Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

The Carnegie curve

The Earth’s fair weather atmospheric electric field shows, in clean air, an average daily variation which follows universal time, globally independent of the measurement position. This single diurnal cycle variation (maximum around 19UT and minimum around 03UT) is widely known as the Carnegie curve, after the geophysical survey vessel of the Carnegie Institution of Washington on which the original measurement campaigns demonstrating the universal time variation were undertaken. The Carnegie curve’s enduring importance is in providing a reference variation against which atmospheric electricity measurements are still compared; it is believed to originate from regular daily variations in atmospheric electrification associated with the different global disturbed weather regions. Details of the instrumentation, measurement principles and data obtained on the Carnegie’s seventh and final cruise are reviewed here, also deriving new harmonic coefficients allowing calculation of the Carnegie curve for different seasons. The additional harmonic analysis now identifies changes in the phasing of the maximum and minimum in the Carnegie curve, which shows a systematic seasonal variation, linked to the solstices and equinoxes, respectively.

CHEMICAL EVOLUTION OF THE GALACTIC BULGE: SINGLE AND DOUBLE INFALL MODELS

Recent work, has produced a wealth of data concerning the chemical evolution of the Galactic bulge, both for stars and nebulae. Present theoretical models generally adopt it limited range of such constraints, frequenfly using it single chemical element (usually iron), which is not enough to describe it unambiguously. In this work, we take into account contraints involving,9 Many chemical elements as possible, basically obtained from bulge nebulae and stars. Our main goal is to show that different scenarios can describe, at least partially the abundance distribution and several dishuice-independent correlations for these objects . Three classes of models were developed. The first is it one-zone, single-infall model, the. Second is it one-zone, double-infall model and the third is a multizone, double-infall model. We show that a one-zone model with it single infall episode is able to reproduce some of the observational data, but the best results tire achieved using it multizone, double-infall model.

PLANETARY NEBULAE IN THE INNER MILKY WAY II: THE BULGE-DISK TRANSITION

In this work, a sample of planetary nebulae located in the inner-disk and bulge of the Galaxy is used in order to find the galactocentric distance which better separates these two populations, from the point of view of abundances. Statistical distance scales are used to study the distribution of abundances across the disk-bulge interface. A Kolmogorov-Smirnov test is used to find the distance at which the chemical properties of these regions better separate. The results of the statistical analysis indicate that, on the average, the inner population has lower abundances than the outer. Additionally, for the a-element abundances, the inner population does not follow the disk radial gradient towards the galactic center. Based on our results, we suggest a bulge-disk interface at 1.5 kpc, marking the transition between the bulge and inner-disk of the Galaxy as defined by the intermediate mass population.

PLANETARY NEBULAE IN THE INNER MILKY WAY: NEW ABUNDANCES

The study of planetary nebulae in the inner-disk and bulge gives important information on the chemical abundances of elements such as He, N, O, Ar, Ne, and on the evolution of these abundances, which is associated with the evolution of intermediate-mass stars and the chemical evolution of time Galaxy. We present accurate abundances of the elements He, N, 5, 0, Ar, and Ne for a sample of 54 planetary nebulae located towards the bulge of the Galaxy, for 33 of which the abundances are derived here for the first time. The abundances are obtained based on observations in the optical domain made at the National Laboratory for Astrophysics (LNA, Brazil). The data show a good agreement; with other results in the literature, in the sense that the distribution of the abundances is similar to that of those works.

Trajetória de desenvolvimento tecnológico na indústria de transmissão de energia elétrica: a experiência das Centrais Elétricas do Norte do Brasil S.A. - ELETRONORTE

