Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Early change in defence mechanisms and coping in short-term dynamic psychotherapy: relations with symptoms and alliance.

Several patient-related variables have already been investigated as predictors of change in psychodynamic psychotherapy. Defensive functioning is one of them. However, few studies have investigated adaptational processes, encompassing defence mechanisms and coping, from an integrative or comparative viewpoint. This study includes 32 patients, mainly diagnosed with adjustment disorder and undergoing time-limited psychodynamic psychotherapy lasting up to 40 sessions, and will focus on early change in defence and coping. Observer-rater methodology was applied to the transcripts of two sessions of the first part of the psychotherapeutic process. It is assumed that the contextual-relational variable of therapeutic alliance intervenes as moderator on change in adaptational processes. Results corroborated the hypothesis, but only for coping, whereas for defences, overall functioning remained stable over the first 20 sessions of psychotherapy. These results are discussed within the framework of disentangling processes underlying adaptation, i.e., related to issues on trait and state aspects, as well as the role of the therapeutic alliance.

Nucleation and growth of metamorphic minerals in contact aureoles

THESIS ABSTRACT Nucleation and growth of metamorphic minerals are the consequence of changing P-T-X-conditions. The thesis presented here focuses on processes governing nucleation and growth of minerals in contact metamorphic environments using a combination of geochemical analytics (chemical-, isotope-, and trace element composition), statistical treatments of spatial data, and numerical models. It is shown, that a combination of textural modeling and stable isotope analysis allows a distinction between several possible reaction paths for olivine growth in a siliceous dolomite contact aureole. It is suggested that olivine forms directly from dolomite and quartz. The formation of olivine from this metastable reaction implies metamorphic crystallization far from equilibrium. As a major consequence, the spatial distribution of metamorphic mineral assemblages in a contact aureole cannot be interpreted as a proxy for the temporal evolution of a single rock specimen, because each rock undergoes a different reaction path, depending on temperature, heating rate, and fluid-infiltration rate. A detailed calcite-dolomite thermometry study was initiated on multiple scales ranging from aureole scale to the size of individual crystals. Quantitative forward models were developed to evaluate the effect of growth zoning, volume diffusion and the formation of submicroscopic exsolution lamellae (<1 µm) on the measured Mg-distribution in individual calcite crystals and compare the modeling results to field data. This study concludes that Mg-distributions in calcite grains of the Ubehebe Peak contact aureole are the consequence of rapid crystal growth in combination with diffusion and exsolution. The crystallization history of a rock is recorded in the chemical composition, the size and the distribution of its minerals. Near the Cima Uzza summit, located in the southern Adamello massif (Italy), contact metamorphic brucite bearing dolomite marbles are exposed as xenoliths surrounded by mafic intrusive rocks. Brucite is formed retrograde pseudomorphing spherical periclase crystals. Crystal size distributions (CSD's) of brucite pseudomorphs are presented for two profiles and combined with geochemistry data and petrological information. Textural analyses are combined with geochemistry data in a qualitative model that describes the formation periclase. As a major outcome, this expands the potential use of CSD's to systems of mineral formation driven by fluid-infiltration. RESUME DE LA THESE La nucléation et la croissance des minéraux métamorphiques sont la conséquence de changements des conditions de pression, température et composition chimique du système (PT-X). Cette thèse s'intéresse aux processus gouvernant la nucléation et la croissance des minéraux au cours d'un épisode de métamorphisme de contact, en utilisant la géochimie analytique (composition chimique, isotopique et en éléments traces), le traitement statistique des données spatiales et la modélisation numérique. Il est montré que la combinaison d'un modèle textural avec des analyses en isotopes stables permet de distinguer plusieurs chemins de réactions possibles conduisant à la croissance de l'olivine dans une auréole de contact riche en Silice et dolomite. Il est suggéré que l'olivine se forme directement à partir de la dolomie et du quartz. Cette réaction métastable de formation de l'olivine implique une cristallisation métamorphique loin de l'équilibre. La principale conséquence est que la distribution spatiale des assemblages de minéraux métamorphiques dans une auréole de contact ne peut pas être considérée comme un témoin de l'évolution temporelle d'un type de roche donné, puisque chaque type de roche suit différents chemins de réactions, en fonction de la température, la vitesse de réchauffement et le taux d'infiltration du fluide. Une étude thermométrique calcite-dolomite détaillée a été réalisée à diverses échelles, depuis l'échelle de l'auréole de contact jusqu'à l'échelle du cristal. Des modèles numériques quantitatifs ont été développés pour évaluer l'effet des zonations de croissance, de la diffusion volumique et de la formation de lamelles d'exsolution submicroscopiques (<1µm) sur la distribution du magnésium mesuré dans des cristaux de calcite individuels. Les résultats de ce modèle ont été comparés ä des échantillons naturels. Cette étude montre que la distribution du Mg dans les grains de calcite de l'auréole de contact de l'Ubehebe Peak (USA) résulte d'une croissance cristalline rapide, associée aux processus de diffusion et d'exsolution. L'histoire de cristallisation d'une roche est enregistrée dans la composition chimique, la taille et la distribution de ses minéraux. Près du sommet Cima Uzza situé au sud du massif d'Adamello (Italie), des marbres dolomitiques à brucite du métamorphisme de contact forment des xénolithes dans une intrusion mafique. La brucite constitue des pseudomorphes rétrogrades du périclase. Les distributions de taille des cristaux (CSD) des pseudomorphes de brucite sont présentées pour deux profiles et sont combinées aux données géochimiques et pétrologiques. Les analyses textorales sont combinées aux données géochimiques dans un modèle qualitatif qui décrit la formation du périclase. Ceci élargit l'utilisation potentielle de la C5D aux systèmes de formation de minéraux controlés par les infiltrations fluides. THESIS ABSTRACT (GENERAL PUBLIC) Rock textures are essentially the result of a complex interaction of nucleation, growth and deformation as a function of changing physical conditions such as pressure and temperature. Igneous