The effects of monetary policy on stock market bubbles: Some evidence

We estimate the response of stock prices to exogenous monetary policy shocks usinga vector-autoregressive model with time-varying parameters. Our evidence points toprotracted episodes in which, after a a short-run decline, stock prices increase persistently in response to an exogenous tightening of monetary policy. That responseis clearly at odds with the "conventional" view on the effects of monetary policy onbubbles, as well as with the predictions of bubbleless models. We also argue that it isunlikely that such evidence be accounted for by an endogenous response of the equitypremium to the monetary policy shocks.

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.

Electrical colonic stimultation reduces mean transit time in a porcine model

Rapport de synthèse : Introduction : La stimulation électrique représente une nouvelle modalité thérapeutique de divers troubles digestifs. Dans la constipation par exemple, le péristaltisme colique peut être activé par un système électrique alimenté par une batterie. La présente étude a pour but de démontrer l'impact d'une stimulation électrique directe du côlon sur le temps de transit moyen, en utilisant un modèle expérimental chronique porcin. L'effet de la stimulation et du matériel implanté dans la paroi colique est également évalué. Matériel et méthode : Trois paires d'électrodes ont été implantées dans la paroi cæcale de douze porcs anesthésiés. Avant implantation, un temps de transit colique de référence a été déterminé chez chaque animal par utilisation de marqueurs radio-opaques. Cette évaluation a été répétée quatre semaines après implantation, sous stimulation factice, et cinq semaines après implantation, sous stimulation électrique. Des trains séquentiels et aboraux de stimulation (10 V ; 120 Hz ; 1 ms) ont été appliqués quotidiennement durant six jours, en utilisant un stimulateur externe fonctionnant sur batteries. Pour chaque série de marqueurs, une valeur moyenne a été calculée à partir du temps de transit individuel des porcs. Un examen microscopique du cæcum a été systématiquement entrepris après sacrifice des animaux. Résultats : Une réduction du temps de transit moyen a été observée après stimulation électrique (19h ± 13 ; moyenne ± DS), comparativement au temps de référence (34h ± 7 ; p=0.045) et au temps de transit après stimulation factice (36h ± 9 ; p=0.035). L'examen histologique a montré la présence d'une inflammation chronique minime, autour des électrodes. Conclusion : Le temps de transit colique porcin peut être réduit, en conditions expérimentales chroniques, par une stimulation électrique directe et séquentielle de l'intestin. Des lésions tissulaires limitées ont été occasionnées par la stimulation ou le matériel implanté. La stimulation électrique colique représente certainement une approche prometteuse du traitement de certains troubles spécifiques du côlon, avant tout fonctionnels.

Behavioural queueing : cellular automata and a laboratory experiment

Dans cette thèse, nous étudions les aspects comportementaux d'agents qui interagissent dans des systèmes de files d'attente à l'aide de modèles de simulation et de méthodologies expérimentales. Chaque période les clients doivent choisir un prestataire de servivce. L'objectif est d'analyser l'impact des décisions des clients et des prestataires sur la formation des files d'attente. Dans un premier cas nous considérons des clients ayant un certain degré d'aversion au risque. Sur la base de leur perception de l'attente moyenne et de la variabilité de cette attente, ils forment une estimation de la limite supérieure de l'attente chez chacun des prestataires. Chaque période, ils choisissent le prestataire pour lequel cette estimation est la plus basse. Nos résultats indiquent qu'il n'y a pas de relation monotone entre le degré d'aversion au risque et la performance globale. En effet, une population de clients ayant un degré d'aversion au risque intermédiaire encoure généralement une attente moyenne plus élevée qu'une population d'agents indifférents au risque ou très averses au risque. Ensuite, nous incorporons les décisions des prestataires en leur permettant d'ajuster leur capacité de service sur la base de leur perception de la fréquence moyenne d'arrivées. Les résultats montrent que le comportement des clients et les décisions des prestataires présentent une forte "dépendance au sentier". En outre, nous montrons que les décisions des prestataires font converger l'attente moyenne pondérée vers l'attente de référence du marché. Finalement, une expérience de laboratoire dans laquelle des sujets jouent le rôle de prestataire de service nous a permis de conclure que les délais d'installation et de démantèlement de capacité affectent de manière significative la performance et les décisions des sujets. En particulier, les décisions du prestataire, sont influencées par ses commandes en carnet, sa capacité de service actuellement disponible et les décisions d'ajustement de capacité qu'il a prises, mais pas encore implémentées. - Queuing is a fact of life that we witness daily. We all have had the experience of waiting in line for some reason and we also know that it is an annoying situation. As the adage says "time is money"; this is perhaps the best way of stating what queuing problems mean for customers. Human beings are not very tolerant, but they are even less so when having to wait in line for service. Banks, roads, post offices and restaurants are just some examples where people must wait for service. Studies of queuing phenomena have typically addressed the optimisation of performance measures (e.g. average waiting time, queue length and server utilisation rates) and the analysis of equilibrium solutions. The individual behaviour of the agents involved in queueing systems and their decision making process have received little attention. Although this work has been useful to improve the efficiency of many queueing systems, or to design new processes in social and physical systems, it has only provided us with a limited ability to explain the behaviour observed in many real queues. In this dissertation we differ from this traditional research by analysing how the agents involved in the system make decisions instead of focusing on optimising performance measures or analysing an equilibrium solution. This dissertation builds on and extends the framework proposed by van Ackere and Larsen (2004) and van Ackere et al. (2010). We focus on studying behavioural aspects in queueing systems and incorporate this still underdeveloped framework into the operations management field. In the first chapter of this thesis we provide a general introduction to the area, as well as an overview of the results. In Chapters 2 and 3, we use Cellular Automata (CA) to model service systems where captive interacting customers must decide each period which facility to join for service. They base this decision on their expectations of sojourn times. Each period, customers use new information (their most recent experience and that of their best performing neighbour) to form expectations of sojourn time at the different facilities. Customers update their expectations using an adaptive expectations process to combine their memory and their new information. We label "conservative" those customers who give more weight to their memory than to the xiv Summary new information. In contrast, when they give more weight to new information, we call them "reactive". In Chapter 2, we consider customers with different degree of risk-aversion who take into account uncertainty. They choose which facility to join based on an estimated upper-bound of the sojourn time which they compute using their perceptions of the average sojourn time and the level of uncertainty. We assume the same exogenous service capacity for all facilities, which remains constant throughout. We first analyse the collective behaviour generated by the customers' decisions. We show that the system achieves low weighted average sojourn times when the collective behaviour results in neighbourhoods of customers loyal to a facility and the customers are approximately equally split among all facilities. The lowest weighted average sojourn time is achieved when exactly the same number of customers patronises each facility, implying that they do not wish to switch facility. In this case, the system has achieved the Nash equilibrium. We show that there is a non-monotonic relationship between the degree of risk-aversion and system performance. Customers with an intermediate degree of riskaversion typically achieve higher sojourn times; in particular they rarely achieve the Nash equilibrium. Risk-neutral customers have the highest probability of achieving the Nash Equilibrium. Chapter 3 considers a service system similar to the previous one but with risk-neutral customers, and relaxes the assumption of exogenous service rates. In this sense, we model a queueing system with endogenous service rates by enabling managers to adjust the service capacity of the facilities. We assume that managers do so based on their perceptions of the arrival rates and use the same principle of adaptive expectations to model these perceptions. We consider service systems in which the managers' decisions take time to be implemented. Managers are characterised by a profile which is determined by the speed at which they update their perceptions, the speed at which they take decisions, and how coherent they are when accounting for their previous decisions still to be implemented when taking their next decision. We find that the managers' decisions exhibit a strong path-dependence: owing to the initial conditions of the model, the facilities of managers with identical profiles can evolve completely differently. In some cases the system becomes "locked-in" into a monopoly or duopoly situation. The competition between managers causes the weighted average sojourn time of the system to converge to the exogenous benchmark value which they use to estimate their desired capacity. Concerning the managers' profile, we found that the more conservative Summary xv a manager is regarding new information, the larger the market share his facility achieves. Additionally, the faster he takes decisions, the higher the probability that he achieves a monopoly position. In Chapter 4 we consider a one-server queueing system with non-captive customers. We carry out an experiment aimed at analysing the way human subjects, taking on the role of the manager, take decisions in a laboratory regarding the capacity of a service facility. We adapt the model proposed by van Ackere et al (2010). This model relaxes the assumption of a captive market and allows current customers to decide whether or not to use the facility. Additionally the facility also has potential customers who currently do not patronise it, but might consider doing so in the future. We identify three groups of subjects whose decisions cause similar behavioural patterns. These groups are labelled: gradual investors, lumpy investors, and random investor. Using an autocorrelation analysis of the subjects' decisions, we illustrate that these decisions are positively correlated to the decisions taken one period early. Subsequently we formulate a heuristic to model the decision rule considered by subjects in the laboratory. We found that this decision rule fits very well for those subjects who gradually adjust capacity, but it does not capture the behaviour of the subjects of the other two groups. In Chapter 5 we summarise the results and provide suggestions for further work. Our main contribution is the use of simulation and experimental methodologies to explain the collective behaviour generated by customers' and managers' decisions in queueing systems as well as the analysis of the individual behaviour of these agents. In this way, we differ from the typical literature related to queueing systems which focuses on optimising performance measures and the analysis of equilibrium solutions. Our work can be seen as a first step towards understanding the interaction between customer behaviour and the capacity adjustment process in queueing systems. This framework is still in its early stages and accordingly there is a large potential for further work that spans several research topics. Interesting extensions to this work include incorporating other characteristics of queueing systems which affect the customers' experience (e.g. balking, reneging and jockeying); providing customers and managers with additional information to take their decisions (e.g. service price, quality, customers' profile); analysing different decision rules and studying other characteristics which determine the profile of customers and managers.