Esta dissertação estuda as implicações dos processos de aprendizagem para acumulação de competências tecnológicas no nível de firmas. Este relacionamento foi examinado nas Centrais Elétricas do Norte do Brasil S.A. - Eletronorte, ao longo dos anos de 1990 a 2003. A empresa tem sua sede administrativa em Brasília e a sua área de atuação é caracterizada pela Amazônia Legal (Acre, Amapá, Amazonas, Maranhão, Mato Grosso, Pará, Rondônia, Roraima e Tocantins). A Eletronorte é uma empresa concessionária de geração e transmissão de energia elétrica, contudo, o presente trabalho enfocou apenas as atividades de transmissão, quer dizer, a geração está fora do escopo do estudo. A acumulação de competências tecnológicas para adaptar, modificar ou criar novas tecnologias é essencial para a sobrevivência e o desempenho competitivo das empresas. Para descrever o modo e a velocidade de acumulação de competências tecnológicas na Eletronorte, foram utilizadas estruturas analíticas existentes na literatura. Entretanto, tais estruturas foram adaptadas especificamente para a indústria de transmissão de energia elétrica. A acumulação de competências foi estudada para três funções tecnológicas: "engenharia, projetos e equipamento"; "operação e manutenção"; "processos operacionais". Os processos de aprendizagem foram examinados à luz de quatro características-chave: variedade, intensidade, funcionamento e interação. Durante o período de 1990 e 2003, a empresa construiu e acumulou diferentes níveis de competências tecnológicas nas funções estudadas. Com base nas evidências empíricas, verificou-se que a partir de 1995, quando a empresa passou a coordenar sistematicamente esforços para adquirir e converter conhecimentos do nível individual para o nível organizacional, a construção de capacitação tecnológica foi acelerada. Contudo, a partir do ano de 2000, em que foram diminuídos investimentos no setor elétrico brasileiro, o processo de capacitação tecnológica permaneceu estagnado. Assim, aliando-se a estudos anteriores realizados para outros tipos de indústria, a conclusão deste estudo sugere que o modo e a velocidade com que a firma acumulou capacitação tecnológica podem ser explicados pelos processos de aprendizagem (aquisição interna e externa, socialização e codificação do conhecimento) e pelas características-chave de como esses foram utilizados ao longo do tempo (variedade, intensidade, funcionamento e interação).

The effects of a centralized college admission mechanism on migration and college enrollment: evidence from Brazil

No Brasil, a recente reformulação do Exame Nacional de Ensino Médio (ENEM) e a criação do Sistema de Seleção Unificada (SISU), um mecanismo de admissão centralizado que aloca os alunos às instituições, promoveram mudanças relevantes no Ensino Superior. Neste artigo, investigamos os efeitos da introdução do SISU na migração e evasão dos alunos ingressantes a partir dos dados do Censo de Educação Superior. Para tal, exploramos a variação temporal na adesão das instituições ao SISU e encontramos que a adoção do SISU está associada a um aumento da mobilidade entre municípios e entre estados dos alunos ingressantes em 3.8 pontos percentuais (p.p) e 1.6 p.p., respectivamente. Além disso, encontramos um aumento da evasão em 4.5 p.p. Nossos resultados indicam que custos associados à migração e comportamento estratégico são importantes determinantes da evasão dos alunos.

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Modelos auto-similares para rádio fontes extragalácticas.

This work is a detailed study of self-similar models for the expansion of extragalactic radio sources. A review is made of the definitions of AGN, the unified model is discussed and the main characteristics of double radio sources are examined. Three classification schemes are outlined and the self-similar models found in the literature are studied in detail. A self-similar model is proposed that represents a generalization of the models found in the literature. In this model, the area of the head of the jet varies with the size of the jet with a power law with an exponent γ. The atmosphere has a variable density that may or may not be spherically symmetric and it is taken into account the time variation of the cinematic luminosity of the jet according to a power law with an exponent h. It is possible to show that models Type I, II and III are particular cases of the general model and one also discusses the evolution of the sources radio luminosity. One compares the evolutionary curves of the general model with the particular cases and with the observational data in a P-D diagram. The results show that the model allows a better agreement with the observations depending on the appropriate choice of the model parameters.

