Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Regras monetárias e restrição fiscal : uma análise da política de metas para a inflação no Brasil

Neste trabalho desenvolve-se um modelo de expectativas racionais baseado no paper de Batini e Haldane (1999) com o propósito de avaliar se as regras monetárias derivadas sob o regime de metas para a inflação podem ser adaptadas para corrigir desvios explosivos da dívida pública. Em países emergentes, estes desvios são um dos principais responsáveis pelas recentes crises. Através da endogeneização do prêmio de risco e a definição de uma regra de decisão aumentada para o banco central, permite-se caracterizar a dinâmica de curto e longo prazo da relação dívida-PIB sob diversas óticas. Os resultados mostram que apesar da potencial solvência de longo prazo, a dívida ainda pode gerar preocupações no curto prazo, mesmo se o banco central considerar na sua reação de política problemas com a administração da dívida e atuar com base na previsão de inflação.

Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais

Neste artigo estimamos e simulamos um modelo macroeconômico aberto de expectativas racionais (Batini e Haldane [4]) para a economia brasileira, com o objetivo de identificar as características das regras monetárias ótimas e a dinâmica de curto prazo gerada por elas. Trabalhamos com uma versão forward-Iooking e uma versão backward-Iooking a fim de comparar o desempenho de três parametrizações de regras monetárias, que diferem em relação à variável de inflação: a tradicional regra de Taylor, que se baseia na inflação passada; uma regra que combina inflação e taxa de câmbio real (ver Ball [5]) e uma regra que utiliza previsões de inflação (ver Bank af England [3]). Resolvemos o modelo numericamente e contruímos fronteiras eficientes em relação às variâncias do produto e da infiação por simulações estocásticas, para choques i.i.d. ou correlacionados. Os conjuntos de regras ótimas para as duas versões são qualitativamente distintos. Devido à incerteza quanto ao grau de forward-Iookingness sugerimos a escolha das regras pela soma das funções objetivos nas duas versões. Concluímos que as regras escolhidas com base neste critério têm perdas moderadas em relação às regras ótimas, mas previnem perdas maiores que resultariam da escolha da regra com base na versão errada. Finalmente calculamos funções de resposta a impulso dos dois modelos para algumas regras selecionadas, a fim de avaliar como diferentes regras monetárias alteram a dinâmica de curto prazo dos dois modelos.

Fragmentos de complexidade aplicados ao mercado financeiro

O aumento da complexidade do mercado financeiro tem sido relatado por Rajan (2005), Gorton (2008) e Haldane e May (2011) como um dos principais fatores responsáveis pelo incremento do risco sistêmico que culminou na crise financeira de 2007/08. O Bank for International Settlements (2013) aborda a questão da complexidade no contexto da regulação bancária e discute a comparabilidade da adequação de capital entre os bancos e entre jurisdições. No entanto, as definições dos conceitos de complexidade e de sistemas adaptativos complexos são suprimidas das principais discussões. Este artigo esclarece alguns conceitos relacionados às teorias da Complexidade, como se dá a emergência deste fenômeno, como os conceitos podem ser aplicados ao mercado financeiro. São discutidas duas ferramentas que podem ser utilizadas no contexto de sistemas adaptativos complexos: Agent Based Models (ABMs) e entropia e comparadas com ferramentas tradicionais. Concluímos que ainda que a linha de pesquisa da complexidade deixe lacunas, certamente esta contribui com a agenda de pesquisa econômica para se compreender os mecanismos que desencadeiam riscos sistêmicos, bem como adiciona ferramentas que possibilitam modelar agentes heterogêneos que interagem, de forma a permitir o surgimento de fenômenos emergentes no sistema. Hipóteses de pesquisa são sugeridas para aprofundamento posterior.

Stanley Lloyd Miller e a origem da vida: uma possibilidade para o estudo da natureza da ciência

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A origem da vida: por entre estudos e saberes escolares

