Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil

Este trabalho visa analisar a dinâmica das expectativas de inflação em função das condições macroeconômicas. Para tal, extraímos as curvas de inflação implícita na curva de títulos públicos pré-fixados e estimamos um modelo de fatores dinâmicos para sua estrutura a termo. Os fatores do modelo correspondem ao nível, inclinação e curvatura da estrutura a termo, que variam ao longo do tempo conforme os movimentos no câmbio, na inflação, no índice de commodities e no risco Brasil implícito no CDS. Após um choque de um desvio padrão no câmbio ou na inflação, a curva de inflação implícita se desloca positivamente, especialmente no curto prazo e no longo prazo. Um choque no índice de commodities também desloca a curva de inflação implícita positivamente, afetando especialmente a parte curta da curva. Em contraste, um choque no risco Brasil desloca a curva de inflação implícita paralelamente para baixo.

Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro

A tradicional representação da estrutura a termo das taxas de juros em três fatores latentes (nível, inclinação e curvatura) teve sua formulação original desenvolvida por Charles R. Nelson e Andrew F. Siegel em 1987. Desde então, diversas aplicações vêm sendo desenvolvidas por acadêmicos e profissionais de mercado tendo como base esta classe de modelos, sobretudo com a intenção de antecipar movimentos nas curvas de juros. Ao mesmo tempo, estudos recentes como os de Diebold, Piazzesi e Rudebusch (2010), Diebold, Rudebusch e Aruoba (2006), Pooter, Ravazallo e van Dijk (2010) e Li, Niu e Zeng (2012) sugerem que a incorporação de informação macroeconômica aos modelos da ETTJ pode proporcionar um maior poder preditivo. Neste trabalho, a versão dinâmica do modelo Nelson-Siegel, conforme proposta por Diebold e Li (2006), foi comparada a um modelo análogo, em que são incluídas variáveis exógenas macroeconômicas. Em paralelo, foram testados dois métodos diferentes para a estimação dos parâmetros: a tradicional abordagem em dois passos (Two-Step DNS), e a estimação com o Filtro de Kalman Estendido, que permite que os parâmetros sejam estimados recursivamente, a cada vez que uma nova informação é adicionada ao sistema. Em relação aos modelos testados, os resultados encontrados mostram-se pouco conclusivos, apontando uma melhora apenas marginal nas estimativas dentro e fora da amostra quando as variáveis exógenas são incluídas. Já a utilização do Filtro de Kalman Estendido mostrou resultados mais consistentes quando comparados ao método em dois passos para praticamente todos os horizontes de tempo estudados.

Estratégias de imunização de carteira de renda fixa no Brasil

Este trabalho visa comparar, estatisticamente, o desempenho de duas estratégias de imunização de carteiras de renda fixa, que são recalibradas periodicamente. A primeira estratégia, duração, considera alterações no nível da estrutura a termo da taxa de juros brasileira, enquanto a abordagem alternativa tem como objetivo imunizar o portfólio contra oscilações em nível, inclinação e curvatura. Primeiro, estimamos a curva de juros a partir do modelo polinomial de Nelson & Siegel (1987) e Diebold & Li (2006). Segundo, imunizamos a carteira de renda fixa adotando o conceito de construção de hedge de Litterman & Scheinkman (1991), porém assumindo que as taxas de juros não são observadas. O portfólio imunizado pela estratégia alternativa apresenta empiricamente um desempenho estatisticamente superior ao procedimento de duração. Mostramos também que a frequência ótima de recalibragem é mensal na análise empírica.

Legal enforcement, collateral and heterogeneity of project financing contracts

This paper employs mechanism design to study the effects of imperfect legal enforcement on optimal scale of projects, borrowing interest rates and the probability of default. The analysis departs from an environment that combines asymmetric information about cash flows and limited commitment by borrowers. Incentive for repayment comes from the possibility of liquidation of projects by a court, but courts are costly and may fail to liquidate. The value of liquidated assets can be used as collateral: it is transferred to the lender when courts liquidate. Examples reveal that costly use of courts may be optimal, which contrasts with results from most limited commitment models, where punishments are just threats, never applied in optimal arrangements. I show that when voluntary liquidation is allowed, both asymmetric information and uncertainty about courts are necessary conditions for legal punishments ever to be applied. Numerical solutions for several parametric specifications are presented, allowing for heterogeneity on initial wealth and variability of project returns. In all such solutions, wealthier individuals borrow with lower interest rates and run higher scale enterprises, which is consistent with stylized facts. The reliability of courts has a consistently positive effect on the scale of projects. However its effect on interest rates is subtler and depends essentially on the degree of curvature of the production function. Numerical results also show that the possibility of collateral seizing allows comovements of the interest rates and the probability of repayment.