Frontshear and backshear instabilities of the mean longshore current

An analytical model based on Bowen and Holman [1989] is used to prove the existence of instabilities due to the presence of a second extremum of the background vorticity at the front side of the longshore current. The growth rate of the so-called frontshear waves depends primarily upon the frontshear but also upon the backshear and the maximum and the width of the current. Depending on the values of these parameters, either the frontshear or the backshear instabilities may dominate. Both types of waves have a cross-shore extension of the order of the width of the current, but the frontshear modes are localized closer to the coast than are the backshear modes. Moreover, under certain conditions both unstable waves have similar growth rates with close wave numbers and angular frequencies, leading to the possibility of having modulated shear waves in the alongshore direction. Numerical analysis performed on realistic current profiles confirm the behavior anticipated by the analytical model. The theory has been applied to a current profile fitted to data measured during the 1980 Nearshore Sediment Transport Studies experiment at Leadbetter Beach that has an extremum of background vorticity at the front side of the current. In this case and in agreement with field observations, the model predicts instability, whereas the theory based only on backshear instability fai led to do so.

Electrical colonic stimultation reduces mean transit time in a porcine model

Rapport de synthèse : Introduction : La stimulation électrique représente une nouvelle modalité thérapeutique de divers troubles digestifs. Dans la constipation par exemple, le péristaltisme colique peut être activé par un système électrique alimenté par une batterie. La présente étude a pour but de démontrer l'impact d'une stimulation électrique directe du côlon sur le temps de transit moyen, en utilisant un modèle expérimental chronique porcin. L'effet de la stimulation et du matériel implanté dans la paroi colique est également évalué. Matériel et méthode : Trois paires d'électrodes ont été implantées dans la paroi cæcale de douze porcs anesthésiés. Avant implantation, un temps de transit colique de référence a été déterminé chez chaque animal par utilisation de marqueurs radio-opaques. Cette évaluation a été répétée quatre semaines après implantation, sous stimulation factice, et cinq semaines après implantation, sous stimulation électrique. Des trains séquentiels et aboraux de stimulation (10 V ; 120 Hz ; 1 ms) ont été appliqués quotidiennement durant six jours, en utilisant un stimulateur externe fonctionnant sur batteries. Pour chaque série de marqueurs, une valeur moyenne a été calculée à partir du temps de transit individuel des porcs. Un examen microscopique du cæcum a été systématiquement entrepris après sacrifice des animaux. Résultats : Une réduction du temps de transit moyen a été observée après stimulation électrique (19h ± 13 ; moyenne ± DS), comparativement au temps de référence (34h ± 7 ; p=0.045) et au temps de transit après stimulation factice (36h ± 9 ; p=0.035). L'examen histologique a montré la présence d'une inflammation chronique minime, autour des électrodes. Conclusion : Le temps de transit colique porcin peut être réduit, en conditions expérimentales chroniques, par une stimulation électrique directe et séquentielle de l'intestin. Des lésions tissulaires limitées ont été occasionnées par la stimulation ou le matériel implanté. La stimulation électrique colique représente certainement une approche prometteuse du traitement de certains troubles spécifiques du côlon, avant tout fonctionnels.

