Common cycles in macroeconomic aggregates (revised version)

Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought.

Common cycles in macroeconomic aggregates

Reduced form estimation of multivariate data sets currently takes into account long-run co-movement restrictions by using Vector Error Correction Models (VECM' s). However, short-run co-movement restrictions are completely ignored. This paper proposes a way of taking into account short-and long-run co-movement restrictions in multivariate data sets, leading to efficient estimation of VECM' s. It enables a more precise trend-cycle decomposition of the data which imposes no untested restrictions to recover these two components. The proposed methodology is applied to a multivariate data set containing U.S. per-capita output, consumption and investment Based on the results of a post-sample forecasting comparison between restricted and unrestricted VECM' s, we show that a non-trivial loss of efficiency results whenever short-run co-movement restrictions are ignored. While permanent shocks to consumption still play a very important role in explaining consumption’s variation, it seems that the improved estimates of trends and cycles of output, consumption, and investment show evidence of a more important role for transitory shocks than previously suspected. Furthermore, contrary to previous evidence, it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations.

Redistribution with ex-ante unobserved choice

Introducing dynamics to Mirrlees' (1971) optimal taxation model creates a whole new set of issues that are only starting to be investigated in the literature. When choices are made before one's realizing her productivity incentive constraints ought to be defined as a function of more complex strategies than in the static case. 80 far, all work has assumed that these choices are observable and can be contracted upon by the government. Here we investigate choices that : i) are not observed, andj ii) affect preferences conditional Oil the realization of types. In the simplest possible model where a non-trivial filtration is incorporated we show how these two characteristics make it necessary for IC constraints to be defined in terms of strategies rather than pure announcements. Tax prescriptions are derived, and it is shown that they bear some resemblance to classic optimal taxation results. We are able to show that in the most 'natural' cases return on capital ought to be taxed . However, we also show that the uniform taxation prescription of Atkinson and Stiglitz fails to hold, in general.

The private memory of aggregate shocks

Em economias caracterizadas por choques agregados e privados, mostramos que a alocação ótima restrita pode depender de forma não-trivial dos choques agregados. Usando versões dos modelos de Atkeson e Lucas (1992) e Mirrlees (1971) de dois períodos, é mostrado que a alocação ótima apresenta memória com relação aos choques agregados mesmo eles sendo i.i.d. e independentes dos choques individuais, quando esses últimos choques não são totalmente persistentes. O fato de os choques terem efeitos persistentes na alocação mesmo sendo informação pública, foi primeiramente apresentado em Phelan (1994). Nossas simulações numéricas indicam que esse não é um resultado pontual: existe uma relação contínua entre persistência de tipos privados e memória do choque agregado.

Yet another reason to tax goods

When, in a dynamic model, choices by an agent : i) are not observed, and; ii) affect preferences conditional on the realization of types, new and unexpected features come up in Mirrlees’ (1971) optimal taxation frame- work. In the simplest possible model where a non-trivial filtration may be incorporated, we show how these two characteristics make it neces- sary for IC constraints to be defined in terms of strategies rather than pure announcements. Tax prescriptions are derived, and we are able to show that uniform taxation prescription of Atkinson and Stiglitz fails to hold, in general. Clean results regarding capital income taxation are not easy to come about because usual assumption on preferences do not allow for determining which constraints bind at the optimum. However, in the most ’natural’ cases, we show that return on capital ought to be taxed.

Fractais e Percolação na Recuperação de Petróleo

The complex behavior of a wide variety of phenomena that are of interest to physicists, chemists, and engineers has been quantitatively characterized by using the ideas of fractal and multifractal distributions, which correspond in a unique way to the geometrical shape and dynamical properties of the systems under study. In this thesis we present the Space of Fractals and the methods of Hausdorff-Besicovitch, box-counting and Scaling to calculate the fractal dimension of a set. In this Thesis we investigate also percolation phenomena in multifractal objects that are built in a simple way. The central object of our analysis is a multifractal object that we call Qmf . In these objects the multifractality comes directly from the geometric tiling. We identify some differences between percolation in the proposed multifractals and in a regular lattice. There are basically two sources of these differences. The first is related to the coordination number, c, which changes along the multifractal. The second comes from the way the weight of each cell in the multifractal affects the percolation cluster. We use many samples of finite size lattices and draw the histogram of percolating lattices against site occupation probability p. Depending on a parameter, ρ, characterizing the multifractal and the lattice size, L, the histogram can have two peaks. We observe that the probability of occupation at the percolation threshold, pc, for the multifractal is lower than that for the square lattice. We compute the fractal dimension of the percolating cluster and the critical exponent β. Despite the topological differences, we find that the percolation in a multifractal support is in the same universality class as standard percolation. The area and the number of neighbors of the blocks of Qmf show a non-trivial behavior. A general view of the object Qmf shows an anisotropy. The value of pc is a function of ρ which is related to its anisotropy. We investigate the relation between pc and the average number of neighbors of the blocks as well as the anisotropy of Qmf. In this Thesis we study likewise the distribution of shortest paths in percolation systems at the percolation threshold in two dimensions (2D). We study paths from one given point to multiple other points