The position effect of structural Eucalyptus round timber on the flexural modulus of elasticity

A madeira roliça possui grande emprego nas construções civis, desempenhando a função de vigas, colunas, fundações, postes para distribuição de energia elétrica, entre outras, apresentando a vantagem de não ser processada, como é o caso da madeira serrada. O projeto envolvendo elementos roliços requer, além de outras variáveis estruturais, o conhecimento do módulo de elasticidade. No Brasil, os documentos normativos que tratam da determinação das propriedades de rigidez e resistência para peças roliças de madeira estão em vigência há mais de vinte anos sem revisão técnica. A madeira roliça, por geralmente possuir eixo com curvatura não nula, pode apresentar, segundo a posição da peça no ensaio de flexão, valores diferentes do módulo de elasticidade. Este trabalho tem como objetivo analisara influência da posição de peças roliças de madeira de Eucalyptus grandis na determinação do módulo de elasticidade na flexão. O ensaio de flexão utilizado é o de três pontos, sendo cada peça avaliada em duas posições distintas, definidas mediante o giro da seção transversal em torno do eixo. Os resultados encontrados indicam a necessidade do ensaio de flexão em, pelo menos, duas posições distintas da peça.

Influência do 1-MCP na conservação pós-colheita de rosas cv. Vega

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

Medição e modelagem da resposta de um sensor de pig perfilométrico sob diferentes solicitações dinâmicas

Ensure the integrity of the pipeline network is an extremely important factor in the oil and gas industry. The engineering of pipelines uses sophisticated robotic inspection tools in-line known as instrumented pigs. Several relevant factors difficult the inspection of pipelines, especially in offshore field which uses pipelines with multi-diameters, radii of curvature accentuated, wall thickness of the pipe above the conventional, multi-phase flow and so on. Within this context, appeared a new instrumented Pig, called Feeler PIG, for detection and sizing of thickness loss in pipelines with internal damage. This tool was developed to overcome several limitations that other conventional instrumented pigs have during the inspection. Several factors influence the measurement errors of the pig affecting the reliability of the results. This work shows different operating conditions and provides a test rig for feeler sensors of an inspection pig under different dynamic loads. The results of measurements of the damage type of shoulder and holes in a cyclic flat surface are evaluated, as well as a mathematical model for the sensor response and their errors from the actual behavior

Influência dos modelos digitais de terreno na modelagem de circulação hidrodinâmica 2DH: um estudo de caso

Digital Elevation Models (DEM) are numerical representations of a portion of the earth surface. Among several factors which affect the quality of a DEM, it should be emphasized the attention on the input data and the choice of the interpolating algorithm. On the other hand, several numerical models are used nowadays to characterize nearshore hydrodynamics and morphological changes in coastal areas, whose validation is based on field data collection. Independent on the complexity of the physical processes which are modeled, little attention has been given to the intrinsic bathymetric interpolation built within the numerical models of the specific application. Therefore, this study aims to investigate and to quantify the influence of the bathymetry, as obtained by a DEM, on the hydrodynamic circulation model at a coastal stretch, off the coast of the State of Rio Grande do Norte, Northeast Brazil. This coastal region is characterized by strong hydrodynamic and littoral processes, resulting in a very dynamic morphology with shallow coastal bathymetry. Important economic activities, such as oil exploitation and production, fisheries, salt ponds, shrimp farms and tourism, also bring impacts upon the local ecosystems and influence themselves the local hydrodynamics. This fact makes the region one of the most important for the development of the State, but also enhances the possibility of serious environmental accidents. As a hydrodynamic model, SisBaHiA® - Environmental Hydrodynamics System ( Sistema Básico de Hidrodinâmica Ambiental ) was chosen, for it has been successfully employed at several locations along the Brazilian coast. This model was developed at the Coastal and Oceanographical Engineering Group of the Ocean Engineering Program at the Federal University of Rio de Janeiro. Several interpolating methods were tested for the construction of the DEM, namely Natural Neighbor, Kriging, Triangulation with Linear Interpolation, Inverse Distance to a Power, Nearest Neighbor, and Minimum Curvature, all implemented within the software Surfer®. The bathymetry which was used as reference for the DEM was obtained from nautical charts provided by the Brazilian Hydrographic Service of the Brazilian Navy and from a field survey conducted in 2005. Changes in flow velocity and free surface elevation were evaluated under three aspects: a spatial vision along three profiles perpendicular to the coast and one profile longitudinal to the coast as shown; a temporal vision from three central nodes of the grid during 30 days; a hodograph analysis of components of speed in U and V, by different tidal cycles. Small, but negligible, variations in sea surface elevation were identified. However, the differences in flow and direction of velocities were significant, depending on the DEM

Avaliação da coluna vertebral: relação entre gibosidade e curvas sagitais por método não-invasivo

Os objetivos do estudo foram avaliar o alinhamento, no plano sagital, da coluna de indivíduos com alterações na medida da gibosidade, comparando com um grupo sem alterações; testar a confiabilidade do instrumento utilizado e verificar se existem correlações entre as medidas da gibosidade e os valores das curvaturas vertebrais. Foram avaliados 40 jovens, divididos em grupo controle - ausência ou presença de gibosidades inferiores a 0,5 cm na curvatura torácica e 0,7 cm na lombar (n=20) e, grupo experimental - gibosidades superiores às descritas (n=20). A gibosidade e as curvaturas no plano sagital foram mensuradas com um instrumento adaptado a um nível d'água e o teste de Adams. As coletas foram realizadas em duas datas distintas, nos dois grupos. Após aplicação do teste Mann-Whitney não foi encontrada diferença entre as ocasiões de coletas e, emparelhando-se os grupos, foi encontrada diferença apenas na medida cervical. Na verificação de existência de relação entre as medidas coletadas, foi encontrada correlação linear (Spearmann) no grupo controle - curvatura torácica e gibosidade torácica; em ambos os grupos - curvaturas torácica e lombar; e no grupo experimental - gibosidade torácica e as curvaturas lombar e sacral e, curvatura sacral e curvaturas torácica e lombar. Pôde-se concluir que a medida da gibosidade tem relações com as curvaturas no plano sagital. Por ser um método confiável, simples e acessível, pode ser reproduzido sem altos custos financeiros e sem causar prejuízo à saúde do paciente.

Efeitos não-gaussianos em astrofísica e cosmologia

The recent astronomical observations indicate that the universe has null spatial curvature, is accelerating and its matter-energy content is composed by circa 30% of matter (baryons + dark matter) and 70% of dark energy, a relativistic component with negative pressure. However, in order to built more realistic models it is necessary to consider the evolution of small density perturbations for explaining the richness of observed structures in the scale of galaxies and clusters of galaxies. The structure formation process was pioneering described by Press and Schechter (PS) in 1974, by means of the galaxy cluster mass function. The PS formalism establishes a Gaussian distribution for the primordial density perturbation field. Besides a serious normalization problem, such an approach does not explain the recent cluster X-ray data, and it is also in disagreement with the most up-to-date computational simulations. In this thesis, we discuss several applications of the nonextensive q-statistics (non-Gaussian), proposed in 1988 by C. Tsallis, with special emphasis in the cosmological process of the large structure formation. Initially, we investigate the statistics of the primordial fluctuation field of the density contrast, since the most recent data from the Wilkinson Microwave Anisotropy Probe (WMAP) indicates a deviation from gaussianity. We assume that such deviations may be described by the nonextensive statistics, because it reduces to the Gaussian distribution in the limit of the free parameter q = 1, thereby allowing a direct comparison with the standard theory. We study its application for a galaxy cluster catalog based on the ROSAT All-Sky Survey (hereafter HIFLUGCS). We conclude that the standard Gaussian model applied to HIFLUGCS does not agree with the most recent data independently obtained by WMAP. Using the nonextensive statistics, we obtain values much more aligned with WMAP results. We also demonstrate that the Burr distribution corrects the normalization problem. The cluster mass function formalism was also investigated in the presence of the dark energy. In this case, constraints over several cosmic parameters was also obtained. The nonextensive statistics was implemented yet in 2 distinct problems: (i) the plasma probe and (ii) in the Bremsstrahlung radiation description (the primary radiation from X-ray clusters); a problem of considerable interest in astrophysics. In another line of development, by using supernova data and the gas mass fraction from galaxy clusters, we discuss a redshift variation of the equation of state parameter, by considering two distinct expansions. An interesting aspect of this work is that the results do not need a prior in the mass parameter, as usually occurs in analyzes involving only supernovae data.Finally, we obtain a new estimate of the Hubble parameter, through a joint analysis involving the Sunyaev-Zeldovich effect (SZE), the X-ray data from galaxy clusters and the baryon acoustic oscillations. We show that the degeneracy of the observational data with respect to the mass parameter is broken when the signature of the baryon acoustic oscillations as given by the Sloan Digital Sky Survey (SDSS) catalog is considered. Our analysis, based on the SZE/X-ray data for a sample of 25 galaxy clusters with triaxial morphology, yields a Hubble parameter in good agreement with the independent studies, provided by the Hubble Space Telescope project and the recent estimates of the WMAP

