A note on Chambers's "long memory and aggregation in macroeconomic time series"

Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time processes, he takes the aliasing effect into account when studying temporal aggregation. For discrete-time processes, however, he seems to fail to do so. This note gives the spectral density function of temporally aggregated long memory discrete-time processes in light of the aliasing effect. The results are different from those in Chambers (1998) and are supported by a small simulation exercise. As a result, the order of aggregation may not be invariant to temporal aggregation, specifically if d is negative and the aggregation is of the stock type.

On a uniform turnpike of the third kind in the Robinson-Solow-Srinivasan model

On using McKenzie’s taxonomy of optimal accumulation in the longrun, we report a “uniform turnpike” theorem of the third kind in a model original to Robinson, Solow and Srinivasan (RSS), and further studied by Stiglitz. Our results are presented in the undiscounted, discrete-time setting emphasized in the recent work of Khan-Mitra, and they rely on the importance of strictly concave felicity functions, or alternatively, on the value of a “marginal rate of transformation”, ξσ, from one period to the next not being unity. Our results, despite their specificity, contribute to the methodology of intertemporal optimization theory, as developed in economics by Ramsey, von Neumann and their followers.

Phase transition of demand explained by the heterogeneity of consumers' intrinsic preferences

In 1991 Gary S. Becker presented A Note on Restaurant Pricing and Other Examples of Social In uences on Price explaining why many successful restaurants, plays, sporting events, and other activities do not raise their prices even with persistent excess demand. The main reason for this is due to the discontinuity of stable demands, which is explained in Becker's (1991) analysis. In the present paper we construct a discrete time stochastic model of socially interacting consumers deciding for one of two establishments. With this model we show that the discontinuity of stable demands, proposed by Gary S. Becker, depends crucially on an additional factor: the dispersion of the consumers' intrinsic preferences for the establishments.

Estimação do desconto de reequilíbrio ótimo em concessões rodoviárias através da metodologia das opções reais

Este trabalho propõe um novo modelo para avaliação, em tempo discreto, do desconto de reequilíbrio em contratos de concessão rodoviária, a partir de conceitos da Teoria Clássica de Finanças e da Teoria de Opções Reais. O modelo desenvolvido permitiu incorporar flexibilidades decorrentes de incertezas nas situações reais, como decisões gerenciais, vieses de comportamento e componentes políticos, comumente presentes em contratos de concessões rodoviária. Os resultados obtidos, utilizando-se como estudo de caso a BR-262, sinalizaram que há espaço para uma melhor intervenção regulatória com relação ao mecanismo do desconto de reequilíbrio, no sentido de prover melhores incentivos aos concessionários.