Structural Breakpoints in Volatility in International Markets

In this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak of the Asian crisis and the terrorist attacks of September 11, 2001 on Emerging Asia, Europe, Latin America and North America's stock markets. In addition, we focus on the behavior of interest rates in Chile after the Central Bank switched its monetary policy interest rate from an inflationindexed to a nominal target in August 2001. Our estimation results show that the number of shifts detected by the two methods is substantially reduced when filtering out the data for both conditional heteroskedasticity and serial correlation. In addition, we conclude that the wavelet-based test tends to be more robust.ICSS algorithm, wavelet analysis, volatility breakpoints.

The International CAPM and a Wavelet-Based Decomposition of Value at Risk

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our methodology to stock indices of seven emerging economies belonging to Latin America and Asia, for the sample period 1990-2004. Our main conclusions are the following. First, the estimation results hinge upon the choice of the world market portfolio. In particular, the stock markets of the sampled countries appear to be more integrated with other emerging countries than with developed ones. Second, value at risk depends on the investor's time horizon. In the short run, potential losses are greater than in the long run. Third, additional exposure to some specific stock indices will increase value at risk to a greater extent, depending on the investment horizon. Our results go in line with recent research in asset pricing that stresses the importance of heterogeneous investors.

EXTREMAL DEPENDENCE IN EXCHANGE RATE MARKETS

Exchange rate markets exhibit correlation in the short run, but the issue is whether such correlation lingers over long periods of time, and under extreme events (i.e., either large appreciations or depreciations). In this paper, we analyze dependence between nominal exchange rates under extreme events for a sample of ten countries with dirty/free float regimes over the period 1998-2002. In addition, we investigate whether currencies have exhibited extremal dependence on the Euro, since its adoption in 1999. Our findings are the following. First, in general, there is no evidence of extremal dependence between returns pairs. Second, the degree of dependence is stronger under large appreciations than under large depreciations. These conclusions are robust to filtering out the data for serial correlation and heteroscedasticy.extremal dependence, DVEC models

Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence From APEC and NAFTA

Using monthly industrial sector data from January 1971 to March 2004, we test for business cycles convergence among the major APEC members: Japan, South Korea, Malaysia, Mexico, USA, and Canada. In addition, we examine the synchronization of business cycles among Australia, Japan, and South Korea, based on the quarterly data for the 1957-2003 period, as well as among the different economic sectors of the NAFTA countries from January 1970 through March 2004. We apply different techniques to identify business cycles. In particular, we propose a new trend-cycle decomposition method based on wavelet analysis. The results show that convergence of business cycles of Asia-Pacific countries is far from complete, but joining the APEC has increased the mean correlation of industrial production cycles of the member economies. On the other hand, although some economic sectors of the NAFTA countries already exhibited some degree of business cycle co-movement even during pre-NAFTA period, the volatility of pair-wise correlation of business cycles declined during NAFTA. In addition, we conclude that, in general, the transmission of business cycles is relatively slow, and, consequently, business cycles appear to be asynchronous.http://deepblue.lib.umich.edu/bitstream/2027.42/40151/3/wp765.pd

Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence From APEC and NAFTA

Using monthly industrial sector data from January 1971 to March 2004, we test for business cycles convergence among the major APEC members: Japan, South Korea, Malaysia, Mexico, USA, and Canada. In addition, we examine the synchronization of business cycles among Australia, Japan, and South Korea, based on the quarterly data for the 1957-2003 period, as well as among the different economic sectors of the NAFTA countries from January 1970 through March 2004. We apply different techniques to identify business cycles. In particular, we propose a new trend-cycle decomposition method based on wavelet analysis. The results show that convergence of business cycles of Asia-Pacific countries is far from complete, but joining the APEC has increased the mean correlation of industrial production cycles of the member economies. On the other hand, although some economic sectors of the NAFTA countries already exhibited some degree of business cycle co-movement even during pre-NAFTA period, the volatility of pair-wise correlation of business cycles declined during NAFTA. In addition, we conclude that, in general, the transmission of business cycles is relatively slow, and, consequently, business cycles appear to be asynchronous.business-cycles convergence, wavelets, APEC, NAFTA

Portfolio management implications of volatility shifts: Evidence from simulated data

Based on weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005, we analyze the implications for portfolio management of accounting for conditional heteroskedasticity and structural breaks in long-term volatility. In doing so, we first proceed to utilize the ICSS algorithm to detect volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor’s time horizon. We repeat the same procedure for artificial data generated from distribution functions fitted to the returns by a semi-parametric procedure, which accounts for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead us to overestimate financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock indices contribute to portfolio diversification.volatility shifts, wavelets, value at risk

Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: the N-Period Case

In the Weighted Average Cost of Capital (WACC) applied to the free cash flow (FCF), we assume that the cost of debt is the market, unsubsidized rate. With debt at the market rate and perfect capital markets, debt only creates value in the presence of taxes through the tax shield. In some cases, the firm may be able to obtain a loan at a rate that is below the market rate. With subsidized debt and taxes, there would be a benefit to debt financing, and the unleveraged and leveraged values of the cash flows would be unequal. The benefit of lower tax savings are offset by the benefit of the subsidy. These two benefits have to be introduced explicitly. In this paper we present the adjustments to the WACC with subsidized debt and taxes and the cost of leveraged equity for multiple periods. We demonstrate the analysis for both the WACC applied to the FCF and the WACC applied to the capital cash flow (CCF). We use the calculation of the Adjusted Present Value, APV, to consider both, the tax savings and the subsidy. We show how all the methods match.Adjusted Present Value, APV, weighted average cost of capital, discounted cash flow, DCF equity value, cost of equity, WACC, subsidized debt with taxes, valuation of cash flows, project evaluation, project appraisal, firm valuation, cost of capital, cash flows, free cash flow, capital cash flow

la experiencia sensible y el vínculo con lo real en la práctica de la improvisación compositiva.

El presente estudio asume el propósito de plantear un acercamiento teórico de la danza sustentado en la reflexión de la experiencia del danzar, con el objetivo de dotar a la práctica de rigurosidad reflexiva y vivencial a través de un enfoque teórico-metodológico motivado por el hacer danzado. El interés central de la investigación es el cuerpo practicado, el cuerpo que asume un espacio propio de generación y producción de saberes en el marco del taller en el que, lo practicado, es ya concebido como escena. La escena es considerada aquí, en el rango más amplio de su acepción, como aquella zona que expone un espacio visual [el cuerpo] que se sustrae deliberadamente de su representación teatral convencional. La noción de práctica permitió desplegar, el nivel de la vivencia corporal y la dimensión sensible y sintiente de la experiencia con la pretensión de referenciar el valor epistémico en el que la práctica obra teoría. Cuerpo y escena son nociones tratadas en un espacio situado, el laboratorio de experimentación de la Improvisación Compositiva, en el que la práctica, no sólo es concebida como acción e intervención sino como una perspectiva reflexiva que propone un campo de observación y análisis fenomenal, un ámbito cognitivo de producción de saberes en donde arraiga la dimensión corporal del sujeto que danza. La investigación se dirigió a la indagación, exploración y descripción fenomenológica de los saberes del cuerpo propio, los que no han sido aún lo suficientemente reconocidos y aprehendidos como fuentes de conformación y composición real de la experiencia y el conocimiento del danzar, en un intento por otorgar sentido a la singularidad y exposición de los cuerpos que danzan, en el marco de los estudios superiores y la investigación académica. La noción de cuerpo practicado o cuerpo que danza asume así, la perspectiva de análisis de tres nociones principales presentes en la complejidad histórica teórica-práctica de la danza [espacio, tiempo y sujeto] y encuentra, en la deixis expresiva y sus vinculaciones con lo real, la metáfora que emerge en el acto mismo de la vivencia, al nombrar un valor afectivo y epistémico de la corporeidad, que trasciende y en algunos casos desconoce, las lógicas sintácticas y gramaticales del lenguaje verbal

The CAPM and value at risk at different time scales

Abstract Wavelet analysis, a refinement of Fourier analysis that was developed in the late 1980's, is a powerful tool for decomposing time series data into orthogonal components with different frequencies. Each frequency is localized in the time domain, which makes it possible to quantify correlations between time series at different time horizons. In this article, we focus on the estimation of the capital asset pricing model (CAPM) at different time scales for Chile's stock market. Our sample is comprised of twenty four stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at the higher frequencies of the data. JEL: C22, G1

Human perception towards the association between the domestic rock pigeon and the insect vector of Chagas disease in an urban area of Argentina

This article focuses on identifying risk factors through the knowledge, perceptions, and prevention practices of the population regarding the rock pigeon and the vector of Chagas disease (vinchucas) in an urban area of Argentina. The study used interviews of focal groups, family nuclei with nearby nesting sites and without nearby nesting sites. Among the results, presence of risk factors that contribute to the infestation of vinchucas in houses were identified, such as presence nesting sites of the rock pigeon, and frequency of cleaning the nests and of fumigation. We show that people that kept their houses clean of nests and routinely disinfected their homes had considerably lower probability of finding vinchucas within their houses. We also identify a general lack of knowledge about risk factors of Chagas disease related to the presence of nesting sites in houses, the form of dispersion of the vector and how to act upon encountering a vinchucas. However, respondents who presented nests in their houses associated the encounter of vinchuca with the presence of nesting sites. The respondents showed high levels of support for programs to control the population of the rock pigeon. It is important that the population at risk of contracting Chagas disease can combat this disease through their daily actions. Promoting better knowledge of risk factors would be an important advancement for community compliance and participation in the fight against Chagas disease.Fil: Fernandez Maldonado, Viviana Noemi. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - San Juan. Centro de Investigaciones de la Geosfera y Biosfera. Universidad Nacional de San Juan. Facultad de Ciencias Exactas Físicas y Naturales. Centro de Investigaciones de la Geosfera y Biosfera; ArgentinaFil: Borghi, Carlos Eduardo. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - San Juan. Centro de Investigaciones de la Geosfera y Biosfera. Universidad Nacional de San Juan. Facultad de Ciencias Exactas Físicas y Naturales. Centro de Investigaciones de la Geosfera y Biosfera; Argentin