A note on the forward and the equity-premium puzzles: two symptoms of the same illness?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

The forward and the equity premium puzzles: two symptoms of the same illness?

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

The Brazilian financial system and the green economy : alignment with sustainable development

Three studies were prepared and are presented in this document. The first, The Brazilian Financial Sector Institutional Context in the Transition to Sustainable Development looks at the legislation, regulation, and public policies aimed at socio-environmental themes related to the financial sector. The second study, Current Financing for the Green Economy in Brazil, provides an initial estimate of the financial assets already allocated to the green economy, as well as a methodological proposal for the survey and monitoring of the respective flow of assets. The third and final study looks at two important segments of the Brazilian economy and their process of transition to a greener economy: renewable energy and agriculture.

Chromosome polymorphism of heterochromatin and nucleolar regions in two populations of the fish Astyanax bockmanni (Teleostei: Characiformes)

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

A simple method for choosing the parameters of a two degree-of-freedom tuned vibration absorber

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

Novel insights into the genomic basis of citrus canker based on the genome sequences of two strains of Xanthomonas fuscans subsp aurantifolii

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

Improvement of embryo production by the replacement of the last two doses of porcine follicle-stimulating hormone with equine chorionic gonadotropin in Sindhi donors

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

Signaling pathways associated with the expression of inflammatory mediators activated during the course of two models of experimental periodontitis

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

Do extrafloral nectaries present a defensive role against herbivores in two species of the family Bignoniaceae in a Neotropical savannas?

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

Insights into the role of oligomeric state on the biological activities of crotoxin: crystal structure of a tetrameric phospholipase A(2) formed by two isoforms of crotoxin B from Cratalus durissus terrificus venom

Crotoxin B (CB or Cdt PLA(2)) is a basic Asp49-PLA(2) found in the venom of Crotalus durissus terrificus and it is one of the subunits that constitute the crotoxin (Cro). This heterodimeric toxin, main component of the C. d. terrificus venom, is completed by an acidic, nontoxic, and nonenzymatic component (crotoxin A, CA or crotapotin), and it is related to important envenomation effects such as neurological disorders, myotoxicity, and renal failure. Although Cro has been crystallized since 1938, no crystal structure of this toxin or its subunits is currently available. In this work, the authors present the crystal structure of novel tetrameric complex formed by two dimers of crotoxin B isoforms (CB1 and CB2). The results suggest that these assemblies are stable in solution and show that Ser1 and Glu92 of CB1 and CB2, respectively, play an important role in the oligomerization. The tetrameric and dimeric conformations resulting from the association of the isoforms may increase the neurotoxicity of the toxin CB by the creation of new binding sites, which could improve the affinity of the molecular complexes to the presynaptic membrane.

Allozyme differentiation of two populations of the genus Neoplecostomus Eigenmann & Eigenmann, 1888 (Teleostei, Loricariidae) from the upper Paraná River basin, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Molecular Characterization and Physical Mapping of Two Classes of 5S rDNA in the Genomes of Gymnotus sylvius and G. inaequilabiatus (Gymnotiformes, Gymnotidae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Genetic variability of two populations of Pseudoplatystoma reticulatum from the Upper Paraguay River Basin

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison of cheliped weight and growth in two species of crabs of the genus Callinectes (Brachyura, Portunidae)

A comparison of the cheliped's weight in two species of the genus Callinectes was accomplished. The species C. danae e C. ornatus were collected by two otter trawl in Ubatuba bay (23 degrees 26' S and 45 degrees 02' W). The allometric constants obtained from the regression adjusted to a power function (Y = aX(b)) were analyzed. These species presented different allometry degrees for each sex considered. The relation Pe x PC presented positive allometry for sex of both species, but male presented higher positive allometry than female. C. danae presented higher positive allometry for chelipeds than C. ornatus. We suggest here that C. danae could be indicated to be submitted to grow out in ponds since it reaches higher size and bigger chelipeds.