Synchronisation of financial crises

This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to non-tranquil periods to develop a bivariate index and its multivariate analog for potentially serially correlated categorical data. An application to the Bordo et al. (2001) data set reveals the extent of concordance in banking and currency crises across countries. The internationalisation of financial crises in the 20th century is shown to have increased for currency crises and decreased for banking crises

The Determinants of Credit Default Swap Premia

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent with theory and that the estimates are highly significant both statistically and economically. The explanatory power of the theoretical variables for levels of default swap premia is approximately 60%. The explanatory power for the differences in the premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there is only weak evidence for a residual common factor and also suggests that the theoretical variables explain a significant amount of the variation in the data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default swap premia, as predicted by theory. En utilisant une nouvelle base de données de credit default swaps, nous étudions les relations entre les déterminants théoriques du risque de défaut et la prime actuelle du marché en utilisant la régression linéaire. Ces déterminants théoriques sont le niveau d’endettement de la firme, la volatilité et le taux d’intérêt sans risque. Nous trouvons que les coefficients estimés pour ces variables sont en accord avec la théorie et que les estimations sont fortement significatives aussi bien statistiquement qu’économiquement. Le pouvoir explicatif de ces variables théoriques sur le niveau de la prime du default swap est d’environ 60 %. Le pouvoir explicatif sur les différences de prime est de 23 %.La volatilité et le niveau d’endettement en eux-mêmes ont aussi un pouvoir explicatif substantiel pour la prime du credit default swap. Une analyse en composantes principales des résidus et de la prime montre qu’il n’y a pratiquement aucune trace d’un facteur commun résiduel et suggère également que les variables théoriques expliquent une part significative de la variance des données. Nous concluons donc que le niveau d’endettement, la volatilité et le taux sans risque sont d’importants déterminants de la prime des credit default swap, comme prédit par la théorie.credit default swap; credit risk; structural model; leverage; volatility, credit default swap, risque de crédit, modèle structurel niveau d’endettement, volatilité

Effect of fibronectin on the binding of antithrombin III to immobilized heparin

An objective of this research is to verify the mechanism of anticoagulant activity of surface-immobilized heparin in the presence of plasma proteins. The competition and binding interaction between immobilized heparin and antithrombin III (ATIII)/thrombin have been described in vitro. However, the strong ionic character of heparin leads to its specific and nonspecific binding with many other plasma proteins. Most notably, fibronectin contains six active binding sites for heparin which may interfere with the subsequent binding of heparin with ATIII or thrombin. \ud Heparin was covalently immobilized through polyethylene oxide (PEO) hydrophilic spacer groups onto a model surface synthesized by random copolymerization of styrene and p-aminostyrene. The binding interaction of immobilized heparin with ATIII was then determined in the presence of different fibronectin concentrations. The binding interaction was studied by first binding immobilized heparin with ATIII, followed by the introduction of fibronectin; heparin binding with fibronectin, followed by incubation with ATIII, and simultaneous incubation of surface immobilized heparin with ATIII and fibronectin. The extent of ATIII binding to heparin in each experiment was assayed using a chromogenic substrate for ATIII, S-2238. \ud The results of this study demonstrate that the displacement of ATIII from immobilized heparin was proportional to the fibronectin concentration, and was reversible. Furthermore, the binding sequence did not play a role in the final concentration of ATIII bound to immobilized heparin

General Recursion via Coinductive Types

A fertile field of research in theoretical computer science investigates the representation of general recursive functions in intensional type theories. Among the most successful approaches are: the use of wellfounded relations, implementation of operational semantics, formalization of domain theory, and inductive definition of domain predicates. Here, a different solution is proposed: exploiting coinductive types to model infinite computations. To every type A we associate a type of partial elements Partial(A), coinductively generated by two constructors: the first, return(a) just returns an element a:A; the second, step(x), adds a computation step to a recursive element x:Partial(A). We show how this simple device is sufficient to formalize all recursive functions between two given types. It allows the definition of fixed points of finitary, that is, continuous, operators. We will compare this approach to different ones from the literature. Finally, we mention that the formalization, with appropriate structural maps, defines a strong monad.Comment: 28 page

Why didn't the Global Financial Crisis hit Latin America?

Latin America has a rich history of financial crises. However, it was relatively unharmed by the 2007-2009 Global Financial Crisis (GFC). This paper investigates why, and in particular the role of commodity prices and its institutional framework - in line with the fourth generation financial crisis model. We set up Early Warning Systems (EWS) for Argentina, Brazil and Mexico. These consist of an ordered logit model for currency crises for the period 1990-2007 with a dynamic factor model to deal with the large number of explanatory variables. We present forecasts for the period 2008-2009. We find that international indicators play an important role in explaining currency crises in Mexico, while banking indicators and commodities explain the currency crisis in Argentina and Brazil. Furthermore, debt and domestic economy indicators are relevant for Argentina and Mexico. Finally, we observe that currency crises in all three countries are related to institutional indicators. For none of the countries the Early Warning System would have issued an early warning for the GFC.Financial crises, Early Warning Systems, Latin America, dynamic factor models, ordered logit model,

Can GDP measurement be further improved? Data revision and reconciliation

Recent years have seen many attempts to combine expenditure-side estimates of U.S. real output (GDE) growth with income-side estimates (GDI) to improve estimates of real GDP growth. We show how to incorporate information from multiple releases of noisy data to provide more precise estimates while avoiding some of the identifying assumptions required in earlier work. This relies on a new insight: using multiple data releases allows us to distinguish news and noise measurement errors in situations where a single vintage does not. Our new measure, GDP++, fits the data better than GDP+, the GDP growth measure of Aruoba et al. (2016) published by the Federal Reserve Bank of Philadephia. Historical decompositions show that GDE releases are more informative than GDI, while the use of multiple data releases is particularly important in the quarters leading up to the Great Recession

Can GDP Measurement Be Further Improved? Data Revision and Reconciliation

Recent years have seen many attempts to combine expenditure-side estimates of U.S. real output (GDE) growth with income-side estimates (GDI) to improve estimates of real GDP growth. We show how to incorporate information from multiple releases of noisy data to provide more precise estimates while avoiding some of the identifying assumptions required in earlier work. This relies on a new insight: using multiple data releases allows us to distinguish news and noise measurement errors in situations where a single vintage does not. We find that (a) the data prefer averaging across multiple releases instead of discarding early releases in favor of later ones, and (b) that initial estimates of GDI are quite informative. Our new measure, GDP(++), undergoes smaller revisions and tracks expenditure measures of GDP growth more closely than either the simple average of the expenditure and income measures published by the BEA or the GDP growth measure of Aruoba et al. published by the Federal Reserve Bank of Philadelphia

Lessons From the Latest Data on U.S. Productivity

La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l’épargne dans le secteur privé, les sources des chocs macroéconomiques, l’évolution de la compétitivité internationale et la solvabilité des régimes de retraite publics. Toutefois, les estimations des taux de croissance de la productivité anticipées et conjoncturelles souffrent de deux problèmes potentiels : (i) les estimations des tendances récentes sont imprécises, et (ii) les données récemment publiées subissent souvent d’importantes révisions. Cette étude met en évidence la (non-) fiabilité de plusieurs mesures de croissance de la productivité agrégée aux États-Unis en examinant la mesure dans laquelle elles sont révisées au fil du temps. Nous examinons également dans quelle mesure ces révisions contribuent aux erreurs dans les prévisions de croissance de la productivité des États-Unis. Nous constatons que les révisions de données provoquent généralement des changements appréciables des estimations des taux de croissance de la productivité publiés à travers une gamme de différentes mesures de la productivité. D'importantes révisions surviennent souvent des années après la première publication des données, ce qui contribue significativement à l'incertitude générale à laquelle nos décideurs politiques doivent faire face. Cela souligne le besoin de moyens pour réduire l'incertitude à laquelle sont confrontés les décideurs politiques et les politiques robustes à l'incertitude sur les conditions économiques actuelles. La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l’épargne dans le secteur privé, les sources des chocs macroéconomiques, l’évolution de la compétitivité internationale et la solvabilité des régimes de retraite publics. Toutefois, les estimations des taux de croissance de la productivité anticipées et conjoncturelles souffrent de deux problèmes potentiels : (i) les estimations des tendances récentes sont imprécises, et (ii) les données récemment publiées subissent souvent d’importantes révisions. Cette étude met en évidence la (non-) fiabilité de plusieurs mesures de croissance de la productivité agrégée aux États-Unis en examinant la mesure dans laquelle elles sont révisées au fil du temps. Nous examinons également dans quelle mesure ces révisions contribuent aux erreurs dans les prévisions de croissance de la productivité des États-Unis. Nous constatons que les révisions de données provoquent généralement des changements appréciables des estimations des taux de croissance de la productivité publiés à travers une gamme de différentes mesures de la productivité. D'importantes révisions surviennent souvent des années après la première publication des données, ce qui contribue significativement à l'incertitude générale à laquelle nos décideurs politiques doivent faire face. Cela souligne le besoin de moyens pour réduire l'incertitude à laquelle sont confrontés les décideurs politiques et les politiques robustes à l'incertitude sur les conditions économiques actuelles.Productivité, analyses en temps réel, révisions de données, projections Greenbook projections , Productivité, analyses en temps réel, révisions de données, projections Greenbook projections

Does Household Borrowing Reduce the Trade Balance? Evidence from Developing and Developed Countries

We examine the dynamic impact of household borrowing on the trade balance using data from 32 developing countries and 36 developed countries over the 1980-2020 period. Our findings suggest that the impact of household borrowing on the trade balance is negative, both in the short and long run, but the effects are more pronounced in developing countries. Moreover, we find that for developing countries the negative effect of household borrowing on the trade balance is achieved via boosting imports. In developed countries, household borrowing stimulates both imports and exports, where the effect on imports is larger