Forecasting fuel ethanol consumption in Brazil by time series models: 2006-2012

This article analysed scenarios for Brazilian consumption of ethanol for the period 2006 to 2012. The results show that if the country`s GDP sustains a 4.6% a year growth, domestic consumption of fuel ethanol could increase to 25.16 billion liters in this period, which is a volume relatively close to the forecasted gasoline consumption of 31 billion liters. At a lower GDP growth of 1.22% a year, gasoline consumption would be reduced and domestic ethanol consumption in Brazil would be no higher than 18.32 billion liters. Contrary to the current situation, forecasts indicated that hydrated ethanol consumption could become much higher than anhydrous consumption in Brazil. The former is being consumed in cars moved exclusively by ethanol and flex-fuel cars, successfully introduced in the country at 2003. Flex cars allow Brazilian consumers to choose between gasoline and hydrated ethanol and immediately switch to whichever fuel presents the most favourable relative price.

Parametric and nonparametric statistical modelling of crop yield: implications for pricing crop insurance contracts

This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

Corruption and the size of government: causality tests for OECD and Latin American countries

The purpose of this article is to examine the causality between government size and corruption, and to verify if there is a different pattern of causality between developed Organization for Economic Co-operation and Development (OECD) countries (excluding Mexico) and developing countries (Latin American countries) during the period 1996 to 2003. Applying Granger and Huang`s (1997) methodology we find evidence that size of government Granger causes corruption in both samples. Since a larger government involvement in private markets today will be followed in future by a higher level of corruption a policy advice would be to enhance governance. The promotion of good governance helps to combat corruption given that it complements efforts to reduce corruption more directly, and it is strongly recommended by the International Monetary Fund, other multilateral institutions, and all worried with the negative impacts of corruption on economic activity.

The economic determinants of the Brazilian nominal term structure of interest rates

The purpose of this study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR model under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble those of the US economy: monetary policy shocks that flatten the term structure of interest rates. We find that monetary policy shocks in Brazil explain a significantly larger share of the dynamics of the term structure than in the USA. Finally, we analyse the importance of standard macroeconomic variables (e. g. GDP, inflation and measure of country risk) to the dynamics of the term structure in Brazil.

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Demand elasticities for food products in Brazil: a two-stage budgeting system

The object of this article is to estimate demand elasticities for a basket of staple food important for providing the caloric needs of Brazilian households. These elasticities are useful in the measurement of the impact of structural reforms on poverty. A two-stage demand system was constructed, based on data from Household Expenditure Surveys (POF) produced by IBGE (The Brazilian Bureau of Statistics) in 1987/88 and 1995/96. We have used panel data to estimate the model, and have calculated income, own-price, and cross-price elasticities for eight groups of goods and services and, in the second stage, for 11 sub groups of staple food products. We estimated those elasticities for the whole sample of consumers and for two income groups.

Revisiting the interest rate puzzle

This article makes a connection between Lucas` (1978) asset pricing model and the macroeconomic dynamics for some selected countries. Both the relative risk aversion and the impatience for postponing consumption by synthesizing the investor behaviour can help to understand some key macroeconomic issues across countries, such as the savings decision and the real interest rate. I find that the government consumption makes worse the so-called `equity premium-interest rate puzzle`. The first root of the quadratic function for explaining the real interest rate can produce this puzzle, but not the second root. Thus, Mehra and Prescott (1985) identified only one possible solution.

The determinants of default risk in Brazil

We formulated a general unrestricted model of the Brazilian Emerging Markets Bond Index Plus (EMBI+) spreads, a proxy for the country`s default risk. Employing algorithms that perform automated model selection, we found that macroeconomic fundamentals, such as current account deficit ratio to gross domestic product, public deficit ratio to gross domestic product and imports over foreign exchange reserves, can explain a great part of the variation in EMBI+ spreads. There is also robust evidence of systematic contagion from Argentina and Mexico and that the variance of the spread also affects its mean.

Systematic risk estimation in symmetric models

The aim of this article is to discuss the estimation of the systematic risk in capital asset pricing models with heavy-tailed error distributions to explain the asset returns. Diagnostic methods for assessing departures from the model assumptions as well as the influence of observations on the parameter estimates are also presented. It may be shown that outlying observations are down weighted in the maximum likelihood equations of linear models with heavy-tailed error distributions, such as Student-t, power exponential, logistic II, so on. This robustness aspect may also be extended to influential observations. An application in which the systematic risk estimate of Microsoft is compared under normal and heavy-tailed errors is presented for illustration.

