Inflation when the planner wants less spending

I study optima in a random-matching model of outside money. The examples in this paper show a conflict between private and collective interests. While the planner worry about the extensive and intensive margin effects of trades in a steady state, people want the exhaust the gains from trades immediately, i.e., once in a meeting, consumers prefer spend more for a better output than take the risk of saving money and wait for good meetings in the future. Thus, the conflict can force the planner to choose allocations with a more disperse money distribution, mainly if people are im- patient. When the patient rate is low enough, the planner uses a expansionary policy to generate a better distribution of money for future trades.

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.

Monetary policy, default risk and the exchange rate

In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in Brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. Indeed, we find that unexpected increases in interest rates tend to lead the Brazilian currency to depreciate. It follows that granting more independence to a central bank that focus solely on inflation is not always a free-lunch.

Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Lessons for emerging state Children's Health Insurance Premium Assistance programs: Case study of the Massachusetts Masshealth Family Assistance Program (MHFAP)

Providing health insurance coverage for vulnerable populations such as low-income high-risk children with limited access to health care is a challenge for many states. Over the past decade, higher private insurance premiums and unpredictable labor markets have increased the number of uninsured and underinsured children nationwide. Due to recent economic downfalls, many states such as Texas, have expressed interest in using premium assistance programs to increase enrollment of low income children and families in private coverage through employer sponsored health insurance. Massachusetts has been especially successful in reducing the number of uninsured children through the implementation of MassHealth Family Assistance Program (MHFAP), an employer based premium assistance program. The purpose of this study is to identify key implementation factors of a fully established premium assistance program which may provide lessons and facilitate implementation of emerging premium assistance programs. ^ The case study of the fully established MassHealth Family Assistance Program (MHFAP) has illustrated the ability of states to expand their Medicaid and SCHIP programs in order to provide affordable health coverage to uninsured and underinsured low income children and their families. As demonstrated by MHFAP, the success of a premium assistance program depends on four key factors: (1) determination of participant and employer eligibility; (2) determination of employer benefits meeting benchmark equivalency (Medicaid or State Children's Health Insurance Program); (3) the use of appropriate marketing and outreach strategies; and (4) establishment of adequate monitoring and reporting techniques. Successful implementation strategies, revealed by the case study of the Massachusetts MassHealth Family Assistance Program, may be used by emerging premium assistance programs, such as Texas Children's Health Insurance Premium Assistance Program (CHIP-PA) toward establishment of an effective, efficient, and equitable employer sponsored health program.^

The Brazilian real estate securitization market: determinants of pricing

Analisamos os determinantes de precificação de Certificados de Recebíveis Imobiliários (CRIs) com relação ao ativo objeto e níveis de garantias, controlando por variáveis de tamanho, prazo e rating. Verifica-se um prêmio médio adicional em CRIs de 1,0 p.p. quando comparados com debêntures de prazos semelhantes e de mesmo rating. A justificativa desse prêmio é analisada em duas frentes: (a) apesar de CRI seguir relativa padronização, encontramos que o papel pode representar diferentes níveis de risco e ativos-objeto; e (b) essa falta de padronização leva a níveis de precificação diferenciados por suas características específicas de riscos. Os diferentes níveis de risco são percebidos pelas diversas garantias utilizadas sendo que 41% das emissões possuem garantias pessoais de originadores (aval ou fiança). Conclui-se que existe, em geral, uma diferença de retornos positiva (o spread médio na emissão dos CRIs indexados à inflação foi de 321 bps superior à curva de juros de mercado), sendo mais preponderante a depender do segmento (prêmio para os segmentos residencial e loteamentos) e mitigado pelo nível de garantias oferecido. É possível verificar um prêmio médio de 1,4 p.p. para os segmentos residencial e de loteamentos. Algumas características das emissões foram analisadas como controle (tamanho, prazo e, por fim, das notas e origem da agência avaliadora de rating). Os CRIs de maior volume e maior prazo apresentam spreads menores. Quanto ao rating, os CRIs apresentam efeitos diversos a depender do segmento. Para CRIs residenciais, o efeito é positivo (redução de spread) caso a emissão seja avaliada por alguma agência de rating, enquanto que para os CRIs comerciais, o efeito é negativo. O efeito pode ser positivo para os CRIs comerciais (redução de spread) em caso de avaliação por agência de rating internacional ou possuir notas de rating superiores à nota ‘A’.

