Time Reversibility of Stationary Regular Finite State Markov Chains

We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time irreversibility. Two empirical examples illustrate the use of the proposed parameter, decomposition and index. One involves observed states; the other, latent states.

Estimation of State Space Models and Stochastic Volatility

Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique. Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité computationnelle, dans un modèle espace-état linéaire et gaussien. Nous montrons comment exploiter la structure particulière des modèles espace-état pour tirer les états latents efficacement. Nous analysons l'efficacité computationnelle des méthodes basées sur le filtre de Kalman, l'algorithme facteur de Cholesky et notre nouvelle méthode utilisant le compte d'opérations et d'expériences de calcul. Nous montrons que pour de nombreux cas importants, notre méthode est plus efficace. Les gains sont particulièrement grands pour les cas où la dimension des variables observées est grande ou dans les cas où il faut faire des tirages répétés des états pour les mêmes valeurs de paramètres. Comme application, on considère un modèle multivarié de Poisson avec le temps des intensités variables, lequel est utilisé pour analyser le compte de données des transactions sur les marchés financières. Dans le deuxième chapitre, nous proposons une nouvelle technique pour analyser des modèles multivariés à volatilité stochastique. La méthode proposée est basée sur le tirage efficace de la volatilité de son densité conditionnelle sachant les paramètres et les données. Notre méthodologie s'applique aux modèles avec plusieurs types de dépendance dans la coupe transversale. Nous pouvons modeler des matrices de corrélation conditionnelles variant dans le temps en incorporant des facteurs dans l'équation de rendements, où les facteurs sont des processus de volatilité stochastique indépendants. Nous pouvons incorporer des copules pour permettre la dépendance conditionnelle des rendements sachant la volatilité, permettant avoir différent lois marginaux de Student avec des degrés de liberté spécifiques pour capturer l'hétérogénéité des rendements. On tire la volatilité comme un bloc dans la dimension du temps et un à la fois dans la dimension de la coupe transversale. Nous appliquons la méthode introduite par McCausland (2012) pour obtenir une bonne approximation de la distribution conditionnelle à posteriori de la volatilité d'un rendement sachant les volatilités d'autres rendements, les paramètres et les corrélations dynamiques. Le modèle est évalué en utilisant des données réelles pour dix taux de change. Nous rapportons des résultats pour des modèles univariés de volatilité stochastique et deux modèles multivariés. Dans le troisième chapitre, nous évaluons l'information contribuée par des variations de volatilite réalisée à l'évaluation et prévision de la volatilité quand des prix sont mesurés avec et sans erreur. Nous utilisons de modèles de volatilité stochastique. Nous considérons le point de vue d'un investisseur pour qui la volatilité est une variable latent inconnu et la volatilité réalisée est une quantité d'échantillon qui contient des informations sur lui. Nous employons des méthodes bayésiennes de Monte Carlo par chaîne de Markov pour estimer les modèles, qui permettent la formulation, non seulement des densités a posteriori de la volatilité, mais aussi les densités prédictives de la volatilité future. Nous comparons les prévisions de volatilité et les taux de succès des prévisions qui emploient et n'emploient pas l'information contenue dans la volatilité réalisée. Cette approche se distingue de celles existantes dans la littérature empirique en ce sens que ces dernières se limitent le plus souvent à documenter la capacité de la volatilité réalisée à se prévoir à elle-même. Nous présentons des applications empiriques en utilisant les rendements journaliers des indices et de taux de change. Les différents modèles concurrents sont appliqués à la seconde moitié de 2008, une période marquante dans la récente crise financière.

Movement of Input and Output Prices of Rice in Kerala and its Impact on Area, Yield and Outp

Rice is the most extensively cultivated crop in the world, particularly concentrated in Asia and the Far East. Asian countries together make up for as much as 91.80 per cent of the world production of rice in 1986. The main objective of the present study is to analyse the rice economy of Kerala over time and space at the State, district and taluk level. The thesis analyses the trends in area, yield and total production of rice during the three seasons in the state, districts and taluks and studies the trends in input and output prices of rice and coconut in the state, districts and taluks. The researcher estimates the impact of input and output prices on area, yield and total output of rice in the state, districts and selected taluks and examines the conversion of paddy field into coconut garden and rubber plantation.

The Brazilian real state market in 2012: robust growth or speculative bubble?

A forte alta dos imóveis no Brasil nos últimos anos iniciou um debate sobre a possível existência de uma bolha especulativa. Dada a recente crise do crédito nos Estados Unidos, é factível questionar se a situação atual no Brasil pode ser comparada à crise americana. Considerando argumentos quantitativos e fundamentais, examina-se o contexto imobiliário brasileiro e questiona-se a sustentabilidade em um futuro próximo. Primeiramente, analisou-se a taxa de aluguel e o nível de acesso aos imóveis e também utilizou-se um modelo do custo real para ver se o mercado está em equilíbrio o não. Depois examinou-se alguns fatores fundamentais que afetam o preço dos imóveis – oferta e demanda, crédito e regulação, fatores culturais – para encontrar evidências que justificam o aumento dos preços dos imóveis. A partir dessas observações tentou-se chegar a uma conclusão sobre a evolução dos preços no mercado imobiliário brasileiro. Enquanto os dados sugerem que os preços dos imóveis estão supervalorizados em comparação ao preço dos aluguéis, há evidências de uma legítima demanda por novos imóveis na emergente classe média brasileira. Um risco maior pode estar no mercado de crédito, altamente alavancado em relação ao consumidor brasileiro. No entanto, não se encontrou evidências que sugerem mais do que uma temporária estabilização ou correção no preço dos imóveis.

