Thesis (Ph. D.)--University of Texas at Dallas, 2007. / Includes vita. Includes bibliographical references (leaves 169-177)

La particularité et l’originalité de cette recherche résident dans notre choix d’étudier l’influence à long terme de la notation financière sur la valeur des banques plutôt que son impact immédiat sur les cours boursiers des actions. Le contexte de cette recherche est la crise financière de 2007-2008 durant laquelle les valeurs bancaires ont considérablement chuté. En effet, cette crise a renouvelé l’intérêt d’étudier la notation financière et son influence sur les entreprises notées, en particulier lorsqu’il s’agit des banques. Notre interrogation centrale est de savoir comment et dans quelles mesures les notations d’agences contribuent à expliquer la valorisation des banques à long terme. La notation des banques par les agences influence-t-elle leur performance, leur gouvernance, leur structure de financement, et par conséquent, leur valeur? Est-elle réciproquement influencée par la valorisation des banques sur le marché? Notre recherche s’inscrit donc dans le prolongement des travaux qui montrent l’influence de la note sur la valeur des entreprises, mais notre démarche est différente. D'une part, nous nous concentrons uniquement sur le secteur bancaire qui est particulier, et où l’influence de la notation peut être différente et plus forte que sur les entreprises ou groupes industriels. D'autre part, nous mobilisons l’approche financière de la gouvernance qui met en évidence le lien entre la gouvernance et la valorisation des entreprises (Charreaux G., 1997 ; Gompers et al., 2003 ; Rob Bauer et al., 2003 ; Barth, Caprio et Levine, 2004 ; Levine, 2004), et la théorie néo-institutionnelle développée par Meyer et Rowan (1977), Scott et de Meyer (1983), DiMaggio et Powell (1991, 1997) et North (1990). Cette deuxième théorie met en évidence l’influence des institutions sur les organisations, leur gestion et leur performance. En combinant ces deux approches, nous explorons et analysons les voies par lesquelles les notations des agences peuvent influencer la valeur des entreprises bancaires à long terme, notamment en les incitant à se conformer à un modèle de bonnes pratiques sous-jacent aux critères que les agences de notation affichent pour les évaluer. Nous cherchons à valider empiriquement cette analyse au travers d'une approche quantitative et économétrique, en utilisant des données internationales tirées des bases Bloomberg, Bankscope et Fininfo relatives à 161 grandes banques de 18 pays, sur les années 2001 à 2010. Après avoir construit des indicateurs homogènes de notation, la validation de nos hypothèses de recherche repose sur des analyses bivariées, des régressions sur les données de panel, des tests de causalité de Granger et un modèle Logit polytomique. Nos résultats montrent qu’un cran supplémentaire, c’est-à-dire une dégradation d'un cran de la note de solidité financière semble entraîner une diminution significative de la valeur des banques. Ce lien n’est pas significatif en période de crise. L’effet de la notation de crédit sur la valorisation est peu significatif. Cependant, les tests de causalité de Granger montrent une boucle rétroactive entre la notation de crédit, le coût moyen pondéré des dettes et la taille des banques. Les résultats d'un modèle Logit polytomique montrent que les notes de solidité financière attribuées par les agences ne sont influencées par les indicateurs de valorisation des banques qu'après le déclenchement de la crise des « Subprimes » couverte par notre période d’étude (en 2008 et 2009). / The distinctiveness and uniqueness of this research lies in the fact that it studies the long-term effects of credit rating on the value of banks rather than its immediate impact on the shares’ market price. The context of this research is the subprime crisis period of 2007-2008 during which banking stocks declined dramatically. This crisis caused a reawakening of interest in the study of credit rating and its impact on rated companies, especially when the rated companies are banks. The central question is to know how and to what extent credit rating helps to explain the long-term valuation of banks. How does the bank rating affect their performance, their governance, their capital structure, and therefore their value? Reciprocally, how does banks valuation impact their credit ratings? Our research follows the path of previous studies showing the impact of credit rating on the value of companies, but our approach is different. On one hand we focus only on the banking sector which is particular, and where the impact of credit rating can be different and stronger than on the other companies or industrial groups. On other hand we mobilize corporate governance approach that highlights the link between governance and valuation (Charreaux G., 1997; Gompers et al., 2003, Rob Bauer et al., 2003; Barth, Caprio and Levine, 2004; Levine, 2004). We also mobilize the neo-institutional theory developed by Meyer and Rowan (1977), Scott and Meyer (1983), DiMaggio and Powell (1991, 1997) and North (1990) that highlights the impact of institutions on organizations, their management and performance. These two approaches allow us to describe and analyze the ways and means by which credit rating can impact banks values in the long term, particularly by inspiring banks to use the “best practices” disseminated in the rating methodologies for banks. We try to empirically validate this analysis through a quantitative and econometric approach, using data from international databases such as Bloomberg, Bankscope and Fininfo about 161 large banks from 18 countries over the period 2001 to 2010. After building uniform credit rating indicators, we use bivariate analysis, regressions on panel data, Granger causality tests and multinomial logit model to test our assumptions. Our results show that one notch downgrade of a bank financial strength rating seems to cause a significant decrease of its valuation. This impact is not significant in a crisis period. The effect of the issuer credit rating on bank valuation is not significant. However, Granger causality tests show a feedback loop between the issuer credit rating, the weighted average cost of debt and the size of banks. The results of a logit multinomial model show that the bank financial strength ratings assigned by the rating agencies are influenced by the bank valuation indicators only for the years 2008 and 2009.

