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.

Algorithme de branch-and-price-and-cut pour le problème de conception de réseaux avec coûts fixes, capacités et un seul produit

De nombreux problèmes liés aux domaines du transport, des télécommunications et de la logistique peuvent être modélisés comme des problèmes de conception de réseaux. Le problème classique consiste à transporter un flot (données, personnes, produits, etc.) sur un réseau sous un certain nombre de contraintes dans le but de satisfaire la demande, tout en minimisant les coûts. Dans ce mémoire, on se propose d'étudier le problème de conception de réseaux avec coûts fixes, capacités et un seul produit, qu'on transforme en un problème équivalent à plusieurs produits de façon à améliorer la valeur de la borne inférieure provenant de la relaxation continue du modèle. La méthode que nous présentons pour la résolution de ce problème est une méthode exacte de branch-and-price-and-cut avec une condition d'arrêt, dans laquelle nous exploitons à la fois la méthode de génération de colonnes, la méthode de génération de coupes et l'algorithme de branch-and-bound. Ces méthodes figurent parmi les techniques les plus utilisées en programmation linéaire en nombres entiers. Nous testons notre méthode sur deux groupes d'instances de tailles différentes (gran-des et très grandes), et nous la comparons avec les résultats donnés par CPLEX, un des meilleurs logiciels permettant de résoudre des problèmes d'optimisation mathématique, ainsi qu’avec une méthode de branch-and-cut. Il s'est avéré que notre méthode est prometteuse et peut donner de bons résultats, en particulier pour les instances de très grandes tailles.

U.S. import and export price indexes.

Description based on: 1st quarter 1980; title from caption.

Projeto de Intervenção Educativa - R.E.D. Bull(Ying)

Introdução: A adolescência é uma fase do ciclo vital marcada por diversas alterações físicas, psicológicas e sociais. Desta forma, é possível estabelecer uma relação entre violência e adolescência, dado que é durante esta etapa de vida que os jovens se deparam com o sentimento de ameaça da sua identidade, o que poderá despoletar comportamentos agressivos (Hernández, 2013). O bullying é uma forma de violência escolar que tem vindo a apresentar uma elevada prevalência, tornando-se imprescindível mencionar que este fenómeno não é um evento" normal", e não deve ser um acontecimento que os jovens devam vivenciar durante a transição entre a infância e a adolescência (Andrade, 2012). Com a finalidade de reduzir a prevalência de bullying na comunidade escolar elaboramos o Projeto de Intervenção Educativa "R.E.D. BULL(ying)", no qual definimos os seguintes objetivos específicos: aumentar o nível de literacia para a saúde da comunidade escolar (alunos e docentes), relativamente ao bullying e desenvolver o projeto em todas as turmas do 5º ao 9º ano de um Colégio, incluindo os docentes. Metodologia: A nossa população alvo consistiu num total de 203 alunos do 5º ao 9º ano e 13 docentes de um Colégio. É um estudo transversal de investigação-ação, sendo que foi aplicado um questionário de diagnóstico e realizadas sessões de educação para a saúde, que posteriormente foram avaliadas com a aplicação de um novo questionário. Resultados: Foi possível verificar que após a sessão de educação para a saúde, 93,1% dos estudantes identificaram o que fazer numa situação de bullying, sendo que 62,6% dos estudantes responderam que numa situação de agressão chamavam um adulto; 95,1% referiram que sabiam o que era o bullying, 56,8% associaram o conceito à agressão física e 92,6% referiram conhecer os tipos de bullying, sendo que o bullying físico (71,9%) e o bullying verbal (69,5%) foram os tipos mais mencionados. Na intervenção educativa realizada aos docentes foi aplicado um questionário, onde 76,9% considerou que o ambiente escolar era agradável, 84,6% caracterizou o relacionamento entre os estudantes como "adequado" e 77% afirmou que não vivenciou nenhuma situação de bullying. Conclusões: Deste modo, é possível afirmar que após a intervenção educativa, os alunos adquiriram novos conhecimentos no que diz respeito às questões "Numa situação de agressão o que fazes?", "Sabes o que é o bullying?", "O que é o bullying?" "Conheces os tipos de bullying?" e "Quais são os tipos de bullying?".

Educational Intervention Project "R.E.D. Bull(ying)"

