Testing consumption optimality using aggregate data

The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and habit. First, we show that rule-of-thumb behavior in consumption is observational equivalent to behavior obtained by the optimizing model of King, Plosser and Rebelo (Journal of Monetary Economics, 1988), casting doubt on how reliable standard rule-of-thumb tests are. Second, although Carroll (2001) and Weber (2002) have criticized the linearization and testing of euler equations for consumption, we provide a deeper critique directly applicable to current rule-of-thumb tests. Third, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Asset-Pricing Equation, since the latter is a linear function of individual returns. Fourth, aggregation of the nonlinear euler equation forms the basis of a novel test of deviations from the canonical CRRA model of consumption in the presence of rule-of-thumb and habit behavior. We estimated 48 euler equations using GMM, with encouraging results vis-a-vis the optimality of consumption decisions. At the 5% level, we only rejected optimality twice out of 48 times. Empirical-test results show that we can still rely on the canonical CRRA model so prevalent in macroeconomics: out of 24 regressions, we found the rule-of-thumb parameter to be statistically signi cant at the 5% level only twice, and the habit ƴ parameter to be statistically signi cant on four occasions. The main message of this paper is that proper return aggregation is critical to study intertemporal substitution in a representative-agent framework. In this case, we fi nd little evidence of lack of optimality in consumption decisions, and deviations of the CRRA utility model along the lines of rule-of-thumb behavior and habit in preferences represent the exception, not the rule.

Testing consumption optimality using aggregate data

This paper tests the optimality of consumption decisions at the aggregate level taking into account popular deviations from the canonical constant-relative-risk-aversion (CRRA) utility function model-rule of thumb and habit. First, based on the critique in Carroll (2001) and Weber (2002) of the linearization and testing strategies using euler equations for consumption, we provide extensive empirical evidence of their inappropriateness - a drawback for standard rule- of-thumb tests. Second, we propose a novel approach to test for consumption optimality in this context: nonlinear estimation coupled with return aggregation, where rule-of-thumb behavior and habit are special cases of an all encompassing model. We estimated 48 euler equations using GMM. At the 5% level, we only rejected optimality twice out of 48 times. Moreover, out of 24 regressions, we found the rule-of-thumb parameter to be statistically significant only twice. Hence, lack of optimality in consumption decisions represent the exception, not the rule. Finally, we found the habit parameter to be statistically significant on four occasions out of 24.

Do equity and foreign currency risk premiums display common patterns?

In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing I\Iodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

Assessment of a high-order finite difference upwind scheme for the simulation of convection-diffusion problems

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

Simulation results and applications of an advection bounded scheme to practical flows

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

Higher-derivative theory of (2+1)-dimensional gravity

Higher-derivative gravity in 2 + 1 dimensions is considered. The general solution of the linearized field equations in a three-dimensional version of the Teyssandier gauge is obtained, and from that the solution for a static pointlike source is found. The deflection of light rays is also analysed. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Darboux-Egoroff metrics, rational Landau-Ginzburg potentials and the Painleve VI equation

We present a class of three-dimensional integrable structures associated with the Darboux-Egoroff metric and classical Euler equations of free rotations of a rigid body. They are obtained as canonical structures of rational Landau-Ginzburg potentials and provide solutions to the Painleve VI equation.

Application of a bounded upwinding scheme to complex fluid dynamics problems

This paper is concerned with an overview of upwinding schemes, and further nonlinear applications of a recently introduced high resolution upwind differencing scheme, namely the ADBQUICKEST [V.G. Ferreira, F.A. Kurokawa, R.A.B. Queiroz, M.K. Kaibara, C.M. Oishi, J.A.Cuminato, A.F. Castelo, M.F. Tomé, S. McKee, assessment of a high-order finite difference upwind scheme for the simulation of convection-diffusion problems, International Journal for Numerical Methods in Fluids 60 (2009) 1-26]. The ADBQUICKEST scheme is a new TVD version of the QUICKEST [B.P. Leonard, A stable and accurate convective modeling procedure based on quadratic upstream interpolation, Computer Methods in Applied Mechanics and Engineering 19 (1979) 59-98] for solving nonlinear balance laws. The scheme is based on the concept of NV and TVD formalisms and satisfies a convective boundedness criterion. The accuracy of the scheme is compared with other popularly used convective upwinding schemes (see, for example, Roe (1985) [19], Van Leer (1974) [18] and Arora & Roe (1997) [17]) for solving nonlinear conservation laws (for example, Buckley-Leverett, shallow water and Euler equations). The ADBQUICKEST scheme is then used to solve six types of fluid flow problems of increasing complexity: namely, 2D aerosol filtration by fibrous filters; axisymmetric flow in a tubular membrane; 2D two-phase flow in a fluidized bed; 2D compressible Orszag-Tang MHD vortex; axisymmetric jet onto a flat surface at low Reynolds number and full 3D incompressible flows involving moving free surfaces. The numerical simulations indicate that this convective upwinding scheme is a good generic alternative for solving complex fluid dynamics problems. © 2012.

Aplicação da transformada integral generalizada no escoamento potencial em contrações

Pós-graduação em Engenharia Mecânica - FEIS

Simulação numérica de escoamentos hipersônicos sobre corpos rombudos pelo método de elementos finitos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelagem matemática e análise dinâmica da torre de um pulverizador de pomares

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Gravitação quadrática em (2 + 1)D com e sem termo topológico de Chern-Simons

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

Semi-analytical study of the rotational motion stability of artificial satellites using quaternions

This study at aims performing the stability analysis of the rotational motion to artificial satellites using quaternions to describe the satellite attitude (orientation on the space). In the system of rotational motion equations, which is composed by four kinematic equations of the quaternions and by the three Euler equations in terms of the rotational spin components. The influence of the gravity gradient and the direct solar radiation pressure torques have been considered. Equilibrium points were obtained through numerical simulations using the softwares Matlab and Octave, which are then analyzed by the Routh-Hurwitz Stability Criterion.

An integrable evolution equation for surface waves in deep water

In order to describe the dynamics of monochromatic surface waves in deep water, we derive a nonlinear and dispersive system of equations for the free surface elevation and the free surface velocity from the Euler equations in infinite depth. From it, and using a multiscale perturbative method, an asymptotic model for small wave steepness ratio is derived. The model is shown to be completely integrable. The Lax pair, the first conserved quantities as well as the symmetries are exhibited. Theoretical and numerical studies reveal that it supports periodic progressive Stokes waves which peak and break in finite time. Comparison between the limiting wave solution of the asymptotic model and classical results is performed.

Análise da estabilidade do movimento rotacional de satélites artificiais com quatérnions e sob a influência de torques externos

The aim of this work is to analyze the stability of the rotational motion’s artificial satellite using the Routh Hurwitz Algorithm (CRH) and the quaternions to describe the satellite’s attitude. This algorithm allows the investigation of the stability of the motion using the coefficients of the characteristic equation associated with the equation of the rotational motion in the linear form. The equations of the rotational motion are given by the four cinematic equations for the quaternion and the three equations of Euler for the spin velocity’s components. In the Euler equations are included the components of the gravity gradient torque (TGG) and the solar radiation torque (TRS). The TGG is generated by the difference of the Earth gravity force direction and intensity actuating on each satellite mass element and it depends on the mass distribution and the form of the satellite. The TRS is created by changing of the linear momentum, which happens due to the interactions of solar photons with the satellite surface. The equilibrium points are gotten by the equation of rotational motion and the CRH is applied in the linear form of these equations. Simulations are developed for small and medium satellites, but the gotten equilibrium points are not stable by CRH. However, when some of the eigenvalues of the characteristic equation are analyzed, it is found some equilibrium points which can be pointed out as stables for an interval of the time, due to small magnitude of the real part of these eigenvalue