Oil price shocks and the Portuguese economy since the 1970s

This paper assesses empirically the effect of oil price shocks on Portuguese aggregate economic activity, industrial production and price level. We take the usual multivariate VAR methodology to investigate the magnitude and stability of this relationship. In doing so, we follow the approach presented in the recent literature and adopt different oil price specifications. We conclude that, as for most industrialized countries, the nature of this relationship changed in the mid-1980s. Furthermore, we show that the main Portuguese macroeconomic variables have become progressively less responsive to oil shocks and the adjustment towards equilibrium has become increasingly faster.

Macroeconomic effects of monetary policy in the Eurozone

To study the macroeconomic effects of unconventional monetary policy across the different countries of the eurozone, I develop an identification scheme to disentangle conventional from non-conventional policy shocks, using futures contracts on overnight interest rates and the size of the European Central Bank balance sheet. Setting these shocks as endogenous variables in a structural vector autoregressive (SVAR) model, along with the CPI and the employment rate, estimated impulse response functions of policy to macroeconomic variables are studied. I find that unconventional policy shocks generated mixed effects in inflation but had a positive impact on employment, with the exception of Portugal, Spain, Greece and Italy where the employment response is close to zero or negative. The heterogeneity that characterizes the responses shows that the monetary policy measures taken in recent years were not sufficient to stabilize the economies of the eurozone countries under more severe economic conditions.

Energy and carbon prices: a comparison of interactions in the European Union Emissions Trading Scheme and the Western Climate Initiative market

We provide a comparative analysis of how short-run variations in carbon and energy prices relate to each other in the emerging greenhouse gas market in California (Western Climate Initiative [WCI], and the European Union Emission Trading Scheme [EU ETS]). We characterize the relationship between carbon, gas, coal, electricity and gasoline prices and an indicator for economic activity, and present a first analysis of carbon prices in the WCI. We also provide a comparative analysis of the structures of the two markets. We estimate a vector autoregressive model and the impulse--response functions. Our main findings show a positive impact from a carbon shock toward electricity, in both markets, but larger in the WCI electricity price, indicating more efficiency. We propose that the widening of carbon market sectors, namely fuels transport and electricity imports, may contribute to this result. To conclude, the research shows significant and coherent relations between variables in WCI, which demonstrate some degree of success for a first year in operation. Reversely, the EU ETS should complete its intended market reform, to allow for more impact of the carbon price. Finally, in both markets, there is no evidence of carbon pricing depleting economic activity.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada

VAR methods have been used to model the inter-relationships between inflows and outfl ows into unemployment and vacancies using tools such as impulse response analysis. In order to investigate whether such impulse responses change over the course of the business cycle or or over time, this paper uses TVP-VARs for US and Canadian data. For the US, we find interesting differences between the most recent recession and earlier recessions and expansions. In particular, we find the immediate effect of a negative shock on both in ow and out flow hazards to be larger in 2008 than in earlier times. Furthermore, the effect of this shock takes longer to decay. For Canada, we fi nd less evidence of time-variation in impulse responses.

Heterogeneous dynamics, aggregation and the persistence of economic shocks

It has been recently emphasized that, if individuals have heterogeneous dynamics, estimates of shock persistence based on aggregate data are significatively higher than those derived from its disaggregate counterpart. However, a careful examination of the implications of this statement on the various tools routinely employed to measure persistence is missing in the literature. This paper formally examines this issue. We consider a disaggregate linear model with heterogeneous dynamics and compare the values of several measures of persistence across aggregation levels. Interestingly, we show that the average persistence of aggregate shocks, as measured by the impulse response function (IRF) of the aggregate model or by the average of the individual IRFs, is identical on all horizons. This result remains true even in situations where the units are (short-memory) stationary but the aggregate process is long-memory or even nonstationary. In contrast, other popular persistence measures, such as the sum of the autoregressive coefficients or the largest autoregressive root, tend to be higher the higher the aggregation level. We argue, however, that this should be seen more as an undesirable property of these measures than as evidence of different average persistence across aggregation levels. The results are illustrated in an application using U.S. inflation data.

No news in business cycles

This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology.

Visual representation of food in the brain : effects of repeated exposure and gut hormone secretion

The thesis at hand is concerned with the spatio-temporal brain mechanisms of visual food perception as investigated by electrical neuroimaging. Due to the increasing prevalence of obesity and its associated challenges for public health care, there is a need to better understand behavioral and brain processes underlying food perception and food-based decision-making. The first study (Study A) of this thesis was concerned with the role of repeated exposure to visual food cues. In our everyday lives we constantly and repeatedly encounter food and these exposures influence our food choices and preferences. In Study A, we therefore applied electrical neuroimaging analyses of visual evoked potentials to investigate the spatio-temporal brain dynamics linked to the repeated viewing of high- and low-energy food cues (published manuscript: "The role of energetic value in dynamic brain response adaptation during repeated food image viewing" (Lietti et al., 2012)). In this study, we found that repetitions differentially affect behavioral and brain mechanisms when high-energy, as opposed to low-energy foods and non-food control objects, were viewed. The representation of high-energy food remained invariant between initial and repeated exposures indicating that the sight of high-energy dense food induces less behavioral and neural adaptation than the sight of low-energy food and non-food control objects. We discuss this finding in the context of the higher salience (due to greater motivation and higher reward or hedonic valuation) of energy- dense food that likely generates a more mnemonically stable representation. In turn, this more invariant representation of energy-dense food is supposed to (partially) explain why these foods are over-consumed despite of detrimental health consequences. In Study Β we investigated food responsiveness in patients who had undergone Roux-en-Y gastric bypass surgery to overcome excessive obesity. This type of gastric bypass surgery is not only known to alter food appreciation, but also the secretion patterns of adipokines and gut peptides. Study Β aimed at a comprehensive and interdisciplinary investigation of differences along the gut-brain axis in bypass-operated patients as opposed to weight-matched non-operated controls. On the one hand, the spatio-temporal brain dynamics to the visual perception of high- vs. low-energy foods under differing states of motivation towards food intake (i.e. pre- and post-prandial) were assessed and compared between groups. On the other hand, peripheral gut hormone measures were taken in pre- and post-prandial nutrition state and compared between groups. In order to evaluate alterations in the responsiveness along the gut-brain-axis related to gastric bypass surgery, correlations between both measures were compared between both participant groups. The results revealed that Roux-en- Y gastric bypass surgery alters the spatio-temporal brain dynamics to the perception of high- and low-energy food cues, as well as the responsiveness along the gut-brain-axis. The potential role of these response alterations is discussed in relation to previously observed changes in physiological factors and food intake behavior post-Roux-en-Y gastric bypass surgery. By doing so, we highlight potential behavioral, neural and endocrine (i.e. gut hormone) targets for the future development of intervention strategies for deviant eating behavior and obesity. Together, the studies showed that the visual representation of foods in the brain is plastic and that modulations in neural activity are already noted at early stages of visual processing. Different factors of influence such as a repeated exposure, Roux-en-Y gastric bypass surgery, motivation (nutrition state), as well as the energy density of the visually perceived food were identified. En raison de la prévalence croissante de l'obésité et du défi que cela représente en matière de santé publique, une meilleure compréhension des processus comportementaux et cérébraux liés à la nourriture sont nécessaires. En particulier, cette thèse se concentre sur l'investigation des mécanismes cérébraux spatio-temporels liés à la perception visuelle de la nourriture. Nous sommes quotidiennement et répétitivement exposés à des images de nourriture. Ces expositions répétées influencent nos choix, ainsi que nos préférences alimentaires. La première étude (Study A) de cette thèse investigue donc l'impact de ces exposition répétée à des stimuli visuels de nourriture. En particulier, nous avons comparé la dynamique spatio-temporelle de l'activité cérébrale induite par une exposition répétée à des images de nourriture de haute densité et de basse densité énergétique. (Manuscrit publié: "The role of energetic value in dynamic brain response adaptation during repeated food image viewing" (Lietti et al., 2012)). Dans cette étude, nous avons pu constater qu'une exposition répétée à des images représentant de la nourriture de haute densité énergétique, par opposition à de la nourriture de basse densité énergétique, affecte les mécanismes comportementaux et cérébraux de manière différente. En particulier, la représentation neurale des images de nourriture de haute densité énergétique est similaire lors de l'exposition initiale que lors de l'exposition répétée. Ceci indique que la perception d'images de nourriture de haute densité énergétique induit des adaptations comportementales et neurales de moindre ampleur par rapport à la perception d'images de nourriture de basse densité énergétique ou à la perception d'une « catégorie contrôle » d'objets qui ne sont pas de la nourriture. Notre discussion est orientée sur les notions prépondérantes de récompense et de motivation qui sont associées à la nourriture de haute densité énergétique. Nous suggérons que la nourriture de haute densité énergétique génère une représentation mémorielle plus stable et que ce mécanisme pourrait (partiellement) être sous-jacent au fait que la nourriture de haute densité énergétique soit préférentiellement consommée. Dans la deuxième étude (Study Β) menée au cours de cette thèse, nous nous sommes intéressés aux mécanismes de perception de la nourriture chez des patients ayant subi un bypass gastrique Roux- en-Y, afin de réussir à perdre du poids et améliorer leur santé. Ce type de chirurgie est connu pour altérer la perception de la nourriture et le comportement alimentaire, mais également la sécrétion d'adipokines et de peptides gastriques. Dans une approche interdisciplinaire et globale, cette deuxième étude investigue donc les différences entre les patients opérés et des individus « contrôles » de poids similaire au niveau des interactions entre leur activité cérébrale et les mesures de leurs hormones gastriques. D'un côté, nous avons investigué la dynamique spatio-temporelle cérébrale de la perception visuelle de nourriture de haute et de basse densité énergétique dans deux états physiologiques différent (pre- et post-prandial). Et de l'autre, nous avons également investigué les mesures physiologiques des hormones gastriques. Ensuite, afin d'évaluer les altérations liées à l'intervention chirurgicale au niveau des interactions entre la réponse cérébrale et la sécrétion d'hormone, des corrélations entre ces deux mesures ont été comparées entre les deux groupes. Les résultats révèlent que l'intervention chirurgicale du bypass gastrique Roux-en-Y altère la dynamique spatio-temporelle de la perception visuelle de la nourriture de haute et de basse densité énergétique, ainsi que les interactions entre cette dernière et les mesures périphériques des hormones gastriques. Nous discutons le rôle potentiel de ces altérations en relation avec les modulations des facteurs physiologiques et les changements du comportement alimentaire préalablement déjà démontrés. De cette manière, nous identifions des cibles potentielles pour le développement de stratégies d'intervention future, au niveau comportemental, cérébral et endocrinien (hormones gastriques) en ce qui concerne les déviances du comportement alimentaire, dont l'obésité. Nos deux études réunies démontrent que la représentation visuelle de la nourriture dans le cerveau est plastique et que des modulations de l'activité neurale apparaissent déjà à un stade très précoce des mécanismes de perception visuelle. Différents facteurs d'influence comme une exposition repetee, le bypass gastrique Roux-en-Y, la motivation (état nutritionnel), ainsi que la densité énergétique de la nourriture qui est perçue ont pu être identifiés.

Disseny d'un sistema de filtrat d'àudio

Tant el medi transmissor com els equips d'enregistrament o reproducció de so introdueixen components de soroll d'alta freqüència als senyals. En aquest treball de final de carrera (TFC), s'ha dissenyat i implementat un sistema de filtrat d'àudio encaminat a filtrar aquestes components d'alta freqüència. Donat que l'oïda humana no pot percebre sons de més de 20 kHz, s'ha considerat aquest límit com a freqüència màxima a mantenir en la senyal.S'ha començat estudiant el senyal problema a través del seu espectre de freqüències simulat mitjançant la transformada discreta de Fourier (DFT, en anglès). Una vegada identificades les components d'alta freqüència a atenuar, s'han estudiat les diferents opcions de filtre passabaix.Inicialment, s'ha valorat la possibilitat del disseny de filtres analògics de Butterworth o Chebyshev, o de filtres digitals de tipus IIR (Infinite Impulse Response) basats en els primers. Tanmateix, malgrat assolir les especificacions en magnitud, mitjançant aquest filtres no s'obté una fase lineal en la banda de pas. Per això, s'ha realitzat un disseny de filtre digital tipus FIR (Finite Infinite Response) que compleix estrictament amb les especificacions i presenta una fase lineal en la banda de pas. S'ha simulat el comportament d'aquest filtre amb el senyal problema per tal d'assegurar el seu correcte funcionament.A continuació, s'ha implementat aquest últim disseny en llenguatge C i compilat per un microcontrolador de l'empresa Microchip. S'han realitzat proves de simulació mitjançant Stimulus del programa MPLAB. En definitiva, s'ha dissenyat un filtre passabaix de tipus FIR per acondicionar una senyal d'àudio que posteriorment s'ha implementat en un microcontrolador de Microchip.

