Vantagens e desvantagens do modelo dinâmico de Nelson-Siegel : aplicação ao mercado brasileiro

A modelagem da estrutura a termo da taxa juros tem grande relevância para o mercado financeiro, isso se deve ao fato de ser utilizada na precificação de títulos de crédito e derivativos, ser componente fundamental nas políticas econômicas e auxiliar a criação de estratégias trading. A classe de modelos criada por Nelson-Siegel (1987), foi estendida por diversos autores e atualmente é largamente utilizada por diversos bancos centrais ao redor do mundo. Nesse trabalho utilizaremos a extensão proposta por Diebold e Li (2006) aplicada para o mercado brasileiro, os parâmetros serão calibrados através do Filtro de Kalman e do Filtro de Kalman Estendido, sendo que o último método permitirá estimar com dinamismo os quatros parâmetros do modelo. Como mencionado por Durbin e Koopman (2012), as fórmulas envolvidas no filtro de Kalman e em sua versão estendida não impõe condições de dimensão constante do vetor de observações. Partindo desse conceito, a implementação dos filtros foi feita de forma a possibilitar sua aplicação independentemente do número de observações da curva de juros em cada instante de tempo, dispensando a necessidade de interpolar os dados antes da calibração. Isso ajuda a refletir mais fielmente a realidade do mercado e relaxar as hipóteses assumidas ao interpolar previamente para obter vértices fixos. Também será testada uma nova proposta de adaptação do modelo de Nelson-Siegel, nela o parâmetro de nível será condicionado aos títulos terem vencimento antes ou depois da próxima reunião do Copom. O objetivo é comparar qualidade da predição entre os métodos, pontuando quais são as vantagens e desvantagens encontradas em cada um deles.

Determinantes de intervenção do Banco Central do Brasil no mercado de câmbio: uma abordagem empírica por regressão logística e redes neurais

Em economias com regimes de metas de inflação é comum que Bancos Centrais intervenham para reduzir os níveis de volatilidade do dólar, sendo estas intervenções mais comuns em países não desenvolvidos. No caso do Brasil, estas intervenções acontecem diretamente no mercado à vista, via mercado de derivativos (através de swaps cambiais) ou ainda com operações a termo, linhas de liquidez e via empréstimos. Neste trabalho mantemos o foco nas intervenções no mercado à vista e de derivativos pois estas representam o maior volume financeiro relacionado à este tipo de atuação oficial. Existem diversos trabalhos que avaliam o impacto das intervenções e seus graus de sucesso ou fracasso mas relativamente poucos que abordam o que levaria o Banco Central do Brasil (BCB) a intervir no mercado. Tentamos preencher esta lacuna avaliando as variáveis que podem se relacionar às intervenções do BCB no mercado de câmbio e adicionalmente verificando se essas variáveis se relacionam diferentemente com as intervenções de venda e compra de dólares. Para tal, além de utilizarmos regressões logísticas, como na maioria dos trabalhos sobre o tema, empregamos também a técnica de redes neurais, até onde sabemos inédita para o assunto. O período de estudo vai de 2005 a 2012, onde o BCB interveio no mercado de câmbio sob demanda e não de forma continuada por longos períodos de tempo, como nos anos mais recentes. Os resultados indicam que algumas variáveis são mais relevantes para o processo de intervenção vendendo ou comprando dólares, com destaque para a volatilidade implícita do câmbio nas intervenções que envolvem venda de dólares, resultado este alinhado com outros trabalhos sobre o tema.

Aplicação de termogravimetria acoplada à espectrometria de massas para caracterização de petróleo e determinação da curva de evolução de gás sulfídrico

With the new discoveries of oil and gas, the exploration of fields in various geological basins, imports of other oils and the development of alternative fuels, more and more research labs have evaluated and characterized new types of petroleum and derivatives. Therefore the investment in new techniques and equipment in the samples analysis to determine their physical and chemical properties, their composition, possible contaminants, especification of products, among others, have multiplied in last years, so development of techniques for rapid and efficient characterization is extremely important for a better economic recovery of oil. Based on this context, this work has two main objectives. The first one is to characterize the oil by thermogravimetry coupled with mass spectrometry (TG-MS), and correlate these results with from other types of characterizations data previously informed. The second is to use the technique to develop a methodology to obtain the curve of evaluation of hydrogen sulfide gas in oil. Thus, four samples were analyzed by TG-MS, and X-ray fluorescence spectrometry (XRF). TG results can be used to indicate the nature of oil, its tendency in coke formation, temperatures of distillation and cracking, and other features. It was observed in MS evaluations the behavior of oil main compounds with temperature, the points where the volatilized certain fractions and the evaluation gas analysis of sulfide hydrogen that is compared with the evaluation curve obtained by Petrobras with another methodology

