Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

The impact of price expectations on consumer's behavior in frequently purchased goods markets: empirical evidence and implications

Este trabalho investiga como os padrões de compras de consumidores de bens estocáveis são afetados por suas expectativas de preços. Usando um modelo dinâmico padrão de maximização da utilidade, deriva-se uma expressão analítica para as compras dos consumidores como uma função das suas expectativas em relação aos preços futuros. Em seguida, uma versão mais tratável do modelo é construída, de forma a ilustrar graficamente como os diferentes tipos de expectativas de preços implicam diferentes padrões de compras dos consumidores. Além disso, na aplicação empírica, investigo qual o modelo de expectativas de preços, entre aqueles comumente utilizados na literatura, é consistente com os dados. Por fim, encontra-se suficiente heterogeneidade em expectativa de preços dos consumidores. Mostra-se que famílias de pequeno porte acreditam que os preços seguem um processo de Markov de primeira ordem, enquanto famílias de alta renda são racionais.

The effects of uncertainty about the timing of deals on consumer behavior

I examine the effects of uncertainty about the timing of de aIs (i.e. temporary price cuts or sales) on consumer behavior in a dynamic inventory model of consumer choice. I derive implications for purchase behavior and test them empirically, using two years of scanner data for soft drinks. I fmd that loyal consumers' decisions, both about the allocation of their purchases over time and the quantity to be purchased in a particular deal, are affected by the uncertainty about the timing of the deal for the product. Loyal consumers buy a higher fraction of their overall purchases during de ais as the uncertainty decreases. This effect increases with an increase in the product' s share of a given consumer' s purchase in the same category or if the consumer stockpiles (i.e., is a shopper). During a particular deal, loyal shoppers increase the quantity they purchase the more time that has passed since the previous de aI, and the higher the uncertainty about the deals' timing. For the non-Ioyal consumers these effects are not significant. These results hold for products that are frequently purchased, like soft-drinks and yogurt, but do not hold for less frequentIy purchased products, such as laundry detergents. The fmdings suggest that manufacturers and retailers should incorporate the effects of deals' timing on consumers' purchase' decisions when deriving optimal pricing strategies.

Simulador computacional para poços de petróleo com método de elevação artificial por bombeio mecânico

This work proposes a computer simulator for sucker rod pumped vertical wells. The simulator is able to represent the dynamic behavior of the systems and the computation of several important parameters, allowing the easy visualization of several pertinent phenomena. The use of the simulator allows the execution of several tests at lower costs and shorter times, than real wells experiments. The simulation uses a model based on the dynamic behavior of the rod string. This dynamic model is represented by a second order partial differencial equation. Through this model, several common field situations can be verified. Moreover, the simulation includes 3D animations, facilitating the physical understanding of the process, due to a better visual interpretation of the phenomena. Another important characteristic is the emulation of the main sensors used in sucker rod pumping automation. The emulation of the sensors is implemented through a microcontrolled interface between the simulator and the industrial controllers. By means of this interface, the controllers interpret the simulator as a real well. A "fault module" was included in the simulator. This module incorporates the six more important faults found in sucker rod pumping. Therefore, the analysis and verification of these problems through the simulator, allows the user to identify such situations that otherwise could be observed only in the field. The simulation of these faults receives a different treatment due to the different boundary conditions imposed to the numeric solution of the problem. Possible applications of the simulator are: the design and analysis of wells, training of technicians and engineers, execution of tests in controllers and supervisory systems, and validation of control algorithms

Evaluation of thermal behavior of latex membranes from genetically improved rubber tree (Hevea brasiliensis)

Thermal stability, thermal decomposition process, residual mass, temperature of glass transition (T-g) and temperature dependence of storage modulus (E'), were determined for latex membranes prepared from six clones of Hevea brasiliensis: IAC 331, IAC 332, IAC 333 and IAC 334 grown at experimental plantations of Instituto Agronomico de Campinas (IAC) in Votuporanga, São Paulo State, Brazil. Latex membranes from GT1 and RRIM 600 Asian matrix clones were used as references. The thermal behavior of latex membranes from genetically improved rubber trees was characterized using thermogravimetry/derivative thermogravimetry (TG/DTG), differential scanning calorimetry (DSC) and dynamic mechanical analysis (DMA). The thermal behavior of latex from clones studied in the present work showed similar features of the clones previously reported (IAC 40, IAC 300, IAC 301, IAC 328, IAC 329 and IAC 330), with mass loss in four consecutive steps, except IAC 333, which showed an additional mass loss step. (c) 2006 Elsevier B.V. All rights reserved.

