Risk Sharing towards the European Fiscal Union

This research estimates a two-country Dynamic Stochastic General Equilibrium Model (DSGE) for the euro area Core and Periphery. The estimation is done with Bayesian techniques using eleven macroeconomic time series. The model implements an automatic fiscal transfer mechanism, able to deal with idiosyncratic shocks affecting the two economies. The mechanism is able to improve the aggregate welfare in the economy, by reducing consumption variability and increasing cross-country risk sharing. Simulating the model with estimated parameters, we reach the conclusion that an optimal fiscal sharing mechanism should absorb 70% of idiosyncratic shocks when agents are credit constrained. The risk sharing mechanism under analysis is able to deal with EMU cyclical heterogeneity and external imbalances. The implementation of a risk sharing system would lead to a greater fiscal coordination, marking a first step towards greater fiscal integration in the euro area

ESG scores - Is it the new way to build a European portfolio?

The study makes a comparison between the performance of equity portfolios characterized by high ESG score stocks and portfolios with low ESG score stocks. In particular, we analyze three ESG scores: MSCI ESG Rating, Sustainalytics scores and S&P DJI/Robeco ESG Scores, by examining the European stock market in two periods: medium/long term (five years) and short-term (one year). First of all, we associate each component of the index in relation to its MSCI ESG Rating, Sustainalytics score and S&P DJI/Robeco ESG Scores. We build two portfolios: ● first quartile portfolio 1Q (according to MSCI; Sustainalytics; and S&P DJI/Robeco ESG Scores), including securities of companies with the highest ESG score, based on ESG best-in-class screening strategy. ● fourth quartile portfolio 4Q (according to MSCI; Sustainalytics; and S&P DJI/Robeco ESG Scores), including securities of companies with the lowest ESG scores. We aim to answer the following questions: a) do portfolios with higher ESG scores stocks lead to better performances than those including stocks with low ESG scores? b), Are there some sectors that drive the performance within the sector breakdown? Results show a divergence between the composition of the first quartile, whereas there is more homogeneity in the fourth quartil

Fiscal policy response to the COVID-19 pandemic in the euro area

We estimate the impact of fiscal measures adopted in response to the Covid-19 crisis at the euro area level, combining standard macroeconomic data with an index on the strictness of ‘lockdown style’ policies. Given the multitude of shocks occurred simultaneously during the pandemic, the fiscal stimulus is identified together with other supply- and demand-side shocks using a sign and zero restricted Bayesian vector autoregressive (VAR) model. Our results show that during the two years 2020-2021, public spending and revenue-side measures avoided a further reduction of GDP equal to 2.8 and 0.9 percentage points, respectively

Optimasi Portofolio Resiko Menggunakan Model Markowitz MVO Dikaitkan dengan Keterbatasan Manusia dalam Memprediksi Masa Depan dalam Perspektif Al-Qur`an

Risk portfolio on modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Since companies cannot insure themselves completely against risk, as human incompetence in predicting the future precisely that written in Al-Quran surah Luqman verse 34, they have to manage it to yield an optimal portfolio. The objective here is to minimize the variance among all portfolios, or alternatively, to maximize expected return among all portfolios that has at least a certain expected return. Furthermore, this study focuses on optimizing risk portfolio so called Markowitz MVO (Mean-Variance Optimization). Some theoretical frameworks for analysis are arithmetic mean, geometric mean, variance, covariance, linear programming, and quadratic programming. Moreover, finding a minimum variance portfolio produces a convex quadratic programming, that is minimizing the objective function ðð¥with constraintsð ð 𥠥 ðandð´ð¥ = ð. The outcome of this research is the solution of optimal risk portofolio in some investments that could be finished smoothly using MATLAB R2007b software together with its graphic analysis

Impacts of the Tropical Pacific/Indian Oceans on the Seasonal Cycle of the West African Monsoon

The current consensus is that drought has developed in the Sahel during the second half of the twentieth century as a result of remote effects of oceanic anomalies amplified by local land–atmosphere interactions. This paper focuses on the impacts of oceanic anomalies upon West African climate and specifically aims to identify those from SST anomalies in the Pacific/Indian Oceans during spring and summer seasons, when they were significant. Idealized sensitivity experiments are performed with four atmospheric general circulation models (AGCMs). The prescribed SST patterns used in the AGCMs are based on the leading mode of covariability between SST anomalies over the Pacific/Indian Oceans and summer rainfall over West Africa. The results show that such oceanic anomalies in the Pacific/Indian Ocean lead to a northward shift of an anomalous dry belt from the Gulf of Guinea to the Sahel as the season advances. In the Sahel, the magnitude of rainfall anomalies is comparable to that obtained by other authors using SST anomalies confined to the proximity of the Atlantic Ocean. The mechanism connecting the Pacific/Indian SST anomalies with West African rainfall has a strong seasonal cycle. In spring (May and June), anomalous subsidence develops over both the Maritime Continent and the equatorial Atlantic in response to the enhanced equatorial heating. Precipitation increases over continental West Africa in association with stronger zonal convergence of moisture. In addition, precipitation decreases over the Gulf of Guinea. During the monsoon peak (July and August), the SST anomalies move westward over the equatorial Pacific and the two regions where subsidence occurred earlier in the seasons merge over West Africa. The monsoon weakens and rainfall decreases over the Sahel, especially in August.Peer reviewe

Search for heavy resonances decaying to two Higgs bosons in final states containing four b quarks

A search is presented for narrow heavy resonances X decaying into pairs of Higgs bosons (H) in proton-proton collisions collected by the CMS experiment at the LHC at root s = 8 TeV. The data correspond to an integrated luminosity of 19.7 fb(-1). The search considers HH resonances with masses between 1 and 3 TeV, having final states of two b quark pairs. Each Higgs boson is produced with large momentum, and the hadronization products of the pair of b quarks can usually be reconstructed as single large jets. The background from multijet and t (t) over bar events is significantly reduced by applying requirements related to the flavor of the jet, its mass, and its substructure. The signal would be identified as a peak on top of the dijet invariant mass spectrum of the remaining background events. No evidence is observed for such a signal. Upper limits obtained at 95 confidence level for the product of the production cross section and branching fraction sigma(gg -> X) B(X -> HH -> b (b) over barb (b) over bar) range from 10 to 1.5 fb for the mass of X from 1.15 to 2.0 TeV, significantly extending previous searches. For a warped extra dimension theory with amass scale Lambda(R) = 1 TeV, the data exclude radion scalar masses between 1.15 and 1.55 TeV

Measurement of the top quark mass using charged particles in pp collisions at root s=8 TeV

Peer reviewe

Search for supersymmetry in events with one lepton and multiple jets in proton-proton collisions at root s=13 TeV

Peer reviewe

Search for standard model production of four top quarks in the lepton + jets channel in pp collisions at √s = 8 TeV

Open Access, Copyright CERN, for the benefit of the CMS Collaboration. Article funded by SCOAP3.Abstract: A search is presented for standard model (SM) production of four top quarks (Formula presented.) in pp collisions in the lepton + jets channel. The data correspond to an integrated luminosity of 19.6 fb−1 recorded at a centre-of-mass energy of 8 TeV with the CMS detector at the CERN LHC. The expected cross section for SM (Formula presented.) production is (Formula presented.). A combination of kinematic reconstruction and multivariate techniques is used to distinguish between the small signal and large background. The data are consistent with expectations of the SM, and an upper limit of 32 fb is set at a 95% confidence level on the cross section for producing four top quarks in the SM, where a limit of 32 ± 17 fb is expected