Essays in macro finance and monetary economics

Les questions abordées dans les deux premiers articles de ma thèse cherchent à comprendre les facteurs économiques qui affectent la structure à terme des taux d'intérêt et la prime de risque. Je construis des modèles non linéaires d'équilibre général en y intégrant des obligations de différentes échéances. Spécifiquement, le premier article a pour objectif de comprendre la relation entre les facteurs macroéconomiques et le niveau de prime de risque dans un cadre Néo-keynésien d'équilibre général avec incertitude. L'incertitude dans le modèle provient de trois sources : les chocs de productivité, les chocs monétaires et les chocs de préférences. Le modèle comporte deux types de rigidités réelles à savoir la formation des habitudes dans les préférences et les coûts d'ajustement du stock de capital. Le modèle est résolu par la méthode des perturbations à l'ordre deux et calibré à l'économie américaine. Puisque la prime de risque est par nature une compensation pour le risque, l'approximation d'ordre deux implique que la prime de risque est une combinaison linéaire des volatilités des trois chocs. Les résultats montrent qu'avec les paramètres calibrés, les chocs réels (productivité et préférences) jouent un rôle plus important dans la détermination du niveau de la prime de risque relativement aux chocs monétaires. Je montre que contrairement aux travaux précédents (dans lesquels le capital de production est fixe), l'effet du paramètre de la formation des habitudes sur la prime de risque dépend du degré des coûts d'ajustement du capital. Lorsque les coûts d'ajustement du capital sont élevés au point que le stock de capital est fixe à l'équilibre, une augmentation du paramètre de formation des habitudes entraine une augmentation de la prime de risque. Par contre, lorsque les agents peuvent librement ajuster le stock de capital sans coûts, l'effet du paramètre de la formation des habitudes sur la prime de risque est négligeable. Ce résultat s'explique par le fait que lorsque le stock de capital peut être ajusté sans coûts, cela ouvre un canal additionnel de lissage de consommation pour les agents. Par conséquent, l'effet de la formation des habitudes sur la prime de risque est amoindri. En outre, les résultats montrent que la façon dont la banque centrale conduit sa politique monétaire a un effet sur la prime de risque. Plus la banque centrale est agressive vis-à-vis de l'inflation, plus la prime de risque diminue et vice versa. Cela est due au fait que lorsque la banque centrale combat l'inflation cela entraine une baisse de la variance de l'inflation. Par suite, la prime de risque due au risque d'inflation diminue. Dans le deuxième article, je fais une extension du premier article en utilisant des préférences récursives de type Epstein -- Zin et en permettant aux volatilités conditionnelles des chocs de varier avec le temps. L'emploi de ce cadre est motivé par deux raisons. D'abord des études récentes (Doh, 2010, Rudebusch and Swanson, 2012) ont montré que ces préférences sont appropriées pour l'analyse du prix des actifs dans les modèles d'équilibre général. Ensuite, l'hétéroscedasticité est une caractéristique courante des données économiques et financières. Cela implique que contrairement au premier article, l'incertitude varie dans le temps. Le cadre dans cet article est donc plus général et plus réaliste que celui du premier article. L'objectif principal de cet article est d'examiner l'impact des chocs de volatilités conditionnelles sur le niveau et la dynamique des taux d'intérêt et de la prime de risque. Puisque la prime de risque est constante a l'approximation d'ordre deux, le modèle est résolu par la méthode des perturbations avec une approximation d'ordre trois. Ainsi on obtient une prime de risque qui varie dans le temps. L'avantage d'introduire des chocs de volatilités conditionnelles est que cela induit des variables d'état supplémentaires qui apportent une contribution additionnelle à la dynamique de la prime de risque. Je montre que l'approximation d'ordre trois implique que les primes de risque ont une représentation de type ARCH-M (Autoregressive Conditional Heteroscedasticty in Mean) comme celui introduit par Engle, Lilien et Robins (1987). La différence est que dans ce modèle les paramètres sont structurels et les volatilités sont des volatilités conditionnelles de chocs économiques et non celles des variables elles-mêmes. J'estime les paramètres du modèle par la méthode des moments simulés (SMM) en utilisant des données de l'économie américaine. Les résultats de l'estimation montrent qu'il y a une évidence de volatilité stochastique dans les trois chocs. De plus, la contribution des volatilités conditionnelles des chocs au niveau et à la dynamique de la prime de risque est significative. En particulier, les effets des volatilités conditionnelles des chocs de productivité et de préférences sont significatifs. La volatilité conditionnelle du choc de productivité contribue positivement aux moyennes et aux écart-types des primes de risque. Ces contributions varient avec la maturité des bonds. La volatilité conditionnelle du choc de préférences quant à elle contribue négativement aux moyennes et positivement aux variances des primes de risque. Quant au choc de volatilité de la politique monétaire, son impact sur les primes de risque est négligeable. Le troisième article (coécrit avec Eric Schaling, Alain Kabundi, révisé et resoumis au journal of Economic Modelling) traite de l'hétérogénéité dans la formation des attentes d'inflation de divers groupes économiques et de leur impact sur la politique monétaire en Afrique du sud. La question principale est d'examiner si différents groupes d'agents économiques forment leurs attentes d'inflation de la même façon et s'ils perçoivent de la même façon la politique monétaire de la banque centrale (South African Reserve Bank). Ainsi on spécifie un modèle de prédiction d'inflation qui nous permet de tester l'arrimage des attentes d'inflation à la bande d'inflation cible (3% - 6%) de la banque centrale. Les données utilisées sont des données d'enquête réalisée par la banque centrale auprès de trois groupes d'agents : les analystes financiers, les firmes et les syndicats. On exploite donc la structure de panel des données pour tester l'hétérogénéité dans les attentes d'inflation et déduire leur perception de la politique monétaire. Les résultats montrent qu'il y a évidence d'hétérogénéité dans la manière dont les différents groupes forment leurs attentes. Les attentes des analystes financiers sont arrimées à la bande d'inflation cible alors que celles des firmes et des syndicats ne sont pas arrimées. En effet, les firmes et les syndicats accordent un poids significatif à l'inflation retardée d'une période et leurs prédictions varient avec l'inflation réalisée (retardée). Ce qui dénote un manque de crédibilité parfaite de la banque centrale au vu de ces agents.

