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The goal of this master thesis is to analyze impact of shocks in oil prices to automobile industry stock prices and returns. We decompose oil price shocks on oil supply shocks, aggregate demand shocks and oil-specific demand shocks and assess their individual impacts on these stock prices/returns. This is done using the vector autoregression (VAR) methodology which allows us to compute impulse responses, that is the reaction paths on the individual shocks. In addition to linear VARs we also employ threshold VAR models in order to capture nonlinearities in impulse responses and besides the aggregate automobile stock price index we compute these nonlinear impulse responses also for some selected individual car producers. We think that this analysis have two different uses. First, it can be beneficial to stock market investors. Second, it can be used by policymakers in countries such as Slovakia and the Czech Republic, which are relatively heavily dependent on automotive industry. 1

This work investigates the international spillover effects and transmission channels of Unconventional Monetary Policy (UMP) of major central banks from United States, United Kingdom, Japan and Europe to Latin-American countries. A Global VAR model is estimated to analyze the impact on output, inflation, credit, equity prices and money growth on the selected countries. Results suggest that indeed, there are international spillovers to the region with money growth, stock prices and international reserves as the main transmission channels. In addition, outcomes are different between countries and variables implying not only that transmission channels are not same across the region but also that the effects of the monetary policy are not distributed equally. Furthermore, it is found evidence that for some countries transmission channels may have transformed due to the crisis. Finally, effects of UMP during the crisis were in general positive with exception of Japan indicating that policies from this country brought more costs than benefits to the region. Keywords Zero Lower Bound, Unconventional Monetary Policy, International Spillovers, Global VAR, GVAR.

The stated aim of building the Swedish welfare state ("Folkhemmet") was to develop a modern society that contained equality between social classes. Interestingly, though, class inequalities still exist but have become obscured by an endeavour to reach cultural recognition with a particular focus on multiculturalism. This paper seeks to demonstrate the production and reproduction of class inequalities in Lena Andersson's novel Var det bra så?. Nancy Fraser's theory of redistribution and recognition is used to highlight the complexity and intersection of culture, ethnicity, gender and class. In that context, it is claimed that class inequalities have to be separated from cultural discrimination when the aim is to examine the establishment of social inequalities. Fraser argues that socio-economic segregation has to be seen in the light of economic and cultural inequalities as being two separate phenomena, even though they clearly are interrelated. Var det bra så? is here viewed as a critique of the Swedish welfare state ("Folkhemmet") as a political concept. The novel depicts how the focus on and belief in multiculturalism as central for the development of society has entailed a marginalization and culturalization of class.

In this thesis, a portfolio optimization with integer variables which influence optimal assets allocation in domestic as well as in international environment, is studied. At the beginning with basic terms, assets and portfolio background, incentives of portfolio creation, fields of portfolio application and portfolio management is dealt. Following the characteristics of assets and portfolios (expected return, risk, liquidity), which are used by investors to value their properties, are introduced. Next the mean-risk models are derived for the measures of risk - variance, Value at Risk, Conditional Value at Risk and prepared for a practical application. Heuristics implemented in Matlab and standard algorithms of software GAMS are used for solving problems of the portfolio optimization. At the end optimization methods are applied on real financial data and an outputs are compared.

Programa de Doctorado: Desarrollo Sostenible Conservativo de Bosques Tropicales. Manejo Forestal y Turístico / En este trabajo se estableció una estrategia para la conservación intraespecífica de la especie Pinus caribaea Morelet var. caribaea Barret y Golfari, basado en la caracterización de la variabilidad existente a nivel morfológico, ecofisiológico y genético en áreas de distribución natural de la especie, evaluando un total de 8 poblaciones (Cajálbana, Marbajita, La Güira, La Jagua, Galalón, Vinales, Pinar del Río y Sabanalamar), además se tuvo en cuenta aspectos de su dinámica, así como los principales factores que han incidido en la pérdida de sus poblaciones naturales, indicando que el manejo inadecuado, los incendios forestales y el aprovechamiento forestal, han sido las causas fundamentales. En el estudio se muestra una amplia variabilidad a nivel morfológico y genético en la especie, así como la diferenciación de dos grupos entre poblaciones a partir de 22 variables, uno al NO y otro al NE, donde Galalón mostró características muy distintivas. Se definen las poblaciones de Sabanalamar y La Güira como unidades de conservación, Galalón, como unidades significativas de evolución, Cajálbana, Marbajita, La Jagua y Vinales como unidades de manejo y una nueva categoría para la especie (unidades especiales de conservación) relacionada con su programa de mejoramiento genético.

