Academic literature on the topic 'Tamil essays'

Meena Kandasamy is a versatile writer from India who writes poetry, essays and fiction. She was born to Tamil parents in 1984. Meena Kandasamy completed a doctorate of philosophy in socio-linguistics from Anna university, Chennai. She was very interested in writing from her childhood and even wrote her first poetry at the age of 17 before translating books by Dalit writers. Kilvenmani, an obscure village in the Nagapattinam taluk of erstwhile Thanjavur, Tamil Nadu, shot to significance in 1968, forty-four Dalit were, locked in a hut and burnt alive because they demanded for hike in wages. This study is an attempt to analyze the events, looking at it not in isolation, but by placing it in the larger socio – political scenario, by examining the various narratives of the incident itself, the aftermath, and the emotions and movements it spurred among the people based on the novel The Gypsy Goddess by Meena Kandasamy taking Marxism and communism as its main theme.

Abstract The study of the history of print technology in South Asia is a multidisciplinary enterprise which involves attentive consideration of the cultural and linguistic diversity of the region, as well as of the historical time in which print technology was massively adopted, namely the colonial period. Here, we focus on the complex fabric of relationships between print and modes of recording and using texts in long present oral and manuscript cultures, also pointing out the limits of applying interpretative models based on the cultural history of Europe to the histories of print in South Asia. Furthermore, we present aspects of the formative stage of print cultures concerning Vedic, Limbu, Nepali, Newari, and Tamil textual traditions—which are studied in the essays of this special issue. This multi-layered perspective helps making sense of social and cultural dynamics concerning the uses of printed books, the (new) meanings associated with them, and the formation of hegemonic configurations within literary and religious traditions.

AbstractThe purpose of this essay is to make a contribution to the study of religious pluralism in the south Asian diasporas. The essay compares the establishment of ritual traditions of the Tamil Hindus and the Tamil Roman Catholics in Norway. There are several parallel developments, and the essay identifies some of these similarities. It is argued that features sometimes assumed to be unique of the Hindu diaspora may not always be so, but may be common features of several of the religious traditions of south Asia in the diaspora. Attention to the plurality of religious traditions in the south Asian diasporas is therefore sometimes a better strategy than the study of each religious tradition in isolation.

The collection of papers by Indian and western scholars, senior and junior, published in the book New Dimensions in Tamil Epigraphy edited by Appasamy Murugaiyan is doubly welcome as it concerns epigraphical sources with a focus on Tamil Nadu. In this contribution are offered a summary of each essay in the volume along with comments and suggestions for deepening the arguments presented.

Sri Vaishnava Tradition has been considering both Sanskrit and Tamil as its two eyes and hence the scholars were refered as “Ubhaya vedantins” (Knowledgeable in both Tamil and Sanskrit). It is popular belief that Acharyas are very fluent in Vedas, Upanishads and the rest while not so much accustomed to Tamil literature. On the contrary the early Acharyas have excelled in their knowledge of Tamil literature and have used their Tamil vocabulary to enrich their commentaries for Divyaprabandams. From Acharya Ramanuja to present day heads of Vaishnava tradition have maintained that Divyaprabandams have to be revered as “Veda samyam” and often referred to them as “Tamil Marai” (Vedas in Tamil). This essay presents glimpses in to the commentary literature and the life style of Acharyas to throw light into the knowledge and service rendered by Acharyas for the Tamil language

Emma Willard's map-drawing geographic pedagogy revolutionized early nineteenth-century American education, turning students into participants in the crafting of the new nation. This essay explores the conditions under which map drawing was transported to American missionary schools in South Asia and helped instigate a Tamil nation in British Ceylon. What did the missionaries intend the teaching method to impart? What were the consequences of this pedagogical form on dominant Tamil portrayals of space and identity in Ceylon? To answer these questions and to track the foreign career of American didactic mapmaking, this essay draws on print and manuscript archival materials, including two maps by a Tamil student at the American Ceylon Mission named Robert Breckenridge. The essay argues that the use of map-drawing pedagogy in Ceylon partially transmitted American ways of being in the world, which were consequential for local spatial knowledges and the crafting of a Tamil national identity on the island.

The performance of the folk paṟai frame drum of South India is a site of religious encounter that syncretizes symbols and practices from Hinduism, Christianity, Tamil agricultural life, and Dalit liberation movements. This essay analyzes three cases of religious syncretism and indigenization of Christianity to Tamil village culture that transform the meaning of this drum from polluted to a sonic tool of liberation against caste oppression.

During the first half of the twentieth century, new mass media practices radically altered traditional cultural forms and performance in a complex encounter that incited much debate, criticism, and celebration the world over. This essay examines how the new sound media of gramophone and sound cinema took up the live performance genres of Tamil drama. Professor Hughes argues that south Indian music recording companies and their products prefigured, mediated, and transcended the musical relationship between stage drama and Tamil cinema. The music recording industry not only transformed Tamil drama music into a commodity for mass circulation before the advent of talkies but also mediated the musical relationship between Tamil drama and cinema, helped to create film songs as a new and distinct popular music genre, and produced a new mass culture of film songs.

The title of this brief essay is an echo of the title of a book once famous, nowadays almost forgotten: M. S. Purnalingam Pillai, Ravana the Great: King of Lanka (Munnirpallam, 1928). The same author, in his better-known Tamil Literature (1929) wrote: “The ten-faced and twenty-armed Ravana was apparently a very intelligent and valiant hero, a cultured and highly civilized ruler, knew the Vedas and was an expert musician. He took away Sita according to the Tamilian mode of warface, had her in the Asoka woods companioned by his own niece, and would not touch her unless she consented.” With this re-evaluation of the character of Rāvaṇa goes hand in hand a milder yet decisive re-evaluation of Rāma, of Rāma's warriors, of Vibhīṣaṇa, and other dramatis personae of the great story. Vibhīṣaṇa is portrayed as “the treacherous brother or deserter of Ravana, who desired to be King by hook or by crook”, the Aryans are described as haughty, cowardly, of low morality; Rāma “has his specks”, he lacks courage and falters in crises. In contrast, Rāvaṇa is not only “a physical and an intellectual giant” but also “great administrator and leader of men, … a man of his word”.

This thesis is composed of three chapters that propose some novel approaches on tail risk for financial market and forecasting in finance and macroeconomics. The first part of this dissertation focuses on financial market correlations and introduces a simple measure of tail correlation, TailCoR, while the second contribution addresses the issue of identification of non- normal structural shocks in Vector Autoregression which is common on finance. The third part belongs to the vast literature on predictions of economic growth; the problem is tackled using a Bayesian Dynamic Factor model to predict Norwegian GDP.Chapter I: TailCoRThe first chapter introduces a simple measure of tail correlation, TailCoR, which disentangles linear and non linear correlation. The aim is to capture all features of financial market co- movement when extreme events (i.e. financial crises) occur. Indeed, tail correlations may arise because asset prices are either linearly correlated (i.e. the Pearson correlations are different from zero) or non-linearly correlated, meaning that asset prices are dependent at the tail of the distribution.Since it is based on quantiles, TailCoR has three main advantages: i) it is not based on asymptotic arguments, ii) it is very general as it applies with no specific distributional assumption, and iii) it is simple to use. We show that TailCoR also disentangles easily between linear and non-linear correlations. The measure has been successfully tested on simulated data. Several extensions, useful for practitioners, are presented like downside and upside tail correlations.In our empirical analysis, we apply this measure to eight major US banks for the period 2003-2012. For comparison purposes, we compute the upper and lower exceedance correlations and the parametric and non-parametric tail dependence coefficients. On the overall sample, results show that both the linear and non-linear contributions are relevant. The results suggest that co-movement increases during the financial crisis because of both the linear and non- linear correlations. Furthermore, the increase of TailCoR at the end of 2012 is mostly driven by the non-linearity, reflecting the risks of tail events and their spillovers associated with the European sovereign debt crisis. Chapter II: On the identification of non-normal shocks in structural VARThe second chapter deals with the structural interpretation of the VAR using the statistical properties of the innovation terms. In general, financial markets are characterized by non- normal shocks. Under non-Gaussianity, we introduce a methodology based on the reduction of tail dependency to identify the non-normal structural shocks.Borrowing from statistics, the methodology can be summarized in two main steps: i) decor- relate the estimated residuals and ii) the uncorrelated residuals are rotated in order to get a vector of independent shocks using a tail dependency matrix. We do not label the shocks a priori, but post-estimate on the basis of economic judgement.Furthermore, we show how our approach allows to identify all the shocks using a Monte Carlo study. In some cases, the method can turn out to be more significant when the amount of tail events are relevant. Therefore, the frequency of the series and the degree of non-normality are relevant to achieve accurate identification.Finally, we apply our method to two different VAR, all estimated on US data: i) a monthly trivariate model which studies the effects of oil market shocks, and finally ii) a VAR that focuses on the interaction between monetary policy and the stock market. In the first case, we validate the results obtained in the economic literature. In the second case, we cannot confirm the validity of an identification scheme based on combination of short and long run restrictions which is used in part of the empirical literature.Chapter III :Nowcasting NorwayThe third chapter consists in predictions of Norwegian Mainland GDP. Policy institutions have to decide to set their policies without knowledge of the current economic conditions. We estimate a Bayesian dynamic factor model (BDFM) on a panel of macroeconomic variables (all followed by market operators) from 1990 until 2011.First, the BDFM is an extension to the Bayesian framework of the dynamic factor model (DFM). The difference is that, compared with a DFM, there is more dynamics in the BDFM introduced in order to accommodate the dynamic heterogeneity of different variables. How- ever, in order to introduce more dynamics, the BDFM requires to estimate a large number of parameters, which can easily lead to volatile predictions due to estimation uncertainty. This is why the model is estimated with Bayesian methods, which, by shrinking the factor model toward a simple naive prior model, are able to limit estimation uncertainty.The second aspect is the use of a small dataset. A common feature of the literature on DFM is the use of large datasets. However, there is a literature that has shown how, for the purpose of forecasting, DFMs can be estimated on a small number of appropriately selected variables.Finally, through a pseudo real-time exercise, we show that the BDFM performs well both in terms of point forecast, and in terms of density forecasts. Results indicate that our model outperforms standard univariate benchmark models, that it performs as well as the Bloomberg Survey, and that it outperforms the predictions published by the Norges Bank in its monetary policy report.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

