Hwyneeds: Methodology, Analysis and Evaluation, March 2001

The quadrennial need study was developed to assist in identifying county highway financial needs (construction, rehabilitation, maintenance, and administration) and in the distribution of the road use tax fund (RUTF) among the counties in the state. During the period since the need study was first conducted using HWYNEEDS software, between 1982 and 1998, there have been large fluctuations in the level of funds distributed to individual counties. A recent study performed by Jim Cable (HR-363, 1993), found that one of the major factors affecting the volatility in the level of fluctuations is the quality of the pavement condition data collected and the accuracy of these data. In 1998, the Center for Transportation Research and Education researchers (Maze and Smadi) completed a project to study the feasibility of using automated pavement condition data collected for the Iowa Pavement Management Program (IPMP) for the paved county roads to be used in the HWYNEEDS software (TR-418). The automated condition data are objective and also more current since they are collected in a two year cycle compared to the 10-year cycle used by HWYNEEDS right now. The study proved the use of the automated condition data in HWYNEEDS would be feasible and beneficial in educing fluctuations when applied to a pilot study area. In another recommendation from TR-418, the researchers recommended a full analysis and investigation of HWYNEEDS methodology and parameters (for more information on the project, please review the TR-418 project report). The study reported in this document builds on the previous study on using the automated condition data in HWYNEEDS and covers the analysis and investigation of the HWYNEEDS computer program methodology and parameters. The underlying hypothesis for this study is thatalong with the IPMP automated condition data, some changes need to be made to HWYNEEDS parameters to accommodate the use of the new data, which will stabilize the process of allocating resources and reduce fluctuations from one quadrennial need study to another. Another objective of this research is to investigate the gravel roads needs and study the feasibility of developing a more objective approach to determining needs on the counties gravel road network. This study identifies new procedures by which the HWYNEEDS computer program is used to conduct the quadrennial needs study on paved roads. Also, a new procedure will be developed to determine gravel roads needs outside of the HWYNEED program. Recommendations are identified for the new procedures and also in terms of making changes to the current quadrennial need study. Future research areas are also identified.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).

Financial Integration, Trade Openness and International Transmission

[cat] Com afecten l’obertura comercial i financera a la volatilitat macroeconòmica? La literatura existent, tant empírica com teòrica, no ha assolit encara un consens. Aquest article usa un model microfonamentat de dos països simètrics amb entrada endògena d’empreses per estudiar-ho. L’anàlisis es du a terme per tres règims econòmics diferents amb diferents nivells d’integració internacional: una economia tancada, una autarquia financera i una integració plena. Es consideren diversos nivells d’obertura comercial, en forma de biaix domèstic de la demanda i l’economia pot patir pertorbacions en la productivitat del treball i en innovació. El model conclou que la incertesa macroeconòmica, representada principalment per la volatilitat del consum, la producció i la relació real d’intercanvi internacional, depèn del grau d’obertura i del tipus de pertorbació.

Educational attainment and timing of fertility decisions

This paper focuses on timing of fertility decisions, conditional on the level of educational attainment of parents. Timing of fertility and educational attainment of parents rationalize the negative relationship observed in the data between hourly wages and childbearing. It is shown how the recent evolution in total fertility rates observed in developed countries could be in part the result of a transition from an early childbearing regime to a late childbearing regime. I develop a general equilibrium overlapping generations model in order to understand the joint determination of timing of childbearing decisions together with other household economic decisions in a life cycle framework. I show how idiosyncratic uncertainty might have asymmetric efects on completed fertility depending on timing of childbearing, generating the diferences in completed fertility observed between households that difer in their level of educational attainment.

