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.

Consistency of superspace low energy equations of motion of 4D Type II superstring with Type II sigma model at tree-level

We derive the torsion constraints and show the consistency of equations of motion of four-dimensional Type II supergravity in superspace. with Type II sigma model. This is achieved by coupling the four-dimensional compactified Type II Berkovits' superstring to an N = 2 curved background and requiring that the sigma-model has superconformal invariance at tree-level. We compute this in a manifestly 4D N = 2 supersymmetric way. The constraints break the target conformal and SU(2) invariances and the dilaton will be a conformal, SU(2) x U(1) compensator. For Type II superstring in four dimensions, worldsheet supersymmetry requires two different compensators. One type is described by chiral and anti-chiral superfields. This compensator can be identified with a vector multiplet. The other Type II compensator is described by twist-chiral and twist-anti-chiral superfields and can be identified with a tensor hypermultiplet. Also, the superconformal invariance at tree-level selects a particular gauge, where the matter is fixed, but not the compensators. After imposing the reality conditions, we show that the Type II sigma model at tree-level is consistent with the equations of motion for Type II supergravity in the string gauge. (C) 2003 Elsevier B.V All rights reserved.

QUARK MEAN-FIELD THEORY AND CONSISTENCY WITH NUCLEAR-MATTER

1/N(c) expansion in QCD (with N(c) the number of colors) suggests using a potential from meson sector (e.g., Richardson) for baryons. For light quarks a sigma-field has to be introduced to ensure chiral symmetry breaking (chi-SB). It is found that nuclear matter properties can be used to pin down the chi-SB modeling. All masses, M(N), m-sigma, m-omega, are found to scale with density. The equations are solved self-consistently.

Consistency of super-poincaré covariant superstring tree amplitudes

Using pure spinors, the superstring was recently quantized in a manifestly ten-dimensional super-Poincaré covariant manner and a covariant prescription was given for tree-level scattering amplitudes. In this paper, we prove that this prescription is cyclically symmetric and, for the scattering of an arbitrary number of massless bosons and up to four massless fermions, it agrees with the standard Ramond-Neveu-Schwarz prescription.

Consistency of side choice in the milking parlour by holstein-friesian cows and its relationship with their reactivity and milk yield

Dairy cows often have to choose which of two sides to enter in the milking parlour. Some cows are very consistent in this choicė, and it is common to assume that when these cows are more disturbed are being milked in their non-preferred side. Such disturbance might involve significantly poor welfare. In order to assess this assumption, we decided to study the behaviour and milk yield of dairy cows and their relationships with side preference in the milking parlour. The study was carried out at Cambridge University Farm, in a two-sided tandem milking parlour. The data collection followed the daily management routine. We recorded the side chosen by each cow (left or right) during 40 milking sessions. Data from 70 cows, which were present in at least 25 milking sessions (mode = 36), were included in the statistical analysis. Cows' reactivity (CR) during premilking udder preparation, time spent fitting the milking cluster (FT), milk yield (MY) and duration of milking (DM) were measured. There was evident individual variation in the consistency of side choice. Individual differences (ANOVA, P < 0.001) were also found in CR, FT, MY and DM; although these variables were not significantly affected by the side or the interaction animal × side (ANOVA, P < 0.05). The comparison between left and right side means (paired t-test) of these variables did not show significant differences (P < 0.05). We concluded that there is no evidence that the cows were discomforted or stressed when milked in the non-preferred side of the milking parlour. © 2001 Elsevier Science B.V.

Quantum consistency of the superstring

Using arguments based on BRST cohomology, the pure spinor formalism for the superstring in an AdS 5×S 5 background is proven to be BRST invariant and conformally invariant at the quantum level to all orders in perturbation theory. Cohomology arguments are also used to prove the existence of an infinite set of non-local BRST-invariant charges at the quantum level. © SISSA 2005.

Consistency between light-front quantization and covariantization for zero modes

In the light-cone gauge choice for Abelian and non-Abelian gauge fields, the vector boson propagator carries in it an additional spurious or unphysical pole intrinsic to the choice requiring a careful mathematical treatment. Research in this field over the years has shown us that mathematical consistency only is not enough to guarantee physically meaningful results. Whatever the prescription invoked to handle such an object, it has to preserve causality in the process. On the other hand, the covariantization technique is a well-suited one to tackle gauge-dependent poles in the Feynman integrals, dispensing the use of ad hoc prescriptions. In this work we show that the covariantization technique in the light-cone gauge is a direct consequence of the canonical quantization of the theory. © World Scientific Publishing Company.

