Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal pré-crise de 2008

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

Next-generation sequencing reveals large connected networks of intra-host HCV variants

Background: Next-generation sequencing (NGS) allows for sampling numerous viral variants from infected patients. This provides a novel opportunity to represent and study the mutational landscape of Hepatitis C Virus (HCV) within a single host.Results: Intra-host variants of the HCV E1/E2 region were extensively sampled from 58 chronically infected patients. After NGS error correction, the average number of reads and variants obtained from each sample were 3202 and 464, respectively. The distance between each pair of variants was calculated and networks were created for each patient, where each node is a variant and two nodes are connected by a link if the nucleotide distance between them is 1. The work focused on large components having > 5% of all reads, which in average account for 93.7% of all reads found in a patient. The distance between any two variants calculated over the component correlated strongly with nucleotide distances (r = 0.9499; p = 0.0001), a better correlation than the one obtained with Neighbour-Joining trees (r = 0.7624; p = 0.0001). In each patient, components were well separated, with the average distance between (6.53%) being 10 times greater than within each component (0.68%). The ratio of nonsynonymous to synonymous changes was calculated and some patients (6.9%) showed a mixture of networks under strong negative and positive selection. All components were robust to in silico stochastic sampling; even after randomly removing 85% of all reads, the largest connected component in the new subsample still involved 82.4% of remaining nodes. In vitro sampling showed that 93.02% of components present in the original sample were also found in experimental replicas, with 81.6% of reads found in both. When syringe-sharing transmission events were simulated, 91.2% of all simulated transmission events seeded all components present in the source.Conclusions: Most intra-host variants are organized into distinct single-mutation components that are: well separated from each other, represent genetic distances between viral variants, robust to sampling, reproducible and likely seeded during transmission events. Facilitated by NGS, large components offer a novel evolutionary framework for genetic analysis of intra-host viral populations and understanding transmission, immune escape and drug resistance.

Balance-of-payments-constrained growth in Brazil: 1951-2008

The aim of this study is to determine whether Brazil's economic growth has been constrained by the balance of payments in the long run. The question underpinning the analysis can be expressed as follows: Was economic growth in the period 1951-2008 constrained by the balance of payments? To answer this question, the study employs the externally constrained growth methodology developed by Lima and Carvalho (2009), among others. The main statistical method used is vector error correction. The conclusion is that the rate of economic growth in Brazil was restricted by the external sector in the period concerned, validating the theory of balance-of-payments growth constraint with regard to the economic history of Brazil.

Construction and decoding of BCH codes over chain of commutative rings

In this paper, we present a new construction and decoding of BCH codes over certain rings. Thus, for a nonnegative integer t, let A0 ⊂ A1 ⊂···⊂ At−1 ⊂ At be a chain of unitary commutative rings, where each Ai is constructed by the direct product of appropriate Galois rings, and its projection to the fields is K0 ⊂ K1 ⊂···⊂ Kt−1 ⊂ Kt (another chain of unitary commutative rings), where each Ki is made by the direct product of corresponding residue fields of given Galois rings. Also, A∗ i and K∗ i are the groups of units of Ai and Ki, respectively. This correspondence presents a construction technique of generator polynomials of the sequence of Bose, Chaudhuri, and Hocquenghem (BCH) codes possessing entries from A∗ i and K∗ i for each i, where 0 ≤ i ≤ t. By the construction of BCH codes, we are confined to get the best code rate and error correction capability; however, the proposed contribution offers a choice to opt a worthy BCH code concerning code rate and error correction capability. In the second phase, we extend the modified Berlekamp-Massey algorithm for the above chains of unitary commutative local rings in such a way that the error will be corrected of the sequences of codewords from the sequences of BCH codes at once. This process is not much different than the original one, but it deals a sequence of codewords from the sequence of codes over the chain of Galois rings.

Cointegration: Bayesian Significance Test

To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or multivariate models: VAR (VEC or VECM) models. These models usually include at least one cointegration relation. Although the Bayesian literature on VAR/VEC is quite advanced, Bauwens et al. (1999) highlighted that "the topic of selecting the cointegrating rank has not yet given very useful and convincing results". The present article applies the Full Bayesian Significance Test (FBST), especially designed to deal with sharp hypotheses, to cointegration rank selection tests in VECM time series models. It shows the FBST implementation using both simulated and available (in the literature) data sets. As illustration, standard non informative priors are used.

Essays on Wage and Price Formation in Sweden

Study IReal Wage Determination in the Swedish Engineering Industry This study uses the monopoly union model to examine the determination of real wages and in particular the effects of active labour market programmes (ALMPs) on real wages in the engineering industry. Quarterly data for the period 1970:1 to 1996:4 are used in a cointegration framework, utilising the Johansen's maximum likelihood procedure. On a basis of the Johansen (trace) test results, vector error correction (VEC) models are created in order to model the determination of real wages in the engineering industry. The estimation results support the presence of a long-run wage-raising effect to rises in the labour productivity, in the tax wedge, in the alternative real consumer wage and in real UI benefits. The estimation results also support the presence of a long-run wage-raising effect due to positive changes in the participation rates regarding ALMPs, relief jobs and labour market training. This could be interpreted as meaning that the possibility of being a participant in an ALMP increases the utility for workers of not being employed in the industry, which in turn could increase real wages in the industry in the long run. Finally, the estimation results show evidence of a long-run wage-reducing effect due to positive changes in the unemployment rate. Study IIIntersectoral Wage Linkages in Sweden The purpose of this study is to investigate whether the wage-setting in certain sectors of the Swedish economy affects the wage-setting in other sectors. The theoretical background is the Scandinavian model of inflation, which states that the wage-setting in the sectors exposed to international competition affects the wage-setting in the sheltered sectors of the economy. The Johansen maximum likelihood cointegration approach is applied to quarterly data on Swedish sector wages for the period 1980:1–2002:2. Different vector error correction (VEC) models are created, based on assumptions as to which sectors are exposed to international competition and which are not. The adaptability of wages between sectors is then tested by imposing restrictions on the estimated VEC models. Finally, Granger causality tests are performed in the different restricted/unrestricted VEC models to test for sector wage leadership. The empirical results indicate considerable adaptability in wages as between manufacturing, construction, the wholesale and retail trade, the central government sector and the municipalities and county councils sector. This is consistent with the assumptions of the Scandinavian model. Further, the empirical results indicate a low level of adaptability in wages as between the financial sector and manufacturing, and between the financial sector and the two public sectors. The Granger causality tests provide strong evidence for the presence of intersectoral wage causality, but no evidence of a wage-leading role in line with the assumptions of the Scandinavian model for any of the sectors. Study IIIWage and Price Determination in the Private Sector in Sweden The purpose of this study is to analyse wage and price determination in the private sector in Sweden during the period 1980–2003. The theoretical background is a variant of the “Imperfect competition model of inflation”, which assumes imperfect competition in the labour and product markets. According to the model wages and prices are determined as a result of a “battle of mark-ups” between trade unions and firms. The Johansen maximum likelihood cointegration approach is applied to quarterly Swedish data on consumer prices, import prices, private-sector nominal wages, private-sector labour productivity and the total unemployment rate for the period 1980:1–2003:3. The chosen cointegration rank of the estimated vector error correction (VEC) model is two. Thus, two cointegration relations are assumed: one for private-sector nominal wage determination and one for consumer price determination. The estimation results indicate that an increase of consumer prices by one per cent lifts private-sector nominal wages by 0.8 per cent. Furthermore, an increase of private-sector nominal wages by one per cent increases consumer prices by one per cent. An increase of one percentage point in the total unemployment rate reduces private-sector nominal wages by about 4.5 per cent. The long-run effects of private-sector labour productivity and import prices on consumer prices are about –1.2 and 0.3 per cent, respectively. The Rehnberg agreement during 1991–92 and the monetary policy shift in 1993 affected the determination of private-sector nominal wages, private-sector labour productivity, import prices and the total unemployment rate. The “offensive” devaluation of the Swedish krona by 16 per cent in 1982:4, and the start of a floating Swedish krona and the substantial depreciation of the krona at this time affected the determination of import prices.

Reliable Broadcasting and Streaming of Multimedia Content

This thesis is focused on the study of techniques that allow to have reliable transmission of multimedia content in streaming and broadcasting applications, targeting in particular video content. The design of efficient error-control mechanisms, to enhance video transmission systems reliability, has been addressed considering cross-layer and multi-layer/multi-dimensional channel coding techniques to cope with bit errors as well as packet erasures. Mechanisms for unequal time interleaving have been designed as a viable solution to reduce the impact of errors and erasures by acting on the time diversity of the data flow, thus enhancing robustness against correlated channel impairments. In order to account for the nature of the factors which affect the physical layer channel in the evaluation of FEC schemes performances, an ad-hoc error-event modeling has been devised. In addition, the impact of error correction/protection techniques on the quality perceived by the consumers of video services applications and techniques for objective/subjective quality evaluation have been studied. The applicability and value of the proposed techniques have been tested by considering practical constraints and requirements of real system implementations.

IS THE U.S. SHALE GAS BOOM HAVING AN EFFECT ON THE EUROPEAN GAS MARKET?

This thesis focuses on the impact of the American shale gas boom on the European natural gas market. The study presents different tests in order to analyze the dynamics of natural gas prices in the U.S., U.K. and German natural gas market. The question of cointegration between these different markets are analyzed using several tests. More specifically, the ADF tests for the presence of a unit root. The error correction model test and the Johansen cointegration procedure are applied in order to accept or reject the hypothesis of an integrated market. The results suggest no evidence of cointegration between these markets. There currently is no evidence of an impact of the U.S. shale gas boom on the European market.

Traffic-Adaptive and Link-Quality-Aware Communication in Wireless Sensor Networks

This paper is a summary of the main contribu- tions of the PhD thesis published in [1]. The main research contributions of the thesis are driven by the research question how to design simple, yet efficient and robust run-time adaptive resource allocation schemes within the commu- nication stack of Wireless Sensor Network (WSN) nodes. The thesis addresses several problem domains with con- tributions on different layers of the WSN communication stack. The main contributions can be summarized as follows: First, a a novel run-time adaptive MAC protocol is intro- duced, which stepwise allocates the power-hungry radio interface in an on-demand manner when the encountered traffic load requires it. Second, the thesis outlines a metho- dology for robust, reliable and accurate software-based energy-estimation, which is calculated at network run- time on the sensor node itself. Third, the thesis evaluates several Forward Error Correction (FEC) strategies to adap- tively allocate the correctional power of Error Correcting Codes (ECCs) to cope with timely and spatially variable bit error rates. Fourth, in the context of TCP-based communi- cations in WSNs, the thesis evaluates distributed caching and local retransmission strategies to overcome the perfor- mance degrading effects of packet corruption and trans- mission failures when transmitting data over multiple hops. The performance of all developed protocols are eval- uated on a self-developed real-world WSN testbed and achieve superior performance over selected existing ap- proaches, especially where traffic load and channel condi- tions are suspect to rapid variations over time.

Mechanisms of cell competition: Themes and variations

Cell competition is the short-range elimination of slow-dividing cells through apoptosis when confronted with a faster growing population. It is based on the comparison of relative cell fitness between neighboring cells and is a striking example of tissue adaptability that could play a central role in developmental error correction and cancer progression in both Drosophila melanogaster and mammals. Cell competition has led to the discovery of multiple pathways that affect cell fitness and drive cell elimination. The diversity of these pathways could reflect unrelated phenomena, yet recent evidence suggests some common wiring and the existence of a bona fide fitness comparison pathway.

The Time-Series Properties on Housing Prices: A Case Study of the Southern California Market

We examine the time-series relationship between housing prices in eight Southern California metropolitan statistical areas (MSAs). First, we perform cointegration tests of the housing price indexes for the MSAs, finding seven cointegrating vectors. Thus, the evidence suggests that one common trend links the housing prices in these eight MSAs, a purchasing power parity finding for the housing prices in Southern California. Second, we perform temporal Granger causality tests revealing intertwined temporal relationships. The Santa Anna MSA leads the pack in temporally causing housing prices in six of the other seven MSAs, excluding only the San Luis Obispo MSA. The Oxnard MSA experienced the largest number of temporal effects from other MSAs, six of the seven, excluding only Los Angeles. The Santa Barbara MSA proved the most isolated in that it temporally caused housing prices in only two other MSAs (Los Angels and Oxnard) and housing prices in the Santa Anna MSA temporally caused prices in Santa Barbara. Third, we calculate out-of-sample forecasts in each MSA, using various vector autoregressive (VAR) and vector error-correction (VEC) models, as well as Bayesian, spatial, and causality versions of these models with various priors. Different specifications provide superior forecasts in the different MSAs. Finally, we consider the ability of theses time-series models to provide accurate out-of-sample predictions of turning points in housing prices that occurred in 2006:Q4. Recursive forecasts, where the sample is updated each quarter, provide reasonably good forecasts of turning points.

The Aggregate Demand for Private Health Insurance Coverage in the U.S.

This paper estimates the aggregate demand for private health insurance coverage in the U.S. using an error-correction model and by recognizing that people are without private health insurance for voluntary, structural, frictional, and cyclical reasons and because of public alternatives. Insurance coverage is measured both by the percentage of the population enrolled in private health insurance plans and the completeness of the insurance coverage. Annual data for the period 1966-1999 are used and both short and long run price and income elasticities of demand are estimated. The empirical findings indicate that both private insurance enrollment and completeness are relatively inelastic with respect to changes in price and income in the short and long run. Moreover, private health insurance enrollment is found to be inversely related to the poverty rate, particularly in the short-run. Finally, our results suggest that an increase in the number cyclically uninsured generates less of a welfare loss than an increase in the structurally uninsured.

The Real Exchange Rate in Small Open Developed Economies: Evidence from Cointegration Analysis

We examine the effects of the terms of trade and the expected real interest rate differential on the real exchange rate in a sample of small open developed economies. We employ cointegration analysis to search for possible long-term linkages. We find that while both the terms of trade and the expected real interest rate differentials affect the real exchange rate in the long run, the role of the terms of trade generally proves more consistent across countries. The speed of adjustment for the expected real interest rate differential in the error-correction model, however, is quantitatively larger than it is for the terms of trade.

"Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix

We examine the time-series relationship between housing prices in Los Angeles, Las Vegas, and Phoenix. First, temporal Granger causality tests reveal that Los Angeles housing prices cause housing prices in Las Vegas (directly) and Phoenix (indirectly). In addition, Las Vegas housing prices cause housing prices in Phoenix. Los Angeles housing prices prove exogenous in a temporal sense and Phoenix housing prices do not cause prices in the other two markets. Second, we calculate out-of-sample forecasts in each market, using various vector autoregessive (VAR) and vector error-correction (VEC) models, as well as Bayesian, spatial, and causality versions of these models with various priors. Different specifications provide superior forecasts in the different cities. Finally, we consider the ability of theses time-series models to provide accurate out-of-sample predictions of turning points in housing prices that occurred in 2006:Q4. Recursive forecasts, where the sample is updated each quarter, provide reasonably good forecasts of turning points.

Countervailing Duties in the USA

This paper reveals the characteristics of the ITC's decisions on countervailing duties, which have seldom been studied. The empirical evidences based on time series data show that there is a long run equilibrium relationship between affirmative countervailing decisions and macroeconomic variables such as economic growth rates and import penetration ratios. The error correction models show that there is a unidirectional causality from affirmative countervailing decisions to slower economic growth.