Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

VIOLA MUSIC FROM THE AMERICAS: MUSIC FROM CANADA, UNITED STATES, CUBA, VENEZUELA, MEXICO, AND BRAZIL

The enthusiasm towards writing music for the viola that flourished in the early 1900’s thanks to the efforts of a number of twentieth-century violists and composers rapidly spilled over to North and South America. Viola works by American and Canadian composers have already become cornerstones of the viola repertoire worldwide. On the other hand, compositions from other parts of the American continent remain lesser known outside of their country of origin. This is due in part to the less developed publishing and recording industry in these countries which makes it difficult for performers and programmers from other countries to buy or rent performing materials. As a violist born and trained in Venezuela, performing works by important Latin American composers to new audiences is deeply important to me. This dissertation was completed by performing selected works by Canadian, American, Cuban, Mexican, Brazilian, and Venezuelan composers. Composers from these countries have mixed their rich musical traditions with modern compositional techniques, creating original works that have greatly enriched the viola repertoire. This eclectic mixture of styles makes the music from Latin American composers not only very different from that of American and Canadian composers, but also very different from those of their neighboring countries. Through my three dissertation recitals, I intend to share this music with new audiences and inspire other violists to become familiar with this repertoire. The first recital includes compositions by American composers George Rochberg (1918-2015), Elliott Carter (1908-2012), and Alan Shulman (1915-2002) and Canadian composer Elizabeth Raum (b. 1945). The second recital includes works by Cuban composers Cesar Orozco (b. 1980), and Keyla Orozco (b. 1969), Venezuelan composers Aldemaro Romero (1928-2007) and Modesta Bor (1926-1998), and Venezuelan-Uruguayan composer Efrain Oscher (b. 1974). The third recital includes works by Mexican composers Carlos Chavez (1899-1978), José Pablo Moncayo (1912-1958) and Manuel M Ponce (1882-1948), and Brazilian composers Francisco Mignone (1897-1986) and Brenno Blauth (1931-1993). This music represents a bouquet of a distinctive mixture of styles from different parts of the American continent. Recordings of all three recitals can be accessed at the University of Maryland Hornabake Library.

Gouvernance, concertation et géomatique : considérations pour le déploiement du réseau d'aires protégées dans le sud du Québec

La biodiversité et les écosystèmes font parties d’un ensemble qui confère des biens et services essentiels à la survie et au bien-être des populations. L’action humaine et ses interactions avec l’environnement génèrent des pressions qui le poussent vers sa dégradation. Afin d’éviter la perte irrémédiable d’éléments de cet environnement, des aires protégées viennent réduire de manière importante l’impact de ces pressions sur le territoire qu’elles couvrent. Le réseau d’aires protégées du Québec conserve actuellement 9,32 % du territoire, et cherche à atteindre 12 % d’ici 2020. Basé sur le Cadre écologique de référence du Québec, il vise à représenter l’ensemble de la biodiversité de la province et à réduire les pressions exercées sur ses écosystèmes. À ce jour, la majorité des aires protégées sont développées dans le nord du Québec et en terres publiques. Or, le Sud est principalement composé de territoires privés, et recèle de la plus grande biodiversité de la province. Afin de corriger cette problématique, les outils de planification du réseau doivent être repensés pour rendre compte de l’urgence de protéger les territoires du Sud et recréer une connectivité dans le paysage fragmenté, tout en conservant les principes de représentativité et d’efficacité qui font leur force. Pour y parvenir, la mission et les paramètres de suivi du réseau doivent être également revus. Les acteurs locaux, dont les municipalités régionales de comtés et les municipalités, doivent être mis à profit pour considérer les enjeux propres aux terres privées du sud de la province. Ces derniers possèdent déjà plusieurs outils légaux et administratifs pour participer activement à la protection du territoire, qui sont cependant souvent mal connus ou mal compris. Un effort doit être fait pour agencer ces actions avec celles du gouvernement provincial de manière à agir dans une logique d’ensemble. De même, tous les intervenants gagneraient à disposer de meilleurs outils concernant la diffusion des données sur la connaissance du territoire, notamment d’une plateforme centralisée, de protocoles d’acquisition de données standardisés et d’une saine gestion du cycle de vie de ces données. L’application de la géomatique dans la planification et le suivi du réseau d’aires protégées, de même que dans l’aménagement général du territoire pour la conservation et pour la diffusion des données, présente des avantages qui devraient être intégrés plus largement au Québec, notamment par les acteurs locaux du sud de la province.

