Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Contracting with repeated moral hazard and private evaluations

A repeated moral hazard setting in which the Principal privately observes the Agent’s output is studied. It is shown that there is no loss from restricting the analysis to contracts in which the Agent is supposed to exert effort every period, receives a constant efficiency wage and no feedback until he is fired. The optimal contract for a finite horizon is characterized, and shown to require burning of resources. These are only burnt after the worst possible realization sequence and the amount is independent of both the length of the horizon and the discount factor (δ). For the infinite horizon case a family of fixed interval review contracts is characterized and shown to achieve first best as δ → 1. The optimal contract when δ << 1 is partially characterized. Incentives are optimally provided with a combination of efficiency wages and the threat of termination, which will exhibit memory over the whole history of realizations. Finally, Tournaments are shown to provide an alternative solution to the problem.

A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate short horizon forecasts. We find that both long and short rates respond to disequilibria in the spread in certain circumstances, which would not be evident from linear representations or from single-equation analyses of the short-term interest rate.

Os novos donos do espaço público

Pesquisa em foco: Bringing the horizon back in: the mid-range approach to organizational studies - 2013 Pesquisador: Professor Peter Spink

Especificação de um modelo para explicação e projeção de retornos do IBRX-100

Neste trabalho, propomos uma especificação de modelo econométrico na forma reduzida, estimado por mínimos quadrados ordinários (MQO) e baseado em variáveis macroeconômicas, com o objetivo de explicar os retornos trimestrais do índice de ações IBRX-100, entre 2001 e 2015. Testamos ainda a eficiência preditiva do modelo e concluímos que o erro de previsão estimado em janela móvel, com re-estimação de MQO a cada rodada, e utilização de VAR auxiliar para projeção dos regressores, é significativamente inferior ao erro de previsão associado à hipótese de Random Walk para o horizonte de previsão de um trimestre a frente.

O que fazer com o bagaço da cana de açúcar? Uma abordagem da teoria das opções reais aplicada a usinas de processamento de etanol e açúcar da região de Piracicaba

O uso de resíduos da indústria canavieira, em particular o bagaço, é tema que ganha relevância desde a retomada do mercado de biocombustíveis, quando a produção ampliou significativamente o volume daquela biomassa. Existem trabalhos que tratam de apresentar subprodutos e tecnologias alternativas para o uso deste material e um conjunto outro de trabalhos apresenta análise de cenários de viabilidade econômica destas tecnologias. O objetivo deste trabalho é avaliar pela perspectiva econômico-financeira o melhor uso do bagaço da cana em um caso real. Para isto foi utilizada a Teoria das Opções Reais, como forma de analisar a melhor destinação do bagaço no horizonte de tempo de cinco anos, em uma dada a região, em um estudo de caso de uma usina sucroenergética com possibilidade de produção de etanol de segunda geração e/ou venda do bagaço in natura. Desta forma concluiu-se no caso apresentado que a produção de etanol de segunda geração em escala industrial não atrai investimentos e, sob esta ótica, deve ser postergada pois requer significativa aumento de produtividade por tonelada de matéria seca, além de substancial redução no custo das enzimas de fermentação. Ainda, foi possível também identificar a necessidade de políticas de incentivo para atração de investimentos.

Comparação de previsões para a produção industrial brasileira considerando efeitos calendário e modelos agregados e desagregados

O trabalho tem como objetivo verificar a existência e a relevância dos Efeitos Calendário em indicadores industriais. São explorados modelos univariados lineares para o indicador mensal da produção industrial brasileira e alguns de seus componentes. Inicialmente é realizada uma análise dentro da amostra valendo-se de modelos estruturais de espaço-estado e do algoritmo de seleção Autometrics, a qual aponta efeito significante da maioria das variáveis relacionadas ao calendário. Em seguida, através do procedimento de Diebold-Mariano (1995) e do Model Confidence Set, proposto por Hansen, Lunde e Nason (2011), são realizadas comparações de previsões de modelos derivados do Autometrics com um dispositivo simples de Dupla Diferença para um horizonte de até 24 meses à frente. Em geral, os modelos Autometrics que consideram as variáveis de calendário se mostram superiores nas projeções de 1 a 2 meses adiante e superam o modelo simples em todos os horizontes. Quando se agrega os componentes de categoria de uso para formar o índice industrial total, há evidências de ganhos nas projeções de prazo mais curto.