Caracterização e quantificação de marcadores químicos do extrato hidroetanólico das folhas de Kalanchoe brasiliensis Cambess

Kalanchoe brasiliensis Cambess (Crassulaceae), commonly known as saião , coirama branca , folha grossa , is originally from Brazil and commonly found in São Paulo to Bahia, mainly in the coastal zone. Regarding of biological activities, most preclinical studies were found in the literature, mainly about the anti-inflammatory activity of extracts obtained from leaves and / or aerial parts of K. brasiliensis. As regards the chemical constitution, it has been reported mainly the presence of flavonoids in the leaves of the species, but until this moment did not knows which are the active compounds. Although it is a species widely used in traditional medicine in Brazil, there is no monograph about the quality parameters of the plant drug. In this context, this study aims to characterize and quantify the chemical markers of hydroethanolic extract (HE) from the leaves of K. brasiliensis, which can be used in quality control of plant drug and derivatives obtained from this species. The methodology was divided into two parts: i. Phytochemical study: to fractionate, isolate and characterizate of the chemical (s) marker (s) of the HE from the leaves of K. brasiliensis; ii. To Developed validate of analytical method by High Performance Liquid Chromatography (HPLC)-diode array detector (DAD) to quantify the chemical (s) marker (s) of the EH. i. The EH 50% was prepared by turbo extraction method. It was then submitted to liquid-liquid partition, obtaining dichloromethane, n-butanol and ethyl acetate (AcOEt) fractions. The AcOEt fraction was selected to continue the fractionation process, because it has a chemical profile rich in flavonoids. The acOEt fraction was submitted to column chromatography using different systems for obtaining the compound Kb1. To identify this compound, it was submitted to UV analysis ii. For quantitative analysis, the EH was analyzed by HPLC, using different methods. After selecting the most appropriate method, which showed satisfactory resolution and symmetrical peaks, it was validated according to parameters in the RE 899/2003. As result, it was obtained from the AcOEt fraction the compound Kb1 (2.7 mg). Until this moment, the basic nucleus was characterized by UV analysis using shift reagents. The partial chemical structure of the compound Kb1 was identified as a flavonol, containing hydroxyls in 3 , 4 position (ring A), 5 and 7 free (ring B) and a replacement of the C3 hydroxyl by a sugar. As the analysis were performed in the HPLC coupled to a DAD, we observed that the UV spectrum of the major peaks of EH from K. brasiliensis shown similar UV spectrum. According to the literature, it has been reported the presence of patuletin glycosydes derivatives in the leaves of this species. Therefore, it is suggested that the compound Kb1 is glycosylated patuletin derivative. Probably the sugar (s) unit(s) are linked in the C3 in the C ring. . Regarding the development of HPLC analytical method, the system used consists of phase A: water: formic acid (99,7:0,3, v / v) and phase B: methanol: formic acid (99,7:0,3, v / v), elution gradient of 40% B - 58% B in 50 minutes, ccolumn (Hichrom ®) C18 (250x4, 0 mm, 5 μm), flow rate 0.8 mL / min, UV detection at 370 nm, temperature 25 ° C. In the analysis performed with the co-injection of thecompound Kb1 + HE of K. brasiliensis was observed that it is one of the major compounds with a retention time of 12.47 minutes and had a content of 15.3% in EH of leaves from K. brasiliensis. The method proved to be linear, precise, accurate and reproducible. According to these results, it was observed that compound Kb1 can be used as a chemical marker of EH from leaves of K. brasiliensis, to assist in quality control of drug plant and its derivatives

Novas fronteiras petrolíferas no Brasil : uma análise da necessidade de nova regulamentação da área do pré-sal sob a ótica constitucional

