Essays on Macroeconomics and Financial Stability

La crise de 2008 et la récession qui l’a suivie ont modifié le consensus quant à la conduite de la politique économique (notamment monétaire). Elles nous ont rappelé que les déséquilibres financiers peuvent affecter durablement l’activité économique. De plus, elles nous ont montré que les instruments actuels de la politique économique ne garantissent pas toujours la stabilité financière. Ce constat nous invite à reconsidérer la politique monétaire et la régulation financière. Ainsi les politiques macro-prudentielles sont au centre du débat sur la politique économique. De plus, de nouvelles questions émergent à propos de l’influence de la politique monétaire sur la prise de risque des agents économiques. Cette influence est appelée le canal de la prise de risque de la politique monétaire. Dix ans après le début de la crise, les contours d’un nouveau cadre régulatoire visant à la stabilité du système économique et financier sont encore très ambigus. La connaissance quant aux instruments utiles et la manière de les mettre en place pour éviter l’accroissement des déséquilibres reste très limitée. De plus, les coûts économiques de ces instruments sont encore mal connus. En effet, la régulation financière contraint les comportements des agents économiques. Par conséquent, le risque d’imposer des coûts sur l’activité économique liée à la régulation ne peut pas être sous-estimé. De même, la relation entre la politique monétaire et le prix du risque financier est très incertaine. Pourtant, nous pouvons penser que les mesures prises par les banques centrales peuvent affecter les appréciations des risques, et ainsi avoir des conséquences sur la prise de risque des agents économiques. Si tel est le cas, ne pas tenir compte de ce phénomène peut exacerber les cycles d’expansion-récession. L’objectif de cette thèse est d’explorer la stabilité macroéconomique et financière. Mon travail est fondé sur les méthodes et techniques de la macroéconomie dynamique moderne. Concernant les principaux résultats, cette thèse montre l’utilité potentielle des politiques macroprudentielles. Plus particulièrement, elle met en lumière le fait que la régulation financière peut renforcer la résilience financière, réduire la volatilité macro-financière et lisser les fluctuations économiques de façon significative. De plus, cette thèse dévoile qu’une politique monétaire expansionniste peut effectivement générer un excès de confiance parmi les agents économiques, et ainsi augmenter la prise de risque et les déséquilibres financiers. En d’autres termes, mes résultats confirment empiriquement l’existence du canal de prise de risque de la politique monétaire.The 2008 crisis and the ensuing Great Recession shook the consensus on how to run economic policy. They reminded us that financial imbalances could significantly derail economic activity. In addition, they showed that existing policy tools did not guarantee macro-financial stability; thereby leading to a rethink of monetary policy and financial regulation. Such a reevaluation has prompted a call for macroprudential tools, i.e., those tools intended for limiting systemic risk and ensuring the resilience of the financial sector. Besides, it has raised new questions about monetary policy and its effects on the risk taking behavior of economic agents - the so-called risk taking channel. A decade from the beginning of the crisis, the contours of a new policy framework for economic and financial stability are still very unclear. Knowledge on which regulatory instruments and how to employ them to curb the buildup of imbalances is limited. Neither is much known about the costs of those instruments.Regulatory intervention constraints some behaviors and distorts the allocation of resources. Consequently, the risk of imposing insidious costs on economic growth must not be underestimated. Likewise, very little is known about the relationship between monetary policy and the perception and pricing of risk by market participants. Nonetheless, it is natural to think that the monetary policy stance may affect the risk taking behavior of economic units, by influencing the attitudes towards risk and the assessment of risks. If so, failure by monetary authorities to consider this phenomenon could exacerbate boom bust patterns. The aim of this thesis is to explore the path towards macroeconomic and financial stability. I have basedmy work on the modern dynamic macroeconomic methods and techniques. Specifically, the first essay develops a canonical real business cycle model to assess the macroeconomic consequences of bank capital requirements, arguably the most used prudential tool. The second essay zooms in on the banking sector, and proposes a structural dynamic model with a large number of heterogeneous banks. The model is employed to study the effectiveness of interbank exposure limits. Having analyzed regulatory intervention, the last essay uses time series econometrics to shed some light on the risk taking channel of monetary policy. It is my firm belief that macroeconomics models for financial stability analysis should consider nonlinear patterns such as state dependence, asymmetries and amplification effects. Under unusual conditions like financial booms or credit crunches, economic agents behave differently than during normal times. In other words, the inner workings of the macroeconomy become essentially nonlinear under abnormal circumstances. Therefore, local behavior around the long run equilibrium of the economy is unlikely to contain relevant information about what may happen in exceptional events. In consequence, I study macroeconomic policy exclusively through the lens of nonlinear frameworks and techniques. Regarding the main results, this thesis makes a strong case in favor of macroprudential regulation. I provide clear evidence suggesting that regulatory intervention can be a powerful tool to strengthen financial resilience, reduce economic volatility and smooth business cycles. In addition, this thesis shows that accommodative monetary policy can produce overconfidence among market participants; thereby increasing risk taking and contributing to the buildup of imbalances. In other words, it provides empirical evidence for the existence of a risk taking channel of monetary policy