The goal of this thesis is to study the two key aspects of complexity of the financial system: interconnectedness and nonlinear relationships. In Chapter 1, I contribute to the literature that focuses on modelling the nonlinear relationship between variables at the extremes of their distribution. In particular, I study the nonlinear relationship between stock prices and short selling. Whereas most of the academic literature has focused on measuring the relationship between short selling and asset returns on average, in Chapter 1, I focus on studying the relationship that arises in the extremes of the two variables. I show that the association between financial stock prices and short selling can become extremely strong under exceptional circumstances, while at the same time being weak in normal times. The tail relationship is stronger for small cap firms, a result that is intuitively in line with the empirical findings that stocks with lower liquidity are more price-sensitive to short selling. Finally, results show that the adverse tail correlation between increases in short selling and declines in stock prices was not always lower during the ban periods, but had declined markedly towards the end of the analysis window. Such results cast doubts about the effectiveness of bans as a way to prevent self-reinforcing downward price spirals during the crisis. In Chapter 2, I propose a measure of interconnectedness that takes into account the time-varying nature of connections between financial institutions. Here, the parameters underlying comovement are allowed to evolve continually over time through permanent shifts at every period. The result is an extremely flexible measure of interconnectedness, which uncovers new dynamics of the US financial system and can be used to monitor financial stability for regulatory purposes. Various studies have combined statistical measures of association (e.g. correlation, Granger causality, tail dependence) with network techniques, in order to infer financial interconnectedness (Billio et al. 2012; Barigozzi and Brownlees, 2016; Hautsch et al. 2015). However, these standard statistical measures presuppose that the inferred relationships are time-invariant over the sample used for the estimation. To retrieve a dynamic measure of interconnectedness, the usual approach has been to divide the original sample period into multiple subsamples and calculate these statistical measures over rolling windows of data. I argue that this is potentially unsuitable if the system studied is time-varying. By relying on short subsamples, rolling windows lower the power of inference and induce dimensionality problems. Moreover, the rolling window approach is known to be susceptible to outliers because, in small subsamples, these have a larger impact on estimates (Zivot and Wang, 2006). On the other hand, choosing longer windows will lead to estimates that are less reactive to change, biasing results towards time-invariant connections. Thus, the rolling window approach requires the researcher to choose the window size, which involves a trade-off between precision and flexibility (Clark and McCracken, 2009). The choice of window size is critical and can lead to different results regarding interconnectedness. The major novelty of the framework is that I recover a network of financial spillovers that is entirely dynamic. To do so, I make the modelling assumption that the connection between any two institutions evolves smoothly through time. I consider this assumption reasonable for three main reasons. First, since connections are the result of many financial contracts, it seems natural that they evolve smoothly rather than abruptly. Second, the assumption implies that the best forecast of a connection in the future is the state of that connection today. This is consistent with the notion of forward-looking prices. Third, the assumption allows for high flexibility and for the data to speak for itself. The empirical results show that financial interconnectedness peaked around two main events: the Long-Term Capital Management crisis of 1998 and the great financial crisis of 2008. During these two events, I found that large banks and broker/dealers were among the most interconnected sectors and that real estate companies were the most vulnerable to financial spillovers. At the individual financial institution level, I found that Bear Stearns was the most vulnerable financial institution, however, it was not a major propagator, and this might explain why its default did not trigger a systemic crisis. Finally, I ranked financial institutions according to their interconnectedness and I found that rankings based on the time-varying approach were more stable than rankings based on other market-based measures (e.g. marginal expected short fall by Acharya et al. (2012) and Brownlees and Engle (2016)). This aspect is significant for policy makers because highly unstable rankings are unlikely to be useful to motivate policy action (Danielsson et al. 2015; Dungey et al. 2013). In Chapter 3, rather than assuming interconnectedness as an exogenous process that has to be inferred, as is done in Chapter 2, I model interconnectedness as an endogenous function of market dynamics. Here, I take interconnectedness as the realized correlation of asset returns. I seek to understand how short selling can induce higher interconnectedness by increasing the negative price pressure on pairs of stocks. It is well known that realized correlation varies continually through time and becomes higher during market events, such as the liquidation of large funds. Most studies model correlation as an exogenous stochastic process, as is done, for example, in Chapter 2. However, recent studies have proposed to interpret correlation as an endogenous function of the supply and demand of assets (Brunnermeier and Pedersen, 2005; Brunnermeier and Oehmke, 2014; Cont and Wagalath, 2013; Yang and Satchell, 2007). Following these studies, I analyse the relationship between short selling and correlation between assets. First, thanks to new data on public short selling disclosures for the United Kingdom, I connect stocks based on the number of common short sellers actively shorting them. I then analyse the relationship between common short selling and excess correlation of those stocks. To this end, I measure excess correlation as the monthly realized correlation of four-factor Fama and French (1993) and Carhart (1997) daily returns. I show that common short selling can predict one-month ahead excess correlation, controlling for similarities in size, book-to-market, momentum, and several other common characteristics. I verify the confirm the predictive ability of common short selling out-of-sample, which could prove useful for risk and portfolio managers attempting to forecast the future correlation of assets. Moreover, I showed that this predictive ability can be used to establish a trading strategy that yields positive cumulative returns over 12 months. In the second part of the chapter I concentrate on possible mechanisms that could give rise to this effect. I focus on three, non-exclusive, mechanisms. First, short selling can induce higher correlation in asset prices through the price-impact mechanism (Brunnermeier and Oehmke, 2014; Cont and Wagalath, 2013). According to this mechanism, short sellers can contribute to price declines by creating sell-order imbalances i.e. by increasing excess supply of an asset. Thus, short selling across several stocks should increase the realized correlation of those stocks. Second, common short selling can be associated with higher correlation if short sellers are acting as voluntary liquidity providers. According to this mechanisms, short sellers might act as liquidity providers in times of high buy-order imbalances (Diether et al. 2009b). In this cases, the low returns observed after short sales might be compensations to short sellers for providing liquidity. In a multi-asset setting, this mechanism would result in short selling being associated with higher correlation mechanism. Both above-mentioned mechanisms deliver a testable hypothesis that I verify. In particular, both mechanisms posit that the association between short selling and correlation should be stronger for stocks which are low on liquidity. For the first mechanism, the price impact effect should be stronger for illiquid stocks and stocks with low market depth. For the liquidity provision mechanism, the compensation for providing liquidity should be higher for illiquid stocks. The empirical results cannot confirm that uncovered association between short selling and correlation is stronger for illiquid stocks, thus not supporting the price-impact and liquidity provision hypothesis. I thus examine a third possible mechanism that could explain the uncovered association between short selling and correlation i.e. the informative trading mechanism. Short sellers have been found to be sophisticated market agents which can predict future returns (Dechow et al. 2001). If this is indeed the case, then short selling should be associated with higher future correlation. I found that informed common short selling i.e. common short selling that is linked to informative trading, was strongly associated to future excess correlation. This evidence supports the informative trading mechanism as an explanation for the association between short selling and correlation. In order to further verify this mechanism, I checked if informed short selling takes place in the data, whilst controlling for several of the determinants of short selling, including short selling costs. The results show evidence of both informed and momentum-based non-informed short selling taking place. Overall, the results have several policy implications for regulators. The results suggest that the relationship between short selling and future excess correlation is driven by informative short selling, thus confirming the sophistication of short sellers and their proven importance for market efficiency and price informativeness (Boehmer and Wu, 2013). On the other hand, I could not dismiss that also non-informative momentum-based short selling is taking place in the sample. The good news is that I did not find evidence of a potentially detrimental price-impact effect of common short selling for illiquid stock, which is the sort of predatory effect that regulators often fear.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction of mean-variance framework by Markowitz, there is little agreement about appropriate portfolio choice for multi-period long horizon investors. Nowhere this is more evident than trustees of retirement plans choosing different asset allocation strategies as default investment options for their members. This doctoral dissertation consists of four essays each of which explores either a novel or an unresolved issue in the area of asset allocation for individual retirement plan participants. The goal of the thesis is to provide greater insight into the subject of portfolio choice in retirement plans and advance scholarship in this field. The first study evaluates different constant mix or fixed weight asset allocation strategies and comments on their relative appeal as default investment options. In contrast to past research which deals mostly with theoretical or hypothetical models of asset allocation, we investigate asset allocation strategies that are actually used as default investment options by superannuation funds in Australia. We find that strategies with moderate allocation to stocks are consistently outperformed in terms of upside potential of exceeding the participant’s wealth accumulation target as well as downside risk of falling below that target by very aggressive strategies whose allocation to stocks approach 100%. The risk of extremely adverse wealth outcomes for plan participants does not appear to be very sensitive to asset allocation. Drawing on the evidence of the previous study, the second essay explores possible solutions to the well known problem of gender inequality in retirement investment outcomes. Using non-parametric stochastic simulation, we simulate iv and compare the retirement wealth outcomes for a hypothetical female and male worker under different assumptions about breaks in employment, superannuation contribution rates, and asset allocation strategies. We argue that modest changes in contribution and asset allocation strategy for the female plan participant are necessary to ensure an equitable wealth outcome in retirement. The findings provide strong evidence against gender-neutral default contribution and asset allocation policy currently institutionalized in Australia and other countries. In the third study we examine the efficacy of lifecycle asset allocation models which allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as they approach retirement. We show that the conventional lifecycle strategies make a costly mistake by ignoring the change in portfolio size over time as a critical input in the asset allocation decision. Due to this portfolio size effect, which has hitherto remained unexplored in literature, the terminal value of accumulation in retirement account is critically dependent on the asset allocation strategy adopted by the participant in later years relative to early years. The final essay extends the findings of the previous chapter by proposing an alternative approach to lifecycle asset allocation which incorporates performance feedback. We demonstrate that strategies that dynamically alter allocation between growth and conservative asset classes at different points on the investment horizon based on cumulative portfolio performance relative to a set target generally result in superior wealth outcomes compared to those of conventional lifecycle strategies. The dynamic allocation strategy exhibits clear second-degree stochastic dominance over conventional strategies which switch assets in a deterministic manner as well as balanced diversified strategies.