Introduction: Adolescence is a stage of life cycle marked by various physical, psychological and social changes. During this stage, young people are faced with the feeling of threat of identity, which may trigger aggressive behaviours. Bullying is a form of school violence with high prevalence, that shouldn't be a "normal" occurrence or a event that young people should experience during the transition between childhood and adolescent. In order to reduce the prevalence of bullying in the school community, we elaborated the Educational Intervention Project "R.E.D. BULL(ying)", with the specific objectives: Evaluate the knowledge level about bullyng, before and after the Project, and increase the level of literacy about the subject in the school community (students and teachers). Methodology: Our target population consisted in a total of 203 students from 5th to 9th grade and 13 teachers of school. It's a cross-sectional study of research - action, with the application of a diagnostic questionnaire, before and after, we conducted the educational sessions. Results: After the educational sessions, 93,1% of students identified what to do in a bullying situation, and 62,6% of students responded that in an assault situation, called an adult; 95,1% said they knew what was bullying, 56,8% associated the concept to physical aggression and 92,6 % mentioned to know the types of bullying, and physical bullying (71,9%) and verbal bullying (69,5%) were the most mentioned types. Meanwhile, the teachers: 76,9% considered that the school environment was pleasant, 84,6% characterized the relationship between the students as "adequate" and 77% said they didn't experience any bullying situation. Conclusions: We found an overall improvement to the level of bullying related knowledge after the educational intervention. So, we verified that the integrated intervention in the school health teams, allows greater attention to the detection, signalling and routing situations of violence.

EDUCATIONAL INTERVENTION PROJECT "R.E.D. BULL(YING)"

Introduction: Adolescence is a stage of life cycle marked by various physical, psychological and social changes. During this stage, young people are faced with the feeling of threat of identity, which may trigger aggressive behaviours. Bullying is a form of school violence with high prevalence, that shouldn't be a "normal" occurrence or a event that young people should experience during the transition between childhood and adolescent. In order to reduce the prevalence of bullying in the school community, we elaborated the Educational Intervention Project "R.E.D. BULL(ying)", with the specific objectives: Evaluate the knowledge level about bullyng, before and after the Project, and increase the level of literacy about the subject in the school community (students and teachers). Methodology: Our target population consisted in a total of 203 students from 5th to 9th grade and 13 teachers of school. It's a cross-sectional study of research - action, with the application of a diagnostic questionnaire, before and after, we conducted the educational sessions. Results: After the educational sessions, 93,1% of students identified what to do in a bullying situation, and 62,6% of students responded that in an assault situation, called an adult; 95,1% said they knew what was bullying, 56,8% associated the concept to physical aggression and 92,6 % mentioned to know the types of bullying, and physical bullying (71,9%) and verbal bullying (69,5%) were the most mentioned types. Meanwhile, the teachers: 76,9% considered that the school environment was pleasant, 84,6% characterized the relationship between the students as "adequate" and 77% said they didn't experience any bullying situation. Conclusions: We found an overall improvement to the level of bullying related knowledge after the educational intervention. So, we verified that the integrated intervention in the school health teams, allows greater attention to the detection, signalling and routing situations of violence.

Phytosociological survey on the Lusitan-Extremadurean grasslands of Dactylis hispanica subsp. lusitanica (Stebbins & D.Zohary) Rivas-Mart. & Izco

Deeply connected with forest serial dynamics, and present in almost semi-natural landscapes of Iberian Peninsula, Dactylis hispanica subsp. lusitanica perennial grasslands antalis a major issue on biogeographical analysis, once it lacks on syntaxonomical solutions for its affiliation and respective positioning on serial dynamics of distinct territories, which edaphoclimatic envelopes suggest different floristic assemblages. Mainly part of Agrostion castellanae-Stipion giganteae alliance, the Lusitan-Extremadurean grasslands were studied, with the objective of updating that biogeographic Province, and several phytosociological relevés were made, allowing the syntaxonomical update as well to resolve the serial-dynamics arrangement where this peculiar grasslands makes part of. At last this communities belong to priority 6220 [*Pseudo-stepe with grasses and annuals (Thero-Brachypodietea)], habitat that interests as well for conservational matters, due to its peculiar flora.

Alfabetização e Aprendizagem da Língua Materna Como Lingua Estrangeira em Escolas Indígenas no Paraná

Há estudos sobre os índios Kaingang no Paraná que contribuem para o entendimento da sua história, cultura, organização social e linguística. Entretanto, sobre a escolarização e a apropriação da linguagem escrita, tanto da língua kaingang, como da língua portuguesa, são raras as publicações e pesquisas sobre um tema que é muito relevante, haja vista o ritmo acelerado da perda de línguas minoritárias no mundo e no Brasil, a partir de uma política neoliberal de estado mínimo e pouco investimento em formação de professores para atuarem em áreas socialmente relevantes como as línguas, dentre elas as línguas indígenas que requer investimento na formação de professores e linguistas indígenas. Neste artigo apresentamos aspectos históricos sobre registros desta língua indígena, o projeto de alfabetização bilíngue implementado no Brasil e como esta vem ocorrendo com os povos Kaingang na região do Vale do Ivaí, no Paraná, com crianças do ensino fundamental.  Por meio de pesquisa bibliográfica e empírica foi possível perceber que o ensino da língua materna indígena, mesmo entre crianças monolíngues em kaingang, entra no currículo como ensino de língua estrangeira, o que pode comprometer seriamente a aprendizagem, a alfabetização, tanto da língua indígena como da língua portuguesa. Evidencia-se que o investimento na formação continuada de professores indígenas é uma das estratégias para a superação de tal situação.