Prediction of the economic activity from the short and long-term interest rate differential: new evidences in Chile and the United States of America cases

The purpose of this work is to verify the stability of the relationship between real activity and interest rate spread. The test is based on Chen (1988) and Osorio and Galea (2006). The analysis is applied to Chile and the United States, from 1980 to 1999. In general, in both cases the relationship was statistically significant in early 80s, but a break point is found in both countries during that decades, suggesting that the relationship depends on the monetary rule follow by the Central Bank.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Rare earth element and yttrium geochemistry applied to the genetic study of cryolite ore at the Pitinga Mine (Amazon, Brazil)

This work aims at the geochemical study of Pitinga cryolite mineralization through REE and Y analyses in disseminated and massive cryolite ore deposits, as well as in fluorite occurrences. REE signatures in fluorite and cryolite are similar to those in the Madeira albite granite. The highest ΣREE values are found in magmatic cryolite (677 to 1345 ppm); ΣREE is lower in massive cryolite. Average values for the different cryolite types are 10.3 ppm, 6.66 ppm and 8.38 ppm (for nucleated, caramel and white types, respectively). Disseminated fluorite displays higher ΣREE values (1708 and 1526ppm) than fluorite in late veins(34.81ppm). Yttrium concentration is higher in disseminated fluorite and in magmatic cryolite. The evolution of several parameters (REEtotal, LREE/HREE, Y) was followed throughout successive stages of evolution in albite granites and associated mineralization. At the end of the process, late cryolite was formed with low REEtotal content. REE data indicate that the MCD was formed by, and the disseminated ore enriched by (additional formation of hydrothermal disseminated cryolite), hydrothermal fluids, residual from albite granite. The presence of tetrads is poorly defined, although nucleated, caramel and white cryolite types show evidence for tetrad effect.

High performance concrete applied to storage system buildings at low temperatures

According to some estimates, world's population growth is expected about 50% over the next 50 years. Thus, one of the greatest challenges faced by Engineering is to find effective options to food storage and conservation. Some researchers have investigated how to design durable buildings for storing and conserving food. Nowadays, developing concrete with mechanical resistance for room temperatures is a parameter that can be achieved easily. On the other hand, associating it to low temperature of approximately 35 °C negative requires less empiricism, being necessary a suitable dosage method and a careful selection of the material constituents. This ongoing study involves these parameters. The presented concrete was analyzed through non-destructive tests that examines the material properties periodically and verifies its physical integrity. Concrete with and without incorporated air were studied. The results demonstrated that both are resistant to freezing.

Bond Strength of Multicomponent White Cast Iron Coatings Applied by HVOF Thermal Spray Process

Multicomponent white cast iron is a new alloy that belongs to system Fe-C-Cr-W-Mo-V, and because of its excellent wear resistance it is used in the manufacture of hot rolling mills rolls. To date, this alloy has been processed by casting, powder metallurgy, and spray forming. The high-velocity oxyfuel process is now also considered for the manufacture of components with this alloy. The effects of substrate, preheating temperature, and coating thickness on bond strength of coatings have been determined. Substrates of AISI 1020 steel and of cast iron with preheating of 150 A degrees C and at room temperature were used to apply coatings with 200 and 400 mu m nominal thickness. The bond strength of coatings was measured with the pull-off test method and the failure mode by scanning electron microscopic analysis. Coatings with thickness of 200 mu m and applied on substrates of AISI 1020 steel with preheating presented bond strength of 87 +/- A 4 MPa.

Importance of considering a material micro-failure criterion in the numerical modelling of the shot peening process applied to parabolic leaf springs

Shot peening is a cold-working mechanical process in which a shot stream is propelled against a component surface. Its purpose is to introduce compressive residual stresses on component surfaces for increasing the fatigue resistance. This process is widely applied in springs due to the cyclical loads requirements. This paper presents a numerical modelling of shot peening process using the finite element method. The results are compared with experimental measurements of the residual stresses, obtained by the X-rays diffraction technique, in leaf springs submitted to this process. Furthermore, the results are compared with empirical and numerical correlations developed by other authors.