Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Asset pricing when risk sharing is limited by default: a theoretical framework

We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy constraints are such as to prevent default -at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, alld compare it with the one for economies without participation constraints : interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

CRITICAL EXPONENTS and SCALING PROPERTIES FOR THE CHAOTIC DYNAMICS of A PARTICLE IN A TIME-DEPENDENT POTENTIAL BARRIER

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

Fermi acceleration and scaling properties of a time dependent oval billiard

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Exact propagator beyond and at caustics for isotropic time-dependent coupled and driven oscillators

Through a sequence of transformations we relate the propagator for the system of isotropic time-dependent, coupled and driven oscillators with time-varying mass, with those of free particles. We then derive the wave functions and the propagator beyond and at caustics. Finally we study a particular case which appears in quantum optics. © 1990.

Double optical monitoring of time-dependent film formation

A brief overview of optical monitoring for vacuum and wet bench film deposition processes is presented. Interferometric and polarimetric measurements are combined with regard to simultaneous real-time monitoring of refractive index and physical thickness. Monitor stability and accuracy are verified with transparent oil standards. This double optical technique is applied to dip coating with a multi-component Zirconyl Chloride aqueous solution, whose time varying refractive index and physical thickness curves indicate significant sensitivity to changes of film flow properties during the process.

LMI-based digital redesign of linear time-invariant systems with state-derivative feedback

A simple method for designing a digital state-derivative feedback gain and a feedforward gain such that the control law is equivalent to a known and adequate state feedback and feedforward control law of a digital redesigned system is presented. It is assumed that the plant is a linear controllable, time-invariant, Single-Input (SI) or Multiple-Input (MI) system. This procedure allows the use of well-known continuous-time state feedback design methods to directly design discrete-time state-derivative feedback control systems. The state-derivative feedback can be useful, for instance, in the vibration control of mechanical systems, where the main sensors are accelerometers. One example considering the digital redesign with state-derivative feedback of a helicopter illustrates the proposed method. © 2009 IEEE.

On switched control design of linear time-invariant systems with polytopic uncertainties

This paper proposes a new switched control design method for some classes of linear time-invariant systems with polytopic uncertainties. This method uses a quadratic Lyapunov function to design the feedback controller gains based on linear matrix inequalities (LMIs). The controller gain is chosen by a switching law that returns the smallest value of the time derivative of the Lyapunov function. The proposed methodology offers less conservative alternative than the well-known controller for uncertain systems with only one state feedback gain. The control design of a magnetic levitator illustrates the procedure. © 2013 Wallysonn A. de Souza et al.

Linear parameter varying control design for rotating systems supported by journal bearings

Linear parameter varying (LPV) control is a model-based control technique that takes into account time-varying parameters of the plant. In the case of rotating systems supported by lubricated bearings, the dynamic characteristics of the bearings change in time as a function of the rotating speed. Hence, LPV control can tackle the problem of run-up and run-down operational conditions when dynamic characteristics of the rotating system change significantly in time due to the bearings and high vibration levels occur. In this work, the LPV control design for a flexible shaft supported by plain journal bearings is presented. The model used in the LPV control design is updated from unbalance response experimental results and dynamic coefficients for the entire range of rotating speeds are obtained by numerical optimization. Experimental implementation of the designed LPV control resulted in strong reduction of vibration amplitudes when crossing the critical speed, without affecting system behavior in sub- or supercritical speeds. (C) 2012 Elsevier Ltd. All rights reserved.

