Real exchange rate misalignments

This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with fundamentals). Then, departures from equilibrium real exchange rate (misalignments) are obtained, and a Markov Switching Model is used to characterize the misalignments series as stochastic autoregressive processes governed by two states representing di¤erent means. Three are the main results we …nd: …rst, no evidence of di¤erent regimes for misalignment is found in some countries, second, some countries present one regime of no misalignment (tranquility) and the other regime with misalignment (crisis), and, third, for those countries with two misalignment regimes, the lower mean misalignment regime (appreciated) have higher persistence that the higher mean one (depreciated).

Exchange rate dynamics in Brazil

The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floating exchange rates. The empirical analysis examines the short and long term behavior of the exchange rate, interest rate (domestic and foreign) and country risk using econometric techniques such as variance decomposition, Granger causality, cointegration tests, error correction models, and a GARCH model to estimate the exchange rate volatility. The empirical findings suggest that one can argue in favor of a certain degree of endogeneity of the exchange rate and that flexible rates have not been able to insulate the Brazilian economy in the same patterns predicted by literature due to its own specificities (managed floating with the use of international reserves and domestic interest rates set according to inflation target) and to externally determined variables such as the country risk. Another important outcome is the lack of a closer association of domestic and foreign interest rates since the new exchange regime has been adopted. That is, from January 1999 to May 2004, the US monetary policy has no significant impact on the Brazilian exchange rate dynamics, which has been essentially endogenous primarily when we consider the fiscal dominance expressed by the probability of default.

Can a habit formation model really explain the forward premium anomaly?

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane’s framework under implausible parameters specifications given that the price-consumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan’s shortcut of fixing the sensivity function λ(st) at its steady state level to attain a finite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with procyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data.

A note on convergence of Peck-Shell and Green-Lin mechanisms in the Diamond-Dybvig model

We study the effects of population size in the Peck-Shell analysis of bank runs. We find that a contract featuring equal-treatment for almost all depositors of the same type approximates the optimum. Because the approximation also satisfies Green-Lin incentive constraints, when the planner discloses positions in the queue, welfare in these alternative specifications are sandwiched. Disclosure, however, it is not needed since our approximating contract is not subject to runs.

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

A Mismatch-Based Model for Memory Reconsolidation and Extinction in Attractor Networks

OSAN, R. , TORT, A. B. L. , AMARAL, O. B. . A mismatch-based model for memory reconsolidation and extinction in attractor networks. Plos One, v. 6, p. e23113, 2011.

Propriedades ópticas de nanocristais de SiGe: efeitos de dopagem e desordem

We have used ab initio calculations to investigate the electronic structure of SiGe based nanocrystals (NC s). This work is divided in three parts. In the first one, we focus the excitonic properties of Si(core)/Ge(shell) and Ge(core)/Si(shell) nanocrystals. We also estimate the changes induced by the effect of strain the electronic structure. We show that Ge/Si (Si/Ge) NC s exhibits type II confinement in the conduction (valence) band. The estimated potential barriers for electrons and holes are 0.16 eV (0.34 eV) and 0.64 eV (0.62 eV) for Si/Ge (Ge/Si) NC s. In contradiction to the expected long recombination lifetimes in type II systems, we found that the recombination lifetime of Ge/Si NC s (τR = 13.39μs) is more than one order of magnitude faster than in Si/Ge NC s (τR = 191.84μs). In the second part, we investigate alloyed Si1−xGex NC s in which Ge atoms are randomly positioned. We show that the optical gaps and electron-hole binding energies decrease linearly with x, while the exciton exchange energy increases with x due to the increase of the spatial extent of the electron and hole wave functions. This also increases the electron-hole wave functions overlap, leading to recombination lifetimes that are very sensitive to the Ge content. Finally, we investigate the radiative transitions in Pand B-doped Si nanocrystals. Our NC sizes range between 1.4 and 1.8 nm of diameters. Using a three-levels model, we show that the radiative lifetimes and oscillator strengths of the transitions between the conduction and the impurity bands, as well as the transitions between the impurity and the valence bands are strongly affected by the impurity position. On the other hand, the direct conduction-to-valence band decay is practically unchanged due to the presence of the impurity

Incommensurate spin-density-wave and metal-insulator transition in the one-dimensional periodic Anderson model

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

A new spin-2 self-dual model in D=2+1

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Unusual Yang-Lee edge singularity in the one-dimensional axial-next-to-nearest-neighbor Ising model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

GH overexpression causes muscle hypertrophy independent from local IGF-I in a zebrafish transgenic model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Monitoring the positioning of short polycationic peptides in model lipid bilayers by combining hydrogen/deuterium exchange and electrospray ionization mass spectrometry

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

A simplified Fermi Accelerator Model under quadratic frictional force

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

More than one inseminated female in colonies of the independent-founding wasp Mischocyttarus cassununga von Ihering (Hymenoptera, Vespidae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Statistics and kinetics of single-molecule electron transfer dynamics in complex environments: A simulation model study

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