Essays on monetary and banking theory

Esta tese de Doutorado é dedicada ao estudo de instabilidade financeira e dinâmica em Teoria Monet ária. E demonstrado que corridas banc árias são eliminadas sem custos no modelo padrão de teoria banc ária quando a popula ção não é pequena. É proposta uma extensão em que incerteza agregada é mais severa e o custo da estabilidade financeira é relevante. Finalmente, estabelece-se otimalidade de transições na distribui ção de moeda em economias em que oportunidades de trocas são escassas e heterogêneas. Em particular, otimalidade da inflação depende dos incentivos dinâmicos proporcionados por tais transi ções. O capí tulo 1 estabelece o resultado de estabilidade sem custos para economias grandes ao estudar os efeitos do tamanho populacional na an álise de corridas banc árias de Peck & Shell. No capí tulo 2, otimalidade de dinâmica é estudada no modelo de monet ário de Kiyotaki & Wright quando a sociedade é capaz de implementar uma polí tica inflacion ária. Apesar de adotar a abordagem de desenho de mecanismos, este capí tulo faz um paralelo com a an álise de Sargent & Wallace (1981) ao destacar efeitos de incentivos dinâmicos sobre a interação entre as polí ticas monet ária e fiscal. O cap ítulo 3 retoma o tema de estabilidade fi nanceira ao quanti car os custos envolvidos no desenho ótimo de um setor bancário à prova de corridas e ao propor uma estrutura informacional alternativa que possibilita bancos insolventes. A primeira an álise mostra que o esquema de estabilidade ótima exibe altas taxas de juros de longo prazo e a segunda que monitoramento imperfeito pode levar a corridas bancárias com insolvência.

Essays on banking theory and history of financial arrangements

Esta tese contém dois capítulos, cada um lidando com a teoria e a história dos bancos e arranjos financeiros. No capítulo 1, busca-se extender uma economia Diamond-Dybvig com monitoramento imperfeito dos saques antecipados e realizar uma comparação do bem estar social em cada uma das alocações possíveis, como proposto em Presscott and Weinberg(2003). Esse monitoramento imperfeito é implementado a partir da comunicação indireta ( através de um meio de pagamento) entre os agentes e a máquina de depósitos e saques que é um agregado do setor produtivo e financeiro. A extensão consiste em estudar alocações onde uma fração dos agentes pode explorar o monitoramento imperfeito e fraudar a alocação contratada ao consumirem mais cedo além do limite, usando múltiplos meios de pagamento. Com a punição limitada no período de consumo tardio, essa nova alocação pode ser chamada de uma alocação separadora em contraste com as alocações agregadoras onde o agente com habilidade de fraudar é bloqueado por um meio de pagamento imune a fraude, mas custoso, ou por receber consumo futuro suficiente para tornar a fraude desinteressante. A comparação de bem estar na gama de parâmetros escolhida mostra que as alocações separadoras são ótimas para as economias com menor dotação e as agregadoras para as de nível intermediário e as ricas. O capítulo termina com um possível contexto histórico para o modelo, o qual se conecta com a narrativa histórica encontrada no capítulo 2. No capítulo 2 são exploradas as propriedade quantitativas de um sistema de previsão antecedente para crises financeiras, com as váriaveis sendo escolhidas a partir de um arcabouço de ``boom and bust'' descrito mais detalhadamente no apêndice 1. As principais variáveis são: o crescimento real nos preços de imóveis e ações, o diferencial entre os juros dos títulos governamentais de 10 anos e a taxa de 3 meses no mercado inter-bancário e o crescimento nos ativos totais do setor bancário. Essas variáveis produzem uma taxa mais elevada de sinais corretos para as crises bancárias recentes (1984-2008) do que os sistemas de indicadores antecedentes comparáveis. Levar em conta um risco de base crescente ( devido à tendência de acumulação de distorções no sistema de preços relativos em expansões anteriores) também provê informação e eleva o número de sinais corretos em países que não passaram por uma expansão creditícia e nos preços de ativos tão vigorosa.

Workplace diversity and incentive contracts : theory and evidence

This paper presents a simple theory of the provision of incentives in firms in which the principal optimally chooses both compensation contracts and the composition of the work force. Assuming that individuals display group loyalty, a less diverse (more homogeneous) work force will be more cooperative. Simple comparative statics provide some testable implications relating risk, diversity and incentive pay. I also analyze the case in which workers’ characteristics cannot be readily observed ex ante. The theory then predicts that firms are more likely to prevent workers from interacting with each other when workers are expected to have similar characteristics. This shows a surprising effect of diversity in the workplace: more diverse firms will promote more interactions between workers of different types, i.e. they will be less segregated. I test the main predictions of the model using a cross-sectional sample of corporate boards. I use the proportion of women on boards as a measure of diversity. There are three main empirical findings: (1) a significant negative correlation between firm risk and diversity, (2) a significant positive relationship between performance-based compensation and diversity and (3) a significant positive correlation between the number of board meetings (a measure of interactions among directors) and diversity. The evidence is broadly consistent with the implications of the theory.