Este trabalho foi proposto baseado na relevância do tema a origem da vida para uma nova abordagem de sala de aula de forma que os alunos poderiam estar mais perto da proposta de entender como funciona a ciência e de forma que o aprendizado pode ser diferenciado para a aprendizagem comum. As ciências biológicas passaram por muito tempo a mercê de teorias de que a origem da vida era algo natural do nosso planeta, ou seja, a origem de um novo ser sem ter vindo a partir de outro. No entanto com vários experimentos com destaque ao de Oparin, já com o conhecimento de microorganismo, se provou que a origem da vida não surgia tão facilmente como se esperava. A partir da quebra desse paradigma houve um crescente desenvolvimento de experimentos que comprovaram que vários compostos importantes para a vida se formaria naturalmente numa Terra primitiva. No entanto há muita controversa de como a vida de fato teria surgido, dividindo opiniões de forma que a apresentação de uma gama de possibilidades para origem da vida é a melhor forma de apresentar um tema com teorias não comprovadas ou contestadas. “O CADERNO DO ALUNO” E O “CADERNO DO PROFESSOR” ambos de biologia, fazem luz uma grande possibilidade de desenvolvimento de uma aula que foge a do cotidiano, com discussões e possibilidade de se conhecer a ciência. Entretanto, verificou-se que a falta de conhecimento prévio pode ser um empecilho para uma discussão apurada e que se deve tomar cuidado nessa discussão para não ferir a concepção de cada aluno. Muito do se pede no Currículo do Estado de São Paulo para o professor desenvolver também contempla uma grande possibilidade de desenvolvimento do tema com foco em saídas do campo, prática e envolvimento com toda a escola de forma que o tema poderia ser eficaz de maneira diferencial de um tema proposto para o terceiro ano do ensino médio. As aulas do tema descritas mostram a importância de um número maior de educadores ser...

The Genomes of Recombinant Inbred Lines: The Gory Details

Recombinant inbred lines (RILs) can serve as powerful tools for genetic mapping. Recently, members of the Complex Trait Consortium have proposed the development of a large panel of eight-way RILs in the mouse, derived from eight genetically diverse parental strains. Such a panel would be a valuable community resource. The use of such eight-way RILs will require a detailed understanding of the relationship between alleles at linked loci on an RI chromosome. We extend the work of Haldane and Waddington (1931) on twoway RILs and describe the map expansion, clustering of breakpoints, and other features of the genomes of multiple-strain RILs as a function of the level of crossover interference in meiosis. In this technical report, we present all of our results, in their gory detail. We don’t intend to include such details in the final publication, but want to present them here for those who might be interested.

Polymorphisms, linkage and mapping of four enzyme loci in the fish genus Xiphophorus (Poeciliidae).

Electrophoretic variants at four additional enzyme loci--two esterases (Est-2, Est-3), retinal lactate dehydrogenase (LDH-1) and mannose phosphate isomerase (MPI)--among three species and four subspecies of fish of the genus Xiphophorus were observed. Electrophoretic patterns in F1 hybrid heterozygotes confirmed the monomeric structures of MPI and the esterase and the tetrametric structure of LDH in these fishes. Variant alleles of all four loci displayed normal Mendelian segregation in backcross and F2 hybrids. Recombination data from backcross hybrids mapped with Haldane's mapping function indicate the four loci to be linked as Est-2--0.43--Est3--0.26--LDH-1--0.19--MPI. Significant interference was detected and apparently concentrated in the Est-3 to MPI region. No significant sex-specific differences in recombination were observed. This group (designated linkage group II) was shown to assort independently from the three loci of linkage group I (adenosine deaminase, glucose-6-phosphate dehydrogenase, and 6-phosphogluconate dehydrogenase) and from glyceraldehyde-3-phosphate dehydrogenase and two isocitrate dehydrogenase loci. Evidence for conservation of the linkage group, at least in part, in other vertebrate species is presented.

Estimation of male-to-female ratios of mutation rate in primates and rodents

Haldane (1935) developed a method for estimating the male-to-female ratio of mutation rate ($\alpha$) by using sex-linked recessive genetic disease, but in six different studies using hemophilia A data the estimates of $\alpha$ varied from 1.2 to 29.3. Direct genomic sequencing is a better approach, but it is laborious and not readily applicable to non-human organisms. To study the sex ratios of mutation rate in various mammals, I used an indirect method proposed by Miyata et al. (1987). This method takes advantage of the fact that different chromosomes segregate differently between males and females, and uses the ratios of mutation rate in sequences on different chromosomes to estimate the male-to-female ratio of mutation rate. I sequenced the last intron of ZFX and ZFY genes in 6 species of primates and 2 species of rodents; I also sequenced the partial genomic sequence of the Ube1x and Ube1y genes of mice and rats. The purposes of my study in addition to estimation of $\alpha$'s in different mammalian species, are to test the hypothesis that most mutations are replication dependent and to examine the generation-time effect on $\alpha$. The $\alpha$ value estimated from the ZFX and ZFY introns of the six primate specise is ${\sim}$6. This estimate is the same as an earlier estimate using only 4 species of primates, but the 95% confidence interval has been reduced from (2, 84) to (2, 33). The estimate of $\alpha$ in the rodents obtained from Zfx and Zfy introns is ${\sim}$1.9, and that deriving from Ube1x and Ube1y introns is ${\sim}$2. Both estimates have a 95% confidence interval from 1 to 3. These two estimates are very close to each other, but are only one-third of that of the primates, suggesting a generation-time effect on $\alpha$. An $\alpha$ of 6 in primates and 2 in rodents are close to the estimates of the male-to-female ratio of the number of germ-cell divisions per generation in humans and mice, which are 6 and 2, respectively, assuming the generation time in humans is 20 years and that in mice is 5 months. These findings suggest that errors during germ-cell DNA replication are the primary source of mutation and that $\alpha$ decreases with decreasing length of generation time. ^

Major histocompatibility complex class II DR alleles DRB1*1501 and those encoding HLA-DR13 are preferentially associated with a diminution in maternally transmitted human immunodeficiency virus 1 infection in different ethnic groups: determination by an automated sequence-based typing method.

Transmission of human immunodeficiency virus 1 (HIV-1) from an infected women to her offspring during gestation and delivery was found to be influenced by the infant's major histocompatibility complex class II DRB1 alleles. Forty-six HIV-infected infants and 63 seroreverting infants, born with passively acquired anti-HIV antibodies but not becoming detectably infected, were typed by an automated nucleotide-sequence-based technique that uses low-resolution PCR to select either the simpler Taq or the more demanding T7 sequencing chemistry. One or more DR13 alleles, including DRB1*1301, 1302, and 1303, were found in 31.7% of seroreverting infants and 15.2% of those becoming HIV-infected [OR (odds ratio) = 2.6 (95% confidence interval 1.0-6.8); P = 0.048]. This association was influenced by ethnicity, being seen more strongly among the 80 Black and Hispanic children [OR = 4.3 (1.2-16.4); P = 0.023], with the most pronounced effect among Black infants where 7 of 24 seroreverters inherited these alleles with none among 12 HIV-infected infants (Haldane OR = 12.3; P = 0.037). The previously recognized association of DR13 alleles with some situations of long-term nonprogression of HIV suggests that similar mechanisms may regulate both the occurrence of infection and disease progression after infection. Upon examining for residual associations, only only the DR2 allele DRB1*1501 was associated with seroreversion in Caucasoid infants (OR = 24; P = 0.004). Among Caucasoids the DRB1*03011 allele was positively associated with the occurrence of HIV infection (P = 0.03).

Critical behavior of su(1|1) supersymmetric spin chains with long-range interactions

We introduce a general class of su(1|1) supersymmetric spin chains with long-range interactions which includes as particular cases the su(1|1) Inozemtsev (elliptic) and Haldane-Shastry chains, as well as the XX model. We show that this class of models can be fermionized with the help of the algebraic properties of the su(1|1) permutation operator and take advantage of this fact to analyze their quantum criticality when a chemical potential term is present in the Hamiltonian. We first study the low-energy excitations and the low-temperature behavior of the free energy, which coincides with that of a (1+1)-dimensional conformal field theory (CFT) with central charge c=1 when the chemical potential lies in the critical interval (0,E(π)), E(p) being the dispersion relation. We also analyze the von Neumann and Rényi ground state entanglement entropies, showing that they exhibit the logarithmic scaling with the size of the block of spins characteristic of a one-boson (1+1)-dimensional CFT. Our results thus show that the models under study are quantum critical when the chemical potential belongs to the critical interval, with central charge c=1. From the analysis of the fermion density at zero temperature, we also conclude that there is a quantum phase transition at both ends of the critical interval. This is further confirmed by the behavior of the fermion density at finite temperature, which is studied analytically (at low temperature), as well as numerically for the su(1|1) elliptic chain.

Spontaneous persistent currents in a quantum spin Hall insulator

We present a mechanism for persistent charge current. Quantum spin Hall insulators hold dissipationless spin currents in their edges so that, for a given spin orientation, a net charge current flows which is exactly compensated by the counterflow of the opposite spin. Here we show that ferromagnetic order in the edge upgrades the spin currents into persistent charge currents without applied fields. For that matter, we study the Hubbard model including Haldane-Kane-Mele spin-orbit coupling in a zigzag ribbon and consider the case of graphene. We find three electronic phases with magnetic edges that carry currents reaching 0.4 nA, comparable to persistent currents in metallic rings, for the small spin-orbit coupling in graphene. One of the phases is a valley half metal.