Essays on asymmetric information problems without the single-crossing property: applications to corporate finance

The objective of this dissertation is to re-examine classical issues in corporate finance, applying a new analytical tool. The single-crossing property, also called Spence-irrlees condition, is not required in the models developed here. This property has been a standard assumption in adverse selection and signaling models developed so far. The classical papers by Guesnerie and Laffont (1984) and Riley (1979) assume it. In the simplest case, for a consumer with a privately known taste, the single-crossing property states that the marginal utility of a good is monotone with respect to the taste. This assumption has an important consequence to the result of the model: the relationship between the private parameter and the quantity of the good assigned to the agent is monotone. While single crossing is a reasonable property for the utility of an ordinary consumer, this property is frequently absent in the objective function of the agents for more elaborate models. The lack of a characterization for the non-single crossing context has hindered the exploration of models that generate objective functions without this property. The first work that characterizes the optimal contract without the single-crossing property is Araújo and Moreira (2001a) and, for the competitive case, Araújo and Moreira (2001b). The main implication is that a partial separation of types may be observed. Two sets of disconnected types of agents may choose the same contract, in adverse selection problems, or signal with the same levei of signal, in signaling models.

The Macroeconomic Effects of Fiscal Policy in a Small Open Economy under a Flexible Exchange Rate Regime

This licentiate's thesis analyzes the macroeconomic effects of fiscal policy in a small open economy under a flexible exchange rate regime, assuming that the government spends exclusively on domestically produced goods. The motivation for this research comes from the observation that the literature on the new open economy macroeconomics (NOEM) has focused almost exclusively on two-country global models and the analyses of the effects of fiscal policy on small economies are almost completely ignored. This thesis aims at filling in the gap in the NOEM literature and illustrates how the macroeconomic effects of fiscal policy in a small open economy depend on the specification of preferences. The research method is to present two theoretical model that are extensions to the model contained in the Appendix to Obstfeld and Rogoff (1995). The first model analyzes the macroeconomic effects of fiscal policy, making use of a model that exploits the idea of modelling private and government consumption as substitutes in private utility. The model offers intuitive predictions on how the effects of fiscal policy depend on the marginal rate of substitution between private and government consumption. The findings illustrate that the higher the substitutability between private and government consumption, (i) the bigger is the crowding out effect on private consumption (ii) and the smaller is the positive effect on output. The welfare analysis shows that the less fiscal policy decreases welfare the higher is the marginal rate of substitution between private and government consumption. The second model of this thesis studies how the macroeconomic effects of fiscal policy depend on the elasticity of substitution between traded and nontraded goods. This model reveals that this elasticity a key variable to explain the exchange rate, current account and output response to a permanent rise in government spending. Finally, the model demonstrates that temporary changes in government spending are an effective stabilization tool when used wisely and timely in response to undesired fluctuations in output. Undesired fluctuations in output can be perfectly offset by an opposite change in government spending without causing any side-effects.

Sociality and the rate of molecular evolution

The molecular clock does not tick at a uniform rate in all taxa but maybe influenced by species characteristics. Eusocial species (those with reproductive division of labor) have been predicted to have faster rates of molecular evolution than their nonsocial relatives because of greatly reduced effective population size; if most individuals in a population are nonreproductive and only one or few queens produce all the offspring, then eusocial animals could have much lower effective population sizes than their solitary relatives, which should increase the rate of substitution of nearly neutral mutations. An earlier study reported faster rates in eusocial honeybees and vespid wasps but failed to correct for phylogenetic nonindependence or to distinguish between potential causes of rate variation. Because sociality has evolved independently in many different lineages, it is possible to conduct a more wide-ranging study to test the generality of the relationship. We have conducted a comparative analysis of 25 phylogenetically independent pairs of social lineages and their nonsocial relatives, including bees, wasps, ants, termites, shrimps, and mole rats, using a range of available DNA sequences (mitochondrial and nuclear DNA coding for proteins and RNAs, and nontranslated sequences). By including a wide range of social taxa, we were able to test whether there is a general influence of sociality on rates of molecular evolution and to test specific predictions of the hypothesis: (1) that social species have faster rates because they have reduced effective population sizes; (2) that mitochondrial genes would show a greater effect of sociality than nuclear genes; and (3) that rates of molecular evolution should be correlated with the degree of sociality. We find no consistent pattern in rates of molecular evolution between social and nonsocial lineages and no evidence that mitochondrial genes show faster rates in social taxa. However, we show that the most highly eusocial Hymenoptera do have faster rates than their nonsocial relatives. We also find that social parasites (that utilize the workers from related species to produce their own offspring) have faster rates than their social relatives, which is consistent with an effect of lower effective population size on rate of molecular evolution. Our results illustrate the importance of allowing for phylogenetic nonindependence when conducting investigations of determinants of variation in rate of molecular evolution.

Aspiration-based utility functions in a planning model for timber flow management.

The study presents a theory of utility models based on aspiration levels, as well as the application of this theory to the planning of timber flow economics. The first part of the study comprises a derivation of the utility-theoretic basis for the application of aspiration levels. Two basic models are dealt with: the additive and the multiplicative. Applied here solely for partial utility functions, aspiration and reservation levels are interpreted as defining piecewisely linear functions. The standpoint of the choices of the decision-maker is emphasized by the use of indifference curves. The second part of the study introduces a model for the management of timber flows. The model is based on the assumption that the decision-maker is willing to specify a shape of income flow which is different from that of the capital-theoretic optimum. The utility model comprises four aspiration-based compound utility functions. The theory and the flow model are tested numerically by computations covering three forest holdings. The results show that the additive model is sensitive even to slight changes in relative importances and aspiration levels. This applies particularly to nearly linear production possibility boundaries of monetary variables. The multiplicative model, on the other hand, is stable because it generates strictly convex indifference curves. Due to a higher marginal rate of substitution, the multiplicative model implies a stronger dependence on forest management than the additive function. For income trajectory optimization, a method utilizing an income trajectory index is more efficient than one based on the use of aspiration levels per management period. Smooth trajectories can be attained by squaring the deviations of the feasible trajectories from the desired one.

Essays on the relationship between the equity and the forward premium puzzles

Our research agenda consists in showing this strong relation between these puzzles based on evidences that both empirical failures are related to the incapacity of the canonical CCAPM to provide a high volatile intertemporal marginal rate of substitution with reasonable values for the preferences parameters.

Isoquantas de Produtividade da Cana-de-açúcar em Função de Níveis de Irrigação e Adubação Nitrogenada.

Um experimento de campo com diferentes níveis de irrigação e nitrogênio foi conduzido no Centro de Ciências Agrárias da Universidade Federal de Alagoas com o objetivo de determinar a função de produção e as isoquantas de produtividade agrícola da cana-de-açúcar com base nas lâminas de irrigação e doses de nitrogênio (N). A precipitação pluvial efetiva durante o ciclo de produção foi 1.037 mm e a lâmina de irrigação bruta máxima foi 873 mm. A produtividade agrícola ficou entre 118 e 188 Mg ha-1, média de 160 Mg ha-1. Na isoquanta da produtividade agrícola média da cana-de-açúcar, a taxa marginal de substituição de água por N é 0,36 kg mm-1 (na interseção das retas de 25 kg de N ha-1 e 760 mm de irrigação) e infinita (na interseção das retas de 125 kg de N ha-1 e 390 mm de irrigação). A quantidade de água e nitrogênio de menor custo para produzir 160 Mg ha-1 foi 390 mm de irrigação e 112 kg de N ha-1. A regressão polinomial de segundo grau apresentou ajuste médio (r2 = 62%) para a produtividade agrícola em relação às lâminas de irrigação e doses de nitrogênio. A resposta da cana-de-açúcar à adubação nitrogenada aumenta em proporção direta com disponibilidade hídrica do solo.

Property-performance control of multidimensional, hierarchical, single-crystalline ZnO nanoarchitectures

Diverse morphologies of multidimensional hierarchical single-crystalline ZnO nanoarchitectures including nanoflowers, nanobelts, and nanowires are obtained by use of a simple thermal evaporation and vapour-phase transport deposition technique by placing Au-coated silicon substrates in different positions inside a furnace at process temperatures as low as 550 °C. The nucleation and growth of ZnO nanostructures are governed by the vapour–solid mechanism, as opposed to the commonly reported vapour–liquid–solid mechanism, when gold is used in the process. The morphological, structural, compositional and optical properties of the synthesized ZnO nanostructures can be effectively tailored by means of the experimental parameters, and these properties are closely related to the local growth temperature and gas-phase supersaturation at the sample position. In particular, room-temperature photoluminescence measurements reveal an intense near-band-edge ultraviolet emission at about 386 nm for nanobelts and nanoflowers, which suggests that these nanostructures are of sufficient quality for applications in, for example, optoelectronic devices.

Effect of substitution of Y on the structural, magnetic, and thermal properties of hexagonal DyMnO3 single crystals

We investigate the structural, magnetic, and specific heat behavior of the hexagonal manganite Dy0.5Y0.5MnO3 in order to understand the effect of dilution of Dy magnetism with nonmagnetic yttrium. In this compound, the triangular Mn lattice orders antiferromagnetic at T-N(Mn) approximate to 68 K observed experimentally in the derivative of magnetic susceptibility as well as in specific heat. In addition, a low-temperature peak at T-N(Dy) similar to 3 K is observed in specific heat which is attributed to rare earth order. The T-N(Mn) increases by 9 K compared to that of hexagonal (h) DyMnO3 while T-N(Dy) is unchanged. A change in slope of thermal evolution of lattice parameters is observed to occur at temperature close to T-N(Mn). This hints at strong magnetoelastic coupling in this geometric multiferroic. In magnetization measurements, steplike features are observed when the magnetic field is applied along the c axis which shift to higher fields with temperature and vanish completely above 40 K. The presence of different magnetic phases at low temperature and strong magnetoelastic effects can lead to such field-induced transitions which resemble metamagnetic transitions. This indicates the possibility of strong field-induced effects in dielectric properties of this material, which is unexplored to date.

Maximum Rate of Unitary-Weight, Single-Symbol Decodable STBCs

It is well known that the space-time block codes (STBCs) from complex orthogonal designs (CODs) are single-symbol decodable/symbol-by-symbol decodable (SSD). The weight matrices of the square CODs are all unitary and obtainable from the unitary matrix representations of Clifford Algebras when the number of transmit antennas n is a power of 2. The rate of the square CODs for n = 2(a) has been shown to be a+1/2(a) complex symbols per channel use. However, SSD codes having unitary-weight matrices need not be CODs, an example being the minimum-decoding-complexity STBCs from quasi-orthogonal designs. In this paper, an achievable upper bound on the rate of any unitary-weight SSD code is derived to be a/2(a)-1 complex symbols per channel use for 2(a) antennas, and this upper bound is larger than that of the CODs. By way of code construction, the interrelationship between the weight matrices of unitary-weight SSD codes is studied. Also, the coding gain of all unitary-weight SSD codes is proved to be the same for QAM constellations and conditions that are necessary for unitary-weight SSD codes to achieve full transmit diversity and optimum coding gain are presented.

Growth rate of YBCO single grains containing Y-2411(M)

Y-Ba-Cu-O (YBCO) single grains have the potential to generate large trapped magnetic fields for a variety of engineering applications, and research on the processing and properties of this material has attracted world-wide interest. In particular, the introduction of flux pinning centres to the large grain microstructure to improve its current density, Jc, and hence trapped field, has been investigated extensively over the past decade. Y 2Ba4CuMOx [Y-2411(M)], where M = Nb, Ta, Mo, W, Ru, Zr, Bi and Ag, has been reported to form particularly effective flux pinning centres in YBCO due primarily to its ability to exist as nano-size inclusions in the superconducting phase matrix. However, the addition of the Y-2411(M) phase to the precursor composition complicates the melt-processing of single grains. We report an investigation of the growth rate of single YBCO grains containing Y-2411(Bi) phase inclusions and Y2O3. The superconducting properties of these large single grains have been measured specifically to investigate the effect of Y2O3 on broadening the growth window of these materials. © 2010 IOP Publishing Ltd.

Stream segregation on a single electrode as a function of pulse rate in cochlear implant listeners.

While cochlear implants (CIs) usually provide high levels of speech recognition in quiet, speech recognition in noise remains challenging. To overcome these difficulties, it is important to understand how implanted listeners separate a target signal from interferers. Stream segregation has been studied extensively in both normal and electric hearing, as a function of place of stimulation. However, the effects of pulse rate, independent of place, on the perceptual grouping of sequential sounds in electric hearing have not yet been investigated. A rhythm detection task was used to measure stream segregation. The results of this study suggest that while CI listeners can segregate streams based on differences in pulse rate alone, the amount of stream segregation observed decreases as the base pulse rate increases. Further investigation of the perceptual dimensions encoded by the pulse rate and the effect of sequential presentation of different stimulation rates on perception could be beneficial for the future development of speech processing strategies for CIs.