Do Japanese Stock Prices Reflect Macro Fundamentals?

This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification scheme. Identification of fundamental and nonfundamental shocks is shown to be supported by the data. Based on the appropriate structural restriction, the historical stock prices are decomposed into fundamental components and nonfundamental components. The decomposition shows that the linkage between Japanese stock prices and real activity shocks became strengthened since the bubble collapsed in the beginning of 1990s

Structural Vector Autoregressions

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices

Metodologia de Co-projecto Hardware/Software para arquitecturas computacionais reconfiguraveis utilizando uma participacao baseada no paralelismo implicito

The latest development of the electronic system production technology leads to new design approaches. The design methodology called hardware/software co-design means meeting system-level objectives by exploiting the synergism of hardware and software through their concurrent design. The design methodology developed in this work is directed to reconfigurable systems used for custom computing or rapid proto typing. The developed design methodology and the tools based on it offer a solution for three main problems in the area of hardware/software co-design: system modelling, hardware/software partitioning and the implementation of the resulting parts. For the initial system specification was used the high level programming language C, and, the system is modelled using control data flow graph. The hardware/software partitioning is accomplished in two steps: parallelization of the initial specification and final partitioning. The final partitioning splits the system into two concurrently executed parts. The final system implementation is achieved by synthesis of the hardware configuration and generation of the software. At the end of the dissertation some examples are presented demonstrating the potential of the developed design methodologyAvailable from Fundacao para a Ciencia e a Tecnologia, Servico de Informacao e Documentacao, Av. D. Carlos I, 126, 1200 Lisboa / FCT - Fundação para o Ciência e a TecnologiaSIGLEPTPortuga

On using Markov switching time series models to verify structural identifying restrictions and to assess public debt sustainability

Examining Board: Professor Helmut Lütkepohl, DIW Berlin and Freie Universität (External Supervisor) Professor Peter Hansen, European University Institute Professor Ralf Brüggemann, University of Konstanz Professor Luca Fanelli, University of Bologna.Defence date: 7 June 2013First made available online on 24 September 2013.The first paper in this thesis deals with the issue of whether there are bubble components in stock prices. This is joint research with Wenjuan Chen (Free Universtiy Berlin). We investigate existing bivariate structural vector autoregressive (SVAR) models and test their identifying restriction by means of a Markov switching (MS) in heteroskedasticity model. We use data from six different countries and find that, for five of the country models, the structural restriction is supported at the 5% level. Accordingly, we label the two structural shocks as fundamental and non-fundamental. This paper illustrates the virtue of being able to test structural restrictions in order to justify the relevant shocks of interest. The second paper proceeds in the spirit if the first paper. In particular, five trivariate structural VAR or vector error correction (VEC) versions of the dividend discount model are considered, which are widely used in the literature. A common structural parameter identification scheme is used for all these models, which claims to be able to capture fundamental and non-fundamental shocks to stock prices. A MS-SVAR/SVEC model in heteroskedasticity is used to test this identification scheme. It is found that for two of the five models considered, the structural identification scheme appropriately classifies shocks as being either fundamental or non-fundamental. These are models which use real GDP and real dividends as proxies of real economic activity. The findings are supported by a series of robustness tests. Results of this paper serve as a good guideline when conducting future research in this field. The third thesis paper addresses the question of how sustainable a government's current debt path is by means of a Markov switching Augmented Dickey-Fuller (MS-ADF) model. This model is applied to the debt/GDP series of 16 different countries. Stationarity of this series implies that public debt is on a sustainable path and hence, the government's present value borrowing constraint holds. The MS specification also allows for unit root and explosive states of the debt/GDP process. Two different criteria are used to test the null hypothesis of a unit root in each state. The countries with a sustainable debt path are found to be Finland, Norway, Sweden, Switzerland and the UK. The model indicates that France, Greece, Ireland and Japan have unsustainable debt trajectories. The remaining seven countries, (Argentina, Germany, Iceland, Italy, Portugal, Spain and the US) are all found to have uncertain debt paths. The model is robust to the sample size and number of states used. It is shown that this model is an improvement to existing models investigating this subject

Novel Nanosized Spinel MnCoFeO₄ for Low-Temperature Hydrocarbon Oxidation

The present paper reports on MnCoFeO4 spinels with peculiar composition and their catalytic behavior in the reactions of complete oxidation of hydrocarbons. The samples were synthesized by solution combustion method with sucrose and citric acid as fuels. All samples were characterized by powder X-ray diffraction, N2-physisorption, scanning electron microscopy, thermal analysis, X-ray photoelectron spectroscopy, and Mössbauer spectroscopy. The catalytic properties of the spinels with Mn:Co:Fe = 1:1:1 composition were studied in reactions of complete oxidation of methane, propane, butane, and propane in the presence of water as model pollutants. Both prepared catalysts are nanosized materials. The slight difference in the compositions, structure, and morphology is due to the type of fuel used in the synthesis reaction. The spinel, prepared with sucrose, shows a higher specific surface area, pore volume, higher amount of small particles fraction, higher thermal stability, and as a result, more exposed active sites on the sample surface that lead to higher catalytic activity in the studied oxidation reactions. After the catalytic tests, both samples do not undergo any substantial phase and morphological changes; thus, they could be applied in low-temperature hydrocarbon oxidation reactions