Volatility Triggered Range Forward (VTRF): an instrument for protection against volatility fluctuations in the BRL/USD pair

Este trabalho propõe um instrumento capaz de absorver choques no par BRL/USD, garantindo ao seu detentor a possibilidade de realizar a conversão entre essas moedas a uma taxa observada recentemente. O Volatility Triggered Range Forward assemelha-se a um instrumento forward comum, cujo preço de entrega não é conhecido inicialmente, mas definido no momento em que um nível de volatilidade pré-determinado for atingido na cotação das moedas ao longo da vida do instrumento. Seu cronograma de ajustes pode ser definido para um número qualquer de períodos. Seu apreçamento e controle de riscos é baseado em uma árvore trinomial ponderada entre dois possíveis regimes de volatilidade. Esses regimes são determinados após um estudo na série BRL/USD no período entre 2003 e 2009, basedo em um modelo Switching Autoregressive Conditional Heteroskedasticity (SWARCH).

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle fluctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major differences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values -β=0.985, and ∅=5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% - the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business- cycle fluctuations are respectively 0.63% and 1.17% of per-capita consumption. The same figures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle uctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major diferences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values = 0:985, and = 5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business-cycle uctuations are respectively 0.63% and 1.17% of per-capita consumption. The same gures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond

The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two types of shocks associated with them (respectively,transitory and permanent shocks) hit consumption simultaneously. Separating these welfare costs requires dealing with degenerate bivariate distributions. Levis Continuity Theorem and the Disintegration Theorem allow us to adequately de ne the one-dimensional limiting marginal distributions. Under Normality, we show that the parameters of the original marginal distributions are not afected, providing the means for calculating separately the welfare costs of business-cycle uctuations and of economic-growth variation. Our empirical results show that, if we consider only transitory shocks, the welfare cost of business cycles is much smaller than previously thought. Indeed, we found it to be negative - -0:03% of per-capita consumption! On the other hand, we found that the welfare cost of economic-growth variation is relatively large. Our estimate for reasonable preference-parameter values shows that it is 0:71% of consumption US$ 208:98 per person, per year.

Estimating the output gap: a SVAR approach

O presente trabalho tem por objetivo calcular o hiato do produto por meio da identificação de choques de demanda estimados por um SVAR e estudar, em um modelo de pequeno porte que utiliza essa medida de hiato, como se dá a interdependência entre a política fiscal, a política monetária e a inflação. Essa abordagem identifica uma maior sensibilidade da inflação à política fiscal do que nas estimativas usuais encontradas na literatura brasileira. Por outro lado, as estimativas para a sensibilidade da inflação à política monetária estão em linha com os resultados de outros trabalhos. A principal vantagem desta metodologia é a identificação de choques de demanda em momentos de mudança da trajetória de produto potencial, como recentemente ocorreu na economia brasileira. Além disso, ela aponta uma possível explicação para o recente paradoxo entre o baixo crescimento da atividade e a alta inflação.

Job destruction and propagation of shocks

We develop and quantitatively implement a dynamic general equilibrium model with labor market matching and endogenous deterllÚnation of the job destruction rate. The mo deI produces a elose match with data on job creation and destruction. Cyelical fluctuations in the job destruction rate serve to magnify the effects of productivity shocks on output; as well as making the effects much more persistent. Interactions between the labor and capital markets, mediated by the rental rate of capital, play the central role in propagating shocks.

The evolution of international output differences (1960-2000) : from factor to productivity

This article presents a group of exercises of leveI and growth decomposition of output per worker using cross-collntry data from 1960 to :2000. It is shown that at least llntil 197.5 factors of production (capital anel education) ",ere the main source of output dispersion across ecoIlomies and that productivity variance was considerably srnaller than in late years. Qnly after this date the prominence of productivity started to sho\\' up in the data. as the majority of the litcrature has found. The gro\\'th decomposition exercises showecl that t he reversal of relative irnportance of proeluctivity vis-a-\'is factors is explainecl by the very good (bad) performance of procluctivity of fast (slow) growing cconomies. Although growth in the pcriod, on avcragc. is mostly clue to factors accumulation. its variance is explained by productivity.

Fecundity and reproductive output of the speckled swimming crab Arenacus cribrarius (Lamarck, 1818) (Brachyura, Portunidae)

Areanaeus cribrarius females were collected over a 12-month period with otter-trawl nets in the Ubatuba littoral zone, Brazil. Ovigerous individuals were measured (CW = carapace width excluding lateral spines) and weighed (WW = wet weight). Each egg brood was weighed (WE = wet weight), dried, and the number of eggs (EN) counted. Scatterplots from EN/CW, EN/WW, and EN/WE were submitted to regression analyses. Mean relative fecundity ((F) over bar') was calculated in each month/season to assess seasonal variation of reproductive intensity. The number of eggs showed a positive correlation with CW, WW, and WE. Fecundity of A. cribrarius ranged from 135,210 to 682,156 eggs, intermediate in comparison with other portunids. Fecundity in Portunidae is typically high; lower values are found in Polybiinae and higher ones in Portuninae. Mean fecundity did not reveal significant differences over months and seasons, but reproductive activity tended to be more intense in summer and winter, a phenomenon related to reduced temperature oscillations as found in subtropical regions.

