A habilidade preditiva e os impactos dos choques na política monetária e no câmbio: comparações entre modelos DSGE, VAR e BVAR estimados para o Brasil

Este artigo compara a habilidade preditiva foradaamostra de um modelo DSGE (DynamicStochastic General EquilibriumModel)Novo-Keynesiano, especificado e estimado para o Brasil, com a de um modelo Autorregressivo Vetorial (VAR) e com a de um modelo AutorregressivoVetorial Bayesiano (BVAR). O artigo inova em relação a outros trabalhos similares feitos para o Brasil (Castro et al. (2011) e Caetano e Moura (2013)), ao escolher uma especificação para o modelo DSGE que, ao permitir o uso de um conjunto de informação mais rico, tornou possível computar-se a habilidade preditiva do DSGE a partir de previsões que são,verdadeiramente,previsõesfora da amostra. Ademais, diferentemente de outros artigos que utilizaram dados brasileiros, avalia-se em que medida as respostas das variáveis aos choques na política monetária e no câmbio, obtidas pelo modelo DSGE, se assemelham àquelas de um BVAR estimado através de procedimentos bayesianos desenvolvidos de forma consistente. O modelo DSGE estimado é similar ao utilizado por Justiniano e Preston (2010) e Alpanda (2010). O modelo BVAR foi estimado utilizando uma metodologia semelhante à desenvolvida por Sims e Zha (1998), Waggoner e Zha (2003) e Ramírez, Waggoner e Zha (2007).Os resultados obtidos mostram que o modelo DSGE é capaz de gerar, para algumas variáveis, previsões competitivas em relação às dos outros modelos rivais VAR e BVAR. Além disso, as respostas das variáveis aos choques nas políticas monetária e cambial, nos modelos DSGE e BVAR, são bastante similares.

Serotonin selectively modulates reward value in human decision-making.

Establishing a function for the neuromodulator serotonin in human decision-making has proved remarkably difficult because if its complex role in reward and punishment processing. In a novel choice task where actions led concurrently and independently to the stochastic delivery of both money and pain, we studied the impact of decreased brain serotonin induced by acute dietary tryptophan depletion. Depletion selectively impaired both behavioral and neural representations of reward outcome value, and hence the effective exchange rate by which rewards and punishments were compared. This effect was computationally and anatomically distinct from a separate effect on increasing outcome-independent choice perseveration. Our results provide evidence for a surprising role for serotonin in reward processing, while illustrating its complex and multifarious effects.

Effects of diet, stocking density, and environmental factors on growth, survival, and metamorphosis of Manila clam Ruditapes philippinarum larvae

A series of experiments was conducted to evaluate the effects of diet, stocking density, and environmental factors on growth, survival, and metamorphosis of Manila clam Ruditapes philippinarum larvae. These experiments examined the following factors: diet (Isochrysts spp., Chlorella spp., and a mixture of Isochrysis spp. and Chlorella spp. [ 1: 1 w/w]), stocking density (5, 10, 15, and 20 larvae ml(-1)), light intensity (un-shaded, partially shaded, and fully shaded), water filtration (unfiltered and sand-filtered), water exchange (50% and 100% once every other day, 25%, 50%, and 100% once daily; 50% and 100% twice daily), and the use of substrate (with and without sand as the substrate). Results indicated that Chlorella spp. could replace 50% of Isochrysis spp. as a food source for the Manila clam larvae without affecting growth, survival, and metamorphosis. Larval growth decreased significantly with increasing stocking density. A density of 5-10 larvae ml(-1) appeared to be optimal for normal growth of Manila clam larvae. Neither diet nor stocking density used in the study had a significant effect on larval survival. Under partially shaded (light intensity = 1000-5000 lx) and fully shaded (light intensity <500 lx) conditions, larval growth was significantly faster than under direct sunlight (un-shaded). A water exchange rate of 50% twice daily provided optimum larval growth. Larvae grew significantly faster in the unfiltered water than in the sand-filtered water. Using sand as the substrate in the culture system significantly depressed the metamorphosis rate. The type and particle size of sand used as the substrate did not significantly affect growth and metamorphosis rates of the larvae. (C) 2005 Published by Elsevier B.V.