Preliminary assessment of the artisanal fishery sector around Lac Maï-Ndombe in the Lac Tele-Lac Tumba (LTL) CARPE Landscape

The WorldFish Center was contracted by the World Wide Fund for Nature (WWF) to lead a preliminary assessment of the Lac Maï-Ndombe fishery, one of three water bodies for which such an assessment will be completed in the Lac Tele-Lac Tumba Landscape of the CARPE program. Between Aug.29-Sept.5, 2007, a joint WorldFish Center-WWF team traveled to Lac Maï-Ndombe in Bandundu Province, and conducted an analysis of the conditions surrounding the fishery and fisherfolk livelihoods in a total of 19 villages and camps. Included in this assessment were preliminary analyses of market-chain networks and stakeholders’ receptivity to NGO capacity-building to improve commercialization of fish catches and/or to introduce local fisheries management regimes. While perceptions of declining fish stocks prevail, the absence of changes in reported fish sizes bring into doubt any urgent need for fishery management interventions. However, lacking scientific fish population structure data the team would not recommend any NGO interventions to increase fishing effort. Lac Maï-Ndombe fisherfolk have highly diversified levels of dependence on fishing, and while there is evidence that some stakeholder groups are flourishing, the majority of the fishery appears to be characterized by a livelihood insecurity and a lack of capital. This limits fishers’ abilities to negotiate with transporters and with Kinshasa-based market brokers, and in combination with a heavy burden of rent-seeking behavior by civil servants, this condition forces over half of the fishers to sell their fish and buy all manufactured products through local intermediaries at disadvantageous prices.

Le cognitive enhancement en milieu universitaire : entre souffrance psychique individuelle, culture de performance et insécurités sociales

Ce projet de mémoire s’intéresse à la mise en relation du cognitive enhancement observé dans les universités occidentales contemporaines et de la société dans laquelle il s’insère. Nous avons voulu détacher la perspective du phénomène des analyses principalement orientées vers les programmes de sciences de la santé et de droit, ainsi que de l’approche quantitative, clinique, athéorique et somme toute moralisatrice qui lui est usuellement accordée afin d’explorer la nature des pratiques d’usages de psychotropes des étudiants universitaires en sciences humaines et sociales en vue d’augmenter leurs performances cognitives, d’approfondir la compréhension des raisonnements sous-jacents à ces pratiques, puis de resituer ces derniers dans leur contexte élargi. Nous avons interrogé treize étudiants de divers programmes de sciences humaines et sociales consommant, ou ayant déjà consommé, des psychotropes en vue de rehausser leurs performances cognitives en contexte académique. Les résultats suggèrent un écart dans la nature de leurs pratiques d’usage par rapport aux domaines d’études habituellement préconisés en ce sens qu’une grande variété de substances sont considérées comme supports cognitifs ; ensuite, que le recours aux psychotropes dans une visée de performance cognitive s’éloigne des logiques de la nécessité médicale et de la toxicomanie. En premier lieu, le cognitive enhancement est associé par plusieurs à une souffrance psychique liée à une perte de repères existentiels et les étudiants y ont recours dans une optique de compréhension de soi et de quête de repères dans un monde qu’ils ressentent comme instable. En second lieu, la consommation de psychotropes s’apparente davantage à un désir de satisfaire aux conditions incertaines et menaçantes des demandes externes de performance telles qu’ils les appréhendent qu’à un souci de soigner quelque condition médicale de la cognition. Nous pensons que le rapport au psychotrope qu’entretiennent les étudiants universitaires en sciences humaines et sociales s’insère en toute cohérence dans les discours et injonctions contemporaines de performance, en ce sens que leur souffrance psychique individuelle expose les limites de ce que la société attend d’eux.

Al-based anodic oxide films structure observation using field emission gun scanning electron microscopy

In the present work, the anodic oxide films of Al, Al-Cu 4.5% and Al-Si 6.5% alloys are formed using direct and pulse current. In the case of Al-Cu and Al-Si alloys, the electrolyte used contains sulfuric acid and oxalic acid, meanwhile for Al the electrolyte contains sulfuric acid only. Al-Cu alloy was submitted to a heat treatment in order to decrease the effect of inter metallic phase theta upon the anodic film structure. Fractured samples were observed using a field emission gun scanning electron microscope JSM-6330F at (LME)/Brazilian Synchrotron Light Laboratory (LNLS), Campinas, SP, Brazil. The oxide film images enable evaluation of the pore size and form with a resolution similar to the transmission electron microscope (TEM) resolution. It is also observed that the anodizing process using pulse current produces an irregular structure of pore walls, and by direct cur-rent it is produced a rectilinear pore wall. (c) 2005 Elsevier B.V. All rights reserved.