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

ESR dating of pleistocene mammal teeth and its implications for the biostratigraphy and geological evolution of the coastal plain, Rio Grande do Sul, southern Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Diálogos da Alma: uma outra história da loucura

The tesis intends to awake a new way of looking at madness. It presents as reference the Psychiatric Hospital Doctor João Machado (Natal/RN) and histories of life and narratives of four intern residents. The research in an ethical horizon, intends to give back to the subjects the voices long silented behind the institutions walls by their families and society in general. As well as to open the interpretations of science to receive and to dialogue with other itineraries of thought that, if on one hand does not restitute the explanation of the Real, on the other hand expresses other forms to see the world. Dislocated of the bigger social environment, the people identified as insane, construct their histories endowed with autonomy and displacements in relation to the social rules and structures that characterize our society, as much as in relation to the logical principles of thought that assume an objective and rational reality. As well as a remnants bedspread configured in a complex and unfinished object, the break up of histories of life of the interns, interviews with medical on psychiatrists to the Doctor João Machado Hospital, documents of the institution and depositions of that house, were the raw material to construct, with this tesis, another chapter of the 'history of madness'. In elapsing of the work innumerable voices have been heard. Some that study the phenomenon of madness, others that live this 'state of the being' in the world. We opt to detaching the first of an open conception on the theme through intellectuals as: João da Costa Machado, Ulysses Pernambucano, Nise da Silveira and Boris Cyrulnik. They express ethics compromised to the humanity of the being

A etnopoética de Iracema: diálogo, ciência e literatura

Literary works are thought provokers that make it possible to access several forms to view the world and reality. They provide diversified points of view and infinite connections. In a particular way, among all the other forms of art expression literature is considered to be the closest to life, once it is able to reconnect all human dimensions emotional, rational, mystic, personal, universal, corporal, historic, mythical. This thesis aims at offering some reflections about the frontiers and bridges between science and literature aiming at understanding the complexity that guides them. It presents a new reading of Iracema novel: Ceará tale of José de Alencar from a meticulous incursion through new ways and natural spaces interwoven by Alencar. It tries to hear the echoes of this indianist novel in the university students today. In a broader context, it creates arguments that question the multiple threadsthat join science and literature so that a science of complexity arises distinguishing but not separating the innumerous narratives about the world. For this purpose, this thesis has as interlocutors: Antonio Candido, Charles P. Snow, Edgar Morin, Emilio Ciurana, Fritjof Capra, George Steiner, Ilya Prigogine, Isabelle Stengers, Roger Chartier, Roland Barthes. The plot presented here does not limit the novel to science, but makes it a rereading of the word, of life, once this is the raw material of books. As a methodological strategy, we rebuilt Iracema´s character trips in a way to update the novel, resulting in the video documentary Iracema ways: the arid and remote interior, the plateau, the sea. Iracema novel and character enhancing dialogs that allow the dichotomy rupture between two cultures (Charles P. Snow), recognizing they are not incommunicable and revealing the core argument of the thesis: Iracema belongs to a complex category. It is a hybrid novel that is far, far away from that bluish plateau in the horizon

Clara Nunes como obra de arte: a epistemologia das ciências humanas a partir da cultura musical

The thesis has its largest array in the reorganization of science that is built from the middle of the last century and its horizon reconnection between scientific culture and humanistic culture, and the dialogue between science, art and literature. This epistemological regeneration view of the scientific paradigm incorporates the poetic language and sociological analysis, and brings out a complex, open and transdisciplinary narrative. To undertake this exercise as interlocutors we have thinkers like Nietzsche, Lévi-Strauss, Edgar Morin and Bruno Latour, to name a few, and as a reference for analyzing the entire artistic production of one of the icons of Brazilian music, Clara Nunes. It is problematized up in this work, through the singer s discography, lyrics and fragments of her biography, the construction of a social character that politicized culture, increased the mestizo consciousness of popular imagery, and exceeded the excessively prosaic narratives of the academic and scientific culture. The central argument of the thesis recognizes a Hybrid Subject Clara Nunes, as indeed is what is expected of the politically engaged intellectual in the 21st century