An investigation of pile diameter influence in the bearing capacity on Dynamic Load Test (DLT)

During the construction of five residential buildings in the city of Taubate, State of São Paulo, it was possible to carry out one comprehensive investigation of the behavior of precast concrete piles in clay shales. This paper describes the results of Dynamic Load Tests (DLT's) executed in three piles with different diameters and with the same embedded length. The tests were monitored using the PDA(R) (Pile Driving Analyzer) and the pile top displacement was measured by pencil and paper procedure. From the curves of RMX versus DMX resulted from CASE(R) method, CAPWAPC(R) analyses were made for signals where the maximum mobilized soil resistance was verified. The results were compared with the predicted bearing capacity using the semi-empirical method of Decourt & Quaresma (1978) and Decourt (1982) based on SPT values and the description of the soil profile. Some comments related to the values of quake and damping used for clay shales in the analyses are also presented.

Processing and hygrothermal effects on viscoelastic behavior of glass fiber/epoxy composites

Fiber reinforced epoxy composites are used in a wide variety of applications in the aerospace field. These materials have high specific moduli, high specific strength and their properties can be tailored to application requirements. In order to screening optimum materials behavior, the effects of external environments on the mechanical properties during usage must be clearly understood. The environmental action, such as high moisture concentration, high temperatures, corrosive fluids or ultraviolet radiation (UV), can affect the performance of advanced composites during service. These factors can limit the applications of composites by deteriorating the mechanical properties over a period of time. Properties determination is attributed to the chemical and/or physical damages caused in the polymer matrix, loss of adhesion of fiber/resin interface, and/or reduction of fiber strength and stiffness. The dynamic elastic properties are important characteristics of glass fiber reinforced composites (GRFC). They control the damping behavior of composite structures and are also an ideal tool for monitoring the development of GFRC's mechanical properties during their processing or service. One of the most used tests is the vibration damping. In this work, the measurement consisted of recording the vibration decay of a rectangular plate excited by a controlled mechanism to identify the elastic and damping properties of the material under test. The frequency amplitude were measured by accelerometers and calculated by using a digital method. The present studies have been performed to explore relations between the dynamic mechanical properties, damping test and the influence of high moisture concentration of glass fiber reinforced composites (plain weave). The results show that the E' decreased with the increase in the exposed time for glass fiber/epoxy composites specimens exposed at 80 degrees C and 90% RH. The E' values found were: 26.7, 26.7, 25.4, 24.7 and 24.7 GPa for 0, 15, 30, 45 and 60 days of exposure, respectively. (c) 2005 Springer Science + Business Media, Inc.

Exothermic Behavior, Degree of Conversion, and Viscoelastic Properties of Experimental and Commercially Available Hard Chairside Reline Resins

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The aggressive behavior of Nile tilapia introduced into novel environments with variation in enrichment

Many studies show environmental enrichment is correlated with benefits to captive animals; however, one should not always assume this positive relationship given that enrichment increases the amount of resources that a territorial animal must defend and possibly affects its aggressive dynamics. In this study, we tested if environmental enrichment affects aggressive interactions in the aggressive fish Nile tilapia (Oreochromis niloticus). We compared fights staged between pairs of male tilapia of similar size (= matched in resource holding potential) in a novel arena that was either barren or enriched, to examine whether enrichment enhances territory value in line with theoretical predictions, with the potential for compromised welfare. We evaluated time elapsed until the first attack (latency), frequency of aggressive interactions and fight duration. We detected fight dynamic differences at the pair level. Higher resource value generated increased aggression but had no effect on fight duration or latency. This conclusion is in line with game theory predictions concerning resource value and contradicts the theory that enrichment of the environment will serve welfare purposes. (C) 2010 Elsevier GmbH. All rights reserved.