The global crisis of 2008 challenged the functioning of the financial markets. In the aftershock era numerous repercussions were felt throughout the world, resulting from a plethora of cross-border and cross-entity interdependencies. An initially systemic banking crunch – where cash strapped banks stopped lending, liquidity abruptly dried up, and credit conditions deteriorated – metastasized into a sovereign debt crisis in the euro area which devastated public finances and provoked higher sovereign default risk. Motivated by the intensity, the magnitude and the speed with which shocks propagate in the entire financial system, this thesis presents five essays on applied financial econometrics and financial networks which examine, model and investigate: i) systemic risk and the resilience of the banking industry via employing financial networks and entropy maximization; ii) the role of credit derivatives and the two-way feedback ramification, triggered by government interventions, on financial stability; iii) the symptoms of acute liquidity withdrawal in emerging markets; iv) a Bayesian three state switching regime approach to price financial assets; v) tail risk management with portfolio asymmetries and asset monotonic volatility. More precisely, in Chapter three the Maximum Entropy method is employed to capture systemic risk, the resilience of the banking system in Europe and the propagation of financial contagion in a dynamic financial network framework. As conditions deteriorate, three channels (interbank loan, sovereign, asset-backed loan) trigger severe direct and indirect losses and cascades of defaults, whilst the dominance of the sovereign credit risk channel amplifies, as the primary source of financial contagion in the banking network. Systemic risk within the northern euro area banking system is less apparent, while the southern euro area is more prone and susceptible to bank failures. By modelling the contagion path the results demonstrate that the euro area banking system insists to be markedly vulnerable and conducive to systemic risks, implying that there is a need for additional policies to increase the resilience of the sector. Moreover, the thesis develops a Markov-Switching Bayesian Vector Autoregression (MSBVAR) model in Chapter four to study the two-way feedback hypothesis between credit default swaps and the role of government interventions on financial stability. The results demonstrate that a rise in sovereign debt due to the countercyclical discretionary fiscal policy measures, is perceived by stock markets as a catastrophe on economic growth prospects. Interestingly, government interventions in the banking sector deteriorate the credit risk of sovereign debt, whilst higher risk premium required by investors for holding riskier government bonds depresses the sovereign debt market, and attenuates the collateral value of loans, leading to bank retrenchment. The ensuing two-way banking-fiscal feedback loop indicates that government interventions do not necessarily stabilize the banking sector. Furthermore, the thesis employs several copula functions and the Extreme Value theory in Chapter five, to estimate and quantify joint downside risks and the transmission of shocks in emerging currencies, evolving from domestic emerging stock markets, liquidity (banks’ credit default swaps), credit risk (Volatility Index) and growth (commodity prices) channels. The models measure the time-varying shock spillover intensities to ascertain a significant increase in cross-asset linkages during periods of high volatility which is over and above any expected economic fundamentals, providing strong evidence of asymmetric investor induced contagion, triggered by cross asset rebalancing. The critical role of the credit crisis is amplified, as the beginning of an important reassessment of emerging market currencies which lead to changes in the dependence structure, a revaluation and recalibration of their risk characteristics. Additionally, the thesis employs a Markov-switching vector autoregression (MSVAR) model to capture the transmission of shocks from stock, commodity and credit markets to four shipping indices in Chapter six. By estimating the impulse response functions (IRF), the model identifies the episodes and documents the existence of three regimes and directional spillovers between low, intermediate and high volatility regimes. The estimation results obtained using a Gibbs sampler indicate that the S&P 500, the S&P GSCI, Banks’ CDS and the VIX behave as channels which transform and spread the risk to the shipping market with the propagation of shocks. Interestingly, higher risk premium that is required by investors for holding financial assets depresses the shipping market substantially. Finally, several copula functions are employed to model tail dependence during periods of extreme, asset monotonic volatility and reverse portfolio asymmetry conditions between shipping, stock, commodity and credit markets in Chapter seven. The findings reveal that shocks in the shipping market coincide with dramatic changes in other markets and document the existence of extreme co-movements during severe financial conditions. Lower tail dependence exceeds conditional upper tail dependence, indicating that during periods of economic turbulence, dependence increases and the crisis spreads in a domino fashion, causing asymmetric contagion which advances during market downturns. In the post crisis period the level of dependence drops systematically and shipping assets become more pronouncedly heavy-tailed in downward moves. According to the estimated results accelerated decreases in commodities and prompt variations in volatility, provoke accelerated decreases and function as a barometer of shipping market fluctuations. The global financial crisis has profoundly shaped modern finance. This thesis examines the prominent role of the crisis in financial markets, provides important implications for understanding systemic and liquidity risk, for analysing policies designed to mitigate financial contagion, and for capturing the fluctuations of emerging currencies and financial assets during distress economic conditions.

Cette thèse est composée de 3 essais. Le 1er essai traite de la problématique du risque de pertes extrêmes dans le secteur bancaire dans un contexte du problème d'agence entre les actionnaires et les top managers des banques. Pour pouvoir inciter les banques à ne pas prendre le risque de pertes extrêmes, il est proposé d'appliquer la régulation des fonds propres sous forme d'une politique de recapitalisations obligatoires, dont les paramètres sont choisis pour inciter les actionnaires à rémunérer leurs managers de la manière à les détourner des stratégies au risque de pertes extrêmes.Le 2ème essai développe le design de la supervision bancaire qui vise à éliminer le problème d'aléa moral au sein d'une banque, tout en assurant un coût minimum de supervisions. Les banques, dont la situation financière commence à se dégrader, doivent être soumises à des audits aléatoires. Les banques, dont la valeur de l'actif s'est dégradée considérablement, doivent être mises sous tutelle pour un redressement financier. Les auditeurs externes peuvent être impliqués dans le processus de supervision, mais ne doivent pas complètement remplacer les régulateurs. Le 3ème essai étudie comment la capacité d'emprunt de l'entreprise non-financière affecte sa politique d'investissement en présence des coûts d'émission de la dette. Il est montré que les entreprises, dont la capacité d'emprunt est moyenne, ont intérêt à réaliser un investissement plus important par rapport aux entreprises dont la capacité d'emprunt est relativement faible/forte. Cela est entièrement dû à l'effet des coûts fixes d'émission de la dette, qui émerge dans le contexte dynamique d'investissement
This dissertation consists of 3 self-contained theoretical essays.Essay 1 brings into focus the problem of "manufacturing" tail risk in the banking sector. This work shows that, in order to prevent banks from engaging in tail risk, bank capital regulation should account for the internal agency problem between bank shareholders and bank top managers. It is proposed to design bank capital requirements in the form of incentive-based recapitalization mechanism which would induce bank shareholders to shape executive compensation in such a way as to prevent top managers from engaging in tail-risk.Essay 2 deals with the problem of moral hazard in bank asset management. It proposes the concept of incentive-based bank supervision aimed at preventing moral hazard at a minimum cost to the regulator. It is shown that the intensity of supervision efforts should be gradually adjusted to the bank's financial health: banks in the mild form of distress should be subject to random audits, whereas deeply distressed banks should be placed under temporary regulatory control. To prevent double moral hazard, external auditors involved in supervision should be offered the optimal incentive contract.Essay 3 examines the impact of credit rationing (debt capacity) on corporate investment in the setting with costly debt financing. It is shown that, when credit constraints are binding, the firms with intermediate levels of debt capacity will establish larger investment projects than the firms with relatively low or high debt capacity. This non-monotonicity of investment on debt capacity arises due to the effect of the lump-sum debt issuance costs in the dynamic context of investment