Fractais e percolação na recuperação de Petróleo

The complex behavior of a wide variety of phenomena that are of interest to physicists, chemists, and engineers has been quantitatively characterized by using the ideas of fractal and multifractal distributions, which correspond in a unique way to the geometrical shape and dynamical properties of the systems under study. In this thesis we present the Space of Fractals and the methods of Hausdorff-Besicovitch, box-counting and Scaling to calculate the fractal dimension of a set. In this Thesis we investigate also percolation phenomena in multifractal objects that are built in a simple way. The central object of our analysis is a multifractal object that we call Qmf . In these objects the multifractality comes directly from the geometric tiling. We identify some differences between percolation in the proposed multifractals and in a regular lattice. There are basically two sources of these differences. The first is related to the coordination number, c, which changes along the multifractal. The second comes from the way the weight of each cell in the multifractal affects the percolation cluster. We use many samples of finite size lattices and draw the histogram of percolating lattices against site occupation probability p. Depending on a parameter, ρ, characterizing the multifractal and the lattice size, L, the histogram can have two peaks. We observe that the probability of occupation at the percolation threshold, pc, for the multifractal is lower than that for the square lattice. We compute the fractal dimension of the percolating cluster and the critical exponent β. Despite the topological differences, we find that the percolation in a multifractal support is in the same universality class as standard percolation. The area and the number of neighbors of the blocks of Qmf show a non-trivial behavior. A general view of the object Qmf shows an anisotropy. The value of pc is a function of ρ which is related to its anisotropy. We investigate the relation between pc and the average number of neighbors of the blocks as well as the anisotropy of Qmf. In this Thesis we study likewise the distribution of shortest paths in percolation systems at the percolation threshold in two dimensions (2D). We study paths from one given point to multiple other points. In oil recovery terminology, the given single point can be mapped to an injection well (injector) and the multiple other points to production wells (producers). In the previously standard case of one injection well and one production well separated by Euclidean distance r, the distribution of shortest paths l, P(l|r), shows a power-law behavior with exponent gl = 2.14 in 2D. Here we analyze the situation of one injector and an array A of producers. Symmetric arrays of producers lead to one peak in the distribution P(l|A), the probability that the shortest path between the injector and any of the producers is l, while the asymmetric configurations lead to several peaks in the distribution. We analyze configurations in which the injector is outside and inside the set of producers. The peak in P(l|A) for the symmetric arrays decays faster than for the standard case. For very long paths all the studied arrays exhibit a power-law behavior with exponent g ∼= gl.

Elétrons fortemente correlacionados na vizinhança de uma transição de fase quântica

The aim of this work is to derive theWard Identity for the low energy effective theory of a fermionic system in the presence of a hyperbolic Fermi surface coupled with a U(1) gauge field in 2+1 dimensions. These identities are important because they establish requirements for the theory to be gauge invariant. We will see that the identity associated Ward Identity (WI) of the model is not preserved at 1-loop order. This feature signalizes the presence of a quantum anomaly. In other words, a classical symmetry is broken dynamically by quantum fluctuations. Furthermore, we are considering that the system is close to a Quantum Phase Transitions and in vicinity of a Quantum Critical Point the fermionic excitations near the Fermi surface, decay through a Landau damping mechanism. All this ingredients need to be take explicitly to account and this leads us to calculate the vertex corrections as well as self energies effects, which in this way lead to one particle propagators which have a non-trivial frequency dependence

Exotic dark spinor fields

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Geração automática de hardware a partir de especificações formais: estendendo uma abordagem de tradução