Adaptive designs in the time to event setting: The potential for benefit and risk

Thesis (Ph.D.)--University of Washington, 2016-06

Noise trader risk and the welfare effects of privatization

Excessive volatility of asset prices like that generated in the 'noise trader' model of De Long et al. is one factor that plausibly might contribute to an explanation of the equity premium. We extend the De Long et al. model to allow for privatization of publicly-owned assets and assess the welfare effects of such privatization in the presence of excess volatility arising from noise traders' mistaken beliefs.

Construction risk management:a quantitative approach

Conventional project management techniques are not always sufficient for ensuring time, cost and quality achievement of large-scale construction projects due to complexity in planning and implementation processes. The main reasons for project non-achievement are changes in scope and design, changes in Government policies and regulations, unforeseen inflation) under-estimation and improper estimation. Projects that are exposed to such an uncertain environment can be effectively managed with the application of risk numagement throughout project life cycle. However, the effectiveness of risk management depends on the technique in which the effects of risk factors are analysed and! or quantified. This study proposes Analytic Hierarchy Process (AHP), a multiple attribute decision-making technique as a tool for risk analysis because it can handle subjective as well as objective factors in decision model that are conflicting in nature. This provides a decision support system (DSS) to project managenumt for making the right decision at the right time for ensuring project success in line with organisation policy, project objectives and competitive business environment. The whole methodology is explained through a case study of a cross-country petroleum pipeline project in India and its effectiveness in project1nana.gement is demonstrated.

Risk based decision support system for effective implementation of projects

Conventional project management techniques are not always sufficient to ensure time, cost and quality achievement of large-scale construction projects due to complexity in planning, design and implementation processes. The main reasons for project non-achievement are changes in scope and design, changes in government policies and regulations, unforeseen inflation, underestimation and improper estimation. Projects that are exposed to such an uncertain environment can be effectively managed with the application of risk management throughout the project's life cycle. However, the effectiveness of risk management depends on the technique through which the effects of risk factors are analysed/quantified. This study proposes the Analytic Hierarchy Process (AHP), a multiple attribute decision making technique, as a tool for risk analysis because it can handle subjective as well as objective factors in a decision model that are conflicting in nature. This provides a decision support system (DSS) to project management for making the right decision at the right time for ensuring project success in line with organisation policy, project objectives and a competitive business environment. The whole methodology is explained through a case application of a cross-country petroleum pipeline project in India and its effectiveness in project management is demonstrated.

Requirement for and optimisation of premium intraocular lenses

Premium intraocular lenses (IOLs) aim to surgically correct astigmatism and presbyopia following cataract extraction, optimising vision and eliminating the need for cataract surgery in later years. It is usual to fully correct astigmatism and to provide visual correction for distance and near when prescribing spectacles and contact lenses, however for correction with the lens implanted during cataract surgery, patients are required to purchase the premium IOLs and pay surgery fees outside the National Health Service in the UK. The benefit of using toric IOLs was thus demonstrated, both in standard visual tests and real-world situations. Orientation of toric IOLs during implantation is critical and the benefit of using conjunctival blood vessels for alignment was shown. The issue of centration of IOLs relative to the pupil was also investigated, showing changes with the amount of dilation and repeat dilation evaluation, which must be considered during surgery to optimize the visual performance of premium IOLs. Presbyopia is a global issue, of growing importance as life expectancy increases, with no real long-term cure. Despite enhanced lifestyles, changes in diet and improved medical care, presbyopia still presents in modern life as a significant visual impairment. The onset of presbyopia was found to vary with risk factors including alcohol consumption, smoking, UV exposure and even weight as well as age. A new technique to make measurement of accommodation more objective and robust was explored, although needs for further design modifications were identified. Due to dysphotopsia and lack of intermediate vision through most multifocal IOL designs, the development of a trifocal IOL was shown to minimize these aspects. The current thesis, therefore, emphasises the challenges of premium IOL surgery and need for refinement for optimum visual outcome in addition to outlining how premium IOLs may provide long-term and successful correction of astigmatism and presbyopia.

Quantitative risk management aids refinery construction

Conventional project management techniques are not always sufficient to ensure that schedule, cost and quality goals are met on large-scale construction projects. These jobs require complex planning, designing and implementation processes. The main reasons for a project's nonachievement in India's hydrocarbon processing industry are changes in scope and design, altered government policies and regulations, unforeseen inflation, under and/or improper estimation. Projects that are exposed to such an uncertain environment can be effectively managed by applying risk management throughout the project life cycle.

Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.

A kockázat mint látens fogalom (Risk - A latent concept)

A kockázat statisztikai értelemben közvetlenül nem mérhető, azaz látens fogalom éppen úgy, mint a gazdasági fejlettség, a szervezettség vagy az intelligencia. Mi bennünk a közös? A kockázat is komplex fogalom, több mérhető tényezőt foglal magában, és bár sok tényezőjét mérjük, fel sem tételezzük, hogy pontos eredményt kapunk. Ebben a megközelítésben az elemző kezdettől fogva tudja, hogy hiányos az ismerete. Ezt Bélyácz [2011[ nyomán úgy is megfogalmazhatjuk: „A statisztikusok tudják, hogy valamit éppen nem tudnak.” / === / From statistical point of view risk, like economic development is a latent concept. Typically there is no one number which can explicitly estimate or project risk. Variance is used as a proxy in finance to measure risk. Other professions are using other concepts for risk. Underwriting is the most important step in insurance business to analyse exposure. Actuaries evaluate average claim size and the probability of claim to calculate risk. Bayesian credibility can be used to calculate insurance premium combining frequencies and empirical knowledge, as a prior. Different types of risks can be classified into a risk matrix to separate insurable risk. Only this category can be analysed by multivariate statistical methods, which are based on statistical data. Sample size and frequency of events are relevant not only in insurance, but in pension and investment decisions as well.

Kockázattal kiegészített Taylor-szabályok becslése Magyarországra = Estimation of risk-augmented Taylor rules for Hungary

Cikkünkben a magyar monetáris politikát vizsgáljuk olyan szempontból, hogy kamatdöntései meghozatalakor figyelembe vette-e az országkockázatot, és ha igen, hogyan. A kérdés megválaszolásához a monetáris politika elemzésének leggyakoribb eszközét használjuk: az ország monetáris politikáját leíró Taylor-szabályokat becslünk. A becslést több kockázati mérőszámmal is elvégeztük több, különféle Taylor-szabályt használva. Az érzékenységvizsgálatban az inflációhoz és a kibocsátási réshez is alkalmaztunk más, az alapspecifikációban szereplőtől eltérő mérőszámokat. Eredményeink szerint a Magyar Nemzeti Bank kamatdöntései jól leírhatók egy rugalmas, inflációs célkövető rezsimmel: a Taylor-szabályban szignifikáns szerepe van az inflációs céltól való eltérésének és - a szabályok egy része esetén - a kibocsátási résnek. Emellett a döntéshozók figyelembe vették az országkockázatot is, annak növekedésére a kamat emelésével válaszoltak. Az országkockázat Taylor-szabályba történő beillesztése a megfelelő kockázati mérőszám kiválasztása esetén jelentős mértékben képes javítani a Taylor-szabály illeszkedését. _____ The paper investigates the degree to which Hungarian monetary policy has considered country risk in its decisions and if so, how. The answer was sought through the commonest method of analysing a countrys monetary policy: Taylor rules for describing it. The estimation of the rule was prepared using several risk indicators and applying various types of Taylor rules. As a sensitivity analysis, other indicators of inflation and output gap were employed than in the base rule. This showed that the interest-rate decisions of the National Bank of Hungary can be well described by a flexible inflation targeting regime: in the Taylor rules, deviation of inflation from its target has a significant role and the output gap is also significant in one part of the rules. The decision-makers also considered country risk and responded to an increase in it by raising interest rates. Insertion of country risk into the Taylor rule could improve the models fit to an important degree when choosing an appropriate risk measure.