Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.

Computer simulations of soft particles in flow

Understanding the dynamics of blood cells is a crucial element to discover biological mechanisms, to develop new efficient drugs, design sophisticated microfluidic devices, for diagnostics. In this work, we focus on the dynamics of red blood cells in microvascular flow. Microvascular blood flow resistance has a strong impact on cardiovascular function and tissue perfusion. The flow resistance in microcirculation is governed by flow behavior of blood through a complex network of vessels, where the distribution of red blood cells across vessel cross-sections may be significantly distorted at vessel bifurcations and junctions. We investigate the development of blood flow and its resistance starting from a dispersed configuration of red blood cells in simulations for different hematocrits, flow rates, vessel diameters, and aggregation interactions between red blood cells. Initially dispersed red blood cells migrate toward the vessel center leading to the formation of a cell-free layer near the wall and to a decrease of the flow resistance. The development of cell-free layer appears to be nearly universal when scaled with a characteristic shear rate of the flow, which allows an estimation of the length of a vessel required for full flow development, $l_c \approx 25D$, with vessel diameter $D$. Thus, the potential effect of red blood cell dispersion at vessel bifurcations and junctions on the flow resistance may be significant in vessels which are shorter or comparable to the length $l_c$. The presence of aggregation interactions between red blood cells lead in general to a reduction of blood flow resistance. The development of the cell-free layer thickness looks similar for both cases with and without aggregation interactions. Although, attractive interactions result in a larger cell-free layer plateau values. However, because the aggregation forces are short-ranged at high enough shear rates ($\bar{\dot{\gamma}} \gtrsim 50~\text{s}^{-1}$) aggregation of red blood cells does not bring a significant change to the blood flow properties. Also, we develop a simple theoretical model which is able to describe the converged cell-free-layer thickness with respect to flow rate assuming steady-state flow. The model is based on the balance between a lift force on red blood cells due to cell-wall hydrodynamic interactions and shear-induced effective pressure due to cell-cell interactions in flow. We expect that these results can also be used to better understand the flow behavior of other suspensions of deformable particles such as vesicles, capsules, and cells. Finally, we investigate segregation phenomena in blood as a two-component suspension under Poiseuille flow, consisting of red blood cells and target cells. The spatial distribution of particles in blood flow is very important. For example, in case of nanoparticle drug delivery, the particles need to come closer to microvessel walls, in order to adhere and bring the drug to a target position within the microvasculature. Here we consider that segregation can be described as a competition between shear-induced diffusion and the lift force that pushes every soft particle in a flow away from the wall. In order to investigate the segregation, on one hand, we have 2D DPD simulations of red blood cells and target cell of different sizes, on the other hand the Fokker-Planck equation for steady state. For the equation we measure force profile, particle distribution and diffusion constant across the channel. We compare simulation results with those from the Fokker-Planck equation and find a very good correspondence between the two approaches. Moreover, we investigate the diffusion behavior of target particles for different hematocrit values and shear rates. Our simulation results indicate that diffusion constant increases with increasing hematocrit and depends linearly on shear rate. The third part of the study describes development of a simulation model of complex vascular geometries. The development of the model is important to reproduce vascular systems of small pieces of tissues which might be gotten from MRI or microscope images. The simulation model of the complex vascular systems might be divided into three parts: modeling the geometry, developing in- and outflow boundary conditions, and simulation domain decomposition for an efficient computation. We have found that for the in- and outflow boundary conditions it is better to use the SDPD fluid than DPD one because of the density fluctuations along the channel of the latter. During the flow in a straight channel, it is difficult to control the density of the DPD fluid. However, the SDPD fluid has not that shortcoming even in more complex channels with many branches and in- and outflows because the force acting on particles is calculated also depending on the local density of the fluid.

Design of experiments to optimized the determination of TDIs in agglomerated cork stoppers

