Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Macro- and Microevolution of Languages: Exploring Linguistic Divergence with Approaches from Evolutionary Biology

There are more than 7000 languages in the world, and many of these have emerged through linguistic divergence. While questions related to the drivers of linguistic diversity have been studied before, including studies with quantitative methods, there is no consensus as to which factors drive linguistic divergence, and how. In the thesis, I have studied linguistic divergence with a multidisciplinary approach, applying the framework and quantitative methods of evolutionary biology to language data. With quantitative methods, large datasets may be analyzed objectively, while approaches from evolutionary biology make it possible to revisit old questions (related to, for example, the shape of the phylogeny) with new methods, and adopt novel perspectives to pose novel questions. My chief focus was on the effects exerted on the speakers of a language by environmental and cultural factors. My approach was thus an ecological one, in the sense that I was interested in how the local environment affects humans and whether this human-environment connection plays a possible role in the divergence process. I studied this question in relation to the Uralic language family and to the dialects of Finnish, thus covering two different levels of divergence. However, as the Uralic languages have not previously been studied using quantitative phylogenetic methods, nor have population genetic methods been previously applied to any dialect data, I first evaluated the applicability of these biological methods to language data. I found the biological methodology to be applicable to language data, as my results were rather similar to traditional views as to both the shape of the Uralic phylogeny and the division of Finnish dialects. I also found environmental conditions, or changes in them, to be plausible inducers of linguistic divergence: whether in the first steps in the divergence process, i.e. dialect divergence, or on a large scale with the entire language family. My findings concerning Finnish dialects led me to conclude that the functional connection between linguistic divergence and environmental conditions may arise through human cultural adaptation to varying environmental conditions. This is also one possible explanation on the scale of the Uralic language family as a whole. The results of the thesis bring insights on several different issues in both a local and a global context. First, they shed light on the emergence of the Finnish dialects. If the approach used in the thesis is applied to the dialects of other languages, broader generalizations may be drawn as to the inducers of linguistic divergence. This again brings us closer to understanding the global patterns of linguistic diversity. Secondly, the quantitative phylogeny of the Uralic languages, with estimated times of language divergences, yields another hypothesis as to the shape and age of the language family tree. In addition, the Uralic languages can now be added to the growing list of language families studied with quantitative methods. This will allow broader inferences as to global patterns of language evolution, and more language families can be included in constructing the tree of the world’s languages. Studying history through language, however, is only one way to illuminate the human past. Therefore, thirdly, the findings of the thesis, when combined with studies of other language families, and those for example in genetics and archaeology, bring us again closer to an understanding of human history.

De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Nest Boxes Facilitate Local-Scale Conservation of Common Goldeneye (Bucephala clangula) and Bufflehead (Bucephala albeola) in Alberta, Canada

We tested the general predictions of increased use of nest boxes and positive trends in local populations of Common Goldeneye (Bucephala clangula) and Bufflehead (Bucephala albeola) following the large-scale provision of nest boxes in a study area of central Alberta over a 16-year period. Nest boxes were rapidly occupied, primarily by Common Goldeneye and Bufflehead, but also by European Starling (Sturnus vulgaris). After 5 years of deployment, occupancy of large boxes by Common Goldeneye was 82% to 90% and occupancy of small boxes by Bufflehead was 37% to 58%. Based on a single-stage cluster design, experimental closure of nest boxes resulted in significant reductions in numbers of broods and brood sizes produced by Common Goldeneye and Bufflehead. Occurrence and densities of Common Goldeneye and Bufflehead increased significantly across years following nest box deployment at the local scale, but not at the larger regional scale. Provision of nest boxes may represent a viable strategy for increasing breeding populations of these two waterfowl species on landscapes where large trees and natural cavities are uncommon but wetland density is high.

Making the most of PAS data: Macro- and micro-level studies of Romano-British settlement

The Portable Antiquities Scheme (PAS) database includes records of over 225,000 artefacts of Roman date, with a wide geographical coverage and the potential to contribute to our understanding of Romano-British landscapes and settlement at several scales of analysis. This paper draws upon the author’s doctoral research to describe regional case studies from six counties (Wiltshire, Worcestershire, Warwickshire, Northamptonshire, North Lincolnshire and Cumbria) on the use of PAS data. The data have value nationally and regionally as general guides to ancient settlement patterns, but it is arguably at the micro-scale that they have the most potential. With reference to detailed landscape studies from parts of Warwickshire and Wiltshire, the paper argues that sites represented by PAS data are often rural settlements that show evidence for continued activity throughout the Roman period. The paper demonstrates that with an appropriate methodology PAS data can be an immensely valuable archaeological resource, particularly when interpreted at multiple scales, and can be considerably more than a guide to broad distributions of Roman finds.