The financial storms in Vietnam's transition economy: a reasoning on the 1991-2008 period

This study focuses on those substantial changes that characterize the shift of Vietnam’s macroeconomic structures and evolution of micro-structural interaction over an important period of 1991-2008. The results show that these events are completely distinct in terms of (i) Economic nature; (ii) Scale and depth of changes; (iii) Start and end results; and, (iv) Requirement for macroeconomic decisions. The study rejected a suspicion of similarity between the contagion of the Asian financial crisis in 1997-98 and economic chaos in the first half of 2008 (starting from late 2007). The depth, economic settings of, and interconnection between macro choices and micro decisions have all grown up significantly, partly due to a much deeper level of integration of Vietnam into the world’s economy. On the one hand, this phenomenon gives rise to efficiency of macro level policies because the consideration of micro-structural factors within the framework has definitely become increasingly critical. On the other and, this is a unique opportunity for the macroeconomic mechanism of Vietnam to improve vastly, given the context in which the national economy entered an everchanging period under pressures of globalization and re-integration. The authors hope to also open up paths for further empirical verifications and to stress on the fact that macro policies will have, from now on, to be decided in line with changing micro-settings, which specify a market economy and decide the degree of success of any macroeconomic choices.

A Note on Studies of Monetary Policy and Implementation in Vietnam

In this short paper, we have gone through some key results of monetary policy research applied for the Vietnamese economy, over the past 20 years after Doi Moi, together with a few caveats when putting these results in use. We look at different research themes, and suggest that future research make better and more diverse choice of analytic framework, and also put macro and micro-setting connection at work, which appear to likely bring about better and more insightful results for the monetary economics literature in Vietnam.

An examination of the effects of government purchases in an open economy

This paper examines the effects of permanent and transitory changes in government purchases in the context of a model of a small open economy that produces and consumes both traded and nontraded goods. The model incorporates an equilibrium interpretation of the business cycle that emphasizes the responsiveness of agents to intertemporal relative price changes. It is demonstrated that transitory increases in government purchases lead to an appreciation of the real exchange rate and an ambiguous change (although a likely worsening) in the current account, while permanent increases have an ambiguous impact on the real exchange rate and no effect on the current account. When agents do not know whether a given increase in government purchases is permanent or transitory the effect is a weighted average of these separate effects. The weights depend on the relative variances of the transitory and permanent components of government purchases. © 1985.

Fixed versus Flexible: lessons from EMS order Flow

We extend the literature on regime-dependent volatility in two ways. First, our microstructural model provides a qualitatively new explanation. Second, we test implications of our model using Europe's recent shift to rigidly fixed rates (EMS to EMU). In the model, shocks to order flow induce more volatility under flexible rates because the elasticity of speculative demand is (endogenously) low, leading to pronounced portfolio-balance effects. New data on FF/DM transactions show that order flow had persistent effects on the exchange rate before EMU parities were announced. After announcement, the FF/DM rate was decoupled from order flow, as the model predicts.

Quantitative analysis of the reactivity of formate species seen by DRIFTS over a Au/Ce(La)O2 water–gas shift catalyst: First unambiguous evidence of the minority role of formates as reaction intermediates

