Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

In search of exchange rate predictability : a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model

Este estudo investiga o poder preditivo fora da amostra, um mês à frente, de um modelo baseado na regra de Taylor para previsão de taxas de câmbio. Revisamos trabalhos relevantes que concluem que modelos macroeconômicos podem explicar a taxa de câmbio de curto prazo. Também apresentamos estudos que são céticos em relação à capacidade de variáveis macroeconômicas preverem as variações cambiais. Para contribuir com o tema, este trabalho apresenta sua própria evidência através da implementação do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o “symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant”. Para isso, utilizamos uma amostra de 14 moedas em relação ao dólar norte-americano que permitiu a geração de previsões mensais fora da amostra de janeiro de 2000 até março de 2014. Assim como o critério adotado por Galimberti e Moura (2012), focamos em países que adotaram o regime de câmbio flutuante e metas de inflação, porém escolhemos moedas de países desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclusão da previsibilidade da taxa de câmbio depende do teste estatístico adotado, sendo necessária a adoção de testes robustos e rigorosos para adequada avaliação do modelo. Após constatar não ser possível afirmar que o modelo implementado provém previsões mais precisas do que as de um passeio aleatório, avaliamos se, pelo menos, o modelo é capaz de gerar previsões “racionais”, ou “consistentes”. Para isso, usamos o arcabouço teórico e instrumental definido e implementado por Cheung e Chinn (1998) e concluímos que as previsões oriundas do modelo de regra de Taylor são “inconsistentes”. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contemporâneos observados. Apuramos que o modelo fundamental é incapaz de antecipar os retornos realizados.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina

O trabalho relaciona, com um modelo de três fatores proposto por Huse (2007), variáveis macroeconômicas e financeiras observáveis com a estrutura a termo da taxa de juros (ETTJ) dos países da América Latina (Brasil, Chile, Colômbia e México). Consideramos os seguintes determinantes macroeconômicos: taxa de inflação, taxa de variação do nível de atividade, variação da taxa de câmbio, nível do credit default swaps (CDS), nível da taxa de desemprego, nível da taxa de juros nominal e fatores globais (inclinação da curva de juros norte-americana e variação de índices de commodities). Os modelos explicam mais do que 75% nos casos do Brasil, Chile e Colômbia e de 68% no caso do México. Variações positivas no nível de atividade e inflação são acompanhadas, em todos os países, de um aumento na ETTJ. Aumentos do CDS, com exceção do Chile, acarretam em aumento das taxas longas. Já crescimentos na taxa de desemprego têm efeitos distintos nos países. Ao mesmo tempo, depreciações cambiais não são acompanhadas de subida de juros, o que pode ser explicado pelos bancos centrais considerarem que depreciações de câmbio tem efeitos transitórios na inflação. No México, aumentos na ETTJ são diretamente relacionados com o índice de commodities de energia e metálicas. Já no caso brasileiro, em que os preços da gasolina são regulados e não impactam a inflação, esse canal não é relevante. Variações positivas na inclinação da curva norte-americana têm efeitos similares nas curvas da América Latina, reduzindo as taxas curtas e aumentando as taxas longas.

Leaf gas exchange and fruit yield in sweet orange trees as affected by citrus variegated chlorosis and environmental conditions

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

Anodic Stripping Voltammetric Determination of Lead (II) and Cadmium (II) by Using a Carbon Nanotubes Paste Electrode Modified with Ion Exchange Synthetic Resin

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The Real Plan: Stabilization and destabilization

The paper analyzes Brazil's Real Plan, an exchange-rate based stabilization program, implemented in 1994, which mixed a spectacular price stabilization with some serious macroeconomic destabilization. The paper focuses on two of these imbalances: the consumption boom and the financial destabilization; showing that the former represented nothing the reverse side of a collapsed investment boom, which, in turn, led to the financial (banking) crisis. We hold that these instabilities were produced by a policy arrangement in which monetary and fiscal policies alone had to compensate for a largely appreciated, almost fixed, exchange rate anchor. (C) 2000 Elsevier Science Ltd. All rights reserved.

Economic Survey of Latin America and the Caribbean 2010-2011: Internacional integration and macroeconomic policy challenges amid global economic turmoil

Includes bibliography

Modeling regional macroeconomic interactions: situation and perspectives for macroeconomic coordination in Latin America. Background paper prepared for the REDIMA workshop on Modeling Macroeconomic Coordination in the Andean Community, (Santiago, Chile 22 October 2003)""

Includes bibliography

Foreign investment in Mexico after economic reform

Includes bibliography

Economic Survey of Latin America and the Caribbean 2005-2006

Incluye Bibliografía

Results of the International Comparison Program (ICP) 2011 for Latin America and the Caribbean

The International Comparison Programme (ICP) is a worldwide statistical project whose purpose is to collect comparative price data from a broad list or basket of products and to compile detailed values for spending-side gross domestic product (GDP) in order to calculate purchasing power parities (PPPs). Using PPPs, rather than market exchange rates, to convert macroeconomic aggregates aids comparison of production across economies and of the well-being of populations in real terms, insofar as they are compared on the basis of the purchasing power of each of the participant countries.

Leaf gas exchange and yield of three upland rice cultivars

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

Brazilian exchange rate complexity: Financial crisis effects

With the financial market globalization, foreign investments became vital for the economies, mainly in emerging countries. In the last decades, Brazilian exchange rates appeared as a good indicator to measure either investors' confidence or risk aversion. Here, some events of global or national financial crisis are analyzed, trying to understand how they influenced the "dollar-real" rate evolution. The theoretical tool to be used is the Lopez-Mancini-Calbet (LMC) complexity measure that, applied to real exchange rate data, has shown good fitness between critical events and measured patterns. (C) 2011 Elsevier B.V. All rights reserved.

Morphology and Involution of the Yolk Sac during Early Gestation Bovine (Bos indicus)

Background: The bovine yolk sac derives from visceral endoderm and its development occurs between days 18-23 of gestation. The study of this membrane is important for comparative data and has already been performed in rodents, sheep and in cattle, especially Bos taunts. In species Bos indicus the yolk sac has not quite been studied and is believed that there are morphological differences between these species. The yolk sac undergoes a process of involution and degeneration during embryonic development and none vestige of it is found in late gestation. The period in which occurs the involution of the yolk sac coincides with the period of increased pregnancy loss in cattle, and changes in the morphology of this membrane may indicate the reasons for such high loss rates. Thus, considering that the yolk sac is important for embryonic circulation and metabolic transmission, besides participating actively in the process of cattle placentation, this study aimed characterize morphologically the involution of the bovine yolk sac. Materials, Methods & Results: The early gestational period was determined between days 20 and 70 post-insemination (p.i), according to the exterior characteristics of embryo/fetus. For macroscopic analyzes the uterus was dissected to expose the fetal membranes and subsequently the embryo/fetus was photographed. The samples were fixed for light microscopy and transmission electron microscopy. The yolk sac that emerges from the ventral part of the embryo was prominent and composed by a central part with two thin peripheral projections of different lengths. The bovine yolk sac with about 9 cm on day 25 p. i. of pregnancy permanently decreased its total length during this study. Histologically, the yolk sac is composed of three cell layers: the mesothelium, the mesenchyme and the endoderm. In mesenchyme are found blood islets. In the endoderm are formed cells invaginations toward the mesenchyme originating small canaliculi. The ultrastructure of yolk cells presented many mitochondria, rough endoplasmic reticulum, vesicles, euchromatin and the presence of two nucleoli, Discussion: The real first blood circulation in the bovine is attached with the development of yolk sac, differently from other membranes, such as the corium, that does not present evidence of vascularization by the age of 20-30 days. The erythroblasts found in the yolk sac are related to vasculogenesis and the process of differentiation of blood cells during the erythropoiesis. It could be observed on the histology of the yolk sac, in embryos of 30-50 days old, the presence of canaliculi and small folds of the epithelium. The canaliculi collapse is associated with the degeneration of the endoderm wall of the yolk sac. The organelles present in the endoderm cells of the yolk sac are associated with the function of protein metabolism and in the exchange of substances between the mesenchyme and the mesothelium, For these findings, could be observed that the yolk sac epithelium is found active until the 50th day of gestation, and thereafter regresses. However, remnants of this membrane may be present until the 70th day, These features may represent a presence of an active chorionvitelline placenta in this period responsible for the maintenance of pregnancy whereas the chorioallantoic placenta is not definitively established.