Fiscal Regime Shifts in Portugal

We estimate changes in fiscal policy regimes in Portugal with a Markov Switching regression of fiscal policy rules for the period 1978-2007, using a new dataset of fiscal quarterly series. We find evidence of a deficit bias, while repeated reversals of taxes making the budget procyclical. Economic booms have typically been used to relax tax pressure, especially during elections. One-off measures have been preferred over structural ones to contain the deficit during economic crises. The EU fiscal rules prompted temporary consolidation, but did not permanently change the budgeting process.

Business cycle asymmetries: characterisation and testing based on Markov-switching autoregressions

Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment and consumption growth. The robustness of the tests to model misspecification, and the effects of regime-dependent heteroscedasticity, are investigated.

Ciclos internacionais de negócios : uma análise de mudança de regime markoviano para Brasil, Argentina e Estados Unidos

Este trabalho tem por objetivo promover uma análise dos ciclos econômicos de Brasil, Argentina e Estados Unidos, dando ênfase às mudanças de regimes ocorridas ao longo das flutuações experimentadas por esses países. Estudos recentes sobre ciclos têm argumentado em favor de ciclos internacionais de negócios. Nesse sentido, em especial, o trabalho visa testar a hipótese de um ciclo comum que afetaria ambos os países. A metodologia utilizada é a dos modelos MS-VAR – Markov switching vector autoregressions. Especificações univariadas são estimadas para o período de 1900 a 2000 e os resultados comparados aos fatos estilizados de cada país. Posteriormente um modelo multivariado é formulado para abrigar a hipótese de um ciclo conjunto, visto como mudanças comuns no processo estocástico do crescimento desses países. Os resultados sugerem que as evidências em favor desse ciclo comum são pouco robustas. As correlações contemporâneas estimadas apresentam valores bastante modestos. Em particular, existem significativas diferenças nos ciclos de Brasil, Argentina e Estados Unidos, cada um deles com características próprias e comportamentos singulares.

Improving mutual fund market timing measures: a markov switching approach

Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

Price discovery using a regime-sensitive cointegration approach

This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in "pairs trading" and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of "information share" (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.

Superfícies eletromagnéticas de microondas com controle do regime de trapped-mode

Neste trabalho foram investigadas (FSSs) com ressonância de alto fator de qualidade (fator Q) e independência da polarização para uma onda plana com incidência normal. Estas FSSs são baseadas em um arranjo planar de metalizações sobre um substrato. Um alto fator Q é obtido por meio da excitação do trapped-mode e a independência da polarização, por meio da alta simetria rotacional dos elementos que compõe o arranjo. Para o projeto de FSSs com controle do regime de trapped-mode, foram utilizados substratos feitos de materiais com possibilidade de controle de suas propriedades elétricas ou magnéticas (ferrite magnetizada ou silício ativado oticamente). O arranjo de dois anéis concêntricos em um substrato dielétrico analisado neste trabalho apresenta uma ressonância de trapped-mode com fator Q em torno de 12 e transmitância máxima de 70 %. Com a utilização de um substrato de ferrite magnetizada nesse arranjo, é mostrado que é possível deslocar a frequência de ressonância do trappedmode em torno de 20 %, sem degradação significativa da ressonância de transmisão. Com o emprego de um substrato de silício ativado opticamente, é demonstrado que é possível realizar um chaveamento praticamente completo da banda de transmissão desse arranjo. Para realização das simulações computacionais foram utilizados o método dos momentos no domínio espectral (SDMM) e os programas comerciais Ansoft Designer 5 Planar EM e CST 2009.

Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Bandpass switching in a nonlinear optical loop mirror

We demonstrate bandpass nonlinear switching, using a novel device configuration based on a nonlinear-optical loop mirror and an in-fiber Bragg grating. Self-switching is demonstrated in the soliton regime by use of an asymmetrically arranged in-fiber Bragg grating as a wavelength-selective element. In addition, we adapt the configuration to perform efficient two-wavelength switching.

Soliton switching using cascaded nonlinear-optical loop mirrors

We demonstrate multiple-peaked switching in a nonlinear-optical loop mirror and present an experimental investigation of device cascading in the soliton regime based on a sequence of two independent nonlinear-optical loop mirrors. Cascading leads to an enhanced switching response with sharper switching edges, flattened peaks, and increased interpeak extinction ratios. We observe that pulses emerging from the cascade retain the sech2 temporal profile of a soliton with minimal degradation in the spectral characteristics.