Quantitative fractography by digital image processing: NIH Image macro tools for stereo pair analysis and 3-D reconstruction

A set of NIH Image macro programs was developed to make qualitative and quantitative analyses from digital stereo pictures produced by scanning electron microscopes. These tools were designed for image alignment, anaglyph representation, animation, reconstruction of true elevation surfaces, reconstruction of elevation profiles, true-scale elevation mapping and, for the quantitative approach, surface area and roughness calculations. Limitations on time processing, scanning techniques and programming concepts are also discussed.

Caracterização macro, meso e microscópica das estruturas frágeis do corpo arenítico conglomerático da região de Santana do Acaraú (CE) e seu embasamento circundante

The structural framework of the sedimentary basins usually plays an important role in oil prospects and reservoirs. Geometry, interconectivity and density of the brittle features developed during basin evolution could change the permo-porous character of the rocks involved in generation, migration and entrapment of fluid flow. Once the structural characterization of the reservois using only sub-surface data is not an easy task, many studies are focused in analogous outcrops trying to understand the main processes by which brittle tectonic is archieved. In the Santana do Acaraú region (Ceará state, NE Brazil) a pack of conglomeratic sandstone (here named CAC) has its geometry controlled mainly by NE trending faults, interpreted as related to reactivation of a precambrian Sobral Pedro II Lineament (LSP-II). Geological mapping of the CAC showed a major NE-SW trending synform developed before its complete lithification during a dextral transpression. This region was then selected to be studied in details in order of constrain the cretaceous deformation and so help the understanding the deformation of the basins along the brazilian equatorial margin. In order to characterize the brittle deformation in different scales, I study some attributes of the fractures and faults such as orientation, density, kinematic, opening, etc., through scanlines in satellite images, outcrops and thin sections. The study of the satellite images showed three main directions of the macrostructures, N-S, NE-SW and E-W. Two of theses features (N-S and E-W) are in aggreement with previous geophysical data. A bimodal pattern of the lineaments in the CAC´s basement rocks has been evidenciated by the NE and NW sets of structures obtained in the meso and microscale data. Besides the main dextral transpression two others later events, developed when the sediments were complety lithified, were recognized in the area. The interplay among theses events is responsible for the compartimentation of the CAC in several blocks along within some structural elements display diferents orientations. Based on the variation in the S0 orientation, the CAC can be subdivided in several domains. Dispite of the variations in orientations of the fractures/faults in the diferents domains, theses features, in the meso and microscopic scale, are concentrated in two sets (based on their trend) in all domains which show similar orientation of the S0 surface. Thus the S0 orientation was used to group the domains in three major sets: i) The first one is that where S0 is E-W oriented: the fractures are oriented mainly NE with the development of a secondary NW trending; ii) S0 trending NE: the fractures are concentrated mainly along the trend NW with a secondary concentration along the NE trend; iii) The third set, where S0 is NS the main fractures are NE and the secondary concentration is NW. Another analized parameter was the fault/fracture length. This attribute was studied in diferent scales trying to detect the upscale relationship. A terrain digital model (TDM) was built with the brittlel elements supperposed. This model enhanced a 3D visualization of the area as well as the spatial distribution of the fault/fractures. Finally, I believe that a better undertanding of the brittle tectonic affecting both CAC and its nearby basement will help the future interpretations of the tectonic envolved in the development of the sedimentary basins of the brazilian equatorial margin and their oil reservoirs and prospects, as for instance the Xaréu field in the Ceará basin, which subsurface data could be correlated with the surface ones

Caracterização macro e micromorfológica do solo para compreensão de processos erosivos lineares, topossequência Manacá, São Carlos - SP

A presente pesquisa tem como objetivo compreender a dinâmica de comportamento do solo sob escala macro e micromorfológica visualizados em topossequência, no que concerne aos agentes morfológicos que condicionam e contribuem para deflagração de processos erosivos. A área de estudo está inserida na sub-bacia hidrográfica do Laranja Azeda localizada na região centro-leste do estado de São Paulo, no município de São Carlos/SP, e têm fundamental importância por pertencer à bacia hidrográfica do Ribeirão Feijão, importante manancial urbano para a cidade. O planejamento de uso e ocupação adequados aos fatores físicos que compõe a dinâmica desta paisagem são essenciais visando a conservação e preservação dos recursos hídricos ali existentes, onde a expressiva ocorrência de processos erosivos são objetos de preocupação, já que estes podem causar assoreamento de rios e reservatórios. Utilizando uma metodologia multiescalar para seleção da área de pesquisa em detalhe e compreensão da organização e dinâmica da cobertura pedológica, foram utilizados os procedimentos propostos pela Análise Estrutural da Cobertura Pedológica e conceitos e técnicas da micromorfologia de solos. Verifica-se que a distribuição dos solos na Topossequência Manacá está estritamente correlacionada à transformação vertical do materialde origem em solo, em cuja vertente existe uma diferenciação litológica que condiciona a morfologia diferenciada, tanto em escala macromorfológica quanto micromorfológica. O terço superior e médio da vertente está associado à depósitos colúvio-eluvionaresda Formação Itaqueri, onde desenvolve-se um Latossolo Vermelho Amarelo. Já o terço inferior da vertente corresponde a um solo formado a partir dos arenitos da Formação Botucatu, sendo enquadrado enquanto Neossolo Quartzarênico. Com o auxílio técnicas de análise bidimensional de imagens retiradas das lâminas delgadas de solo, foi possível visualizar e quantificar a macroposidade ao longo da vertente, importante atributo morfológico que controla os fluxos de água e são agentes condicionantes para o desenvolvimento de processos erosivos. Conclui-se que a ocorrência de voçorocas no terço médio inferior da vertente é a materialização em forma de processos erosivos deste comportamento diferencial da massa do solo, onde portanto, na Topossequência Manacá a busca de equilíbrio dinâmico na vertente é induzida pela dinâmica genética evolutiva das formações geológicas que sustentam a paisagem, desencadeada em processos erosivos que tendem a progredir em desequilíbrio, a depender do manejo estabelecido para o local.

An advanced real-time predictive maintenance framework for large scale machine systems

This thesis introduces and develops a novel real-time predictive maintenance system to estimate the machine system parameters using the motion current signature. Recently, motion current signature analysis has been addressed as an alternative to the use of sensors for monitoring internal faults of a motor. A maintenance system based upon the analysis of motion current signature avoids the need for the implementation and maintenance of expensive motion sensing technology. By developing nonlinear dynamical analysis for motion current signature, the research described in this thesis implements a novel real-time predictive maintenance system for current and future manufacturing machine systems. A crucial concept underpinning this project is that the motion current signature contains infor­mation relating to the machine system parameters and that this information can be extracted using nonlinear mapping techniques, such as neural networks. Towards this end, a proof of con­cept procedure is performed, which substantiates this concept. A simulation model, TuneLearn, is developed to simulate the large amount of training data required by the neural network ap­proach. Statistical validation and verification of the model is performed to ascertain confidence in the simulated motion current signature. Validation experiment concludes that, although, the simulation model generates a good macro-dynamical mapping of the motion current signature, it fails to accurately map the micro-dynamical structure due to the lack of knowledge regarding performance of higher order and nonlinear factors, such as backlash and compliance. Failure of the simulation model to determine the micro-dynamical structure suggests the pres­ence of nonlinearity in the motion current signature. This motivated us to perform surrogate data testing for nonlinearity in the motion current signature. Results confirm the presence of nonlinearity in the motion current signature, thereby, motivating the use of nonlinear tech­niques for further analysis. Outcomes of the experiment show that nonlinear noise reduction combined with the linear reverse algorithm offers precise machine system parameter estimation using the motion current signature for the implementation of the real-time predictive maintenance system. Finally, a linear reverse algorithm, BJEST, is developed and applied to the motion current signature to estimate the machine system parameters.

Water chemistry, carbonate system parameters, and macro-organism biomass of vent and off-vent sites in the Columbretes Islands Marine Reserve

Ocean acidification is receiving increasing attention because of its potential to affect marine ecosystems. Rare CO2 vents offer a unique opportunity to investigate the response of benthic ecosystems to acidification. However, the benthic habitats investigated so far are mainly found at very shallow water (less than or equal to 5 m depth) and therefore are not representative of the broad range of continental shelf habitats. Here, we show that a decrease from pH 8.1 to 7.9 observed in a CO2 vent system at 40 m depth leads to a dramatic shift in highly diverse and structurally complex habitats. Forests of the kelp Laminaria rodriguezii usually found at larger depths (greater than 65 m) replace the otherwise dominant habitats (i.e. coralligenous outcrops and rhodolith beds), which are mainly characterized by calcifying organisms. Only the aragonite-calcifying algae are able to survive in acidified waters, while high-magnesium-calcite organisms are almost completely absent. Although a long-term survey of the venting area would be necessary to fully understand the effects of the variability of pH and other carbonate parameters over the structure and functioning of the investigated mesophotic habitats, our results suggest that in addition of significant changes at species level, moderate ocean acidification may entail major shifts in the distribution and dominance of key benthic ecosystems at regional scale, which could have broad ecological and socio-economic implications.