Die vorliegende Dissertation besteht aus drei Kapiteln über die Investmentfonds. Das erste Kapitel befasst sich mit der Rolle der Fondsmanager in der Bilanzverschönerung. Auf Basis der Analyse der Karrierewege von amerikanischen Fondsmanagern werden signifikante zusammenwirkende Manager-Fixed-Effects identifiziert, die nach der Kontrolle der endogenen Matching-Probleme immer noch robust sind. Die geschätzten Manager-Fixed-Effects haben signifikante Einflüsse auf die Out-of-Sample-Vorhersagen. Außerdem wird festgestellt, dass die Verriegelungen der Investmentfonds, die von gemeinsamen Managern verwaltet wurden, wichtige Kanäle für die Bilanzverschönerung verursachen. Das zweite Kapitel beschäftigt sich mit den Investmentstrategien der Fonds im Hinblick auf die Nutzung von Credit Default Swaps (CDS). Die Zuordnung der CDS-Positionen der Investmentfonds zu ihrem Bestandportfolio bietet eine neue Methodik zur Identifizierung der CDS-Strategien und kompensiert somit die Analysen der existierenden Literatur auf der Makroebene. Die Ergebnisse zeigen, dass die Anreize zur Risikoreduzierung die Spekulationsanreize dominieren, insbesondere, wenn die Kreditexposition durch ungedeckte Leerverkäufe der CDS-Verträge erhöht wird. Die erfahrenen Fondsmanager tendieren dazu, mehr Kreditrisiko in Kauf zu nehmen, während es für die Fondsmanagerinnen wahrscheinlicher als für ihre männlichen Kollegen ist, gegen das bestehende Risiko abzusichern. Der letzte Teil nimmt die Pleite von Lehman Brothers unter die Lupe, um sich mit der daraus resultierenden unerwarteten Schließung der CDS-Positionen als einem natürlichen Experiment auseinanderzusetzten. Diese Studie dient zur Untersuchung der Risiko- und Leistungsimplikationen der CDS-Investments der Fonds. Die Investmentfonds besitzen bei ihren CDS-Transaktionen im Durchschnitt einen beachtlichen Teil Extremrisiko. Während die CDS-Nutzer von guten Gesamtmarktlagen profitieren, erleiden sie unter Verlusten bei geclusterten Ausfällen.
This dissertation comprises of three chapters on mutual funds. The first chapter establishes the role of managers in the deceptive practice of window dressing. Employing comprehensive career history of U.S. mutual fund managers, I find strong jointly significant manager fixed effects, which are robust after addressing endogenous matching concerns. The estimated manager fixed effects are significant in making out-of-sample predictions. Further I establish that mutual fund interlocks through common managers are important channels that spread window dressing. The second chapter studies the investment strategies of mutual funds regarding their use of credit default swaps (CDS). Matches between mutual funds’ CDS positions and their underlying portfolio in the holdings facilitate a new approach in identifying CDS strategies that complements the “macro” level analyses in the existing literature. I find risk reducing incentives are dominated by speculative incentives, especially those to increase credit exposure via naked short CDS contracts. Experienced fund managers tend to take on more credit risk, while female managers are more likely to hedge comparing with their male peers. The third chapter employs the collapse of Lehman Brothers and the resulting sudden closures of CDS positions as a natural experiment to examine the risk and performance implications of mutual funds’ CDS investments. Funds on average load up on a significant amount of tail risk by trading CDS. While CDS users benefit when market conditions are favorable, they suffer during periods of clustered defaults.

