A model to estimate the US term structure of interest rates

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

The Aiyagari model with liquidity shoch

Neste trabalho é desenvolvida uma versão do modelo de Aiyagari (1994) com choque de liquidez. Este modelo tem Huggett (1993) e Aiyagari (1994) como casos particulares, mas esta generalização permite dois ativos distintos na economia, um líquido e outro ilíquido. Usar dois ativos diferentes implica em dois retornos afetando o "market clearing", logo, a estratégia computacional usada por Aiyagari e Hugget não funciona. Consequentemente, a triangulação de Scarf substitui o algoritmo. Este experimento computacional mostra que o retorno em equilíbrio do ativo líquido é menor do que o retorno do ilíquido. Além disso, pessoas pobres carregam relativamente mais o ativo líquido, e essa desigualdade não aparece no modelo de Aiyagari.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Bank networks and firm credit: an agent based model approach

Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.

Determination of the numerical parameters of a continuous damage model for the structural analysis of clay brick masonry

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

The Poisson-exponential regression model under different latent activation schemes

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

HOW TO EFFICIEN TLY INCORPORATE FACTS DEVICES IN OPTIMAL ACTIVE POWER FLOW MODEL

This paper presents for the first time how to easily incorporate facts devices in an optimal active power flow model such that an efficient interior-point method may be applied. The optimal active power flow model is based on a network flow approach instead of the traditional nodal formulation that allows the use of an efficiently predictor-corrector interior point method speed up by sparsity exploitation. The mathematical equivalence between the network flow and the nodal models is addressed, as well as the computational advantages of the former considering the solution by interior point methods. The adequacy of the network flow model for representing facts devices is presented and illustrated on a small 5-bus system. The model was implemented using Matlab and its performance was evaluated with the 3,397-bus and 4,075-branch Brazilian power system which show the robustness and efficiency of the formulation proposed. The numerical results also indicate an efficient tool for optimal active power flow that is suitable for incorporating facts devices.

Numerical analysis of refrigerant flow along non-adiabatic capillary tubes using a two-fluid model

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

Structural studies of prephenate dehydratase from Mycobacterium tuberculosis H37Rv by SAXS, ultracentrifugation, and computational analysis

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

On Lugre Friction Model to Mitigate Nonideal Vibrations

In this paper, a nonideal mechanical system with the LuGre friction damping model is considered. The mechanical model of the system is an oscillator not necessarily linear connected with an unbalanced motor of excitation with limited power supply. The control of motion and the attenuation of the Sommerfeld effect of the considered nonideal system are analyzed in this paper The mathematical model of the system is represented by coupled non-linear differential equations. The identification of some interesting nonlinear phenomenon in the transient and steady state motion of the system during the passage through resonance (using applied voltages at dc motor as control parameter) is investigated in detail using numerical simulation. [DOI: 10.1115/1.3124783]

Growth mechanism of octahedron-like BaMoO4 microcrystals processed in microwave-hydrothermal: Experimental observations and computational modeling

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Nonlinear optimization using a modified Hopfield model

Systems based on artificial neural networks have high computational rates due to the use of a massive number of simple processing elements. Neural networks with feedback connections provide a computing model capable of solving a rich class of optimization problems. In this paper, a modified Hopfield network is developed for solving constrained nonlinear optimization problems. The internal parameters of the network are obtained using the valid-subspace technique. Simulated examples are presented as an illustration of the proposed approach.

An implicit BEM formulation to model strong discontinuities in solids

A boundary element method (BEM) formulation to predict the behavior of solids exhibiting displacement (strong) discontinuity is presented. In this formulation, the effects of the displacement jump of a discontinuity interface embedded in an internal cell are reproduced by an equivalent strain field over the cell. To compute the stresses, this equivalent strain field is assumed as the inelastic part of the total strain. As a consequence, the non-linear BEM integral equations that result from the proposed approach are similar to those of the implicit BEM based on initial strains. Since discontinuity interfaces can be introduced inside the cell independently on the cell boundaries, the proposed BEM formulation, combined with a tracking scheme to trace the discontinuity path during the analysis, allows for arbitrary discontinuity propagation using a fixed mesh. A simple technique to track the crack path is outlined. This technique is based on the construction of a polygonal line formed by segments inside the cells, in which the assumed failure criterion is reached. Two experimental concrete fracture tests were analyzed to assess the performance of the proposed formulation.

Charge-orbital ordering and phase separation in the two-orbital model for manganites: Roles of Jahn-Teller phononic and Coulombic interactions

The main properties of realistic models for manganites are studied using analytic mean-field approximations and computational numerical methods, focusing on the two-orbital model with electrons interacting through Jahn-Teller (JT) phonons and/or Coulombic repulsions. Analyzing the model including both interactions by the combination of the mean-field approximation and the exact diagonalization method, it is argued that the spin-charge-orbital structure in the insulating phase of the purely JT-phononic model with a large Hund couphng J(H) is not qualitatively changed by the inclusion of the Coulomb interactions. As an important application of the present mean-held approximation, the CE-type antiferromagnetic state, the charge-stacked structure along the z axis, and (3x(2) - r(2))/(3y(2) - r(2))-type orbital ordering are successfully reproduced based on the JT-phononic model with large JH for the half-doped manganite, in agreement with recent Monte Carlo simulation results. Topological arguments and the relevance of the Heisenberg exchange among localized t(2g) spins explains why the inclusion of the nearest-neighbor Coulomb interaction does not destroy the charge stacking structure. It is also verified that the phase-separation tendency is observed both in purely JT-phononic (large JH) and purely Coulombic models in the vicinity of the hole undoped region, as long as realistic hopping matrices are used. This highlights the qualitative similarities of both approaches and the relevance of mixed-phase tendencies in the context of manganites. In addition, the rich and complex phase diagram of the two-orbital Coulombic model in one dimension is presented. Our results provide robust evidence that Coulombic and JT-phononic approaches to manganites are not qualitatively different ways to carry out theoretical calculations, but they share a variety of common features.

Bayesian approximations in randomized response model

Practical Bayesian inference depends upon detailed examination of posterior distribution. When the prior and likelihood are conjugate, this is easily carried out; however, in general, one must resort to numerical approximation. In this paper, our aim is to solve, using MAPLE, the Bayesian paradigm, for a very special data collecting procedure, known as the randomized-response technique. This allows researchers to obtain sensitive information while guaranteeing privacy to respondents. This approach intends to reduce false responses on sensitive questions. Exact methods and approximations will be compared from the accuracy point of view as well as for the computational effort.