International Transmission of the Business Cycle in a Multi-Sector Model.

Multi-country models have not been very successful in replicating important features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and too high. In this paper, we build a multi-country model of the business cycle with multiple sectors in order to analyze the role of sectoral shocks in the international transmission of the business cycle. We find that a model with multiple sectors generates a higher cross-country correlation of output than standard one-sector models, and a lower cross-country correlation of consumption. In addition, it predicts cross-country correlations of employment and investment that are closer to the data than the standard model. We also analyze the relative effects of multiple sectors, trade in intermediate goods, imperfect substitution between domestic and foreign goods, home preference, capital adjustment costs, and capital depreciation on the international transmission of the business cycle.

Habit Formation and the Persistence of Monetary Shocks

This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. This paper constructs and estimates a general equilibrium model with price rigidities, habit formation, and costly capital adjustment. The model is estimated via Maximum Likelihood using US data on output, the real money stock, and the nominal interest rate. Econometric results suggest that habit formation and adjustment costs to capital play an important role in explaining the output effects of monetary policy. In particular, impulse response analysis indicates that the model generates persistent, hump-shaped output responses to monetary shocks.

Essais sur les frictions financières dans les modèles d'équilibre général dynamique

Cette thèse examine les effets des imperfections des marchés financiers sur la macroéconomie. Plus particulièrement, elle se penche sur les conséquences de la faillite dans les contrats financiers dans une perspective d'équilibre général dynamique. Le premier papier construit un modèle qui utilise l'avantage comparatif des banques dans la gestion des situations de détresse financière pour expliquer le choix des firmes entre les prêts bancaires et les prêts du marché financier. Le modèle réussit à expliquer pourquoi les firmes plus petites préfèrent le financement bancaire et pourquoi les prêts bancaires sont plus répandus en Europe. Le premier fait est expliqué par le lien négatif entre la valeur nette de l'entreprise et la probabilité de faire faillite. Le deuxième fait s'explique par le coût fixe d'émission de bons plus élevé en Europe. Le deuxième papier examine l'interaction entre les contraintes de financement affectant les ménages et les firmes. Une interaction positive pourrait amplifier et augmenter la persistance de l'effet d'un choc agrégé sur l'économie. Je construis un nouveau modèle qui contient des primes de financement externes pour les firmes et les ménages. Dans le modèle de base avec prix et salaires flexibles, j'obtiens une faible interaction négative entre les coûts de financement des firmes et des ménages. Le facteur clé qui explique ce résultat est l'effet du changement contre cyclique du coût de financement des ménages sur leur offre de travail et leur demande de prêts. Dans une période d'expansion, cet effet augmente les taux d'intérêt, réduit l'investissement et augmente le coût de financement des entreprises. Le troisième papier ajoute les contraintes de financement des banques dans un modèle macroéconomiques avec des prêts hypothécaires et des fluctuations dans les prix de l'immobilier. Les banques dans le modèle ne peuvent pas complètement diversifier leurs prêts, ce qui génère un lien entre les risques de faillite des ménages et des banques. Il y a deux effets contraires des cycles économiques qui affectent la prime de financement externe de la banque. Premièrement, il y a un lien positif entre le risque de faillite des banques et des emprunteurs qui contribue à rendre le coût de financement externe des banques contre cyclique. Deuxiément, le lissage de la consommation par les ménages rend la proportion de financement externe des banques pro cyclique, ce qui tend à rendre le coût de financement bancaire pro cyclique. En combinant ces deux effets, le modèle peut reproduire des profits bancaires et des ratios d'endettement bancaires pro cycliques comme dans les données, mais pour des chocs non-financiers les frictions de financement bancaire dans le modèle n'ont pas un effet quantitativement significatif sur les principales variables agrégées comme la consommation ou l'investissement.

Tests pour la dépendance entre les sections dans un modèle de Poisson

Les simulations et figures ont été réalisées avec le logiciel R.

Stochastic Inventory with/without Service Time, Reneging and Retrial of Customers

This thesis Entitled Stochastic modelling and analysis.This thesis is divided into six chapters including this introductory chapter. In second chapter, we consider an (s,S) inventory model with service, reneging of customers and finite shortage of items.In the third chapter, we consider an (s,S) inventoiy system with retrial of customers. Arrival of customers forms a Poisson process with rate. When the inventory level depletes to s due to demands, an order for replenishment is placed.In Chapter 4, we analyze and compare three (s,S) inventory systems with positive service time and retrial of customers. In all these systems, arrivals of customers form a Poisson process and service times are exponentially distributed. In chapter 5, we analyze and compare three production inventory systems with positive service time and retrial of customers. In all these systems, arrivals of customers form a Poisson process and service times are exponentially distributed.In chapter 6, we consider a PH /PH /l inventory model with reneging of customers and finite shortage of items.

Diluted three-dimensional random field Ising model at zero temperature with metastable dynamics.

The influence of vacancy concentration on the behavior of the three-dimensional random field Ising model with metastable dynamics is studied. We have focused our analysis on the number of spanning avalanches which allows us a clear determination of the critical line where the hysteresis loops change from continuous to discontinuous. By a detailed finite-size scaling analysis we determine the phase diagram and numerically estimate the critical exponents along the whole critical line. Finally, we discuss the origin of the curvature of the critical line at high vacancy concentration.

Generic Finite Element Model for Mechanically Consistent Scaling of Composite Beam-to-column Joint with Welded Connection

To study the behaviour of beam-to-column composite connection more sophisticated finite element models is required, since component model has some severe limitations. In this research a generic finite element model for composite beam-to-column joint with welded connections is developed using current state of the art local modelling. Applying mechanically consistent scaling method, it can provide the constitutive relationship for a plane rectangular macro element with beam-type boundaries. Then, this defined macro element, which preserves local behaviour and allows for the transfer of five independent states between local and global models, can be implemented in high-accuracy frame analysis with the possibility of limit state checks. In order that macro element for scaling method can be used in practical manner, a generic geometry program as a new idea proposed in this study is also developed for this finite element model. With generic programming a set of global geometric variables can be input to generate a specific instance of the connection without much effort. The proposed finite element model generated by this generic programming is validated against testing results from University of Kaiserslautern. Finally, two illustrative examples for applying this macro element approach are presented. In the first example how to obtain the constitutive relationships of macro element is demonstrated. With certain assumptions for typical composite frame the constitutive relationships can be represented by bilinear laws for the macro bending and shear states that are then coupled by a two-dimensional surface law with yield and failure surfaces. In second example a scaling concept that combines sophisticated local models with a frame analysis using a macro element approach is presented as a practical application of this numerical model.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

A novel repair model for imperfect maintenance

The basic repair rate models for repairable systems may be homogeneous Poisson processes, renewal processes or nonhomogeneous Poisson processes. In addition to these models, geometric processes are studied occasionally. Geometric processes, however, can only model systems with monotonously changing (increasing, decreasing or constant) failure intensity. This paper deals with the reliability modelling of the failure process of repairable systems when the failure intensity shows a bathtub type non-monotonic behaviour. A new stochastic process, an extended Poisson process, is introduced. Reliability indices and parameter estimation are presented. A comparison of this model with other repair models based on a dataset is made.

Climatic impacts of fresh water hosing under Last Glacial Maximum conditions: a multi-model study

Fresh water hosing simulations, in which a fresh water flux is imposed in the North Atlantic to force fluctuations of the Atlantic Meridional Overturning Circulation, have been routinely performed, first to study the climatic signature of different states of this circulation, then, under present or future conditions, to investigate the potential impact of a partial melting of the Greenland ice sheet. The most compelling examples of climatic changes potentially related to AMOC abrupt variations, however, are found in high resolution palaeo-records from around the globe for the last glacial period. To study those more specifically, more and more fresh water hosing experiments have been performed under glacial conditions in the recent years. Here we compare an ensemble constituted by 11 such simulations run with 6 different climate models. All simulations follow a slightly different design, but are sufficiently close in their design to be compared. They all study the impact of a fresh water hosing imposed in the extra-tropical North Atlantic. Common features in the model responses to hosing are the cooling over the North Atlantic, extending along the sub-tropical gyre in the tropical North Atlantic, the southward shift of the Atlantic ITCZ and the weakening of the African and Indian monsoons. On the other hand, the expression of the bipolar see-saw, i.e., warming in the Southern Hemisphere, differs from model to model, with some restricting it to the South Atlantic and specific regions of the southern ocean while others simulate a widespread southern ocean warming. The relationships between the features common to most models, i.e., climate changes over the north and tropical Atlantic, African and Asian monsoon regions, are further quantified. These suggest a tight correlation between the temperature and precipitation changes over the extra-tropical North Atlantic, but different pathways for the teleconnections between the AMOC/North Atlantic region and the African and Indian monsoon regions.

