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

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

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,

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

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

Free and total insulin-like growth factor I (IGF-I), IGF-binding protein-1 (IGFBP-1), and IGFBP-3 and their relationships to the presence of diabetic retinopathy and glomerular hyperfiltration in insulin-dependent diabetes mellitus

The existing literature on serum insulin-like growth factor I (IGF-I) levels in insulin-dependent diabetes mellitus (IDDM) is conflicting. Free IGF-I may have greater physiological and clinical relevance than total IGF-I. Recently, a validated method has been developed to measure free IGF-I levels in the circulation. Serum free and total IGF-I, IGF-binding protein-1 (IGFBP-1), and IGFBP-3 levels were measured in 56 insulin-treated IDDM patients and 52 healthy sex- and age-matched controls. Diabetic retinopathy was established by direct fundoscopy. In 54 IDDM patients, the glomerular filtration rate (GFR) and effective renal plasma flow were calculated from the clearance rate of [125I]iothalamate and [131I]iodohippurate sodium. Fasting free IGF-I, total IGF-I, and IGFBP-3 levels were significantly lower in IDDM patients than in age- and sex-matched healthy controls (free IGF-I, P < 0.005; total IGF-I, P < 0.001; IGFBP-3, P = 0.001), whereas IGFBP-1 levels were higher (P < 0.001). In IDDM subjects, decreases in free IGF-I, total IGF-I, and IGFBP-3 levels with age were observed (free IGF-I, r = -0.27 and P = 0.05; total IGF-I, r = -0.52 and P < 0.001; IGFBP-3, r = -0.37 and P = 0.005). Free IGF-I was inversely related to fasting glucose in IDDM subjects (r = -0.35; P = 0.01), whereas the relationship between total IGF-I and fasting glucose did not reach significance (r = -0.27; P = 0.06). Age-adjusted free IGF-I levels were significantly higher (P < 0.05) in IDDM subjects with retinopathy than in subjects without retinopathy after adjustment for age. Total IGF-I and IGFBP-3 levels were positively related to GFR (total IGF-I, r = 0.35 and P < 0.05; IGFBP-3, r = 0.28 and P < 0.05). Both of these differences lost significance after adjustment for age. Free IGF-I, total IGF-I, and IGFBP-3 levels were lower and IGFBP-1 levels were higher in insulin-treated IDDM subjects compared to those in age- and sex-matched controls. Free IGF-I, total IGF-I, and IGFBP-3 levels decreased significantly with age in IDDM subjects. Age-adjusted free IGF-I levels in subjects with diabetic retinopathy were higher than those in subjects without diabetic retinopathy. Total IGF-I and IGFBP-3 levels were positively related to GFR in IDDM subjects, but these relations were lost after adjustment for age. Measurement of serum free IGF-I levels in IDDM subjects did not have clear advantages compared to that of total IGF-I, IGFBP-1, and IGFBP-3 levels. Serum IGF-I and IGFBPs reflect their tissue concentrations to a various degree. Consequently, extrapolations concerning the pathogenetic role of the IGF/IGFBP system in the development of diabetic complications at the tissue level remain speculative

The crime drop and the security hypothesis

Major crime drops were experienced in the United States and most other industrialised countries for a decade from the early to mid-1990s. Yet there is little agreement over explanation or lessons for policy. Here it is proposed that change in the quantity and quality of security was a key driver of the crime drop. From evidence relating to vehicle theft in two countries it is concluded that electronic immobilisers and central locking were particularly effective. It is suggested that reduced car theft may have induced drops in other crime including violence. From this platform a broader security hypothesis, linked to routine activity and opportunity theory, is outlined

Blood pressure response to renal denervation is correlated with baseline blood pressure variability: a patient-level meta-analysis

Background: Sympathetic tone is one of the main determinants of blood pressure (BP) variability and treatment-resistant hypertension. The aim of our study was to assess changes in BP variability after renal denervation (RDN). In addition, on an exploratory basis, we investigated whether baseline BP variability predicted the BP changes after RDN. Methods: We analyzed 24-h BP recordings obtained at baseline and 6 months after RDN in 167 treatmentresistant hypertension patients (40% women; age, 56.7 years; mean 24-h BP, 152/90 mmHg) recruited at 11 expert centers. BP variability was assessed by weighted SD [SD over time weighted for the time interval between consecutive readings (SDiw)], average real variability (ARV), coefficient of variation, and variability independent of the mean (VIM). Results: Mean office and 24-h BP fell by 15.4/6.6 and 5.5/ 3.7 mmHg, respectively (P &lt; 0.001). In multivariable-adjusted analyses, systolic/diastolic SDiw and VIM for 24-h SBP/DBP decreased by 1.18/0.63 mmHg (P 0.01) and 0.86/0.42 mmHg (P 0.05), respectively, whereas no significant changes in ARV or coefficient of variation occurred. Furthermore, baseline SDiw (P ¼ 0.0006), ARV (P ¼ 0.01), and VIM (P ¼ 0.04) predicted the decrease in 24-h DBP but not 24-h SBP after RDN. Conclusion: RDN was associated with a decrease in BP variability independent of the BP level, suggesting that responders may derive benefits from the reduction in BP variability as well. Furthermore, baseline DBP variability estimates significantly correlated with mean DBP decrease after RDN. If confirmed in younger patients with less arterial damage, in the absence of the confounding effect of drugs and drug adherence, baseline BP variability may prove a good predictor of BP response to RDN

The Effect of wake Turbulence Intensity on Transition in a Compressor Cascade

Direct numerical simulations of separating flow along a section at midspan of a low-pressure V103 compressor cascade with periodically incoming wakes were performed. By varying the strength of the wake, its influence on both boundary layer separation and bypass transition were examined. Due to the presence of small-scale three-dimensional fluctuations in the wakes, the flow along the pressure surface undergoes bypass transition. Only in the weak-wake case, the boundary layer reaches a nearly-separated state between impinging wakes. In all simulations, the flow along the suction surface was found to separate. In the simulation with the strong wakes, separation is intermittently suppressed as the periodically passing wakes managed to trigger turbulent spots upstream of the location of separation. As these turbulent spots convect downstream, they locally suppress separation. © 2014 Springer Science+Business Media Dordrecht

Catch-up growth in the first two years of life in Extremely Low Birth Weight (ELBW) infants is associated with lower body fat in young adolescence

Aim To investigate growth patterns and anthropometrics in former extremely low birth weight (ELBW, <1000 g) children and link these outcomes to neurocognition and body