and metamorphic textures are especially attractive to study the different mechanisms of texture formation since most of the parameters like pressure-temperature-paths are quite well known for a variety of geological settings. The fact that textures are supposed to record the crystallization history of a rock traditionally allowed them to be used for geothermobarometry or dating. During the last decades the focus of metamorphic petrology changed from a static point of view, i.e. the representation of a texture as one single point in the petrogenetic grid towards a more dynamic view, where multiple metamorphic processes govern the texture formation, including non-equilibrium processes. This thesis tries to advance our understanding on the processes governing nucleation and growth of minerals in contact metamorphic environments and their dynamic interplay by using a combination of geochemical analyses (chemical-, isotope-, and trace element composition), statistical treatments of spatial data and numerical models. In a first part the thesis describes the formation of metamorphic olivine porphyroblast in the Ubehebe Peak contact aureole (USA). It is shown that not the commonly assumed succession of equilibrium reactions along a T-t-path formed the textures present in the rocks today, but rather the presence of a meta-stable reaction is responsible for forming the olivine porphyroblast. Consequently, the spatial distribution of metamorphic minerals within a contact aureole can no longer be regarded as a proxy for the temporal evolution of a single rock sample. Metamorphic peak temperatures for samples of the Ubehebe Peak contact aureole were determined using calcite-dolomite. This geothermometer is based on the temperature-dependent exchange of Mg between calcite and dolomite. The purpose of the second part of this thesis was to explain the interfering systematic scatter of measured Mg-content on different scales and thus to clarify the interpretation of metamorphic temperatures recorded in carbonates. Numerical quantitative forward models are used to evaluate the effect of several processes on the distribution of magnesium in individual calcite crystals and the modeling results were then compared to measured field. Information about the crystallization history is not only recorded in the chemical composition of grains, like isotope composition or mineral zoning. Crystal size distributions (CSD's) provide essential information about the complex interaction of nucleation and growth of minerals. CSD's of brucite pseudomorphs formed retrograde after periclase of the southern Adamello massif (Italy) are presented. A combination of the textural 3D-information with geochemistry data is then used to evaluate reaction kinetics and to constrain the actual reaction mechanism for the formation of periclase. The reaction is shown to be the consequence of the infiltration of a limited amount of a fluid phase at high temperatures. The composition of this fluid phase is in large disequilibrium with the rest of the rock resulting in very fast reaction rates. RESUME DE LA THESE POUR LE GRAND PUBLIC: La texture d'une roche résulte de l'interaction complexe entre les processus de nucléation, croissance et déformation, en fonction des variations de conditions physiques telles que la pression et la température. Les textures ignées et métamorphiques présentent un intérêt particulier pour l'étude des différents mécanismes à l'origine de ces textures, puisque la plupart des paramètres comme les chemin pression-température sont relativement bien contraints dans la plupart des environnements géologiques. Le fait que les textures soient supposées enregistrer l'histoire de cristallisation des roches permet leur utilisation pour la datation et la géothermobarométrie. Durant les dernières décennies, la recherche en pétrologie métamorphique a évolué depuis une visualisation statique, c'est-à-dire qu'une texture donnée correspondait à un point unique de la grille pétrogénétique, jusqu'à une visualisation plus dynamique, où les multiples processus métamorphiques qui gouvernent 1a formation d'une texture incluent des processus hors équilibre. Cette thèse a pour but d'améliorer les connaissances actuelles sur les processus gouvernant la nucléation et la croissance des minéraux lors d'épisodes de métamorphisme de contact et l'interaction dynamique existant entre nucléation et croissance. Pour cela, les analyses géochimiques (compositions chimiques en éléments majeurs et traces et composition isotopique), le traitement statistique des données spatiales et la modélisation numérique ont été combinés. Dans la première partie, cette thèse décrit la formation de porphyroblastes d'olivine métamorphique dans l'auréole de contact de l'Ubehebe Peak (USA). Il est montré que la succession généralement admise des réactions d'équilibre le long d'un chemin T-t ne peut pas expliquer les textures présentes dans les roches aujourd'hui. Cette thèse montre qu'il s'agirait plutôt d'une réaction métastable qui soit responsable de la formation des porphyroblastes d'olivine. En conséquence, la distribution spatiale des minéraux métamorphiques dans l'auréole de contact ne peut plus être interprétée comme le témoin de l'évolution temporelle d'un échantillon unique de roche. Les pics de température des échantillons de l'auréole de contact de l'Ubehebe Peak ont été déterminés grâce au géothermomètre calcite-dolomite. Celui-ci est basé sur l'échange du magnésium entre la calcite et la dolomite, qui est fonction de la température. Le but de la deuxième partie de cette thèse est d'expliquer la dispersion systématique de la composition en magnésium à différentes échelles, et ainsi d'améliorer l'interprétation des températures du métamorphisme enregistrées dans les carbonates. Des modèles numériques quantitatifs ont permis d'évaluer le rôle de différents processus sur la distribution du magnésium dans des cristaux de calcite individuels. Les résultats des modèles ont été comparés aux échantillons naturels. La composition chimique des grains, comme la composition isotopique ou la zonation minérale, n'est pas le seul témoin de l'histoire de la cristallisation. La distribution de la taille des cristaux (CSD) fournit des informations essentielles sur les interactions entre nucléation et croissance des minéraux. La CSD des pseudomorphes de brucite retrograde formés après le périclase dans le sud du massif Adamello (Italie) est présentée dans la troisième partie. La combinaison entre les données textorales en trois dimensions et les données géochimiques a permis d'évaluer les cinétiques de réaction et de contraindre les mécanismes conduisant à la formation du périclase. Cette réaction est présentée comme étant la conséquence de l'infiltration d'une quantité limitée d'une phase fluide à haute température. La composition de cette phase fluide est en grand déséquilibre avec le reste de la roche, ce qui permet des cinétiques de réactions très rapides.