On the consistency conditions to braneworlds in scalar-tensor gravity for arbitrary dimensions

We derive an one-parameter family of consistency conditions to braneworlds in the Brans-Dicke gravity. The General Relativity case is recovered by taking a correct limit of the Brans-Dicke parameter. We show that it is possible to build a multiple AdS brane scenario in a six-dimensional bulk only if the brane tensions are negative. Besides, in the five-dimensional case, it is showed that no fine tuning is necessary between the bulk cosmological constant and the brane tensions, in contrast to the Randall-Sundrum model. Copyright © owned by the author(s) under the terms of the Creative Commons Attribution-NonCommercial- ShareAlike Licence.

Consistency of the population projections prepared by CELADE with those of the national governments

El CELADE elabora proyecciones nacionales de poblacion para los 20 paises de la region, en la mayoria de los casos en colaboracion con las oficinas gubernamentales, lo que le otorga a aquellas un caracter oficial. El Centro tambien asesora a los paises en la elaboracion de proyecciones especificas y presta asistencia tecnica; en forma reciente ha disenado un paquete computacional para la preparacion y analisis preliminares de las proyecciones de poblacion. Los problemas mas frecuentes que surgen del trabajo conjunto con los paises dicen relacion con la rotacion del personal administrativo y profesional, la falta de personal calificado, la formulacion de metas no consistentes con la realidad demografica del pais.

Interfacial integrity of low-shrinkage composite restorations related to the filling technique and consistency

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

Physico-chemical properties of Brazilian cocoa butter and industrial blends. Part I - Chemical composition, solid fat content and consistency

A comparative study of the primary properties of six cocoa butter samples, representative of industrial blends and cocoa butter extracted from fruits cultivated in different geographical areas in Brazil is presented. The samples were evaluated according to fatty acid composition, triacylglycerol composition, regiospecific distribution, melting point, solid fat content and consistency. The results allowed for differentiating the samples according to their chemical compositions, thermal resistance properties, hardness characteristics, as well as technological adequacies and potential use in regions with tropical climates.

12 item Allodynia Symptom Checklist/Brasil: cross-cultural adaptation, internal consistency and reproducibility

Since there was no Portuguese questionnaire to evaluate cutaneous allodynia, which has been pointed out as a risk factor of migraine, we aimed to perform the cross-cultural adaptation of the 12 item Allodynia Symptom Checklist for the Brazilian population and to test its measurement properties. It consisted in six stages: translation, synthesis, back translation, revision by a specialist committee, pretest and submission the documents to the committee. In the pretest stage, the questionnaire was applied to 30 migraineurs of both sexes, who had some difficulty in understanding it. Thus, a second version was applied to 30 additional subjects, with no difficulties being reported. The mean filling out time was 3'36", and the internal consistency was 0.76. To test reproducibility, 15 other subjects filled out the questionnaire at two different times, it was classified as moderate (weighted kappa=0.58). We made available to Brazilian population an easy, quick and reliable questionnaire.

Consistency of the mass variation formula for black holes accreting cosmological fluids

We address the spherical accretion of generic fluids onto black holes. We show that, if the black hole metric satisfies certain conditions, in the presence of a test fluid it is possible to derive a fully relativistic prescription for the black hole mass variation. Although the resulting equation may seem obvious due to a form of it appearing as a step in the derivation of the Schwarzschild metric, this geometrical argument is necessary to fix the added degree of freedom one gets for allowing the mass to vary with time. This result has applications on cosmological accretion models and provides a derivation from first principles to serve as a basis to the accretion equations already in use in the literature.

Using complex networks to quantify consistency in the use of words

In this paper we have quantified the consistency of word usage in written texts represented by complex networks, where words were taken as nodes, by measuring the degree of preservation of the node neighborhood. Words were considered highly consistent if the authors used them with the same neighborhood. When ranked according to the consistency of use, the words obeyed a log-normal distribution, in contrast to Zipf's law that applies to the frequency of use. Consistency correlated positively with the familiarity and frequency of use, and negatively with ambiguity and age of acquisition. An inspection of some highly consistent words confirmed that they are used in very limited semantic contexts. A comparison of consistency indices for eight authors indicated that these indices may be employed for author recognition. Indeed, as expected, authors of novels could be distinguished from those who wrote scientific texts. Our analysis demonstrated the suitability of the consistency indices, which can now be applied in other tasks, such as emotion recognition.