Removing inconsistencies in a project is a less expensive activity when done in the early steps of design. The use of formal methods improves the understanding of systems. They have various techniques such as formal specification and verification to identify these problems in the initial stages of a project. However, the transformation from a formal specification into a programming language is a non-trivial task and error prone, specially when done manually. The aid of tools at this stage can bring great benefits to the final product to be developed. This paper proposes the extension of a tool whose focus is the automatic translation of specifications written in CSPM into Handel-C. CSP is a formal description language suitable for concurrent systems, and CSPM is the notation used in tools support. Handel-C is a programming language whose result can be compiled directly into FPGA s. Our extension increases the number of CSPM operators accepted by the tool, allowing the user to define local processes, to rename channels in a process and to use Boolean guards on external choices. In addition, we also propose the implementation of a communication protocol that eliminates some restrictions on parallel composition of processes in the translation into Handel-C, allowing communication in a same channel between multiple processes to be mapped in a consistent manner and that improper communication in a channel does not ocurr in the generated code, ie, communications that are not allowed in the system specification

Método de Projeções Ortogonais

The problem treated in this dissertation is to establish boundedness for the iterates of an iterative algorithm in 2, under some technical conditions. However, this paper uses non-trivial intuitive arguments and its proofs lack suficient rigor. In this dissertation we discuss and strengthen the results of this paper, in order to complete and simplify its proofs

Solitons from dressing in an algebraic approach to the constrained KP hierarchy

The algebraic matrix hierarchy approach based on affine Lie sl(n) algebras leads to a variety of 1 + 1 soliton equations. By varying the rank of the underlying sl(n) algebra as well as its gradation in the affine setting, one encompasses the set of the soliton equations of the constrained KP hierarchy.The soliton solutions are then obtained as elements of the orbits of the dressing transformations constructed in terms of representations of the vertex operators of the affine sl(n) algebras realized in the unconventional gradations. Such soliton solutions exhibit non-trivial dependence on the KdV (odd) time flows and KP (odd and even) time Bows which distinguishes them From the conventional structure of the Darboux-Backlund-Wronskian solutions of the constrained KP hierarchy.

Spinning Hopf solitons on S-3 x R

We consider a field theory with target space being the two dimensional sphere S-2 and defined on the space-time S-3 x R. The Lagrangean is the square of the pull-back of the area form on S-2. It is invariant under the conformal group SO(4, 2) and the infinite dimensional group of area preserving diffeomorphisms of S-2. We construct an infinite number of exact soliton solutions with non-trivial Hopf topological charges. The solutions spin with a frequency which is bounded above by a quantity proportional to the inverse of the radius of S-3. The construction of the solutions is made possible by an ansatz which explores the conformal symmetry and a U(1) subgroup of the area preserving diffeomorphism group.

Kerr-Newman solution as a Dirac particle

For m(2) < a(2) + q(2), with m, a, and q respectively the source mass, angular momentum per unit mass, and electric charge, the Kerr-Newman (KN) solution of Einstein's equation reduces to a naked singularity of circular shape, enclosing a disk across which the metric components fail to be smooth. By considering the Hawking and Ellis extended interpretation of the KN spacetime, it is shown that, similarly to the electron-positron system, this solution presents four inequivalent classical states. Making use of Wheeler's idea of charge without charge, the topological structure of the extended KN spatial section is found to be highly non-trivial, leading thus to the existence of gravitational states with half-integral angular momentum. This property is corroborated by the fact that, under a rotation of the space coordinates, those inequivalent states transform into themselves only after a 4π rotation. As a consequence, it becomes possible to naturally represent them in a Lorentz spinor basis. The state vector representing the whole KN solution is then constructed, and its evolution is shown to be governed by the Dirac equation. The KN solution can thus be consistently interpreted as a model for the electron-positron system, in which the concepts of mass, charge and spin become connected with the spacetime geometry. Some phenomenological consequences of the model are explored.

A new approach to integrable theories in any dimension

The zero curvature representation for two-dimensional integrable models is generalized to spacetimes of dimension d + 1 by the introduction of a d-form connection. The new generalized zero curvature conditions can be used to represent the equations of motion of some relativistic invariant field theories of physical interest in 2 + 1 dimensions (BF theories, Chern-Simons, 2 + 1 gravity and the CP1 model) and 3 + 1 dimensions (self-dual Yang-Mills theory and the Bogomolny equations). Our approach leads to new methods of constructing conserved currents and solutions. In a submodel of the 2 + 1-dimensional CP1 model, we explicitly construct an infinite number of previously unknown non-trivial conserved currents. For each positive integer spin representation of sl(2) we construct 2j + 1 conserved currents leading to 2j + 1 Lorentz scalar charges. (C) 1998 Elsevier B.V. B.V.