The Oil industry in Brazil has gone through several stages during the economical, political and social historical process. However, the significative changes have happened in the last fifteen years, due to market opening arising from the relaxation of the state monopoly over the Oil deposits and its derivatives. The edition of the Constitutional Amendment #9, changing the first paragraph of the 177th item of the Federal Constitution, marked the end of a stiffness about the monopoly that the Brazilian state kept in relation to the exploration and research of Oil and Gas. The economical order was fundamental to actualize the idea contained in the #9 Amendment, since its contents has the power to set up measures to be adopted by public power in order to organize the economical relations from a social viewpoint. The new brazilian Oil scenery, called pre-salt, presents itself in a way to amaze the economical markets, in addition to creating a new perspective to the social sector. This work will identify, in this new scenario, the need for change in the legal system. Nevertheless, this subject must not be treated in a thoughtless way: being an exhaustible good, we shall not forget that the future generations also must benefit from the exploration of natural resources recently discovered. The settlement of a new regulatory mark, including the change in the concession contract model to production and sharing is one of the suggested solutions as a bill in the National Congress, in an attempt to ensure the sovereignty of the nation. The constitutionality of a new regulatory mark is questioned, starting from an analysis of the state monopoly, grounding the comprehnsions in the brazilian constitutions, the relevance of the creation of Petrobras for self-assertion of the state about the monopoly of Oil and derivatives, and its posture after the Constitutional Amendment nº 9 (1995), when a company stops having control of the state monopoly, beginning to compete in a fairly way with other companies. The market opening and private initiative are emphasized from the viewpoint of the Constitutional Principles of the Economical and Social Order. The relaxation of the monopoly regarding the exploratory activity in the Federal Constitution doesn't deprive from the Union the ownerships of underground goods, enabling to this federal entity to contract, directly or by concession of exploration of goods, to state-owned or private companies. The existing oil in the pre-salt layer transforms the scenario from very high risk to low risk, which gives the Union the possibility of defining another way of exploring this resources in the best interests of the Public Administration

Electrochemical evidence of sulfinic acid derivative as an intermediate in the reduction of aromatic sulfonyl chloride in an aprotic medium

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Hidrocarbonetos policíclicos aromáticos no meio ambiente: diferenciação de fontes em sedimentos e metabólitos em bile de peixes

Many studies on environmental ecosystems quality related to polycyclic aromatic hydrocarbons (PAH) have been carried out routinely due to their ubiquotus presence worldwide and to their potential toxicity after its biotransformation. PAH may be introduced into the environmet by natural and anthropogenic processes from direct runoff and discharges and indirect atmospheric deposition. Sources of naturally occurring PAHs include natural fires, natural oil seepage and recent biological or diagenetic processes. Anthropogenic sources of PAHs, acute or chronic, are combustion of organic matter (petroleum, coal, wood), waste and releases/spills of petroleum and derivatives (river runoff, sewage outfalls, maritime transport, pipelines). Besides the co-existence of multiples sources of PAH in the environmental samples, these compounds are subject to many processes that lead to geochemical fates (physical-chemical transformation, biodegradation and photo-oxidation), which leads to an alteration of their composition. All these facts make the identification of the hydrocarbons sources, if petrogenic, pyrolytic or natural, a challenge. One of the objectives of this study is to establish tools to identify the origin of hydrocarbons in environmental samples. PAH diagnostic ratios and PAH principal component analysis were tested on a critical area: Guanabara Bay sediments. Guanabara Bay is located in a complex urban area of Rio de Janeiro with a high anthropogenic influence, being an endpoint of chronic pollution from the Greater Rio and it was the scenario of an acute event of oil release in January 2000. It were quantified 38 compounds, parental and alkylated PAH, in 21 sediment samples collected in two surveys: 2000 and 2003. The PAH levels varied from 400 to 58439 ng g-1. Both tested techniques for origin identification of hydrocarbons have shown their applicability, being able to discriminate the PAH sources for the majority of the samples analysed. The bay sediments were separated into two big clusters: sediments with a clear pattern of petrogenic introduction of hydrocarbons (from intertidal area) and sediments with combustion characteristics (from subtidal region). Only a minority of the samples could not display a clear contribution of petrogenic or pyrolytic input. The diagnostic ratios that have exhibited high ability to distinguish combustion- and petroleum-derived PAH inputs for Guanabara Bay sediments were Phenanthrene+Anthracene/(Phenanthrene+Anthracene+C1Phenanthrene); Fluorantene/(Fluorantene+Pyrene); Σ (other 3-6 ring PAHs)/ Σ (5 alkylated PAH series). The PCA results prooved to be a useful tool for PAH source identification in the environment, corroborating the diagnostic indexes. In relation to the temporal evaluation carried out in this study, it was not verified significant changes on the class of predominant source of the samples. This result indicates that the hydrocarbons present in the Guanabara Bay sediments are mainly related to the long-term anthropogenic input and not directly related to acute events such as the oil spill of January 2000. This findings were similar to various international estuarine sites. Finally, this work had a complementary objective of evaluating the level of hydrocarbons exposure of the aquatic organisms of Guanabara Bay. It was a preliminary study in which a quantification of 12 individual biliar metabolites of PAH was performed in four demersal fish representing three different families. The analysed metabolites were 1-hydroxynaphtalene, 2-hidroxinaphtalene, 1hydroxyphenanthrene, 9-hydroxyphenanthrene, 2-hydroxyphenanthrene, 1hydroxypyrene, 3-hidroxibiphenil, 3- hydroxyphenanthrene, 1-hydroxychrysene, 9hydroxyfluorene, 4-hydroxyphenanthrene, 3-hydroxybenz(a)pyrene. The metabolites concentrations were found to be high, ranging from 13 to 177 µg g-1, however they were similar to worldwide regions under high anthropogenic input. Besides the metabolites established by the used protocol, it was possible to verified high concentrations of three other compounds not yet reported in the literature. They were related to pyrolytic PAH contribution to Guanabara Bay aquatic biota: 1-hydroxypyrine and 3-hydroxybenz(a)pyrine isomers