Esse estudo avalia a adequação dos requerimentos absolutos de capital no Brasil para bancos pequenos e grandes separadamente e investiga os requerimentos de capital mínimo para risco de crédito nas diferentes abordagens de Basiléia, em especial o impacto da adoção dos modelos dos ratings internos (IRB) conforme o Edital BCB n. 37/11. Além disso, propõe e avalia a abordagem padronizada dos ratings centralizados, CRBA, para cálculo do Capital Mínimo Exigido (CME) em bancos pequenos e que é baseada na abordagem padronizada em vigor na Europa, mas voltada para dados disponíveis nas Centrais de Risco. A CRBA pertence à família dos modelos internos e busca contribuir com as recentes discussões sobre a reforma regulatória bancária na Europa e nos Estados Unidos. Para os três objetivos mencionados, as metodologias adotadas foram: 1) o Valuet-at-Risk (VaR) não paramétrico de Crédito (CVaR) de Carey (2002) e o paramétrico Creditrisk+ para estimar o capital econômico do Sistema Bancário; seguido da 2) estimação amostral e avaliação do capital regulatório para bancos pequenos e grandes nas abordagens IRB, Basileia 1, abordagem padrão simplificada (SSA); além da 3) avaliação da abordagem proposta nesse estudo, a CRBA. A performance de todas essas abordagens é avaliada frente a cenários de stress ad hoc e durante a Crise de 2008-2009. Os dados utilizados foram exposições de crédito aleatórias colhidas da Nova Central de Risco do Banco Central do Brasil (SCR). Os principais resultados desse estudo são: 1) sugerir um capital regulatório total (Patrimônio de Referência mais provisão) para bancos grandes de 17,5% baseado no CVaR paramétrico de 99,9% e, para pequenos, de 15,31% baseado no CVaR de 99%; 2) sugerir que, de todas as abordagens de Basileia II, o IRB estimado conforme o Edital BCB n. 37/2011 e para as Probabilidade de Default (PDs) calculadas por matrizes de migração do SCR, é o mais conservador; 3) sugerir que a abordagem proposta seja mais sensível ao risco de crédito do que atual brasileira, especialmente no varejo, além de oferecer um nível proteção maior contra choques aleatórios de crédito. Na Crise de 2008-2009, os bancos pequenos e grandes apresentaram respostas muito distintas a choques diversos ou quando os \"estados da economia\" se deterioravam. Os bancos pequenos não atingem o grau de diversificação necessário para minimizar perdas extremas. Por outro lado, do ponto de vista do risco sistêmico, a falência dessas entidades tem impactos muito menores que a de conglomerados bancários de porte. Finalmente, a abordagem proposta CRBA é apresentada como uma alternativa à abordagem atual no Brasil e à abordagem padronizada (SA) nos demais países, em especial na Europa. No Brasil, a CRBA cumpriria o papel de aumentar a sensibilidade a risco de crédito do CME nos bancos pequenos criando incentivos para uma gestão de risco de crédito mais cautelosa e alinhando o nível de capital dos bancos pequenos ao seu risco efetivo. Nos demais países, a CRBA é uma alternativa à abordagem padronizada, que independe da opinião das Agências de Classificação de Risco (ACRs). A CRBA traz dois benefícios: o primeiro de ampliar o escopo dos modelos internos e eliminar a dependência regulatória na opinião das ACRs, diminuindo a oportunidade de arbitragem regulatória com ratings inflacionados e corrigindo incentivos para que as ACRs sejam apenas provedoras de opiniões isentas; e o segundo, de prover os organismos supervisores com um mecanismo de controle (tracking error) sobre a qualidade de gestão de risco dos bancos pequenos por meio das Centrais de Risco. / This work analyses capital requirements adequacy in Brazil both for small and big banks individually and evaluates the minimum capital requirements for credit risk in the different Basel II approaches, especially, the impacts of IRB adoption as stated on Edital BCB n.37/11. Besides, it proposes and evaluates the Centralized Standard Ratings Based Approach (CRBA) to calculate Minimum Capital Requirements (MCR) in small banks. It is inspired in the Basel II Standard Approach (SA) disseminated in Europe, but based on information from the Credit Registers. The CRBA is an internal model approach in line with recent discussions on regulatory reform in Europe and in the US. The methodology to address these three research goals is: the non-parametric credit Value-at-Risk (VaR) or CVaR of Carey(2002) and the parametric Creditrisk+ to estimate the economic capital for the banking system; to evaluate regulatory capital in small and big banks in the IRB, Basel 1 and the Simplified Standard Approach (SSA) on the sample; and to evaluate the CRBA, proposed in this study. The performance of these approaches is confronted with ad hoc stress scenarios and within the Credit Crisis of 2008-2009. The data is comprised of credit exposures available in the Brazilian Credit Register (SCR). This work main results are: 1) to suggest a total regulatory capital (capital and provision) of 17.5% to big banks based on a parametric CVaR (99.9%) and of 15.31% to small banks based on a CVaR (99%); 2) to suggest, based on all Basel II approaches, that the IRB, as stated on Edital BCB n.31/11 and calibrated with the probabilities of default (PD) estimated with transition matrixes from the SCR, is the most conservative approach; 3) to suggest that the proposed approach is more sensitive to credit risk especially in retail and is more effective against stress chocks. Small and big banks behave differently to adverse shocks. The small banks, for instance, have problems diversifying out extreme losses when the \"states of the economy\" deteriorate. On the other hand, considering systemic risk, the bankruptcies of these institutions are much less of a problem than the ones of a big bank. Finally, the CRBA is presented as an alternative to the current approach (SSA) in Brazil and to the Standard Approach (SA) in other countries, specifically in Europe. In Brazil, the CRBA would increase the risk sensitivity of MCR on smaller banks creating incentives to more careful risk management practices and aligning their capital and risk levels. On the other countries, the CRBA is an alternative to the Standard Approach (SA) that is not dependent on Credit Rating Agencies - CRAs\' opinions and brings two additional benefits. First, it is an internal model based approach eliminating regulatory dependence on CRAs\' opinions, minimizing opportunities to regulatory arbitrage with inflated ratings and allowing CRAs to be more of a trustworthy opinion provider. Second, it provides supervisors a tracking error mechanism to evaluate risk management in small banks using Credit Registers.