Credit constraints in general equilibrium: Experimental results

Our work attempts to investigate the influence of credit tightness orexpansion on activity and relative prices in a multimarket set-up. We report on somedouble- auction, two-market experiments where subjects had to satisfy an inequalityinvolving the use of credit. The experiments display two regimes, characterizedby high and low credit availability. The critical value of credit at the commonboundary of the two regimes has a compelling interpretation as the maximal credituse at the Arrow-Debreu equilibrium of the abstract economy naturally associatedto our experimental environment. Our main results are that changes in theavailability of credit: (a): have minor and unsystematic effects on quantitiesand relative prices in the high-credit regime, (b): have substantial effects, bothon quantities and relative prices, in the low-credit regime.

Recursive contracts

We obtain a recursive formulation for a general class of contractingproblems involving incentive constraints. Under these constraints,the corresponding maximization (sup) problems fails to have arecursive solution. Our approach consists of studying the Lagrangian.We show that, under standard assumptions, the solution to theLagrangian is characterized by a recursive saddle point (infsup)functional equation, analogous to Bellman's equation. Our approachapplies to a large class of contractual problems. As examples, westudy the optimal policy in a model with intertemporal participationconstraints (which arise in models of default) and intertemporalcompetitive constraints (which arise in Ramsey equilibria).

