The Taylor rule under inquiry: Hidden states

This work empirically evaluates the Taylor rule for the US and Brazil using Markov-Switching Regimes. I find that the inflation parameter of the US Taylor rule is less than one in many periods, contrasting heavily with Clarida, Gal´ı and Gertler (2000), and the same happens with Brazilian data. When the inflation parameter is greater than one, it encompasses periods that these authors considered they should be less than one. Brazil is used for comparative purposes because it experienced a high level inflation until 1994 and then a major stabilization plan reduced the growth in prices to civilized levels. Thus, it is a natural laboratory to test theories designed to work in any environment. The findings point to a theoretical gap that deserves further investigation and show that monetary policy in Brazil has been ineffective, which is coherent with the general attitude of population in relation to this measure.

Taylor rule with hidden states

This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data.

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.

Taylor rule in Brazil

In this paper, we use the Taylor Rule to characterize empirically the Brazilian monetary policy before and after its major and succesful stabilization plan, Real Plan, launched in 1994. Specifically, we show how the inflation coefficient has changed after the stabilization plan was carried out. This is a natural experiment to test theories surrounding the Taylor Rule in which monetary instability is characterized by an inflation coefficient less than one, whereas monetary stability will have a greater than one coefficient (seeWoodford’s (2003)). Very suprisingly the paper shows that the inflation coefficient has remained less than one even after the stabilization. Our results are quite robust with respect to different samples, lags of variables, proxies for GDP, proxies for potential GDP and even with respect to econometric methods (see Bueno (2005a, 2005b)). The implications are very important both theoretically and empirically. First, it shows some gap in theory that deserves further investigation. Second, it suggests that the inflation targeting regime has been uneffective in Brazil confirming a feeling largerly spread among Brazilians.

Taylor rule in Brazil

In this paper, we use the Taylor Rule to characterize empirically the Brazilian monetary policy before and after its major and succesful stabilization plan, Real Plan, launched in 1994. Specifically, we show how the inflation coefficient has changed after the stabilization plan was carried out. This is a natural experiment to test theories surrounding the Taylor Rule in which monetary instability is characterized by an inflation coefficient less than one, whereas monetary stability will have a greater than one coefficient (seeWoodford’s (2003)). Very suprisingly the paper shows that the inflation coefficient has remained less than one even after the stabilization. Our results are quite robust with respect to different samples, lags of variables, proxies for GDP, proxies for potential GDP and even with respect to econometric methods (see Bueno (2005a, 2005b)). The implications are very important both theoretically and empirically. First, it shows some gap in theory that deserves further investigation. Second, it suggests that the inflation targeting regime has been uneffective in Brazil confirming a feeling largerly spread among Brazilians.

Analysis of the Priestley-Taylor alpha parameter for a bean crop

This work deals with the Priestley-Taylor model for evapotranspiration in different grown stages of a bean crop. Priestley and Taylor derived a practical Formulation for energy partitioning between the sensible and latent heat fluxes through the a parameter. Bowen ratio energy balance (BREB) was carried out for daily sensible and latent heat flux estimations in three different crop stages. Mean daily values of Priestley-Taylor a parameter were determined for eleven days during the crop cycle. Diurnal variation patterns of a are presented for the growing, flowering and graining periods. The mean values of 1.13 +/- 0.33, 1.26 +/- 0.74, 1.22 +/- 0.55 were obtained for a day in the growing, in the flowering and for graining periods, respectively. Eleven days values of a are shown and gave a mean value of 1.23 +/- 0.10 which agree on the reported literature.

Amostragem seqüencial com base na lei de Taylor para levantamento de Spodoptera frugiperda na cultura do milho

A lagarta do cartucho do milho é uma das principais pragas do milho nas Américas, podendo ocorrer durante todos os estágios de crescimento da cultura, causando perdas de 15 a 37% na produção. Neste trabalho estudou-se a distribuição espacial dessa praga no campo, com a finalidade de desenvolver um sistema de amostragem para estimar sua densidade populacional. Na área cultivada com milho foram selecionados 3 campos experimentais de 40 m x 250 m cada, divididos em 100 parcelas cada. Foram contados o número de lagartas pequenas e grandes de S. frugiperda nas folhas e no cartucho das plantas, em 10 plantas ao acaso por parcela, num total de 1000 plantas por campo, em 5, 5 e 4 datas de amostragem, respectivamente. Lagartas menores que 1 cm eram consideradas pequenas e lagartas maiores que 1 cm, grandes. Foram estimados os parâmetros da lei de Taylor, sendo as estimativas dos parâmetros das regressões altamente significativas para todas as categorias larvais. O parâmetro b da lei de Taylor para lagarta pequena foi igual a 1,57, indicando que a forma de distribuição dessa categoria larval é agregada. Para lagartas grandes o parâmetro b foi igual a 0,79, o que conduz a um tipo de distribuição tendendo para aleatoriedade. Para o número total de lagartas os resultados são equivalentes aos obtidos para lagartas pequenas. Foi desenvolvido um plano de amostragem seqüencial com base nos parâmetros da lei de Taylor.

Processo de trabalho e eficiência produtiva: Smith, Marx, Taylor e Lênin

A partir de reflexão sobre uma hipotética transição do capitalismo em sua natureza manufatureira ao socialismo, procura-se deixar marcada a razão pela qual, seguindo a proposta de Marx, essa transição exige que a produção se realize sob a égide da maquinaria. Consegue-se, como parte dessa reflexão, identificar, para o caso da manufatura, um trade-off entre eficiência produtiva e humanização das atividades de trabalho. Procura-se esclarecer que, dada a natureza do taylorismo-fordismo como reinvenção da manufatura, o exercício de início especulativo passa a ter sentido histórico. Busca-se argumentar que a ampla assimilação do taylorismo-fordismo pela experiência de implantação do socialismo na União Soviética a aprisionou ao mencionado trade-off , fazendo com que a primeira experiência de superação do capitalismo se impregnasse perversamente da mediocridade imanente ao taylorismo-fordismo. Finalmente, são feitos rápidos comentários acerca dos desdobramentos da recente automação de base microeletrônica sobre a natureza de um projeto socialista.

Analysis of the Priestley-Taylor α parameter for a bean crop

This work deals with the Priestley-Taylor model for evapotranspiration in different grown stages of a bean crop. Priestley and Taylor derived a practical formulation for energy partitioning between the sensible and latent heat fluxes through the α parameter. Bowen ratio energy balance (BREB) was carried out for daily sensible and latent heat flux estimations in three different crop stages. Mean daily values of Priestley-Taylor α parameter were determined for eleven days during the crop cycle. Diurnal variation patterns of α are presented for the growing, flowering and graining periods. The mean values of 1.13 ± 0.33, 1.26 ± 0.74, 1.22 ± 0.55 were obtained for a day in the growing, in the flowering and for graining periods, respectively. Eleven days values of α are shown and gave a mean value of 1.23 ± 0.10 which agree on the reported literature.

The Priestley-Taylor parameter α for the Amazon forest

Priestley and Taylor provided a practical formulation of the partitioning of net radiation between heat flux and evaporation contained within a parameter α. Their model (PTM) needs verification under a range of environmental conditions. Micrometeorological data sets collected over the Amazon forest at the Ducke Reserve site (2°57′S; 59°57′W) gave an opportunity to evaluate α. Evidence presented here and by others shows that there is pronounced diurnal variation in α, with minimum values around midday and maximum values in the morning and evening hours. During unstable and stable conditions in the daylight hours, the Bowen ratio (B) varied from 0.10 to 0.57 and -0.71 to -0.08, respectively, whereas α varied from 0.67 to 1.16 and 1.28 to 3.12, respectively. A mean value of α = 1.16±0.56 was obtained from daytime hourly values for two days. The daily data sets from three expeditions gave a mean of α = 1.03±0.13. This work confirms that α is a function of atmospheric stability over the Amazon forest. Thus the PTM should be applied with caution over time-intervals of one day or less because of the sensitivity to variation in α. The calculated values of α are in general agreement with those reported in literature. © 1991.

Taylor's power law for ecological communities: an explanation on nonextensive/nonlinear statistical grounds

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

Dynamic stabilization of Rayleigh-Taylor instability of ablation fronts in inertial confinement fusion

One of the most important problems in inertial confinement fusion is how to find a way to mitigate the onset of the Rayleigh-Taylor instability which arises in the ablation front during the compression. In this thesis it is studied in detail the possibility of using for such a purpose the well-known mechanism of dynamic stabilization, already applied to other dynamical systems such as the inverted pendulum. In this context, a periodic acceleration superposed to the background gravity generates a vertical vibration of the ablation front itself. The effects of different driving modulations (Dirac deltas and square waves) are analyzed from a theoretical point of view, with a focus on stabilization of ion beam driven ablation fronts, and a comparison is made, in order to look for optimization.

Taylor formula for Kolmogorov equations

After briefly discuss the natural homogeneous Lie group structure induced by Kolmogorov equations in chapter one, we define an intrinsic version of Taylor polynomials and Holder spaces in chapter two. We also compare our definition with others yet known in literature. In chapter three we prove an analogue of Taylor formula, that is an estimate of the remainder in terms of the homogeneous metric.