Fast-Track Authority and International Trade Negotiations

Fast Track Authority (FTA) is the institutional procedure in the Unites States whereby Congress grants to the President the power to negotiate international trade agreements. Under FTA, Congress can only approve or reject negotiated trade deals, with no possibility of amending them. In this paper, we examine the determinants of FTA voting decisions and the implications of this institutional procedure for trade negotiations. We describe a simple two-country trade model, in which industries are unevenly distributed across con- stituencies. In the foreign country, trade negotiating authority is delegated to the executive, while in the home country Congress can retain the power to amend trade agreements. We show that legislators’ FTA voting behavior depends on the trade policy interests of their own constituencies as well as those of the majority of Congress. Empirical analysis of the determinants of all FTA votes between 1974 (when fast track was first introduced) and 2002 (when it was last granted) provides strong support for the predictions of our model.

Democratic Peace and Electoral Accountability

One of the few stylized facts in international relations is that democracies, unlike autoc- racies, very rarely fight each other. We examine the sustainability of international peace between democracies and autocracies, where the crucial difference between these two po- litical regimes is whether or not policymakers are subject to periodic elections. We show that the fear of losing office can deter democratic leaders from engaging in military con- flicts. Crucially, this discipline effect can only be at work if incumbent leaders can be re-elected, implying that democracies in which the executives are subject to term limits should be more conflict prone. To assess the validity of our predictions, we construct a large dataset on countries with executive term limits. Our analysis of inter-state conflicts for the 1816-2001 period suggests that electoral incentives are indeed behind the democratic peace phenomenon: while democratic dyads are in general less likely to be involved in conflicts than any other dyads, this result does not hold for democracies in which the executive faces binding term limits; moreover, the dispute patterns of democracies with term limits depend on whether the executive is in the last or penultimate mandate.

Fueling growth when oil peaks: directed technological change and the limits to efficiency

While fossil energy dependency has declined and energy supply has grown in the postwar world economy, future resource scarcity could cast its shadow on world economic growth soon if energy markets are forward looking. We develop an endogenous growth model that reconciles the current aggregate trends in energy use and productivity growth with the intertemporal dynamics of forward looking resource markets. Combining scarcity-rent driven energy supply (in the spirit of Hotelling) with profit-driven Directed Technical Change (in the spirit of Romer/Acemoglu), we generate transitional dynamics that can be qualitatively calibrated to current trends. The long-run properties of the model are studied to examine whether current trends are sustainable. We highlight the role of extraction costs in mining.

Inequality, Poverty, Two Invariance Conditions, and a Product Rule

Full Text / Article complet

One Person, Many Votes: Divided Majority and Information Aggregation

In elections, majority divisions pave the way to focal manipulations and coordination failures, which can lead to the victory of the wrong candidate. This paper shows how this flaw can be addressed if voter preferences over candidates are sensitive to information. We consider two potential sources of divisions: majority voters may have similar preferences but opposite information about the candidates, or opposite preferences. We show that when information is the source of majority divisions, Approval Voting features a unique equilibrium with full information and coordination equivalence. That is, it produces the same outcome as if both information and coordination problems could be resolved. Other electoral systems, such as Plurality and Two-Round elections, do not satisfy this equivalence. The second source of division is opposite preferences. Whenever the fraction of voters with such preferences is not too large, Approval Voting still satisfies full information and coordination equivalence.

"Policy externalisation" inherent failure : international financial institutions' conditionality in developing countries

Conditionalities – i.e. ‘exchanging finance for policy reform’ in an asymmetrical relationship between the ‘donor’ and the ‘recipient’ – are central mechanisms of the reform programmes of international financial institutions (IFIs). As they are imposed by outside entities, they can also be viewed as ‘policy externalisation’, which is paradoxically a massive intrusion in the shaping of a country’s domestic policies. The resilience of such devices is remarkable, however. Indeed, in the early 1980s, many developing countries were facing balance of payments difficulties and called upon these international financial institutions for financial relief. In exchange for this relief, they devised economic reforms (fiscal, financial, monetary), which were the conditions for their lending. These reforms were not associated with better economic performance, and this led the IFIs to devise in the 1990s different reforms, which this time targeted the functioning of the government and its ‘governance’, economic problems being explained by governments’ characteristics (e.g., rent-seekers). The paper demonstrates the limitations of the device of conditionality, which is a crucial theoretical and policy issue given its stability across time and countries. These limitations stem from: i) the concept of conditionality per se - the mechanism of exchanging finance for reform; ii) the contents of the prescribed reforms given developing countries economic structure (typically commodity-based export structures) and the weakness of the concept of ‘governance’ in view of these countries’ political economies; and iii) the intrinsic linkages between economic and political conditionalities, whose limitations thus retroact on each other, in particular regarding effectiveness and credibility.