Isocyanates are included into a class with an extreme commercial importance because their use in the manufacture of polyurethanes. Polyurethanes are used in several applications such as adhesives, coatings, foams, thermoplastics resins, printing inks, foundry moulds and rubbers. Agglomerated cork stoppers are currently used for still wines, semi-sparkle and gaseous wines, beer and cider. Methylene diphenyl diisocyanate (MDI) is presently the isocyanate used in the production of polyurethane based adhesive in use due to its lowest toxicity comparing with toluene diisocyanate (TDI) previously employed. However, free monomeric TDI or MDI, depending on the based polyurethane, can migrate from agglomerated cork stoppers to beverages therefore it needs to be under control. The presence of these compounds are usually investigated by HPLC with Fluorescence or UV-Vis detector depending on the derivatising agent. Ultra Performance Liquid Chromatography with Diode Array Detector (UPLC-DAD) method is replacing HPLC. The objective of this study is to determine which method is better to analyze isocyanates from agglomerated cork stoppers, essentially TDI to quantify its monomer. A Design of Experiments (DOE) with three factors, column temperature, flow and solvent, at two levels was done. Eight experiments with three replications and two repetitions were developed. Through an ANOVA the significance of the factors was evaluated and the best level’s factors were selected. As the TDI has two isomers and in this method these two isomers were not always separated an ANOVA with results of resolution between peaks was performed. The Design of Experiments reveals to be a suitable statistical tool to determine the best conditions to quantified free isocyanates from agglomerated cork stoppers to real foodstuff. The best level’s factors to maximize area was column temperature at 30ºC, flow to 0,3 mL/min and solvent 0,1% Ammonium Acetate, to maximize resolution was the same except the solvent that was 0,01% Ammonium Acetate.

Transcultural adaptation and validation of the Celiac Dietary Adherence Test: a simple questionnaire to measure adherence to a gluten-free diet

Background and aims: A gluten-free diet is to date the only treatment available to celiac disease sufferers. However, systematic reviews indicate that, depending on the method of evaluation used, only 42% to 91% of patients adhere to the diet strictly. Transculturally adapted tools that evaluate adherence beyond simple self-informed questions or invasive analyses are, therefore, of importance. The aim is to obtain a Spanish transcultural adaption and validation of Leffler's Celiac Dietary Adherence Test. Methods: A two-stage observational transversal study: translation and back translation by four qualified translators followed by a validation stage in which the questionnaire was administered to 306 celiac disease patients aged between 12 and 72 years and resident in Aragon. Factorial structure, criteria validity and internal consistency were evaluated. Results: The Spanish version maintained the 7 items in a 3-factor structure. Feasibility was very high in all the questions answered and the floor and ceiling effects were very low (4.3% and 1%, respectively). The Spearman correlation with the self-efficacy and life quality scales and the self-informed question were statistically significant (p < 0.01). According to the questionnaire criteria, adherence was 72.3%. Conclusion: The Spanish version of the Celiac Dietary Adherence Test shows appropriate psychometric properties and is, therefore, suitable for studying adherence to a gluten-free diet in clinical and research environments.

What Is a Firm’s Life Expectancy? Empirical Evidence in the Context of Portuguese Companies

It is a fact that the uncertainty about a firm’s future has to be measured and incorporated into a company’s valuation throughout the explicit analysis period – in the continuing or terminal value within valuation models. One of the concerns that can influence the continuing value of enterprises, which is not explicitly considered in traditional valuation models, is a firm’s average life expectancy. Although the literature has studied the life cycle of a firm, there is still a considerable lack of references on this topic. If we ignore the period during which a company has the ability to produce future cash flows, the valuations can fall into irreversible errors, leading to results markedly different from market values. This paper aims to provide a contribution in this area. Its main objective is to construct a mortality table for non-listed Portuguese enterprises, showing that the use of a terminal value through a mathematical expression of perpetuity of free cash flows is not adequate. We provide the use of an appropriate coefficient to perceive the number of years in which the company will continue to operate until its theoretical extinction. If well addressed regarding valuation models, this issue can be used to reduce or even to eliminate one of the main problems that cause distortions in contemporary enterprise valuation models: the premise of an enterprise’s unlimited existence in time. Besides studying the companies involved in it, from their existence to their demise, our study intends to push knowledge forward by providing a consistent life and mortality expectancy table for each age of the company, presenting models with an explicitly and different survival rate for each year. Moreover, we show that, after reaching a certain age, firms can reinvent their business, acquiring maturity and consequently postponing their mortality through an additional life period.

Financial distress, financial constraint and investment decision: Evidence from Brazil

This paper analyses the presence of financial constraint in the investment decisions of 367 Brazilian firms from 1997 to 2004, using a Bayesian econometric model with group-varying parameters. The motivation for this paper is the use of clustering techniques to group firms in a totally endogenous form. In order to classify the firms we used a hybrid clustering method, that is, hierarchical and non-hierarchical clustering techniques jointly. To estimate the parameters a Bayesian approach was considered. Prior distributions were assumed for the parameters, classifying the model in random or fixed effects. Ordinate predictive density criterion was used to select the model providing a better prediction. We tested thirty models and the better prediction considers the presence of 2 groups in the sample, assuming the fixed effect model with a Student t distribution with 20 degrees of freedom for the error. The results indicate robustness in the identification of financial constraint when the firms are classified by the clustering techniques. (C) 2010 Elsevier B.V. All rights reserved.