La littérature existante sur la soutenabilité de la dette souligne l'existence d'un seuil ou d'un point de basculement au-delà duquel la dette compromet la croissance et déstabilise l'économie. Cette thèse de doctorat présente trois approches supplémentaires qui pourraient être utilisées pour interroger davantage la dynamique de la dette au Kenya.La thèse utilise des données de séries temporelles annuelles de 1963 à 2015 au Kenya, et emploie un modèle autorégressif vectoriel structurel (SVAR), des modèles de changements de régime de Markov (MS) et des modèles autorégressifs à seuil autorégressif (SETAR).Le premier chapitre investigue si la réponse de la politique budgétaire aux chocs macroéconomiques est compatible avec une trajectoire durable de la dette ? Le deuxième chapitre analyse la question suivante : les écarts sont-ils systématiquement corrigés à long terme ? Le troisième chapitre recherche si la coordination entre la politique monétaire et budgétaire atténue ou exacerbe la soutenabilité de la dette à long terme ?Les résultats obtenus confirment ce qui suit : (i) Le solde primaire réagit aux chocs macroéconomiques d'une manière compatible avec la viabilité de la dette. (ii) La consolidation budgétaire pourrait être contreproductive en réponse à la gestion de la dette. (iii) La dette stimule la croissance au Kenya. (iv) Les régimes fiscaux durables et non durables sont dominants, chacun d'eux ayant une durée moyenne de quatre ans, tandis que la situation du jeu Non-Ponzi reste faible dans l'économie kényane à long terme. (v) La persistance d'un régime de non-durabilité pendant plus de quatre ans pourrait menacer la viabilité budgétaire à long terme. / Existing literature on debt sustainability emphasizes the existence of a threshold or a tipping point beyond which debt compromises growth and destabilizes the economy. This Ph.D. thesis goes beyond threshold testing and presents three additional approaches which could be used to further interrogate debt dynamics. Using annual time series data from 1963 to 2015, and employing a Structural Vector Autoregressive Model (SVAR), Markov switching models (MS) and Self-Exciting Threshold Autoregressive models (SETAR) for robustness, the three chapters cross-examine Kenya’s debt sustainability, by addressing three questions: First chapter, is the fiscal policy response to macroeconomic shocks consistent with a sustainable debt trajectory? The second chapter, given that the fiscal response may deviate from the sustainable path in the short-run, are these deviations systematically corrected in the long run? The third chapter, to what extent does coordination between monetary and fiscal policy, if any, alleviate or exacerbate debt sustainability in the long run? The results obtained confirm the following: (i) The primary balance reacts to macroeconomic shocks in a manner consistent with debt sustainability (ii) Fiscal consolidation might be counterproductive as a response to debt management. (iii) Debt drives growth in Kenya. (iv) Both sustainable and unsustainable fiscal regimes are dominant with each lasting an average of four years, while the No-Ponzi game condition weakly holds in the Kenyan economy in the long run. (v) The persistence of unsustainability regime for more than four years could threaten long-run fiscal sustainability.