Macro-epibenthic communities, bathymetry and enviromental information at the tip of the Antarctic Peninsula

The Southern Ocean ecosystem at the Antarctic Peninsula has steep natural environmental gradients, e.g. in terms of water masses and ice cover, and experiences regional above global average climate change. An ecological macroepibenthic survey was conducted in three ecoregions in the north-western Weddell Sea, on the continental shelf of the Antarctic Peninsula in the Bransfield Strait and on the shelf of the South Shetland Islands in the Drake Passage, defined by their environmental envelop. The aim was to improve the so far poor knowledge of the structure of this component of the Southern Ocean ecosystem and its ecological driving forces. It can also provide a baseline to assess the impact of ongoing climate change to the benthic diversity, functioning and ecosystem services. Different intermediate-scaled topographic features such as canyon systems including the corresponding topographically defined habitats 'bank', 'upper slope', 'slope' and 'canyon/deep' were sampled. In addition, the physical and biological environmental factors such as sea-ice cover, chlorophyll-a concentration, small-scale bottom topography and water masses were analysed. Catches by Agassiz trawl showed high among-station variability in biomass of 96 higher systematic groups including ecological key taxa. Large-scale patterns separating the three ecoregions from each other could be correlated with the two environmental factors, sea-ice and depth. Attribution to habitats only poorly explained benthic composition, and small-scale bottom topography did not explain such patterns at all. The large-scale factors, sea-ice and depth, might have caused large-scale differences in pelagic benthic coupling, whilst small-scale variability, also affecting larger scales, seemed to be predominantly driven by unknown physical drivers or biological interactions.

Spatial and temporal interaction between sediment and microphytobenthos in a temperate estuarine macro-intertidal bay

Intertidal flats of the estuarine macro-intertidal Baie des Veys (France) were investigated to identify spatial features of sediment and microphytobenthos (MPB) in April 2003. Gradients occurred within the domain, and patches were identified close to vegetated areas or within the oyster-farming areas where calm physical conditions and biodeposition altered the sediment and MPB landscapes. Spatial patterns of chl a content were explained primarily by the influence of sediment features, while bed elevation and compaction brought only minor insights into MPB distribution regulation. The smaller size of MPB patches compared to silt patches revealed the interplay between physical structure defining the sediment landscape, the biotic patches that they contain, and that median grain-size is the most important parameter in explaining the spatial pattern of MPB. Small-scale temporal dynamics of sediment chl a content and grain-size distribution were surveyed in parallel during 2 periods of 14 d to detect tidal and seasonal variations. Our results showed a weak relationship between mud fraction and MPB biomass in March, and this relationship fully disappeared in July. Tidal exposure was the most important parameter in explaining the summer temporal dynamics of MPB. This study reveals the general importance of bed elevation and tidal exposure in muddy habitats and that silt content was a prime governing physical factor in winter. Biostabilisation processes seemed to behave only as secondary factors that could only amplify the initial silt accumulation in summer rather than primary factors explaining spatial or long-term trends of sediment changes.

Variation in composition of macro-benthic invertebrates as an indication of water quality status in three bays in Lake Victoria

