining patients was carried out. Results 45 of 71 (63.4%) patients with histological diagnosis of ADH on breast biopsy underwent surgery. Definitive histological results revealed invasive carcinoma in 7 cases (15.6%), high grade Ductal Carcinoma in situ (DCIS) in 10 (22.2%) patients, Lobular Carcinoma in situ (LCIS) in 4 cases (8.9%) and benign findings in 24 cases (53.3%). 12 of 71 (16.9%) patients underwent only long term follow-up; one (8,3%) of these developed invasive breast carcinoma after 6 years. Conclusion Atypical ductal hyperplasia diagnosed on breast biopsy is associated with a relatively high incidence of invasive carcinoma and high grade ductal carcinoma in situ at the time of surgical excision. Certain radiological and cytological criteria can be used to help determine which patients should forgo surgery and be followed up with good results. Long term follow-up is always crucial for patients who have not undergone surgery

Using a calibration experiment to assess gene-specific information: full Bayesian and empirical Bayesian models for two-channel microarray data.

MOTIVATION: Microarray studies permit to quantify expression levels on a global scale by measuring transcript abundance of thousands of genes simultaneously. A difficulty when analysing expression measures is how to model variability for the whole set of genes. It is usually unrealistic to assume a common variance for each gene. Several approaches to model gene-specific variances are proposed. We take advantage of calibration experiments, in which the probes hybridized on the two channels come from the same population (self-self experiment). In this case it is possible to estimate the gene-specific variance, to be incorporated in comparative experiments on the same tissue, cellular line or species. RESULTS: We present two approaches to introduce prior information on gene-specific variability from a calibration experiment: an empirical Bayes model and a full Bayesian hierarchical model. We apply the methods in the analysis of human lipopolysaccharide-stimulated leukocyte experiments. AVAILABILITY: The calculations are implemented in WinBugs. The codes are available on request from the authors

Thrombophilic risk factors for symptomatic peripheral arterial disease

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Bleeding events and maintenance dose of prasugrel: BLESS pilot study

OBJECTIVE: To evaluate changes in residual platelet reactivity (RPR) over time, and bleeding and ischaemic events rate using 5 vs 10 mg maintenance dose (MD) regimens of prasugrel 1 month after acute coronary syndrome (ACS). BACKGROUND: The optimal level of RPR with prasugrel may change over time after an ACS. METHODS: After 60 mg loading dose of prasugrel (T0) followed by 10 mg/day for 1 month, patients were randomised to receive prasugrel 10 mg/day (n=95, group A) or 5 mg/day MD (n=98, group B) up to 1 year. RPR was assessed at T0, 37 (T1) and 180 days (T2). The primary end point was Bleeding Academic Research Consortium (BARC) bleeding events ≥2 between 1 and 12 months, and the secondary composite end point was cardiac death, myocardial infarction, stroke and definite/probable stent thrombosis. RESULTS: From T0 to T1, RPR significantly increased in both groups A and B and the increase was higher for group B (δ ADP 10 µmol: 13.8%±14.7% vs 23.5%±19.2%, p=0.001). At T2 a lower rate of high RPR patients were found in group A (2.6% vs13.3%; p=0.014). The BARC type ≥2 bleeding occurred in 12.6% of group A versus 4.1% of group B (OR 0.29, 95% CI 0.09 to 0.94) and secondary end point in 2.1% vs 1.0% (p=0.542), respectively, without stent thrombosis. CONCLUSIONS: RPR increases shifting from 60 mg loading dose to 10 mg/day prasugrel MD with a further increase of RPR reducing prasugrel MD to 5 mg 1 month after ACS. Clinical value of these pharmacodynamic findings should be proved in larger clinical trials. TRIAL REGISTRATION NUMBER: NCT01790854