O endividamento direto e o spread bancário ao longo dos ciclos econômicos: o caso das firmas brasileiras e a crise de 2009

A concessão de crédito bancário demanda esforço do agente credor que se dedica de forma ativa na obtenção de informações relativas à firma, até então não disponíveis ao público. Dado o hold up power do banco detentor de informações não públicas, este deveria poder cobrar spreads mais altos do que seria justificado unicamente pelo risco de crédito do tomador ao longo dos ciclos econômicos, sendo tal dinâmica mais acentuada em cenários de crise. Testa-se aqui esta hipótese e para isso são comparadas as variações do spread bancário médio da dívida de empresas brasileiras com diferentes composições de endividamento, levando-se em conta sua dependência do crédito bancário. Foram criadas: i) uma variável dummy identificando o acesso ao crédito direto para que se pudesse avaliar o seu efeito nos spreads; ii) outra dummy identificando cenários de recessão que permite avaliar o impacto do ciclo econômico nos spreads e iii) dummy interação que viabilizou o estudo do efeito combinado das duas variáveis anteriores. Fatores de risco individuais da firma, tais como tamanho, nível de alavancagem e sua natureza em termos de restrição a crédito foram controlados na análise. Os dados foram organizados em painel com os quais foi montada regressão linear valendo-se da técnica Estimated Generalized Least Squares (EGLS), alternativa ao Least Squares (LS) clássico. Encontrou-se evidência estatística de que em cenários de recessão econômica o acesso ao mercado direto de crédito traz efeito benéfico sobre os spreads bancários pagos pelas firmas.

Análise de séries temporais de coordenadas estimadas com GPS: uma proposta metodológica para detecção, remoção e recuperação de efeitos sazonais

GPS active networks are more and more used in geodetic surveying and scientific experiments, as water vapor monitoring in the atmosphere and lithosphere plate movement. Among the methods of GPS positioning, Precise Point Positioning (PPP) has provided very good results. A characteristic of PPP is related to the modeling and/or estimation of the errors involved in this method. The accuracy obtained for the coordinates can reach few millimeters. Seasonal effects can affect such accuracy if they are not consistent treated during the data processing. Coordinates time series analyses have been realized using Fourier or Harmonics spectral analyses, wavelets, least squares estimation among others. An approach is presented in this paper aiming to investigate the seasonal effects included in the stations coordinates time series. Experiments were carried out using data from stations Manaus (NAUS) and Fortaleza (BRFT) which belong to the Brazilian Continuous GPS Network (RBMC). The coordinates of these stations were estimated daily using PPP and were analyzed through wavelets for identification of the periods of the seasonal effects (annual and semi-annual) in each time series. These effects were removed by means of a filtering process applied in the series via the least squares adjustment (LSQ) of a periodic function. The results showed that the combination of these two mathematical tools, wavelets and LSQ, is an interesting and efficient technique for removal of seasonal effects in time series.

Análise de séries temporais de coordenadas estimadas com gps: Uma proposta metodológica para detecção, remoção e recuperação de efeitos sazonais

GPS active networks are more and more used in geodetic surveying and scientific experiments, as water vapor monitoring in the atmosphere and lithosphere plate movement. Among the methods of GPS positioning, Precise Point Positioning (PPP) has provided very good results. A characteristic of PPP is related to the modeling and / or estimation of the errors involved in this method. The accuracy obtained for the coordinates can reach few millimeters. Seasonal effects can affect such accuracy if they are not consistent treated during the data processing. Coordinates time series analyses have been realized using Fourier or Harmonics spectral analyses, wavelets, least squares estimation among others. An approach is presented in this paper aiming to investigate the seasonal effects included in the stations coordinates time series. Experiments were carried out using data from stations Manaus (NAUS) and Fortaleza (BRFT) which belong to the Brazilian Continuous GPS Network (RBMC). The coordinates of these stations were estimated daily using PPP and were analyzed through wavelets for identification of the periods of the seasonal effects (annual and semi-annual) in each time series. These effects were removed by means of a filtering process applied in the series via the least squares adjustment (LSQ) of a periodic function. The results showed that the combination of these two mathematical tools, wavelets and LSQ, is an interesting and efficient technique for removal of seasonal effects in time series.

Solução rápida das ambigüidades GPS para aplicações no posicionamento relativo de linhas de base curtas

Pós-graduação em Ciências Cartográficas - FCT

Análise espacial e temporal de atributos do solo e da produtividade das culturas visando manejo específico em áreas agrícolas

Pós-graduação em Agronomia (Produção Vegetal) - FCAV

Regression with autocorrelated data: A study of time trend of global infant mortality rate

The infant mortality rate (IMR) is considered to be one of the most important indices of a country's well-being. Countries around the world and other health organizations like the World Health Organization are dedicating their resources, knowledge and energy to reduce the infant mortality rates. The well-known Millennium Development Goal 4 (MDG 4), whose aim is to archive a two thirds reduction of the under-five mortality rate between 1990 and 2015, is an example of the commitment. ^ In this study our goal is to model the trends of IMR between the 1950s to 2010s for selected countries. We would like to know how the IMR is changing overtime and how it differs across countries. ^ IMR data collected over time forms a time series. The repeated observations of IMR time series are not statistically independent. So in modeling the trend of IMR, it is necessary to account for these correlations. We proposed to use the generalized least squares method in general linear models setting to deal with the variance-covariance structure in our model. In order to estimate the variance-covariance matrix, we referred to the time-series models, especially the autoregressive and moving average models. Furthermore, we will compared results from general linear model with correlation structure to that from ordinary least squares method without taking into account the correlation structure to check how significantly the estimates change.^

Analysis of life expectancy using linear and nonlinear models

Life expectancy has consistently increased over the last 150 years due to improvements in nutrition, medicine, and public health. Several studies found that in many developed countries, life expectancy continued to rise following a nearly linear trend, which was contrary to a common belief that the rate of improvement in life expectancy would decelerate and was fit with an S-shaped curve. Using samples of countries that exhibited a wide range of economic development levels, we explored the change in life expectancy over time by employing both nonlinear and linear models. We then observed if there were any significant differences in estimates between linear models, assuming an auto-correlated error structure. When data did not have a sigmoidal shape, nonlinear growth models sometimes failed to provide meaningful parameter estimates. The existence of an inflection point and asymptotes in the growth models made them inflexible with life expectancy data. In linear models, there was no significant difference in the life expectancy growth rate and future estimates between ordinary least squares (OLS) and generalized least squares (GLS). However, the generalized least squares model was more robust because the data involved time-series variables and residuals were positively correlated. ^

Data compilation of hummingbird-pollinated plant species in the Brazilian Atlantic rain forest

We studied the relationship between flower size and nectar properties of hummingbird-visited flowers in the Brazilian Atlantic Forest. We analysed the nectar volume and concentration as a function of corolla length and the average bill size of visitors for 150 plant species, using the phylogenetic generalized least squares (PGLS) to control for phylogenetic signals in the data. We found that nectar volume is positively correlated with corolla length due to phylogenetic allometry. We also demonstrated that larger flowers provide better rewards for long-billed hummingbirds. Regardless of the causal mechanisms, our results support the hypothesis that morphological floral traits that drive partitioning among hummingbirds correspond to the quantity of resources produced by the flowers in the Atlantic Forest. We demonstrate that the relationship between nectar properties and flower size is affected by phylogenetic constraints and thus future studies assessing the interaction between floral traits need to control for phylogenetic signals in the data.

Variance-balanced designs under interference for dependent observations

It is shown that variance-balanced designs can be obtained from Type I orthogonal arrays for many general models with two kinds of treatment effects, including ones for interference, with general dependence structures. These designs can be used to obtain optimal and efficient designs. Some examples and design comparisons are given. (C) 2002 Elsevier B.V. All rights reserved.

Forecasting with serially correlated regression models

In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.

On the Lp-Norm Regression Models for Estimating Value-at-Risk

Analysis of risk measures associated with price series data movements and its predictions are of strategic importance in the financial markets as well as to policy makers in particular for short- and longterm planning for setting up economic growth targets. For example, oilprice risk-management focuses primarily on when and how an organization can best prevent the costly exposure to price risk. Value-at-Risk (VaR) is the commonly practised instrument to measure risk and is evaluated by analysing the negative/positive tail of the probability distributions of the returns (profit or loss). In modelling applications, least-squares estimation (LSE)-based linear regression models are often employed for modeling and analyzing correlated data. These linear models are optimal and perform relatively well under conditions such as errors following normal or approximately normal distributions, being free of large size outliers and satisfying the Gauss-Markov assumptions. However, often in practical situations, the LSE-based linear regression models fail to provide optimal results, for instance, in non-Gaussian situations especially when the errors follow distributions with fat tails and error terms possess a finite variance. This is the situation in case of risk analysis which involves analyzing tail distributions. Thus, applications of the LSE-based regression models may be questioned for appropriateness and may have limited applicability. We have carried out the risk analysis of Iranian crude oil price data based on the Lp-norm regression models and have noted that the LSE-based models do not always perform the best. We discuss results from the L1, L2 and L∞-norm based linear regression models. ACM Computing Classification System (1998): B.1.2, F.1.3, F.2.3, G.3, J.2.

Empirical study of exchange rates in Brazil, Canada and the Caribbean

This dissertation examines the monetary models of exchange rate determination for Brazil, Canada, and two countries in the Caribbean, namely, the Dominican Republic and Jamaica. With the exception of Canada, the others adopted the floating regime during the past ten years.^ The empirical validity of four seminal models in exchange rate economics were determined. Three of these models were entirely classical (Bilson and Frenkel) or Keynesian (Dornbusch) in nature. The fourth model (Real Interest Differential Model) was a mixture of the two schools of economic theory.^ There is no clear empirical evidence of the validity of the monetary models. However, the signs of the coefficients of the nominal interest differential variable were as predicted by the Keynesian hypothesis in the case of Canada and as predicted by the Chicago theorists in the remaining countries. Moreover, in case of Brazil, due to hyperinflation, the exchange rate is heavily influenced by domestic money supply.^ I also tested the purchasing power parity (PPP) for this same set of countries. For both the monetary as well as the PPP hypothesis, I tested for co-integration and applied ordinary least squares estimation procedure. The error correction model was also used for the PPP model, to determine convergence to equilibrium.^ The validity of PPP is also questionable for my set of countries. Endogeinity among the regressors as well as the lack of proper price indices are the contributing factors. More importantly, Central Bank intervention negate rapid adjustment of price and exchange rates to their equilibrium value. However, its forecasting capability for the period 1993-1994 is superior compared to the monetary models in two of the four cases.^ I conclude that in spite of the questionable validity of these models, the monetary models give better results in the case of the "smaller" economies like the Dominican Republic and Jamaica where monetary influences swamp the other determinants of exchange rate. ^

Influência das condições ambientais no verdor da vegetação da caatinga frente às mudanças climáticas

The Caatinga biome, a semi-arid climate ecosystem found in northeast Brazil, presents low rainfall regime and strong seasonality. It has the most alarming climate change projections within the country, with air temperature rising and rainfall reduction with stronger trends than the global average predictions. Climate change can present detrimental results in this biome, reducing vegetation cover and changing its distribution, as well as altering all ecosystem functioning and finally influencing species diversity. In this context, the purpose of this study is to model the environmental conditions (rainfall and temperature) that influence the Caatinga biome productivity and to predict the consequences of environmental conditions in the vegetation dynamics under future climate change scenarios. Enhanced Vegetation Index (EVI) was used to estimate vegetation greenness (presence and density) in the area. Considering the strong spatial and temporal autocorrelation as well as the heterogeneity of the data, various GLS models were developed and compared to obtain the best model that would reflect rainfall and temperature influence on vegetation greenness. Applying new climate change scenarios in the model, environmental determinants modification, rainfall and temperature, negatively influenced vegetation greenness in the Caatinga biome. This model was used to create potential vegetation maps for current and future of Caatinga cover considering 20% decrease in precipitation and 1 °C increase in temperature until 2040, 35% decrease in precipitation and 2.5 °C increase in temperature in the period 2041-2070 and 50% decrease in precipitation and 4.5 °C increase in temperature in the period 2071-2100. The results suggest that the ecosystem functioning will be affected on the future scenario of climate change with a decrease of 5.9% of the vegetation greenness until 2040, 14.2% until 2070 and 24.3% by the end of the century. The Caatinga vegetation in lower altitude areas (most of the biome) will be more affected by climatic changes.

Biological and Physical Factors Affecting the Natural History and Evolution of Encapsulated Development

The evolution of reproductive strategies involves a complex calculus of costs and benefits to both parents and offspring. Many marine animals produce embryos packaged in tough egg capsules or gelatinous egg masses attached to benthic surfaces. While these egg structures can protect against environmental stresses, the packaging is energetically costly for parents to produce. In this series of studies, I examined a variety of ecological factors affecting the evolution of benthic development as a life history strategy. I used marine gastropods as my model system because they are incredibly diverse and abundant worldwide, and they exhibit a variety of reproductive and developmental strategies.

The first study examines predation on benthic egg masses. I investigated: 1) behavioral mechanisms of predation when embryos are targeted (rather than the whole egg mass); 2) the specific role of gelatinous matrix in predation. I hypothesized that gelatinous matrix does not facilitate predation. One study system was the sea slug Olea hansineensis, an obligate egg mass predator, feeding on the sea slug Haminoea vesicula. Olea fed intensely and efficiently on individual Haminoea embryos inside egg masses but showed no response to live embryos removed from gel, suggesting that gelatinous matrix enables predation. This may be due to mechanical support of the feeding predator by the matrix. However, Haminoea egg masses outnumber Olea by two orders of magnitude in the field, and each egg mass can contain many tens of thousands of embryos, so predation pressure on individuals is likely not strong. The second system involved the snail Nassarius vibex, a non-obligate egg mass predator, feeding on the polychaete worm Clymenella mucosa. Gel neither inhibits nor promotes embryo predation for Nassarius, but because it cannot target individual embryos inside an egg mass, its feeding is slow and inefficient, and feeding rates in the field are quite low. However, snails that compete with Nassarius for scavenged food have not been seen to eat egg masses in the field, leaving Nassarius free to exploit the resource. Overall, egg mass predation in these two systems likely benefits the predators much more than it negatively affects the prey. Thus, selection for environmentally protective aspects of egg mass production may be much stronger than selection for defense against predation.

In the second study, I examined desiccation resistance in intertidal egg masses made by Haminoea vesicula, which preferentially attaches its flat, ribbon-shaped egg masses to submerged substrata. Egg masses occasionally detach and become stranded on exposed sand at low tide. Unlike adults, the encased embryos cannot avoid desiccation by selectively moving about the habitat, and the egg mass shape has high surface-area-to-volume ratio that should make it prone to drying out. Thus, I hypothesized that the embryos would not survive stranding. I tested this by deploying individual egg masses of two age classes on exposed sand bars for the duration of low tide. After rehydration, embryos midway through development showed higher rates of survival than newly-laid embryos, though for both stages survival rates over 25% were frequently observed. Laboratory desiccation trials showed that >75% survival is possible in an egg mass that has lost 65% of its water weight, and some survival (<25%) was observed even after 83% water weight lost. Although many surviving embryos in both experiments showed damage, these data demonstrate that egg mass stranding is not necessarily fatal to embryos. They may be able to survive a far greater range of conditions than they normally encounter, compensating for their lack of ability to move. Also, desiccation tolerance of embryos may reduce pressure on parents to find optimal laying substrata.

The third study takes a big-picture approach to investigating the evolution of different developmental strategies in cone snails, the largest genus of marine invertebrates. Cone snail species hatch out of their capsules as either swimming larvae or non-dispersing forms, and their developmental mode has direct consequences for biogeographic patterns. Variability in life history strategies among taxa may be influenced by biological, environmental, or phylogenetic factors, or a combination of these. While most prior research has examined these factors singularly, my aim was to investigate the effects of a host of intrinsic, extrinsic, and historical factors on two fundamental aspects of life history: egg size and egg number. I used phylogenetic generalized least-squares regression models to examine relationships between these two egg traits and a variety of hypothesized intrinsic and extrinsic variables. Adult shell morphology and spatial variability in productivity and salinity across a species geographic range had the strongest effects on egg diameter and number of eggs per capsule. Phylogeny had no significant influence. Developmental mode in Conus appears to be influenced mostly by species-level adaptations and niche specificity rather than phylogenetic conservatism. Patterns of egg size and egg number appear to reflect energetic tradeoffs with body size and specific morphologies as well as adaptations to variable environments. Overall, this series of studies highlights the importance of organism-scale biotic and abiotic interactions in evolutionary patterns.

Increasing the power of genome wide association studies in natural populations using repeated measures : evaluation and implementation

1. Genomewide association studies (GWAS) enable detailed dissections of the genetic basis for organisms' ability to adapt to a changing environment. In long-term studies of natural populations, individuals are often marked at one point in their life and then repeatedly recaptured. It is therefore essential that a method for GWAS includes the process of repeated sampling. In a GWAS, the effects of thousands of single-nucleotide polymorphisms (SNPs) need to be fitted and any model development is constrained by the computational requirements. A method is therefore required that can fit a highly hierarchical model and at the same time is computationally fast enough to be useful. 2. Our method fits fixed SNP effects in a linear mixed model that can include both random polygenic effects and permanent environmental effects. In this way, the model can correct for population structure and model repeated measures. The covariance structure of the linear mixed model is first estimated and subsequently used in a generalized least squares setting to fit the SNP effects. The method was evaluated in a simulation study based on observed genotypes from a long-term study of collared flycatchers in Sweden. 3. The method we present here was successful in estimating permanent environmental effects from simulated repeated measures data. Additionally, we found that especially for variable phenotypes having large variation between years, the repeated measurements model has a substantial increase in power compared to a model using average phenotypes as a response. 4. The method is available in the R package RepeatABEL. It increases the power in GWAS having repeated measures, especially for long-term studies of natural populations, and the R implementation is expected to facilitate modelling of longitudinal data for studies of both animal and human populations.