Feira livre e circuitos da economia urbana: um estudo da feira da Pedra, em São Bento (PB)

The Feira da Pedra is an extension of the open fair of São Bento in the State of Paraiba. It is a system of trade in textile goods produced by textile industry in manufacturing of hammocks and derivatives of this industry, present in some cities in the state of Paraiba and Rio Grande do Norte, as a survival strategy, inserted in the list of tertiary and retail of the urban economics of this city. It is thereby aimed to discuss about the urban economics, reflecting on the open fair system from the two circuits of urban economy, mainly in the context of the dynamics of the current period of geographic space, the technical-scientific-informational period, as the specific empirical object, the Feira da Pedra of São Bento (PB). For this, this research was carried out in two stages of operation: a) surveys of secondary data and b) primary data collection which were reported an operational triad: I) literature; II) documentary research, and III) research of field. The presence of the Feira da Pedra in São Bento has shown us one of the most important characteristics of this city, in order to present major economic, social and cultural benefits to the local population, and contribute to (re) production of sertanejo space, making lower part of the circuit of its urban economy. This activity has entailed several dynamics for urban space in this city, mainly because of attracting large numbers of people, carrying typical actions of its relationship with the urban space are são-bentense and built environment. Thus, its importance is not only a local and regional phenomenon, but also a cultural reference of a place in the geographical area of many paraibanos and norte-rio-grandenses subjects, as the case of this activity has brought to its weekly routine, this product resulting from the textile working of this area of Sertão Paraibano and Seridó Potiguar

Photoconductivity excitation spectrum for stretch-oriented PPV

We have obtained the photoconductivity (PC) excitation spectrum for a stretch-oriented poly(paraphenylene vinylene) film over a wide spectral range (up to 5 eV). The measurements were performed in the surface cell configuration with the electric field parallel or perpendicular to the stretch direction. Although the sample had a stretch ratio of similar to 4, the dark conductivity and the steady-state photoconductivity were both about 40 and 20 times higher with the electric field parallel to the average chain direction, respectively. However, the shape of the PC excitation spectrum was independent of field direction and did not show a significant rise in the ultraviolet, as is usually observed for measurements in the photodiode configuration. The implications of these results to the charge photogeneration mechanism in conjugated polymers are discussed.

