O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico

Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. Dado o efeito da financeirização das commodities, DFM pode capturar efeitos dinâmicos comuns a todas as commodities. Além disso, os dados em painel são aplicados para usar toda a heterogeneidade entre as commodities durante o período de análise. Nossos resultados mostram que a taxa de juros, taxa efetiva do dólar americano e também os dados de consumo têm efeito permanente nos preços das commodities. Observa-se ainda a existência de um fator dinâmico comum significativo para a maioria dos preços das commodities metálicas, que tornou-se recentemente mais importante na evolução dos preços das commodities.

Estratégia de cointegração dinâmica empírica para arbitragem estatística e trading

Este trabalho primeiramente explora fundamentos teóricos básicos para análise e implementação de algoritmos para a modelagem de séries temporais. A finalidade principal da modelagem de séries temporais será a predição para utilizá-la na arbitragem estatística. As séries utilizadas são retiradas de uma base de histórico do mercado de ações brasileiro. Estratégias de arbitragem estatística, mais especificamente pairs trading, utilizam a característica de reversão à média dos modelos para explorar um lucro potencial quando o módulo do spread está estatisticamente muito afastado de sua média. Além disso, os modelos dinâmicos deste trabalho apresentam parâmetros variantes no tempo que aumentam a sua flexibilidade e adaptabilidade em mudanças estruturais do processo. Os pares do algoritmo de pairs trading são escolhidos selecionando ativos de mesma empresa ou índices e ETFs (Exchange Trade Funds). A validação da escolha dos pares é feita utilizando testes de cointegração. As simulações demonstram os resultados dos testes de cointegração, a variação no tempo dos parâmetros do modelo e o resultado de um portfólio fictício.

Análises dos testes de cointegração e de correção de erro dos preços do café e do cacau no mercado internacional de futuros e opções

Neste artigo, analisam-se as séries de tempo individuais dos preços do café e do cacau no mercado internacional por meio de apropriados testes de estacionariedade e de raiz unitária. A diferença existente entre as séries temporais econômicas de curto prazo e de longo prazo tem atraído bastante a atenção de economistas nas duas últimas décadas. Os dados de longo prazo são freqüentemente associados às séries temporais não estacionárias conhecidas por tendências, enquanto as flutuações de curto prazo são séries de tempo estacionárias e são chamadas de ciclos. As séries temporais econômicas e financeiras podem ser vistas como combinações desses componentes de ciclos e tendências. Entretanto, a presença ou não de fatores comuns entre duas ou mais séries temporais pode produzir um efeito tal que a combinação das séries temporais não manifeste possuir nenhuma característica individualmente. Poderia haver uma tendência comum partilhada por duas séries temporais. Se não há mais tendências numa série de tempo, então as duas séries de tempo são cointegradas. Esse tipo de análise fator comum pode ser estendido e aplicado aos ciclos comuns.

Review of Global Warming in the 21st Century. Volume 1: Our Evolving Climate Crisis; Volume 2: Melting Ice and Warming Seas; Volume 3: Plants and Animals in Peril by Bruce E. Johansen

There is compelling evidence that Planet Earth is on the path to an era of global warming that has serious implications for the well-being of both people and nature. This three-volume synthesis of literature will be a marvelous place for both the public and new scholars interested in global warming to begin their pursuit of the subject. The author captures the best of the scientific literature and press materials appearing in recent years. The utility of these volumes as a resource for gaining a broad background or pursuing a particular aspect of global warming is enhanced by Johansen's talent for explaining with clarity a vast and rapidly growing subject.

TESTANDO A TEORIA DA PARIDADE DE PODER DE COMPRA (PPC) NO PERÍODO DE 1995 A 2010

O objetivo deste trabalho é testar a teoria da Paridade de Poder de Compra em sua versão absoluta e relativa para o Brasil no período de 1995 a 2010, utilizando procedimentos da econometria visando estabelecer através de testes de hipóteses a validação ou rejeição da teoria da Paridade do Poder de Compra. Para a verificação serão utilizados os testes de Dickey-Fuller (DF), Dickey-Fuller Ampliado (ADF) e testes de Cointegração de Engle e Granger e Joahansen. Adotamos para o estudo os países EUA e Brasil, tendo em vista o fluxo de comércio entre estes países e sua importância na economia mundial. Através dos índices de preço IPA e PPI analisarse- á a validação da teoria da Paridade de Poder de Compra em sua versão relativa e absoluta, chegando-se a conclusão de aceitação de sua versão relativa e rejeição de sua versão absoluta.

Japanese encephalitis on Badu Island, Australia: the first isolation of Japanese encephalitis virus from Culex gelidus in the Australasian region and the role of mosquito host-feeding patterns in virus transmission cycles

During investigation of an outbreak of Japanese encephalitis (JE) in the Torres Strait, Australia, in 2000, mosquitoes were collected in Badu Island community and at a newly established communal piggery about 3 km from the community. A total of 94285 mosquitoes, comprising 91240 (96.8%) unengorged females, 1630 (1.7%) blood-engorged females and 1415 (1.5%) males, were processed for virus isolation. One isolate of JE virus was obtained from Culex gelidus, with a minimum infection rate of 12.4:1000. This is the first isolate of JE virus from Cx. gelidus in the Australasian region. No isolates were obtained from Cx. annulirostris, the primary implicated Australian JE vector. Analysis of mosquito host-feeding patterns, using gel diffusion, demonstrated that Cx. annulirostris and 5 other species fed predominately on mammals, Analysis of blood-fed mosquitoes collected within the community demonstrated that the proportion of Cx. annulirostris feeding on pigs in 2000 (2.3%) was significantly lower than that for the 1995-97 period (31.3%). The removal of the pigs from Badu Island community has limited the contact between potential amplifying hosts and mosquitoes, thus potentially reducing the risk of transmission of JE virus to the human population.

