Essays on optimal fiscal and monetary policies

Cette thèse se compose de trois articles sur les politiques budgétaires et monétaires optimales. Dans le premier article, J'étudie la détermination conjointe de la politique budgétaire et monétaire optimale dans un cadre néo-keynésien avec les marchés du travail frictionnels, de la monnaie et avec distortion des taux d'imposition du revenu du travail. Dans le premier article, je trouve que lorsque le pouvoir de négociation des travailleurs est faible, la politique Ramsey-optimale appelle à un taux optimal d'inflation annuel significativement plus élevé, au-delà de 9.5%, qui est aussi très volatile, au-delà de 7.4%. Le gouvernement Ramsey utilise l'inflation pour induire des fluctuations efficaces dans les marchés du travail, malgré le fait que l'évolution des prix est coûteuse et malgré la présence de la fiscalité du travail variant dans le temps. Les résultats quantitatifs montrent clairement que le planificateur s'appuie plus fortement sur l'inflation, pas sur l'impôts, pour lisser les distorsions dans l'économie au cours du cycle économique. En effet, il ya un compromis tout à fait clair entre le taux optimal de l'inflation et sa volatilité et le taux d'impôt sur le revenu optimal et sa variabilité. Le plus faible est le degré de rigidité des prix, le plus élevé sont le taux d'inflation optimal et la volatilité de l'inflation et le plus faible sont le taux d'impôt optimal sur le revenu et la volatilité de l'impôt sur le revenu. Pour dix fois plus petit degré de rigidité des prix, le taux d'inflation optimal et sa volatilité augmentent remarquablement, plus de 58% et 10%, respectivement, et le taux d'impôt optimal sur le revenu et sa volatilité déclinent de façon spectaculaire. Ces résultats sont d'une grande importance étant donné que dans les modèles frictionnels du marché du travail sans politique budgétaire et monnaie, ou dans les Nouveaux cadres keynésien même avec un riche éventail de rigidités réelles et nominales et un minuscule degré de rigidité des prix, la stabilité des prix semble être l'objectif central de la politique monétaire optimale. En l'absence de politique budgétaire et la demande de monnaie, le taux d'inflation optimal tombe très proche de zéro, avec une volatilité environ 97 pour cent moins, compatible avec la littérature. Dans le deuxième article, je montre comment les résultats quantitatifs impliquent que le pouvoir de négociation des travailleurs et les coûts de l'aide sociale de règles monétaires sont liées négativement. Autrement dit, le plus faible est le pouvoir de négociation des travailleurs, le plus grand sont les coûts sociaux des règles de politique monétaire. Toutefois, dans un contraste saisissant par rapport à la littérature, les règles qui régissent à la production et à l'étroitesse du marché du travail entraînent des coûts de bien-être considérablement plus faible que la règle de ciblage de l'inflation. C'est en particulier le cas pour la règle qui répond à l'étroitesse du marché du travail. Les coûts de l'aide sociale aussi baisse remarquablement en augmentant la taille du coefficient de production dans les règles monétaires. Mes résultats indiquent qu'en augmentant le pouvoir de négociation du travailleur au niveau Hosios ou plus, les coûts de l'aide sociale des trois règles monétaires diminuent significativement et la réponse à la production ou à la étroitesse du marché du travail n'entraîne plus une baisse des coûts de bien-être moindre que la règle de ciblage de l'inflation, qui est en ligne avec la littérature existante. Dans le troisième article, je montre d'abord que la règle Friedman dans un modèle monétaire avec une contrainte de type cash-in-advance pour les entreprises n’est pas optimale lorsque le gouvernement pour financer ses dépenses a accès à des taxes à distorsion sur la consommation. Je soutiens donc que, la règle Friedman en présence de ces taxes à distorsion est optimale si nous supposons un modèle avec travaie raw-efficace où seule le travaie raw est soumis à la contrainte de type cash-in-advance et la fonction d'utilité est homothétique dans deux types de main-d'oeuvre et séparable dans la consommation. Lorsque la fonction de production présente des rendements constants à l'échelle, contrairement au modèle des produits de trésorerie de crédit que les prix de ces deux produits sont les mêmes, la règle Friedman est optimal même lorsque les taux de salaire sont différents. Si la fonction de production des rendements d'échelle croissant ou decroissant, pour avoir l'optimalité de la règle Friedman, les taux de salaire doivent être égales.

Avaliação espectrofotométrica do manchamento de resinas odontológicas contendo nanopartículas

Composite resins have been subjected to structural modifications aiming at improved optical and mechanical properties. The present study consisted in an in vitro evaluation of the staining behavior of two nanohybrid resins (NH1 and NH2), a nanoparticulated resin (NP) and a microhybrid resin (MH). Samples of these materials were prepared and immersed in commonly ingested drinks, i.e., coffee, red wine and acai berry for periods of time varying from 1 to 60 days. Cylindrical samples of each resin were shaped using a metallic die and polymerized during 30 s both on the bottom and top of its disk. All samples were polished and immersed in the staining solutions. After 24 hours, three samples of each resin immersed in each solution were removed and placed in a spectrofotome ter for analysis. To that end, the samples were previously diluted in HCl at 50%. Tukey tests were carried out in the statistical analysis of the results. The results revealed that there was a clear difference in the staining behavior of each material. The nanoparticulated resin did not show better color stability compared to the microhybrid resin. Moreover, all resins stained with time. The degree of staining decreased in the sequence nanoparticulated, microhybrid, nanohybrid MH2 and MH1. Wine was the most aggressive drink followed by coffee and acai berry. SEM and image analysis revealed significant porosity on the surface of MH resin and relatively large pores on a NP sample. The NH2 resin was characterized by homogeneous dispersion of particles and limited porosity. Finally, the NH1 resin depicted the lowest porosity level. The results revealed that staining is likely related to the concentration of inorganic pa rticles and surface porosity

Wave impedance selection for passivity-based bilateral teleoperation

When a task must be executed in a remote or dangerous environment, teleoperation systems may be employed to extend the influence of the human operator. In the case of manipulation tasks, haptic feedback of the forces experienced by the remote (slave) system is often highly useful in improving an operator's ability to perform effectively. In many of these cases (especially teleoperation over the internet and ground-to-space teleoperation), substantial communication latency exists in the control loop and has the strong tendency to cause instability of the system. The first viable solution to this problem in the literature was based on a scattering/wave transformation from transmission line theory. This wave transformation requires the designer to select a wave impedance parameter appropriate to the teleoperation system. It is widely recognized that a small value of wave impedance is well suited to free motion and a large value is preferable for contact tasks. Beyond this basic observation, however, very little guidance exists in the literature regarding the selection of an appropriate value. Moreover, prior research on impedance selection generally fails to account for the fact that in any realistic contact task there will simultaneously exist contact considerations (perpendicular to the surface of contact) and quasi-free-motion considerations (parallel to the surface of contact). The primary contribution of the present work is to introduce an approximate linearized optimum for the choice of wave impedance and to apply this quasi-optimal choice to the Cartesian reality of such a contact task, in which it cannot be expected that a given joint will be either perfectly normal to or perfectly parallel to the motion constraint. The proposed scheme selects a wave impedance matrix that is appropriate to the conditions encountered by the manipulator. This choice may be implemented as a static wave impedance value or as a time-varying choice updated according to the instantaneous conditions encountered. A Lyapunov-like analysis is presented demonstrating that time variation in wave impedance will not violate the passivity of the system. Experimental trials, both in simulation and on a haptic feedback device, are presented validating the technique. Consideration is also given to the case of an uncertain environment, in which an a priori impedance choice may not be possible.

The transformed-stationary approach: a generic and simplified methodology for non-stationary extreme value analysis

Statistical approaches to study extreme events require, by definition, long time series of data. In many scientific disciplines, these series are often subject to variations at different temporal scales that affect the frequency and intensity of their extremes. Therefore, the assumption of stationarity is violated and alternative methods to conventional stationary extreme value analysis (EVA) must be adopted. Using the example of environmental variables subject to climate change, in this study we introduce the transformed-stationary (TS) methodology for non-stationary EVA. This approach consists of (i) transforming a non-stationary time series into a stationary one, to which the stationary EVA theory can be applied, and (ii) reverse transforming the result into a non-stationary extreme value distribution. As a transformation, we propose and discuss a simple time-varying normalization of the signal and show that it enables a comprehensive formulation of non-stationary generalized extreme value (GEV) and generalized Pareto distribution (GPD) models with a constant shape parameter. A validation of the methodology is carried out on time series of significant wave height, residual water level, and river discharge, which show varying degrees of long-term and seasonal variability. The results from the proposed approach are comparable with the results from (a) a stationary EVA on quasi-stationary slices of non-stationary series and (b) the established method for non-stationary EVA. However, the proposed technique comes with advantages in both cases. For example, in contrast to (a), the proposed technique uses the whole time horizon of the series for the estimation of the extremes, allowing for a more accurate estimation of large return levels. Furthermore, with respect to (b), it decouples the detection of non-stationary patterns from the fitting of the extreme value distribution. As a result, the steps of the analysis are simplified and intermediate diagnostics are possible. In particular, the transformation can be carried out by means of simple statistical techniques such as low-pass filters based on the running mean and the standard deviation, and the fitting procedure is a stationary one with a few degrees of freedom and is easy to implement and control. An open-source MAT-LAB toolbox has been developed to cover this methodology, which is available at https://github.com/menta78/tsEva/(Mentaschi et al., 2016).

História de aprendizagem e seus contextos : uma análise comportamental das aquisições corporativas

Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Programa de Pós-Graduação em Administração, 2016.

Sintonia automática de controladores PID: uma abordagem neuro - genética

Dissertação de dout. em Electrónica e Computação, Faculdade de Ciências e Tecnologia, Univ. do Algarve, 2004

Evaluating tests for convergence of economic series using Monte Carlo methods with an application to real GDP's per head.

Doutoramento em Economia.

Is change in global self-rated health associated with change in affiliation with a primary care provider? Findings from a longitudinal study from New Zealand

To investigate the association of self-rated health and affiliation with a primary care provider (PCP) in New Zealand.
Methods

We used data from a New Zealand panel study of 22,000 adults. The main exposure was self-rated health, and the main outcome measure was affiliation with a PCP. Fixed effects conditional logistic models were used to control for observed time-varying and unobserved time-invariant confounding.
Results

In any given wave, the odds of being affiliated with a PCP were higher for those in good and fair/poor health relative to those in excellent health. While affiliation for Europeans increased as reported health declined, the odds of being affiliated were lower for Māori respondents reporting very good or good health relative to those in excellent health. No significant differences in the association by age or gender were observed.
Conclusions

Our data support the hypothesis that those in poorer health are more likely to be affiliated with a PCP. Variations in affiliation for Māori could arise for several reasons, including differences in care-seeking behaviour and perceived need of care. It may also mean that the message about the benefits of primary health care is not getting through equally to all population groups.

Housing tenure and affordability and mental health following disability acquisition in adulthood

Acquiring a disability in adulthood is associated with a reduction in mental health and access to secure and affordable housing is associated with better mental health. We hypothesised that the association between acquisition of disability and mental health is modified by housing tenure and affordability. We used twelve annual waves of data (2001-2012) (1913 participants, 13,037 observations) from the Household, Income and Labour Dynamics in Australia survey. Eligible participants reported at least two consecutive waves of disability preceded by two consecutive waves without disability. Effect measure modification, on the additive scale, was tested in three fixed-effects linear regression models (which remove time-invariant confounding) which included a cross-product term between disability and prior housing circumstances: housing tenure by disability; housing affordability by disability and, in a sub-sample (896 participants 5913 observations) with housing costs, tenure/affordability by disability. The outcome was the continuous mental component summary (MCS) of SF-36. Models adjusted for time-varying confounders. There was statistical evidence that prior housing modified the effect of disability acquisition on mental health. Our findings suggested that those in affordable housing had a -1.7 point deterioration in MCS (95% CI -2.1, -1.3) following disability acquisition and those in unaffordable housing had a -4.2 point reduction (95% CI -5.2, -1.4). Among people with housing costs, the largest declines in MCS were for people with unaffordable mortgages (-5.3, 95% CI -8.8, -1.9) and private renters in unaffordable housing (-4.0, 95% CI -6.3, -1.6), compared to a -1.4 reduction (95% CI -2.1, -0.7) for mortgagors in affordable housing. In sum, we used causally-robust fixed-effects regression and showed that deterioration in mental health following disability acquisition is modified by prior housing circumstance with the largest negative associations found for those in unaffordable housing. Future research should test whether providing secure, affordable housing when people acquire a disability prevents deterioration in mental health.

Stock return predictability and determinants of predictability and profits

We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time-varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing.

Effect of data length and bin numbers on distribution entropy (DistEn) measurement in analyzing healthy aging

Complexity analysis of a given time series is executed using various measures of irregularity, the most commonly used being Approximate entropy (ApEn), Sample entropy (SampEn) and Fuzzy entropy (FuzzyEn). However, the dependence of these measures on the critical parameter of tolerance `r' leads to precarious results, owing to random selections of r. Attempts to eliminate the use of r in entropy calculations introduced a new measure of entropy namely distribution entropy (DistEn) based on the empirical probability distribution function (ePDF). DistEn completely avoids the use of a variance dependent parameter like r and replaces it by a parameter M, which corresponds to the number of bins used in the histogram to calculate it. When tested for synthetic data, M has been observed to produce a minimal effect on DistEn as compared to the effect of r on other entropy measures. Also, DistEn is said to be relatively stable with data length (N) variations, as far as synthetic data is concerned. However, these claims have not been analyzed for physiological data. Our study evaluates the effect of data length N and bin number M on the performance of DistEn using both synthetic and physiologic time series data. Synthetic logistic data of `Periodic' and `Chaotic' levels of complexity and 40 RR interval time series belonging to two groups of healthy aging population (young and elderly) have been used for the analysis. The stability and consistency of DistEn as a complexity measure as well as a classifier have been studied. Experiments prove that the parameters N and M are more influential in deciding the efficacy of DistEn performance in the case of physiologic data than synthetic data. Therefore, a generalized random selection of M for a given data length N may not always be an appropriate combination to yield good performance of DistEn for physiologic data.

