Principal component analysis of the yield curve

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Fitting the yield curve

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Inflation forecasts using the tips yield curve

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

The fitting of the German yield curve: A dynamic approach using latent, macroeconomic and stock market variables

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Pre-treatment of different types of lignocellulosic biomass using ionic liquids

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau Mestre em Biotecnologia

Government bond yield spreads in EMU countries: The story of an ephemeral convergence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Determinants of the Portuguese government bond yield spread

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Ionic liquids as catalysts of lignocellulosic biomass processing

The present work is devoted to study the pre-treatment of lignocellulosic biomass, especially wheat straw, by the application of the acidic ionic liquid (IL) such as 1-butyl-3-methylimidazolium hydrogen sulphate. The ability of this IL to hydrolysis and conversion of biomass was scrutinised. The pre-treatment with hydrogen sulphate-based IL allowed to obtain a liquor rich in hemicellulosic sugars, furans and organic acids, and a solid fraction mainly constituted by cellulose and lignin. Quantitative and qualitative analyses of the produced liquors were made by capillary electrophoresis and high-performance liquid chromatography. Pre-treatment conditions were set to produce xylose or furfural. Specific range of temperatures from 70 to 175 °C and residence times from 20.0 to 163.3 min were studied by fixing parameters such as biomass/IL ratio (10 % (w/w)) and water content (1.25 % (w/w)) in the pre-treatment process. Statistical modelling was applied to maximise the xylose and furfural concentrations. For the purpose of reaction condition comparison the severity factor for studied ionic liquid was proposed and applied in this work. Optimum conditions for xylose production were identified to be at 125 °C and 82.1 min, at which 16.7 % (w/w) xylose yield was attained. Furfural was preferably formed at higher pre-treatment temperatures and longer reaction time (161 °C and 104.5 min) reaching 30.7 % (w/w) maximum yield. The influence of water content on the optimum xylose formation was also studied. Pre-treatments with 5 and 10 % (w/w) water content were performed and an increase of 100 % and 140 % of xylose yield was observed, respectively, while the conversion into furfural maintained unchanged.

Study of salt stress tolerance in spelt

World population is increasing at an alarming rate while food productivity is decreasing due to the effect of various abiotic stresses. Soil salinity is one of the most important abiotic stress and a limiting factor for worldwide plant production. In addition to its important effects on yield, salt stress affects numerous cellular activities, including cell wall composition, photosynthesis, protein synthesis, ions and organic solutes. Up to 20% of the irrigated arable land in arid and semiarid regions is already salt affected and is still expanding. Improving salt tolerant varieties is of major importance, and efforts should be focused on finding adaptive mechanisms which are involved in salinity tolerance. In this study, several spelt wheat (Triticum aestivum var. Spelta) genotypes and one cultivar of modern bread wheat were used to screen them for salt tolerance. Spelt is an old-European cereal crop currently attracting renewed interest as a food grain because it is said to be harder than wheat and requires less fertilizer. Spelt wheat is also becoming very attractive genetic source by plant breeders due to its wide adaptation ability to various stressful conditions such as soil salinity. In this study morphological parameters (e.g., leaf appearance; shoot elongation), dry matter production, mineral nutrients (especially Na and K), and activity of antioxidative enzymes were measured to select superior genotypes of spelt for salt tolerance. The results showed that Spelt genotype Sp41 is a salt sensitive genotype and genotypes Sp69, Sp96 and Sp912 are good candidates for salt tolerant genotypes.

Can the Yield Spread predict economic growth? An assessment for European countries

Double Degree. A Work Project presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA- School of Business and Economics and a Masters Degree in Management from Louvain School of Management

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Saeta Yield utilities

Equity research report