Shocking policy coefficients

This paper proposes an empirical framework to study the effects of a policy regime change defined as an unpredictable and permanent change in the policy parameters. In particular I show how to make conditional forecast and perform impulse response functions and counterfactual analysis. As an application, the effects of changes in fiscal policy rules in the US are investigated. I find that discretionary fiscal policy has become more countercyclical over the last decades. In absence of such a change, surplus would have been higher, debt lower and output gap more volatile but only until mid 80s. An increase in the degree of counter-cyclicality of fiscal policy has a positive effect on output gap in periods where the level of debt-to-GDP ratio is low and a zero or negative effect when the ratio is high. This explains why a more countercylical stance of the systematic fiscal policy taking place in 2008:II is predicted to be rather ineffective for recovering from the crisis.

The Persistence of Inflation in OECDCountries: a Fractionally Integrated Approach

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a plausible explanation for the existing contradictory results. We consider the inflation rates of 21 OECD countries which are modelled as fractionally integrated (FI) processes. First, we show analytically that FI can appear in inflation rates after aggregating individual prices from firms that face different costs of adjusting their prices. Then, we provide robust empirical evidence supporting the FI hypothesis using both classical and Bayesian techniques. Next, we estimate impulse response functions and other scalar measures of persistence, achieving an accurate picture of this property and its variation across countries. It is shown that the application of some popular tools for measuring persistence, such as the sum of the AR coefficients, could lead to erroneous conclusions if fractional integration is present. Finally, we explore the existence of changes in inflation inertia using a novel approach. We conclude that the persistence of inflation is very high (although non-permanent) in most post-industrial countries and that it has remained basically unchanged over the last four decades.

The persistence of inflation in OECD countries: A fractionally integrated approach

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a plausible explanation for the existing contradictory results. We consider the inflation rates of 21 OECD countries which are modelled as fractionally integrated (FI) processes. First, we show analytically that FI can appear in inflation rates after aggregating individual prices from firms that face different costs of adjusting their prices. Then, we provide robust empirical evidence supporting the FI hypothesis using both classical and Bayesian techniques. Next, we estimate impulse response functions and other scalar measures of persistence, achieving an accurate picture of this property and its variation across countries. It is shown that the application of some popular tools for measuring persistence, such as the sum of the AR coefficients, could lead to erroneous conclusions if fractional integration is present. Finally, we explore the existence of changes in inflation inertia using a novel approach. We conclude that the persistence of inflation is very high (although non-permanent) in most post-industrial countries and that it has remained basically unchanged over the last four decades.

Optimal taxation without state-contingent debt

To recover a version of Barro's (1979) `random walk'tax smoothing outcome, we modify Lucas and Stokey's (1983) economyto permit only risk--free debt. This imparts near unit root like behaviorto government debt, independently of the government expenditureprocess, a realistic outcome in the spirit of Barro's. We showhow the risk--free--debt--only economy confronts the Ramsey plannerwith additional constraints on equilibrium allocations thattake the form of a sequence of measurability conditions.We solve the Ramsey problem by formulating it in terms of a Lagrangian,and applying a Parameterized Expectations Algorithm tothe associated first--order conditions. The first--order conditions andnumerical impulse response functions partially affirmBarro's random walk outcome. Though the behaviors oftax rates, government surpluses, and government debts differ, allocationsare very close for computed Ramsey policies across incomplete and completemarkets economies.

Enhanced MDIR receiver for space-time dispersive channels

A particular property of the matched desiredimpulse response receiver is introduced in this paper, namely,the fact that full exploitation of the diversity is obtained withmultiple beamformers when the channel is spatially and timelydispersive. This particularity makes the receiver specially suitablefor mobile and underwater communications. The new structureprovides better performance than conventional and weightedVRAKE receivers, and a diversity gain with no needs of additionalradio frequency equipment. The baseband hardware neededfor this new receiver may be obtained through reconfigurabilityof the RAKE architectures available at the base station. Theproposed receiver is tested through simulations assuming UTRAfrequency-division-duplexing mode.

Joint array combining and MLSE for single-user receivers in multipath Gaussian multiuser channels

The well-known structure of an array combiner along with a maximum likelihood sequence estimator (MLSE) receiveris the basis for the derivation of a space-time processor presentinggood properties in terms of co-channel and intersymbol interferencerejection. The use of spatial diversity at the receiver front-endtogether with a scalar MLSE implies a joint design of the spatialcombiner and the impulse response for the sequence detector. Thisis faced using the MMSE criterion under the constraint that thedesired user signal power is not cancelled, yielding an impulse responsefor the sequence detector that is matched to the channel andcombiner response. The procedure maximizes the signal-to-noiseratio at the input of the detector and exhibits excellent performancein realistic multipath channels.