Comparison between two methods for cardiac output measurement in propofol-anesthetized dogs: thermodilution and Doppler

ObjectiveTo compare cardiac output (CO) measured by Doppler echocardiography and thermodilution techniques in spontaneously breathing dogs during continuous infusion of propofol. To do so, CO was obtained using the thermodilution method (CO(TD)) and Doppler evaluation of pulmonary flow (CO(DP)) and aortic flow (CO(DA)).Study designProspective cohort study.AnimalsEight adult dogs weighing 8.3 +/- 2.0 kg.MethodsPropofol was used for induction (7.5 +/- 1.9 mg kg-1 IV) followed by a continuous rate infusion at 0.7 mg kg-1 minute-1. The animals were positioned in left lateral recumbency on an echocardiography table that allowed for positioning of the transducer at the 3rd and 5th intercostal spaces of the left hemithorax for Doppler evaluation of pulmonary and aortic valves, respectively. CO(DP) and CO(DA) were calculated from pulmonary and aortic velocity spectra, respectively. A pulmonary artery catheter was inserted via the jugular vein and positioned inside the lumen of the pulmonary artery in order to evaluate CO(TD). The first measurement of CO(TD), CO(DP) and CO(DA) was performed 30 minutes after beginning continuous infusion (T0) and then at 15-minute intervals (T15, T30, T45 and T60). Numeric data were submitted to two-way anova for repeated measurements, Pearson's correlation coefficient and Bland & Altman analysis. Data are presented as mean +/- SD.ResultsAt T0, CO(TD) was lower than CO(DA). CO(DA) was higher than CO(TD) and CO(DP) at T30, T45 and T60. The difference between the CO(TD) and CO(DP), when all data were included, was -0.04 +/- 0.22 L minute-1 and Pearson's correlation coefficient (r) was 0.86. The difference between the CO(TD) and CO(DA) was -0.87 +/- 0.54 L minute-1 and r = 0.69. For CO(TD) and CO(DP), the difference was -0.82 +/- 0.59 L minute-1 and r = 0.61.ConclusionDoppler evaluation of pulmonary flow was a clinically acceptable method for assessing the CO in propofol-anesthetized dogs.

Population Fluctuations of Formicidae (Hymenoptera) and Araneae (Arachnida) in Two Tillage Systems in the Region of Guaíra-SP

The objective of this study was to elucidate population fluctuations of spider and ant species in forest fragments and adjacent soybean and corn crops under no-tillage and conventional tillage systems, and their correlations with meteorological factors. From Nov 2004 to Apr 2007 sampling of these arthropods at Guaira, São Paulo state was done biweekly during the cropping season and monthly during the periods between crops. To obtain samples at each experimental site, pitfall traps were distributed in 2 transects of 200 m of which 100 m was in the crop, and 100 m was in the forest fragment. Temperature and rainfall were found to have major impacts on fluctuations in population densities of ants of the genus, Pheidole, in soybean and corn crops both grown with conventional tillage and no tillage systems.

Influences of thermal and electric load fluctuations in the cogeneration attractiveness

The use of mean values of thermal and electric demand can be justifiable for synthesising the configuration and for estimating the economic results because it simplifies the analysis in a preliminary feasibility study of a cogeneration plant. For determining the cogeneration scheme that best fits the energetic needs of a process several cycles and combinations must be considered, and those technically feasible will be analysed according to economic models. Although interesting for a first approach, this procedure do not consider that the peaks and valleys present in the load patterns will impose additional constraints relatively to the equipment capacities. In this paper, the effects of thermal and electric load fluctuation to the cogeneration plant design were considered. An approach for modelling these load variability is proposed for comparing two competing thermal and electric parity competing schemes. A gas turbine associated to a heat recovery steam generator was then proposed and analysed for thermal- and electric-following operational strategies. Thermal-following option revealed to be more attractive for the technical and economic limits defined for this analysis. (c) 2006 Elsevier Ltd. All rights reserved.

LMI-based algorithm for strictly positive real systems with static output feedback

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

Observer-based state-feedback versus H-infinity output feedback control solved by LMI approach for applications in smart structures

This paper aims with the use of linear matrix inequalities approach (LMIs) for application in active vibration control problems in smart strutures. A robust controller for active damping in a panel was designed with piezoelectrical actuators in optimal locations for illustration of the main proposal. It was considered, in the simulations of the closed-loop, a model identified by eigensystem realization algorithm (ERA) and reduced by modal decomposition. We tested two differents techniques to solve the problem. The first one uses LMI approach by state-feedback based in an observer design, considering several simultaneous constraints as: a decay rate, limited input on the actuators, bounded output peak (output energy) and robustness to parametic uncertainties. The results demonstrated the vibration attenuation in the structure by controlling only the first modes and the increased damping in the bandwidth of interest. However, it is possible to occur spillover effects, because the design has not been done considering the dynamic uncertainties related with high frequencies modes. In this sense, the second technique uses the classical H. output feedback control, also solved by LMI approach, considering robustness to residual dynamic to overcome the problem found in the first test. The results are compared and discussed. The responses shown the robust performance of the system and the good reduction of the vibration level, without increase mass.