A Behavioral Account of the Labor Market: The Role of Fairness Concerns

In this paper, we argue that important labor market phenomena can be better understood if one takes (a) the inherent incompleteness and relational nature of most employment contracts and (b) the existence of reference-dependent fairness concerns among a substantial share of the population into account. Theory shows and experiments confirm that, even if fairness concerns were to exert only weak effects in one-shot interactions, repeated interactions greatly magnify the relevance of such concerns on economic outcomes. We also review evidence from laboratory and field experiments examining the role of wages and fairness on effort, derive predictions from our approach for entry-level wages and incumbent workers' wages, confront these predictions with the evidence, and show that reference-dependent fairness concerns may have important consequences for the effects of economic policies such as minimum wage laws.

Genome-wide association study identifies six new loci influencing pulse pressure and mean arterial pressure.

Numerous genetic loci have been associated with systolic blood pressure (SBP) and diastolic blood pressure (DBP) in Europeans. We now report genome-wide association studies of pulse pressure (PP) and mean arterial pressure (MAP). In discovery (N = 74,064) and follow-up studies (N = 48,607), we identified at genome-wide significance (P = 2.7 × 10(-8) to P = 2.3 × 10(-13)) four new PP loci (at 4q12 near CHIC2, 7q22.3 near PIK3CG, 8q24.12 in NOV and 11q24.3 near ADAMTS8), two new MAP loci (3p21.31 in MAP4 and 10q25.3 near ADRB1) and one locus associated with both of these traits (2q24.3 near FIGN) that has also recently been associated with SBP in east Asians. For three of the new PP loci, the estimated effect for SBP was opposite of that for DBP, in contrast to the majority of common SBP- and DBP-associated variants, which show concordant effects on both traits. These findings suggest new genetic pathways underlying blood pressure variation, some of which may differentially influence SBP and DBP.

Impact of increasing mean air temperature on the development of rice and red rice

The objective of this study was to assess the development response of cultivated rice and red rice to different increases in minimum and maximum daily air temperatures, in Santa Maria, Rio Grande do Sul State, Brazil. One hundred years climate scenarios of temperatures 0, +1, +2, +3, +4, and +5ºC, with symmetric and asymmetric increases in minimum and maximum daily air temperatures were created, using the LARS-WG Weather Generator, and a 1969-2003 database. Nine cultivated rice genotypes (IRGA 421, IRGA 416, IRGA 417, IRGA 420, BRS 7 TAIM, BR-IRGA 409, EPAGRI 109, EEA 406 and a hybrid), and two red rice biotypes (awned black hull-ABHRR, and awned yellow hull-AYHRR) were used. The dates of panicle differentiation (R1), anthesis (R4), and all grains with brown hulls (R9) were estimated with a nonlinear simulation model. Overall, the duration of the emergence-R1 phase decreased, whereas the duration of the R1-R4 and R4-R9 phases most often increased, as temperature increased in the climate change scenarios. The simulated rice development response to elevated temperature was not the same, when the increase in minimum and maximum temperature was symmetric or asymmetric.

Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI