Estudo sobre o efeito de variáveis macro econômico e do spread de credit default swap no risco de evento de crédito soberano

Este trabalho explora a realização de default soberano em função da estrutura de spreads de CDS (Credit Default Swap). Pode-se dizer que os spreads revelam a probabilidade de default de um país. Aplicamos a metodologia proposta neste trabalho para Argentina, Coreia, Equador, Indonésia, México, Peru, Turquia, Ucrânia, Venezuela e Rússia. Nós mostramos que um modelo de um único fator seguindo um processo lognormal captura a probabilidade de default. Também mostramos que as variáveis macro econômicas inflação, desemprego e crescimento não explicam a variável dependente do estudo (probabilidade de default). Cada país reage de maneira diferente a crise econômica que a leva a não honrar seus compromissos com as dívidas contraídas.

Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana

Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, objetivo central do presente estudo é avaliar o fenômeno de contágio financeiro entre retornos de índices de Bolsas de Valores de diferentes países a partir de uma abordagem econométrica, apresentada originalmente em Pelletier (2006), sobre a denominação de Regime Switching Dynamic Correlation (RSDC). Tal metodologia envolve a combinação do Modelo de Correlação Condicional Constante (CCC) proposto por Bollerslev (1990) com o Modelo de Mudança de Regime de Markov sugerido por Hamilton e Susmel (1994). Foi feita uma modificação no modelo original RSDC, a introdução do modelo GJR-GARCH formulado em Glosten, Jagannathan e Runkle (1993), na equação das variâncias condicionais individuais das séries para permitir capturar os efeitos assimétricos na volatilidade. A base de dados foi construída com as séries diárias de fechamento dos índices das Bolsas de Valores dos Estados Unidos (SP500), Reino Unido (FTSE100), Brasil (IBOVESPA) e Coréia do Sul (KOSPI) para o período de 02/01/2003 até 20/09/2012. Ao longo do trabalho a metodologia utilizada foi confrontada com outras mais difundidos na literatura, e o modelo RSDC com dois regimes foi definido como o mais apropriado para a amostra selecionada. O conjunto de resultados encontrados fornecem evidências a favor da existência de contágio financeiro entre os mercados dos quatro países considerando a definição de contágio financeiro do Banco Mundial denominada de “muito restritiva”. Tal conclusão deve ser avaliada com cautela considerando a extensa diversidade de definições de contágio existentes na literatura.

Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

A utilização do cartão de crédito como instrumento de dívida da população: um estudo do tema, causas e consequências com base na experiência da Coreia do Sul.

A crise bancária que atingiu a Coreia do Sul em 2002 está relacionada, em grande parte, com a grande velocidade de crescimento e penetração da população no segmento de cartões de crédito, fazendo com que o país recebesse a denominação de “República dos Cartões de Plástico” pela mídia internacional. Em 2003, como resultado deste crescimento, o sistema financeiro do país precisou ser socorrido pelo governo sul coreano, pois o endividamento do consumidor havia saído do controle. Atualmente, alguns estudos indicam que o Brasil pode estar caminhando para uma situação semelhante, compensando o alto nível de endividamento da população sul-coreana, com as altas taxas de juros cobradas neste segmento pelos bancos brasileiros. Com base na experiência da Coreia do Sul, este trabalho explora as principais causas deste fenômeno, a motivação da população em buscar este tipo específico de financiamento, a dicotomia dos agentes ao tratar deste crescimento e quais medidas podem ser tomadas para evitar um possível colapso no sistema financeiro.

Business cycles in emerging economies : the role of interest rates

This paper documents the empirical relation between the interest rates that emerging economies face in international capital markets and their business cycles. It shows that the patterns observed in the data can be interpreted as the equilibrium of a dynamic general equilibrium model of a small open economy, in which (i) firms have to pay for a fraction of the input bill before production takes place, and (ii) preferences generate a labor supply that is independent of the interest rate. In our sample, interest rates are strongly countercyclical, strongly positively correlated with net exports, and they lead the cycle. Output is very volatile and consumption is more volatile than output. The sample includes data for Argentina during 1983-2000 and for four other large emerging economies, Brazil, Mexico, Korea, and Philippines, during 1994-2000. The model is calibrated to Argentina’s economy for the period 1983-1999. When the model is fed with actual US interest rates and the actual default spreads of Argentine sovereign interest rates, interest rates alone can explain forty percent of output fluctuations. When simulated technology shocks are added to the model, it can account for the main empirical regularities of Argentina’s economy during the period. A 1% increase in country risk causes a contemporaneous fall in output of 0.5 ’subsequent recovery. An increase in US rates causes output to fall by the same on impact and by almost 2% two years after the shock. The asymetry in the effect of shocks to US rates and country risk is due to the fact that US interest rates are more persistent than country risk and that there is a significant spillover effect from US interest rates to country risk.

Wasted: understanding the economic and social impact of food waste

Over one-third of global food production goes to waste while over 850million people are fighting chronic hunger. The United States is the world’s largest food waster. One third of America’s food with an economic value of US$161 billion is wasted and less than 7% is recycled. American food waste ends up in landfills creating powerful methane gas emissions. South Korea, on the other hand, has implemented the world’s strictest food waste laws, and today diverts 93% of wasted food away from landfills turning such waste into powerful economic opportunities. This Master Thesis investigates the reasons behind global food waste by comparing South Korea and the US. It explores what these two nations are doing to address their respective food waste problems, South Korea successfully, the US not. The paper looks at the two countries’ respective policies and national characteristics, which impact decision-making and recycling processes. The effort concludes that South Korea has embarked on a necessary paradigm shift turning food waste into powerful economic drivers leading to a sharp decline in food waste. In the US, food waste continues to be a major problem without a national strategy to remedy waste. Any effort in the US, while laudable, is sporadic and local, and hence the US misses out on possibly important economic growth opportunities.

Cultural strategies: how do national cultures impact the operations strategy?

Through the assessment of the fourth round of the High Performance Manufacturing (HPM) project and the introduction of Hofstede’s Cultural Classification, the present work aims to deepen the comprehension of the impact of National Cultures on firms’ Operations Strategy. The ANOVA comparisons of four Operations Strategy elements in countries with different industrialization and development backgrounds (e.g. Germany, China, Brazil and South Korea) suggest that while Integrating Leadership and Implementation of Manufacturing Strategy are affected by the cultural levels of Power Distance, Individualism vs. Collectivism and Uncertainty Avoidance, the other two elements of Operations Strategy, Functional Integration and Formal Manufacturing Strategy, show effects of the degree of Individualism vs. Collectivism and Long-Term Orientation. The results of the study are expected to offer new perspectives on the planning and implementation of strategic and operations management for both practitioners and academics. More specifically, the analysis of cross-cultural influence over operations strategy may contribute to a better understanding of how cooperative behavior may lead firms to generate higher rents through the strengths and weaknesses of their relations, particularly in terms of global supply chains.

Avaliação de efeitos toxicológicos e comportamentais de ginseng panax em ratos

Panax ginseng CA Meyer (Araliaceae) is a herbaceous plant widely used in China, South Korea, Japan and other Asian countries for the treatment of various diseases micro circulatory, cerebrovascular, among others, representing one of the drugs used by older man. It has over 30 biologically active ginsenosides with different pharmacological and behavioral effects and inhibitory effect on the NMDA receptor. The amino acid glycine is a co-agonist of the NMDA receptor, activating this receptor. At the cellular level, ketamine is widely known to be NMDA receptor antagonist. The aim of this study was to evaluate the general activity in the open field, and anxiety in elevated plus maze, mice treated with P. ginseng compared with the action of ketamine and glycine, to better understand the action of this herbal medicine at the NMDA receptor. We used 66 adult male rats were divided into six groups: a positive control, treated for 30 days with water by gavage, who received glycine (500mg/kg; po) on days 7, 14, 21 and 28 of treatment, one hour before of behavioral assessment, a negative control was treated for 30 days with water by gavage received ketamine (5mg/kg, ip) on days 7, 14, 21 and 28 of treatment, one hour prior to behavioral evaluation, three experimental groups, receiving 100, 200 or 300 mg / kg P. ginseng by gavage for 30 days and one group treated solely with white water, and is also administered 1 ml of water by gavage one hour prior to behavioral evaluation. Animal behavior in these three groups was also examined on days 7, 14, 21 and 28 of treatment. On day 30 of treatment, the animals were anesthetized with thiopental (70mg/kg) for blood collection and after euthanasia, withdrawal of various organs. There were no changes in weight and body weight gain and weight reasons in organ / body weight. However the consumption of water and food values showed a significant increase. Serum levels of AST was increased in a dose-dependently in the animals treated with doses of P. ginseng, glycine and ketamine as compared to the blank group. Unlike creatinine levels proved to be decreased in all treated groups when compared with white. However, the level of urea in these groups was reduced and no changes were observed in the ALT parameter. Histopathological examination revealed no changes in cell morphology in different tissues. There were no behavioral changes in the elevated plus maze and few changes were observed in the open field, animals treated with P. ginseng, glycine and ketamine when compared to white. These data suggest that the doses of P. ginseng employed were unable to induce general toxicity in rats treated for 30 days and also shows that the general behavior of mice treated with P. ginseng was slightly different from that observed in animals treated with ketamine and glycine. Finally, the study on the elevated plus maze showed that the extract of P. ginseng showed no anxiolytic or anxiogenic action

Epstein-Barr virus infection and gastric carcinoma in São Paulo State, Brazil

Epstein-Barr virus (EBV) is a ubiquitous herpesvirus, and most people have serological evidence of previous viral infection at adult age. EBV is associated with infectious mononucleosis and human cancers, including some lymphomas and gastric carcinomas. Although EBV was first reported in lymphoepithelioma-like gastric carcinoma, the virus was also found in conventional adenocarcinomas. In the present study, 53 gastric carcinomas diagnosed in São Paulo State, Brazil, were evaluated for EBV infection by non-isotopic in situ hybridization with a biotinylated probe (Biotin-AGACACCGTCCTCACCACCC GGGACTTGTA) directed to the viral transcript EBER-I, which is actively expressed in EBV latently infected cells. EBV infection was found in 6 of 53 (11.32%) gastric carcinomas, mostly from male patients (66.7%), with a mean age of 59 years old. Most EBV-positive tumors were in gastric antrum. Two EBV-positive tumors (33.3%) were conventional adenocarcinomas, whereas four (66.7%) were classified as lymphoepithelioma-like carcinomas. EBV infection in gastric carcinomas was reported elsewhere in frequencies that range from 5.6% (Korea) up to 18% (Germany). In Brazil, a previous work found EBV infection in 4 of 80 (5%) gastric carcinomas, whereas another study found 4.7 and 11.2% of EBV-positive gastric carcinomas of Brazilians of Japanese origin or not, respectively. In the present study, the frequency of EBV-positive gastric carcinomas is similar to that reported in other series, and the clinicopathologic characteristics of these EBV-positive tumors are in agreement with the data in the literature.

Production, partial characterization, and immobilization in alginate beads of an alkaline protease from a new thermophilic fungus Myceliophthora sp.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Purification and Characterization of the alpha-Glucosidase Produced by Thermophilic Fungus Thermoascus aurantiacus CBMAI 756

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

Production of saccharogenic and dextrinogenic amylases by Rhizomucor pusillus A 13.36

A newly-isolated thermophilic strain of the zygomycete fungus Rhizomucor pusillus 13.36 produced highly active dextrinogenic and saccharogenic enzymes. Cassava pulp was a good alternative substrate for amylase production. Dextrinogenic and saccharogenic amylases exhibited optimum activities at a pH of 4.0-4.5 and 5.0 respectively and at a temperature of 75°C. The enzymes were highly thermostable, with no detectable loss of saccharogenic or dextrinogenic activity after 1 h and 6 h at 60°C, respectively. The saccharogenic activity was inhibited by Ca2+ while the dextrinogenic was indifferent to this ion. Both activities were inhibited by Fe2+ and Cu2+ Hydrolysis of soluble starch by the crude enzyme yielded 66% glucose, 19.5% maltose, 7.7% maltotriose and 6.6% oligosaccharides. Copyright © 2005, The Microbiological Society of Korea.

A specific short dextrin-hydrolyzing extracellular glucosidase from the thermophilic fungus Thermoascus aurantiacus 179-5

The thermophilic fungus Thermoascus aurantiacus 179-5 produced large quantities of a glucosidase which preferentially hydrolyzed maltose over starch. Enzyme production was high in submerged fermentation, with a maximal activity of 30 U/ml after 336 h of fermentation. In solid-state fermentation, the activity of the enzyme was 22 U/ml at 144 h in medium containing wheat bran and 5.8 U/ml at 48 h when cassava pulp was used as the culture medium. The enzyme was specific for maltose, very slowly hydrolyzed starch, dextrins (2-7G) and the synthetic substrate (α-PNPG), and did not hydrolyze sucrose. These properties suggest that the enzyme is a type II α-glucosidase. The optimum temperature of the enzyme was 70°C. In addition, the enzyme was highly thermostable (100% stability for 10 h at 60°C and a half-life of 15 min at 80°C), and stable within a wide pH range. Copyright © 2006, The Microbiological Society of Korea.