The reactivity of the species formed at the surface of a Au/Ce(La)O2 catalyst during the water������¢���¯���¿���½���¯���¿���½gas shift (WGS) reaction were investigated by operando diffuse reflectance Fourier transform spectroscopy (DRIFTS) at the chemical steady state during isotopic transient kinetic analyses (SSITKA). The exchanges of the reaction product CO2 and of formate and carbonate surface species were followed during an isotopic exchange of the reactant CO using a DRIFTS cell as a single reactor. The DRIFTS cell was a modified commercial cell that yielded identical reaction rates to that measured over a quartz plug-flow reactor. The DRIFTS signal was used to quantify the relative oncentrations of the surface species and CO2. The analysis of the formate exchange curves between 428 and 493 K showed that at least two levels of reactivity were present. ������¢���¯���¿���½���¯���¿���½Slow formates������¢���¯���¿���½���¯���¿���½ displayed an exchange rate constant 10- to 20-fold slower than that of the reaction product CO2. ������¢���¯���¿���½���¯���¿���½Fast formates������¢���¯���¿���½���¯���¿���½ were exchanged on a time scale similar to that of CO2. Multiple nonreactive readsorption of CO2 took place, accounting for the kinetics of the exchange of CO2(g) and making it impossible to determine the number of active sites through the SSITKA technique. The concentration (in mol g������¢���¯���¿���½���¯���¿���½1) of formates on the catalyst was determined through a calibration curve and allowed calculation of the specific rate of formate decomposition. The rate of CO2 formation was more than an order of magnitude higher than the rate of decomposition of formates (slow + fast species), indicating that all of the formates detected by DRIFTS could not be the main reaction intermediates in the production of CO2. This work stresses the importance of full quantitative analyses (measuring both rate constants and adsorbate concentrations) when investigating the role of adsorbates as potential reaction intermediates, and illustrates how even reactive species seen by DRIFTS may be unimportant in the overall reaction scheme.

Quantitative DRIFTS investigation of possible reaction mechanisms for the water-gas shift reaction on high-activity Pt- and Au-based catalysts

The present work emphasizes the importance of including a full quantitative analysis when in situ operando methods are used to investigate reaction mechanisms and reaction intermediates. The fact that some surface species exchange at a similar rate to the reaction product during isotopic transients is a necessary but not sufficient criterion for participation as a key reaction intermediate. This is exemplified here in the case of highly active low-temperature water-gas shift (WGS) catalysts based on gold and platinum. Operando DRIFTS data, isotopic exchanges, and DRIFTS calibration curves relating the concentration of formate species to the corresponding DRIFTS band intensity were combined to obtain a quantitative measure of the specific rate of formate decomposition. Despite displaying a rapid isotopic exchange rate (sometimes as fast as that of the reaction product CO2), the concentration of formates seen by DRIFTS was found to account for at most only 10% of the CO2 produced under the experimental conditions reported herein. These new results obtained on Au/CeZrO4 and Pt/CeO2 preparations (which are among the most active low-temperature WGS catalysts reported to date), led to the same conclusions regarding the minor role of IR-observable formates as those obtained in the case of less active Au/Ce(La)O-2 and Pt/ZrO2 catalysts. (c) 2007 Elsevier Inc. All rights reserved.

On the Sources of Private Information in FX Markets

We investigate the source of information advantage in inter-dealer FX trading using data on trades and counterparty identities. In liquid dollar exchange rates, information is concentrated among dealers that trade most frequently and specialize their activity in a particular rate. In cross-rates, traders that engage in triangular arbitrage are best informed. Better-informed traders are also located on larger trading floors. In cross-rates, the ability to forecast flows explains all of the advantage of the triangular arbitrageurs. In liquid dollar rates, specialist traders can forecast both order flow and the component of exchange rate changes that is uncorrelated with flow.

Robust Dynamic Pricing Over Infinite Horizon in The Presence of Model Uncertainty( 2* Journal)

This paper studies a problem of dynamic pricing faced by a retailer with limited inventory, uncertain about the demand rate model, aiming to maximize expected discounted revenue over an infinite time horizon. The retailer doubts his demand model which is generated by historical data and views it as an approximation. Uncertainty in the demand rate model is represented by a notion of generalized relative entropy process, and the robust pricing problem is formulated as a two-player zero-sum stochastic differential game. The pricing policy is obtained through the Hamilton-Jacobi-Isaacs (HJI) equation. The existence and uniqueness of the solution of the HJI equation is shown and a verification theorem is proved to show that the solution of the HJI equation is indeed the value function of the pricing problem. The results are illustrated by an example with exponential nominal demand rate.

Determining the Reaeration Coefficient and Hydrodynamic Properties of Rivers Using Inert Gas Tracers

Various contaminants which can be aerobically degraded find their way directly or indirectly into surface water bodies. The reaeration coefficient (K2) characterises the rate at which oxygen can transfer from the atmosphere across the air-water interface following oxygen depletion in a water body. Other mechanisms (like advection, dispersion and transient storage) determine how quickly the contaminants can spread in the water, affecting their spatial and temporal concentrations. Tracer methods involving injection of a gas into the water body have traditionally been used for direct (in-situ) measurement of K2 in a given reach. This paper shows how additional modelling of tracer test results can be used to quantify also hydrodynamic mechanisms (e.g. dispersion and storage exchange coefficients, etc.). Data from three tracer tests conducted in the River Lagan (Northern Ireland) using an inert gas (krypton, Kr) are re-analysed using two solute transport models (ADM, TSM) and an inverse-modelling framework (OTIS-P). Results for K2 are consistent with previously published values for this reach (K2(20)~10-40 d-1). The storage area constituted 30-60% of the main cross-section area and the storage exchange rate was between 2.5×10-3-3.2×10-3s-1. The additional hydrodynamic parameters obtained give insight into transport and dispersion mechanisms within the reach.

Why and how FDI stocks are a biased measure of MNE affiliate activity

Many international business (IB) studies have used foreign direct investment (FDI) stocks to measure the aggregate value-adding activity of multinational enterprises (MNE) affiliates in host countries. We argue that FDI stocks are a biased measure of that activity, because the degree to which they overestimate or underestimate affiliate activity varies systematically with host-country characteristics. First, most FDI into countries that serve as tax havens generate no actual productive activity; thus FDI stocks in such countries overestimate affiliate activity. Second, FDI stocks do not include locally raised external funds, funds widely used in countries with well-developed financial markets or volatile exchange rates, resulting in an underestimation of affiliate activity in such countries. Finally, the extent to which FDI translates into affiliate activity increases with affiliate labor productivity, so in countries where labor is more productive, FDI stocks also result in an underestimation of affiliate activity. We test these hypotheses by first regressing affiliate value-added and affiliate sales on FDI stocks to calculate a country-specific mismatch, and then by regressing this mismatch on a host country's tax haven status, level of financial market development, exchange rate volatility, and affiliate labor productivity. All hypotheses are supported, implying that FDI stocks are a biased measure of MNE affiliate activity, and hence that the results of FDI-data-based studies of such activity need to be reconsidered. [ABSTRACT FROM AUTHOR]

Characterisation of a two-dimensional liquid-filled ion chamber detector array using flattened and unflattened beams for small fields, small MUs and high dose-rates

In this study, the PTW 1000SRS array with Octavius 4D phantom was characterised for FF and FFF beams. MU linearity, field size, dose rate, dose per pulse (DPP) response and dynamic conformal arc treatment accuracy of the 1000SRS array were assessed for 6MV, 6FFF and 10FFF beams using a Varian TrueBeam STx linac. The measurements were compared with a pinpoint IC, microdiamond IC and EBT3 Gafchromic film. Measured dose profiles and FWHMs were compared with film measurements. Verification of FFF volumetric modulated arc therapy (VMAT) clinical plans were assessed using gamma analysis with 3%/3 mm and 2%/2 mm tolerances (10% threshold). To assess the effect of cross calibration dose rate, clinical plans with different dose rates were delivered and analysed. Output factors agreed with film measurements to within 4.5% for fields between 0.5 and 1 cm and within 2.7% for field sizes between 1.5 and 10 cm and were highly correlated with the microdiamond IC detector. Field sizes measured with the 1000SRS array were within 0.5 mm of film measurements. A drop in response of up to 1.8%, 2.4% and 5.2% for 6MV, 6FFF and 10FFF beams respectively was observed with increasing nominal dose rate. With an increase in DPP, a drop of up to 1.7%, 2.4% and 4.2% was observed in 6MV, 6FFF and 10FFF respectively. The differences in dose following dynamic conformal arc deliveries were less than 1% (all energies) from calculated. Delivered VMAT plans showed an average pass percentage of 99.5(±0.8)% and 98.4(±3.4)% with 2%/2 mm criteria for 6FFF and 10FFF respectively. A drop to 97.7(±2.2)% and 88.4(±9.6)% were observed for 6FFF and 10FFF respectively when plans were delivered at the minimum dose rate and calibrated at the maximum dose rate. Calibration using a beam with the average dose rate of the plan may be an efficient method to overcome the dose rate effects observed by the 1000SRS array.