Acelaração do universo e criação gravitacional de matéria escura fria: novos modelos e testes observacionais

Recent astronomical observations (involving supernovae type Ia, cosmic background radiation anisotropy and galaxy clusters probes) have provided strong evidence that the observed universe is described by an accelerating, flat model whose space-time properties can be represented by the FriedmannRobertsonWalker (FRW) metric. However, the nature of the substance or mechanism behind the current cosmic acceleration remains unknown and its determination constitutes a challenging problem for modern cosmology. In the general relativistic description, an accelerat ing regime is usually obtained by assuming the existence of an exotic energy component endowed with negative pressure, called dark energy, which is usually represented by a cosmological constant ¤ associated to the vacuum energy density. All observational data available so far are in good agreement with the concordance cosmic ¤CDM model. Nevertheless, such models are plagued with several problems thereby inspiring many authors to propose alternative candidates in the relativistic context. In this thesis, a new kind of accelerating flat model with no dark energy and fully dominated by cold dark matter (CDM) is proposed. The number of CDM particles is not conserved and the present accelerating stage is a consequence of the negative pressure describing the irreversible process of gravitational particle creation. In order to have a transition from a decelerating to an accelerating regime at low redshifts, the matter creation rate proposed here depends on 2 parameters (y and ߯): the first one identifies a constant term of the order of H0 and the second one describes a time variation proportional to he Hubble parameter H(t). In this scenario, H0 does not need to be small in order to solve the age problem and the transition happens even if there is no matter creation during the radiation and part of the matter dominated phase (when the ß term is negligible). Like in flat ACDM scenarios, the dimming of distant type Ia supernovae can be fitted with just one free parameter, and the coincidence problem plaguing the models driven by the cosmological constant. ACDM is absent. The limits endowed with with the existence of the quasar APM 08279+5255, located at z = 3:91 and with an estimated ages between 2 and 3 Gyr are also investigated. In the simplest case (ß = 0), the model is compatible with the existence of the quasar for y > 0:56 whether the age of the quasar is 2.0 Gyr. For 3 Gyr the limit derived is y > 0:72. New limits for the formation redshift of the quasar are also established

Two-branes with variable tension model and the effective Newtonian constant

It is shown that, in the two brane time variation model framework, if the hidden brane tension varies according to the phenomenological Eotvos law, the visible brane tension behavior is such that its time derivative is negative in the past and positive after a specific time of cosmological evolution. This behavior is interpreted in terms of a useful mechanical system analog and its relation with the variation of the Newtonian (effective) gravitational constant is explored.

THE HIGGS PORTAL and AN UNIFIED MODEL FOR DARK ENERGY and DARK MATTER

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Growth rings in cerrado woody species: occurrence and anatomical markers

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

Effects of temperature and of the addition of accelerating and retarding agents on the kinetics of hydration of tricalcium silicate

The formation of calcium silicate hydrates (C-S-H) during the hydration of tricalcium silicate (C3S) in pure water and in water solutions containing 1% CaCl2 (accelerator) and 0.01% saccharose (retarder) was studied by small-angle X-ray scattering (SAXS). SAXS measurements were performed under isothermal conditions within the temperature range 25 °C T < 52 °C. The experimental results indicate that the time variation of the mass fraction of the C-S-H product phase, α(f), can be fitted, under all conditions of paste setting, by Avrami equation, α(t) = 1 -exp(-(kt)′), k being a rate parameter and n an exponent depending on the characteristics of the transformation. The parameter n is approximately equal to 2 for hydration of C^S in pure water. Depending on temperature, n varies from 2 to 2.65 for hydration in the presence of CaC^ and saccharose. The value n = 2 is theoretically expected for lateral growth of thin C-S-H plates of constant thickness. The time dependence of SAXS intensity indicates that the transformed phase (C-S-H) consists of colloidal particles in early stages of hydration, evolving by two-dimensional growth toward a disordered lamellar structure composed of very thin plates. The activation energy ΔE for the growth of C-S-H phase was determined from the time dependence of X-ray scattering intensity. These data were obtained by in situ measurements at different temperatures of hydration. The values of ΔE are 37.7, 49.4, and 44.3 kJ/mol for hydration in pure water and in water solutions containing CaCl2 and saccharose, respectively. © 2000 American Chemical Society.