Calibration of structure in a distributed forecasting model for a semiarid flash flood: dynamic surface storage and channel roughness

Flash floods pose a significant danger for life and property. Unfortunately, in arid and semiarid environment the runoff generation shows a complex non-linear behavior with a strong spatial and temporal non-uniformity. As a result, the predictions made by physically-based simulations in semiarid areas are subject to great uncertainty, and a failure in the predictive behavior of existing models is common. Thus better descriptions of physical processes at the watershed scale need to be incorporated into the hydrological model structures. For example, terrain relief has been systematically considered static in flood modelling at the watershed scale. Here, we show that the integrated effect of small distributed relief variations originated through concurrent hydrological processes within a storm event was significant on the watershed scale hydrograph. We model these observations by introducing dynamic formulations of two relief-related parameters at diverse scales: maximum depression storage, and roughness coefficient in channels. In the final (a posteriori) model structure these parameters are allowed to be both time-constant or time-varying. The case under study is a convective storm in a semiarid Mediterranean watershed with ephemeral channels and high agricultural pressures (the Rambla del Albujón watershed; 556 km 2 ), which showed a complex multi-peak response. First, to obtain quasi-sensible simulations in the (a priori) model with time-constant relief-related parameters, a spatially distributed parameterization was strictly required. Second, a generalized likelihood uncertainty estimation (GLUE) inference applied to the improved model structure, and conditioned to observed nested hydrographs, showed that accounting for dynamic relief-related parameters led to improved simulations. The discussion is finally broadened by considering the use of the calibrated model both to analyze the sensitivity of the watershed to storm motion and to attempt the flood forecasting of a stratiform event with highly different behavior.

Aerosol microphysics simulations of the Mt.~Pinatubo eruption with the UM-UKCA composition-climate model

We use a stratosphere–troposphere composition–climate model with interactive sulfur chemistry and aerosol microphysics, to investigate the effect of the 1991 Mount Pinatubo eruption on stratospheric aerosol properties. Satellite measurements indicate that shortly after the eruption, between 14 and 23 Tg of SO2 (7 to 11.5 Tg of sulfur) was present in the tropical stratosphere. Best estimates of the peak global stratospheric aerosol burden are in the range 19 to 26 Tg, or 3.7 to 6.7 Tg of sulfur assuming a composition of between 59 and 77 % H2SO4. In light of this large uncertainty range, we performed two main simulations with 10 and 20 Tg of SO2 injected into the tropical lower stratosphere. Simulated stratospheric aerosol properties through the 1991 to 1995 period are compared against a range of available satellite and in situ measurements. Stratospheric aerosol optical depth (sAOD) and effective radius from both simulations show good qualitative agreement with the observations, with the timing of peak sAOD and decay timescale matching well with the observations in the tropics and mid-latitudes. However, injecting 20 Tg gives a factor of 2 too high stratospheric aerosol mass burden compared to the satellite data, with consequent strong high biases in simulated sAOD and surface area density, with the 10 Tg injection in much better agreement. Our model cannot explain the large fraction of the injected sulfur that the satellite-derived SO2 and aerosol burdens indicate was removed within the first few months after the eruption. We suggest that either there is an additional alternative loss pathway for the SO2 not included in our model (e.g. via accommodation into ash or ice in the volcanic cloud) or that a larger proportion of the injected sulfur was removed via cross-tropopause transport than in our simulations. We also critically evaluate the simulated evolution of the particle size distribution, comparing in detail to balloon-borne optical particle counter (OPC) measurements from Laramie, Wyoming, USA (41° N). Overall, the model captures remarkably well the complex variations in particle concentration profiles across the different OPC size channels. However, for the 19 to 27 km injection height-range used here, both runs have a modest high bias in the lowermost stratosphere for the finest particles (radii less than 250 nm), and the decay timescale is longer in the model for these particles, with a much later return to background conditions. Also, whereas the 10 Tg run compared best to the satellite measurements, a significant low bias is apparent in the coarser size channels in the volcanically perturbed lower stratosphere. Overall, our results suggest that, with appropriate calibration, aerosol microphysics models are capable of capturing the observed variation in particle size distribution in the stratosphere across both volcanically perturbed and quiescent conditions. Furthermore, additional sensitivity simulations suggest that predictions with the models are robust to uncertainties in sub-grid particle formation and nucleation rates in the stratosphere.

Speculative attacks on debts and optimum currency area: a welfare analysis

Traditionally the issue of an optimum currency area is based on the theoretical underpinnings developed in the 1960s by McKinnon [13], Kenen [12] and mainly Mundell [14], who is concerned with the benefits of lowering transaction costs vis-à- vis adjustments to asymmetrical shocks. Recently, this theme has been reappraised with new aspects included in the analysis, such as: incomplete markets, credibility of monetary policy and seigniorage, among others. For instance, Neumeyer [15] develops a general equilibrium model with incomplete asset markets and shows that a monetary union is desirable when the welfare gains of eliminating the exchange rate volatility are greater than the cost of reducing the number of currencies to hedge against risks. In this paper, we also resort to a general equilibrium model to evaluate financial aspects of an optimum currency area. Our focus is to appraise the welfare of a country heavily dependent on foreign capital that may suffer a speculative attack on its public debt. The welfare analysis uses as reference the self-fulfilling debt crisis model of Cole and Kehoe ([6], [7] and [8]), which is employed here to represent dollarization. Under this regime, the national government has no control over its monetary policy, the total public debt is denominated in dollars and it is in the hands of international bankers. To describe a country that is a member of a currency union, we modify the original Cole-Kehoe model by including public debt denominated in common currency, only purchased by national consumers. According to this rule, the member countries regain some influence over the monetary policy decision, which is, however, dependent on majority voting. We show that for specific levels of dollar debt, to create inflation tax on common-currency debt in order to avoid an external default is more desirable than to suspend its payment, which is the only choice available for a dollarized economy when foreign creditors decide not to renew their loans.

Simple calvo economies with heterogeneous pricing

A motivação para este trabalho vem dos principais resultados de Carvalho e Schwartzman (2008), onde a heterogeneidade surge a partir de diferentes regras de ajuste de preço entre os setores. Os momentos setoriais da duração da rigidez nominal são su cientes para explicar certos efeitos monetários. Uma vez que concordamos que a heterogeneidade é relevante para o estudo da rigidez de preços, como poderíamos escrever um modelo com o menor número possível de setores, embora com um mínimo de heterogeneidade su ciente para produzir qualquer impacto monetário desejado, ou ainda, qualquer três momentos da duração? Para responder a esta questão, este artigo se restringe a estudar modelos com hazard-constante e considera que o efeito acumulado e a dinâmica de curto-prazo da política monetária são boas formas de se resumir grandes economias heterogêneas. Mostramos que dois setores são su cientes para resumir os efeitos acumulados de choques monetários, e economias com 3 setores são boas aproximações para a dinâmica destes efeitos. Exercícios numéricos para a dinâmica de curto prazo de uma economia com rigidez de informação mostram que aproximar 500 setores usando apenas 3 produz erros inferiores a 3%. Ou seja, se um choque monetário reduz o produto em 5%, a economia aproximada produzirá um impacto entre 4,85% e 5,15%. O mesmo vale para a dinâmica produzida por choques de nível de moeda em uma economia com rigidez de preços. Para choques na taxa de crescimento da moeda, a erro máximo por conta da aproximação é de 2,4%.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a lack of parsimony, as well as the traditional ones. We suggest a new procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties. In order to compute the fit of each model, we propose an iterative procedure to compute the maximum likelihood estimates of parameters of a VAR model with short-run and long-run restrictions. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank, relative to the commonly used procedure of selecting the lag-length only and then testing for cointegration.