Demand expectations and the timing of stimulus policies

This paper proposes a simple macroeconomic model with staggered investment decisions. The model captures the dynamic coordination problem arising from demand externalities and fixed costs of investment. In times of low economic activity, a firm faces low demand and hence has less incentives for investing, which reinforces firms’ expectations of low demand. In the unique equilibrium of the model, demand expectations are pinned down by fundamentals and history. Owing to the beliefs that arise in equilibrium, there is no special reason for stimulus at times of low economic activity.

Low expectations, low demand : when should the government intervene?

Este trabalho estuda o impacto de diferentes políticas que procuram mitigar falhas de coordenação em um ambiente macroeconômico. Abordamos questões relativas ao timing dos estímulos econômicos. Quando o governo deveria começar a incentivar a economia? Deveria gastar mais para prevenir crises ou para tirar a economia da recessão quando os fundamentos estão melhorando? Como o estímulo deve alterar a complementaridade estratégica? Para responder a estas perguntas, construímos um modelo macroeconômico dinâmico com concorrência monopolística e decisões de investimento sequenciais. Aplicando resultados da literatura teórica de jogos dinâmicos com fricções, selecionamos um único equilíbrio neste modelo, nos dando um instrumental tratável para a análise de políticas. Nossos resultados sugerem que o governo não deveria viesar incentivos nem para a prevenção de crises nem para resgatar a economia quando esta já está em crise.

Dynamic coordination among heterogeneous agents

We study a dynamic model of coordination with timing frictions and payoff heterogeneity. There is a unique equilibrium, characterized by thresholds that determine the choices of each type of agent. We characterize equilibrium for the limiting cases of vanishing timing frictions and vanishing shocks to fundamentals. A lot of conformity emerges: despite payoff heterogeneity, agents’ equilibrium thresholds partially coincide as long as there exists a set of beliefs that would make this coincidence possible – though they never fully coincide. In case of vanishing frictions, the economy behaves almost as if all agents were equal to an average type. Conformity is not inefficient. The efficient solution would have agents following others even more often and giving less importance to the fundamental

Essays on coordination problems in economics

No estudo da economia, há diversas situações em que a propensão de um indivíduo a tomar determinada ação é crescente na quantidade de outras pessoas que este indivíduo acredita que tomarão a mesma ação. Esse tipo de complementaridade estratégica geralmente leva à existência de múltiplos equilíbrios. Além disso, o resultado atingido pelas decisões decentralizadas dos agentes pode ser ineficiente, deixando espaço para intervenções de política econômica. Esta tese estuda diferentes ambientes em que a coordenação entre indivíduos é importante. O primeiro capítulo analisa como a manipulação de informação e a divulgação de informação afetam a coordenação entre investidores e o bem-estar em um modelo de corridas bancárias. No modelo, há uma autoridade reguladora que não pode se comprometer a revelar a verdadeira situação do setor bancário. O regulador observa informações idiossincráticas dos bancos (através de um stress test, por exemplo) e escolhe se revela essa informação para o público ou se divulga somente um relatório agregado sobre a saúde do sistema financeiro como um todo. O relatório agregado pode ser distorcido a um custo – um custo mais elevado significa maior credibilidade do regulador. Os investidores estão cientes dos incentivos do regulador a esconder más notícias do mercado, mas a manipulação de informação pode, ainda assim, ser efetiva. Se a credibilidade do regulador não for muito baixa, a política de divulgação de informação é estado-contingente, e existe sempre um conjunto de estados em que há manipulação de informação em equilíbrio. Se a credibilidade for suficientemente baixa, porém, o regulador opta por transparência total dos resultados banco-específicos, caso em que somente os bancos mais sólidos sobrevivem. Uma política de opacidade levaria a uma crise bancária sistêmica, independentemente do estado. O nível de credibilidade que maximiza o bem-estar agregado do ponto de vista ex ante é interior. O segundo e o terceiro capítulos estudam problemas de coordenação dinâmicos. O segundo capítulo analisa o bem-estar em um ambiente em que agentes recebem oportunidades aleatórias para migrar entre duas redes. Os resultados mostram que sempre que a rede de pior qualidade (intrínseca) prevalece, isto é eficiente. Na verdade, um planejador central estaria ainda mais inclinado a escolher a rede de pior qualidade. Em equilíbrio, pode haver mudanças ineficientes que ampliem a rede de qualidade superior. Quando indivíduos escolhem entre dois padrões ou redes com níveis de qualidade diferentes, se todos os indivíduos fizessem escolhas simultâneas, a solução eficiente seria que todos adotassem a rede de melhor qualidade. No entanto, quando há fricções e os agentes tomam decisões escalonadas, a solução eficiente difere ix do senso comum. O terceiro capítulo analisa um problema de coordenação dinâmico com decisões escalonadas em que os agentes são heterogêneos ex ante. No modelo, existe um único equilíbrio, caracterizado por thresholds que determinam as escolhas para cada tipo de agente. Apesar da heterogeneidade nos payoffs, há bastante conformidade nas ações individuais em equilíbrio. Os thresholds de diferentes tipos de agentes coincidem parcialmente contanto que exista um conjunto de crenças arbitrário que justifique esta conformidade. No entanto, as estratégias de equilíbrio de diferentes tipos nunca coincidem totalmente. Além disso, a conformidade não é ineficiente. A solução eficiente apresentaria estratégias ainda mais similares para tipos distintos em comparação com o equilíbrio decentralizado.