This dissertation is a collection of three chapters on inflation dynamics and money demands. Chapter 1 tests the forward-looking New Keynesian Phillips curve using a novel panel data set for the 50 U.S. states from year 1977 to 2005. Consistent with Gali and Gertler (1999), our results support a linkage between inflation and real unit labor cost, and reject a linkage between inflation and output gap. We also address several important econometrics issues in the empricial studies. Our tests on model identification and instruments validity reveal that compared with the model with real unit labor cost, the GMM estimators in the model with output gap are more sensitive to the choice of instruments. Also, we find that the unit labor cost has stronger persistence than the output gap, and that these two variables have almost opposite dynamic cross correlations with inflation. We conclude that the observed high autocorrelation properties of U.S. inflation-as measured by the sum of AR coefficients-is well described by the forward-looking New Keynesian Phillips curve. In the second chapter, we extend the pure forward-looking New Keynesian Phillips curve to a hybrid model. We adopt a dynamic panel data model by adding a lagged inflation variable to the explanatory variables. We find relative larger weights of future inflation than the lagged inflation. This finding confirms the forward looking behavior in theory and it is also consistent with our results from the pure forward-looking model estimation. Furthermore, we obtain more evidence of dominant forward-looking behavior by using the principal components based instruments. Our results show that principal components based methods produce more precise estimates with a substantial decrease in all three estimated standard errors. We obtain more evidence of dominant forward-looking behavior across all regressions. By comparing two groups of the Kleibergen-Paap Wald F rk statistic (KP statistic), we find that using principal components is a good option to overcome the weak identifications. This finding is consistent with Bai and Ng (2010) and Kapetanios and Marcellino (2010). However, contrast with our earlier findings, in the hybrid model, the identification of the parameter of the real marginal cost becomes a problem. The third chapter investigates the long-run money demand using a panel data set for the 50 U.S. states from year 1977 to 2005. Regional heterogeneity as well as the cointegration and cross-section correlation properties of panel data are considered in great detail. Contrary to previous studies in the field, we adopt panel data techniques with nonstationary and cointegrated variables which controls for dynamics, non-stationarity, parameter heterogeneity and unobserved time-varying heterogeneity. The empirical results reveal an income elasticity close to 0.7 and an interest semi-elasticity around -0.02 and these two parameter values match closely with the empirical estimates by Ball (2001). Furthermore, it is found that the magnitude of the estimates of error correction term is much less than unity (around 0.05), which suggests that the adjustment time of U.S. money demand to return to its long-run equilibrium may be rather long. Compared to a standard homogeneous panel model of money demand function, our results obtained from heterogeneous panel model estimation indicate that the heterogeneity across states is important. It shows that the observed instability of money demand functions in aggregate U.S. studies could be explained by inappropriate aggregation across heterogeneous states. After accounting for regional heterogeneity, the estimates of income elasticity for the U.S. money demand function are clearly less than one.