Spectral analysis of the electromyograph of the erector spinae muscle before and after a dynamic manual load-lifting test

The aim of the present study was to assess the spectral behavior of the erector spinae muscle during isometric contractions performed before and after a dynamic manual load-lifting test carried out by the trunk in order to determine the capacity of muscle to perform this task. Nine healthy female students participated in the experiment. Their average age, height, and body mass (± SD) were 20 ± 1 years, 1.6 ± 0.03 m, and 53 ± 4 kg, respectively. The development of muscle fatigue was assessed by spectral analysis (median frequency) and root mean square with time. The test consisted of repeated bending movements from the trunk, starting from a 45º angle of flexion, with the application of approximately 15, 25 and 50% of maximum individual load, to the stand up position. The protocol used proved to be more reliable with loads exceeding 50% of the maximum for the identification of muscle fatigue by electromyography as a function of time. Most of the volunteers showed an increase in root mean square versus time on both the right (N = 7) and the left (N = 6) side, indicating a tendency to become fatigued. With respect to the changes in median frequency of the electromyographic signal, the loads used in this study had no significant effect on either the right or the left side of the erector spinae muscle at this frequency, suggesting that a higher amount and percentage of loads would produce more substantial results in the study of isotonic contractions.

Variations in dynamic knee valgus and gluteus medius onset timing in non-athletic females related to hormonal changes during the menstrual cycle

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

The role of counterion on the thermotropic phase behavior of DODAB and DODAC vesicles

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Aggregation behavior of aqueous dioctadecyldimethylammonium bromide/monoolein mixtures: A multitechnique investigation on the composition and temperature

A recently described non-viral gene delivery system [dioctadecyldimethylammonium bromide (DODAB)/monoolein (MO)] has been studied in detail to improve knowledge on the interactions between lamellar (DODAB) and non-lamellar-forming (MO) lipids, as a means to enhance their final cell transfection efficiency. Indeed, the morphology, fluidity, and size of these cationic surfactant/neutral lipid mixtures play an important role in the ability of these systems to complex nucleic acids. The different techniques used in this work, namely dynamic light scattering (DLS), fluorescence spectroscopy, differential scanning calorimetry (DSC), cryogenic transmission electron microscopy (cryo-TEM), light microscopy (LM), and surface pressure-area isotherms, allowed fully characterization of the phase behavior and aggregate morphology of DODAB/MO mixtures at different molar ratios. Overall, the results indicate that the final morphology of DODAB/MO aggregates depends on the balance between the tendency of DODAB to form zero-curvature bilayer structures and the propensity of MO to form non-bilayer structures with negative curvature. These results also show that in the MO-rich region, an increase in temperature has a similar effect on aggregate morphology as an increase in MO concentration. (C) 2012 Elsevier B.V. All rights reserved.

On high Q(2) behavior of the pion form factor for transitions gamma*gamma -> pi(0) and gamma*gamma* -> pi(0) within the nonlocal quark-pion model

The behavior of the transition pion form factor for processes gamma (*)gamma --> pi(0) and gamma (*)gamma (*) --> pi(0) at large values of space-like photon momenta is estimated within the nonlocal covariant quark-pion model. It is shown that, in general, the coefficient of the leading asymptotic term depends dynamically on the ratio of the constituent quark mass and the average virtuality of quarks in the vacuum and kinematically on the ratio of photon virtualities. The kinematic dependence of the transition form factor allows us to obtain the relation between the pion light-cone distribution amplitude and the quark-pion vertex function. The dynamic dependence indicates that the transition form factor gamma (*)gamma -->, pi(0) at high momentum transfers is very sensitive to the nonlocality size of nonperturbative fluctuations in the QCD vacuum. (C) 2000 Elsevier B.V. B.V. All rights reserved.

Analytical study of the nonlinear behavior of a shape memory oscillator: Part II-resonance secondary

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)