Is there timing ability in currency markets? Evidence from ADR issuances

Is there timing ability in the exchange rate markets? We address this question by examining foreign firms' decisions to issue American Depositary Receipts (ADRs). Specifically, we test whether foreign firms consider currency market conditions in their ADR issuance decisions and, in doing so, display some ability to time their local exchange rate market. We study ADR issuances in the U.S. stock market between 1976 and 2003. We find that foreign firms tend to issue ADRs after their local currency has been abnormally strong against the U.S. dollar and before their local currency becomes abnormally weak. This evidence is statistically significant even after controlling for local and U.S. past and future stock market performance and predicable exchange rate movements. Currency market timing is especially significant i) for value companies, relatively small (yet absolutely large) companies issuing relatively large amounts of ADRs, companies with higher currency exposure, manufacturing companies, and emerging market companies, ii) during currency crises (when mispricings are rife) and after the integration of the issuer's local financial market with the world capital markets, iii) when the ADR issue raises capital for the issuing firm (Level III ADR), and iv) regardless of the identity of the underwriting investment bank. Currency market timing is also economically significant since it translates into total savings for the issuing firms of about $646 million (or 1.86% of the total capital-raising ADR issue volume). In contrast, we find no evidence of currency timing ability in a control sample made of non-capital raising ADRs (Level II ADRs). These findings suggest that some companies may have, at least occasionally, private information about foreign exchange.

Anticipatory timing in algorithmic rhythm generation

Generative music algorithms frequently operate by making musical decisions in a sequence, with each step of the sequence incorporating the local musical context in the decision process. The context is generally a short window of past musical actions. What is not generally included in the context is future actions. For real-time systems this is because the future is unknown. Offline systems also frequently utilise causal algorithms either for reasons of efficiency [1] or to simulate perceptual constraints [2]. However, even real-time agents can incorporate knowledge of their own future actions by utilising some form of planning. We argue that for rhythmic generation the incorporation of a limited form of planning - anticipatory timing - offers a worthwhile trade-off between musical salience and efficiency. We give an example of a real-time generative agent - the Jambot - that utilises anticipatory timing for rhythmic generation. We describe its operation, and compare its output with and without anticipatory timing.

A continuous time model for election timing

We consider a continuous time model for election timing in a Majoritarian Parliamentary System where the government maintains a constitutional right to call an early election. Our model is based on the two-party-preferred data that measure the popularity of the government and the opposition over time. We describe the poll process by a Stochastic Differential Equation (SDE) and use a martingale approach to derive a Partial Differential Equation (PDE) for the government’s expected remaining life in office. A comparison is made between a three-year and a four-year maximum term and we also provide the exercise boundary for calling an election. Impacts on changes in parameters in the SDE, the probability of winning the election and maximum terms on the call exercise boundaries are discussed and analysed. An application of our model to the Australian Federal Election for House of Representatives is also given.

Timing of births and endometrial cancer risk in Swedish women

While a protective long-term effect of parity on endometrial cancer risk is well established, the impact of timing of births is not fully understood. We examined the relationship between endometrial cancer risk and reproductive characteristics in a population-based cohort of 2,674,465 Swedish women, 20–72 years of age. During follow-up from 1973 through 2004, 7,386 endometrial cancers were observed. Compared to uniparous women, nulliparous women had a significantly elevated endometrial cancer risk (hazard ratio [HR] = 1.32, 95% confidence interval [CI], 1.22–1.42). Endometrial cancer risk decreased with increasing parity; compared to uniparous women, women with ≥4 births had a HR=0.66 (95% CI, 0.59–0.74); p-trend < 0.001. Among multiparous women, we observed no relationship of risk with age at first birth after adjustment for other reproductive factors. While we initially observed a decreased risk with later ages at last birth, this appeared to reflect a stronger relationship with time since last birth, with women with shorter times being at lowest risk. In models for multiparous women that included number of births, age at first and last birth, and time since last birth, age at last birth was not associated with endometrial cancer risk, while shorter time since last birth and increased parity were associated with statistically significantly reduced endometrial cancer risks. The HR was 3.95 (95%CI; 2.17–7.20; p-trend=<0.0001) for women with ≥25 years since a last birth compared to women having given birth within 4 years. Our findings support that clearance of initiated cells during delivery may be important in endometrial carcinogenesis. Keywords: endometrial carcinoma, parity, registry, reproductive factors

Quantitative assessment of fault tolerant precision timing for electricity substations

Advanced substation applications, such as synchrophasors and IEC 61850-9-2 sampled value process buses, depend upon highly accurate synchronizing signals for correct operation. The IEEE 1588 Precision Timing Protocol (PTP) is the recommended means of providing precise timing for future substations. This paper presents a quantitative assessment of PTP reliability using Fault Tree Analysis. Two network topologies are proposed that use grandmaster clocks with dual network connections and take advantage of the Best Master Clock Algorithm (BMCA) from IEEE 1588. The cross-connected grandmaster topology doubles reliability, and the addition of a shared third grandmaster gives a nine-fold improvement over duplicated grandmasters. The performance of BMCA mediated handover of the grandmaster role during contingencies in the timing system was evaluated experimentally. The 1 µs performance requirement of sampled values and synchrophasors are met, even during network or GPS antenna outages. Slave clocks are shown to synchronize to the backup grandmaster in response to degraded performance or loss of the main grandmaster. Slave disturbances are less than 350 ns provided the grandmaster reference clocks are not offset from one another. A clear understanding of PTP reliability and the factors that affect availability will encourage the adoption of PTP for substation time synchronization.

Timing and emplacement dynamics of newly recognised mass flow deposits at ~ 8–12 ka offshore Soufrière Hills volcano, Montserrat : how submarine stratigraphy can complement subaerial eruption histories

This contribution describes two mass movement deposits (total volume ~0.5 km3) identified in seven marine cores located 8 to 15 km offshore southern Montserrat, West Indies. The deposits were emplaced in the last 35 ka and have not previously been recognised in either the subaerial or distal submarine records. Age constraints, provided by radiocarbon dating, show that an explosive volcanic eruption occurred at ca 8–12 ka, emplacing a primary eruption-related deposit that overlies a large (~0.3 km3) reworked bioclastic and volcaniclastic flow deposit, formed from a shelf collapse between 8 and 35 ka. The origin of these deposits has been deduced through the correlation of marine sediment cores, component analysis and geochemical analysis. The 8–12 ka primary volcanic deposit was likely derived from a highly-erosive pyroclastic flow from the Soufrière Hills volcano that entered the ocean and mixed with the water column forming a water-supported density current. Previous investigations of the eruption record suggested that there was a hiatus in activity at the Soufrière Hills volcano between 16 and 6 ka. The ca 8–12 ka eruptive episode identified here shows that this hiatus was shorter than previously hypothesised, and thus highlights the importance of obtaining an accurate and completemarine record of events offshore from volcanic islands and incorporating such data into eruption history reconstructions. Comparisons with the submarine deposit characteristics of the 2003 dome collapse also suggests that the ~8–12 ka eruptive episode was more explosive than eruptions from the current eruptive episode.