Cette thèse étudie la dynamique du marché des credit default swaps (CDS), instruments financiers de transfert du risque du crédit, et de ses relations avec les autres marchés, en particulier durant les épisodes de crise. Le marché des CDS a connu un développement vigoureux depuis son émergence, au milieu des années 90. Les volumes de contrats de CDS échangés ont augmenté à un rythme rapide, ce marché a ainsi connu le développement le plus rapide parmi les dérivés négociés de gré-à-gré (over-the-counter – OTC). Les participants de marché, principalement les grandes banques, ont su tirer parti des possibilités offertes par les outils de transfert de risque qui leur ont permis tout d'abord, de disposer d'instruments novateurs de protection contre le risque de crédit, mais aussi d'assurer l'expansion de leur activité d'intermédiation du crédit tout en optimisant les exigences en capital. Bien que le fonctionnement du marché des CDS ait connu une amélioration depuis le début des années 2000, plusieurs éléments mettent en doute l'hypothèse d'un marché efficient et résilient aux périodes de crise. A travers cinq articles empiriques, cette thèse se penche sur deux épisodes de crises durant lesquels le fonctionnement de ce marché a pu être perturbé : d'une part la crise de mai 2005, provoquée par la dégradation en catégorie spéculative de deux entreprises américaines majeures, General Motors et Ford, par les principales agences de notation ; d'autre part la crise financière ayant débuté en 2007 et qui a évolué en crise de la dette souveraine dans le cas des Etats européens à partir de fin 2009. L'étude de ces deux phases de crise montre que le développement du marché des CDS a participé à modifier les relations entre marchés, les investisseurs ayant fait des primes de CDS une source d'information privilégiée pour évaluer le risque de crédit. En effet, les travaux empiriques menés tout au long de la thèse concluent que ce marché est devenu progressivement le lieu où tendait à se dérouler le processus de découverte des prix. Ces travaux mettent également en lumière les vulnérabilités du marché des CDS, renforcées par des effets de contagion déjà à l'œuvre lors de l'épisode de crise de 2005, et incitent à une meilleure régulation des outils de transfert du risque de crédit et, d'une manière plus générale, des dérivés OTC. / This thesis studies the dynamics of the market in credit default swaps (CDS), which are credit risk transfer instruments, and the relationships between the CDS market and other markets, particularly during crisis periods. The CDS market has seen a boom since its emergence, in the mid-90s, and volumes of CDS contracts have increased at a rapid pace. Its growth has thus been the strongest among over-the-counter (OTC) derivatives. Market participants, mainly the major banks, have taken advantage of the opportunities created by credit transfer instruments, which have offered new ways to hedge against credit risk and also contributed to the expansion of their credit intermediation activity, while optimising capital requirements. Despite the improvement of the CDS market's functioning since the early 2000s, several facts call the assumption of an efficient market that is resilient to crisis periods into question. Through five empirical articles, this thesis focuses on two crisis periods which during which the functioning of this market was affected: first, the General Motors and Ford crisis in 2005 following the downgrading of the credit ratings of these two flagship companies to speculative grade; and second, the financial crisis of 2007-2009 which turned into a sovereign debt crisis in the case of European countries from end-2009 onwards. The study of these two crisis periods shows that the growth of the CDS market has contributed to a change in the relationships between markets, as investors tend to regard CDS premia as a prime source of information to assess credit risk. Indeed, the empirical research conducted throughout the thesis concludes that this has gradually become the place where the price discovery process tends to occur. This work highlights the vulnerabilities of the CDS market, reinforced by the contagion effects at work during the 2005 crisis episode, and points to the need for better regulation of credit risk transfer instruments and, more broadly, of OTC derivatives.