博士
國立高雄第一科技大學
財務金融學院博士班
102
This study contains three essays regarding contagion of distress, the tail behavior of stock returns and the impact of quantitative easing policy on the tail behaviors of stock markets in the world. This paper adopts the extreme value theory (EVT) and single-factor Gaussian copula function to capture the tail distribution of stock returns as well as the tail dependency, and provides the evidences on the cross-country and cross-regional contagion effect on the distress event. Essay 1 of this paper focus on the contagion effect of Eurozone debt crisis. Essay 2 studies the asymmetry contagion effect between U.S. distress distressed and other countries distressed. Observing that Fed stimulate the U.S. economy by the means of Quantitative Easing policy, the last Essay of this paper compares the tail dependences of stock markets during the period of the third run of Quantitative Easing policy and its enhanced version of third run QE. The empirical results of Essay 1 evidenced the fundamental-based contagion around the period of Eurozone debt crisis, and the degree of co-crash effect on Eurozone debt crisis depends on the geographical, political, and trading dependences between countries, since developed region is most contagious by the Eurozone debt crisis, while the frontier region is least contagious. Comparing the contagion effect on Greece, Italy, Ireland, Portugal and Spain distressed, the mean of conditional distress probability of other countries is the highest when Italy distressed, however the distress of Ireland induce highest contagion effect. Moreover, our result reveals that general government total expenditure of GDP, public debt of GDP, exports of goods and services, short-term debt of total external debt, net outflows of foreign direct investment, and unemployment rate are significantly positively correlated with the credit risk of sovereign countries. Moreover, total reserves in months of imports, imports of goods and services of GDP, net inflows of foreign direct investment of GDP are significantly negatively correlated with the credit risk of sovereign countries as expected. In Essay 2, this paper analyzes the asymmetry contagion effects between U.S. distressed and other countries distressed. We modified the conditional distress probability of Stork and Pais (2011) by letting the two countries exposed the same degree of Value at Risk, or substitute the real default probability of one country as her distressed probability. Our results show a asymmetry effect on contagion, countries and regions are most contagious by U.S. distress, while U.S. is less contagious when other countries distressed. The region of developed market and Americas have the highly co-crash degree, Peru in emerging markets and Argentina in Frontier Market exposed the highest pressure when U.S. distressed. In contrast, when Morocco, Canada, and Lithuania crash that have larger impact on the U.S. Moreover, as for competitive effect, that shows whether Germany of developed markets in Europe or US crash, that have highest competitive effect mutually. Essay 3 of this paper compares the static and time series tail behaviors of the U.S. stock market when the third run of QE and enhanced version of QE3 is adopted. The stock market is heavily left-skewed when enhanced QE3 is launched, a short-life larger extremely positive return and smaller extremely negative returns are evidenced during the original QE3 period. In contrary, a long-life effect on the heavily left-skewed and slightly right-skewed are found when the Fed proposed enhanced version of QE3. Our finding suggest that the enhanced version of the third round quantitative easing policy do not have positive impact on the tail behaviors of the U.S. stock markets.

