Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling

This paper has three different motivations. Firstly, we wish to contribute to the debate on whether French inflation has been persistent since the mid-eighties. Empirical evidence in this domain has been mixed. We use the standard method of testing for breaks in the mean of the inflation series to conclude whether possible unit root findings are the result of neglected breaks. Then, we build standard autoregressive representations of inflation, using an automatic general-to-specific approach. We conclude against inflation persistence in the sample period, and the point estimates of persistence we obtain are several percentage points below those achieved with other break tests and model selection methods. Moreover, our final model is congruent. Secondly, we provide the first empirical application of the new impulse saturation break test. The resulting estimates of the break dates are in line with other literature findings and have a sound economic meaning, confirming the good performance the test had revealed in theoretical and simulation studies. Finally, we also illustrate the shortcomings of the Bai-Perron test when applied to a small sample with high serial correlation. Indeed, we show the Bai- Perron break dates’ estimates would not allow us to build a congruent autoregressive representation of inflation.Inflation Persistence, Break Tests, Model Selection, General-to-Specific

Una política nacional de Marketing Social: El caso del Reino Unido

El tema de la conferencia, “Una política nacional de Marketing Social: El caso del Reino Unido”, hace referencia a la aplicación en el caso de dicho país de una herramienta tan poderosa como el Marketing Social, concretamente en el ámbito de la salud, y su evolución a lo largo del tiempo. De esta manera, se comienza introduciendo brevemente el Marketing Social, entre el amplio abanico de aproximaciones disponibles para promover un cambio de comportamientos a nivel social, así como un concepto de salud amplio más relacionado con la calidad de vida. En una segunda parte, se profundiza en una evolución cronológica del tratamiento de la cuestión en el Reino Unido por parte de las distintas administraciones políticas desde finales del siglo pasado, para centrarse en las actuaciones realizadas desde 2004 hasta la actualidad y el contexto en el que se desarrollaron, bajo el modelo de intervención política de Jobert y Muller (1987). Se finaliza con una serie de recomendaciones útiles para el desarrollo de una política nacional de Marketing Social, a la luz de lo expuesto en el caso de estudio.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

The Two Sides of the Innovation Coin

With the use of the Stakeholder Theory and the Diffusion of Innovation Theory, a Model for Analysis of the Consequences of IT Innovation Adoption was developed, addressing both positive and negative sides of innovation consequences. The Model has been validated in interviews with PhDs specializing in the field, then applied to the case of Open Data adoption by the Federal District Government of Brazil. In the empirical study, 95 consequences for various stakeholders were categorized. The study’s synthesis can be viewed in a single image that reveals the similar and conflicting understandings of the different innovation stakeholders, and can be used as an innovation management tool: the Map of Consequences of Innovations Adoption

Illiquid markets and Hamilton-Jabobi-Bellman equations

Mestrado em Matemática FinanceiraNesta tese, a hipótese da liquidez do activo com risco é relaxada. Assumimos que o mercado contém um investidor suficientemente grande para influenciar o preço do activo com risco. Contrariamente à equação de Black-Scholes clássica, as equações de Black-Scholes para modelos de mercados ilíquidos são não-lineares. Neste caso, é difícil garantir a existência e unicidade de solução clássica. Discutimos o conceito de soluções de viscosidade e a sua aplicação no problema proposto por Frey e Polte (2011). Wilmott e Schönbucher (2000) apresentaram um modelo de equilíbrio para mercados ilíquidos. Nós discutimos o conceito de estratégia auto-nanciada nessa abordagem e utilizamos o modelo de Wilmott-Schönbucher para estudar as consequências do comportamento colectivo nos mercados nanceiros. Derivamos a correspondente equação de Black-Scholes que é não-linear e tem condições de fronteira não usuais.In this thesis, the assumption of risky asset liquidity is relaxed. We assume that the market contains one trader suciently large to inuence the price of the risky asset. Unlike the classical Black-Scholes equation, the Black-Scholes equations from models of illiquid markets are non-linear. In this case, it is dicult to guarantee the existence and uniqueness of classical solutions. We discuss the concept of viscosity solutions and its application in the setting by Frey and Polte (2011). Wilmott and Schönbucher (2000) presented an equilibrium model for illiquid markets. We discuss the concept of self-nancing strategy in their framework and use the Wilmott-Schönbucher model to study the consequences of collective behaviours in nancial markets. We derive the corresponding Black-Scholes equation which is non-linear and has unusual boundary conditions

Modelling the German Yield Curve and Testing the Lucas Critique

info:eu-repo/semantics/publishedVersio

Collaborative geographic visualization

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para a obtenção do grau de Mestre em Engenharia do Ambiente, perfil Gestão e Sistemas AmbientaisThe present document is a revision of essential references to take into account when developing ubiquitous Geographical Information Systems (GIS) with collaborative visualization purposes. Its chapters focus, respectively, on general principles of GIS, its multimedia components and ubiquitous practices; geo-referenced information visualization and its graphical components of virtual and augmented reality; collaborative environments, its technological requirements, architectural specificities, and models for collective information management; and some final considerations about the future and challenges of collaborative visualization of GIS in ubiquitous environment

Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modelling

This paper has three different motivations. Firstly, we wish to contribute to the debate on whether French inflation has been persistent since the mid-eighties. Empirical evidence in this domain has been mixed. We use the standard method of testing for breaks in the mean of the inflation series to conclude whether possible unit root findings are the result of neglected breaks. Then, we build standard autoregressive representations of inflation, using an automatic general-to-specific approach. We conclude against inflation persistence in the sample period, and the point estimates of persistence we obtain are several percentage points below those achieved with other break tests and model selection methods. Moreover, our final model is congruent. Secondly, we provide the first empirical application of the new impulse saturation break test. The resulting estimates of the break dates are in line with other literature findings and have a sound economic meaning, confirming the good performance the test had revealed in theoretical and simulation studies. Finally, we also illustrate the shortcomings of the Bai-Perron test when applied to a small sample with high serial correlation. Indeed, we show the Bai-Perron break dates’ estimates would not allow us to build a congruent autoregressive representation of inflation

Sovereign CDS contagion in the European Union: a multivariate GARCH-in-variables analysis of volatility spill-overs

GARCH-with-variables model is used to assess volatility contagion in the Eurozone Debt Crisis. Credit Default Swaps on sovereign debt with 3 years maturity are used as a reference financial instrument, covering the sample period from 2008-2013. Daily data on Credit Default Swaps is used. We conclude that there is strong statistical evidence of volatility contagion in CDS spreads from the Eurozone periphery to its core. However, the direction of contagion is contingent on the periphery and core countries being assessed. As such, German 3 year CDS on sovereign debt mean equation is to vulnerable to Portuguese and to Greek CDS volatility, whilst German sovereign CDS volatility is vulnerable to greek one day lagged sovereign volatility. Differently, France’s sovereign debt Credit Default Swaps are only exposed to Spanish and Italian sovereign CDS in the mean equation. Exposure to greek lagged one day volatility exists as well.info:eu-repo/semantics/publishedVersio