The appearance of a second genotype of Japanese encephalitis virus in the Australasian region

In mid-January 2000, the reappearance of Japanese encephalitis (JE) virus activity in the Australasian region was first demonstrated by the isolation of JE virus from 3 sentinel pigs on Badu Island in the Torres Strait. Further evidence of JE virus activity was revealed through the isolation of JE virus from Cidex gelidus mosquitoes collected on Badu Island and the detection of specific JE virus neutralizing antibodies in 3 pigs from Saint Pauls community on Moa Island. Nucleotide sequencing and phylogenetic analyses of the premembrane and envelope genes were performed which showed that both the pig and mosquito JE virus isolates (TSOO and TS4152, respectively) clustered in genotype I, along with northern Thai, Cambodian, and Korean isolates. All previous Australasian JE virus isolates belong to genotype II, along with Malaysian and Indonesian isolates. Therefore, for the first time, the appearance and transmission of a second genotype of JE virus in the Australasian region has been demonstrated.

Flaviviruses isolated from mosquitoes collected during the first recorded outbreak of Japanese encephalitis virus on Cape York Peninsula, Australia

In response to an outbreak of Japanese encephalitis (JE) virus on Cape York Peninsula, Australia, in 1998, mosquitoes were collected using CO2 and octenol-baited Centers for Disease Control and Prevention light traps. A total of 35,235 adult mosquitoes, comprising 31 species, were processed for virus isolation. No isolates of JE virus were recovered from these mosquitoes. However, 18 isolates of Kokobera virus, another flavivirus were obtained from Culex annulirostris. Twelve isolates were from western Cape York (minimum infection rate (MIR) of 0.61: 1,000 mosquitoes) and 6 were from the Northern Peninsula Area (MIR of 1.0:1,000). Potential explanations for the failure to detect JE virus in mosquitoes collected from Cape York Peninsula include the timing of collections, the presence of alternative bloodmeal hosts, differences in pig husbandry, asynchronous porcine seroconversion, and the presence of other flaviviruses.

The spironolactone renaissance

Until recently, spironolactone was considered only as an antagonist at the aldosterone receptors of the epithelial cells of the kidney and was used clinically in the treatment of hyperaldosteronism and, occasionally, as a K+-sparing diuretic. The spironolactone renaissance started with the experimental finding that spironolactone reversed aldosterone-induced cardiac fibrosis by a cardiac action. Experimentally, spironolactone also has direct effects on blood vessels. Spironolactone reduces vascular fibrosis and injury, inhibits angiogenesis, reduces vascular tone and reduces portal hypertension. The rationale for the Randomized Aldactone Evaluation Study (RALES) of spironolactone in heart failure was that ‘aldosterone escape’ occurred through non-angiotensin II mechanisms. The RALES clinical trial was stopped early when it was shown that there was a 30% reduction in risk of death among the spironolactone patients. In RALES, spironolactone also reduced hospitalisation for worsening heart failure and improved the symptoms of heart failure. Other recent clinical trials have shown that spironolactone reduces cardiac and vascular collagen turnover, improves heart variability, reduces ventricular arrhythmias, improves endothelial dysfunction and dilates blood vessels in human heart failure and these effects probably all contribute to the increased survival in heart failure. Spironolactone may also be useful in the treatment of left ventricular hypertrophy, portal hypertension and cirrhosis. There have also been some recent small clinical trials of spironolactone as an anti-androgen showing potential in acne, hirsutism and precocious puberty.

Alteplase: descendancy in myocardial infarction, ascendancy in stroke

Tissue type plasminogen activator is available, through recombinant technology, for thrombolytic use as alteplase. Alteplase is relatively clot specific and should cause less bleeding side effects than the non-specific agents such as streptokinase. Alteplase has been used successfully in evolving myocardial infarction (MI) to reopen occluded coronary arteries. It is probably equally effective or superior to streptokinase in opening arteries and reducing mortality in Mi. Alteplase is most effective when given early in Mi and is probably ineffective when given 12 h after the onset of symptoms. The effectiveness of alteplase in Mi can be increased by front loading with a bolus of 15 mg, followed by an infusion of 50 mg over 30 min and 35 mg over 60 min. Percutaneous transluminal coronary angioplasty or stenting is associated with a greater patency and lower rates of serious bleeding, recurrent ischaemia and death than alteplase in MI and is likely to take over from alteplase as the standard Mi treatment. A reduced dose of alteplase to increase coronary artery patency prior to angioplasty may be useful in Mi. An exciting new indication for the use of alteplase is in stroke, where it has become the first beneficial intervention. Alteplase is used to reopen occluded cerebral vessels but is associated with an increased risk of intracerebral haemorrhage. Alteplase is beneficial if given within 3 h of the onset of stroke but not after this time period. Therefore, the next challenge is to increase the percentage of people being diagnosed and treated within this period. Clinical trials have not established a role for alteplase in the treatment of acute coronary syndromes or deep vein thrombosis. However, alteplase is useful in treating pulmonary thromboembolism and peripheral vascular disease.