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.

Price transmission and market power analysis in the Spanish seafood market chain

[cat] Espanya és un dels principals mercats de productes pesquers d’Europa i del món. El consum de productes pesquers ha estat tradicionalment molt important a Espanya, el 2005 es varen consumir 36,7 kg per persona (MAPA, diversos anys). Malgrat això, el mercat i cóm interactuen els diversos nivells de la cadena de comercialització han gaudit de poca atenció. En aquest estudi, utilitzant dades setmanals, s’analitza per als dotze principals productes pesquers, l’elasticitat en la transmissió de preus al llarg de la cadena de comercialització a Espanya (llotja, mercat central i detallista). Finalment s’investiga la presència d’assimetria en la transmissió de preus entre aquests nivells de mercat. Els resultats obtinguts tenen importants implicacions a l’hora d’analitzar la demanda, poder de mercat i marges al llarg del mercat per als productes pesquers.

Access by Capacity and Peak-Load Pricing

Several European telecommunications regulatory agencies have recently introduced a fixed capacity charge (flat rate) to regulate access to the incumbent's network. The purpose of this paper is to show that the optimal capacity charge and the optimal access-minute charge analysed by Armstrong, Doyle, and Vickers (1996) have a similar structure and imply the same payment for the entrant. I extend the analysis tothe case where there is a competitor with market power. In this case, the optimalcapacity charge should be modified to avoid that the entrant cream-skims the market,fixing a longer or a shorter peak period than the optimal. Finally, I consider a multiproduct setting, where the effect of the product differentiation is exacerbated.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Polymorphous Si thin films from radio frequency plasmas of SiH4 diluted in Ar: A study by transmission electron microscopy and Raman spectroscopy

In this study, we present a detailed structural characterization by means of transmission electron microscopy and Raman spectroscopy of polymorphous silicon (pm-Si:H) thin films deposited using radio-frequency dust-forming plasmas of SiH4 diluted in Ar. Square-wave modulation of the plasma and gas temperature was varied to obtain films with different nanostructures. Transmission electron microscopy and electron diffraction have shown the presence of Si crystallites of around 2 nm in the pm-Si:H films, which are related to the nanoparticles formed in the plasma gas phase coming from their different growth stages, named particle nucleation and coagulation. Raman scattering has proved the role of the film nanostructure in the crystallization process induced ¿in situ¿ by laser heating.

Price transmission and market power analysis in the Spanish seafood market chain

[cat] Espanya és un dels principals mercats de productes pesquers d’Europa i del món. El consum de productes pesquers ha estat tradicionalment molt important a Espanya, el 2005 es varen consumir 36,7 kg per persona (MAPA, diversos anys). Malgrat això, el mercat i cóm interactuen els diversos nivells de la cadena de comercialització han gaudit de poca atenció. En aquest estudi, utilitzant dades setmanals, s’analitza per als dotze principals productes pesquers, l’elasticitat en la transmissió de preus al llarg de la cadena de comercialització a Espanya (llotja, mercat central i detallista). Finalment s’investiga la presència d’assimetria en la transmissió de preus entre aquests nivells de mercat. Els resultats obtinguts tenen importants implicacions a l’hora d’analitzar la demanda, poder de mercat i marges al llarg del mercat per als productes pesquers.

Access by Capacity and Peak-Load Pricing

Several European telecommunications regulatory agencies have recently introduced a fixed capacity charge (flat rate) to regulate access to the incumbent's network. The purpose of this paper is to show that the optimal capacity charge and the optimal access-minute charge analysed by Armstrong, Doyle, and Vickers (1996) have a similar structure and imply the same payment for the entrant. I extend the analysis tothe case where there is a competitor with market power. In this case, the optimalcapacity charge should be modified to avoid that the entrant cream-skims the market,fixing a longer or a shorter peak period than the optimal. Finally, I consider a multiproduct setting, where the effect of the product differentiation is exacerbated.

Thermal resonance in signal transmission

We use temperature tuning to control signal propagation in simple one-dimensional arrays of masses connected by hard anharmonic springs and with no local potentials. In our numerical model a sustained signal is applied at one site of a chain immersed in a thermal environment and the signal-to-noise ratio is measured at each oscillator. We show that raising the temperature can lead to enhanced signal propagation along the chain, resulting in thermal resonance effects akin to the resonance observed in arrays of bistable systems.

Space and momentum representation analysis of Hartman's effect in wave packet transmission

The Hartman effect is analyzed in both the position and momentum representations of the problem. The importance of Wigner tunneling and deep tunneling is singled out. It is shown quantitatively how the barrier acts as a filter for low momenta (quantum speed up) as the width increases, and a detailed mechanism is proposed. Superluminal transmission is also discussed.

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.

Munc18-1 mutations that strongly impair SNARE-complex binding support normal synaptic transmission.

Synaptic transmission depends critically on the Sec1p/Munc18 protein Munc18-1, but it is unclear whether Munc18-1 primarily operates as a integral part of the fusion machinery or has a more upstream role in fusion complex assembly. Here, we show that point mutations in Munc18-1 that interfere with binding to the free Syntaxin1a N-terminus and strongly impair binding to assembled SNARE complexes all support normal docking, priming and fusion of synaptic vesicles, and normal synaptic plasticity in munc18-1 null mutant neurons. These data support a prevailing role of Munc18-1 before/during SNARE-complex assembly, while its continued association to assembled SNARE complexes is dispensable for synaptic transmission.