El principio de equivalencia y la mecánica cuántica

El año 1666 es considerado por algunos historiadores como el Annus Mirabilis(año milagroso), gracias a la aportación de Issac Newton a la física. En nuestros días esto debe tener una connotación diferente, pues en 1905 el joven de 26 años Albert Einstein, -cuatro años antes de conseguir un trabajo como profesor de Física-, publicó su tesis doctoral y cuatro de los más importantes artículos en la historia de la ciencia, todos escritos en sutiempo libre. La Organización de las Naciones Unidas declaró el 2005 "Año Mundial de laFísica" para celebrar el centenario del Annus Mirabilis de Einstein. Como un homenaje, en este artículo se verifica el Principio de Equivalencia, uno de los conceptos fundamentales de la teoría de Einstein. Se expondrá una posible violación del Principio de Equivalencia Débil en el mundo cuántico, presente en experimentos de interferencia en el nivel atómico realizados por Collela, Overhauser y Werner durante la década de los setenta, conocidos como tipo COW

Costly default and asymetric real business cycles

We augment a simple Real Business Cycle model with financial intermediaries that may default on their liabilities and a financial friction generating social costs of default. We provide a closed-form solution for the general equilibrium of the economy under specific assumptions, allowing for analytic results and straightforward simulations. Endogenous default generates asymmetric business cycles and our model replicates both the negative skew of GDP and the positive skew of credit spreads found in US data. Stronger financial frictions cause a rise in asymmetry and amplify the welfare costs of default. A Pigouvian tax on financial intermediation mitigates most of these negative effects at the cost of a steady-state distortion

Omnidirectional conformal patch antenna at S-band with 3D printed technology

A conformal patch array antenna with omnidirectional pattern in the azimuth plane at Sband is presented. A theoretical study of the generated ripple in the omnidirectional radiation pattern according to the number of faces that conform the array has been computed. A six-faced regular prism 3D structure has been chosen following a maximum 3 dB ripple criteria in the omnidirectional radiation pattern. A rectangular microstrip patch fed by a microstrip line has been designed as single radiating element. An equal power divider has been designed as feeding network in microstrip technology to feed each radiating element. Several prototypes have been manufactured and measured to validate the theoretical and simulated results. The entire conformal array has been assembled on a hexagonal regular prism manufactured in PolyLactic Acid (PLA) material using a 3D printer. In spite of the complexity of the proposed antenna structure, the used manufacturing processes, such as microstrip and 3D printing, allows to perform a low cost, low weight and compact final antenna. A higher radiated field ripple than the expected one is generated due to small deviations between experimental and theoretical critical parameters such as the feeding network performance or the 3 dB beam-width of the single element radiation pattern. A maximum ripple value of 4 dB has been experimentally obtained in the omnidirectional radiating pattern.This work has been supported by the Spanish Government, Ref. TEC2013-47106-C3-2-R (Project TECOAMP) and Madrid Region Government, Ref. S2013/ICE-3000 (Project SPADERADAR)

An Approach Toward a Feedback Mechanism for Consensus Reaching Processes Using Gamification to Increase the Experts\u27 Experience

Sometimes, the consensus reaching process in group decision making problems is a challenging task for the people who are in charge of the final choice (usually called experts). Firstly, the consensus is defined as a convergent and iterative process. This implies that it is necessary to keep the experts\u27 attention during the whole process, even if it is longer than expected. Secondly, some of the experts tend to be rigid and they do not change their minds to help in the negotiation process easily. In such a way, we propose a new feedback mechanism that uses some gamification rules, designed as a reward distribution system, in order to transform that task into a game. This change can improve the consensus reaching process in both situations: keeping the experts\u27 attention on the process and motivating those experts that should adjust their preferences

An Approach Toward a Feedback Mechanism for Consensus Reaching Processes Using Gamification to Increase the Experts' Experience

Sometimes, the consensus reaching process in group decision making problems is a challenging task for the people who are in charge of the final choice (usually called experts). Firstly, the consensus is defined as a convergent and iterative process. This implies that it is necessary to keep the experts' attention during the whole process, even if it is longer than expected. Secondly, some of the experts tend to be rigid and they do not change their minds to help in the negotiation process easily. In such a way, we propose a new feedback mechanism that uses some gamification rules, designed as a reward distribution system, in order to transform that task into a game. This change can improve the consensus reaching process in both situations: keeping the experts' attention on the process and motivating those experts that should adjust their preferences

Dielectrophoretic Equilibrium of Complex Particles

In contrast to the commonly used spherical Janus particles, here we used engineered Janus particles that are fabricated using photolithography technique for precise control over their geometry and coated regions. Specifically, we studied a lollipop-shaped complex particle where its head is coated with gold while its tail is left bare. Due to their distinct electrical properties (i.e. electrical polarizability) the particle exhibits force equilibrium where opposite dielectrophoretic forces acting on its head and tail exactly cancel each other to yield a stable equilibrium position. This was realized in a quadrupolar electrode array where the equilibrium position of the engineered particle could be tuned by the frequency. This stands in contrast to the standard dielectrophoretic behavior where the particle shifts positions from either the center of the quad to the very edge of the electrodes when shifting from a negative to positive dielectrophoretic response, respectively. This opens new opportunities for positioning control of such complex particles for self-assembly, biosensing, biomimetic spermatozoa and more.Comment: 10 pages, 4 figure