Weak ferromagnetism in poly(3-methylthiophene)(PMTh)

Ferromagnetic behaviour at 300 K has been observed from SQUID experiments in ClO4- doped PMTh, the samples were prepared electrochemically at 25 degreesC in acetonitrile with 0.1M LiClO4 and then partially reduced. Atomic absorption analysis discards magnetic particles contamination. Hysteresis curves were observed for pressed pellets in ail range of temperatures (300K-2K). The remanence at 300 K and pressed at 250 bar was around 8.06x10(-4) emu/g with coercitivity of 130 Oe. The influence of water content in the solvent during the sample synthesis and the pressure is shown. We discuss a model that explains our data in terms of the anisotropic superexchange Dziatoshinski-Moriya interaction giving rise to weak ferromagnetism.

Excitation spectrum for ultrafast photogeneration of charged solitons in polyacetylene

Ultrafast photoinduced absorption by IRAV modes is used to detect charged solitons in oriented polyacetylene. We find that soliton pairs are photogenerated within our time resolution of similar to250 fs with similar to100% quantum efficiency (phi(ch)). The excitation spectrum of phi(ch) shows an onset at 1.0 eV, with a weak photon energy dependence up to 4.7 eV. These results agree with the ultrafast soliton formation predicted by Su and Schrieffer and with the SSH threshold of 2E(g)/pi for soliton pair production.

Crystallization observed from the spin behavior in poly(3-methylthiophene)

Electron Spin Resonance (ESR) data in pressed pellets of doped poly(3-methylthiophene) (P3MT) show a single ESR line that changes into a broad and a narrow superimposed lines below 225K. D.C. susceptibility measurements using a SQUID susceptometer didn't reveal any special feature at this temperature. Assuming crystallization of the polymer, we attribute the broad line to the crystalline fraction of the polymer and the narrow line to the amorphous one.

Insulator-to-metal transition driven by clustering of solitons in polyacetylene

It's believed that the simple Su-Schrieffer-Heeger Hamiltonian can not predict the insulator to metal transition of transpolyacetylene (t-PA). The soliton lattice configuration at a doping level y=6% still has a semiconductor gap. Disordered distributions of solitons close the gap, but the electronic states around the Fermi energy are localized. However, within the same framework, it is possible to show that a cluster of solitons can produce dramatic changes in the electronic structure, allowing an insulator-to-metal transition.

Levedura íntegra e derivados do seu processamento em rações para tilápia do Nilo: Aspectos hematológicos e histológicos

The effects of inclusion of whole yeast, autolyzed yeast and yeast cell wall on hematological parameters and gut villus perimeter were evaluated in juvenile Nile tilapia, after 80 experimental days. Isoproteic (32.0% DP) and isoenergetic (3200 kcal DE kg -1) practical diets were supplemented with three levels of whole yeast or autolyzed yeast (1.0, 2.0 and 3.0%) and three levels of yeast cell wall (0.1, 0.2 and 0.3%), plus a control diet (with no test microingredients). Red blood cell count, hemoglobin concentration, total plasmatic protein, hematocrit percentage, mean corpuscular volume, mean corpuscular hemoglobin concentration and gut villus perimeter were evaluated. Variations on hematological parameters in animals fed diets with whole yeast; autolyzed yeast and yeast cell wall were observed to be within normal ranges for this species. There was significant influence (p<0.05) of different levels of yeast and derivatives on intestinal villus perimeter. Results showed that experimental period and proposed levels of whole yeast, autolyzed yeast and yeast cell wall do not provide undesirable alterations on standard hematological parameters to Nile tilapia and can be safely used to compound diets for this species. Results also showed that supplement of yeast cell wall provide higher intestinal villus perimeter.

Effect of controlled conductivity on thermal sensing property of 0-3 pyroelectric composite

Composite films made of lead zirconate titanate ceramic particles coated with polyaniline and poly(vinylidene fluoride) - PZT-PAni/PVDF were produced by hot pressing the powder mixtures in the desired ceramic volume fraction. The ceramic particles were coated during the polyaniline synthesis and the conductivity of the conductor polymer was controlled by different degrees of protonation. Composites were characterized by Fourier transform infrared spectroscopy (FTIR), scanning electron microscopy (SEM), ac and dc electrical measurements, the longitudinal d33 piezo coefficient and the photopyroelectric response. Results showed that the presence of PAni increased the dielectric permittivity of the composite and allowed better efficiency in the poling process, which increased the piezo- and pyroelectric activities of the composite film and reduced both the poling time and the poling electric field. The thermal sensing of the material was also analyzed, showing that this composite can be used as pyroelectric sensor. © 2013 IOP Publishing Ltd.