New prediction methods for CO2 evaporation inside tubes: Part I - A two-phase flow pattern map and a flow pattern based phenomenological model for two-phase flow frictional pressure drops

An updated flow pattern map was developed for CO2 on the basis of the previous Cheng-Ribatski-Wojtan-Thome CO2 flow pattern map [1,2] to extend the flow pattern map to a wider range of conditions. A new annular flow to dryout transition (A-D) and a new dryout to mist flow transition (D-M) were proposed here. In addition, a bubbly flow region which generally occurs at high mass velocities and low vapor qualities was added to the updated flow pattern map. The updated flow pattern map is applicable to a much wider range of conditions: tube diameters from 0.6 to 10 mm, mass velocities from 50 to 1500 kg/m(2) s, heat fluxes from 1.8 to 46 kW/m(2) and saturation temperatures from -28 to +25 degrees C (reduced pressures from 0.21 to 0.87). The updated flow pattern map was compared to independent experimental data of flow patterns for CO2 in the literature and it predicts the flow patterns well. Then, a database of CO2 two-phase flow pressure drop results from the literature was set up and the database was compared to the leading empirical pressure drop models: the correlations by Chisholm [3], Friedel [4], Gronnerud [5] and Muller-Steinhagen and Heck [6], a modified Chisholm correlation by Yoon et al. [7] and the flow pattern based model of Moreno Quiben and Thome [8-10]. None of these models was able to predict the CO2 pressure drop data well. Therefore, a new flow pattern based phenomenological model of two-phase flow frictional pressure drop for CO2 was developed by modifying the model of Moreno Quiben and Thome using the updated flow pattern map in this study and it predicts the CO2 pressure drop database quite well overall. (C) 2007 Elsevier Ltd. All rights reserved.

Análise econômica comparativa de empresas de água mineral quanto ao porte

This work makes a comparative economic analysis of a small-, medium- and large-sized mineral water company, the three of which are localized in the State of Sao Paulo. All have the same lines of production such as glasses, bottles and big bottles. The analysis involves the cash flow comparison of the three companies.

Squeeze flow as a tool for developing optimized gypsum plasters

This paper presents a rheological investigation of pure gypsum (PG) and a commercial gypsum-lime-filler plaster (CP) using the modified Vicat apparatus and squeeze flow method. The samples were tested at several different intervals after manual or mechanical mixing. The results confirmed squeeze flow to be more sensitive in determining fresh paste behavior than the modified Vicat apparatus. PG set faster when prepared in mechanical mixer than when manually mixed. Conversely, the CP composition presented longer setting when mixed mechanically. The study also included the analysis of two ready-to-use polymer-based products for leveling and rendering (drywall joint compound - DJC; acrylic putty - AP) measured by squeeze flow and compared to the commercial composition. (C) 2008 Elsevier Ltd. All rights reserved.

Turbulence in Hydraulic Jumps: Experimental Measurements

A hydraulic jump is the transition from a supercritical open channel flow to a subcritical regime. It is characterised by a highly turbulent flow with macro-scale vortices, some kinetic energy dissipation and a bubbly two-phase flow structure. New air-water flow measurements were performed in hydraulic jump flows for a range of inflow Froude numbers. The experiments were conducted in a large-size facility using two types of phase-detection intrusive probes: i.e., single-tip and double-tip conductivity probes. These were complemented by some measurements of free-surface fluctuations using ultrasonic displacement meters. The present study was focused on the turbulence characteristics of hydraulic jumps with partially-developed inflow conditions. The void fraction measurements showed the presence of an advective diffusion shear layer in which the void fractions profiles matched closely an analytical solution of the advective diffusion equation for air bubbles. The present results highlighted some influence of the inflow Froude number onto the air bubble entrainment process. At the largest Froude numbers, the advected air bubbles were more thoroughly dispersed vertically, and larger amount of air bubbles were detected in the turbulent shear layer. In the air-water mixing layer, the maximum void fraction and bubble count rate data showed some longitudinal decay function in the flow direction. Such trends were previously reported in the literature. The measurements of interfacial velocity and turbulence level distributions provided new information on the turbulent velocity field in the highly-aerated shear region. The present data suggested some longitudinal decay of the turbulence intensity. The velocity profiles tended to follow a wall jet flow pattern. The air–water turbulent time and length scales were deduced from some auto- and cross-correlation analyses based upon the method of CHANSON (2006,2007). The results provided the integral turbulent time and length scales of the eddy structures advecting the air bubbles in the developing shear layer. The experimental data showed that the auto-correlation time scale Txx was larger than the transverse cross-correlation time scale Txz. The integral turbulence length scale Lxz was a function of the inflow conditions, of the streamwise position (x-x1)/d1 and vertical elevation y/d1. Herein the dimensionless integral turbulent length scale Lxz/d1 was closely related to the inflow depth: i.e., Lxz/d1 = 0.2 to 0.8, with Lxz increasing towards the free-surface. The free-surface fluctuations measurements showed large turbulent fluctuations that reflected the dynamic, unsteady structure of the hydraulic jumps. A linear relationship was found between the normalized maximum free-surface fluctuation and the inflow Froude number.