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2017-08-23T14:26:31Z No. of bitstreams: 1 Aline Teixeira Canabarro_.pdf: 753214 bytes, checksum: a85c55a3c1155bcbafd39b22983b4451 (MD5) / Made available in DSpace on 2017-08-23T14:26:31Z (GMT). No. of bitstreams: 1 Aline Teixeira Canabarro_.pdf: 753214 bytes, checksum: a85c55a3c1155bcbafd39b22983b4451 (MD5) Previous issue date: 2017-07-07 / Nenhuma / Esta dissertação tem como objetivo investigar qual foi o grau de repasse cambial para a inflação (pass-through), para os países selecionados da América Latina, em particular, Brasil, Chile, Colômbia e México, sob o enfoque macroeconômico, entre 2000 e 2015. Para isso empregou-se o modelo VAR/VEC. Os resultados das funções de impulso-resposta (relação de curto prazo) indicam que para o Brasil e Colômbia, a taxa de câmbio pressiona os aumentos da inflação e o pass-through é maior. Já no Chile e México, as variações do câmbio não predominam as variações da inflação (movimento de endogenia), sendo o pass-through menor. A Colômbia apresenta maior sensibilidade às mudanças cambiais, seguida de Brasil, Chile e México, nessa ordem. As equações de longo prazo mostram que no Brasil, Chile e México, aumentos na produção industrial tem o efeito de reduzir a inflação do país. Provavelmente isso ocorra devido ao efeito escala gerado na produção desses países. Outro resultado que destaca-se no longo prazo é a taxa de câmbio não ser significativa para o Brasil e Chile, sugerindo que as mudanças na taxa de câmbio não tem efeito sobre a inflação no longo prazo. Os resultados apontaram para direções semelhantes a outros estudos, além do grau de pass‑through ser incompleto (assimetria) e o maior repasse seja para países com setores produtores de bens de menor conteúdo tecnológico. / This dissertation aims to investigate which was the exchange retrace to the inflaction (pass-through), for the selected countries in Latin America, specially Brazil, Chile, Colombia and Mexico, under the macroeconomical focus, among the years 2000 and 2015. For such, it was used the VAR/VEC model. The results of the impulse-response functions (short time relation) indicate that for Brazil and Colombia, the Exchange rate pressures the increase of the inflaction and the pass-through is higher. While in Chile and Mexico the Exchange variations do not predominate the inflaction variations (endogeny movement), sendo o pass-through menor. Colombia presentes more sensibility to the exchange changes, followed by Brazil, Chile and Mexico, respectively. The long term equations show that in Brazil, Chile and Maxico the increase in the industrial production has the effect of reducing the inflaction of the country. It probably happens because of the scale effect generated in the production of these countries. Another result that is highlighted in the long term is that the exchange rate is not relevant in Brasil and Chile, suggesting that the changes in the Exchange rate do not have affect on the long term inflaction. The results point to similar directions of other studies, beyond the pass‑through degree being incomplete (assimetry) and the higher retrace be in countries with productive sectors of goods of lower technological content.

The most virulent malaria parasite, Plasmodium falciparum, makes use of extensive antigenic diversity to maximise its transmission potential. Parasite genomes contain several highly polymorphic gene families, whose products are the target of protective immune responses. The best studied of these are the PfEMP1 surface proteins, which are encoded by the var multi-gene family and are important virulence factors. During infection, the parasite switches expression between PfEMP1 variants in order to evade adaptive immune responses and prolong infection. On the population level, parasites appear to be structured with respect to their var genes into non-overlapping repertoires, which can lead to high reinfection rates. This non-random structuring of antigenic diversity can also be found at the level of individual var gene repertoires and var genes themselves. However, not much is known about the evolutionary determinants which select for and maintain this structure at different ecological scales. In this thesis I investigate the mechanisms by which multi-scale immune selection and other ecological factors influence the evolution of structured diversity. Using a suite of theoretical frameworks I show that treating diversity as a dynamic property, which emerges from the underlying infection and transmission processes, has a major effect on the relationship between the parasite’s transmis- sion potential and disease prevalence, with important implications for monitoring control efforts. Furthermore, I show that an evolutionary trade-off between within-host and between-host fitness together with functional constraints on diversification can explain the structured diversity found at both the repertoire and parasite population level and might also account for empirically observed exposure-dependent acquisition of immunity. Together, this work highlights the need to consider evolutionary factors acting at different ecological scales to gain a more comprehensive understanding of the complex immune-epidemiology of P. falciparum malaria.