On theory multiple contraction

The one which is considered the standard model of theory change was presented in [AGM85] and is known as the AGM model. In particular, that paper introduced the class of partial meet contractions. In subsequent works several alternative constructive models for that same class of functions were presented, e.g.: safe/kernel contractions ([AM85, Han94]), system of spheres-based contractions ([Gro88]) and epistemic entrenchment-based contractions ([G ar88, GM88]). Besides, several generalizations of such model were investigated. In that regard we emphasise the presentation of models which accounted for contractions by sets of sentences rather than only by a single sentence, i.e. multiple contractions. However, until now, only two of the above mentioned models have been generalized in the sense of addressing the case of contractions by sets of sentences: The partial meet multiple contractions were presented in [Han89, FH94], while the kernel multiple contractions were introduced in [FSS03]. In this thesis we propose two new constructive models of multiple contraction functions, namely the system of spheres-based and the epistemic entrenchment-based multiple contractions which generalize the models of system of spheres-based and of epistemic entrenchment-based contractions, respectively, to the case of contractions (of theories) by sets of sentences. Furthermore, analogously to what is the case in what concerns the corresponding classes of contraction functions by one single sentence, those two classes are identical and constitute a subclass of the class of partial meet multiple contractions. Additionally, and as the rst step of the procedure that is here followed to obtain an adequate de nition for the system of spheres-based multiple contractions, we present a possible worlds semantics for the partial meet multiple contractions analogous to the one proposed in [Gro88] for the partial meet contractions (by one single sentence). Finally, we present yet an axiomatic characterization for the new class(es) of multiple contraction functions that are here introduced.

On the nonminimal vector coupling in the Duffin-Kemmer-Petiau theory and the confinement of massive bosons by a linear potential

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effects Due to a Scalar Coupling on the Particle-Antiparticle Production in the Duffin-Kemmer-Petiau Theory

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

On lag controllers: Design and implementation

Sometimes it is inconvenient or expensive to open the loop of a system to insert lag controllers-for instance, when this system is an open-loop system. A new controller structure where the loop is not opened, and that allows the design of lag controllers as in the case where one can open the loop, is presented. This result can be used by educators in undergraduate courses that deal with classic control system theory, because it allows a better comprehension of the concept of lag compensation and provides a new method for its design and implementation. An example illustrates the application of the proposed method.

Neural network based on adaptive resonance theory with continuous training for multi-configuration transient stability analysis of electric power systems

This work presents a methodology to analyze electric power systems transient stability for first swing using a neural network based on adaptive resonance theory (ART) architecture, called Euclidean ARTMAP neural network. The ART architectures present plasticity and stability characteristics, which are very important for the training and to execute the analysis in a fast way. The Euclidean ARTMAP version provides more accurate and faster solutions, when compared to the fuzzy ARTMAP configuration. Three steps are necessary for the network working, training, analysis and continuous training. The training step requires much effort (processing) while the analysis is effectuated almost without computational effort. The proposed network allows approaching several topologies of the electric system at the same time; therefore it is an alternative for real time transient stability of electric power systems. To illustrate the proposed neural network an application is presented for a multi-machine electric power systems composed of 10 synchronous machines, 45 buses and 73 transmission lines. (C) 2010 Elsevier B.V. All rights reserved.

Robust fault diagnosis in power distribution systems based on fuzzy ARTMAP neural network-aided evidence theory

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Reactive Control for Transmission Overload Relief Based on Sensitivity Analysis and Cooperative Game Theory

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The Influence of Solutes on the Enthalpy/Entropy Change of the Actinomycin D Binding to DNA: Hydration, Energy Compensation and Long-Range Deformation on DNA

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Remarks on Duffin-Kemmer-Petiau theory and gauge invariance

Two problems relative to the electromagnetic coupling of Duffin-Kemmer-Petiau (DKP) theory are discussed: the presence of an anomalous term in the Hamiltonian form of the theory and the apparent difference between the interaction terms in DKP and Klein-Gordon (KG) Lagrangians. For this, we first discuss the behavior of DKP field and its physical components under gauge transformations. From this analysis, we can show that these problems simply do not exist if one correctly analyses the physical components of DKP field. (C) 2000 Elsevier B.V. B.V. All rights reserved.

On the algebraic K theory of the massive D8 and M9-branes

In this paper we review some basic relations of algebraic K theory and we formulate them in the language of D-branes. Then we study the relation between the D8-branes wrapped on an orientable, compact manifold W in a massive Type IIA, supergravity background and the M9-branes wrapped on a compact manifold Z in a massive d = 11 supergravity background from the K-theoretic point of view. By interpreting the D8-brane charges as elements of K-0(C(W)) and the (inequivalent classes of) spaces of gauge fields on the M9-branes as the elements of K-0(C(Z) x ((k) over bar*) G) where G is a one-dimensional compact group, a connection between charges and gauge fields is argued to exists. This connection could be realized as a composition map between the corresponding algebraic K theory groups.