Defendo, nesta dissertação, uma interpretação materialista da filosofia humeana. Essa interpretação se apóia em alguns dos temas presentes no Livro 1 do Tratado da Natureza Humana. Divido a tarefa em três partes: no primeiro capítulo, examino dois dos princípios que fundamentam a teoria das idéias apresentada na Parte 1, o princípio da cópia e o da separabilidade. Juntos, eles implicam a impotência da razão a priori no domínio dos fatos. É a imaginação, uma faculdade corpórea, que assume o papel principal na epistemologia humeana; no segundo capítulo, examino a seção “Da imaterialidade da alma” (Parte 4, Seção 5), na qual a alma substancial desaparece e dá lugar a percepções causalmente relacionadas a um corpo. Aqui se evidencia a concepção fisicalista de Hume sobre o fenômeno cognitivo. Procuro esclarecer tal concepção por meio de uma comparação entre ela e a concepção de Reid, segundo a qual o fenômeno cognitivo é intrinsecamente imaterial e, portanto, sem qualquer relação causal com a matéria; o objeto do terceiro capítulo é a seção “Da identidade pessoal” (Parte 4, Seção 6), na qual Hume afirma que a crença nessa identidade decorre de associações de idéias. No Apêndice Hume reconhece a insuficiência de sua explicação inicial. Exponho alguns dos problemas que podem ter gerado as dúvidas do Apêndice e defendo que elas não configuram um possível abandono do materialismo, ou seja, da concepção ontológica que levou à tese de que a mente é um mero feixe de percepções relacionadas causalmente. / I defend, in this dissertation, a materialist interpretation of humean philosophy. This interpretation is based on some of the themes presented in Book 1 of the Treatise of Human Nature. The task is divided in three parts: in the first chapter, I examine two of the principles which ground the theory of ideas presented in Part 1, the principles of copy and of separability. Together, they imply the impotence of a priori reason in the factual domain. It is the imagination, a corporeal faculty, that assumes the leading role in humean epistemology; in the second chapter, I examine the section Of the immateriality of the soul (Part 4, Section 5), in which the substantial soul disappears and gives place to perceptions causally related to a body. Here, Hume’s phisicalist conception about the cognitive phenomena is evidenced. I try to explain this conception by comparing it to Reid’s conception, according to which cognitive phenomena is intrinsically imaterial and, therefore, without any causal relation to matter; the subject of the third chapter is the section “Of personal identity” (Part 4, Section 6), in which Hume states that the belief in this identity derives from associations of ideas. In the Appendix Hume recognizes the insufficiency of his early explanation. I expose some of the problems that may have engendered the doubts of the Appendix and defend that they don’t amount to a possible abandonment of materialism, that is, of the ontological conception which has led to the thesis of the mind as a simple bundle of perceptions causally related.

LIMA, Maria Claudete. A não-atribuição de causalidade na Crônica geral da Espanha de 1344. 2009. 473 f. Tese (Doutorado em Linguística) – Universidade Federal do Ceará, Departamento de Letras Vernáculas, Programa de Pós-graduação em Linguística, Fortaleza-CE, 2009. / Submitted by Liliane oliveira (morena.liliane@hotmail.com) on 2012-09-25T14:29:45Z No. of bitstreams: 1 2009_TESE_MCLIMA.pdf: 5188441 bytes, checksum: e2cf67965c6e922472be995c5e7ca70e (MD5) / Approved for entry into archive by Maria Josineide Góis(josineide@ufc.br) on 2013-11-14T14:14:33Z (GMT) No. of bitstreams: 1 2009_TESE_MCLIMA.pdf: 5188441 bytes, checksum: e2cf67965c6e922472be995c5e7ca70e (MD5) / Made available in DSpace on 2013-11-14T14:14:33Z (GMT). No. of bitstreams: 1 2009_TESE_MCLIMA.pdf: 5188441 bytes, checksum: e2cf67965c6e922472be995c5e7ca70e (MD5) Previous issue date: 2009 / This work aims to characterize formally, semantically and pragmatically the passive, middle and impersonal constructions, in order to elucidate the nature of relation between these constructions in a archaic Portuguese, a relation observed in researches, such as those of Camacho (2002, 2003, 2006), in modern Portuguese. The present research, thus, claims that the common feature of these constructions is the non-attribution of causality, and that they represent different event conceptualizations. Based on principles, founded on a cognitive-functional approach (GIVÓN, 1993, 1995, 2002, 2005; KEMMER, 1993; CAMACHO, 2002, 2003, 2006; HOPPER & THOMPSON, 1980; POTTIER, 1992; CROFT, 1994, 1998; LANGACKER, 1987, 1991; DELANCEY, 1987; TALMY, 1988, 2000; LAKOFF, 1977), the codification of the non-attribution of causality is analyzed in Crônica Geral de Espanha de 1344, a representative historical text in archaic Portuguese, edited by Cintra (1951). In this analysis, answers are sought for the following questions: (a) in the analyzed corpus, which is the most and the least prototypical verbal recourses available for the expression of the non-attribution of causality? (b) which semantic, pragmatical and formal features characterize the different strategies used for expressing the non-attribution of causality? The central hypothesis considers that analyzed constructions codify the non-attribution of causality at various degrees, according to aspects related to the causality notion, such as perspectivization and salience. A large number of occurrences (1061, in total) were collected and analyzed from the perspective of pragmatical aspects such as topicality and informational status; semantic aspects, such as cognitive salience of Affected and of Causative, animacy, affectation type; and formal aspects, such as order and expression. Moreover, all of such occurrences were graduated regarding the transitivity degree and the Grounding. The results indicate that middle construction is the most prototypical of the non-attribution of causality constructions, because it presents less salient causative and is posited in the least degree of transitivity. Passive, most frequent in the corpus and, often, with omitted causative, was characterized as the least prototypical construction because its causative is commonly evoked and it presents a higher degree of transitivity. Impersonal construction, whose causative is frequently inferable, was characterized as more causative and more transitive than the middle construction, however, less than passive. Therefore, the analyses demonstrated that non-attribution of causality is not an isolated phenomenon, limited to the manifestation of an Agent. It is subject to degrees of escalarization which is attached to temporal and aspectual event contours. Because of experiential notion of causality, linked to the idea movement, perfective events are more causal than imperfective ones / Este trabalho visa caracterizar formal, semântica e pragmaticamente as construções passivas, médias e impessoais, com o fim de elucidar a natureza da relação entre estas construções, no português arcaico, relação essa observada em trabalhos, como os de Camacho (2002, 2003, 2006), para o português atual. Parte do princípio de que o traço comum a essas construções é a não-atribuição de causalidade, e de que estas construções refletem diferentes conceitualizações de um evento. Com base nesses princípios, analisa, numa abordagem cognitivo-funcional (GIVÓN, 1993, 1995, 2002, 2005; KEMMER, 1993; CAMACHO, 2002, 2003; HOPPER & THOMPSON, 1980; POTTIER, 1992; CROFT, 1994, 1998; LANGACKER, 1987, 1991; DELANCEY, 1987; TALMY, 1988, 2000; LAKOFF, 1977), a codificação da função não-atribuição de causalidade na Crônica Geral da Espanha de 1344, prosa histórica representante do português arcaico, editada por Cintra (1951). Nessa análise, busca respostas para os seguintes problemas: (a) dos recursos verbais disponíveis, no corpus analisado, para a expressão da não-atribuição de causalidade, qual a mais e a menos prototípica? (b) que traços semântico-pragmáticos e formais caracterizam as diferentes estratégias? A hipótese central considera que as construções analisadas codificam a não-atribuição da causalidade em variados graus, conforme fatores ligados à noção de causalidade e à transitividade, como a perspectivação e a saliência. Foram coletadas 1061 ocorrências e analisadas quanto a fatores pragmáticos, como a topicalidade e o estatuto informacional; fatores semânticos, como saliência cognitiva do Afetado e do Causativo, traço [animado], tipo de afetação; e fatores formais, como a ordem e a expressão. Além disso, todas foram graduadas quanto ao grau de transitividade e de relevo discursivo. Os resultados apontaram que a média é a mais prototípica das construções de não-atribuição de causalidade, por ser a que apresenta causativo menos saliente e menor grau de transitividade. A passiva, mais freqüente no corpus e, muitas vezes, com Causativo omitido, caracterizou-se como menos prototípica por seu Causativo ser freqüentemente evocado e apresentar maior grau de transitividade. Do mesmo modo, a impessoal, cujo causativo é freqüentemente inferível, manifestou-se como mais causativa e mais transitiva que a média, todavia menos que a passiva. A análise demonstrou, enfim, que o fenômeno da não-atribuição de causalidade não é um fenômeno isolado, limitado à manifestação ou não de um Agente. Submete-se a graus e acha-se ligado, especialmente, ao contorno têmporo-aspectual do evento. Devido à noção experiencial de causalidade, ligada à idéia de movimento, eventos perfectivos são mais causais que eventos imperfectivos

