Trade in secured debt, adjustment in haircuts and international portfolios

I study the composition of international portfolios under collateral constraints and the implied cross-border transmission of shocks. I develop an international portfolio model with these features, in which leveraged investors seek diversification in both assets and secured liabilities and in which the pledgeable portion of assets adjusts to the state of the economy, reflecting borrowers’ credit risk. The new analytical results are as follows. First, agents choose endogenously how much to borrow from each country. Second, the collateral constraint, being a contractual link between secured and unsecured financial instruments, permits to compute portfolios without an arbitrage condition between those classes of assets. Finally, haircuts adjust endogenously through the change in the collateral values. After estimating the parameters governing this adjustment, I find that both portfolios and international transmission mechanism are quite sensitive to leveraged investors’ funding. As for portfolios, secured bonds have particularly effective hedging properties in managing the terms of trade risk. As for the international transmission, tightening haircuts affect the economic slowdown: initially severe contractions are followed by quick reversions to the long-term equilibrium. On a cumulative basis, these two effects compensate if haircuts adjust precisely to the economic state. But in case of uncertainty about this adjustment, collateral constraints are a source of risk which cannot be internationally diversified.Financial flows, borrowing limits, creditworthiness, risk premia, international business cycle, macroeconomic interdipendence.

Deployment Distribuito di codice e dati su Grid mediante Tecniche di Compressione e di Caching

Studio, progettazione e realizzazione di un sistema scalabile di deployment per Grid. Il prototipo realizza il multicast di grandi quantita' di dati tramite decomposizione a blocchi con fingerprinting e replicazione distribuita. Utilizza tecniche di compressione e caching per l’ottimizzazione della banda di rete, dei tempi di accesso ai dati e per riutilizzare i dati frutto di precedenti deployment. Il sistema e' ottimizzato per l’invio di insiemi di file a insiemi di nodi, tutti eventualmente disgiunti. La libreria progettata e realizzata e' in grado di mantenere pressoche' costante il tempo di deployment all’aumentare dei nodi destinatari e riesce a mantenere un’efficienza relativa che arriva fino al 100% all’aumentare della quantita' di dati da inviar

Country Portfolios with Heterogeneous Pledgeability

In this paper, I study the international transmission of shocks when assets traded across borders are differently suitable as collateral for borrowing (i.e., pledgeability). Under finan- cial integration, differences in pledgeability have implications for the demand for assets. For instance, if a shock makes it more difficult to pledge the assets of the country receiving the shock, agents expect these assets to yield a relatively higher premium than foreign assets in the near future. I develop an approach to determine the optimal portfolio allocations, as existing methods cannot be directly applied to capture differences in asset pledgeability. In this case of heterogeneously pledgeable assets, financial shocks are transmitted from one country to another because the same asset is held by residents of different countries. Valu- ation effects arise as a consequence of the reaction of asset returns in different countries. In contrast, a standard model cannot generate any of these implications when assets have the same degree of pledgeability. Indeed, when assets have the same degree of pledgeability, financial shocks are country-specific and hinder the access to credit only for the residents of the country hit by the shock

Search and Bargaining in the Product Market and Price Rigidities

This paper develops a model of pricing dynamics in business to business relationships. The formation of business relationships is a process of search and matching between retailers and wholesalers in the product market. The size of each transaction and the related price are set through bilateral bargaining. There are three key factors that influence the reaction of prices and quantities to cost shocks: the persistence of the shocks, the adjustment of final goods production and the search externalities. These factors determine how firms adjust, whether through the intensive margin, through the extensive margin or through both. Based on this, we assess to what extent wholesale prices affect the allocation of consumption in closed economy and deliver expenditure switching in open economy

A multi-parametric investigation on waterlogged wood using a magnetic resonance imaging clinical scanner

In cultural heritage conservation science, moisture content (MC) is an essential factor to determine. At the same time, it is essential to choose non-destructive and non-invasive approaches for more sustainable investigations and make them safe for the environment and the sample. The question addressed in this work concerns the possibility and the opportunity to investigate waterlogged wood by using nuclear magnetic resonance imaging (MRI) clinical scanners to carry out non-destructive volumetric diagnostics. In this study, MRI, the most important non-invasive medical imaging technique for human tissue analysis, was applied to study archaeological waterlogged wood samples. This type of archaeological material has a very high moisture content (400%–800%), thus, it is an ideal investigative subject for MRI which detects water molecules inside matter. By following this methodology, it was possible to obtain information about water content and conservation status through a T1, T2, and T2* weighted image analysis, without any sampling or handling, and the samples were directly scanned in the water where they were stored. Furthermore, it permited processing 3D reconstruction, which could be an innovative tool for the digitalization of marine archaeological collections. In this work, 16 modern species of wood and a waterlogged archaeological wood sample were studied and investigated using a clinical NMR scanner operating at 3T. The results were compared with X-ray computed tomography (CT) images, as they had already been used for dendrochronology. The comparison highlights the similar, different, and complementary information about moisture content and conservation status in an all-in-one methodology obtainable from both MRI and CT techniques

Country Portfolios with Heterogeneous Pledgeability

In this paper, I study the international transmission of shocks when assets traded across borders are differently suitable as collateral for borrowing (i.e., pledgeability). Under finan- cial integration, differences in pledgeability have implications for the demand for assets. For instance, if a shock makes it more difficult to pledge the assets of the country receiving the shock, agents expect these assets to yield a relatively higher premium than foreign assets in the near future. I develop an approach to determine the optimal portfolio allocations, as existing methods cannot be directly applied to capture differences in asset pledgeability. In this case of heterogeneously pledgeable assets, financial shocks are transmitted from one country to another because the same asset is held by residents of different countries. Valu- ation effects arise as a consequence of the reaction of asset returns in different countries. In contrast, a standard model cannot generate any of these implications when assets have the same degree of pledgeability. Indeed, when assets have the same degree of pledgeability, financial shocks are country-specific and hinder the access to credit only for the residents of the country hit by the shock

Search and Bargaining in the Product Market and Price Rigidities

This paper develops a model of pricing dynamics in business to business relationships. The formation of business relationships is a process of search and matching between retailers and wholesalers in the product market. The size of each transaction and the related price are set through bilateral bargaining. There are three key factors that influence the reaction of prices and quantities to cost shocks: the persistence of the shocks, the adjustment of final goods production and the search externalities. These factors determine how firms adjust, whether through the intensive margin, through the extensive margin or through both. Based on this, we assess to what extent wholesale prices affect the allocation of consumption in closed economy and deliver expenditure switching in open economy

Brexit and Uncertainty in Financial Markets

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal

Composti volatili in latti pugliesi da allevamenti con diverso regime alimentare

Milk from farms located in less-competitive areas of Europe can be appraised by characterizing the specific features deriving from the territory. In the present study milks were compared from Apulian farms, situated in the same area (Murgia highlands) but with different feeding techniques. Through the volatile compounds profile, assessed by the SPME technique and GC-MS analysis, it was possible to discriminate the milk produced by grazing cattle from that produced in intensive dairy farms. In particular, the results confirmed that terpenoids are a powerful chemical index to identify milk which comes from grazing cattle and that these could also indicate the origin from a specific micro-area

Brexit and uncertainty in financial markets

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal