Time-variations in commodity price jumps

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic volatility jump–diffusion model to capture this seasonal variation. Applying the Markov Chain Monte Carlo (MCMC) methodology, we estimate our model using 20 years of futures data from four different commodity markets. We find strong statistical evidence to suggest that our model with seasonal jump intensity outperforms models featuring a constant jump intensity. To demonstrate the practical relevance of our findings, we show that our model typically improves Value-at-Risk (VaR) forecasts.

Variation on the effects of the 2003 CAP reform and regional differences in the Italian olive oil sector

This paper analyses the impacts of the 2003 CAP reform on the production of Italian olive oil controlling for the regional differences in olive oil production as well as for the differences between years. Italian olive oil production time series data from the Farm Accountancy Data Network for the 2000-2010 period at regional level is used to examine the effect of the 2003 Fischler reform on the production of olive oil. Production costs and payments received by farmers to support their income are considered. The data were collected at micro level based on a sample of farms representative of the production systems in the country. In order to consider the differences in production among the regions, eight representative regions in terms of surveyed farms are considered: Liguria, Toscana, Umbria, Lazio, Campania, Calabria, Puglia and Sicilia. We found that the most important factors affecting the production of olive oil are the area under olive groves and labour productivity. Results also show no evidence that the level of payments have an impact to the level of production, however, the type of payments has. Future work should explore the impact of the 2003 reform into the technical and production efficiency of the Italian olive oil farmers. It would be interesting to link the measures introduced by the cross compliance and the management practices of the different farms to have a more complete picture of the various parameters influencing the production of olive oil.

Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

A time-varying markov-switching model for economic growth

This paper investigates economic growth’s pattern of variation across and within countries using a Time-Varying Transition Matrix Markov-Switching Approach. The model developed follows the approach of Pritchett (2003) and explains the dynamics of growth based on a collection of different states, each of which has a sub-model and a growth pattern, by which countries oscillate over time. The transition matrix among the different states varies over time, depending on the conditioning variables of each country, with a linear dynamic for each state. We develop a generalization of the Diebold’s EM Algorithm and estimate an example model in a panel with a transition matrix conditioned on the quality of the institutions and the level of investment. We found three states of growth: stable growth, miraculous growth, and stagnation. The results show that the quality of the institutions is an important determinant of long-term growth, whereas the level of investment has varying roles in that it contributes positively in countries with high-quality institutions but is of little relevance in countries with medium- or poor-quality institutions.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle fluctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major differences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values -β=0.985, and ∅=5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% - the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business- cycle fluctuations are respectively 0.63% and 1.17% of per-capita consumption. The same figures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle uctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major diferences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values = 0:985, and = 5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business-cycle uctuations are respectively 0.63% and 1.17% of per-capita consumption. The same gures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.

Spatio-temporal variation in seed production in three Euphorbia species and the role of animals on seed fate

Comparative studies on the reproductive biology of co-occurring related plant species have provided valuable information for the interpretation of ecological and evolutionary phenomena, with direct application in conservation management of plant populations. The aims of this thesis were to identify the causes of pre-dispersal reproductive losses in three Euphorbia species (the Mediterranean E. characias and the narrow endemics E. pedroi and E. welwitschii) and evaluate the variation of their effects in time, space and between individuals and species. Furthermore, we intended to study elaiosomes’ fatty acid profiles for the three Euphorbia and assess the role played by the elaiosome in ant attraction. Finally, we aimed to identify the major seed dispersal agents for each Euphorbia species in each site and study differences in short term seed fate due to differences in ant behaviour. The results indicated that intact seed production differed significantly between the three Euphorbia, mostly due to differences in cyathia production. Losses to pre-dispersal seed predators were proportionately larger for the endemic species which also suffered higher losses resulting in flower, fruit (in E. welwitschii) and seed abortion (in E. pedroi). The elaiosomes of E. pedroi are poor in fatty acids and for this reason seeds of this species were removed in lower proportion by mutualistic dispersers than those of their congeners, being more prone to seed predation. Two larger ant species – Aphaenogaster senilis and Formica subrufa – were responsible for a larger percentage of removals with seeds being transported at larger distances and being discarded in the vicinity of their nests following elaiosome removal. Our results highlight the role of insect-plant interactions as major determinants of seed survival for the three study plants and call for the need to include more information on insect-plant interactions in plant conservation programmes.

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

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

Spontaneous Interblink Time Distributions in Patients with Graves' Orbitopathy and Normal Subjects

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Seasonal variation in wood formation of Cedrela fissilis (Meliaceae)

Cambial activity and periodicity of secondary xylem formation in Cedrela fissilis, a semi-ring-porous species, were studied. Wood samples were collected periodically from 1996 to 2000. The phenology was related to climate data of the region. The cambium has one active and one dormant period per year. The active period coincides with the wet season when trees leaf-out. The dormant period coincides with the dry season when trees lose their leaves. Growth rings are marked by parenchyma bands that begin to be formed, together with the small latewood vessels, just before the cambium becomes dormant at the beginning of the dry season. These bands are added to when the cambium reactivates in the wet season. At this time, the large earlywood vessels of the growth rings are also formed. As these bands consist of both terminal and initial parenchyma, we suggest the general term marginal bands be used to describe them. The growth layers vary in width among and within the trees.

Longitudinal study of daily variation of rats' behavior in the elevated plus-maze

We conducted a longitudinal study about daily variation of Wistar male rats' behavior in the elevated plus-maze (EPM) evaluated in the 1st, 2nd, 3rd, 6th, 12th, and 18th months of life. Animals were submitted to the plus-maze in 12 sessions at 2-h intervals (n=72, 6 per time point). Spontaneous rest-activity rhythm of four animals was assessed by observation of 24-h videotape records. Time series were analyzed by Cosinor method. Behavioral rates on the six occasions and in light and dark phases were compared by means of two-way ANOVA with repeated measures. Exploratory behavior in EPM was smaller in the light phase and in older animals. Higher values of open and closed arms exploration were observed in the first and third months of the dark phase, and in the first month of the light phase. Adjustment to the 24-h period was significant at all stages for rest-activity data, number of entries in closed arms, and time on center, and for three to five stages for open-arm exploration. In general, 24 h variability was more pronounced in younger animals compared with older ones. The present study showed that: (1) a significant amount of total variability of the behavioral indexes analyzed could be attributed to 24 h variation, (2) light/dark phases differences in EPM exploration were present at all developmental stages, (3) older Wistar rats explored less the EPM and were less active in their home cage compared with younger ones, and (4) behavioral indexes (EPM) decrease was phase related and partially related to a reorganization of rest-activity rhythm. (C) 2003 Elsevier B.V. All rights reserved.

Diurnal variation in transect counts of birds in a cerrado landscape in the state of São Paulo, Brazil

The general statement that birds are recorded more often on morning than on afternoon counts is quite common and widespread among ornithologists. Although many investigators have reported temporal variations in bird detections using Point Counts in temperate regions, few researches regarding the same objectives have been conducted in Neotropical habitats or used transect counts as field method. We used transect counts to test the hypothesis that birds are evenly recorded between times of day in a predominantly open Cerrado landscape in southeastern Brazil. Although not always significantly, the number of species and individuals were consistently greater during the morning counts, which corroborates the fact that birds can be more detectable during this time of day. However, a few families as well as a small percentage of species were more likely to be recorded during either one of the two periods we analyzed. Our results suggest that morning counts should detect higher number of both species and individuals in our study area, but specific taxa show distinct patterns of detection which should be acknowledged prior to sampling.

Time-domain analysis of piezoelectric impedance-based structural health monitoring using multilevel wavelet decomposition

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Short Lyapunov time: a method for identifying confined chaos

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Time-dependent alterations of soluble and cellular components in human milk

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