Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.

Search for new phenomena in final states with an energetic jet and large missing transverse momentum in pp collisions at s√=8 TeV with the ATLAS detector

Results of a search for new phenomena in final states with an energetic jet and large missing transverse momentum are reported. The search uses 20.3 fb−1 of s√=8 TeV data collected in 2012 with the ATLAS detector at the LHC. Events are required to have at least one jet with pT>120 GeV and no leptons. Nine signal regions are considered with increasing missing transverse momentum requirements between EmissT>150 GeV and EmissT>700 GeV. Good agreement is observed between the number of events in data and Standard Model expectations. The results are translated into exclusion limits on models with large extra spatial dimensions, pair production of weakly interacting dark matter candidates, and production of very light gravitinos in a gauge-mediated supersymmetric model. In addition, limits on the production of an invisibly decaying Higgs-like boson leading to similar topologies in the final state are presented.

Searches for heavy long-lived charged particles with the ATLAS detector in proton--proton collisions at s√ = 8 TeV

Searches for heavy long-lived charged particles are performed using a data sample of 19.8 fb−1 from proton--proton collisions at a centre-of-mass energy of s√ = 8 TeV collected by the ATLAS detector at the Large Hadron Collider. No excess is observed above the estimated background and limits are placed on the mass of long-lived particles in various supersymmetric models. Long-lived tau sleptons in models with gauge-mediated symmetry breaking are excluded up to masses between 440 and 385 GeV for tan(beta) between 10 and 50, with a 290 GeV limit in the case where only direct tau slepton production is considered. In the context of simplified LeptoSUSY models, where sleptons are stable and have a mass of 300 GeV, squark and gluino masses are excluded up to a mass of 1500 and 1360 GeV, respectively. Directly produced charginos, in simplified models where they are nearly degenerate to the lightest neutralino, are excluded up to a mass of 620 GeV. R-hadrons, composites containing a gluino, bottom squark or top squark, are excluded up to a mass of 1270, 845 and 900 GeV, respectively, using the full detector; and up to a mass of 1260, 835 and 870 GeV using an approach disregarding information from the muon spectrometer.

Modelling tyre-road noise with data mining techniques

The research aimed to establish tyre-road noise models by using a Data Mining approach that allowed to build a predictive model and assess the importance of the tested input variables. The data modelling took into account three learning algorithms and three metrics to define the best predictive model. The variables tested included basic properties of pavement surfaces, macrotexture, megatexture, and uneven- ness and, for the first time, damping. Also, the importance of those variables was measured by using a sensitivity analysis procedure. Two types of models were set: one with basic variables and another with complex variables, such as megatexture and damping, all as a function of vehicles speed. More detailed models were additionally set by the speed level. As a result, several models with very good tyre-road noise predictive capacity were achieved. The most relevant variables were Speed, Temperature, Aggregate size, Mean Profile Depth, and Damping, which had the highest importance, even though influenced by speed. Megatexture and IRI had the lowest importance. The applicability of the models developed in this work is relevant for trucks tyre-noise prediction, represented by the AVON V4 test tyre, at the early stage of road pavements use. Therefore, the obtained models are highly useful for the design of pavements and for noise prediction by road authorities and contractors.

Study of the spin and parity of the Higgs boson in diboson decays with the ATLAS detector

Studies of the spin, parity and tensor couplings of the Higgs boson in the H→ZZ∗→4ℓ , H→WW∗→eνμν and H→γγ decay processes at the LHC are presented. The investigations are based on 25 fb−1 of pp collision data collected by the ATLAS experiment at s√=7 TeV and s√=8 TeV. The Standard Model (SM) Higgs boson hypothesis, corresponding to the quantum numbers JP=0+, is tested against several alternative spin scenarios, including non-SM spin-0 and spin-2 models with universal and non-universal couplings to fermions and vector bosons. All tested alternative models are excluded in favour of the SM Higgs boson hypothesis at more than 99.9% confidence level. Using the H→ZZ∗→4ℓ and H→WW∗→eνμν decays, the tensor structure of the HVV interaction in the spin-0 hypothesis is also investigated. The observed distributions of variables sensitive to the non-SM tensor couplings are compatible with the SM predictions and constraints on the non-SM couplings are derived.

Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Growth, habit formation, and catching-up\ with the Joneses

When habits are introduced multiplicatively in a capital accumulation model, the consumers' objective function might fail to be concave. In this paper we provide conditions aimed at guaranteeing the existence of interior solutions to the consumers' problem. We also characterize the equilibrium path of two growth models with multiplicative habits: the internal habit formation model, where individual habits coincide with own past consumption, and the external habit formation (or catching-up with the Joneses) model, where habits arise from the average past consumption in the economy. We show that the introduction of external habits makes the equilibrium path inefficient during the transition towards the balanced growth path. We characterize in this context the optimal tax policy.