The construction process of pedagogical knowledge among nursing professors

Didactic knowledge about contents is constructed through an idiosyncratic synthesis between knowledge about the subject area, students' general pedagogical knowledge and the teacher's biography. This study aimed to understand the construction process and the sources of Pedagogical Content Knowledge, as well as to analyze its manifestations and variations in interactive teaching by teachers whom the students considered competent. Data collection involved teachers from an undergraduate nursing program in the South of Brazil, through non-participant observation and semistructured interviews. Data analysis was submitted to the constant comparison method. The results disclose the need for initial education to cover pedagogical aspects for nurses; to assume permanent education as fundamental in view of the complexity of contents and teaching; to use mentoring/monitoring and the value learning with experienced teachers with a view to the development of quality teaching.

Feasibility of Using Automated Distress Data in the County Need Study, TR-418, 1998

The purpose of this project was to determine the feasibility of using pavement condition data collected for the Iowa Pavement Management Program (IPMP) as input to the Iowa Quadrennial Need Study. The need study, conducted by the Iowa Department of Transportation (Iowa DOT) every four years, currently uses manually collected highway infrastructure condition data (roughness, rutting, cracking, etc.). Because of the Iowa DOT's 10-year data collection cycles, condition data for a given highway segment may be up to 10 years old. In some cases, the need study process has resulted in wide fluctuations in funding allocated to individual Iowa counties from one study to the next. This volatility in funding levels makes it difficult for county engineers to plan and program road maintenance and improvements. One possible remedy is to input more current and less subjective infrastructure condition data. The IPMP was initially developed to satisfy the Intermodal Surface Transportation Efficiency Act (ISTEA) requirement that federal-aid-eligible highways be managed through a pavement management system. Currently all metropolitan planning organizations (MPOs) in Iowa and 15 of Iowa's 18 RPAs participate in the IPMP. The core of this program is a statewide data base of pavement condition and construction history information. The pavement data are collected by machine in two-year cycles. Using pilot areas, researchers examined the implications of using the automated data collected for the IPMP as input to the need study computer program, HWYNEEDS. The results show that using the IPMP automated data in HWYNEEDS is feasible and beneficial, resulting in less volatility in the level of total need between successive quadrennial need studies. In other words, the more current the data, the smaller the shift in total need.

Spatial pattern and process at the plant neighbourhood scale: insights from communities dominated by the clonal grass Elymus repens (L.) Gould.

Question: How do clonal traits of a locally dominant grass (Elymus repens (L.) Gould.) respond to soil heterogeneity and shape spatial patterns of its tillers? How do tiller spatial patterns constrain seedling recruitment within the community?Locations: Artificial banks of the River Rhone, France.Material and Methods: We examined 45 vegetation patches dominated by Elymus repens. During a first phase we tested relationships between soil variables and three clonal traits (spacer length, number of clumping tillers and branching rate), and between the same clonal traits and spatial patterns (i.e. density and degree of spatial aggregation) of tillers at a very fine scale. During a second phase, we performed a sowing experiment to investigate effects of density and spatial patterns of E. repens on recruitment of eight species selected from the regional species pool.Results: Clonal traits had clear effects - especially spacer length - on densification and aggregation of E. repens tillers and, at the same time, a clear response of these same clonal traits as soil granulometry changed. The density and degree of aggregation of E. repens tillers was positively correlated to total seedling cover and diversity at the finest spatial scales.Conclusions: Spatial patterning of a dominant perennial grass responds to soil heterogeneity through modifications of its clonal morphology as a trade-off between phalanx and guerrilla forms. In turn, spatial patterns have strong effects on abundance and diversity of seedlings. Spatial patterns of tillers most probably led to formation of endogenous gaps in which the recruitment of new plant individuals was enhanced. Interestingly, we also observed more idiosyncratic effects of tiller spatial patterns on seedling cover and diversity when focusing on different growth forms of the sown species.

