Term structure dynamics and no-arbitrage under the Taylor rule

A determinação da taxa de juros estrutura a termo é um dos temas principais da gestão de ativos financeiros. Considerando a grande importância dos ativos financeiros para a condução das políticas econômicas, é fundamental para compreender a estrutura que é determinado. O principal objetivo deste estudo é estimar a estrutura a termo das taxas de juros brasileiras, juntamente com taxa de juros de curto prazo. A estrutura a termo será modelado com base em um modelo com uma estrutura afim. A estimativa foi feita considerando a inclusão de três fatores latentes e duas variáveis ​​macroeconômicas, através da técnica Bayesiana da Cadeia de Monte Carlo Markov (MCMC).

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

Compliance to law and effectiveness of the rule of law in Brazil

The goal of this paper is to debate the degree of effectiveness of the rule of law in Brazil, through a survey measuring perceptions, attitudes and habits of Brazilians in regard to compliance to law. The survey conducted in Brazil is based on the study conducted by Tom R. Tyler in the United States, entitled Why People Obey the Law? (New Haven, CT: Yale University Press, 1990). The main argument of Tyler´s study is that people obey the law when they believe it’s legitimate, and not because they fear punishment. We test the same argument in Brazil, relying on five indicators: (i) behavior, which depicts the frequency with which respondents declared to have engaged in conducts in disobedience to the law; (ii) instrumentality, measuring perception of losses associated with the violation of the law, specially fear of punishment; (iii) morality, measuring perception of how much is right or wrong to engage in certain conducts in violation of the law; (iv) social control, which measures perception of social disapproval of certain types of behavior in violation of the law, and (v) legitimacy, which measures the perception of respect to the law and to some authorities. Results indicate that fear of sanctions is not the strongest drive in compliance to law, but more than legitimacy, indicators of morality and social control are the strongest in explaining why people obey the law in Brazil.

A QCD sum rule approach to the charmonium - pion cross section

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

Drude's model calculation rule on electrical transport in Sb-doped SnO2 thin films, deposited via sol-gel

The evaluation of free carrier concentration based on Drude's theory can be performed by the use of optical transmittance in the range 800-2000 nm (near infrared) for Sb-doped SnO2 thin films. In this article, we estimate the free carrier concentration for these films, which are deposited via sol-gel dip-coating. At approximately 900 mn, there is a separation among transmittance curves of doped and undoped samples. The plasma resonance phenomena approach leads to free carrier concentration of about 5 x 1020 cm(-3). The increase in the Sb concentration increases the film conductivity; however, the magnitude of measured resistivity is still very high. The only way to combine such a high free carrier concentration with a rather low conductivity is to have a very low mobility. It becomes possible when the crystallite dimensions are taken into account. We obtain grains with 5 nm of average size by estimating the grain size from X-ray diffraction data, and by using line broadening in the diffraction pattern. The low conductivity is due to very intense scattering at the grain boundary, which is created by the presence of a large amount of nanoscopic crystallites. Such a result is in accordance with X-ray photoemission spectroscopy data that pointed to Sb incorporation proportional to the free electron concentration, evaluated according to Drude's model. (c) 2006 Elsevier Ltd. All rights reserved.

PRACTICAL LAND GRADING BASED ON LEAST SQUARES.

Practical methods for land grading design of a plane surface for rectangular and irregularly shaped fields based on a least squares analysis are presented. The least squares procedure leads to a system of three linear equations with three unknowns for determination of the best-fit plane. The equations can be solved by determinants (Cramer's rule) using a procedure capable of solution by many programmable calculators. The detailed computational process for determining the equation of the plane and a simple method to find the centroid location of an irregular field are also given. An illustrative example and design instructions are included to demonstrate the application of the design procedure.

Variable structure control of switched systems based on Lyapunov-Metzler-SPR systems

This paper presents two Variable Structure Controllers (VSC) for continuous-time switched plants. It is assumed that the state vector is available for feedback. The proposed control system provides a switching rule and also the variable structure control input. The design is based on Lyapunov-Metzler (LM) inequalities and also on Strictly Positive Real (SPR) systems stability results. The definition of Lyapunov-Metzler-SPR (LMS) systems and its direct application in the design of VSC for switched systems are introduced in this paper. Two examples illustrate the design of the proposed VSC, considering a plant given by a switched system with a switched-state control law and two linear time-invariant systems, that are not controllable and also can not be stabilized with state feedback. ©2008 IEEE.

Optimal clone identifier based on dynamic rules and process algebra

The rule creation to clone selection in different projects is a hard task to perform by using traditional implementations to control all the processes of the system. The use of an algebraic language is an alternative approach to manage all of system flow in a flexible way. In order to increase the power of versatility and consistency in defining the rules for optimal clone selection, this paper presents the software OCI 2 in which uses process algebra in the flow behavior of the system. OCI 2, controlled by an algebraic approach was applied in the rules elaboration for clone selection containing unique genes in the partial genome of the bacterium Bradyrhizobium elkanii Semia 587 and in the whole genome of the bacterium Xanthomonas axonopodis pv. citri. Copyright© (2009) by the International Society for Research in Science and Technology.

The comparative advantage fallacy and a rule for convergence

Includes bibliography

Trait contributions to fish community assembly emerge from trophic interactions in an individual-based model

Community ecology seeks to understand and predict the characteristics of communities that can develop under different environmental conditions, but most theory has been built on analytical models that are limited in the diversity of species traits that can be considered simultaneously. We address that limitation with an individual-based model to simulate assembly of fish communities characterized by life history and trophic interactions with multiple physiological tradeoffs as constraints on species performance. Simulation experiments were carried out to evaluate the distribution of 6 life history and 4 feeding traits along gradients of resource productivity and prey accessibility. These experiments revealed that traits differ greatly in importance for species sorting along the gradients. Body growth rate emerged as a key factor distinguishing community types and defining patterns of community stability and coexistence, followed by egg size and maximum body size. Dominance by fast-growing, relatively large, and fecund species occurred more frequently in cases where functional responses were saturated (i.e. high productivity and/or prey accessibility). Such dominance was associated with large biomass fluctuations and priority effects, which prevented richness from increasing with productivity and may have limited selection on secondary traits, such as spawning strategies and relative size at maturation. Our results illustrate that the distribution of species traits and the consequences for community dynamics are intimately linked and strictly dependent on how the benefits and costs of these traits are balanced across different conditions. © 2012 Elsevier B.V.

Allometry for Sexual Size Dimorphism in Stoneflies Defies the Rensch's Rule

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The Phycodnaviridae: The Story of How Tiny Giants Rule the World

The family Phycodnaviridae encompasses a diverse and rapidly expanding collection of large icosahedral, dsDNA viruses that infect algae. These lytic and lysogenic viruses have genomes ranging from 160 to 560 kb. The family consists of six genera based initially on host range and supported by sequence comparisons. The family is monophyletic with branches for each genus, but the phycodnaviruses have evolutionary roots that connect them with several other families of large DNA viruses, referred to as the nucleocytoplasmic large DNA viruses (NCLDV).The phycodnaviruses have diverse genome structures, some with large regions of noncoding sequence and others with regions of ssDNA. The genomes of members in three genera in the Phycodnaviridae have been sequenced. The genome analyses have revealed more than 1000 unique genes, with only 14 homologous genes in common among the three genera of phycodnaviruses sequenced to date. Thus, their gene diversity far exceeds the number of so-called core genes. Not much is known about the replication of these viruses, but the consequences of these infections on phytoplankton have global affects, including influencing geochemical cycling and weather patterns.

The pulmonary embolism rule-out criteria (PERC) rule does not safely exclude pulmonary embolism

The Pulmonary Embolism Rule-out Criteria (PERC) rule is a clinical diagnostic rule designed to exclude pulmonary embolism (PE) without further testing. We sought to externally validate the diagnostic performance of the PERC rule alone and combined with clinical probability assessment based on the revised Geneva score.

Diagnostic performance of line-immunoassay based algorithms for incident HIV-1 infection

Background Serologic testing algorithms for recent HIV seroconversion (STARHS) provide important information for HIV surveillance. We have previously demonstrated that a patient's antibody reaction pattern in a confirmatory line immunoassay (INNO-LIA™ HIV I/II Score) provides information on the duration of infection, which is unaffected by clinical, immunological and viral variables. In this report we have set out to determine the diagnostic performance of Inno-Lia algorithms for identifying incident infections in patients with known duration of infection and evaluated the algorithms in annual cohorts of HIV notifications. Methods Diagnostic sensitivity was determined in 527 treatment-naive patients infected for up to 12 months. Specificity was determined in 740 patients infected for longer than 12 months. Plasma was tested by Inno-Lia and classified as either incident (< = 12 m) or older infection by 26 different algorithms. Incident infection rates (IIR) were calculated based on diagnostic sensitivity and specificity of each algorithm and the rule that the total of incident results is the sum of true-incident and false-incident results, which can be calculated by means of the pre-determined sensitivity and specificity. Results The 10 best algorithms had a mean raw sensitivity of 59.4% and a mean specificity of 95.1%. Adjustment for overrepresentation of patients in the first quarter year of infection further reduced the sensitivity. In the preferred model, the mean adjusted sensitivity was 37.4%. Application of the 10 best algorithms to four annual cohorts of HIV-1 notifications totalling 2'595 patients yielded a mean IIR of 0.35 in 2005/6 (baseline) and of 0.45, 0.42 and 0.35 in 2008, 2009 and 2010, respectively. The increase between baseline and 2008 and the ensuing decreases were highly significant. Other adjustment models yielded different absolute IIR, although the relative changes between the cohorts were identical for all models. Conclusions The method can be used for comparing IIR in annual cohorts of HIV notifications. The use of several different algorithms in combination, each with its own sensitivity and specificity to detect incident infection, is advisable as this reduces the impact of individual imperfections stemming primarily from relatively low sensitivities and sampling bias.

Model Evaluation Based on the Distribution of Estimated Absolute Prediction Error

The construction of a reliable, practically useful prediction rule for future response is heavily dependent on the "adequacy" of the fitted regression model. In this article, we consider the absolute prediction error, the expected value of the absolute difference between the future and predicted responses, as the model evaluation criterion. This prediction error is easier to interpret than the average squared error and is equivalent to the mis-classification error for the binary outcome. We show that the distributions of the apparent error and its cross-validation counterparts are approximately normal even under a misspecified fitted model. When the prediction rule is "unsmooth", the variance of the above normal distribution can be estimated well via a perturbation-resampling method. We also show how to approximate the distribution of the difference of the estimated prediction errors from two competing models. With two real examples, we demonstrate that the resulting interval estimates for prediction errors provide much more information about model adequacy than the point estimates alone.