Spread trading strategy for intraday short term interest rate futures markets

Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e venda simultânea de contratos de STIR com diferentes maturidades. Cada um dos contratos individualmente se comporta de forma aleatória e dificilmente previsível. No entanto, no longo prazo, pares de contratos podem apresentar um comportamento comum, com os desvios de curto prazo sendo corrigidos nos períodos seguintes. Se este comportamento comum for empiricamente confirmado, há a possibilidade de desenvolver uma estratégia rentável de trading. Para ser bem sucedida, esta estratégia depende da confirmação da existência de um equilíbrio de longo prazo entre os contratos e a definição do limite de spread mais adequado para a mudança de posições entre os contratos. Neste trabalho, foram estudadas amostras de 1304 observações de 5 diferentes séries de spread, coletadas a cada 10 minutos, durante um período de 1 mês. O equilíbrio de longo prazo entre os pares de contratos foi testado empiricamente por meio de modelos de cointegração. Quatro pares mostraram-se cointegrados. Para cada um destes, uma simulação permitiu a estimação de um limite que dispararia a troca de posições entre os contratos, maximizando os lucros. Uma simulação mostrou que a aplicação deste limite, levando em conta custos de comissão e risco de execução, permitiria obter um fluxo de caixa positivo e estável ao longo do tempo.

The role of bond covenants and short-term debt: evidence from Brazil

Esta dissertação tem como objetivo analisar a relação entre covenants e alavancagem financeira no curto e longo prazo com oportunidades de crescimento. A partir de uma amostra de 159 debêntures, encontramos evidência de que: 1) Covenants e dívida de curto-prazo podem ser considerados substitutos na atenuação do conflito de agência, uma vez que apresentaram relação negativa e significante e; 2) A relação negativa existente entre dívida de curto prazo e oportunidades de crescimento pode ser reduzida através da utilização de covenants.

The influence of lifestyle and gender on sickness absence in brazilian workers

Background: Despite an increasing body of knowledge concerning gender and lifestyle factors as determinants of sickness absence in well-developed countries, the relationship between these variables has not been elucidated in emerging economic power countries, where the burden of non-communicable diseases is particularly high. This study aimed to analyze the relationships among lifestyle-related factors and sick leave and to examine whether gender differences in sickness absence can be explained by differences in socio-demographic, work and lifestyle-related factors among Brazilian workers. Methods: In this longitudinal study with a one year follow-up among 2.150 employees of a Brazilian airline company, sick leave was the primary outcome of interest. Independent variables collected by interview at enrolment in the study were gender, age, educational level, type of work, stress, and lifestyle-related factors (body mass index, physical activity and smoking). In addition, the risk for coronary heart disease was determined based on measurement of blood pressure, total cholesterol and glucose levels. The total number of days on sick leave during 12 months follow-up was available from the company register. Logistic regression analysis was used to determine the influence of socio-demographic, type of work and lifestyle-related factors on sick leave. Results: Younger employees, those with lower educational level, those who worked as air crew members and those with higher levels of stress were more likely to have sick leave. Body mass index and level of physical activity were not associated with sick leave. After adjustment by socio-demographic variables, increased odds for 10 or more days of sick leave were found in smokers (OR = 1.51, CI = 1.05-2.17), and ex-smokers (OR = 1.45, CI = 1.01-2.10). Women were more likely to have 10 or more days of sick leave. Gender differences were reduced mainly when adjusted for type of work (15%) and educational level (7%). Conclusions: The higher occurrence of sick leave among women than among men was partly explained by type of work and educational level. Our results suggest that type of work, a stressful life, and smoking are important targets for health promotion in this study population

Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study

Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The Örst reduces parameter space by imposing long-term restrictions on the behavior of economic variables as discussed by the literature on cointegration, and the second reduces parameter space by imposing short-term restrictions as discussed by the literature on serial-correlation common features (SCCF). Our simulations cover three important issues on model building, estimation, and forecasting. First, we examine the performance of standard and modiÖed information criteria in choosing lag length for cointegrated VARs with SCCF restrictions. Second, we provide a comparison of forecasting accuracy of Ötted VARs when only cointegration restrictions are imposed and when cointegration and SCCF restrictions are jointly imposed. Third, we propose a new estimation algorithm where short- and long-term restrictions interact to estimate the cointegrating and the cofeature spaces respectively. We have three basic results. First, ignoring SCCF restrictions has a high cost in terms of model selection, because standard information criteria chooses too frequently inconsistent models, with too small a lag length. Criteria selecting lag and rank simultaneously have a superior performance in this case. Second, this translates into a superior forecasting performance of the restricted VECM over the VECM, with important improvements in forecasting accuracy ñreaching more than 100% in extreme cases. Third, the new algorithm proposed here fares very well in terms of parameter estimation, even when we consider the estimation of long-term parameters, opening up the discussion of joint estimation of short- and long-term parameters in VAR models.