The Macroeconomic Effects of Fiscal Policy in a Small Open Economy under a Flexible Exchange Rate Regime

This licentiate's thesis analyzes the macroeconomic effects of fiscal policy in a small open economy under a flexible exchange rate regime, assuming that the government spends exclusively on domestically produced goods. The motivation for this research comes from the observation that the literature on the new open economy macroeconomics (NOEM) has focused almost exclusively on two-country global models and the analyses of the effects of fiscal policy on small economies are almost completely ignored. This thesis aims at filling in the gap in the NOEM literature and illustrates how the macroeconomic effects of fiscal policy in a small open economy depend on the specification of preferences. The research method is to present two theoretical model that are extensions to the model contained in the Appendix to Obstfeld and Rogoff (1995). The first model analyzes the macroeconomic effects of fiscal policy, making use of a model that exploits the idea of modelling private and government consumption as substitutes in private utility. The model offers intuitive predictions on how the effects of fiscal policy depend on the marginal rate of substitution between private and government consumption. The findings illustrate that the higher the substitutability between private and government consumption, (i) the bigger is the crowding out effect on private consumption (ii) and the smaller is the positive effect on output. The welfare analysis shows that the less fiscal policy decreases welfare the higher is the marginal rate of substitution between private and government consumption. The second model of this thesis studies how the macroeconomic effects of fiscal policy depend on the elasticity of substitution between traded and nontraded goods. This model reveals that this elasticity a key variable to explain the exchange rate, current account and output response to a permanent rise in government spending. Finally, the model demonstrates that temporary changes in government spending are an effective stabilization tool when used wisely and timely in response to undesired fluctuations in output. Undesired fluctuations in output can be perfectly offset by an opposite change in government spending without causing any side-effects.

Calculating the bound spectrum by path summation in action-angle variables

The density of states n(E) is calculated for a bound system whose classical motion is integrable, starting from an expression in terms of the trace of the time-dependent Green function. The novel feature is the use of action-angle variables. This has the advantages that the trace operation reduces to a trivial multiplication and the dependence of n(E) on all classical closed orbits with different topologies appears naturally. The method is contrasted with another, not applicable to integrable systems except in special cases, in which quantization arises from a single closed orbit which is assumed isolated and the trace taken by the method of stationary phase.

Postoperative Volume Therapy in Cardiac Surgery : Effects on Hemostatic and Circulatory Variables

Background: Patients may need massive volume-replacement therapy after cardiac surgery because of large fluid transfer perioperatively, and the use of cardiopulmonary bypass. Hemodynamic stability is better maintained with colloids than crystalloids but colloids have more adverse effects such as coagulation disturbances and impairment of renal function than do crystalloids. The present study examined the effects of modern hydroxyethyl starch (HES) and gelatin solutions on blood coagulation and hemodynamics. The mechanism by which colloids disturb blood coagulation was investigated by thromboelastometry (TEM) after cardiac surgery and in vitro by use of experimental hemodilution. Materials and methods: Ninety patients scheduled for elective primary cardiac surgery (Studies I, II, IV, V), and twelve healthy volunteers (Study III) were included in this study. After admission to the cardiac surgical intensive care unit (ICU), patients were randomized to receive different doses of HES 130/0.4, HES 200/0.5, or 4% albumin solutions. Ringer’s acetate or albumin solutions served as controls. Coagulation was assessed by TEM, and hemodynamic measurements were based on thermodilutionally measured cardiac index (CI). Results: HES and gelatin solutions impaired whole blood coagulation similarly as measured by TEM even at a small dose of 7 mL/kg. These solutions reduced clot strength and prolonged clot formation time. These effects were more pronounced with increasing doses of colloids. Neither albumin nor Ringer’s acetate solution disturbed blood coagulation significantly. Coagulation disturbances after infusion of HES or gelatin solutions were clinically slight, and postoperative blood loss was comparable with that of Ringer’s acetate or albumin solutions. Both single and multiple doses of all the colloids increased CI postoperatively, and this effect was dose-dependent. Ringer’s acetate had no effect on CI. At a small dose (7 mL/kg), the effect of gelatin on CI was comparable with that of Ringer’s acetate and significantly less than that of HES 130/0.4 (Study V). However, when the dose was increased to 14 and 21 mL/kg, the hemodynamic effect of gelatin rose and became comparable with that of HES 130/0.4. Conclusions: After cardiac surgery, HES and gelatin solutions impaired clot strength in a dose-dependent manner. The potential mechanisms were interaction with fibrinogen and fibrin formation, resulting in decreased clot strength, and hemodilution. Although the use of HES and gelatin inhibited coagulation, postoperative bleeding on the first postoperative morning in all the study groups was similar. A single dose of HES solutions improved CI postoperatively more than did gelatin, albumin, or Ringer’s acetate. However, when administered in a repeated fashion, (cumulative dose of 14 mL/kg or more), no differences were evident between HES 130/0.4 and gelatin.

Electrocardiographic repolarization variables in detecting myocardial infarction and ischemic injury : From body surface potential mapping to a single lead

The aim of the studies was to improve the diagnostic capability of electrocardiography (ECG) in detecting myocardial ischemic injury with a future goal of an automatic screening and monitoring method for ischemic heart disease. The method of choice was body surface potential mapping (BSPM), containing numerous leads, with intention to find the optimal recording sites and optimal ECG variables for ischemia and myocardial infarction (MI) diagnostics. The studies included 144 patients with prior MI, 79 patients with evolving ischemia, 42 patients with left ventricular hypertrophy (LVH), and 84 healthy controls. Study I examined the depolarization wave in prior MI with respect to MI location. Studies II-V examined the depolarization and repolarization waves in prior MI detection with respect to the Minnesota code, Q-wave status, and study V also with respect to MI location. In study VI the depolarization and repolarization variables were examined in 79 patients in the face of evolving myocardial ischemia and ischemic injury. When analyzed from a single lead at any recording site the results revealed superiority of the repolarization variables over the depolarization variables and over the conventional 12-lead ECG methods, both in the detection of prior MI and evolving ischemic injury. The QT integral, covering both depolarization and repolarization, appeared indifferent to the Q-wave status, the time elapsed from MI, or the MI or ischemia location. In the face of evolving ischemic injury the performance of the QT integral was not hampered even by underlying LVH. The examined depolarization and repolarization variables were effective when recorded in a single site, in contrast to the conventional 12-lead ECG criteria. The inverse spatial correlation of the depolarization and depolarization waves in myocardial ischemia and injury could be reduced into the QT integral variable recorded in a single site on the left flank. In conclusion, the QT integral variable, detectable in a single lead, with optimal recording site on the left flank, was able to detect prior MI and evolving ischemic injury more effectively than the conventional ECG markers. The QT integral, in a single-lead or a small number of leads, offers potential for automated screening of ischemic heart disease, acute ischemia monitoring and therapeutic decision-guiding as well as risk stratification.

Process variables in biomimetic synthesis of silver nanoparticles by aqueous extract of Azadirachta indica (Neem) leaves

Owing to widespread applications, synthesis and characterization of silver nanoparticles is recently attracting considerable attention. Increasing environmental concerns over chemical synthesis routes have resulted in attempts to develop biomimetic approaches. One of them is synthesis using plant parts, which eliminates the elaborate process of maintaining the microbial culture and often found to be kinetically favourable than other bioprocesses. The present study deals with investigating the effect of process variables like reductant concentrations, reaction pH, mixing ratio of the reactants and interaction time on the morphology and size of silver nanoparticles synthesized using aqueous extract of Azadirachta indica (Neem) leaves. The formation of crystalline silver nanoparticles was confirmed using X-ray diffraction analysis. By means of UV spectroscopy, Scanning and Transmission Electron Microscopy techniques, it was observed that the morphology and size of the nanoparticles were strongly dependent on the process parameters. Within 4 h interaction period, nanoparticles below 20-nm-size with nearly spherical shape were produced. On increasing interaction time (ageing) to 66 days, both aggregation and shape anisotropy (ellipsoidal, polyhedral and capsular) of the particles increased. In alkaline pH range, the stability of cluster distribution increased with a declined tendency for aggregation of the particles. It can be inferred from the study that fine tuning the bioprocess parameters will enhance possibilities of desired nano-product tailor made for particular applications.

Synthesis of plane linkages to generate functions of two variables using point-position reduction—Part 1. Rotary inputs and output

The paper presents simple graphical procedures for position synthesis of plane linkage mechanisms to generate functions of two independent variables. The procedures are based on point-position reduction and permit synthesis of the linkage to satisfy up to six arbitrarily selected precision positions.

Synthesis of plane linkages to generate functions of two variables using point position reduction—II. Sliding inputs and outputs

The paper presents simple graphical procedures for the position synthesis of plane linkage mechanisms with sliding inputs and output to generate functions of two independent variables. The procedures are based on point position reduction and permit synthesis of the linkage to satisfy up to five arbitrarily selected precision positions.

Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Monetary Policy, Stock Price Misalignments and Macroeconomic Instability

Perhaps the most fundamental prediction of financial theory is that the expected returns on financial assets are determined by the amount of risk contained in their payoffs. Assets with a riskier payoff pattern should provide higher expected returns than assets that are otherwise similar but provide payoffs that contain less risk. Financial theory also predicts that not all types of risks should be compensated with higher expected returns. It is well-known that the asset-specific risk can be diversified away, whereas the systematic component of risk that affects all assets remains even in large portfolios. Thus, the asset-specific risk that the investor can easily get rid of by diversification should not lead to higher expected returns, and only the shared movement of individual asset returns – the sensitivity of these assets to a set of systematic risk factors – should matter for asset pricing. It is within this framework that this thesis is situated. The first essay proposes a new systematic risk factor, hypothesized to be correlated with changes in investor risk aversion, which manages to explain a large fraction of the return variation in the cross-section of stock returns. The second and third essays investigate the pricing of asset-specific risk, uncorrelated with commonly used risk factors, in the cross-section of stock returns. The three essays mentioned above use stock market data from the U.S. The fourth essay presents a new total return stock market index for the Finnish stock market beginning from the opening of the Helsinki Stock Exchange in 1912 and ending in 1969 when other total return indices become available. Because a total return stock market index for the period prior to 1970 has not been available before, academics and stock market participants have not known the historical return that stock market investors in Finland could have achieved on their investments. The new stock market index presented in essay 4 makes it possible, for the first time, to calculate the historical average return on the Finnish stock market and to conduct further studies that require long time-series of data.

Effect of process variables on die-billet temperature history in a slow speed hot coining type process

A computer code is developed as a part of an ongoing project on computer aided process modelling of forging operation, to simulate heat transfer in a die-billet system. The code developed on a stage-by-stage technique is based on an Alternating Direction Implicit scheme. The experimentally validated code is used to study the effect of process specifics such as preheat die temperature, machine ascent time, rate of deformation, and dwell time on the thermal characteristics in a batch coining operation where deformation is restricted to surface level only.