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.

Influência de parâmetros moleculares em funções de correlação temporal na dinâmica de solvatação mecânica

No presente trabalho descrevemos nossos resultados relativos à investigação da dinâmica de solvatação mecânica por meio de simulações por dinâmica molecular, respeitando o regime da resposta linear, em sistemas-modelo de argônio líquido com um soluto monoatômico ou diatômico dissolvido. Estudamos sistematicamente a influência dos parâmetros moleculares dos solutos (tamanho, polarizabilidade) e da densidade frente a vários modelos de solvatação. Funções de Correlação Temporal da Energia de Solvatação foram calculadas com relação à correlações de n-corpos (n = 2; 3) distinguindo interações repulsivas e atrativas para ambos os sistemas líquidos. Também obtivemos segundas derivadas temporais dessas funções referindo-se à parcelas translacionais, rotacionais e roto-translacionais na solução do diatômico. Encontramos que funções de correlação temporal coletivas podem ser razoavelmente bem aproximadas por correlações binárias a densidades baixas e, a densidades altas, correlações ternárias tornam-se mais importantes produzindo um descorrelacionamento mais rápido das funções coletivas devido a efeitos de cancelamento parciais. As funções de correlação para interações repulsivas e atrativas exibem comportamentos dinâmicos independentes do modelo de solvatação devido a fatores de escalonamento linear que afetam apenas as amplitudes das dessas funções de correlação temporal. Em geral, os sistemas com grau de liberdade rotacional apresentam tempos de correlação mais curtos para a dinâmica coletiva e tempos de correlação mais longos para as funções binárias e ternárias. Finalmente, esse estudo mostra que os sistemas contendo o diatômico relaxam-se predominantemente por mecanismos translacionais binários em modelos de solvatação envolvendo alterações apenas na polarizabilidade do soluto, e por mecanismos rotacionais atrativos binários em modelos envolvendo alterações no comprimento de ligação.

Fiscal policy in Brazil: from counter-cyclical response to crisis

The main goal of this article is to identify the dynamic effects of fiscal policy on output in Brazil from 1997 to 2014, and, more specifically, to estimate those effects when the output falls below its potential level. To do so, we estimate VAR (vector autoregressive) models to generate impulse-response functions and causality/endogeneity tests. Our most remarkable results indicate the following channel of economic policy in Brazil: to foster output, government spending increases causing increases in both tax rates and revenue and the short-term interest rate. A fiscal stimulus via spending seems efficient for economic performance as well as monetary policy; however, the latter operates pro-cyclically in the way we defined here, while the former is predominantly countercyclical. As the monetary shock had a negative effect on GDP growth and GDP growth responded positively to the fiscal shock, it seems that the economic policy has given poise to growth with one hand and taken it with the other one. The monetary policy is only reacting to the fiscal stimuli. We were not able to find any statistically significant response of the output to tax changes, but vice versa seems work in the Brazilian case.

Estimates of genetic parameters for visual scores and their correlation with production and reproductive traits in Brahman cattle

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

Benthic response to upwelling events off the SE Brazilian coast

The main aim of the present study was to evaluate and compare temporal responses of the benthos in 2 continental shelf areas (Cabo Frio and Ubatuba) off the SE Brazilian coast. In Cabo Frio (23 degrees S, 42 degrees W), the western boundary coastal upwelling of the South Atlantic Central Water (SACW) enhances primary productivity, potentially increasing food supply to the benthic communities via sinking of particulate organic carbon (POC). In contrast, POC fluxes in Ubatuba (23 degrees S, 45 degrees W) are expected to be comparatively lower because SACW remains subsurface. We analyzed the temporal and spatial input of phytodetritus (concentration of chlorophyll a in sediments) and the benthic microbial biomass (estimated by ATP-based carbon content in sediments). Median surface chlorophyll concentration was computed for all daily available SeaWiFS images (from 2001 and 2002) to follow chlorophyll a inputs. All parameters used to investigate benthic responses in the study areas showed consistently higher values in Cabo Frio than in Ubatuba. The results showed that benthic response to upwelling may last months, fueling the microbial communities in the Cabo Frio region.

Changes in phytoplankton composition in response to tides, wind-induced mixing conditions, and freshwater outflows in an urbanised estuarine complex

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

Physiological response of American bullfrog tadpoles to stressor conditions of capture and hypoxia

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

Estimates of genetic parameters for visual scores and daily weight gain in Brangus animals

(Co) variance components were estimated for visual scores of conformation (CY), early finishing (PY) and muscling (MY) at 550 days of age (yearling), average daily gain from weaning to yearling (GWY), conformation (CW), early finishing (PW) and muscling (MW) scores at weaning, and average daily gain from birth to weaning (GBW) in animals forming the Brazilian Brangus breed born between 1986 and 2002 from the livestock files of GenSys Consultants Associados S/C Ltda. The data set contained 53 683; 45 136; 52 937; 56 471; 24 531; 21 166; 24 006 and 25 419 records for CW, PW, MW, GBW, CY, PY, MY and GWY, respectively. Data were analyzed by the restricted maximum likelihood method using single-and two-trait animal models. Direct heritability estimates obtained by single-trait analysis were 0.12, 0.14, 0.13 and 0.14 for CY, PY and MY scores and GWY, respectively. A positive association was observed between the same visual scores at weaning and yearling, with correlations ranging from 0.64 to 0.94. Estimated correlations between GBW and weaning and yearling scores ranged from 0.60 to 0.77. The genetic correlation between GBW and GWY was low (0.10), whereas correlations of 0.55, 0.37 and 0.47 were observed between GWY and CY, PY and MY, respectively. Moreover, GWY showed a weak correlation with CW (0.10), PW (-0.08) and MW (-0.03) scores. These results indicate that selection of the traits that was studied would result in a small response. In addition, selection based on average daily gain may have an indirect effect on visual scores as the correlations between GWY and visual scores were generally strong.

Genetic parameters and environmental effects on temperament score and reproductive traits of Nellore cattle

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Functional response of Telenomus remus Nixon(Hymenoptera, Scelionidae) to Spodoptera frugiperda (J. E. Smith) (Lepidoptera, Noctuidae) eggs: effect of female age

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Response of minimally processed carambola to chemical treatments and low-oxygen atmospheres

Fresh-cut carambola (Averrhoa carambola L.) has limited marketability due to cut-surface browning. The effect of chemical treatments (ascorbic acid, citric acid and Ca-EDTA), controlled atmosphere (0.4-20.3% O-2) and the association of these processes was investigated. Post-cutting dip and low-oxygen atmospheres did not prevent discoloration or improve sensory and physicochemical parameters. However, ascorbic acid (0.5% and 1%) dips reduced polyphenol oxidase (PPO) activity during storage at 4.5 degrees C, with 1% ascorbic acid inducing the lowest activity. Although cut-surface browning of 'Maha' slices was not relevant, carambola slices treated with 1% ascorbic acid in association with 0.4% oxygen did not present significant browning or loss of visual quality for up to 12 days, 3 days longer than low oxygen alone (0.4% O-2), thus, their quality can be significantly improved by combining both treatments. (c) 2007 Elsevier B.V. All rights reserved.

Genetic parameters and relationships between heifers rebreeding and hip height in Nellore cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Genetic parameters for an alternative criterion to improve productive longevity of Nellore cows

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

Genetic parameters and relationships of heifer pregnancy and age at first calving with weight gain, yearling and mature weight in Nelore cattle

The objectives of the current study were to investigate the additive genetic associations between heifer pregnancy at 16 months of age (HP16) and age at first calving (AFC) with weight gain from birth to weaning (WG), yearling weight (YW) and mature weight (MW), in order to verify the possibility of using the traits measured directly in females as selection criteria for the genetic improvement of sexual precocity in Nelore cattle. (Co)variance components were estimated by Bayesian inference using a linear animal model for AFC, WG, YW and MW and a nonlinear (threshold) animal model for HP16. The posterior means of direct heritability estimates were: 0.45 +/- 0.02; 0.10 +/- 0.01; 023 +/- 0.02; 0.36 +/- 0.01 and 0.39 +/- 0.04, for HP16, AFC, WG, YW and MW, respectively. Maternal heritability estimate for WG was 0.07 +/- 0.01. Genetic correlations estimated between HP16 and WG, YW and MW were 0.19 +/- 0.04; 0.25 +/- 0.06 and 0.14 +/- 0.05, respectively. The genetic correlations of AFC with WG, YW and MW were low to moderate and negative, with values of -0.18 +/- 0.06; -0.22 +/- 0.05 and -0.12 +/- 0.05, respectively. The high heritability estimated for HP16 suggests that this trait seem to be a better selection criterion for females sexual precocity than AFC. Long-term selection for animals that are heavier at young ages tends to improve the heifers sexual precocity evaluated by HP16 or AFC. Predicted breeding values for HP16 can be used to select bulls and it can lead to an improvement in sexual precocity. The inclusion of HP16 in a selection index will result in small or no response for females mature weight. (C) 2011 Elsevier B.V. All rights reserved.

Genetic parameters of total milk yield and factors describing the shape of lactation curve in dairy buffaloes

The objective of this study was to apply factor analysis to describe lactation curves in dairy buffaloes in order to estimate the phenotypic and genetic association between common latent factors and cumulative milk yield. A total of 31 257 monthly test-day milk yield records from buffaloes belonging to herds located in the state of São Paulo were used to estimate two common latent factors, which were then analysed in a multi-trait animal model for estimating genetic parameters. Estimates of (co)variance components for the two common latent factors and cumulated 270-d milk yield were obtained by Bayesian inference using a multiple trait animal model. Contemporary group, number of milkings per day (two levels) and age of buffalo cow at calving (linear and quadratic) as covariate were included in the model as fixed effects. The additive genetic, permanent environmental and residual effects were included as random effects. The first common latent factor (F1) was associated with persistency of lactation and the second common latent factor (F2) with the level of production in early lactation. Heritability estimates for Fl and F2 were 0.12 and 0.07, respectively. Genetic correlation estimates between El and F2 with cumulative milk yield were positive and moderate (0.63 and 0.52). Multivariate statistics employing factor analysis allowed the extraction of two variables (latent factors) that described the shape of the lactation curve. It is expected that the response to selection to increase lactation persistency is higher than the response obtained from selecting animals to increase lactation peak. Selection for higher total milk yield would result in a favourable correlated response to increase the level of production in early lactation and the lactation persistency.