Travailleuses sociales diplômées à l’étranger : les enjeux du transfert de leurs connaissances au contexte de pratique montréalais

Les travailleurs sociaux font partie des professionnels de la santé et des services sociaux, de plus en plus nombreux, qui choisissent d’immigrer au Québec afin d’y vivre et d’y poursuivre leur carrière. La reconnaissance des diplômes obtenus à l’étranger et l’obtention d’un permis de pratique délivré par l’Ordre des travailleurs sociaux et des thérapeutes conjugaux et familiaux du Québec constituent un passage obligé afin d’exercer la profession en contexte québécois. Une fois ces étapes franchies, les travailleurs sociaux immigrants disposent de connaissances acquises dans leur pays d’origine pour intervenir dans un nouvel univers professionnel et culturel. Prenant la forme d’un mémoire par articles et prenant appui sur les données obtenues dans le cadre d’une recherche qualitative pancanadienne sur l’adaptation professionnelle des travailleurs sociaux issus de l’immigration (Pullen Sansfaçon, Brown et Graham, CRSH 2011-2012, CRSH 2012- 2015), ce mémoire explore les enjeux inhérents au transfert des connaissances, des expériences professionnelles et des valeurs acquises à l’étranger vers un contexte de pratique québécois. L’expérience vécue par 26travailleuses sociales immigrantes, diplômées à l’étranger et pratiquant actuellement dans la grande région montréalaise, a permis de rendre compte des aspects transférables ou moins transférables du travail social. Ainsi, la mission et les valeurs du travail social, les expériences professionnelles, les connaissances théoriques et les habiletés cliniques apparaissent comme des connaissances se transférant bien au-delà des frontières nationales. Par contre, le récit des participantes indique que les connaissances relatives aux lois, aux politiques sociales, aux procédures organisationnelles et à la langue se transfèrent plus difficilement, ce qui peut générer certaines lacunes dans un contexte de pratique différent de celui où la formation en travail social a été obtenue. Dans ce contexte, il ressort que la contribution des milieux de pratique et le soutien des collègues de travail sont des éléments centraux favorisant l’acquisition de connaissances locales.

Travailleuses sociales diplômées à l’étranger : les enjeux du transfert de leurs connaissances au contexte de pratique montréalais

Les travailleurs sociaux font partie des professionnels de la santé et des services sociaux, de plus en plus nombreux, qui choisissent d’immigrer au Québec afin d’y vivre et d’y poursuivre leur carrière. La reconnaissance des diplômes obtenus à l’étranger et l’obtention d’un permis de pratique délivré par l’Ordre des travailleurs sociaux et des thérapeutes conjugaux et familiaux du Québec constituent un passage obligé afin d’exercer la profession en contexte québécois. Une fois ces étapes franchies, les travailleurs sociaux immigrants disposent de connaissances acquises dans leur pays d’origine pour intervenir dans un nouvel univers professionnel et culturel. Prenant la forme d’un mémoire par articles et prenant appui sur les données obtenues dans le cadre d’une recherche qualitative pancanadienne sur l’adaptation professionnelle des travailleurs sociaux issus de l’immigration (Pullen Sansfaçon, Brown et Graham, CRSH 2011-2012, CRSH 2012- 2015), ce mémoire explore les enjeux inhérents au transfert des connaissances, des expériences professionnelles et des valeurs acquises à l’étranger vers un contexte de pratique québécois. L’expérience vécue par 26travailleuses sociales immigrantes, diplômées à l’étranger et pratiquant actuellement dans la grande région montréalaise, a permis de rendre compte des aspects transférables ou moins transférables du travail social. Ainsi, la mission et les valeurs du travail social, les expériences professionnelles, les connaissances théoriques et les habiletés cliniques apparaissent comme des connaissances se transférant bien au-delà des frontières nationales. Par contre, le récit des participantes indique que les connaissances relatives aux lois, aux politiques sociales, aux procédures organisationnelles et à la langue se transfèrent plus difficilement, ce qui peut générer certaines lacunes dans un contexte de pratique différent de celui où la formation en travail social a été obtenue. Dans ce contexte, il ressort que la contribution des milieux de pratique et le soutien des collègues de travail sont des éléments centraux favorisant l’acquisition de connaissances locales.

Perpetual debt valuation: the net present value myopia

Would you prefer to receive a fixed rent for a period of 50 years, 75 years or perpetually? Well, if you have chosen the perpetual option, you are absolutely right. However, when considering a mathematical and financial approach, they may all end up roughly the same whenever the Net Present Value (NPV) is approximately identical. It makes common sense to choose the perpetual option even if the NPV exhibits myopia when computing the discount value of a fixed yearly rent. After a certain period, the discount value becomes approximately the same even when adding more yearly fixed rents. Corporations and governments issue perpetual bonds while recognizing these may not represent a very good financing strategy and thus implying that most of these issues are either callable or convertible on the issuer’s request. In approaching the existing perpetual debt related NPV myopia, this paper holds two main goals: firstly, we intend to study the behaviours of perpetual debt yields against other perpetual instruments and, secondly, we consider the financial methods for assessing the value of money before proposing a formula adjustment that might serve to overcome default NPV when evaluating fixed rents in perpetuity.