Evaluation of Viral Load Thresholds for Predicting New World Health Organization Stage 3 and 4 Events in HIV-Infected Children Receiving Highly Active Antiretroviral Therapy

Background: This study evaluated a wide range of viral load (VL) thresholds to identify a cut-point that best predicts new clinical events in children on stable highly active antiretroviral therapy (HAART). Methods: Cox proportional hazards modeling was used to assess the adjusted risk for World Health Organization stage 3 or 4 clinical events (WHO events) as a function of time-varying CD4, VL, and hemoglobin values in a cohort study of Latin American children on HAART >= 6 months. Models were fit using different VL cut-points between 400 and 50,000 copies per milliliter, with model fit evaluated on the basis of the minimum Akaike information criterion value, a standard model fit statistic. Results: Models were based on 67 subjects with WHO events out of 550 subjects on study. The VL cut-points of >2600 and >32,000 copies per milliliter corresponded to the lowest Akaike information criterion values and were associated with the highest hazard ratios (2.0, P = 0.015; and 2.1, P = 0.0058, respectively) for WHO events. Conclusions: In HIV-infected Latin American children on stable HAART, 2 distinct VL thresholds (>2600 and >32,000 copies/mL) were identified for predicting children at significantly increased risk for HIV-related clinical illness, after accounting for CD4 level, hemoglobin level, and other significant factors.

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Modeling multilevel sleep transitional data via Poisson log-linear multilevel models

This paper proposes Poisson log-linear multilevel models to investigate population variability in sleep state transition rates. We specifically propose a Bayesian Poisson regression model that is more flexible, scalable to larger studies, and easily fit than other attempts in the literature. We further use hierarchical random effects to account for pairings of individuals and repeated measures within those individuals, as comparing diseased to non-diseased subjects while minimizing bias is of epidemiologic importance. We estimate essentially non-parametric piecewise constant hazards and smooth them, and allow for time varying covariates and segment of the night comparisons. The Bayesian Poisson regression is justified through a re-derivation of a classical algebraic likelihood equivalence of Poisson regression with a log(time) offset and survival regression assuming piecewise constant hazards. This relationship allows us to synthesize two methods currently used to analyze sleep transition phenomena: stratified multi-state proportional hazards models and log-linear models with GEE for transition counts. An example data set from the Sleep Heart Health Study is analyzed.

CA15-3 and alkaline phosphatase as predictors for breast cancer recurrence: a combined analysis of seven International Breast Cancer Study Group trials

BACKGROUND: We evaluated the ability of CA15-3 and alkaline phosphatase (ALP) to predict breast cancer recurrence. PATIENTS AND METHODS: Data from seven International Breast Cancer Study Group trials were combined. The primary end point was relapse-free survival (RFS) (time from randomization to first breast cancer recurrence), and analyses included 3953 patients with one or more CA15-3 and ALP measurement during their RFS period. CA15-3 was considered abnormal if >30 U/ml or >50% higher than the first value recorded; ALP was recorded as normal, abnormal, or equivocal. Cox proportional hazards models with a time-varying indicator for abnormal CA15-3 and/or ALP were utilized. RESULTS: Overall, 784 patients (20%) had a recurrence, before which 274 (35%) had one or more abnormal CA15-3 and 35 (4%) had one or more abnormal ALP. Risk of recurrence increased by 30% for patients with abnormal CA15-3 [hazard ratio (HR) = 1.30; P = 0.0005], and by 4% for those with abnormal ALP (HR = 1.04; P = 0.82). Recurrence risk was greatest for patients with either (HR = 2.40; P < 0.0001) and with both (HR = 4.69; P < 0.0001) biomarkers abnormal. ALP better predicted liver recurrence. CONCLUSIONS: CA15-3 was better able to predict breast cancer recurrence than ALP, but use of both biomarkers together provided a better early indicator of recurrence. Whether routine use of these biomarkers improves overall survival remains an open question.

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007–09 via a time-varying parameter structural VAR model. We identify a “pure” spread shock defined as a shock that leaves the policy rate unchanged, which allows us to characterize the macroeconomic consequences of a decline in the yield spread induced by central banks’ asset purchases within an environment in which the policy rate is constrained by the effective zero lower bound. Two key findings stand out. First, compressions in the long-term yield spread exert a powerful effect on both output growth and inflation. Second, conditional on available estimates of the impact of the Federal Reserve’s and the Bank of England’s asset purchase programs on long-term yield spreads, our counterfactual simulations suggest that U.S. and U.K. unconventional monetary policy actions have averted significant risks both of deflation and of output collapses comparable to those that took place during the Great Depression.