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Autor no autoriza el acceso a texto completo de su documento hasta el 30/10/2020. / Ingeniero Civil de Minas / El NNM considera inicialmente 4 módulos de explotación independientes repartidos en el sector este y noreste de la mina El Teniente. La presente memoria nace de la necesidad de evaluar el impacto de 8 diseños de alternativas de batea distintas, lo cual considera distintas alturas de pilares corona, zanja y puente para finalmente elegir el diseño más adecuado en el contexto del NNM. El NNM considera una explotación por panel caving con hundimiento convencional y se pondrá especial énfasis en la zona de transición de este método de explotación minera, lugar donde el abutment stress alcanza su mayor valor, lo cual corresponde a las cercanías del frente de hundimiento. Se construyó un modelo lineal-elástico en el software de modelamiento numérico Map3D, este modelo sólo evaluará uno de estos módulos iniciales ya que se tratará de un análisis a pequeña escala. Dentro del modelo se consideraron las cavidades superiores de otras áreas de explotación del teniente, la Pipa Braden, la roca caja, las galerías de hundimiento y producción junto con puntos de vaciado, cavidad del NNM, la nariz, la socavación y ocho distintas alternativas de batea, donde cada alternativa de batea genera un modelo diferente. A partir de niveles de esfuerzos esperados en el NNM se ajusta un tensor in-situ que fue validado según datos reales alcanzado en promedio un esfuerzo principal mayor de 61 [MPa], un esfuerzo principal intermedio de 42 [MPa] y un esfuerzo principal menor de 35 [MPa]. La envolvente de daño entrega como estado último de falla σ_1=75+3σ_3. Los indicadores de estabilidad utilizados fueron el Factor de seguridad (FS), el porcentaje de falla (%F) y el esfuerzo deviatórico (q). Se concluyó que los valores admisibles de estos indicadores de estabilidad son: FS≥1,3,%F<20% y q≤70[MPa]. Se obtuvo que las alternativas de batea con un pilar puente de 7 [m] presentan mejores indicadores de estabilidad en el pilar puente, lo que establece una mejora en el diseño de la batea. Por otra parte, los indicadores de estabilidad mejoran al aumentar la altura del pilar corona (ΔFS≈+0,03[m^(-1) ];Δq≈-1[MPa/m];Δ%F≈-1[%/m]), la altura de pilar corona de 25 metros presenta valores de estos indicadores mayores a los admisibles; por otra parte, se aconseja evitar la altura de pilar corona de 28 metros, ya que la mejora de estos indicadores no justifica el aumento en la dificultad operacional de construirlo. Dado esto se elige la alternativa 6 con pilar puente de 7 [m] y pilar corona de 25 [m] como la más adecuada para la construcción del Nuevo Nivel Mina.

Ingeniero Civil de Minas / La micro-sismicidad que se genera en las etapas de desarrollo y producción en el contexto del método de explotación minera mediante Panel Caving, puede ocasionar grandes pérdidas en la producción como también poner en riesgo la seguridad de los trabajadores. La redistribución de esfuerzos puede provocar la activación de alguna falla principal cercana a la zona de producción, generando micro-sismos que pueden afectar directamente al frente de avance en el nivel de socavación. El presente trabajo de título busca generar las primeras directrices para el desarrollo de modelamientos más complejos con un algoritmo de hundimiento desarrollado recientemente por el grupo consultor internacional Itasca. Lo anterior se hizo mediante el modelamiento de un caso estudio conceptual, consistente en estudiar la potencia sísmica que genera la activación de una falla principal ante el avance del proceso de hundimiento utilizando el software de modelamiento numérico 3DEC. Se realizó un análisis de sensibilidad a las variables características de la falla principal: manteo, dirección de manteo, cohesión, fricción y rigidez. El proceso fue aplicado a un caso base con sólo socavación y posteriormente en un caso activando el algoritmo hundimiento; finalmente se realiza una comparación de dos estrategias de extracción para ver su efecto en la potencia sísmica. Los resultados obtenidos mostraron que en el caso base un GSI menor en el macizo rocoso circundante implicó un aumento en el potencial sísmico, generando micro-sismos de mayor magnitud dado que el macizo era más deformable. Existe un efecto contrario cuando hay hundimiento, ya que al ser más deformable el macizo, la cavidad se propaga más rápido intersectando antes a la falla y disminuyendo los niveles de potencia sísmica. Tanto en el caso base como en el caso con hundimiento, modificaciones en la cohesión y la rigidez de la estructura no ocasionaron una variabilidad significante en los niveles de potencia sísmica. No así la fricción, que al ser menor implicó un aumento en la sismicidad. Finalmente se compararon dos planes de producción de los cuales resultó más favorable, es decir con menor potencia sísmica, aquel que retrasa el desarrollo del frente de producción respecto de la intersección de la socavación con la falla analizada. / The seismicity that occurs in mine development and production stage in the context of the Panel Caving method, can induce significant economic losses in production as well as putting the safety of worker at risk. The stress redistribution can cause an activation in a major fault