Impact of Western Ghats Orography on the Weather and Climate over Southern Peninsular India-A Mesoscale Modelling Study

The thesis gives a general introduction about the topic include India, the spatial and temporal variation of the surface meteorological parameters are dealt in detail. The general pattern of the winds over the region in different seasons and the generation and movements of the thermally and dynamically originated local wind systems of Western Ghats region has been studied. The modification of the prevailing winds over region by the Palghat Gap and its effect on the mouth regions pf the gap is analysed in great depth. The thesis gives the information of climatic elements of the mountain region such as energy budgets, rainfall studies, evaporation and condensation and the variation in the heat fluxes over the region. The impact of orography is studied in a different approach. The type of hypothetical study gives more insight into the control of mountain on the distribution of meteorological parameter over the study region and helps to quantify the impact of the mountain in varying the weather climate of region. The detailed study of the hydro-meteorological aspects of the main river basins of the region also should be included to the climatic studies for the total understanding of the weather and climate over the region.

Gravity Modelling of the Crustal Structure Below Bavali Shear Zone And Adjacent Major Plutons Of Northern Kerala

The primary aim of the present study is to acquire a large amount of gravity data, to prepare gravity maps and interpret the data in terms of crustal structure below the Bavali shear zone and adjacent regions of northern Kerala. The gravity modeling is basically a tool to obtain knowledge of the subsurface extension of the exposed geological units and their structural relationship with the surroundings. The study is expected to throw light on the nature of the shear zone, crustal configuration below the high-grade granulite terrain and the tectonics operating during geological times in the region. The Bavali shear is manifested in the gravity profiles by a steep gravity gradient. The gravity models indicate that the Bavali shear coincides with steep plane that separates two contrasting crustal densities extending beyond a depth of 30 km possibly down to Moho, justifying it to be a Mantle fault. It is difficult to construct a generalized model of crustal evolution in terms of its varied manifestations using only the gravity data. However, the data constrains several aspects of crustal evolution and provides insights into some of the major events.

Modelling and Analysis of Some Time Series

The thesis deals with some of the non-linear Gaussian and non-Gaussian time models and mainly concentrated in studying the properties and application of a first order autoregressive process with Cauchy marginal distribution. In this thesis some of the non-linear Gaussian and non-Gaussian time series models and mainly concentrated in studying the properties and application of a order autoregressive process with Cauchy marginal distribution. Time series relating to prices, consumptions, money in circulation, bank deposits and bank clearing, sales and profit in a departmental store, national income and foreign exchange reserves, prices and dividend of shares in a stock exchange etc. are examples of economic and business time series. The thesis discuses the application of a threshold autoregressive(TAR) model, try to fit this model to a time series data. Another important non-linear model is the ARCH model, and the third model is the TARCH model. The main objective here is to identify an appropriate model to a given set of data. The data considered are the daily coconut oil prices for a period of three years. Since it is a price data the consecutive prices may not be independent and hence a time series based model is more appropriate. In this study the properties like ergodicity, mixing property and time reversibility and also various estimation procedures used to estimate the unknown parameters of the process.

