Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

From commitment to non-commitment: allowing type dynamic in Laffont and Tirole's regulation model

This paper investigates the introduction of type dynamic in the La ont and Tirole's regulation model. The regulator and the rm are engaged in a two period relationship governed by short-term contracts, where, the regulator observes cost but cannot distinguish how much of the cost is due to e ort on cost reduction or e ciency of rm's technology, named type. There is asymmetric information about the rm's type. Our model is developed in a framework in which the regulator learns with rm's choice in the rst period and uses that information to design the best second period incentive scheme. The regulator is aware of the possibility of changes in types and takes that into account. We show how type dynamic builds a bridge between com- mitment and non-commitment situations. In particular, the possibility of changing types mitigates the \ratchet e ect". We show that for small degree of type dynamic the equilibrium shows separation and the welfare achived is close to his upper bound (given by the commitment allocation).

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Changes in phytoplankton composition in response to tides, wind-induced mixing conditions, and freshwater outflows in an urbanised estuarine complex

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

Robust broadband vibration control of a flexible structure using an electrical dynamic absorber

This paper presents a simple but practical feedback control method to suppress the vibration of a flexible structure in the frequency range between 10 Hz and 1 kHz. A dynamic vibration absorber is designed for this, which has a natural frequency of 100 Hz and a normalized bandwidth (twice the damping ratio) of 9.9. The absorber is realized electrically by feeding back the structural acceleration at one position on the host structure to a collocated piezoceramic patch actuator via an analog controller consisting of a second-order lowpass filter. This absorber is equivalent to a single degree-of-freedom mechanical oscillator consisting of a serially connected mass-spring-damper system. A first-order lowpass filter is additionally used to improve stability at very high frequencies. Experiments were conducted on a free-free beam embedded with a piezoceramic patch actuator and an accelerometer at its center. It is demonstrated that the single absorber can simultaneously suppress multiple vibration modes within the control bandwidth. It is further shown that the control system is robust to slight changes in the plant. The method described can be applied to many other practical structures, after retuning the absorber parameters for the structure under control.

Sex ratio and dynamic behavior in populations of the exotic blowfly Chrysomya albiceps (Diptera, Calliphoridae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Spectral analysis of the electromyograph of the erector spinae muscle before and after a dynamic manual load-lifting test

The aim of the present study was to assess the spectral behavior of the erector spinae muscle during isometric contractions performed before and after a dynamic manual load-lifting test carried out by the trunk in order to determine the capacity of muscle to perform this task. Nine healthy female students participated in the experiment. Their average age, height, and body mass (± SD) were 20 ± 1 years, 1.6 ± 0.03 m, and 53 ± 4 kg, respectively. The development of muscle fatigue was assessed by spectral analysis (median frequency) and root mean square with time. The test consisted of repeated bending movements from the trunk, starting from a 45º angle of flexion, with the application of approximately 15, 25 and 50% of maximum individual load, to the stand up position. The protocol used proved to be more reliable with loads exceeding 50% of the maximum for the identification of muscle fatigue by electromyography as a function of time. Most of the volunteers showed an increase in root mean square versus time on both the right (N = 7) and the left (N = 6) side, indicating a tendency to become fatigued. With respect to the changes in median frequency of the electromyographic signal, the loads used in this study had no significant effect on either the right or the left side of the erector spinae muscle at this frequency, suggesting that a higher amount and percentage of loads would produce more substantial results in the study of isotonic contractions.

The influence of energy changes in breathers

This work studies the dynamical behavior of breathers in a single nonlinear lattice under the influence of energy changes. To create the breather we used the anti-continuous limit and studied its stability through the Floquet theory. Using the information entropy we calculated the effective number of oscillators with significant energy and determined if there is or not the formation of a spatially localized structure.

The structure of a native L-amino acid oxidase, the major component of the Vipera ammodytes ammodytes venomic, reveals dynamic active site and quaternary structure stabilization by divalent ions

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

Interactions between the non-ionic surfactant C(12)E(5) and poly(ethylene oxide) studied using dynamic light scattering and fluorescence quenching

Dynamic light scattering measurements have been made to elucidate changes in the coil conformation of a high molecular weight poly(ethylene oxide) (PEG) fraction when the non-ionic surfactant C(12)E(5) is present in dilute solutions. The measurements were made at 20 degrees C as functions of(a) the C(12)E(5) concentration at constant PEO concentration, (b) the PEO concentration at constant C(12)E(5) concentration, and (c) the C(12)E(5)/PEO concentration ratio. The influence of temperature on the interactions in terms of the relaxation time distributions was also examined up to the cloud point. It was found that when the C(12)E(5)/PEO weight ratio was >2 and when the temperature was >14 degrees C, the correlation functions became bimodal with well-separated components. The fast mode derives fi om individual surfactant micelles which are present in the solution at high number density. The appearance of the slow mode, which dominates the scattering, is interpreted as resulting from the formation of micellar clusters due to an excluded-volume effect when the high molar mass (M = 6 x 10(5)) PEO is added to the surfactant solution. It is shown that the micellar clusters form within the PEO coils and lead to a progressive swelling of the latter for steric reasons. The dimensions of the PEO/C(12)E(5) complex increase with increasing surfactant concentration to a value of R(H) approximate to 94 nm (R(g) approximate to 208 nm) at C-C12E5 = 3.5%. Fluorescence quenching measurements show that the average aggregation number of C(12)E(5) increases significantly on addition of the high molar mass PEG. With increasing temperature toward the cloud point the clusters increase in number density and/or become larger. The cloud point is substantially lower than that for C12E5 in water solution and is strongly dependent on the PEO concentration.

Interaction between poly(ethylene glycol) and C12E8 investigated by dynamic light scattering, time-resolved fluorescence quenching, and calorimetry

Dynamic light scattering (DLS), time-resolved fluorescence quenching (TRFQ), and isothermal titration microcalorimetry have been used to show that, in dilute solution, low molecular weight poly(ethylene glycol) (PEG, M-w = 12 kDa) interacts with the nonionic surfactant octaethylene glycol n-dodecyl monoether, C12E8, to form a complex. Whereas the relaxation time distributions for the binary C12E8/water and PEG/water systems are unimodal, in the ternary mixtures they may be either uni- or bimodal depending on the relative concentrations of the components. At low concentrations of PEG or surfactant, the components of the relaxation time distribution are unresolvable, but the distribution becomes bimodal at higher concentrations of either polymer or surfactant. For the ternary system in excess surfactant, we ascribe, on the basis of the changes in apparent hydrodynamic radii and the scattered intensities, the fast mode to a single micelle, the surface of which is associated with the polymer and the slow mode to a similar complex but containing two or three micelles per PEG chain. Titration microcalorimetry results show that the interaction between C12E8, and PEG is exothermic and about 1 kJ mol(-1) at concentrations higher than the CMC of C12E8. The aggregation number, obtained by TRFQ, is roughly constant when either the PEG or the C12E8 concentration is increased at a given concentration of the second component, owing to the increasing amount of surfactant micelles inside the complex.

Physicochemical properties of maize starch obtained from intermittent milling and dynamic steeping (IMDS) under various steeping conditions

Physicochemical properties of maize starch obtained under different steeping conditions by intermittent milling and dynamic steeping process (IMDS) were studied. Brazilian dent maize (hybrid XL 606) was milled using a 2x2x3 factorial experimental design with two lactic acid levels (0.0 and 0.55%, v/v), two SO2 levels (0.05 and 0.1%, w/v), and three temperatures (52, 60, and 68degreesC). Properties of starch obtained by conventional wet-milling process (36 hr at 52degreesC, 0.55% lactic acid, and 0.2% SO2) were used for comparison. Starch protein content and solubility increased with presence of lactic acid, while swelling power decreased. Higher SO2 concentration (0.1%) had the same effect as lactic acid on some properties. Steeping temperatures of 60 and 68degreesC increased solubility and most of the thermal properties but reduced swelling power, suggesting stronger starch annealing during IMDS at these temperatures. Some thermal changes on starch granules were visualized by scanning electron microscopy (SEM) at 60 and 68degreesC. Amylose content as well as pasting properties were affected by steeping factors and interactions. Starches from IMDS and conventional wet-milling processes were similar in most properties, indicating that IMDS provides starch with quality similar to that from conventional milling.

The dynamic of employment in Chilean industry

Includes bibliography

Structural and functional characterization of the chaperone Hsp70 from sugarcane. Insights into conformational changes during cycling from cross-linking/mass spectrometry assays

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

Interaction between fiscal and monetary policy in a dynamic nonlinear model

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