Time-dependent or state-dependent pricing? : evidence from a large currency devaluation episode

Duas classes de modelos buscam explicar o padrão de ajustamento de preço das firmas: modelos tempo-dependente e estado-dependente. O objetivo deste trabalho é levantar algumas evidencias empíricas de modo a distinguir os modelos, ou seja, identificar de que maneira as firmas realmente precificam. Para isso, escolheu-se a grande desvalorização cambial de 1999 como principal ferramenta e ambiente de análise. A hipótese fundamental é que o choque cambial impacta significativamente o custo de algumas indústrias, em alguns casos induzindo-as a alterarem seus preço após o choque. A partir de uma imensa base de micro dados formada por preços que compõem o CPI, algumas estimações importantes como a probabilidade e a magnitude média das trocas foram levantadas. A magnitude é dada por uma média simples, enquanto a probabilidade é estimada pelo método da máxima verossimilhança. Os resultados indicam um comportamento de precificação similar ao proposto por modelos estado-dependente.

Optimal-state-dependent rules, credibility, and inflationary inertia

This paper examines the output losses caused by disinflation and the role of credibility in a model where pricing mIes are optimal and individual prices are rigid. Individual nominal rigidity is modeled as resulting from menu costs. The interaction between optimal pricing mIes and credibility is essential in determining the inflationary inertia. A continued period of high inflation generates an asymmetric distribution of price deviations, with more prices that are substantially lower than their desired leveIs than prices that are substantially higher than the optimal ones. When disinflation is not credible, inflationary inertia is engendered by this asymmetry: idiosyncratic shocks trigger more upward than downward adjustments. A perfect1y credible disinflation causes an immediate change of pricing rules which, by rendering the price deviation distribution less asymmetric, practically annihilates inflationary inertia. An implication of our model is that stabilization may be sucessful even when credibility is low, provided that it is preceded by a mechanism of price alignment. We also develop an analytical framework for analyzing imperfect credibility cases.

Time-dependent or state-dependent pricing? Evidence from firms’ response to inflation shocks

This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring a large discrepancy between realized and expected inflation in 2002-3, we obtain a strong relation between expected inflation and duration of price spells, but little effect of inflation shocks on the frequency of price adjustment. The results thus support models with timedependent pricing, where the timing for following changes is optimally chosen whenever firms adjust prices

Optimal monetary policy under administered prices

This work aims to analyze the interaction and the effects of administered prices in the economy, through a DSGE model and the derivation of optimal monetary policies. The model used is a standard New Keynesian DSGE model of a closed economy with two sectors companies. In the first sector, free prices, there is a continuum of firms, and in the second sector of administered prices, there is a single firm. In addition, the model has positive trend inflation in the steady state. The model results suggest that price movements in any sector will impact on both sectors, for two reasons. Firstly, the price dispersion causes productivity to be lower. As the dispersion of prices is a change in the relative price of any sector, relative to general prices in the economy, when a movement in the price of a sector is not followed by another, their relative weights will change, leading to an impact on productivity in both sectors. Second, the path followed by the administered price sector is considered in future inflation expectations, which is used by companies in the free sector to adjust its optimal price. When this path leads to an expectation of higher inflation, the free sector companies will choose a higher mark-up to accommodate this expectation, thus leading to higher inflation trend when there is imperfect competition in the free sector. Finally, the analysis of optimal policies proved inconclusive, certainly indicating that there is influence of the adjustment model of administered prices in the definition of optimal monetary policy, but a quantitative study is needed to define the degree of impact.

The impact of corruption on the performance of state-owned companies: case of Petrobras Brasil

As empresas estatais são freqüentemente consideradas como componentes cruciais da economia de um país. Eles são responsáveis pela criação de vários postos de trabalho e proveem serviços essenciais que exigem um grande investimento de capital. Porém, em países com instituições fracas, onde a responsabilidade dos políticos é limitada e a gestão dos recursos financeiros das empresas estatais sofre pouco controle, os funcionários são muitas vezes tentados pela corrupção. Enormes quantidades de fundos públicos são facilmente desviados, e dinheiro que deveria ter sido investido nas despesas de capital, no pagamento de dívida da empresa ou no aumento do retorno para os acionistas, é usado para aumentar a riqueza privada de indivíduos ou para financiar ilegalmente partidos políticos. O desempenho da empresa sofre com essas alienações visto que parte dos lucros da empresa não são reinvestidos na empresa e dado que incentivos dos gestores estão desalinhados com os interesses dos acionistas. Petrobras, a maior empresa da América Latina em termos de ativos e receitas anuais, sofreu em 2014 e 2015 um escândalo de corrupção imenso, cujo impacto económico foi considerável, levando ao enfraquecimento da confiança de muitos investidores no Brasil após o evento. O escândalo expôs um extenso esquema de corrupção através do qual os contratantes foram conspirando para aumentar os preços de contratos de construção, com a aprovação da administração da Petrobras que pediu em troca ganhos pessoais ou fundos para o Partido dos Trabalhadores (PT). A exposição do escândalo na imprensa brasileira teve um grande impacto sobre a credibilidade da Petrobras: as contas da empresa estavam escondendo imensas irregularidades dado que a empresa tinha pago demais para os contratos de construção que não foram precificados no valor do mercado. Ao longo deste estudo, usamos o exemplo da Petrobras para ilustrar como a corrupção dentro empresas estatais prejudica o desempenho da empresa e como ela afeta as várias partes interessadas da empresa.

Characterization of small-scale fisheries in the Camamu-Almada basin, southeast state of Bahia, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Iowa State Daily (March 6, 2012)

Contents'Juggling Act'Market determines Iowa State's payrollCandidates vie for 437 delegates on Super TuesdayBe smart about sun on Spring Break 2012Obama doesn't control prices at gas pumpsCyclones turn focus toward Kansas City

Iowa State Daily (January 12, 2012)

ContentLand prices at all-time highDirector eases into Leopold CenterNH primary sets stage for Mitt Romney in SCIowa legislature aims to create jobs, focus on educationPoison Control's 'lost' album dropsNo. 9 Tigers knock off CyclonesReadjust Reagan-sized expectations

An empirical examination of relative profitability in the nursing facility industry between ownership form and regionality in the state of Texas

The purpose of this research is to examine the relative profitability of the firm within the nursing facility industry in Texas. An examination is made of the variables expected to affect profitability and of importance to the design and implementation of regulatory policy. To facilitate this inquiry, specific questions addressed are: (1) Do differences in ownership form affect profitability (defined as operating income before fixed costs)? (2) What impact does regional location have on profitability? (3) Do patient case-mix and access to care by Medicaid patients differ between proprietary and non-profit firms and facilities located in urban versus rural regions, and what association exists between these variables and profitability? (4) Are economies of scale present in the nursing home industry? (5) Do nursing facilities operate in a competitive output market characterized by the inability of a single firm to exhibit influence over market price?^ Prior studies have principally employed a cost function to assess efficiency differences between classifications of nursing facilities. The inherent weakness in this approach is that it only considers technical efficiency. Not both technical and price efficiency which are the two components of overall economic efficiency. One firm is more technically efficient compared to another if it is able to produce a given quantity of output at the least possible costs. Price efficiency means that scarce resources are being directed towards their most valued use. Assuming similar prices in both input and output markets, differences in overall economic efficiency between firm classes are assessed through profitability, hence a profit function.^ Using the framework of the profit function, data from 1990 Medicaid Costs Reports for Texas, and the analytic technique of Ordinary Least Squares Regression, the findings of the study indicated (1) similar profitability between nursing facilities organized as for-profit versus non-profit and located in urban versus rural regions, (2) an inverse association between both payor-mix and patient case-mix with profitability, (3) strong evidence for the presence of scale economies, and (4) existence of a competitive market structure. The paper concludes with implications regarding reimbursement methodology and construction moratorium policies in Texas. ^

The Impact of Property Condition Disclosure Laws on Housing Prices: Evidence from an Event Study using Propensity Scores

We examine the impact of seller's Property Condition Disclosure Law on the residential real estate values. A disclosure law may address the information asymmetry in housing transactions shifting of risk from buyers and brokers to the sellers and raising housing prices as a result. We combine propensity score techniques from the treatment effects literature with a traditional event study approach. We assemble a unique set of economic and institutional attributes for a quarterly panel of 291 US Metropolitan Statistical Areas (MSAs) and 50 US States spanning 21 years from 1984 to 2004 is used to exploit the MSA level variation in house prices. The study finds that the average seller may be able to fetch a higher price (about three to four percent) for the house if she furnishes a state-mandated seller.s property condition disclosure statement to the buyer. When we compare the results from parametric and semi-parametric event analyses, we find that the semi-parametric or the propensity score analysis generals moderately larger estimated effects of the law on housing prices.

The wine hedonic price models in the "Old and New World": : state of the art

The basic hedonic hypothesis is that goods are valued for their utility-bearing characteristics and not for the good itself. Each attribute can be evaluated by consumers when making a purchasing decision and an implicit price can be identified for each of them. Thus, the observed price of a certain good can be analyzed as the sum of the implicit prices paid for each quality attribute. Literature has reported hedonic models estimates in the case of wines, which are excellent examples of differentiated goods worldwide.The impact of different wine attributes (intrinsic or extrinsic) on consumers’ willingness to pay has been analyzed with dissimilar results. Wines coming from "New World" producers seem to be appreciated for different attributes than wines produced in the "Old World". Moreover, "Old and New World" consumers seem to value differently the wine’s characteristics. To our knowledge, no cross country analysis has been done dealing with "New World" wines in "Old World" countries, leaving an important gap in understanding underlying attributes influencing buying decisions.