Knowledge of how biota can be used to monitor ecosystem health and assess impacts by human alterations such as land use and management measures taken at different spatial scales is critical for improving the ecological quality of aquatic ecosystems. This knowledge in Uganda is very limited or unavailable yet it is needed to better understand the relationship between environmental factors at different spatial scales, assemblage structure and taxon richness of aquatic ecosystems. In this study, benthic invertebrate community patterns were sampled between June 2001 and April 2002 and analysed in relation to water quality and catchment land use patterns from three shallow near-shore bays characterized by three major land uses patterns: urban (Murchison Bay); semi-urban (Fielding Bay); rural (Hannington Bay). Variations in density and guild composition of benthic macro-invertebrates communities were evaluated using GIS techniques along an urban-rural gradient of land use and differences in community composition were related to dissolved oxygen and conductivity variation. Based on numerical abundance and tolerance values, Hilsenhoff's Biotic Index ofthe invertebrates was determined in order to evaluate the relative importance of water quality in the three bays. Murchison Bay supported a relatively taxa-poor invertebrate assemblage mainly comprising stenotopic and eurytopic populations of pollution-tolerant groups such as worms and Chironomus sp. with an overall depression in species diversity. On the contrary, the communities in Fielding and Hannington bays were quite similar and supported distinct and diverse assemblages including pollution-intolerant forms such as Ephemeroptera (mayflies), Odonata (dragonflies). The Hilsenhoff Biotic Index in Murchison Bay was 6.53. (indicating poor water quality) compared to 6.34 for Fielding Bay and 5.78 for Hannington Bay (both indicating fair water quality). The characterization of maximum taxa richness balanced among taxa groups with good representation of intolerant individuals in Hannington Bay relative to Fielding and Murchison bays concludes that the bay is the cleanest in terms of water quality. Contrary, the dominance of few taxa with many tolerant iqdividuals present in Murchison Bay indicates that the bay is degraded in terms of water quality. These result are ofimportance when planning conservation and management measures, implementing large-scale biomonitoring programs, and predicting how human alterations (e.g nutrient loading) affect water ecosystems. Therefore, analysis of water quality in relation to macro-invertebrate community composition patterns as bio-indicators can lead to further understanding of their responses to environmental manipulations and perturbations.

Macro-geographical differences influenced by family-based expression on cultured pearl grade, shape and colour in the black-lip "pearl oyster" Pinctada margaritifera: a preliminary bi-local case study in French Polynesia

In French Polynesia, the aquaculture of P. margaritifera is carried out in numerous grow-out sites, located over three archipelagos (Gambier, Society and Tuamotu). To evaluate the impact of macro-geographical effects of these growing sites on pearl quality traits, five hatcheries produced families were used as homogeneous donor oysters in an experimental graft. The molluscs were then reared in two commercial locations: Tahaa island (Society) and Rangiroa atoll (Tuamotu). At harvest, eight pearl quality traits were recorded and compared: surface defects, lustre, grade, circles, shape categories, darkness level, body and secondary colour and visual colour categories. Overall inter-site comparison revealed that: 1) all traits were affected by grow-out location except for lustre and round shape, and 2) a higher mean rate of valuable pearls was produced in Rangiroa. Indeed, for pearl grade, Rangiroa showed twice as many A-B and less reject samples than Tahaa. This was related to the number of surface defects (grade component): in Rangiroa, twice as many pearls had no defects and less pearls had up to 10 defects. Concerning pearl shape, more circled and baroque pearls were found in Tahaa (+10%). For colour variation, 10% more pearls have an attractive green overtone in Rangiroa than in Tahaa, where more grey bodycolor were harvested. Lustre does not seem to be affected by these two culture site (except at a family scale). This is the first time P. margaritifera donor family have been shown to vary in the quality of pearls they produce depending on their grow-out location.

GIS-integrated mathematical modeling of social phenomena at macro- and micro- levels—a multivariate geographically-weighted regression model for identifying locations vulnerable to hosting terrorist safe-houses: France as case study

Adaptability and invisibility are hallmarks of modern terrorism, and keeping pace with its dynamic nature presents a serious challenge for societies throughout the world. Innovations in computer science have incorporated applied mathematics to develop a wide array of predictive models to support the variety of approaches to counterterrorism. Predictive models are usually designed to forecast the location of attacks. Although this may protect individual structures or locations, it does not reduce the threat—it merely changes the target. While predictive models dedicated to events or social relationships receive much attention where the mathematical and social science communities intersect, models dedicated to terrorist locations such as safe-houses (rather than their targets or training sites) are rare and possibly nonexistent. At the time of this research, there were no publically available models designed to predict locations where violent extremists are likely to reside. This research uses France as a case study to present a complex systems model that incorporates multiple quantitative, qualitative and geospatial variables that differ in terms of scale, weight, and type. Though many of these variables are recognized by specialists in security studies, there remains controversy with respect to their relative importance, degree of interaction, and interdependence. Additionally, some of the variables proposed in this research are not generally recognized as drivers, yet they warrant examination based on their potential role within a complex system. This research tested multiple regression models and determined that geographically-weighted regression analysis produced the most accurate result to accommodate non-stationary coefficient behavior, demonstrating that geographic variables are critical to understanding and predicting the phenomenon of terrorism. This dissertation presents a flexible prototypical model that can be refined and applied to other regions to inform stakeholders such as policy-makers and law enforcement in their efforts to improve national security and enhance quality-of-life.