The income and life expectancy increase and also, poverty and mortality rate reduction, indicate an improvement of social welfare. Therefore, to understand the relation between income and health is considered to be of fundamental importance. In the theoretical literature, such as, Sala-i-Martin (2005), Weil (2005) and Chen (2008), the causality relationship between income and health is presented as bidirectional. This dissertation has as main objective to analyze causality relationship between income and health, seeking to control the potential differences of this relation over the Brazilian territory. In this case, three Granger causality tests to panel data, proposed respectively by Holtz-Eakin, Newey and Rosen (1988), Granger and Huang (1997), and Hurlin and Venet (2004) and Hurlin (2004, 2005), are applied to a Brazilian States database in the period from 1981-2007. The first two approaches are applied to a database with the counties in Brazil in the period of 1970-2000. To the Brazilian states, the results of Holtz-Eakin, Newey and Rosen (1988) method shows bidirectional causality for complete sample (Brazil), for the group of states with the highest incomes (South-Central) and for the group of states with lower income (North – Northeast). The results of Granger and Huang (1997) test shows unilateral causality from income to health for Brazil, unilateral causality from income to health for the south-central States and non-causality relationship between income and health for the North-Northeast state´s group. Yet, the proposed test by Hurlin and Venet (2004), and Hurlin (2004, 2005) the evidences are clearer for the causality, in a way from health to income for the three cases examined. In general, either the full sample or the division by regions and income groups, the results of the two tests applied to the database with the counties in Brazil, show evidence of a bi-causal relationship between income and health. However, the results presented here are not all consensual. / Aumentos na renda e na expectativa de vida, e de forma similar reduções na pobreza e na taxa de mortalidade, indicam melhorias do bem estar social. Assim, entender a relação existente entre renda e saúde tem fundamental importância. Na literatura teórica, por exemplo, em Sala-i-Martin (2005), Weil (2005) e Chen (2008), a causalidade entre renda e saúde é apresentada como bidirecional. Este trabalho tem o objetivo principal de analisar a relação de causalidade entre renda e saúde, buscando controlar as potenciais diferenças dessa relação ao longo do território brasileiro. Para tanto, três testes de causalidade de Granger para dados em painel, propostos respectivamente por Holtz-Eakin, Newey e Rosen (1988), Granger e Huang (1997), e Hurlin e Venet (2004) e Hurlin (2004, 2005), são aplicados para uma base de dados com os estados brasileiros no período de 1981-2007. E as duas primeiras abordagens são aplicadas para uma base de dados com os municípios brasileiros no período de 1970-2000. Para os estados do Brasil, os resultados do teste de Holtz-Eakin, Newey e Rosen (1988) aponta causalidade bidirecional: para o Brasil, para o grupo de estados de renda mais alta (Centro-Sul) e para o grupo de estados de renda mais baixa (Norte-Nordeste). O teste de Granger e Huang (1997) mostra causalidade unidirecional da renda sobre a saúde para o Brasil, causalidade unidirecional da saúde sobre a renda nos estados do Centro-Sul e não causalidade para o grupo de estados Norte-Nordeste. Já no teste proposto por Hurlin e Venet (2004) e Hurlin (2004, 2005) as evidências são mais claras para causalidade no sentido da saúde sobre a renda para os três casos analisados. Em geral, tanto na amostra completa como na divisão por regiões e por faixas de renda, os resultados dos dois testes aplicados para base de dados com os municípios do Brasil mostram evidências de uma relação bi-causal entre renda e saúde. Portanto, os resultados apresentados neste trabalho não são todos consensuais.

Submitted by Tommaso Momoli (tommaso.momoli@gmail.com) on 2017-03-29T04:51:52Z No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-03-29T11:04:04Z (GMT) No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) / Made available in DSpace on 2017-03-29T12:16:39Z (GMT). No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) Previous issue date: 2017-01-25 / This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others. / Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.

Made available in DSpace on 2010-04-20T21:00:09Z (GMT). No. of bitstreams: 4 Alan Marinovic.pdf.jpg: 11803 bytes, checksum: 6f432bd77eda9bb1f8d0a1b55b2d1ea4 (MD5) Alan Marinovic.pdf.txt: 229382 bytes, checksum: 17f470747aee826fc7511c202d10bcc8 (MD5) Alan Marinovic.pdf: 1449291 bytes, checksum: bc20970ba9f69f9209cff4441caf931e (MD5) license.txt: 4886 bytes, checksum: 2dd7def8564dbf39bd3ed6b2e446baf6 (MD5) Previous issue date: 2009-01-28T00:00:00Z / O trabalho estuda a inter-relação entre preços de ações bancárias da América Latina, Estados Unidos e Europa durante o período compreendido entre janeiro de 2000 até final de junho de 2008. De um modo geral o estudo busca evidências sobre a existência de relações de equilíbrio de longo prazo entre as séries de preços utilizando análises de cointegração, testes de causalidade e funções de impulso resposta. Os resultados empíricos apontam para a existência de relações de equilíbrio de longo prazo entre as séries de preços, e para a existência de contágio especialmente de choques oriundos do mercado Norte Americano. Cabe ressaltar que o efeito de choques se mostra mais pronunciado após 2007, período compreendido pela crise do subprime. / This dissertation investigates the inter-relationships among bank’s stock markets for Latin America, United States and Europe from January, 2000 to June, 2008. The study analyzes the existence of long-run relationships among the price of Bank’s stocks, additionally it applies short-run causality tests and impulse response analyses. Empirical results suggests that there is at least one cointegration vector among the price series, and the series time paths are influenced by different extent of changes in price of different banks. Moreover the study finds that the relationships among bank’s stock prices differ between crises (more volatile) and less volatile periods. These findings imply that there are strong evidences of inter-connections among stock markets around the world.

Résumé The dissertation called The Tarahumara Worldview is the attempt to indicate and clear up the relationship between the language and the culture. The work follows from the mytical arrangement of the Tarahumara natural world living in the Northwestern of Mexico from the description and analyses of some language elements and searching for its language features in the culture. The author puts a few questions: what is position of myth in the worldview - in case there is some?; what is the relation of the Tarahumara language and culture?; does exist any possibility to outcome of the relation of two parts of one culture as it is myth system and language system into thing what the anthropology consider as the worldview?, does myths and language could show in any way a setting of Tarahumara native world setting, their way of thinking?; does the myth shows the base for the cultural creation and how?; even if the question is dificult becouse of the European culture influences we are trying to ask for the origin of Tarahumara culture in the myth - what is the role of the myth and what is the role of the language in Tarahumara worldview. Basicaly I ask for the relation between language and myth in culture environment: where is the edge of this relation, is this relaiton important or it has marginal impact and it...

The causal relationship between financial development and economic growth is a controversial issue. For developing countries, empirical studies have provided mixed result. This study seeks to empirically explore the relationship and the causal link between financial development and economic growth in two sub-Saharan African countries between 1970 and 2006. The empirical investigation is carried out using time methods and the five most commonly used indicators of financial development in the literature. However, the causal relationship was carried out using two different methods which are the autoregressive distributed lag bounds testing (ARDL) and the vector error correction model (VECM). Using this above methodology the study first found that in both countries there is a positive and long-term relationship between all the indicators of financial development and economic growth which was proxied by the real per capita GDP. With respect to the causality test, the two methods used provide mixed results especially in South Africa. In Cameroon the study found that financial development causes economic growth using the two methods, whereas in South Africa economic growth causes financial development when the VECM method is used, while there is an independence relationship between the two variables in South Africa when using ARDL. / Economics / M.Comm. (Economics)

We consider a number of temporal logics, some interval-based and some instant-based, and the choices that have to be made if we need to construct a computational framework for such a logic. We consider the axiomatisation of the accessibility relations of the underlying temporal structures when we are using a modal language as well as the formulation of axioms for distinguishing concepts like actions, events, processes and so on for systems using first-order languages. Finally, we briefly discuss the fields of application of temporal logics and list a number of fields that looks promising for further research. / Computer Science and Information Systems / M.Sc.(Computer Science)

This dissertation explored the efficacy of the new Basel III banking standards in SACU, grounded on the conjecture that they are not reflective of economies of SACU, but are merely an intensification of Basel II, rather than a substantial break with it. Firstly, loans and assets were tested for causality, since Basel III believes growth in these variables led to securitization. The leverage ratio has been introduced in Basel III as an anti-cyclical buffer. The OLS technique was employed to test for its significance in determining growth in bank assets. SACU feels the impact of debt, with credit is marginally treated in Basel III and is not introspective of the realities of its economies. ANOVA tests using debt, credit and GDP were done to determine a better method of addressing cyclicality. The leverage ratio was insignificant in Namibia, with debt and credit having momentous impacts on GDP in SACU. / Economics / M. Com. (Economics)