Real Output Costs of Financial Crises: A Loss Distribution Approach

We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme events due to financial crises. We find that output losses arising from financial crises are strongly heterogeneous and that currency crises lead to smaller output losses than debt and banking crises. Extreme global financial crises episodes, occurring with a one percent probability every five years, lead to losses between 2.95% and 4.54% of world GDP.Comment: 31 pages, 10 figure

Stability periods between financial crises : The role of macroeconomic fundamentals and crises management policies

The aim of this paper is to identify which factors explain why some countries are more prone to enjoy long durations of stability, while others experience crises in shorter intervals. To this end, we analyze the duration of stability periods between currency, debt, and banking crises from 1980 to 2008. We find that durations of tranquility between currency and debt crises are bimodally distributed, making conventional econometric models unsuitable. Therefore, we introduce an innovative econometric strategy, the Finite Mixture Model. Real and financial variables are found to have high predictive power for the spell of stability between currency crises, while for debt crises, the real interest rate is observed to be the best predictor. The time between the occurrence of systemic financial crises is prolonged through large-scale government interventions and IMF aid programs, while recapitalization turns out to have a negative impact.Financial crises, Finite mixture model, duration, bimodality.

Costes de la producción real de las crisis financieras: Un enfoque de distribución de pérdidas

We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme events due to financial crises. We find that output losses arising from financial crises are strongly heterogeneous and that currency crises lead to smaller output losses than debt and banking crises. Extreme global financial crises episodes, occurring with a one percent probability every five years, lead to losses between 2.95 and 4.54% of world GDPSe estudian pérdidas de PIB por países originadas por crisis financieras en términos de frecuencia (número de eventos de pérdida por periodo) y severidad (pérdidas por ocurrencia). Se utiliza el enfoque Loss Distribution Approach (LDA) para calcular la función de densidad de probabilidad de pérdida agregada de PIB a través de los países de la muestra y para extraer los percentiles asociados a eventos extremos ligados a crisis financieras. Se encuentra que las pérdidas de producción derivadas de las crisis financieras son muy heterogéneas. También encontramos que las crisis de tipo de cambio generan menos pérdidas de producción que las crisis de deuda soberana o las crisis bancarias. Los periodos extremos de crisis financiera global tienen lugar con una probabilidad del 1% cada 5 años y conllevan pérdidas de entre el 2,95% y el 4,45% del PIB mundia

Stability periods between financial crises : The role of macroeconomic fundamentals and crises management policies

URL des Documents de travail ; http://centredeconomiesorbonne.univ-paris1.fr/bandeau-haut/documents-de-travail/Documents de travail du Centre d'Economie de la Sorbonne 2011.64 - ISSN : 1955-611XThe aim of this paper is to identify which factors explain why some countries are more prone to enjoy long durations of stability, while others experience crises in shorter intervals. To this end, we analyze the duration of stability periods between currency, debt, and banking crises from 1980 to 2008. We find that durations of tranquility between currency and debt crises are bimodally distributed, making conventional econometric models unsuitable. Therefore, we introduce an innovative econometric strategy, the Finite Mixture Model. Real and financial variables are found to have high predictive power for the spell of stability between currency crises, while for debt crises, the real interest rate is observed to be the best predictor. The time between the occurrence of systemic financial crises is prolonged through large-scale government interventions and IMF aid programs, while recapitalization turns out to have a negative impact.L'objectif de cet article est d'identifier les facteurs qui expliquent pourquoi certains pays ont tendance à expérimenter des durées de stabilité financière plus longues que d'autres. A cette fin, en considérant la période 1980-2008, nous analysons la durée de tranquilité séparant respectivement les crises de change, d'endettement et bancaires. En partant du constat que les distributions de la durée séparant l'occurrence des crises de change et celle séparant l'occurrence des crises d'endettement sont bimodales, nous estimons un modéle économétrique du type "modèle de mélange gaussien". Les résultats empiriques suggèrent d'une part qu'en ce qui concerne les crises de change, les variables d'économie réelle et les financières augmentent significativement la qualité prédictive de notre modèle ; d'autre part, que le taux d'intérêt réel est le meilleur "prédicteur" de la durée de tranquilité entre les crises d'endettement. Nous trouvons également que l'ampleur du soutien public au secteur bancaire ainsi que l'adoption des programmes du FMI prolongent la durée de stabilité entre les crises bancaires systémiques mais que les mesures de recapitalisation sont de nature à précipiter l'occurrence de nouvelles crises

Transition versus physical climate risk pricing in European financial markets:A text-based approach

Under its climate regulation, the EU is expected to become the first continent with a net-zero emissions balance. We study the pricing of climate risks, physical and transition, within European markets. Using text-analysis, we construct two novel (daily) physical and transition risk indicators for the period 2005-2021 and two global climate risk vocabularies. Applying our climate risk indices to an asset pricing test framework, we document the emergence of economically significant transition and physical risk premia post-2015. From a firm-level analysis, using firms’ GHG emissions, GHG emissions intensity, environmental, and ESG scores, we find that rises in transition (physical) risk are typically associated with an increase (decrease) in the return of green (brown) stocks. Firm-level information is used by investors to proxy firms’ climate-risks exposure, especially for transition risk since 2015, whereas the sectoral classification appears to proxy firms’ exposures to physical risk. From a country-level analysis emerges an intensified connection between European stock markets and climate risks post-2015, yet with some heterogeneity. Our results have important economic implications and show that investors demand compensation for their exposure to both climate risk types. Our novel climate risk vocabularies and indicators find several applications in identifying, measuring, and studying climate risks

Fracture mechanics of microsamples

Fracture mechanics has been developed to avoid catastrophic failures of structures. It is nowadays the basic tool for damage tolerant design. From materials science point of view the development of materials with improved fracture resistance has become an important topic. The developed standards to determine the fracture mechanics parameters are adapted to sample sizes from centimetre to meter. The standards are designed to generate materials specific data and not size dependent parameters. The transferability of this testing procedure to dimensions of micrometers is important but not straight forward. The fracture mechanical properties of materials in small dimensions have become an important research area in materials science. A driving force is the growing industrial importance of micro-electronic and micro-electromechanical systems and new down sized devices, for example for medical applications. The load bearing capacity and life time of such micro sized components are determined by the mechanical properties of the material with the corresponding dimensions. Another reason for the development of mechanical tests with samples in the micro range is the evaluation of individual properties of microstructural elements like grain boundaries or individual phases, which have typical dimensions in the micrometer and submicrometer regime. The main goal of the paper will be devoted to: - limits of the application of fracture mechanic tests to microsized samples, - when do fracture mechanic parameters remain size independent and when not, - what can we learn from micromechanical tests about fracture of materials in general, - can we solve fracture problems with microsamples which cannot be generated from conventional fracture mechanics tests

Enzymatic Synthesis of Alkyl Glucosides by β‐Glucosidases in a 2‐in‐1 Deep Eutectic Solvent System

Alkyl glycosides are biodegradable surfactants with excellent physico-chemical properties. Although their wide-range application is considered ecofriendly, their synthesis is not due to the need for toxic organic solvents and corrosive acids as catalysts. Moreover, chemical synthesis results in complex mixtures rather than defined compounds. To overcome both disadvantages as well as the limited solubility of sugars in organic solvents, a highly selective enzymatic synthesis was set up with a β-glucosidase condensing D-glucose and different fatty alcohols in a deep eutectic solvent

Orthovoltage intraoperative radiation therapy for pancreatic adenocarcinoma

<p>Abstract</p> <p>Purpose</p> <p>To analyze the outcomes of patients from a single institution treated with surgery and orthovoltage intraoperative radiotherapy (IORT) for pancreatic adenocarcinoma.</p> <p>Methods</p> <p>We retrospectively reviewed 23 consecutive patients from 1990-2001 treated with IORT to 23 discrete sites with median and mean follow up of 6.5 and 21 months, respectively. Most tumors were located in the head of the pancreas (83%) and sites irradiated included: tumor bed (57%), vessels (26%), both the tumor bed/vessels (13%) and other (4%). The majority of patients (83%) had IORT at the time of their definitive surgery. Three patients had preoperative chemoradiation (13%). Orthovoltage X-rays (200-250 kVp) were employed via individually sized and beveled cone applicators. Additional mean clinical characteristics include: age 64 (range 41-81); tumor size 4 cm (range 1.4-11); and IORT dose 1106 cGy (range 600-1500). Post-operative external beam radiation (EBRT) or chemotherapy was given to 65% and 76% of the assessable patients, respectively. Outcomes measured were infield control (IFC), loco-regional control (LRC), distant metastasis free survival (DMFS), overall survival (OS) and treatment-related complications.</p> <p>Results</p> <p>Kaplan-Meier (KM) 2-year IFC, LRC, DMFS and OS probabilities for the whole group were 83%, 61%, 26%, and 27%, respectively. Our cohort had three grade 3-5 complications associated with treatment (surgery and IORT).</p> <p>Conclusions</p> <p>Orthovoltage IORT following tumor reductive surgery is reasonably well tolerated and seems to confer in-field control in carefully selected patients. However, distant metastases remain the major problem for patients with pancreatic adenocarcinoma.</p