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.

Low-Resolution Molecular Models Reveal the Oligomeric State of the PPAR and the Conformational Organization of Its Domains in Solution

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

Combined Tevatron upper limit on gg -> H -> W+W- and constraints on the Higgs boson mass in fourth-generation fermion models

We combine results from searches by the CDF and D0 collaborations for a standard model Higgs boson (H) in the process gg -> H -> W+W- in p (p) over bar collisions at the Fermilab Tevatron Collider at root s = 1.96 TeV. With 4.8 fb(-1) of integrated luminosity analyzed at CDF and 5.4 fb(-1) at D0, the 95% confidence level upper limit on sigma(gg -> H) x B(H -> W+W-) is 1.75 pb at m(H) = 120 GeV, 0.38 pb at m(H) = 165 GeV, and 0.83 pb at m(H) = 200 GeV. Assuming the presence of a fourth sequential generation of fermions with large masses, we exclude at the 95% confidence level a standard-model-like Higgs boson with a mass between 131 and 204 GeV.

Asymmetries in e(+) e(-) -> f(f)over-bar processes at ILC for models with an extra neutral vector boson Z '

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

Measurement of the shape of the boson-transverse momentum distribution in p(p)over-bar -> Z/gamma*-> e(+)e(-)+X events produced at root s=1.96 TeV

We present a measurement of the shape of the Z/gamma* boson transverse momentum (q(T)) distribution in p (p) over bar -> Z/gamma(*)-> e(+)e(-)+X events at a center-of-mass energy of 1.96 TeV using 0.98 fb(-1) of data collected with the D0 detector at the Fermilab Tevatron collider. The data are found to be consistent with the resummation prediction at low q(T), but above the perturbative QCD calculation in the region of q(T)> 30 GeV/c. Using events with q(T)< 30 GeV/c, we extract the value of g(2), one of the nonperturbative parameters for the resummation calculation. Data at large boson rapidity y are compared with the prediction of resummation and with alternative models that employ a resummed form factor with modifications in the small Bjorken x region of the proton wave function.

Light composite Higgs boson from the normalized Bethe-Salpeter equation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Anomaly-free constraints in neutrino seesaw models

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

Forward energy flow, central charged-particle multiplicities, and pseudorapidity gaps in W and Z boson events from pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

FLAVOR-CHANGING NEUTRAL CURRENTS IN SU(3)L-CIRCLE-TIMES-U(1)Y MODELS

We consider flavor changing neutral current effects coming from the Z' exchange in 3-3-1 models. We show that the mass of this extra neutral vector boson may be less than 2 TeV and discuss the problem of quark family discrimination.

Relax and fix heuristics to solve one-stage one-machine lot-scheduling models for small-scale soft drink plants

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

Higgs- and Goldstone-boson-mediated long range forces

In certain mild extensions of the standard model, spin-independent long range forces can arise by exchange of two very light pseudoscalar spin-0 bosons. In particular, we have in mind models in which these bosons do not have direct tree level couplings to ordinary fermions. Using the dispersion theoretical method, we find a 1/r3 behavior of the potential for the exchange of very light pseudoscalars and a 1/r7 dependence if the pseudoscalars are true massless Goldstone bosons. ©1999 The American Physical Society.

Scalar resonances in leptophilic multi-Higgs-boson models

We show that the Higgs resonance can be amplified in a 3-3-1 model with a multi-Higgs-boson leptophilic scalar sector. This would allow the observation of the Higgs particle in muon colliders even for Higgs boson masses considerably higher than the ones expected to be seen in the electroweak standard model framework. ©1999 The American Physical Society.

Neutrinoless double beta decay with and without Majoron-like boson emission in a 3-3-1 model

We consider the contributions to the neutrinoless double beta decays in a SU(3)L⊗U(1)N electroweak model. We show that for a range of parameters in the model there are diagrams involving vector-vector-scalar and trilinear scalar couplings which can be potentially as contributing as the light massive Majorana neutrino exchange one. We use these contributions to obtain constraints upon some mass scales of the model, such as the masses of the new charged vector and scalar bosons. We also consider briefly the decay in which, in addition to the two electrons, a Majoron-like boson is emitted. ©2001 The American Physical Society.

Finding best urban routes based on analyses of high level and IOPT Petri net models

This paper presents a tool that combines two kinds of Petri Net analyses to set the fastest routes to one vehicle in a bounded area of traffic urban. The first analysis consists of the discovery of possible routes in a state space generated from an IOPT Petri net model given the initial marking as the vehicle position. The second analysis receives the routes found in the first analysis and calculates the state equations at incidence matrix created from the High Level Petri net model to define the fastest route for each vehicle that arrive in the roads. It was considered the exchange of information between vehicle and infrastructure (V2I) to get the position and speed of all vehicles and support the analyses. With the results obtained we conclude that is possible optimizing the urban traffic flow if this tool is applied to all vehicles in a bounded urban traffic. © 2012 IEEE.