In this paper I propose a two-step theoretical extension of the baseline model by Diamond and Rajan (2011) and examine the amplification mechanisms when collateralized funding shocks are endogenously affected by liquidity shocks. Based on high returns on illiquid assets that are potentially available conditional on future fire sales, liquid banks increase their cash holdings by limiting term lending - a speculative motive of liquidity hoarding directly aggravated by a cash reduction due to increased haircuts on collateralized borrowing. As a result, funding liquidity shrinks steadily and credit freezes are more likely. On the other hand, illiquid banks refuse to sell more illiquid assets than necessary to meet depositors' claims - a speculative motive of illiquidity seeking indirectly amplified as fire sale prices are endogenously depressed via increased collateral requirements. Illiquid banks are forced to sell more assets, the problem of insolvency becomes more severe and market freezes are thus even more likely. / Series: Department of Economics Working Paper Series

We analyze whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, and especially, for bonds with high credit risk. We use a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and and that liquidity effects account for approximately 14% of the explained market-wide corporate yield spread changes. Moreover, we find that the economic impact of the liquidity measures is significantly larger in periods of crisis and for speculative grade bonds. (authors' abstract)

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures market volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crisis. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.

This diploma thesis discusses how bank specific determinants and macroeconomic determinants influence non-performing loans in the banks of the G12 and in the Czech Republic in 2000 - 2013, i.e. before and after the financial crisis. The empirical analysis works with a regression model of fixed-effects panel data and uses a sample of 11,386 banks from the Bankscope database. The final results are used to establish recommendations for economic policy makers. The results have shown that non-performing loans for larger and more profitable banks are less susceptible to changes in determinants.

No description available.

Cardiovascular diseases are a major cause of mortality and morbidity in the developed countries. Anti-platelet therapy is a cornerstone treatment for patients with cardiovascular diseases. Patients are routinely managed with a combination therapy consisting of aspirin and clopidogrel. Aspirin inhibits cyclooxygenase 1 (COX 1) a crucial intermediate enzyme involved in thromboxane biosynthesis. Clopidogrel on the other hand antagonizes ADP receptor P2Y12. ADP is a weak platelet agonist stored in platelet dense granules and is released upon platelet activation. ADP activates platelets through two purinergic receptors namely P2Y1 and P2Y12 these receptors couple to Gq and Gi class of G-proteins, respectively. P2Y1 causes calcium mobilization through activation of PLC-β. P2Y12 inhibits adenylyl cyclase, causes activation of Rap1B and Akt. Signaling from both the receptors is required for complete integrin activation, thromboxane generation and Erk activation. Previous studies have shown that P2Y12 potentiates fibrinogen receptor activation, secretion, thrombi stabilization, thrombin generation, platelet leukocyte aggregation formation. ThromboxaneA2 (TXA2) is a potent platelet agonist generated through arachidonic acid metabolism in platelets. TXA2 thus, generated after platelet activation acts as a positive feedback mediator along with ADP. Under physiological conditions, platelet activation leads to thrombin generation through coagulation cascades. Generated thrombin activates PAR receptors and ADP is released from dense granules, which further potentiates thromboxane generation downstream of PARs. Current anti-platelet therapy regimens often include P2Y12 antagonists and aspirin in management of patients with acute coronary syndrome (ACS) and in those undergoing percutaneous coronary intervention (PCI) with stent implantation. However, there still exists a need for improved treatment strategies as not all patients benefit from this dual combination therapy. Reasons include, poor responders either to P2Y12 antagonists or to aspirin, or if aspirin is contraindicated in these patient populations. In the current study we evaluated the role of P2Y12 in thromboxane generation under physiological conditions. We studied serum thromboxane generation in a model system wherein P2Y12 was antagonized or deficient. Using pharmacological approaches we show that dosing mice with 30mg/Kg/body weight clopidogrel or 3mg/Kg/body weight prasugrel decreased serum thromboxane levels when compared to the control mice. Pre-treatment of human blood ex vivo with active metabolites of clopidogrel (R361015) or prasugrel (R138727) also led to reduction in thromboxane levels. We also evaluated serum thromboxane levels in P2Y receptor null mice, serum thromboxane levels in P2Y1 null mice were similar to those in wild type littermates, and were inhibited in P2Y12 null mice. Furthermore, serum thromboxane levels in P2Y12 deficient patients, previously described in France and Japan, were also evaluated and these patients had lower serum thromboxane levels compared to normal controls. In a pilot study, serum thromboxane levels were radically reduced in healthy human volunteers upon dosing with clopidogrel, compared to the levels before dosing. In conclusion, P2Y12 antagonism alone can decrease physiological thromboxane levels. Thus P2Y12 regulates physiological thromboxane levels. Further it is known that ADP-induced thromboxane generation is integrin-dependent. However it is not clear if other potent platelet agonists like thrombin require outside-in signaling for thromboxane generation. Our results show that thrombin-induced thromboxane generation was independent of integrins i.e. when platelets were stimulated with PAR agonists in presence of fibrinogen receptor antagonist thromboxane generation was not affected. Since PAR agonists, unlike ADP, activate G12/13 signaling pathways. Hence, we hypothesized that these pathways might play a role in TXA2 generation. Our results show, that inhibition of ADP-induced thromboxane generation by fibrinogen receptor antagonist SC57101 was rescued by costimulation of G12/13 pathways with YFLLRNP. This observation suggested an existence of a common signaling effector downstream of integrins and G12/13 pathways. Next, we evaluated role of three potential tyrosine kinases; c-Src, Syk and FAK (Focal Adhesion Kinase) that are known to be activated by integrins. Our results showed that c-Src and Syk kinase did not play a role in ADP-induced functional responses in platelets. We observed differential activation of FAK downstream of integrins and G12/13 pathways. ADP-induced activation of FAK was integrindependent and SFK-independent. On the other hand selective activation of G12/13 pathway lead to FAK activation, in SFK and Rho dependent manner. We also evaluated specificity of new FAK inhibitor TAE-226 to understand the role of FAK in TXA2 generation. Our results showed that TAE-226 exhibited non-specific effects at higher concentrations. Furthermore, in comparison to WT mice, FAK null mice did not show any difference in TXA2 generation. Therefore, we concluded that differential activation of FAK occurs downstream of Integrins and G12/13 pathways. However, the common effector molecule downstream of integrins and G12/ 13 pathways contributing to TXA2 generation in platelets remains elusive. / Molecular and Cellular Physiology

Si bien el CAPM no requiere que beta sea estable en el tiempo, al trabajar con series de datos y estimar su valor en el contexto del Modelo de Índice Simple, la estabilidad del coeficiente se torna en una condición crucial para su adecuada utilización. Una práctica ampliamente difundida consiste en obtener los valores a través de MCO, asumiendo la estabilidad de dicho coeficiente. El presente trabajo estima los coeficientes beta de portafolios de sectores económicos con oferta pública de acciones en la Bolsa de Comercio de Buenos Aires en el período 1994-2007, introduciendo una metodología de estimación no paramétrica denominada <i>Varying Coefficient Model</i>. El ejercicio muestra la importante volatilidad de los betas, siendo que es por ello altamente recomendable tomar con especial cuidado las estimaciones de betas basadas en datos históricos al querer extrapolarlas en el tiempo. La utilización en esta dirección, puede modificar drásticamente las conclusiones en la práctica de la administración de portafolios de inversión y en la valuación de empresas. Dos ejemplos de estas aplicaciones son mostradas en el anexo.

In this paper, I examine the impact of direct equity injections and troubled asset purchases on bank lending and solvency and analyze how ex ante tighter caps on leverage affect ex post decisions between both interventions. Extending the model of Bachmann (2018) by adding the government as a liquidity supplier, illiquid banks can either sell troubled assets at fire sale prices to collateralized financed liquid banks or to the government. If illiquid banks are forced to sell all troubled assets in order to meet premature withdrawals and the government is left with excess liquidity compared to direct equity injections, they can use these funds to bid up prices. Higher prices reduce future returns on buying illiquid assets and motivate liquid banks´ incentive to lend by crowding out their speculative motive for liquidity hoarding. As a result, troubled asset purchases weakly dominate direct equity injections in terms of lending and solvency, directly amplified by a drop in collateral liquidity. Additionally, regulating illiquid banks ex ante by tighter caps on leverage affects the government's decisions about ex post interventions to effectively stabilize lending and solvency conditions, as the self-reinforcing downward spiral between fire sale prices and collateral liquidity is mitigated. Hence, I find that there exists an inherent nexus between ex ante regulations and ex post interventions. / Series: Department of Economics Working Paper Series

We give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem. For expository reasons we first consider the classical case where the underlying probability space is finite. This setting has the advantage that the technical diffculties of the proofs are reduced to a minimum, which allows for a clearer insight into the basic ideas, in particular the crucial role played by the Legendre-transform. In this setting we state and prove an existence and uniqueness theorem for the optimal investment strategy, and its relation to the dual problem; the latter consists in finding an equivalent martingale measure optimal with respect to the conjugate of the utility function. We also discuss economic interpretations of these theorems. We then pass to the general case of an arbitrage-free financial market modeled by an R^d-valued semi-martingale. In this case some regularity conditions have to be imposed in order to obtain an existence result for the primal problem of finding the optimal investment, as well as for a proper duality theory. It turns out that one may give a necessary and sufficient condition, namely a mild condition on the asymptotic behavior of the utility function, its so-called reasonable asymptotic elasticity. This property allows for an economic interpretation motivating the term "reasonable". The remarkable fact is that this regularity condition only pertains to the behavior of the utility function, while we do not have to impose any regularity conditions on the stochastic process modeling the financial market (to be precise: of course, we have to require the arbitrage-freeness of this process in a proper sense; also we have to assume in one of the cases considered below that this process is locally bounded; but otherwise it may be an arbitrary R^d-valued semi-martingale). (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-07-18T14:26:58Z No. of bitstreams: 1 daniellealdepaulaestevesdosreis.pdf: 1239258 bytes, checksum: 75cc07cdf6eba15d62c43b78ac783fbc (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-07-22T15:03:54Z (GMT) No. of bitstreams: 1 daniellealdepaulaestevesdosreis.pdf: 1239258 bytes, checksum: 75cc07cdf6eba15d62c43b78ac783fbc (MD5) / Made available in DSpace on 2016-07-22T15:03:54Z (GMT). No. of bitstreams: 1 daniellealdepaulaestevesdosreis.pdf: 1239258 bytes, checksum: 75cc07cdf6eba15d62c43b78ac783fbc (MD5) Previous issue date: 2011-12-16 / FAPEMIG - Fundação de Amparo à Pesquisa do Estado de Minas Gerais / Medidas de volatilidade se constituem numa preocupação por parte de estudiosos e profissionais do mercado financeiro. Modelos da família ARCH/GARCH a partir dos retornos diários produzem um indicador de volatilidade, mas, não conferem ao pesquisador uma medida observável do grau de variabilidade dos retornos em torno de seu valor esperado. A recente disponibilidade de dados de frequência inferior a um dia de negociação permitiu a elaboração de indicadores de volatilidade observáveis por meio de uma medida conhecida como volatilidade realizada. A partir de então, é possível elaborar um indicador observável de volatilidade diária com base em dados de natureza intradiária, de modo a representar uma medida mais apropriada do grau de risco de um ativo ou carteira de ativos, e, a partir de então, estimar a volatilidade por meio de processo da família ARIMA. De posse dos dados de alta-frequência de um papel preferencial da Petrobrás S.A., o presente trabalho se propõe, portanto, em construir a medida de volatilidade realizada por meio da soma dos quadrados dos retornos obtidos em intervalos regulares (5, 15 e 30 minutos) durante cada dia de negociação do papel PETR4 durante o período de 02/01/2007 à 29/10/2010. Posteriormente à criação do indicador de volatilidade realizada que se supõe como mais apropriado para se mensurar o grau de risco, pretende-se comparar a qualidade do ajustamento e a capacidade preditiva de cada um dos métodos de modelagem da volatilidade. A comparação dos modelos baseados em dados diários e intradiários dar-se-á por meio do cômputo do erro quadrático médio (EQM) e dos testes de Diebold e Mariano e de Harvey para avaliação da acurácia preditiva dos modelos. Os resultados mostraram que, em geral, os modelos da família ARIMA são mais apropriados para a avaliação do grau de ajustamento, e produz previsões mais satisfatórias que os modelos da família ARCH/GARCH. / Volatility measures constitute a concern among scholars and professionals of the financial market. Models of the ARCH/GARCH class from the daily returns produce an indicator of volatility, but do not give the researcher an observable measure of the degree of variability of returns around their expected value. The recent availability of data at frequencies below a trading day allowed the development of indicators of volatility observable through a measurement known as realized volatility. Since then, they can build an observable indicator of daily volatility based on intraday data, so as to represent a more appropriate measure of the riskiness of an asset, and from then estimate volatility through a process of ARIMA family. Provided with the data of a high frequency preferential role of Petrobrás S. A., the present paper therefore proposes to construct a measure of realized volatility by the sum of the squares of the returns obtained at regular intervals (5, 15 and 30 minutes ) during each trading day for the paper PETR4 during 02/01/2007 to 29/10/2010. After the creation of the realized volatility indicator that is supposed to be more appropriate to measure the degree of risk, the intent is to compare the goodness of fit and predictive ability of each of the methods of volatility’s models. The comparison of models based on daily data and intraday give will be through the calculation of the mean square error (MSE) and tests of Diebold and Mariano and Harvey to evaluate the predictive accuracy of models. The results in general showed that the models of the ARIMA class are more suitable for assessing the degree of adjustment and produces predictions more satisfactory than the models of the ARCH/GARCH class.