Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Structural challenges in a multipolar and multicultural global legal era : BRICS’ global legal politics beyond cultural and economic partnerships

New emerging international dynamics introduce a global poly-axiological polycentric disorder which undermines the tradition of a unique global legal order in international law. Modern Era was characterized by Western European civilizational model – from which human rights is a byproduct. This consensus had its legitimacy tested by XXst century’s scenario – and the ‘BRICS factor/actor’ is a symptom of this reality. Its empowerment in world politics lead to the rise of distinct groups of States/civilizations provided with different legal, political, economic and social traditions – promoting an unexpected uprise of otherness in international legal order and inviting it to a complete and unforeseeable reframing process. Beyond Washington or Brussels Consensus, other custom-originated discourses (Brasília, Moscow, New Delhi, Peking or Cape Town Consensus, among other unfolded possibilities) will probably henceforth attempt shaping international law in present global legal disorder.

Structural transformation and productivity in Latin America

This article examines the e¤ects of sectorial shifts and structural transformation on the recent productivity path of Latin America. We use a four-sector (agriculture, industry, modern services and traditional services) general equilibrium model calibrated to the main economies in the region. The model very closely replicates labor reallocations across sectors and the growth of aggregate labor productivity from 1950 to 2005. Structural transformation explains a sizeable portion of the region s convergence in the rst decades. In most cases, the poor performance of the traditional services sector is the main cause of the slowdown in productivity growth observed in the region after the mid-1970s and is a key factor in explaining the divergence during this period.

Multiple structural change models:a simulation analysis

In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting distriblltion of estimators and test. statist.ics in the linear model \\'ith multiplc struct ural changes. \Ve assess. via simulations, the adequacy of the \'arious I1Iethods suggested. These CO\'er the size and power of tests for structural changes. the cO\'erage rates of the confidence Íntervals for the break dates and the relat.Í\'e merits of methods to select the I1umber of breaks. The \'arious data generating processes considered alIo,,' for general conditions OIl the data and the errors including differellces across segmcll(s. Yarious practical recommendations are made.

KittyCat: a cognitive model of structure-form discovery

Cognition is a core subject to understand how humans think and behave. In that sense, it is clear that Cognition is a great ally to Management, as the later deals with people and is very interested in how they behave, think, and make decisions. However, even though Cognition shows great promise as a field, there are still many topics to be explored and learned in this fairly new area. Kemp & Tenembaum (2008) tried to a model graph-structure problem in which, given a dataset, the best underlying structure and form would emerge from said dataset by using bayesian probabilistic inferences. This work is very interesting because it addresses a key cognition problem: learning. According to the authors, analogous insights and discoveries, understanding the relationships of elements and how they are organized, play a very important part in cognitive development. That is, this are very basic phenomena that allow learning. Human beings minds do not function as computer that uses bayesian probabilistic inferences. People seem to think differently. Thus, we present a cognitively inspired method, KittyCat, based on FARG computer models (like Copycat and Numbo), to solve the proposed problem of discovery the underlying structural-form of a dataset.

A conditional likelihood ratio test for structural models

This paper develops a general method for constructing similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reducedform covariance matrix. The test based on the likelihood ratio statistic is particularly simple and has good power properties. When identification is strong, the power curve of this conditional likelihood ratio test is essentially equal to the power envelope for similar tests. Monte Carlo simulations also suggest that this test dominates the Anderson- Rubin test and the score test. Dropping the restrictive assumption of disturbances normally distributed with known covariance matrix, approximate conditional tests are found that behave well in small samples even when identification is weak.

In search of exchange rate predictability : a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model

Este estudo investiga o poder preditivo fora da amostra, um mês à frente, de um modelo baseado na regra de Taylor para previsão de taxas de câmbio. Revisamos trabalhos relevantes que concluem que modelos macroeconômicos podem explicar a taxa de câmbio de curto prazo. Também apresentamos estudos que são céticos em relação à capacidade de variáveis macroeconômicas preverem as variações cambiais. Para contribuir com o tema, este trabalho apresenta sua própria evidência através da implementação do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o “symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant”. Para isso, utilizamos uma amostra de 14 moedas em relação ao dólar norte-americano que permitiu a geração de previsões mensais fora da amostra de janeiro de 2000 até março de 2014. Assim como o critério adotado por Galimberti e Moura (2012), focamos em países que adotaram o regime de câmbio flutuante e metas de inflação, porém escolhemos moedas de países desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclusão da previsibilidade da taxa de câmbio depende do teste estatístico adotado, sendo necessária a adoção de testes robustos e rigorosos para adequada avaliação do modelo. Após constatar não ser possível afirmar que o modelo implementado provém previsões mais precisas do que as de um passeio aleatório, avaliamos se, pelo menos, o modelo é capaz de gerar previsões “racionais”, ou “consistentes”. Para isso, usamos o arcabouço teórico e instrumental definido e implementado por Cheung e Chinn (1998) e concluímos que as previsões oriundas do modelo de regra de Taylor são “inconsistentes”. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contemporâneos observados. Apuramos que o modelo fundamental é incapaz de antecipar os retornos realizados.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis