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.

Speculative bubbles and contagion: analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model

Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Estimating abundance and spatial distribution patterns of the bubble crab Dotilla fenestrata (Crustacea : Brachyura)

The bubble crab Dotilla fenestrata forms very dense populations on the sand flats of the eastern coast of Inhaca Island, Mozambique, making it an interesting biological model to examine spatial distribution patterns and test the relative efficiency of common sampling methods. Due to its apparent ecological importance within the sandy intertidal community, understanding the factors ruling the dynamics of Dotilla populations is also a key issue. In this study, different techniques of estimating crab density are described, and the trends of spatial distribution of the different population categories are shown. The studied populations are arranged in discrete patches located at the well-drained crests of nearly parallel mega sand ripples. For a given sample size, there was an obvious gain in precision by using a stratified random sampling technique, considering discrete patches as strata, compared to the simple random design. Density average and variance differed considerably among patches since juveniles and ovigerous females were found clumped, with higher densities at the lower and upper shore levels, respectively. Burrow counting was found to be an adequate method for large-scale sampling, although consistently underestimating actual crab density by nearly half. Regression analyses suggested that crabs smaller than 2.9 mm carapace width tend to be undetected in visual burrow counts. A visual survey of sampling plots over several patches of a large Dotilla population showed that crab density varied in an interesting oscillating pattern, apparently following the topography of the sand flat. Patches extending to the lower shore contained higher densities than those mostly covering the higher shore. Within-patch density variability also pointed to the same trend, but the density increment towards the lowest shore level varied greatly among the patches compared.

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.

Characterization of micro-bubble size distribution and flow configuration in DAF contact zone by a non-intrusive image analysis system and tracer tests

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

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.

Hanbury-Brown-Twiss interferometry for sonoluminescence bubble

Two-photon correlation of the light pulse emitted from a sonoluminescence bubble is discussed. It is shown that several important features of the mechanism of light emission, such as the time scale and the shape of the emission region, could be obtained from Hanbury-Brown-Twiss interferometry. We also argue that such a measurement may serve to reject one of the two currently suggested emission mechanisms, i.e., the thermal process versus the dynamical Casimir effect.