Modelling of Geochemical Processes in Mangrove Ecosystem

The mangrove ecosystem is one of the earth’s most endangered ecosystems. In this study, geochemical features of three mangrove ecosystems, Mangalavanam, Vypeen and Nettoor were compared. Water, sediment and core samples were collected from these stations for a period of one year. Nutrients, organic compounds orgnic carbon and hydrographical parameters of the samples were estimated. The present study revealed higher concentration of carbon in the surface sediments. The major temporary or ultimate sink for various pollutants in estuaries is the sedimentary reservoir, including intertidal areas. In the present study, higher values for dissolved nutrients, POC and carbohydrates were observed during low tide.

Stochastic Modelling Using Markov Chains

Department of Statistics, Cochin University of Science and Technology

Mathematical Modelling of the Dynamics of Granular Materials in a Rotating Cylinder

The current study is aimed at the development of a theoretical simulation tool based on Discrete Element Method (DEM) to 'interpret granular dynamics of solid bed in the cross section of the horizontal rotating cylinder at the microscopic level and subsequently apply this model to establish the transition behaviour, mixing and segregation.The simulation of the granular motion developed in this work is based on solving Newton's equation of motion for each particle in the granular bed subjected to the collisional forces, external forces and boundary forces. At every instant of time, the forces are tracked and the positions velocities and accelarations of each partcle is The software code for this simulation is written in VISUAL FORTRAN 90 After checking the validity of the code with special tests, it is used to investigate the transition behaviour of granular solids motion in the cross section of a rotating cylinder for various rotational speeds and fill fraction.This work is hence directed towards a theoretical investigation based on Discrete Element Method (DEM) of the motion of granular solids in the radial direction of the horizontal cylinder to elucidate the relationship between the operating parameters of the rotating cylinder geometry and physical properties ofthe granular solid.The operating parameters of the rotating cylinder include the various rotational velocities of the cylinder and volumetric fill. The physical properties of the granular solids include particle sizes, densities, stiffness coefficients, and coefficient of friction Further the work highlights the fundamental basis for the important phenomena of the system namely; (i) the different modes of solids motion observed in a transverse crosssection of the rotating cylinder for various rotational speeds, (ii) the radial mixing of the granular solid in terms of active layer depth (iii) rate coefficient of mixing as well as the transition behaviour in terms of the bed turnover time and rotational speed and (iv) the segregation mechanisms resulting from differences in the size and density of particles.The transition behaviour involving its six different modes of motion of the granular solid bed is quantified in terms of Froude number and the results obtained are validated with experimental and theoretical results reported in the literature The transition from slumping to rolling mode is quantified using the bed turnover time and a linear relationship is established between the bed turn over time and the inverse of the rotational speed of the cylinder as predicted by Davidson et al. [2000]. The effect of the rotational speed, fill fraction and coefficient of friction on the dynamic angle of repose are presented and discussed. The variation of active layer depth with respect to fill fraction and rotational speed have been investigated. The results obtained through simulation are compared with the experimental results reported by Van Puyvelde et. at. [2000] and Ding et at. [2002].The theoretical model has been further extended, to study the rmxmg and segregation in the transverse direction for different particle sizes and their size ratios. The effect of fill fraction and rotational speed on the transverse mixing behaviour is presented in the form of a mixing index and mixing kinetics curve. The segregation pattern obtained by the simulation of the granular solid bed with respect to the rotational speed of the cylinder is presented both in graphical and numerical forms. The segregation behaviour of the granular solid bed with respect to particle size, density and volume fraction of particle size has been investigated. Several important macro parameters characterising segregation such as mixing index, percolation index and segregation index have been derived from the simulation tool based on first principles developed in this work.

Modelling and Analysis of Bivariate Lifetime Data using Reversed Hazard Rates

Department of Statistics, Cochin University of Science and Technology

Consequence modelling,vulnerability assessment and fuzzy fault tree analysis of hazardous storages in an industrial area

