Equilibria in exchange economies with financial constraints : beyond the Cass trick

We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security prices. This result is based on a trick initiated by Cass [4] in which one unconstrained agent behaves as if he were in complete markets. This approach is unsatisfactory since it is asymmetric and no more valid when every agent is subject to frictions. We propose a new and symmetric approach to prove that arbitrage-free security prices still fully characterize equilibrium security prices in the more realistic situation where the financiaI market is constrained by convex restrictions, provided that financiaI markets are collectively frictionless.

Endogenous borrowing constraints and default when markets are incomplete

Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. This paper endogenizes borrowing constraints as an intertemporal incentive structure to default. It modeIs an infinitehorizon economy, where agents are allowed not to pay their liabilities and face borrowing constraints that depend on the individual history of default. Those constraints trade off the economy's risk-sharing possibilities and incentives to prevent default. The equilibrium presents stationary properties, such as an invariant distribution for the assets' solvency rate.

Firm financial constraints and the impact of monetary policy: evidence from financial conglomerates

Building on recent evidence on the functioning of internal capital markets in financial conglomerates, this paper conducts a novel test of the balance sheet channel of monetary policy. It does so by comparing monetary policy responses of small banks that are affiliated with the same bank holding company, and this arguably face similar constraints in accessing internal/external sources of funds, but that operate in different geographical regions, and thus face different pools of borrowers. Because these subsidiaries typically concentrate their lending with small local businesses, we can use cross-sectional differences in state-level economic indicators at the time of changes of monetary policy to study whether or not the strength of borrowers' balance sheets influences the response of bank lending. We find evidence that the negative response of bank loan growth to a monetary contraction is significantly stronger when borrowers have 'weak balance sheets. Our evidence suggests that the monetary authority should consider the amplification effects that financial constraints play following changes in basic interest rates and the role of financial conglomerates in the transmission of monetary policy.

Household borrowing constraints and monetary policy in emerging economies

Credit markets in emerging economies can be distinguished from those in advanced economies in many respects, including the collateral required for households to borrow. This work proposes a DSGE framework to analyze one peculiarity that characterizes the credit markets of some emerging markets: payroll-deducted personal loans. We add the possibility for households to contract long-term debt and compare two different types of credit constraints with one another, one based on housing and the other based on future income. We estimate the model for Brazil using a Bayesian technique. The model is able to solve a puzzle of the Brazilian economy: responses to monetary shocks at first appear to be strong but dissipate quickly. This occurs because income – and the amount available for loans – responds more rapidly to monetary shocks than housing prices. To smooth consumption, agents (borrowers) compensate for lower income and for borrowing by working more hours to repay loans and erase debt in a shorter time. Therefore, in addition to the income and substitution effects, workers consider the effects on their credit constraints when deciding how much labor to supply, which becomes an additional channel through which financial frictions affect the economy.

Joint dynamic probabilistic constraints with projected linear decision rules

We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We establish the relation between the original (in nite dimensional) problem and approximating problems working with projections from di erent subclasses of decision policies. Considering the subclass of linear decision rules and a generalized linear model for the underlying stochastic process with noises that are Gaussian or truncated Gaussian, we show that the value and gradient of the objective and constraint functions of the approximating problems can be computed analytically.

Macroeconomic constraints to growth of Brazilian economy diagnosis and some policy proposals

The recent process of accelerated expansion of the Brazilian economy was driven by exports and fixed capital formation. Although the pace of growth was more robust than in the 1990´s, we can still witness the existence of certain macroeconomic constraints to its continuation in the long run such as, for instance, the exchange rate overvaluation in particular since 2005, and in general the modus operandi of monetary policy. Such constraints may jeopardize the sustainability of the current pace of growth. Therefore, we argue that Brazil still lies in a trap made up of high interest and low exchange rates. The elimination of the exchange rate misalignment would bring about a great increase in the rate of interest, which on its turn would impact negatively upon investment and hence upon the sustainability of long run economic growth. We outline a set of policy measures to eliminate such a trap, in particular, the adoption of an implicit target for the exchange rate, capital controls and the abandonment of the present regime of inflation targeting. Recent events seem to go in this direction.

Graphical constraints: a graphical user interface for constraint problems

A constraint satisfaction problem is a classical artificial intelligence paradigm characterized by a set of variables (each variable with an associated domain of possible values), and a set of constraints that specify relations among subsets of these variables. Solutions are assignments of values to all variables that satisfy all the constraints. Many real world problems may be modelled by means of constraints. The range of problems that can use this representation is very diverse and embraces areas like resource allocation, scheduling, timetabling or vehicle routing. Constraint programming is a form of declarative programming in the sense that instead of specifying a sequence of steps to execute, it relies on properties of the solutions to be found, which are explicitly defined by constraints. The idea of constraint programming is to solve problems by stating constraints which must be satisfied by the solutions. Constraint programming is based on specialized constraint solvers that take advantage of constraints to search for solutions. The success and popularity of complex problem solving tools can be greatly enhanced by the availability of friendly user interfaces. User interfaces cover two fundamental areas: receiving information from the user and communicating it to the system; and getting information from the system and deliver it to the user. Despite its potential impact, adequate user interfaces are uncommon in constraint programming in general. The main goal of this project is to develop a graphical user interface that allows to, intuitively, represent constraint satisfaction problems. The idea is to visually represent the variables of the problem, their domains and the problem constraints and enable the user to interact with an adequate constraint solver to process the constraints and compute the solutions. Moreover, the graphical interface should be capable of configure the solver’s parameters and present solutions in an appealing interactive way. As a proof of concept, the developed application – GraphicalConstraints – focus on continuous constraint programming, which deals with real valued variables and numerical constraints (equations and inequalities). RealPaver, a state-of-the-art solver in continuous domains, was used in the application. The graphical interface supports all stages of constraint processing, from the design of the constraint network to the presentation of the end feasible space solutions as 2D or 3D boxes.

Population structure and sexual maturity of the calico box crab Hepatus epheliticus Linnaeus (Brachyura, Hepatidae) from Yucatan Peninsula, Mexico

The calico box crab Hepatus epheliticus is an abundant species from shallow and continental shelf waters of the Atlantic coast of USA and Mexico. Information about population structure and sexual maturity is absent, even though this crab is caught to be used as bait for the octopus fishery in the Campeche Bank, Mexico. In order to achieve such information, a total of 768 individuals were collected from January to March 2010 through baited traps installed in the Yucatan Peninsula, Mexico. Our results showed that sex ratio is biased towards more males than females (1:0.55), contradicting to that reported in other brachyuran crabs. The absence of ovigerous females suggests that they did not enter into the traps during embryogenesis. Males reached a larger maximum size than females (64.0 +/- 6.15 and 58.4 +/- 5.60 mm carapace width, respectively). The general scheme of growth being positive allometric throughout ontogeny of both sexes. Males presented a transition phase from juveniles to adult corresponding to the puberty moult. The estimation of the onset of functional sexual maturity revealed a steady situation for the population, with 21.5 and 13.8% of males and females, respectively, morphologically immature at the time of catch. This study constitutes the first report on population structure and sexual maturity in a population of the calico box crab H. epheliticus.

Are cutout handles used when available in real occupational settings? Description of grips and upper extremities movements during industrial box handling

In order to achieve better postures and decrease musculoskeletal risks adequate design of hand/box couplings for manual materials handling (MMH) are still needed. No studies evaluating upper limb movement thorough direct measurements during box handling in workplace were identified in the literature. In this study we describe the types of grip and movements adopted by ten workers when handling redesigned boxes with cutout handles between different heights on industrial pallets. The new handles were used by 90% of the workers through different types of grip. Electrogoniometric measurements showed relatively safe forearm and wrist movements, although elbow inadequate range of movement was recorded. Despite the good acceptance of the cutout by workers, the new design requires extra internal space in the boxes reducing applications for this alternative of box.

New constraints on ages of glasses proposed as reference materials for fission-track dating

New analyses have been performed in order to enhance the data-set on the independent ages of four glasses that have been proposed as reference materials for fission-track dating. The results are as follows. Moldavite - repeated (40)Ar/(39)Ar age determinations on samples from deposits from Bohemia and Moravia yielded an average of 14.34 +/- 0.08 Ma. This datum agrees with other recent determinations and is significantly younger than the (40)Ar/(39)Ar age of 15.21 +/- 0.15 Ma determined in the early 1980s. Macusanite (Peru) -four K-Ar ages ranging from 5.44 +/- 0.06 to 5.72 +/- 0.12 Ma have been published previously. New (40)Ar/(39)Ar ages gave an average of 5.12 +/- 0.04 Ma. Plateau fission-track ages determined using the IRMM-540 certified glass and U and Th thin films for neutron fluence measurements agree better with these new (40)Ar/(39)Ar ages than the previously published ages. Roccastrada glass (Italy) - a new (40)Ar/(39)Ar age, 2.45 +/- 0.04 Ma, is consistent with previous determinations. The Quiron obsidian (Argentina) is a recently discovered glass that has been proposed as an additional reference material for its high spontaneous track density (around 100 000 cm(-2)). Defects that might produce spurious tracks are virtually absent. An independent (40)Ar/(39)Ar age of 8.77 +/- 0.09 Ma was determined and is recommended for this glass. We believe that these materials, which will be distributed upon request to fission-track groups, will be very useful for testing system calibrations and experimental procedures.

Gravitational constraints of dS branes in an AdS Einstein-Brans-Dicke bulk

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Imposing Radiality Constraints in Distribution System Optimization Problems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Reproductive phenology of a northeast Brazilian mangrove community: Environmental and biotic constraints

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

State constraints in optimal impulsive controls

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Optimality conditions for infinite horizon control problems with state constraints

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