O voto e seus enigmas: A dimensão subjetiva das escolhas eleitorais

Ce travail analyse la portée subjective des Choix Électoraux à travers la notion psychanalytique du désarroi humain. Nous avons développé cette recherche ayant pour référence la pensée de Freud et de Lacan et suivant les jalons posés par les penseurs des sciences sociales nous nous sommes rapprochées de la réalité sociale pour y « atteindre sur son horizon la subjectivité de notre époque ». La condition de désarroi fait partie de la structuration du sujet, du fait qu il dépend entièrement de l Autre pour se construire. Cependant l être humain se crée des mécanismes pour se protéger du désarroi absolu, il trouve des arts de vivre qui lui rendent plus facile sa condition d être. Les idéaux, les pactes sociaux ce sont des modalités de sécurité sans lesquelles le sujet fixe ses particularités sans s engager dans le processus civilisatoire. Nous caractérisons la société contemporaine par la chute successive d une série d idéaux qui fait monter de plus en plus le désarroi. Dans l absence d idéaux sociaux et politiques sur lesquels l électeur puisse se repérer, nous remaquons une tendance vers l individualisme et vers l absence d investissements dans des projets colectifs. Cette façon d opérer se dévoile aussi au moment de choisir un candidat, ce qui se base sur la logique du particulier motivée par des perspectives individuelles, sans liens avec la promotion de la vie publique. Notre enquête a été réalisée à Natal durant la campagne électorale de 2002. Notre objectif est de comprendre surtout la logique des choix électoraux de la population de la périphérie, celle qui se trouve devant un double désarroi : celle de sa condition humaine et celle qu advient de la précaire condition de subsistance. Nous soutenons que l idée selon laquelle le candidat, par la position qu il occupe dans la société, détient la fonction d offrir quelques garanties à l électeur et de cette manière il entre dans la série de ce qui peut soulager et promouvoir un certain réconfort aux personnes, même si l on considère le fait que l électeur ne croit plus à ses représentants. Nous sommes partis des questions suivantes: comment identifier la dimension subjective des choix électoraux et de quelle manière celle-ci se manifeste-t-elle de nos jours ? Comment se passe le choix éléctoral de la population qui est à la marge du système? La thèse que nous soutenons est que l état de désarroi est un substrat subjectif qui est la base de tout choix éléctoral mais qui se configure de façon différenciée à partir des références de l électeur, de son contexte historique, des facteurs économiques, etc. Le sujet, face à son désarroi, construit des chemins pour pouvoir soutenir son existence ce que nous appellons ici un Projet Directionnel. Ce facteur directionnel est l un des éléments de motivation des électeurs dans leurs choix électoraux

Estimativa da erodibilidade do solo para fins conservacionistas na microbacia córrego do Tijuco, SP

The soil erodibility factor is represented by the integrated effect of processes that regulate the water infiltration, soil resistance and the transport of soil particles. Therefore, this study had as objective to estimate the soil erodibility in the Corrego do Tijuco watershed, São Paulo State, Brazil, for guiding farmers in decision making for application of techniques for soil conservation. The soil samples were collected in a regular spacing of 500 m, resulting in a total of 310 points in a 0-20.0 m depth in an area of approximately 8,000 ha. For the estimation of soil erodibility (K) was applied a mathematical model which takes into account the soil organic matter content, the sand and silt size fractions, the soil permeability, and the particle mean diameter for each point of soil sampling. Estimated values greater than 0.040 Mg ha h ha(-1) MJ(-1) mm(-1) were considered very high for this factor. In areas with greater degree of erodibility occurs the Argisols order predominance, that shows high susceptibility to the development of interrill erosion due to its remarkable performance in relation to textural gradient, thereby, the interrill erosion rates can be very intensive due to rapid saturation of upper horizon, increasing the erosion process. At the Latosols (Oxisols) areas were also observed high soil erodibility values that under inappropriate conditions of soil occupation, concentrating runoff of rain water, leading to appear deep gullies.

Livre expressão :para que te quero? o interesse público no ensino do Jornalismo

The main objective of this research was studying the meanings of the freedom of expression and what professors of Journalism think about the way those meanings are used in pedagogical practices. The term freedom of expression is commonly used in journalism even though it is not so studied, consequently we don t have a word to define it. Therefore, we related the term freedom of expression in Journalism teaching to the condition as the object of this study, aiming to establish a connection among the term, the right, free expression and the endurance of the right. The theorical support to understand the dynamic of the meanings of the freedom of expression in the social practice of Journalism teaching was based in the Hegeliana dialetic theorical principles and in the language philosophy more specifically in Bakhtin s perspective from which we can mention the social auditorium, immediate conditions of production and a wider social horizon as the main categories of analysis. This study is a qualitative research with an interacionist perspective anchored in a semi-structured interview as a privileged method of data collecting made with ten professors from Journalism graduation. The analysis reveals that, in the interviewers perspective, there would be a deceiving practice from freedom of expression in the journalism teaching in which emerges either in speeches with handbills spreading the fear and/or under a stimulus form to concealment