Hierarchical determinants of capital structure

We analyze the influence of time-, firm-, industry- and country-level determinants of capital structure. First, we apply hierarchical linear modeling in order to assess the relative importance of those levels. We find that time and firm levels explain 78% of firm leverage. Second, we include random intercepts and random coefficients in order to analyze the direct and indirect influences of firm/industry/country characteristics on firm leverage. We document several important indirect influences of variables at industry and country-levels on firm determinants of leverage, as well as several structural differences in the financial behavior between firms of developed and emerging countries. (C) 2010 Elsevier B.V. All rights reserved.

Incorporating demand-side aspects into regional policy: variations in the importance of private investment decision factors across regions

Most regional programs focus on the supply side of regions, emphasizing the attraction conditions offered, such as infrastructure, labor skills, tax incentives, etc. This study analyzes one aspect of the demand side, that is, how investment decisions of private firms are made by asking the question: ""Do corporations decide the same way on investments in different parts of the territory?"" The paper analyzes the investments of 373 large Brazilian firms during 1996-2004. Based on the investment decisions of these firms, the role of sales, cash-flow, external financing, and working capital is investigated through regression analysis. The regional influence is captured by explanatory variables representing regional and firm characteristics, and by interaction dummies between the region and the main investment determinants. The results indicate significant differences across regions in the importance of investment determinants. This information is important for regional development policy, because different mechanisms should be used in different regions to foster private investments.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

Two-dimensional approximation for tidal dynamics in coastal aquifers: Capillarity correction

Most previous investigations on tide-induced watertable fluctuations in coastal aquifers have been based on one-dimensional models that describe the processes in the cross-shore direction alone, assuming negligible along-shore variability. A recent study proposed a two-dimensional approximation for tide-induced watertable fluctuations that took into account coastline variations. Here, we further develop this approximation in two ways, by extending the approximation to second order and by taking into account capillary effects. Our results demonstrate that both effects can markedly influence watertable fluctuations. In particular, with the first-order approximation, the local damping rate of the tidal signal could be subject to sizable errors.

The crystal structure of free human hypoxanthineguanine phosphoribosyltransferase reveals extensive conformational plasticity throughout the catalytic cycle

Human hypoxanthine-guanine phosphoribosyltransferase (HGPRT) catalyses the synthesis of the purine nucleoside monophosphates, IMP and GMP, by the addition of a 6-oxopurine base, either hypoxanthine or guanine, to the 1-beta-position of 5-phospho-U-D-ribosyl-1-pyrophosphate (PRib-PP). The mechanism is sequential, with PRib-PP binding to the free enzyme prior to the base. After the covalent reaction, pyrophosphate is released followed by the nucleoside monophosphate. A number of snapshots of the structure of this enzyme along the reaction pathway have been captured. These include the structure in the presence of the inactive purine base analogue, 7-hydroxy [4,3-d] pyrazolo pyrimidine (HPP) and PRib-PP. Mg2+, and in complex with IMP or GMP. The third structure is that of the immucillinHP.Mg2+.PPi complex, a transition-state analogue. Here, the first crystal structure of free human HGPRT is reported to 1.9 angstrom resolution, showing that significant conformational changes have to occur for the substrate(s) to bind and for catalysis to proceed. Included in these changes are relative movement of subunits within the tetramer, rotation and extension of an active-site alpha-helix (D137-D153), reorientation of key active-site residues K68, D137 and K165, and the rearrangement of three active-site loops (100-128, 165-173 and 186-196). Toxoplasina gondii HGXPRT is the only other 6-oxopurine phosphoribosyltransferase structure solved in the absence of ligands. Comparison of this structure with human HGPRT reveals significant differences in the two active sites, including the structure of the flexible loop containing K68 (human) or K79 (T gondii). (c) 2005 Elsevier Ltd. All rights reserved.