Finite horizon bargaining and the consistent field

This paper explores the relationships between noncooperative bargaining games and the consistent value for non-transferable utility (NTU) cooperative games. A dynamic approach to the consistent value for NTU games is introduced: the consistent vector field. The main contribution of the paper is to show that the consistent field is intimately related to the concept of subgame perfection for finite horizon noncooperative bargaining games, as the horizon goes to infinity and the cost of delay goes to zero. The solutions of the dynamic system associated to the consistent field characterize the subgame perfect equilibrium payoffs of the noncooperative bargaining games. We show that for transferable utility, hyperplane and pure bargaining games, the dynamics of the consistent fields converge globally to the unique consistent value. However, in the general NTU case, the dynamics of the consistent field can be complex. An example is constructed where the consistent field has cyclic solutions; moreover, the finite horizon subgame perfect equilibria do not approach the consistent value.

Dynamic perceptual mapping

Perceptual maps have been used for decades by market researchers to illuminatethem about the similarity between brands in terms of a set of attributes, to position consumersrelative to brands in terms of their preferences, or to study how demographic and psychometricvariables relate to consumer choice. Invariably these maps are two-dimensional and static. Aswe enter the era of electronic publishing, the possibilities for dynamic graphics are opening up.We demonstrate the usefulness of introducing motion into perceptual maps through fourexamples. The first example shows how a perceptual map can be viewed in three dimensions,and the second one moves between two analyses of the data that were collected according todifferent protocols. In a third example we move from the best view of the data at the individuallevel to one which focuses on between-group differences in aggregated data. A final exampleconsiders the case when several demographic variables or market segments are available foreach respondent, showing an animation with increasingly detailed demographic comparisons.These examples of dynamic maps use several data sets from marketing and social scienceresearch.

Product market deregulation and labor market outcomes

We consider the dynamic relationship between product market entry regulationand equilibrium unemployment. The main theoretical contribution is combininga Mortensen-Pissarides model with monopolistic competition in the goods marketand individual wage bargaining. Product market competition affects unemploymentvia two channels: the output expansion effect and a countervailing effect dueto a hiring externality. Competition is then linked to barriers to entry. Acalibrated model compares a high-regulation European regime to a low-regulationAnglo-American one. Our quantitative analysis suggests that under individualbargaining, no more than half a percentage point of European unemployment ratescan be attributed to entry regulation.

A dynamic choice model of hybrid behavior in the attribute-space

This paper presents a dynamic choice model in the attributespace considering rational consumers that discount the future. In lightof the evidence of several state-dependence patterns, the model isfurther extended by considering a utility function that allows for thedifferent types of behavior described in the literature: pure inertia,pure variety seeking and hybrid. The model presents a stationaryconsumption pattern that can be inertial, where the consumer only buysone product, or a variety-seeking one, where the consumer buys severalproducts simultane-ously. Under the inverted-U marginal utilityassumption, the consumer behaves inertial among the existing brands forseveral periods, and eventually, once the stationary levels areapproached, the consumer turns to a variety-seeking behavior. An empiricalanalysis is run using a scanner database for fabric softener andsignificant evidence of hybrid behavior for most attributes is found,which supports the functional form considered in the theory.

A simple adaptive procedure leading to correlated equilibrium

We propose a simple adaptive procedure for playing a game. In thisprocedure, players depart from their current play with probabilities thatare proportional to measures of regret for not having used other strategies(these measures are updated every period). It is shown that our adaptiveprocedure guaranties that with probability one, the sample distributionsof play converge to the set of correlated equilibria of the game. Tocompute these regret measures, a player needs to know his payoff functionand the history of play. We also offer a variation where every playerknows only his own realized payoff history (but not his payoff function).

Short-term investment and equilibrium multiplicity

I study the effects of the heterogeneity of traders'horizon in the context of a 2-period NREE model whereall traders are risk averse. Owing to inventory effects,myopic trading behavior generates multiplicity ofequilibria. In particular, two distinct patterns arise.Along the first equilibrium, short term tradersanticipate higher second period price reaction toinformation arrival and, owing to risk aversion,scale back their trading intensity. This, in turn,reduces both risk sharing and information impoundinginto prices enforcing a high returns' volatility-lowprice informativeness equilibrium. In the second one,the opposite happens and a low volatility-high priceinformativeness equilibrium arises.