Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

Motivação para o trabalho: um estudo com os profissionais de saúde das unidades básicas de saúde do município de Natal RN

This thesis studied the motivation to work among health professionals of the Basic Unities (BUH) in the health network of the city of Natal (RN). It was understood that the work motivation is a process. Then, the expectation theory was applied and motivation components (results of work, expectative, valence, instrumentality, and motivational force) were used to analyses. It s understanding the motivation as multifaceted phenomenon, the psycho sociological perspective was adopted. The research was developed in two phases: one with application of Work Motivation and Meaning Inventory (WMMI), and another with interview. In the first phases, the analysis of results revealed that the major factors contributing to increase the motivational force to health professionals in the BUH´s are: in valence, Self Expression and Personal Realization (VF2), Personal and Family Survival (VF3); in expectative, Self Expression and Work Justice (EF1), Safety and Dignity (EF2) and Responsibility (EF4); in instrumentality, Involvement (IF1) and Recognition and Economic Independence (IF4). In opposition, the factors that more contribute to reduce the motivational force are Wear and Dehumanization factors in valence (VF4), in expectative (EF3), and in instrumentality (IF4), behind the Work Justice Factor (IF2). Basing in content analysis of interviews, it was possible to associate by equivalence, the senses presented by health professionals with obtained results of first phase, indicating that the results of second phase corroborated and complemented those of first one. This possibility broadened the comprehension of the studied phenomenon. In speaking of the respondents, it was visible the presence of contents showing that they perceive the Health System and BUH´s in degradation. In the first phase, the participants´ instruction also predict the results in motivation, and in the interviews can be saw that the instruction is associated with the opportunities in outside of system. As work motivation is a process, the impact of personal and occupational characteristics tend to interact with contextual aspects. It was concluded the majority of health professionals present the moderated motivational force, but it was falling because they experience and perceive a degrading context with work condition increasingly unfavorable.

A motivação e o significado do trabalho de bancários: estudo comparativo entre dois momentos do processo de reestruturação produtiva

This master s dissertation deals with motivation and the meaning of work amongst bank employees. This is done considering a cognitive perception. Work is understood here under a social and subjective comprehension, once it deals with significance attribution. Motivation is the process that rules choice of the different possibilities of individual behavior, all of which according to the Expectation Theory. This study aims to analyze the implications of the productive restructure, since it is related to technological innovation, organizational changes and management, in motivation and work significance. Thus, the objective of the research is to verify motivational differences and the meaning of work amongst bank employees. This is done in two distinct moments of the productive restructure of bank employees in Natal-RN. The research is divided in two parts. In the first one, changes that occurred in banks between 1999 until 2005 were identified by the means of interviews with 7 bank managers. The analyzed perspective was training intensifying, quality emphasis of customer attendance, the use of automation/technology, staff stabilization, change in staff profile, work intensification, etc. In the second study the Inventory of Motivation and Work Meaning was applied. Thus, questions related to work focus, social demographic data, in 187 bank employees were dealt with. The collected data was compared to data from previous work. It was observed that productive restructure has a reflection in the meaning of work increasing self-expression, economical reward, and responsibility in work conditions. All of the item mention beforehand maintain the level of inhumanness and consummation and respond as being the characteristics of the real work environment. On the other hand, bank employees value less justice, self-expression and more the survival perspective, implying instrumental values to work. As for motivation, it is increased among bank employees. These employees have greater expectations that their work produce results since they believe in their interference in work results

Sex timmars arbetsdag –ett modigt beslut : För att bli en attraktiv arbetsgivare

I studien undersöks hur arbetstagarnas arbetstillfredsställelse förändrats vis en arbetstidsförkortning. Arbetstidsförkortningens art är i form av en övergång ifrån åtta timmars arbetsdag till sex timmars arbetsdag med bibehållen heltidslön. Studien har genomförts vid ett mindre privat tjänsteföretag. Studiens syfte är att undersöka hur denna typ av arbetstidsförkortning förhåller sig till arbetstagarnas arbetstillfredsställelse och därmed öka förståelsen för de båda fenomenen. Det framkommer att arbetstagarnas arbetstillfredsställelse har förändrats sedan arbetstidsförkortningen. Gällande enskilda faktorer i arbetet har somliga faktorer minskat medan somliga faktorer ökat. I diskussionen framkommer att det föreligger en risk för ohälsa för arbetstagarna då det råder brist på stöd, minskad kontroll och ökade krav sedan arbetstidsförkortningen införts. Den föreliggande risken för ohälsa kan dock ses som acceptabel med tanke på den varierande arbetsbelastningen vilket innebär att arbetstagarna under perioder får tid för återhämtning. Trots omständigheterna råder en hög global arbetstillfredsställelse vilket i sin tur borde innebära att teorierna som brukats innehåller vissa brister då hänsyn till svängningar i arbetsbelastningen inte tagits. I resultatanalysen framkom tre teman vilka sågs relevanta för arbetstagarna och dess arbetstillfredsställelse. Dessa teman bestod av förändringar i relationer, förändringar i arbetet och förändringar i belöningar. Den teoretiska referensramen för studien innehåller förväntningsteorin, tvåfaktor teorin, kravkontroll- stödmodellen samt ansträngning- belöning- obalansmodellen. Datainsamling har skett med hjälp av fyra semistrukturerade intervjuer då respondenterna bestått av arbetstagare på det valda fallet som studerats. Studien är uppbyggt efter kvalitativ metod och har en fenomenologisk ansats. Studien har utformats i form av en fallstudie.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

“This wasn’t supposed to happen” : making sense of emotions in the face of expectation breach

Des recherches antérieures sur les émotions en contexte organisationnel, notamment autour des notions de travail émotionnel, de contrat psychologique et d'équité, ont souvent soulevé la question de la rationalité et du caractère approprié ou non des manifestations émotionnelles, ainsi que sur les mécanismes utilisés pour contrôler et modérer celles-ci. Cependant, peu de recherche empirique a été effectuée sur la façon dont les employés eux-mêmes font sens de leurs émotions au travail et le processus par lequel ils parviennent à rendre celle-ci compréhensibles et légitimes, à la fois pour eux-mêmes et pour autrui. Au cours des dernières années, un courant de recherche émergent tend toutefois à mettre de côté la perspective normative / rationaliste pour soulever ce type de questions. Ainsi, au lieu d'être considérées comme des expériences strictement subjectives, privées, voire inaccessibles, les émotions y sont envisagées à travers les discours et les mises en récits dont elles font l’objet. Les émotions apparaissent ainsi non seulement exprimées dans le langage et la communication, mais construites et négociées à travers eux. La recherche présente développe empiriquement cette perspective émergente, notamment en faisant appel aux théories du sensemaking et de la narration, à travers l’analyse détaillée des récits de quatre employés chargés du soutien à la vente pour un revendeur de produits informatiques. En demandant à mes sujets de parler de leurs expériences émotionnelles et en analysant leurs réponses selon une méthodologie d’analyse narrative, cette recherche explore ainsi la façon dont les employés parviennent à construire le sens et la légitimité de leurs expériences émotionnelles. Les résultats suggèrent entre autres que ces processus de construction de sens sont très étroitement liés aux enjeux d’identité et de rôle.

How soccer players head the ball: a test of optic acceleration cancellation theory with virtual reality

We measured the movements of soccer players heading a football in a fully immersive virtual reality environment. In mid-flight the ball’s trajectory was altered from its normal quasi-parabolic path to a linear one, producing a jump in the rate of change of the angle of elevation of gaze (α) from player to ball. One reaction time later the players adjusted their speed so that the rate of change of α increased when it had been reduced and reduced it when it had been increased. Since the result of the player’s movement was to regain a value of the rate of change close to that before the disturbance, the data suggest that the players have an expectation of, and memory for, the pattern that the rate of change of α will follow during the flight. The results support the general claim that players intercepting balls use servo control strategies and are consistent with the particular claim of Optic Acceleration Cancellation theory that the servo strategy is to allow α to increase at a steadily decreasing rate.

Stochastic perturbations to dynamical systems: a response theory approach

Using the formalism of the Ruelle response theory, we study how the invariant measure of an Axiom A dynamical system changes as a result of adding noise, and describe how the stochastic perturbation can be used to explore the properties of the underlying deterministic dynamics. We first find the expression for the change in the expectation value of a general observable when a white noise forcing is introduced in the system, both in the additive and in the multiplicative case. We also show that the difference between the expectation value of the power spectrum of an observable in the stochastically perturbed case and of the same observable in the unperturbed case is equal to the variance of the noise times the square of the modulus of the linear susceptibility describing the frequency-dependent response of the system to perturbations with the same spatial patterns as the considered stochastic forcing. This provides a conceptual bridge between the change in the fluctuation properties of the system due to the presence of noise and the response of the unperturbed system to deterministic forcings. Using Kramers-Kronig theory, it is then possible to derive the real and imaginary part of the susceptibility and thus deduce the Green function of the system for any desired observable. We then extend our results to rather general patterns of random forcing, from the case of several white noise forcings, to noise terms with memory, up to the case of a space-time random field. Explicit formulas are provided for each relevant case analysed. As a general result, we find, using an argument of positive-definiteness, that the power spectrum of the stochastically perturbed system is larger at all frequencies than the power spectrum of the unperturbed system. We provide an example of application of our results by considering the spatially extended chaotic Lorenz 96 model. These results clarify the property of stochastic stability of SRB measures in Axiom A flows, provide tools for analysing stochastic parameterisations and related closure ansatz to be implemented in modelling studies, and introduce new ways to study the response of a system to external perturbations. Taking into account the chaotic hypothesis, we expect that our results have practical relevance for a more general class of system than those belonging to Axiom A.

Interpretation and expectation in childhood anxiety disorders: age effects and social specificity

Theory and treatment for childhood anxiety disorders typically implicates children’s negative cognitions, yet little is known about the characteristics of thinking styles of clinically anxious children. In particular, it is unclear whether differences in thinking styles between children with anxiety disorders and non-anxious children vary as a function of child age, whether particular cognitive distortions are associated with childhood anxiety disorders at different child ages, and whether cognitive content is disorder-specific. The current study addressed these questions among 120 7 - 12 year old children (53% female) who met diagnostic criteria for social anxiety disorder, other anxiety disorder, or who were not currently anxious. Contrary to expectations, threat interpretation was not inflated amongst anxious compared to non-anxious children at any age, although older (10 - 12 year old) anxious children did differ from non-anxious children on measures of perceived coping. The notion of cognitive-content specificity was not supported across the age-range. The findings challenge current treatment models of childhood anxiety, and suggest that a focus on changing anxious children’s cognitions is not warranted in mid-childhood, and in late childhood cognitive approaches may be better focussed on promoting children’s perceptions of control rather than challenging threat interpretations.

PP-wave light-cone free string field theory at finite temperature

In this paper, a real-time formulation of light-cone pp-wave string field theory at finite temperature is presented. This is achieved by developing the thermo field dynamics (TFD) formalism in a second quantized string scenario. The equilibrium thermodynamic quantities for a pp-wave ideal string gas are derived directly from expectation values on the second quantized string thermal vacuum. Also, we derive the real-time thermal pp-wave closed string propagator. In the flat space limit it is shown that this propagator can be written in terms of Theta functions, exactly as the zero temperature one. At the end, we show how superstrings interactions can be introduced, making this approach suitable to study the BMN dictionary at finite temperature.

Towards a Realization of the Condensed-Matter-Gravity Correspondence in String Theory via Consistent Abelian Truncation of the Aharony-Bergman-Jafferis-Maldacena Model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

String-averaging expectation-maximization for maximum likelihood estimation in emission tomography

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

Estimating and quantifying uncertainties on level sets using the Vorob'ev expectation and deviation with Gaussian process models

Several methods based on Kriging have recently been proposed for calculating a probability of failure involving costly-to-evaluate functions. A closely related problem is to estimate the set of inputs leading to a response exceeding a given threshold. Now, estimating such a level set—and not solely its volume—and quantifying uncertainties on it are not straightforward. Here we use notions from random set theory to obtain an estimate of the level set, together with a quantification of estimation uncertainty. We give explicit formulae in the Gaussian process set-up and provide a consistency result. We then illustrate how space-filling versus adaptive design strategies may sequentially reduce level set estimation uncertainty.