Bandpass switching based on a nonlinear optical loop mirror and an in-fibre grating reflector

Nonlinear optical loop mirror (NOLM) requires breaking the loop symmetry to enable the counter propagating pulses to acquire a differential π phase shift. This is achieved with either an asymmetric fused fibre coupler at the input or by the inclusion of an asymmetrically located gain or loss element within the loop. By introducing a frequency selective loss element, nonlinear switching may be confined to a narrow band of wavelengths or multiple wavelengths. This configuration may have applications in time-wavelength demultiplexing. We demonstrate this technique of bandpass switching in the soliton regime using a fibre-Bragg grating reflector as the wavelength dependent loss.

Bandpass switching in a nonlinear optical loop mirror

A novel device configuration is used to demonstrate wavelength-confined, a bandpass, switching in a nonlinear-optical loop mirror (WOLM). Demonstrated is a self-switching in the soliton regime using a partially reflecting Bragg grating as a wavelength-dependent loss element. Two wavelength operation in which a signal is switched through the use of cross phase modulation, are demonstrated. Observed is the operation of the device confined to wavelengths defined by the grating reflection band.

Soliton switching using cascaded nonlinear-optical loop mirrors

We demonstrate multiple-peaked switching in a nonlinear-optical loop mirror and present an experimental investigation of device cascading in the soliton regime based on a sequence of two independent nonlinear-optical loop mirrors. Cascading leads to an enhanced switching response with sharper switching edges, flattened peaks, and increased interpeak extinction ratios. We observe that pulses emerging from the cascade retain the sech2 temporal profile of a soliton with minimal degradation in the spectral characteristics.

Rapidly Switching Multidirectional Defibrillation: Reversal Of Ventricular Fibrillation With Lower Energy Shocks.

Cardiac arrest after open surgery has an incidence of approximately 3%, of which more than 50% of the cases are due to ventricular fibrillation. Electrical defibrillation is the most effective therapy for terminating cardiac arrhythmias associated with unstable hemodynamics. The excitation threshold of myocardial microstructures is lower when external electrical fields are applied in the longitudinal direction with respect to the major axis of cells. However, in the heart, cell bundles are disposed in several directions. Improved myocardial excitation and defibrillation have been achieved by applying shocks in multiple directions via intracardiac leads, but the results are controversial when the electrodes are not located within the cardiac chambers. This study was designed to test whether rapidly switching shock delivery in 3 directions could increase the efficiency of direct defibrillation. A multidirectional defibrillator and paddles bearing 3 electrodes each were developed and used in vivo for the reversal of electrically induced ventricular fibrillation in an anesthetized open-chest swine model. Direct defibrillation was performed by unidirectional and multidirectional shocks applied in an alternating fashion. Survival analysis was used to estimate the relationship between the probability of defibrillation and the shock energy. Compared with shock delivery in a single direction in the same animal population, the shock energy required for multidirectional defibrillation was 20% to 30% lower (P < .05) within a wide range of success probabilities. Rapidly switching multidirectional shock delivery required lower shock energy for ventricular fibrillation termination and may be a safer alternative for restoring cardiac sinus rhythm.

Variabilidade do regime de monções sobre o Brasil: o clima presente e projeções para um cenário com 2xCO2 usando o modelo MIROC

Este trabalho investiga a variabilidade do Sistema de Monções da América do Sul (SMAS) sobre o Brasil com particular interesse na região do cerrado brasileiro. O início, final e total de precipitação durante as monções de verão são examinados utilizando estimativas de precipitação por satélite (pêntadas) do Global Precipitation Climatology Project (GPCP) entre 1979-2004. Analogamente, as características do regime de monção simuladas pelo modelo climático global acoplado MIROC (Model for interdisciplinary Research on Climate) do IPCC (Intergovernmental Panel for Climate Change) são examinadas em dois cenários distintos: o clima do século XX (1981-2000) e o clima em uma condição com o dobro da concentração atual de CO2 (2xCO2) na atmosfera (2061-2080). Mostra-se que a variabilidade espacial do início da monção de verão sobre o cerrado na simulação do clima do século XX pelo MIROC corresponde bem às observações. Além disso, há indicação de uma mudança das caudas da distribuição sazonal da precipitação no Cerrado para um cenário com 2xCO2, comparativamente com o clima presente. Este resultado sugere uma mudança na probabilidade de ocorrência de eventos extremos (secos ou úmidos) em um cenário com 2xCO2 sobre o cerrado, o que de acordo com o MIROC, indica uma maior exposição da região às conseqüências de possíveis mudanças climáticas resultantes do aumento de gases de efeito estufa.