Orlando becomes a woman in Constantinople, attempting to escape the unwanted affections of Archduke Harry disguised as Archduchess Harriet Griselda of Finster-Aarhorn and Scand-op-Boom. The character of the Archduke was inspired by Henry George Charles Lascelles, 6th Earl of Harewood, one of Vita Sackville-west’s early suitors. However, in Orlando, Archduchess Harriet, lust personified, is Romanian. Echoes of Romania are faint in Virginia Woolf’s fiction, essays, and diaries, much more so than references to other Eastern European and Balkan cultures, such as Greece or Russia. On the other hand, Woolf’s influence on Romanian literature, although very strong today, has been hardly studied. In this essay, I discuss the reception of Virginia Woolf in Romania during the interwar period, by looking at reviews and critical works published about Woolf’s works. I do this in order to delineate possible connections between Woolf and Romanian writers who were her contemporaries. Although it has been traditionally thought that cultural and literary connections were stronger between Romania and France or Romania and Germany, my research of periodicals and translations from this period shows that Woolf’s works were read and often discussed by Romanian critics and readers, and that her influence was much stronger than previously thought. Especially when considering the modernist experimental novel, several reviews published in Romania at this time show that Romanian critics recognized and were influenced by the originality and value of Woolf’s modernist experiment.

Jeffery Long, a Hindu theologian, explores the problem of evil as it is raised and addressed by thinkers in the Ramakrishna Vedanta tradition of Hinduism and by two separate schools of thought from contemporary Christianity. The textual sources used from the Ramakrishna tradition consist of the teachings of Sri Ramakrishna as found in the primary sources on his life, as well as the Complete Works of Swami Vivekananda. From Christianity, Long employs works of John Hick and David Ray Griffin on the topic of theodicy. Despite the fact that the latter two authors hail from the same religious tradition, Long shows that Hick and Ramakrishna are in closer agreement on this topic than either is with Griffin’s process theology. The essay offers a revised version of the Ramakrishna-Hick theodicy that takes Griffin’s objections into account.

I was in the first cohort of scientists who was specifically trained in long-term, socioecological research. My cohort may have a “disciplinary home,” but we are less likely to be exclusive to a single discipline. My research requires diverse approaches and skill sets that address the spatial, organizational, and temporal complexity of human ecosystems. Donald Stokes identifies several categories of research, including (1) pure basic research, (2) pure applied research, and (3) use-inspired basic research. Most of my research and the research from Baltimore Ecosystem Study (BES) is use-inspired basic research, which is intended to advance both science and decision making. Collaborative research is not for everyone. My collaborative research in BES is more like playing in a jazz ensemble than a regimented orchestra. My participation in the BES Long Term Ecological Research (LTER) project has fostered lifelong friendships that are multigenerational. I imagine that if I could ask a fish what it feels like to swim, it would be puzzled. It has never known any other way of being than to swim. Likewise, I am puzzled when asked what it is like to work on an LTER project. I have never known any other type of research program. Furthermore, the project I work on, the BES, is quite different from all but one of the other US LTER projects. It is an urban site and was designed to be interdisciplinary from its conception. Perhaps I am being asked what it is like to be a platypus. (The platypus is a strange mammal that has a duck-like bill, beaver tail, otter feet; that lays eggs; and that carries venom. When the platypus was first encountered by Europeans in the late 1790s, a pelt and sketch were sent back to Great Britain. British scientists thought initially that the evidence provided was a hoax.) How did I come to have such a bizarre combination of traits and how does it feel? In this essay, I try to answer these questions by describing my professional training and experience working as a co–principal investigator and the lead for the social science research team for the BES for the past 17 years.

Introdução: No estado do Maranhão incluído na região da Pré-Amazônia, a diversidade da flora imprimiu a fitoterapia uma forte tradição popular de uso para tratamentos de enfermidades, porém, somente uma pequena parcela desses vegetais já foi avaliada cientificamente, destacando a importância da procura por novos agentes farmacologicamente ativos, encontrados nas plantas no intuito de obter drogas clinicamente ativas. Objetivo: Desta forma, o presente trabalho investigou o potencial analgésico de três extratos vegetais. Métodos: Utilizou-se dois extratos hidroalcoólicos preparados com folhas de Platonia insignis (EHPI) e Vismia guianensis (EHVG) e um extrato aquoso do mesocarpo de Attalea speciosa (EAB). A ação anti-nociceptiva foi avaliada por Tail flick em 25 camundongos Swiss fêmeas (n=5/grupo), distribuídos em 5 grupos, tratados como a seguir: grupo Controle recebeu solução salina tamponada com fosfato (PBS), por via oral e foi considerado como negativo; grupo Morfina: recebeu a droga (10mg/kg) via intraperitoneal, e foi utilizado como controle positivo; grupo EHPI (5mg/kg) via oral e grupo EHVG (5mg/kg) via oral e grupo EAB (5mg/kg) via oral. Resultados: Nos grupos EHPI, EHVG e EAB o tratamento com os extratos resultou em atividade anti-nociceptiva com magnitude semelhante à observada no grupo morfina, sobretudo nos intervalos de 60 e 120 minutos. Esses efeitos sugerem que os extratos podem ter efeito anti-nociceptivo central, uma vez que o modelo Tail-flick exibe uma resposta supra espinhal. Conclusão: Conclui-se que os extratos em estudo apresentaram atividade nociceptiva, sugerindo que a utilização desses compostos contidos nos extratos pode ser uma alternativa promissora no desenvolvimento de novas drogas com ação analgésica.