Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

From commitment to non-commitment: allowing type dynamic in Laffont and Tirole's regulation model

This paper investigates the introduction of type dynamic in the La ont and Tirole's regulation model. The regulator and the rm are engaged in a two period relationship governed by short-term contracts, where, the regulator observes cost but cannot distinguish how much of the cost is due to e ort on cost reduction or e ciency of rm's technology, named type. There is asymmetric information about the rm's type. Our model is developed in a framework in which the regulator learns with rm's choice in the rst period and uses that information to design the best second period incentive scheme. The regulator is aware of the possibility of changes in types and takes that into account. We show how type dynamic builds a bridge between com- mitment and non-commitment situations. In particular, the possibility of changing types mitigates the \ratchet e ect". We show that for small degree of type dynamic the equilibrium shows separation and the welfare achived is close to his upper bound (given by the commitment allocation).

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Health in Madeira: a comprehensive study of aging, body composition, physical activity and functional fitness

Physical Activity (PA) and functional fitness (FF) are predictors of a healthy and independent lifestyle in older adults. The purpose of this study was: (1) to construct reference values for FF; (2) to describe sex- and age-related changes in FF, balance, gait, PA, body composition, and bone health/strength; and (3) to determine their variation and co-variation with respect to PA. This cross-sectional study included 401 males and 401 females aged 60-79 years old. FF was assessed using the Senior Fitness test and balance by the Fullerton Advance Balance scale (FAB). Gait parameters: gait velocity (GV), stride length (SL), cadence and gait stability ratio (GSR) were measured. Femoral strength index (FSI) and bone mineral density (BMD) of the total body, lumbar spine, hip region and total lean tissue mass (TLTM) and total fat mass (TFM) were determined by dual-energy x-ray absorptiometry-DXA. PA was assessed during face-to-face interviews using the Baecke questionnaire. Demographic and health history information were obtained by structured telephone interview. In both sexes, a significant main effect for age-group was found for FF parameters, balance scores, gait performances, TLTM and hip, LS and total BMD and FSI. Likewise there were significant main effects for age-group for total PA in women and sports related PA in men. Men scored significantly better than women in FF (except in upper- and lower-body flexibility), balance, GV, SL, GSR and had higher BMD and TLTM compared with women. Active subjects scored better in FF, balance, and gait than their average and non-active peers. PA and FF exerted only a minor influence in the differentiation of BMD and FSI among the elderly while constitutive factors like age, height, body mass, TLTM and TFM entered as the most significant contributors. This study gives scientific support to public policies at the community level, targeted to increase PA, FF and TLTM, thereby contributing to improved quality of life in older adults.

Screening of volatile composition from portuguese multifloral honeys using headspace solid-phase microextraction-gas chromatography–quadrupole mass spectrometry

The volatile composition from four types of multifloral Portuguese (produced in Madeira Island) honeys was investigated by a suitable analytical procedure based on dynamic headspace solid-phase microextraction (HS-SPME) followed by thermal desorption gas chromatography–quadrupole mass spectrometry detection (GC–qMS). The performance of five commercially available SPME fibres: 100 μm polydimethylsiloxane, PDMS; 85 μm polyacrylate, PA; 50/30 μm divinylbenzene/carboxen on polydimethylsiloxane, DVB/CAR/PDMS (StableFlex); 75 μm carboxen/polydimethylsiloxane, CAR/PDMS, and 65 μm carbowax/divinylbenzene, CW/DVB; were evaluated and compared. The highest amounts of extract, in terms of the maximum signal obtained for the total volatile composition, were obtained with a DVB/CAR/PDMS coating fibre at 60 °C during an extraction time of 40 min with a constant stirring at 750 rpm, after saturating the sample with NaCl (30%). Using this methodology more than one hundred volatile compounds, belonging to different biosynthetic pathways were identified, including monoterpenols, C13-norisoprenoids, sesquiterpenes, higher alcohols, ethyl esters and fatty acids. The main components of the HS-SPME samples of honey were in average ethanol, hotrienol, benzeneacetaldehyde, furfural, trans-linalool oxide and 1,3-dihydroxy-2-propanone.

Volatile flavour constituent patterns of terras madeirenses red wines extracted by dynamic headspace solid‐phase microextraction

A suitable analytical procedure based on static headspace solid-phase microextraction (SPME) followed by thermal desorption gas chromatography–ion trap mass spectrometry detection (GC–ITDMS), was developed and applied for the qualitative and semi-quantitative analysis of volatile components of Portuguese Terras Madeirenses red wines. The headspace SPME method was optimised in terms of fibre coating, extraction time, and extraction temperature. The performance of three commercially available SPME fibres, viz. 100 lm polydimethylsiloxane; 85 lm polyacrylate, PA; and 50/30 lm divinylbenzene/carboxen on polydimethylsiloxane, was evaluated and compared. The highest amounts extracted, in terms of the maximum signal recorded for the total volatile composition, were obtained with a PA coating fibre at 308C during an extraction time of 60 min with a constant stirring at 750 rpm, after saturation of the sample with NaCl (30%, w/v). More than sixty volatile compounds, belonging to different biosynthetic pathways, have been identified, including fatty acid ethyl esters, higher alcohols, fatty acids, higher alcohol acetates, isoamyl esters, carbonyl compounds, and monoterpenols/C13-norisoprenoids.

Dynamic headspace solid-phase microextraction combined with one-dimensional gas chromatography–mass spectrometry as a powerful tool to differentiate banana cultivars based on their volatile metabolite profile

In this study the effect of the cultivar on the volatile profile of five different banana varieties was evaluated and determined by dynamic headspace solid-phase microextraction (dHS-SPME) combined with one-dimensional gas chromatography–mass spectrometry (1D-GC–qMS). This approach allowed the definition of a volatile metabolite profile to each banana variety and can be used as pertinent criteria of differentiation. The investigated banana varieties (Dwarf Cavendish, Prata, Maçã, Ouro and Platano) have certified botanical origin and belong to the Musaceae family, the most common genomic group cultivated in Madeira Island (Portugal). The influence of dHS-SPME experimental factors, namely, fibre coating, extraction time and extraction temperature, on the equilibrium headspace analysis was investigated and optimised using univariate optimisation design. A total of 68 volatile organic metabolites (VOMs) were tentatively identified and used to profile the volatile composition in different banana cultivars, thus emphasising the sensitivity and applicability of SPME for establishment of the volatile metabolomic pattern of plant secondary metabolites. Ethyl esters were found to comprise the largest chemical class accounting 80.9%, 86.5%, 51.2%, 90.1% and 6.1% of total peak area for Dwarf Cavendish, Prata, Ouro, Maçã and Platano volatile fraction, respectively. Gas chromatographic peak areas were submitted to multivariate statistical analysis (principal component and stepwise linear discriminant analysis) in order to visualise clusters within samples and to detect the volatile metabolites able to differentiate banana cultivars. The application of the multivariate analysis on the VOMs data set resulted in predictive abilities of 90% as evaluated by the cross-validation procedure.

Headspace solid-phase microextraction-gas chromatography-quadrupole mass spectrometric methodology for the establishment of the volatile composition of Passiflora fruit species

Dynamic headspace solid-phase microextraction (HS-SPME) followed by thermal desorption gas chromatography-quadrupole mass spectrometry analysis (GC-qMS), was used to investigate the aroma profile of different species of passion fruit samples. The performance of five commercially available SPME fibres: 65 μm polydimethylsiloxane/divinylbenzene, PDMS/DVB; 100 μm polydimethylsiloxane, PDMS; 85 μm polyacrylate, PA; 50/30 μm divinylbenzene/carboxen on polydimethylsiloxane, DVB/CAR/PDMS (StableFlex); and 75 μm carboxen/polydimethylsiloxane, CAR/PDMS; was evaluated and compared. Several extraction times and temperature conditions were also tested to achieve optimum recovery. The SPME fibre coated with 65 μm PDMS/DVB afforded the highest extraction efficiency, when the samples were extracted at 50 °C for 40 min with a constant stirring velocity of 750 rpm, after saturating the sample with NaCl (17%, w/v — 0.2 g). A comparison among different passion fruit species has been established in terms of qualitative and semi-quantitative differences in volatile composition. By using the optimal extraction conditions and GC-qMS it was possible to tentatively identify seventy one different compounds in Passiflora species: 51 volatiles in Passiflora edulis Sims (purple passion fruit), 24 in P. edulis Sims f. flavicarpa (yellow passion fruit) and 21 compounds in Passiflora mollissima (banana passion fruit). It was found that the ethyl esters comprise the largest class of the passion fruit volatiles, including 82.8% in P. edulis variety, 77.4% in P. edulis Sims f. flavicarpa variety and 39.9% in P. mollissima. The semi-quantitative results were then submitted to principal component analysis (PCA) in order to establish relationships between the compounds and the different passion fruit species under investigation.

Estrutura e dinâmica do fitoplânctone bacterioplâncton em cultivos de camarão no Rio Grande do Norte-Brasil: impacto sobre o ambiente natural

This work aimed to study the structure and dynamic of Phytoplankton and Bacterioplankton in a complete cycle of shrimp cultivation (Litopenaeus vannamei) and determine the environmental factors responsible for the structural changes of these communities. The study was realized in a saltwater shrimp farm (Macaíba, RN), between September/2005 and February/2006, and in a freshwater shrimp farm (Ceará Mirim, RN), between May/2007 and September 2007. The samplings were collected weekly in saltwater farm and every fifteen days in freshwater farm. Total phosphorus, chlorophyll a and environmental parameters (pH, dissolved oxygen, salinity, temperature, depth and water transparency) were measured. Qualitative and quantitative analysis of the phytoplankton and bacterioplankton were carried out. The Shannon-Wiener ecologic indexes of diversity and the Pielou equitability indexes were calculated to the phytoplankton. Bacterial density was determined by epifluorescence microscopy. The data were statistically analyzed by Pearson correlation and t-Test. Chlorophycea were predominat in salt water and in the captation/drainage point (24 to 99%). Diatoms had higher wealth. The species Choricystis minor had the highest occurrence (100%) and dominance (90-100%), thus showing its adaptation to the high temperatures, salinity and low water transparency conditions. Filamentous Cyanobacteria like Oscillatoria sp., Pseudoanabaena sp. and Phormidium sp. had constant levels. The negative correlation between chlorophycea and water transparency, and the positive correlation between chlorophyll a and salinity, showed that the phytoplankton was well adapted to the low transparency and to the high salinity. The bacterioplankton was negatively correlated with the total phosphorus and salinity. In freshwater, Cyanobacteria were predominant (>80%), presenting some producers of toxins species like Microcystis sp., Aphanizomenon sp., Cylindrospermopsis raciborskii e Anabaena circinalis. Cyanobacterial density and total phosphorus and chlorophyll a concentrations exceeded the maximum value allowed by legislation. The means of total phosphorus varied from 264 to 627 Wg.L-1 and the means of chlorophyll a oscillated between 22 and 182 Wg.L-1. The phytoplankton species were selected by low availability of the light, high pH, temperature and high availability of total phosphorus. The bacterioplankton showed high densities (5,13 x 107 to 8,50 x107 Bac.mL-1). The studied environments (ponds and rivers) presented a high level of trophic state based on the high concentrations of chlorophyll a and total phosphorus and cyanobacteria dominance. The composition of species in the ponds and rivers was similar, as well as high concentrations of total phosphorus and chlorophyll a, highlighting the pollution caused by the discharges of the farms in natural environment

Size-related shifts in dietary composition of Centropomus parallelus (Perciformes: Centropomidae) in an estuarine ecosystem of the southeastern coast of Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Eutrofização e qualidade da água na piscicultura: consequências e recomendações

The eutrophication (cultural or anthropogenic) is induced by man and can have different origins, such as domestic sewage, industrial and agricultural activities, including the effluent still breeding systems of aquatic organisms. The expansion of aquaculture, with production of biomass and increase of nutrients in water may cause acceleration of productivity of algae, changing the ecology of aquatic systems. In addition, these waste water may present a risk to health through the transfer of pathogens from manure, plant residues, composted material, among others that are major sources of organic waste in some farming systems. Depending on the trophic level of fish ponds, which are dynamic environments, different planktonic species with short reproductive cycle and adapted to the changes contained in these systems can appear in high abundance. Water quality in the systems for raising fish is related to several factors, such as water source, management (liming, fertilizing, cleaning), cultivated species and quantity and composition of exogenous food. In order to minimize environmental impacts, there are techniques to improve the quality of water in fish farming systems and thus satisfactory answers can be obtained through the application of management practices. This paper aims to review the subject that deals with changes in water quality resulting from the activity of freshwater fish culture in Brazil. Search also recommend techniques of good management practices to minimize the impact generated by the activity.

Influência do tratamento com ácido lipoico sobre o metabolismo ósseo e perfil antioxidante de mulheres na perimenopausa

Bone is a dynamic tissue that is in constant process of remodeling in response to mechanical stress and hormonal changes. This study aimed to understand the relationship between the biochemical changes, which women in the menopausal transition are subject to, and how the use of an alternative therapy with lipoic acid (LA) could influence these changes. The study of double-blind, was carried out in perimenopausal women that underwent a three month treatment with 600 mg of AL compared with another group that received placebo during the same period. This study showed that women had a waist circunference and body mass index above the values recommended by WHO (WC ≥ 80 cm; BMI > 25kg/m2). Associated with this, these women had increased concentrations of total cholesterol and triglycerides, and borderline LDL (Total Cholesterol > 200mg/dL; Triglycerides > 150mg/dL; LDL >130mg/dL). These changes were not affected by treatment with AL. There were no shifts in liver profile (ALT, AST and GGT), kidney profile (urea, creatinine, total protein and albumin), mineral profile (Total Calcium, Ionized Calcium, Phosphorus and Magnesium) as well in bone markers (osteocalcin, Total Alkaline Phosphatase and Tartrate Resistant Acid Phosphatase) after treatment with LA. The results of the oxidative profile showed that treatment with LA decreased GPx activity (p < 0,01), while for the TBARS, GSH and SOD activity there were no differences. With regard to SOD, this enzyme will submit to be high in the placebo group after 3 months of study (p<0,05). The expression of RANKL mRNA was reduced (p < 0,05) and of RANK increased (p <0.001), after treatment with LA, while the expression of IL-6 and TNF-ɑ genes were no changed. We conclude that women already in the perimenopause stage have changes in lipid profile and body composition that could induce shifts in oxidative and bone metabolism. However, LA treatment has provided an effective effect in the oxidative and bone profile since the earliest markers such as GPx activity and mRNA expression of RANKL, respectively, were reduced associated with no change in SOD activity. These results suggest a beneficial and protective effect of LA, indicating it potential as an alternative treatment to help the to prevent the complications associated with estrogen deficiency

Carbohydrate Composition and Water-Stable Aggregation of an Oxisol as Affected by Crop Sequence under No-Till

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

Genetic association between body composition measured by ultrasound and visual scores in Brazilian Nelore cattle

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effect of thermal pasteurization and concentration on carotenoid composition of Brazilian Valencia orange juice

Changes in carotenoid pigment content of Brazilian Valencia orange juices due to thermal pasteurization and concentration were studied. Total carotenoid pigment content loss was not significant after thermal pasteurization and concentration. However, thermal effects on carotenoid pigment contents, especially violaxanthin and lutein, were clearly observed and significant (P < 0.05). Pasteurization reduced the content of violaxanthin by 38% and lutein by 20%. The concentration process resulted in loss of lutein (17%). With the loss of lutein, beta-cryptoxanthin became the major carotenoid in the pasteurized and concentrated juices. The provitarnin A content of the juice (beta-carotene, alpha-carotene and beta-cryptoxanthin) and the amount of zeaxanthin, which are considered to be active against age-related macular degeneration and cataracts, did not significantly decrease after pasteurization and concentration. (c) 2006 Elsevier Ltd. All rights reserved.