near production zone, generating seismic events that may directly affect the zone of development in the undercut level. This study seeks to generate initial guidelines to the development of more complex numerical model applying a caving algorithm developed by the international consulting group of Itasca. This was done by modeling a conceptual study, about studying seismic potency that generate the principal fault’s activation in the face of caving propagation using the 3DEC numerical modeling software. It has been made a sensibility analysis to the characteristics variables of a major fault: dip, dip direction, cohesion, friction angle and stiffness. The process was applicate to a base case only with undercut level and then a case activating the caving algorithm; finally, it is performed a comparison between two mining strategies to seek their effect on seismic potency. From the results the base case with less GSI in the rock mass, the seismic potency was higher than the case with major GSI, generating micro-seismic events with a high magnitude because the rock mass was more deformable. There is a counter effect when caving exist, because the rock mass being more deformable, the caveback has a higher propagation intersecting before the principal fault and decreasing seismic potency levels. Both, base case and caving case, modifications in cohesion and stiffness of the structure have not significant variability in seismic potency’s levels. Not like friction, that a minor value caused a higher seismic events. Finally, it has been compared two mining plans these results more favorable, that is with a low seismic potency, the plan that delayed the development of the production front in respect of the intersection of the caveback with the analyzed fault.

Honeycomb sandwich panels, formed by bonding a core of honeycomb between two thin face sheets, are in wide use in aerospace, automotive and marine applications due to their well-known excellent density-specific properties. There are many technological methods of damping vibrations, including the use of inherently lossy materials such as viscoelastic materials, viscous and friction damping and smart materials such as piezoelectrics. Some have been applied to damping of vibrations, in particular to sandwich panel and honeycomb structures, including viscoelastic inserts in the cell voids. Complete filling of the cell with foam, viscoelastic or particulate fillers have all been demonstrated to improve damping loss in honeycombs. However, the use of an additional damping material inside the core of a sandwich panel increases its mass, which is often deleterious and may also lead to a significant change in dynamic properties. The work presented in this thesis explores the competing demands of vibration damping and minimum additional mass in the case of secondary inserts in honeycomb-like structures. The problem was tackled by initially characterising the main local deformation mechanism of a unit cell within a sandwich panel subjected to vibration. Out-of-plane bending deformation of the honeycomb unit cell was shown to be the predominant mode of deformation for most of the honeycomb cells within a sandwich panel. The out-of-plane bending deformation of the honeycomb cells results in relatively high in-plane deformation of the cells close to the skins of the sandwich panels. It was also highlighted that the magnitude and loading of the honeycomb unit cell are dependent on its location within the honeycomb or sandwich panel and the mode shape of the panel. An optimisation study was carried out on diverse honeycomb unit cell geometries to find locations at which the relative displacement between the honeycomb cell walls of the void is maximal under in-plane loadings. These locations were shown to be dependant of the nature of the loading, i.e. in-plane tension/compression or in-plane shear loading of the honeycomb unit cell and the unit cell geometry. Analytical expressions and finite element analyses were used to investigate the partial filling of the honeycomb unit cell with a damping material, in this case a viscoelastic elastomer, in the target locations identified previously where the relative displacement between the honeycomb cell walls is maximal. Damping inserts in the form of ligaments partially filling the honeycomb cell void have shown to increase the density-specific loss modulus by 26% compared to cells completely filled with damping material for in-plane tension/compression loading. The form of the damping insert itself was then analysed for enhancement of the dissipation provided by the damping material. The shear lap joint (SLJ) damping insert placed in the location where the relative displacement between the honeycomb cell walls of the void is maximal under in-plane loadings was characterised with very significant damping improvements compared to honeycomb cells completely filled with viscoelastic material. A case study of a cantilever honeycomb sandwich panel with embedded SLJ damping inserts demonstrated their efficiency in enhancing the loss factor of the structure for minimum added mass and marginal variation of the first modal frequency of the structure. Partial filling of the cells of the honeycomb core was shown to be the most efficient at increasing damping on a density basis.