Continuous and jump betas: implications for portfolio diversification

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We demonstrate how continuous and discontinuous betas decrease with portfolio diversification. Using an equiweighted broad market index, we assess the speed of convergence of continuous and discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster with fewer stocks in a portfolio compared to its continuous counterpart.

Is cost-related non-collection of prescriptions associated with a reduction in health? Findings from a large-scale longitudinal study of New Zealand adults

OBJECTIVE: To investigate whether cost-related non-collection of prescription medication is associated with a decline in health. SETTINGS: New Zealand Survey of Family, Income and Employment (SoFIE)-Health. PARTICIPANTS: Data from 17 363 participants with at least two observations in three waves (2004-2005, 2006-2007, 2008-2009) of a panel study were analysed using fixed effects regression modelling. PRIMARY OUTCOME MEASURES: Self-rated health (SRH), physical health (PCS) and mental health scores (MCS) were the health measures used in this study. RESULTS: After adjusting for time-varying confounders, non-collection of prescription items was associated with a 0.11 (95% CI 0.07 to 0.15) unit worsening in SRH, a 1.00 (95% CI 0.61 to 1.40) unit decline in PCS and a 1.69 (95% CI 1.19 to 2.18) unit decline in MCS. The interaction of the main exposure with gender was significant for SRH and MCS. Non-collection of prescription items was associated with a decline in SRH of 0.18 (95% CI 0.11 to 0.25) units for males and 0.08 (95% CI 0.03 to 0.13) units for females, and a decrease in MCS of 2.55 (95% CI 1.67 to 3.42) and 1.29 (95% CI 0.70 to 1.89) units for males and females, respectively. The interaction of the main exposure with age was significant for SRH. For respondents aged 15-24 and 25-64 years, non-collection of prescription items was associated with a decline in SRH of 0.12 (95% CI 0.03 to 0.21) and 0.12 (95% CI 0.07 to 0.17) units, respectively, but for respondents aged 65 years and over, non-collection of prescription items had no significant effect on SRH. CONCLUSION: Our results show that those who do not collect prescription medications because of cost have an increased risk of a subsequent decline in health.

Determining the size of PHEV charging stations powered by commercial grid-integrated PV systems considering reactive power support

Due to low electricity rates at nighttime, home charging for electric vehicles (EVs) is conventionally favored. However, the recent tendency in support of daytime workplace charging that absorbs energy produced by solar photovoltaic (PV) panels appears to be the most promising solution to facilitating higher PV and EV penetration in the power grid. This paper studies optimal sizing of workplace charging stations considering probabilistic reactive power support for plug-in hybrid electric vehicles (PHEVs), which are powered by PV units in medium voltage (MV) commercial networks. In this study, analytical expressions are first presented to estimate the size of charging stations integrated with PV units with an objective of minimizing energy losses. These stations are capable of providing reactive power support to the main grid in addition to charging PHEVs while considering the probability of PV generation. The study is further extended to investigate the impact of time-varying voltage-dependent charging load models on PV penetration. The simulation results obtained on an 18-bus test distribution system show that various charging load models can produce dissimilar levels of PHEV and PV penetration. Particularly, the maximum energy loss and peak load reductions are achieved at 70.17% and 42.95% respectively for the mixed charging load model, where the system accommodates respective PHEV and PV penetration levels of 9.51% and 50%. The results of probabilistic voltage distributions are also thoroughly reported in the paper.

Robust adaptive backstepping controller design for DC-DC buck converters with external disturbances

In modern power electronic systems, DC-DC converter is one of the main controlled power sources for driving DC systems. But the inherent nonlinear and time-varying characteristics often result in some difficulties mostly related to the control issue. This paper presents a robust nonlinear adaptive controller design with a recursive methodology based on the pulse width modulation (PWM) to drive a DC-DC buck converter. The proposed controller is designed based on the dynamical model of the buck converter where all parameters within the model are assumed as unknown. These unknown parameters are estimated through the adaptation laws and the stability of these laws are ensured by formulating suitable control Lyapunov functions (CLFs) at different stages. The proposed control scheme also provides robustness against external disturbances as these disturbances are considered within the model. One of the main features of the proposed scheme is that it overcomes the over-parameterization problems of unknown parameters which usually appear in some conventional adaptive methods. Finally, the effectiveness of the proposed control scheme is verified through the simulation results and compared to that of an existing adaptive backstepping controller. Simulation results clearly indicate the performance improvement in terms of a faster output voltage tracking response.