Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.

Merluccius hubbsi (Teleostei: Merlucciidae): stock identification based on reproductive biology in the south-southeast brazilian region

The Argentine hake, Merluccius hubbsi, a demersal-pelagic species found from Rio de Janeiro, Brazil to the Tierra del Fuego, Argentina, has become an important target of the Brazilian bottom-trawler fleet since 2001. Earlier studies focusing on the species have suggested that more than one stock might occur off the Brazilian coast, in accordance with environmental features. In order to evaluate this hypothesis, fish were collected from four different areas in the Brazilian waters in which the hake is distributed, during the summers and winters of 1996-2001 and 2004, the females being used to analyze and compare spatial-temporal variations in ovarian maturation. Gonad indexes were also applied for the same purpose. Results indicate a north-south spawning gradient occurring as from summer at around 21°S to winter near 34°S, leading to the identification of two distinct stocks: one located between 21°S and 29°S (Southeastern stock) and the other between 29°S and 34°S (Southern stock), this latter shared with Uruguay and Argentina. Brazilian stocks present clear signs of overexploitation, the situation calling for an urgent solution.

Evaluation of laser induced breakdown spectrometry for the determination of macro and micronutrients in pharmaceutical tablets

The aim of this work is to demonstrate the feasibility of laser induced breakdown spectrometry (LIBS) for the determination of macro and micronutrients in multielement tablets. The experimental setup was designed by using a laser Q-switch (Nd:YAG, 10 Hz, lambda = 1064 nm) and the emission signals were collected by lenses into an optical fiber coupled to an echelle spectrometer equipped with a high-resolution intensified charge coupled device (ICCD). Tablets were cryogenically ground and thereafter pelletized before LIBS analysis. Calibration curves were made by employing samples and mixtures of commercial multielement tablets with binders at different ratios. Best results were achieved by using the following experimental conditions: 29 J cm(-2) laser fluence, 165 mm lens to sample distance (f = 200 mm), 2.0 mu s delay time, 5.0 mu s integration time and 5 accumulated laser pulses. In general, the results obtained by the proposed LIBS procedure were in agreement with those obtained by ICP OES from the corresponding acid digests and coefficients variation of LIBS measurements varied from 2 to 16%. The metrological figures of merit indicate that LIBS fits for the intended purposes, and can be recommended for the analysis of multielement tablets and similar matrices aiming the determination of Ca, Cu, Fe, Mg, Mn, P and Zn.

Optimization and validation of a LIBS method for the determination of macro and micronutrients in sugar cane leaves

Laser induced breakdown spectrometry (LIBS) was applied for the determination of macro (P, K, Ca, Mg) and micronutrients (B, Cu, Fe, Mn and Zn) in sugar cane leaves, which is one of the most economically important crops in Brazil. Operational conditions were previously optimized by a neuro-genetic approach, by using a laser Nd:YAG at 1064 nm with 110 mJ per pulse focused on a pellet surface prepared with ground plant samples. Emission intensities were measured after 2.0 mu s delay time, with 4.5 mu s integration time gate and 25 accumulated laser pulses. Measurements of LIBS spectra were based on triplicate and each replicate consisted of an average of ten spectra collected in different sites (craters) of the pellet. Quantitative determinations were carried out by using univariate calibration and chemometric methods, such as PLSR and iPLS. The calibration models were obtained by using 26 laboratory samples and the validation was carried out by using 15 test samples. For comparative purpose, these samples were also microwave-assisted digested and further analyzed by ICP OES. In general, most results obtained by LIBS did not differ significantly from ICP OES data by applying a t-test at 95% confidence level. Both LIBS multivariate and univariate calibration methods produced similar results, except for Fe where better results were achieved by the multivariate approach. Repeatability precision varied from 0.7 to 15% and 1.3 to 20% from measurements obtained by multivariate and univariate calibration, respectively. It is demonstrated that LIBS is a powerful tool for analysis of pellets of plant materials for determination of macro and micronutrients by choosing calibration and validation samples with similar matrix composition.

Finite element homogenization technique for the characterization of d(15) shear piezoelectric macro-fibre composites

A finite element homogenization method for a shear actuated d(15) macro-fibre composite (MFC) made of seven layers (Kapton, acrylic, electrode, piezoceramic fibre and epoxy composite, electrode, acrylic, Kapton) is proposed and used for the characterization of its effective material properties. The methodology is first validated for the MFC active layer only, made of piezoceramic fibre and epoxy, through comparison with previously published analytical results. Then, the methodology is applied to the seven-layer MFC. It is shown that the packaging reduces significantly the shear stiffness of the piezoceramic material and, thus, leads to significantly smaller effective electromechanical coupling coefficient k(15) and piezoelectric stress constant e(15) when compared to the piezoceramic fibre properties. However, it is found that the piezoelectric charge constant d(15) is less affected by the softer layers required by the MFC packaging.

Macro-Fiber Composite Actuators for Flow Control of a Variable Camber Airfoil

This research employs solid-state actuators for delay of flow separation seen in airfoils at low Reynolds numbers. The flow control technique investigated here is aimed for a variable camber airfoil that employs two active surfaces and a single four-bar (box) mechanism as the internal structure. To reduce separation, periodic excitation to the flow around the leading edge of the airfoil is induced by a total of nine piezocomposite actuated clamped-free unimorph benders distributed in the spanwise direction. An electromechanical model is employed to design an actuator capable of high deformations at the desired frequency for lift improvement at post-stall angles. The optimum spanwise distribution of excitation for increasing lift coefficient is identified experimentally in the wind tunnel. A 3D (non-uniform) excitation distribution achieved higher lift enhancement in the post-stall region with lower power consumption when compared to the 2D (uniform) excitation distribution. A lift coefficient increase of 18.4% is achieved with the identified non-uniform excitation mode at the bender resonance frequency of 125 Hz, the flow velocity of 5 m/s and at the reduced frequency of 3.78. The maximum lift (Clmax) is increased 5.2% from the baseline. The total power consumption of the flow control technique is 639 mW(RMS).

Macro-botanical evidence for plant use at Neolithic Catalhoyuk, south-central Anatolia, Turkey

Analysis of charred plant macro-remains, including wood charcoals, cereals, seeds, tubers and fruits from the Neolithic site of Catalhoyuk has indicated complex patterns of plant resource use and exploitation in the Konya plain during the early Holocene. Evidence presented in this paper shows that settlement location was not dictated by proximity to high quality arable land and direct access to arboreal resources (firewood, timber, fruit producing species). A summary of the patterns observed in sample composition and species representation is outlined here together with preliminary interpretations of these results within their broader regional context.

Qualitative assessment of stock prices listed on the Sao Paulo stock exchange: An approach from the perspective of homogeneity analysis

The stock market suffers uncertain relations throughout the entire negotiation process, with different variables exerting direct and indirect influence on stock prices. This study focuses on the analysis of certain aspects that may influence these values offered by the capital market, based on the Brazil Index of the Sao Paulo Stock Exchange (Bovespa), which selects 100 stocks among the most traded on Bovespa in terms of number of trades and financial volume. The selected variables are characterized by the companies` activity area and the business volume in the month of data collection, i.e. April/2007. This article proposes an analysis that joins the accounting view of the stock price variables that can be influenced with the use of multivariate qualitative data analysis. Data were explored through Correspondence Analysis (Anacor) and Homogeneity Analysis (Homals). According to the research, the selected variables are associated with the values presented by the stocks, which become an internal control instrument and a decision-making tool when it comes to choosing investments.

Movement and stock structure of narrow-barred Spanish mackerel as indicated by parasites

Data from permanent parasites (juvenile trypanorhynchs and anisakids) indicated that Spanish mackerel Scomberomorus commerson from four sites on the west coast of Australia, Abrolhos, Shark Bay, Exmouth and Onslow, intermingled and were probably all drawn from the same stock. Fish from Broome, Kupang (Indonesia), Groote Eylandt-Torres Strait and the cast coast of Australia had distinct faunas of permanent parasites and probably each belonged to a different stock. There was evidence of movement of fish between Broome and the west coast. Abundances of temporary parasites (gill copepods and monogeneans) suggested that males and females on the west coast migrated separately because in several cases the parasite fauna of one sex was more similar to that of fish in an adjacent area than to the opposite sex in the same area. (C) 2001 The Fisheries Society of the British Isles.

Demography of bridled nailtail wallabies translocated to the edge of their former range from captive and wild stock

Despite numerous, generally unsuccessful attempts to reintroduce threatened Australian mammals, the factors leading to their failure have not been fully clarified, although predator control would appear to be of paramount importance. An experimental approach was taken in attempting to establish a population of bridled nailtail wallabies ih an area of apparently suitable habitat and low fox density, but on the edge of the species' former range. The 133 wallabies released since late 1996 comprised four groups captive-bred animals, wild caught from the single remaining wild population, animals that were captive bred and acclimatised at the translocation site in a 10 ha predator-proof enclosure, and animals which had been bred in the enclosure. Survival was highest in those bred in the enclosure and highly variable among captive-bred animals. Survival estimates for wild recruits suggested the population would maintain a positive rate of increase under prevailing environmental conditions. Spotlighting surveys suggested the population had increased to approximately 400 animals by late 1999. Above average rainfall during 1996-1999 and no apparent predation suggests caution in describing the translocation as a success. Ongoing monitoring is critical, because it A uncertain ho v the population will cope with drought and inevitable predation events, and whether the population will expand and persist outside of limited preferred habitat. (C) 2001 Elsevier Science Ltd. All rights reserved.

Gas permeation in silicon-oxide/polymer (SiOx/PET) barrier films: role of the oxide lattice, nano-defects and macro-defects

We propose a model for permeation in oxide coated gas barrier films. The model accounts for diffusion through the amorphous oxide lattice, nano-defects within the lattice, and macro-defects. The presence of nano-defects indicate the oxide layer is more similar to a nano-porous solid (such as zeolite) than silica glass with respect to permeation properties. This explains why the permeability of oxide coated polymers is much greater, and the activation energy of permeation much lower, than values expected for polymers coated with glass. We have used the model to interpret permeability and activation energies measured for the inert gases (He, Ne and Ar) in evaporated SiOx films of varying thickness (13-70 nm) coated on a polymer substrate. Atomic force and scanning electron microscopy were used to study the structure of the oxide layer. Although no defects could be detected by microscopy, the permeation data indicate that macro-defects (>1 nm), nano-defects (0.3-0.4 nm) and the lattice interstices (<0.3 nm) all contribute to the total permeation. (C) 2002 Elsevier Science B.V. All rights reserved.

The relative importance of domestic and global factors in explaining Australian stock returns

In this study, we explore the relative importance of the several documented factors in explaining the behaviour of stock returns for a sample of 157 Australian companies over the period 1993–9. In line with prior evidence, we contend that the influence of global (market, industry and currency) factors is related to the extent of a firm's international activity. We find that Australian firms are in large part impacted by domestic factors with the level of sensitivity declining as the level of international activity increases. In contrast to prior literature, we also show that Australian firm returns are related to regional market, global industry and currency factors and the firm's sensitivity to these factors is an increasing function of its level of international activities.