Normal forms for rational difference equations with applications to the global periodicity problem

We propose a classification and derive the associated normal forms for rational difference equations with complex coefficients. As an application, we study the global periodicity problem for second order rational difference equations with complex coefficients. We find new necessary conditions as well as some new examples of globally periodic equations.

Economic development and changes in car ownership patterns

The contributions of this paper are twofold: On the one hand, the paper analyses the factors determining the growth in car ownership in Spain over the last two decades, and, on the other, the paper provides empirical evidence for a controversial methodological issue. From a methodological point of view, the paper compares the two alternative decision mechanisms used for modelling car ownership: ordered-response versus unordered-response mechanisms. A discrete choice model is estimated at three points in time: 1980, 1990 and 2000. The study concludes that on the basis of forecasting performance, the multinomial logit model and the ordered probit model are almost undistinguishable. As for the empirical results, it can be emphasised that income elasticity is not constant and declines as car ownership increases. Besides, households living in rural areas are less sensitive than those living in urban areas. Car ownership is also sensitive to the quality of public transport for those living in the largest cities. The results also confirmed the existence of a generation effect, which will vanish around the year 2020, a weak life-cycle effect, and a positive effect of employment on the number of cars per household. Finally, the change in the estimated coefficients over time reflects an increase in mobility needs and, consequently, an increase in car ownership.

Choice of Contracts in the British National Health Service: An Empirical Study

Following major reforms of the British National Health Service (NHS) in 1990, the roles of purchasing and providing health services were separated, with the relationship between purchasers and providers governed by contracts. Using a mixed multinomial logit analysis, we show how this policy shift led to a selection of contracts that is consistent with the predictions of a simple model, based on contract theory, in which the characteristics of the health services being purchased and of the contracting parties influence the choice of contract form. The paper thus provides evidence in support of the practical relevance of theory in understanding health care market reform.

Bargaining one-dimensional policies and the efficiency of super majority rules

We consider negotiations selecting one-dimensional policies. Individuals have single-peaked preferences, and they are impatient. Decisions arise from a bargaining game with random proposers and (super) majority approval, ranging from the simple majority up to unanimity. The existence and uniqueness of stationary subgame perfect equilibrium is established, and its explicit characterization provided. We supply an explicit formula to determine the unique alternative that prevails, as impatience vanishes, for each majority. As an application, we examine the efficiency of majority rules. For symmetric distributions of peaks unanimity is the unanimously preferred majority rule. For asymmetric populations rules maximizing social surplus are characterized.

Marriage as a Rat Race: Noisy Pre-Marital Investments with Assortative Matching

We study the incentive to invest to improve marriage prospects, in a frictionless marriage market with non-transferable utility. Stochastic returns to investment eliminate the multiplicity of equilibria in models with deterministic returns, and a unique equilibrium exists under reasonable conditions. Equilibrium investment is efficient when the sexes are symmetric. However, when there is any asymmetry, including an unbalanced sex ratio, investments are generically excessive. For example, if there is an excess of boys, then there is parental over-investment in boys and under-investment in girls, and total investment will be excessive.

Expectations Traps and Coordination Failures with Discretionary Policymaking

Discretionary policymakers cannot manage private-sector expectations and cannot coordinate the actions of future policymakers. As a consequence, expectations traps and coordination failures can occur and multiple equilibria can arise. To utilize the explanatory power of models with multiple equilibria it is first necessary to understand how an economy arrives to a particular equilibrium. In this paper we employ notions of learnability and self-enforceability to motivate and identify equilibria of particular interest. Central among these criteria are whether the equilibrium is learnable by private agents and jointly learnable by private agents and the policymaker. We use two New Keynesian policy models to identify the strategic interactions that give rise to multiple equilibria and to illustrate our methods for identifying equilibria of interest. Importantly, unless the Pareto-preferred equilibrium is learnable by private agents, we find little reason to expect coordination on that equilibrium.

A New Index of Financial Conditions

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of financial variables.

Characterizing Behavioral Decisions with Choice Datas

A number of different models with behavioral economics have a reduced form representation where potentially boundedly rational decision-makers do not necessarily internalize all the consequences of their actions on payoff relevant features (which we label as psychological states) of the choice environment. This paper studies the restrictions that such behavioral models impose on choice data and the implications they have for welfare analysis. First, we propose a welfare benchmark that is justified using standard axioms of rational choice and can be applied to a number of existing seminal behavioral economics models. Second, we show that Sen's axioms and fully characterize choice data consistent with behavioral decision-makers. Third, we show how choice data to infer information about the normative signi.cance of psychological states and establish the possibility of identifying welfare dominated choices.