The equity premium and the risk free rate: A cross country, cross maturity examination

This paper examines the relationship between the equity premium and the risk free rate at three different maturities using post 1973 data fora panel of 7 OECD countries. We show the existence of subsample instabilities,of some cross country differences and of inconsistencies with the expectations theory of the term structure. We perform simulations using a standard consumptionbased CAPM model and demonstrate that the basic features of Mehra and Prescott's(1985) puzzle remain, regardless of the time period, the investment maturity and the country considered. Modifications of the basic setup are also considered.

Speed of convergence of recursive least squares learning with ARMA perceptions

This paper fills a gap in the existing literature on least squareslearning in linear rational expectations models by studying a setup inwhich agents learn by fitting ARMA models to a subset of the statevariables. This is a natural specification in models with privateinformation because in the presence of hidden state variables, agentshave an incentive to condition forecasts on the infinite past recordsof observables. We study a particular setting in which it sufficesfor agents to fit a first order ARMA process, which preserves thetractability of a finite dimensional parameterization, while permittingconditioning on the infinite past record. We describe how previousresults (Marcet and Sargent [1989a, 1989b] can be adapted to handlethe convergence of estimators of an ARMA process in our self--referentialenvironment. We also study ``rates'' of convergence analytically and viacomputer simulation.

Setting the rules of the game: The choice of electoral systems in advanced democracies

The origins of electoral systems have received scant attention in the literature. Looking at the history of electoral rules in the advanced world in the last century, this paper shows that the existing wide variation in electoral rules across nations can be traced to the strategic decisions that the current ruling parties, anticipating the coordinating consequences of different electoral regimes, make to maximize their representation according to the following conditions. On the one hand, as long as the electoral arena does not change substantially and the current electoral regime serves the ruling parties well, the latter have no incentives to modify the electoral regime. On the other hand, as soon as the electoral arena changes (due to the entry of new voters or a change in their preferences), the ruling parties will entertain changing the electoral system, depending on two main conditions: the emergence of new parties and the coordinating capacities of the old ruling parties. Accordingly, if the new parties are strong, the old parties shift from plurality/majority rules to proportional representation (PR) only if the latter are locked into a 'non-Duvergerian' equilibrium; i.e. if no old party enjoys a dominant position (the case of most small European states)--conversely, they do not if a Duvergerian equilibrium exists (the case of Great Britain). Similarly, whenever the new entrants are weak, a non-PR system is maintained, regardless of the structure of the old party system (the case of the USA). The paper discusses as well the role of trade and ethnic and religious heterogeneity in the adoption of PR rules.

Free entry does not imply zero profits

Traditional economic wisdom says that free entry in a market will drive profits down to zero. This conclusion is usually drawn under the assumption of perfect information. We assumethat a priori there exists imperfect information about theprofitability of the market, but that potential entrants maylearn the demand curve perfectly at negligible cost byengaging in market research. Even if in equilibrium firmslearn the demand perfectly, profits may be strictly positivebecause of insufficient entry. The mere fact that it will notbecome common knowledge that every entrant has perfectinformation about demand causes this surprising result. Belief means doubt. Knowing means certainty. Introduction to the Kabalah.

On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

This paper analyses the robustness of Least-Squares Monte Carlo, a techniquerecently proposed by Longstaff and Schwartz (2001) for pricing Americanoptions. This method is based on least-squares regressions in which theexplanatory variables are certain polynomial functions. We analyze theimpact of different basis functions on option prices. Numerical resultsfor American put options provide evidence that a) this approach is veryrobust to the choice of different alternative polynomials and b) few basisfunctions are required. However, these conclusions are not reached whenanalyzing more complex derivatives.

Stochastic evolution of rules for playing normal form games

The evolution of boundedly rational rules for playing normal form games is studied within stationary environments ofstochastically changing games. Rules are viewed as algorithms prescribing strategies for the different normal formgames that arise. It is shown that many of the folk results of evolutionary game theory typically obtained witha fixed game and fixed strategies carry over to the present case. The results are also related to recent experimentson rules and games.

Public and private saving and investment

We decompose aggregate saving and investment into its publicand private components and then document a variety of ``stylized facts''associated with saving and investment rates for a sample of15 countries over the period 1975--1989. In order to seewhether these empirical relationships are consistent with aworld of perfect capital mobility we develop a multi--countrymodel with free trade in a riskfree bond and calibrate it tothe fifteen OECD countries. We pay special attential tomodeling the fiscal policy rules. The model performsremarkably well in accounting for a wide variety of timeseries relationships. Nonetheless the model is not able to capture the crosssectional aspect of the data. In particular, the model cannot accountfor both the large cross country correlation between aggregate saving and investmentrates and the very negative cross country relationship between the public andprivate saving minus investment gaps.

Interpolation-free Coregistration and Phase-Correction of Airborne SAR Interferograms

This letter discusses the detection and correction ofresidual motion errors that appear in airborne synthetic apertureradar (SAR) interferograms due to the lack of precision in the navigationsystem. As it is shown, the effect of this lack of precision istwofold: azimuth registration errors and phase azimuth undulations.Up to now, the correction of the former was carried out byestimating the registration error and interpolating, while the latterwas based on the estimation of the phase azimuth undulations tocompensate the phase of the computed interferogram. In this letter,a new correction method is proposed, which avoids the interpolationstep and corrects at the same time the azimuth phase undulations.Additionally, the spectral diversity technique, used to estimateregistration errors, is critically analyzed. Airborne L-bandrepeat-pass interferometric data of the German Aerospace Center(DLR) experimental airborne SAR is used to validate the method

Realització d'una aplicació de gestió de xarxes per a la xarxa sensefils de Manresa GuifiBages

En els últims anys, la popularitat de les xarxes sensefils (WIFI) ha anat en augment a un ritme incansable. Des de petits aparells instal•lats a les cases amb aquesta tecnologia com a complement dels routers d’accés a internet instal•lats per diverses companyies, fins a empreses fent petits desplegaments per comunicar entre si les seves seus. Al marge d’aquests escenaris, s’ha produït un fenomen social d’acolliment d’aquesta tecnologia a nivell mundial, en forma del que coneixem com a xarxes ciutadanes / xarxes lliures / xarxes socials. Aquestes xarxes han estat possibles gràcies a diverses raons que han fet assequible a col•lectius de persones, tant els aparells com els coneixements necessaris per dur a terme aquestes actuacions. Dintre d’aquest marc, al Bages, concretament a Manresa, es va començar a desenvolupar una d’aquestes xarxes. Les decisions d’aquesta xarxa d’utilitzar exclusivament hardware i software de codi obert, i determinats aspectes tècnics de la xarxa, ha comportat que la xarxa fos incompatible amb algunes de les aplicacions de gestió de xarxes existents desenvolupades per comunicats com gufi.net a Osona. És per això que per garantir el creixement, la supervivència i l’èxit d’aquesta xarxa en el temps, és indispensable poder comptar amb una eina de gestió que s’adigui a les característiques de GuifiBages. L’objectiu principal d’aquest treball és dotar a la xarxa GuifiBages de les eines necessàries per poder gestionar tota la informació referent a l’estructura de la seva xarxa, tant per facilitar l’accés a nous usuaris sense molts coneixements tècnics, com per facilitar nous desplegaments / reparacions / modificacions de la xarxa d’una manera automàtica. Com a conclusió d’aquest treball, podem afirmar que les avantatges que proporciones tecnologies com Plone, faciliten enormement la creació d’aplicacions de gestió de continguts en entorn web. Alhora, l’ús de noves tècniques de programació com AJAX o recursos com els que ofereix Google, permeten desenvolupar aplicacions web que no tenen res a envejar al software tradicional. D’altra banda, voldríem destacar l’ús exclusiu de programari lliure tant en els paquets de software necessaris pel desenvolupament, com en el sistema operatiu i programes dels ordinadors on s’ha dut a terme, demostrant que es poden desenvolupar sistemes de qualitat sense dependre de programari privatiu.

Transformation rules form OntoProcED to OntoOKI

This file contains the transformtion rules in SWRL to translate formal specifications of two lower ontology levels (patterns and organization) to the upper level (implementation according to the OKI specification).

Application of a floating well concept to a latch-up-free, low-cost, smart power high-side switch technology

The aim of this brief is to present an original design methodology that permits implementing latch-up-free smart power circuits on a very simple, cost-effective technology. The basic concept used for this purpose is letting float the wells of the MOS transistors most susceptible to initiate latch-up.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed