Can Europe recover without credit?

Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in middle-income countries and 3.2 percent per year in high-income countries. However, the implications of these historical episodes for the current European situation are limited, for two main reasons. First, creditless recoveries are much less common in high-income countries, than in low-income countries which are financially undeveloped. European economies heavily depend on bank loans and research suggests that loan supply played a major role in the recent weak credit performance of Europe. There are reasons to believe that, despite various efforts, normal lending has not yet been restored. Limited loan supply could be disruptive for the European economic recovery and there has been only a minor substitution of bank loans with debt securities. Second, creditless recoveries were associated with significant real exchange rate depreciation, which has hardly occurred so far in most of Europe. This stylised fact suggests that it might be difficult to re-establish economic growth in the absence of sizeable real exchange rate depreciation, if credit growth does not return.

Can Europe recover without credit?

Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in middle-income countries and 3.2 percent per year in high-income countries. However, the implications of these historical episodes for the current European situation are limited, for two main reasons. First, creditless recoveries are much less common in high-income countries, than in low-income countries which are financially undeveloped. European economies heavily depend on bank loans and research suggests that loan supply played a major role in the recent weak credit performance of Europe. There are reasons to believe that, despite various efforts, normal lending has not yet been restored. Limited loan supply could be disruptive for the European economic recovery and there has been only a minor substitution of bank loans with debt securities. Second, creditless recoveries were associated with significant real exchange rate depreciation, which has hardly occurred so far in most of Europe. This stylised fact suggests that it might be difficult to re-establish economic growth in the absence of sizeable real exchange rate depreciation, if credit growth does not return.

Mining and Energy Boom, Dutch Disease and Informality in Colombia: a DSGE Approach

The paper develops a Dynamic Stochastic General Equilibrium (DSGE) model, which assesses the macroeconomic and labor market effects derived from simulating a positive shock to the stochastic component of the mining-energy sector productivity. Calibrating the model for the Colombian economy, this shock generates a whole increase in formal wages and a raise in tax revenues, expanding total consumption of the household members. These facts increase non-tradable goods prices relative to tradable goods prices, then real exchange rate decreases (appreciation) and occurs a displacement of productive resources from the tradable (manufacturing) sector to the non-tradable sector, followed by an increase in formal GDP and formal job gains. This situation makes the formal sector to absorb workers from the informal sector through the non-tradable formal subsector, which causes informal GDP to go down. As a consequence, in the net consumption falls for informal workers, which leads some members of the household not to offer their labor force in the informal sector but instead they prefer to keep unemployed. Therefore, the final result on the labor market is a decrease in the number of informal workers, of which a part are in the formal sector and the rest are unemployed.

Empirical evidence of S-curves in the Colombian

The Marshall-Lerner condition, the J-curve and S-curve have emerged as theoretical and empirical foundations developed for the study of the interaction between exchange rates and international patterns of bilateral trade -- They have a significant bearing on thedevelopment of public policy, and are of equal interest to the academic and professional communities -- The most recently developed of these theories, the S-Curve, is named after the theorized short-run behavior to be found in the cross-correlation function of the real exchange rate and the trade balance -- Considering this theoretical context, the paper seeks empirical evidence of the existence of the S-Curve in the bilateral trade in commodity and non-commodity goods between Colombia and the United States and Venezuela, its main trading partners, for the yearly quarters between 1994:1 and 2009:4

A hidden Markov model and relative entropy rate approach to vision-based dim target detection for UAV sense-and-avoid

Uninhabited aerial vehicles (UAVs) are a cutting-edge technology that is at the forefront of aviation/aerospace research and development worldwide. Many consider their current military and defence applications as just a token of their enormous potential. Unlocking and fully exploiting this potential will see UAVs in a multitude of civilian applications and routinely operating alongside piloted aircraft. The key to realising the full potential of UAVs lies in addressing a host of regulatory, public relation, and technological challenges never encountered be- fore. Aircraft collision avoidance is considered to be one of the most important issues to be addressed, given its safety critical nature. The collision avoidance problem can be roughly organised into three areas: 1) Sense; 2) Detect; and 3) Avoid. Sensing is concerned with obtaining accurate and reliable information about other aircraft in the air; detection involves identifying potential collision threats based on available information; avoidance deals with the formulation and execution of appropriate manoeuvres to maintain safe separation. This thesis tackles the detection aspect of collision avoidance, via the development of a target detection algorithm that is capable of real-time operation onboard a UAV platform. One of the key challenges of the detection problem is the need to provide early warning. This translates to detecting potential threats whilst they are still far away, when their presence is likely to be obscured and hidden by noise. Another important consideration is the choice of sensors to capture target information, which has implications for the design and practical implementation of the detection algorithm. The main contributions of the thesis are: 1) the proposal of a dim target detection algorithm combining image morphology and hidden Markov model (HMM) filtering approaches; 2) the novel use of relative entropy rate (RER) concepts for HMM filter design; 3) the characterisation of algorithm detection performance based on simulated data as well as real in-flight target image data; and 4) the demonstration of the proposed algorithm's capacity for real-time target detection. We also consider the extension of HMM filtering techniques and the application of RER concepts for target heading angle estimation. In this thesis we propose a computer-vision based detection solution, due to the commercial-off-the-shelf (COTS) availability of camera hardware and the hardware's relatively low cost, power, and size requirements. The proposed target detection algorithm adopts a two-stage processing paradigm that begins with an image enhancement pre-processing stage followed by a track-before-detect (TBD) temporal processing stage that has been shown to be effective in dim target detection. We compare the performance of two candidate morphological filters for the image pre-processing stage, and propose a multiple hidden Markov model (MHMM) filter for the TBD temporal processing stage. The role of the morphological pre-processing stage is to exploit the spatial features of potential collision threats, while the MHMM filter serves to exploit the temporal characteristics or dynamics. The problem of optimising our proposed MHMM filter has been examined in detail. Our investigation has produced a novel design process for the MHMM filter that exploits information theory and entropy related concepts. The filter design process is posed as a mini-max optimisation problem based on a joint RER cost criterion. We provide proof that this joint RER cost criterion provides a bound on the conditional mean estimate (CME) performance of our MHMM filter, and this in turn establishes a strong theoretical basis connecting our filter design process to filter performance. Through this connection we can intelligently compare and optimise candidate filter models at the design stage, rather than having to resort to time consuming Monte Carlo simulations to gauge the relative performance of candidate designs. Moreover, the underlying entropy concepts are not constrained to any particular model type. This suggests that the RER concepts established here may be generalised to provide a useful design criterion for multiple model filtering approaches outside the class of HMM filters. In this thesis we also evaluate the performance of our proposed target detection algorithm under realistic operation conditions, and give consideration to the practical deployment of the detection algorithm onboard a UAV platform. Two fixed-wing UAVs were engaged to recreate various collision-course scenarios to capture highly realistic vision (from an onboard camera perspective) of the moments leading up to a collision. Based on this collected data, our proposed detection approach was able to detect targets out to distances ranging from about 400m to 900m. These distances, (with some assumptions about closing speeds and aircraft trajectories) translate to an advanced warning ahead of impact that approaches the 12.5 second response time recommended for human pilots. Furthermore, readily available graphic processing unit (GPU) based hardware is exploited for its parallel computing capabilities to demonstrate the practical feasibility of the proposed target detection algorithm. A prototype hardware-in- the-loop system has been found to be capable of achieving data processing rates sufficient for real-time operation. There is also scope for further improvement in performance through code optimisations. Overall, our proposed image-based target detection algorithm offers UAVs a cost-effective real-time target detection capability that is a step forward in ad- dressing the collision avoidance issue that is currently one of the most significant obstacles preventing widespread civilian applications of uninhabited aircraft. We also highlight that the algorithm development process has led to the discovery of a powerful multiple HMM filtering approach and a novel RER-based multiple filter design process. The utility of our multiple HMM filtering approach and RER concepts, however, extend beyond the target detection problem. This is demonstrated by our application of HMM filters and RER concepts to a heading angle estimation problem.

Studies on the international effects of real shocks

This doctoral thesis addresses the macroeconomic effects of real shocks in open economies in flexible exchange rate regimes. The first study of this thesis analyses the welfare effects of fiscal policy in a small open economy, where private and government consumption are substitutes in terms of private utility. The main findings are as follows: fiscal policy raises output, bringing it closer to its efficient level, but is not welfare-improving even though government spending directly affects private utility. The main reason for this is that the introduction of useful government spending implies a larger crowding-out effect on private consumption, when compared with the `pure waste' case. Utility decreases since one unit of government consumption yields less utility than one unit of private consumption. The second study of this thesis analyses the question of how the macroeconomic effects of fiscal policy in a small open economy depend on optimal intertemporal behaviour. The key result is that the effects of fiscal policy depend on the size of the elasticity of substitution between traded and nontraded goods. In particular, the sign of the current account response to fiscal policy depends on the interplay between the intertemporal elasticity of aggregate consumption and the elasticity of substitution between traded and nontraded goods. The third study analyses the consequences of productive government spending on the international transmission of fiscal policy. A standard result in the New Open Economy Macroeconomics literature is that a fiscal shock depreciates the exchange rate. I demonstrate that the response of the exchange rate depends on the productivity of government spending. If productivity is sufficiently high, a fiscal shock appreciates the exchange rate. It is also shown that the introduction of productive government spending increases both domestic and foreign welfare, when compared with the case where government spending is wasted. The fourth study analyses the question of how the international transmission of technology shocks depends on the specification of nominal rigidities. A growing body of empirical evidence suggests that a positive technology shock leads to a temporary decline in employment. In this study, I demonstrate that the open economy dimension can enhance the ability of sticky price models to account for the evidence. The reasoning is as follows. An improvement in technology appreciates the nominal exchange rate. Under producer-currency pricing, the exchange rate appreciation shifts global demand toward foreign goods away from domestic goods. This causes a temporary decline in domestic employment.

Essays in theoretical and applied macroeconomics

Cette thèse s’articule autour de trois chapitres indépendants qui s’inscrivent dans les champs de la macroéconomie, de l’économie monétaire et de la finance internationale. Dans le premier chapitre, je construis un modèle néo-keynesien d’équilibre général sous incertitude pour examiner les implications de la production domestique des ménages pour la politique monétaire. Le modèle proposé permet de reconcilier deux faits empiriques majeurs: la forte sensibilité du produit intérieur brut aux chocs monétaires (obtenue à partir des modèles VAR), et le faible degré de rigidité nominale observé dans les micro-données. Le deuxième chapitre étudie le role de la transformation structurelle (réallocation de la main d’oeuvre entre secteurs) sur la volatilité de la production aggregée dans un panel de pays. Le troisième chapitre quant à lui met en exergue l’importance de la cartographie des échanges commerciaux pour le choix entre un régime de change fixe et l’arrimage à un panier de devises. "Household Production, Services and Monetary Policy" (Chapitre 1) part de l’observation selon laquelle les ménages peuvent produire à domicile des substituts aux services marchands, contrairement aux biens non durables qu’ils acquièrent presque exclusivement sur le marché. Dans ce contexte, ils procèdent à d’importants arbitrages entre produire les services à domicile ou les acquerir sur le marché, dépendamment des changements dans leur revenu. Pour examiner les implications de tels arbitrages (qui s’avèrent être importants dans les micro-données) le secteur domestique est introduit dans un modèle néo-keyenesien d’équilibre général sous incertitude à deux secteurs (le secteur des biens non durables et le secteur des services) autrement standard. Je montre que les firmes du secteur des services sont moins enclin à changer leurs prix du fait que les ménages ont l’option de produire soit même des services substituts. Ceci se traduit par la présence d’un terme endogène supplémentaire qui déplace la courbe de Phillips dans ce secteur. Ce terme croit avec le degré de substituabilité qui existe entre les services produits à domicile et ceux acquis sur le marché. Cet accroissement de la rigidité nominale amplifie la sensibilité de la production réelle aux chocs monétaires, notamment dans le secteur des services, ce qui est compatible avec l’évidence VAR selon laquelle les services de consommation sont plus sensibles aux variations de taux d’intérêt que les biens non durables. "Structural Transformation and the Volatility of Aggregate Output: A Cross-country Analysis" (Chapitre 2) est basée sur l’évidence empirique d’une relation négative entre la part de la main d’oeuvre allouée au secteur des services et la volatilité de la production aggrégée, même lorsque je contrôle pour les facteurs tels que le développement du secteur financier. Ce resultat aggregé est la conséquence des développements sectoriels: la productivité de la main d’oeuvre est beaucoup plus volatile dans l’agriculture et les industries manufacturières que dans les services. La production aggregée deviendrait donc mécaniquement moins volatile au fur et à mesure que la main d’oeuvre se déplace de l’agriculture et de la manufacture vers les services. Pour évaluer cette hypothèse, je calibre un modèle de transformation structurelle à l’économie américaine, que j’utilise ensuite pour générer l’allocation sectorielle de la main d’oeuvre dans l’agriculture, l’industrie et les services pour les autres pays de l’OCDE. Dans une analyse contre-factuelle, le modèle est utlisé pour restreindre la mobilité de la main d’oeuvre entre secteurs de façon endogène. Les calculs montrent alors que le déplacement de la main d’oeuvre vers le secteur des services réduit en effet la volatilité de la production aggregée. "Exchange Rate Volatility under Alternative Peg Regimes: Do Trade Patterns Matter?" (Chapitre 3) est une contribution à la litterature économique qui s’interesse au choix entre divers regimes de change. J’utilise les données mensuelles de taux de change bilatéraux et de commerce extérieur entre 1980 et 2010 pour les pays membre de l’Union Economique et Monétaire Ouest Africaine (UEMOA). La monnaie de ces pays (le franc CFA) est arrimée au franc Francais depuis le milieu des années 40 et à l’euro depuis son introduction en 1999. Au moment de l’arrimage initial, la France était le principal partenaire commercial des pays de l’UEMOA. Depuis lors, et plus encore au cours des dix dernières années, la cartographie des échanges de l’union a significativement changé en faveur des pays du groupe des BICs, notamment la Chine. Je montre dans ce chapitre que l’arrimage à un panier de devises aurait induit une volatilité moins pronnoncée du taux de change effectif nominal du franc CFA au cours de la décennie écoulée, comparé à la parité fixe actuelle. Ce chapitre, cependant, n’aborde pas la question de taux de change optimal pour les pays de l’UEMOA, un aspect qui serait intéressant pour une recherche future.

The impact of exchanges rates on international real estate portfolio allocation

This paper, examines whether the asset holdings and weights of an international real estate portfolio using exchange rate adjusted returns are essentially the same or radically different from those based on unadjusted returns. The results indicate that the portfolio compositions produced by exchange rate adjusted returns are markedly different from those based on unadjusted returns. However following the introduction of the single currency the differences in portfolio composition are much less pronounced. The findings have a practical consequence for the investor because they suggest that following the introduction of the single currency international investors can concentrate on the real estate fundamentals when making their portfolio choices, rather than worry about the implications of exchange rate risk.

Diferencial de juros e taxa de câmbio: um estudo empírico sobre o Brasil pós-plano real

Esta dissertação procura examinar a relação entre taxas de juros e os movimentos da taxa de câmbio, a partir da paridade descoberta de juros (PDJ). Foi utilizado o procedimento pressupondo expectativas racionais e foi testada a validade da PDJ com dados da economia brasileira desde o Plano Real (julho de 1994) até agosto de 2006. Encontramos evidências que levam à rejeição da PDJ no longo prazo. Além disso, foi examinada a validade da PDJ sem a necessidade de utilizar a hipótese de expectativas racionais, foram utilizadas as previsões de câmbio dos analistas financeiros, publicadas no Boletim Focus de novembro de 2001 a novembro de 2006. Também encontramos evidências que levam à rejeição da PDJ no Brasil.

Debt management in Brazil: evaluation of the Real Plan and challenges ahead

The Brazilian domestic debt has posed two challenges to policy-makers: it has grown very fast and its maturity is extremely short. This has prompted fears that a default or a compulsory lengthening scheme would be imposed. Here, we analyse the domestic public debt management experience in Brazil, searching for policy prescriptions for the next few years. After briefiy reviewing the recent domestic public debt history, we decompose the large rise in federal bonded debt during 1995-2000, searching for its macroeconomic causes. The main culprits are the extremely high interest payments-which, unti11998, were caused by the weak fiscal stance and the quasi-fixed exchange-rate regime; and since 1999, by the impact ofthe currency depreciation On the dollar-indexed and the externai debt-, and the accumulation of assets of doubtful value, much of which may have to be written off in the future. Simulation exercises of the net debt path for the near future underscore the importance of a tighter fiscal stance to prevent the debt-GDP ratio from growing further. Given the need to quickly lengthen the debt maturity, our main policy advice is to foster, and rely more on, infiation-linked bonds.

Notes on cyclical tendency to the overvaluation of the real

This note addresses the question “To what extent financial regulation in Brazil was effective in neutralizing the tendency to the overvaluation of the exchange rate in Brazil since the 1994 Real Plan?” Aiming at answering this question, this note is organized as follows: after this short introduction, we briefly describe the Brazilian exchange rate behavior after the Real Plan, emphasizing its key role in keeping prices stable. In section 3, the recent measures adopted by the Brazilian Central Bank (BCB) aiming at avoiding the overvaluation of real will be summarized. In section 4, we argue in favor of a new policy mix that could avoid overvaluation of the currency. Finally, some issues will be raised in order to effectively neutralize the overvaluation of real.

The Real Plan: Stabilization and destabilization

The paper analyzes Brazil's Real Plan, an exchange-rate based stabilization program, implemented in 1994, which mixed a spectacular price stabilization with some serious macroeconomic destabilization. The paper focuses on two of these imbalances: the consumption boom and the financial destabilization; showing that the former represented nothing the reverse side of a collapsed investment boom, which, in turn, led to the financial (banking) crisis. We hold that these instabilities were produced by a policy arrangement in which monetary and fiscal policies alone had to compensate for a largely appreciated, almost fixed, exchange rate anchor. (C) 2000 Elsevier Science Ltd. All rights reserved.

Plano real e a nova realidade brasileira

This paper analyzes the Real Plan and its effects on two administrations of President Fernando Henrique Cardoso (FHC), a period which extends from 1995 to 2002. To this end, the study includes a brief review of the problems faced by previous plans, especially the Cruzado Plan and the reasons for the belief that it has been successfull in relation to inflation control. Additionally, seeking to describe the process of moving to the new currency towards stabilization, the paper describes the theoretical foundations of the Plan. In sequence, it defines the backround of both international and domestic monetary reform which was one important part of the Plan and therefore the reasons for the implementation of the monetary reform. Subsequently the paper deals with the effects of the Plan on the economy as a whole, covering also the way the economic measures were taken concerning the Mexican and Asian crisis, the policies used fot the exchange rate, interest rate, fiscal accounts, balance of payments, among other factors and the relationship between them. Hence, it describes the immediate and the long-term consequences of stabilization program in terms of output, employment, public deficit and debt. Therefore, it is important to note the various junctures to which the economy was exposed, and also to point out the challenges and obstacles arising from these changes for growth, which was sometimes fast, sometimes slowing down - the so-called stop and go. Of course, facts as the moving to floating exchange rate regime, the adoption of inflation targeting regime and the adoption of fiscal responsibility law along with the primary surplus policy were able to create a new economic environment and to contribute to later success of the Cardoso years

Age-Related Maximum Heart Rate Among Ischemic and Nonischemic Heart Failure Patients Receiving beta-Blockade Therapy

Background: Equations to predict maximum heart rate (HRmax) in heart failure (HF) patients receiving beta-adrenergic blocking (BB) agents do not consider the cause of HF. We determined equations to predict HRmax in patients with ischemic and nonischemic HF receiving BB therapy. Methods and Results: Using treadmill cardiopulmonary exercise testing, we studied HF patients receiving BB therapy being considered for transplantation from 1999 to 2010. Exclusions were pacemaker and/or implantable defibrillator, left ventricle ejection fraction (LVEF) >50%, peak respiratory exchange ratio (RER) <1.00, and Chagas disease. We used linear regression equations to predict HRmax based on age in ischemic and nonischemic patients. We analyzed 278 patients, aged 47 +/- 10 years, with ischemic (n = 75) and nonischemic (n = 203) HF. LVEF was 30.8 +/- 9.4% and 28.6 +/- 8.2% (P = .04), peak VO2 16.9 +/- 4.7 and 16.9 +/- 5.2 mL kg(-1) min(-1) (P = NS), and the HRmax 130.8 +/- 23.3 and 125.3 +/- 25.3 beats/min (P = .051) in ischemic and nonischemic patients, respectively. We devised the equation HRmax = 168 - 0.76 x age (R-2 = 0.095; P = .007) for ischemic HF patients, but there was no significant relationship between age and HRmax in nonischemic HF patients (R-2 = 0.006; P = NS). Conclusions: Our study suggests that equations to estimate HRmax should consider the cause of HF. (J Cardiac Fail 2012;18:831-836)

Cardiopulmonary performance testing using a robotics-assisted tilt table: Feasibility assessment in able-bodied subjects

BACKGROUND: Robotics-assisted tilt table technology was introduced for early rehabilitation of neurological patients. It provides cyclical stepping movement and physiological loading of the legs. The aim of the present study was to assess the feasibility of this type of device for peak cardiopulmonary performance testing using able-bodied subjects. METHODS: A robotics-assisted tilt table was augmented with force sensors in the thigh cuffs and a work rate estimation algorithm. A custom visual feedback system was employed to guide the subjects' work rate and to provide real time feedback of actual work rate. Feasibility assessment focused on: (i) implementation (technical feasibility), and (ii) responsiveness (was there a measurable, high-level cardiopulmonary reaction?). For responsiveness testing, each subject carried out an incremental exercise test to the limit of functional capacity with a work rate increment of 5 W/min in female subjects and 8 W/min in males. RESULTS: 11 able-bodied subjects were included (9 male, 2 female; age 29.6 ± 7.1 years: mean ± SD). Resting oxygen uptake (O_{2}) was 4.6 ± 0.7 mL/min/kg and O_{2}peak was 32.4 ± 5.1 mL/min/kg; this mean O_{2}peak was 81.1% of the predicted peak value for cycle ergometry. Peak heart rate (HRpeak) was 177.5 ± 9.7 beats/min; all subjects reached at least 85% of their predicted HRpeak value. Respiratory exchange ratio (RER) at O_{2}peak was 1.02 ± 0.07. Peak work rate) was 61.3 ± 15.1 W. All subjects reported a Borg CR10 value for exertion and leg fatigue of 7 or more. CONCLUSIONS: The robotics-assisted tilt table is deemed feasible for peak cardiopulmonary performance testing: the approach was found to be technically implementable and substantial cardiopulmonary responses were observed. Further testing in neurologically-impaired subjects is warranted.