GDP and life expectancy in Italy and Spain over the long-run (1861-2008): insights from a timeseries approach

The article presents and discusses long-run series of per capita GDP and life expectancy for Italy and Spain (1861-2008). After refining the available estimates in order to make them comparable and with the avail of the most up-to-date researches, the main changes in the international economy and in technological and sociobiological regimes are used as analytical frameworks to re-assess the performances of the two countries; then structural breaks are searched for and Granger causality between the two variables is investigated. The long-run convergence notwithstanding, significant cyclical differences between the two countries can be detected: Spain began to modernize later in GDP, with higher volatility in life expectancy until recent decades; by contrast, Italy showed a more stable pattern of life expectancy, following early breaks in per capita GDP, but also a negative GDP break in the last decades. Our series confirm that, whereas at the early stages of development differences in GDP tend to mirror those in life expectancy, this is no longer true at later stages of development, when, if any, there seems to be a negative correlation between GDP and life expectancy: this finding is in line with the thesis of a non-monotonic relation between life expectancy and GDP and is supported by tests of Granger causality.

Uncertainty, electoral incentives and political myopia

We study the determinants of political myopia in a rational model of electoral accountability where the key elements are informational frictions and uncertainty. We build aframework where political ability is ex-ante unknown and policy choices are not perfectlyobservable. On the one hand, elections improve accountability and allow to keep well-performing incumbents. On the other, politicians invest too little in costly policies withfuture returns in an attempt to signal high ability and increase their reelection probability.Contrary to the conventional wisdom, uncertainty reduces political myopia and may, undersome conditions, increase social welfare. We use the model to study how political rewardscan be set so as to maximise social welfare and the desirability of imposing a one-term limitto governments. The predictions of our theory are consistent with a number of stylised factsand with a new empirical observation documented in this paper: aggregate uncertainty, measured by economic volatility, is associated to better fiscal discipline in a panel of 20 OECDcountries.

Is diagnosis enough to guide interventions in mental health? Using case formulation in clinical practice.

ABSTRACT: While diagnosis has traditionally been viewed as an essential concept in medicine, particularly when selecting treatments, we suggest that the use of diagnosis alone may be limited, particularly within mental health. The concept of clinical case formulation advocates for collaboratively working with patients to identify idiosyncratic aspects of their presentation and select interventions on this basis. Identifying individualized contributing factors, and how these could influence the person's presentation, in addition to attending to personal strengths, may allow the clinician a deeper understanding of a patient, result in a more personalized treatment approach, and potentially provide a better clinical outcome.

Man-bites-dog business cycles

The newsworthiness of an event is partly determined by how unusual it isand this paper investigates the business cycle implications of this fact. In particular, weanalyze the consequences of information structures in which some types of signals are morelikely to be observed after unusual events. Such signals may increase both uncertainty anddisagreement among agents and when embedded in a simple business cycle model, can helpus understand why we observe (i) occasional large changes in macro economic aggregatevariables without a correspondingly large change in underlying fundamentals (ii) persistentperiods of high macroeconomic volatility and (iii) a positive correlation between absolutechanges in macro variables and the cross-sectional dispersion of expectations as measuredby survey data. These results are consequences of optimal updating by agents when theavailability of some signals is positively correlated with tail-events. The model is estimatedby likelihood based methods using individual survey responses and a quarterly time seriesof total factor productivity along with standard aggregate time series. The estimated modelsuggests that there have been episodes in recent US history when the impact on outputof innovations to productivity of a given magnitude was more than eight times as largecompared to other times.

Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Anàlisi del risc del preu dels índex IBEX-35 i DAX-30

En aquest treball es porta a terme l’anàlisi del comportament dels índexs IBEX-35 i DAX-30 en el període comprès entre els anys 2008 – 2012. L’objectiu del treball és analitzar com han evolucionat determinades mesures del risc, com són, la Volatilitat, el VaR i el CVaR en els dos índexs. Aquest anàlisi té la finalitat d’aconseguir evidències del diferent comportament d’aquests índexs en el període analitzat, i així veure el diferent impacte que ha tingut la crisis econòmica actual en l’economia espanyola i alemanya.

First-passage and escape problems in the Feller process

The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.