The hazards associated with major accident hazard (MAH) industries are fire, explosion and toxic gas releases. Of these, toxic gas release is the worst as it has the potential to cause extensive fatalities. Qualitative and quantitative hazard analyses are essential for the identitication and quantification of the hazards associated with chemical industries. This research work presents the results of a consequence analysis carried out to assess the damage potential of the hazardous material storages in an industrial area of central Kerala, India. A survey carried out in the major accident hazard (MAH) units in the industrial belt revealed that the major hazardous chemicals stored by the various industrial units are ammonia, chlorine, benzene, naphtha, cyclohexane, cyclohexanone and LPG. The damage potential of the above chemicals is assessed using consequence modelling. Modelling of pool fires for naphtha, cyclohexane, cyclohexanone, benzene and ammonia are carried out using TNO model. Vapor cloud explosion (VCE) modelling of LPG, cyclohexane and benzene are carried out using TNT equivalent model. Boiling liquid expanding vapor explosion (BLEVE) modelling of LPG is also carried out. Dispersion modelling of toxic chemicals like chlorine, ammonia and benzene is carried out using the ALOHA air quality model. Threat zones for different hazardous storages are estimated based on the consequence modelling. The distance covered by the threat zone was found to be maximum for chlorine release from a chlor-alkali industry located in the area. The results of consequence modelling are useful for the estimation of individual risk and societal risk in the above industrial area.Vulnerability assessment is carried out using probit functions for toxic, thermal and pressure loads. Individual and societal risks are also estimated at different locations. Mapping of threat zones due to different incident outcome cases from different MAH industries is done with the help of Are GIS.Fault Tree Analysis (FTA) is an established technique for hazard evaluation. This technique has the advantage of being both qualitative and quantitative, if the probabilities and frequencies of the basic events are known. However it is often difficult to estimate precisely the failure probability of the components due to insufficient data or vague characteristics of the basic event. It has been reported that availability of the failure probability data pertaining to local conditions is surprisingly limited in India. This thesis outlines the generation of failure probability values of the basic events that lead to the release of chlorine from the storage and filling facility of a major chlor-alkali industry located in the area using expert elicitation and proven fuzzy logic. Sensitivity analysis has been done to evaluate the percentage contribution of each basic event that could lead to chlorine release. Two dimensional fuzzy fault tree analysis (TDFFTA) has been proposed for balancing the hesitation factor invo1ved in expert elicitation .

Qualitative Air Flow Modelling and Analysis of Data Centre Air Conditioning as Multiple Jet Array

Data centre is a centralized repository,either physical or virtual,for the storage,management and dissemination of data and information organized around a particular body and nerve centre of the present IT revolution.Data centre are expected to serve uniinterruptedly round the year enabling them to perform their functions,it consumes enormous energy in the present scenario.Tremendous growth in the demand from IT Industry made it customary to develop newer technologies for the better operation of data centre.Energy conservation activities in data centre mainly concentrate on the air conditioning system since it is the major mechanical sub-system which consumes considerable share of the total power consumption of the data centre.The data centre energy matrix is best represented by power utilization efficiency(PUE),which is defined as the ratio of the total facility power to the IT equipment power.Its value will be greater than one and a large value of PUE indicates that the sub-systems draw more power from the facility and the performance of the data will be poor from the stand point of energy conservation. PUE values of 1.4 to 1.6 are acievable by proper design and management techniques.Optimizing the air conditioning systems brings enormous opportunity in bringing down the PUE value.The air conditioning system can be optimized by two approaches namely,thermal management and air flow management.thermal management systems are now introduced by some companies but they are highly sophisticated and costly and do not catch much attention in the thumb rules.

Modelling and Analysis of Recurrent Event Data with Multiple Causes

This thesis Entitled “modelling and analysis of recurrent event data with multiple causes.Survival data is a term used for describing data that measures the time to occurrence of an event.In survival studies, the time to occurrence of an event is generally referred to as lifetime.Recurrent event data are commonly encountered in longitudinal studies when individuals are followed to observe the repeated occurrences of certain events. In many practical situations, individuals under study are exposed to the failure due to more than one causes and the eventual failure can be attributed to exactly one of these causes.The proposed model was useful in real life situations to study the effect of covariates on recurrences of certain events due to different causes.In Chapter 3, an additive hazards model for gap time distributions of recurrent event data with multiple causes was introduced. The parameter estimation and asymptotic properties were discussed .In Chapter 4, a shared frailty model for the analysis of bivariate competing risks data was presented and the estimation procedures for shared gamma frailty model, without covariates and with covariates, using EM algorithm were discussed. In Chapter 6, two nonparametric estimators for bivariate survivor function of paired recurrent event data were developed. The asymptotic properties of the estimators were studied. The proposed estimators were applied to a real life data set. Simulation studies were carried out to find the efficiency of the proposed estimators.

Statistics of avalanches in martensitic transformations, II. Modelling

Using a scaling assumption, we propose a phenomenological model aimed to describe the joint probability distribution of two magnitudes A and T characterizing the spatial and temporal scales of a set of avalanches. The model also describes the correlation function of a sequence of such avalanches. As an example we study the joint distribution of amplitudes and durations of the acoustic emission signals observed in martensitic transformations [Vives et al., preceding paper, Phys. Rev. B 52, 12 644 (1995)].