The Maastricht Convergence Criteria and Optimal Monetary Policy for the EMU Accession Countries.

The EMU accession countries are obliged to fulfill the Maastricht convergence criteria prior to entering the EMU. This paper uses a DSGE model of a two-sector small open economy, to address the following question: How do the Maastricht convergence criteria modify optimal monetary policy in an economy facing domestic and external shocks? First, we derive the micro founded loss function that represents the objective function of the optimal monetary policy not constrained to satisfy the criteria. We find that the optimal monetary policy should not only target inflation rates in the domestic sectors and aggregate output fluctuations but also domestic and international terms of trade. Second, we show how the loss function changes when the monetary policy is constrained to satisfy the Maastricht criteria. The loss function of such a constrained policy is characterized by additional elements penalizing fluctuations of the CPI inflation rate, the nominal interest rate and the nominal exchange rate around the new targets which are potentially different from the steady state of the unconstrained optimal monetary policy. Under the chosen parameterization, the unconstrained optimal monetary policy violates two criteria: concerning the CPI inflation rate and the nominal interest rate. The constrained optimal policy results in targeting the CPI inflation rate and the nominal interest rate that are 0.7% lower (in annual terms) than the CPI inflation rate and the nominal interest rate in the countries taken as a reference. The welfare costs associated with these constraints need to be offset against credibility gains and other benefits related to the compliance with the Maastricht criteria that are not modelled. JEL Classification: F41, E52, E58, E61EMU accession countries, Maastricht convergence criteria, optimal monetary policy

Assessing the benefits of international portfolio diversification in bonds and stocks.

This paper considers a stylized asset pricing model where the returns from exchange rates, stocks and bonds are linked by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as the domestic country), we identify through a simple test the countries whose assets strongly comove with US assets and the countries whose assets might other larger diversification benefits. We also show that the strengthening of the comovement of returns across countries is neither a gradual process nor a global phenomenon, reinforcing the case for international diversification. However, our results suggest that fund managers are better other constructing portfolios selecting assets from a subset of countries than relying on either fully inter-nationally diversified or purely domestic portfolios. JEL Classification: F31, G10asset pricing, Exchange Rates, international parity conditions, market integration, stochastic discount factor

What do asset prices have to say about risk appetite and uncertainty?

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of normal volatility dynamics and macro-economic uncertainty. Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the VIX and the credit spreads while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that implied volatilities contain a substantial amount of information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover, there is a significant comovement in the German and US risk aversion. JEL Classification:Credit Spread, Economic uncertainty, risk aversion, Time variation in risk and return, Volatility dynamics

Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy

Epstein-Zin preferences have attracted significant attention within the macro-finance literature based on DSGE models as they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without compromising the ability of standard models to achieve satisfactory macroeconomic data coherence. Such appealing features certainly hold for structural modelling frameworks where monetary policy is set according to Taylor-type rules or seeks to minimize an ad hoc loss function under commitment. However, Epstein-Zin preferences may have significant quantitative implications for both asset pricing and macroeconomic allocation under a welfare-based monetary policy conduct. Against this background, the paper focuses on the impact of such preferences on the Ramsey approach to monetary policy within a medium-scale model based on Smets and Wouters (2007) including a wide range of nominal and real frictions that have proven to be relevant for quantitative business cycle analysis. After setting an empirical benchmark that generates a mean value of 100 bp for the ten-year term premium, we show that Epstein-Zin preferences significantly affect the macroeconomic outcome when optimal policy is considered. The level and the dynamic pattern of risk premia are also markedly altered. We show that the effect of Epstein-Zin preferences is extremely sensitive to the presence of real rigidities in the form of quasi-kinked demands. We also analyse how this effect can be linked to a combined e¤ect of capital accumulation and wage rigidities. JEL Classification: E44, E52, E61, G12macroeconometric equivalence, non time-separable preferences, optimal monetary policy, term premium

The Effective field theory of 2+1 dimensional topological insulator in the presence of Rashba spin-orbit interaction

2+1 dimensional topological insulator described by the Kane-Mele model in the presence of Rashba spin-orbit interaction is considered. The effective action of the external fields coupled to electromagnetic and spin degrees of freedom is accomplished within this model. The Hamiltonian methods are adopted to provide the coefficients appearing in the action. It is demonstrated straightforwardly that the coefficients of the Chern-Simons terms are given by the first Chern number attained through the related non-Abelian Berry gauge field. The effective theory which we obtain is in accord with the existence of the spin Hall phase where the value of the spin Hall conductivity is very close to the quantized one.Comment: 15 pages, 1 figure. Comments and refs adde

Modélisation et commande d’une hydrolienne équipée d’une génératrice asynchrone double alimentation

Cet article traite de la modélisation et de la commande d’un système de récupération de l’énergie des courants de marée ; à savoir une hydrolienne équipée d’une génératrice asynchrone double alimentation. Dans un premier temps et dans le but de pouvoir évaluer les performances et la dynamique de l’hydrolienne, dans différentes conditions de fonctionnement, un modèle multiphysique est implanté sous Matlab/Simulink®. Ensuite, une stratégie de commande MPPT sans capteur de vitesse de la génératrice asynchrone est proposée. Cette stratégie est éprouvée en regard de l’effet de la houle qui est considéré comme le plus à même de perturber le modèle de la ressource. La modélisation multi-physique et la commande à vitesse variable ont été testés sur une hydrolienne équipée d’une génératrice asynchrone double alimentation de 7,5 kW et en utilisant des données réelles du site du Raz-de-Sein (Bretagne) pour l’année 2007.Financement de thèse de Brest Métropole Océan

Calculation of two-dimensional inlet flow fields in a supersonic free stream: Program documentation and test cases

The use of a computer code for the calculation of two dimensional inlet flow fields in a supersonic free stream and a nonorthogonal mesh-generation code are illustrated by specific examples. Input, output, and program operation and use are given and explained for the case of supercritical inlet operation at a subdesign Mach number (M Mach free stream = 2.09) for an isentropic-compression, drooped-cowl inlet. Source listings of the computer codes are also provided

Composition and assembly of a spectral data base for transition year spring wheat blind sites

There are no author-identified significant results in this report

Sticky wages: evidence from quarterly microeconomic data

This paper documents nominal wage stickiness using an original quarterly firm-level dataset. We use the ACEMO survey, which reports the base wage for up to 12 employee categories in French firms over the period 1998 to 2005, and obtain the following main results. First, the quarterly frequency of wage change is around 35 percent. Second, there is some downward rigidity in the base wage. Third, wage changes are mainly synchronized within firms but to a large extent staggered across firms. Fourth, standard Calvo or Taylor schemes fail to match micro wage adjustment patterns, but fixed duration "Taylor-like" wage contracts are observed for a minority of firms. Based on a two-thresholds sample selection model, we perform an econometric analysis of wage changes. Our results suggest that the timing of wage adjustments is not state-dependent, and are consistent with existence of predetermined of wage changes. They also suggest that both backward- and forward-looking behavior is relevant in wage setting. JEL Classification: E24, J3wage predetermination, Wage stickiness