Black string corrections in variable tension braneworld scenarios

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Analytical attitude prediction of spin stabilized spacecrafts perturbed by magnetic residual torque

An analytical approach for spin-stabilized spacecraft attitude prediction is presented for the influence of the residual magnetic torques. Assuming an inclined dipole model for the Earth's magnetic field, an analytical averaging method is applied to obtain the mean residual torque every orbital period. The orbit mean anomaly is utilized to compute the average components of residual torque in the spacecraft body frame reference system. The theory is developed for time variations in the orbital elements, and non-circular orbits, giving rise to many curvature integrals. It is observed that the residual magnetic torque does not have component along the spin axis. The inclusion of this torque on the rotational motion differential equations of a spin stabilized spacecraft yields conditions to derive an analytical solution. The solution shows that residual torque does not affect the spin velocity magnitude, contributing only for the precession and the drift of the spin axis of the spacecraft. (c) 2005 COSPAR. Published by Elsevier Ltd. All rights reserved.

Rotura gástrica por barotrauma

Barogenic rupture of the stomach is a rare complication following cardiopulmonary resuscitation, administration of nasal oxygen by catheter and diving accidents. We report a case of gastric barotrauma following oroesophageal intubation. In most cases, the tears occur along the lesser curvature, what have been already attributed to Laplace's formula and, more recently, to morphological features of the stomach.

Teorias f(R) de gravidade na formulação de Palatini

In this dissertation, after a brief review on the Einstein s General Relativity Theory and its application to the Friedmann-Lemaitre-Robertson-Walker (FLRW) cosmological models, we present and discuss the alternative theories of gravity dubbed f(R) gravity. These theories come about when one substitute in the Einstein-Hilbert action the Ricci curvature R by some well behaved nonlinear function f(R). They provide an alternative way to explain the current cosmic acceleration with no need of invoking neither a dark energy component, nor the existence of extra spatial dimensions. In dealing with f(R) gravity, two different variational approaches may be followed, namely the metric and the Palatini formalisms, which lead to very different equations of motion. We briefly describe the metric formalism and then concentrate on the Palatini variational approach to the gravity action. We make a systematic and detailed derivation of the field equations for Palatini f(R) gravity, which generalize the Einsteins equations of General Relativity, and obtain also the generalized Friedmann equations, which can be used for cosmological tests. As an example, using recent compilations of type Ia Supernovae observations, we show how the f(R) = R − fi/Rn class of gravity theories explain the recent observed acceleration of the universe by placing reasonable constraints on the free parameters fi and n. We also examine the question as to whether Palatini f(R) gravity theories permit space-times in which causality, a fundamental issue in any physical theory [22], is violated. As is well known, in General Relativity there are solutions to the viii field equations that have causal anomalies in the form of closed time-like curves, the renowned Gödel model being the best known example of such a solution. Here we show that every perfect-fluid Gödel-type solution of Palatini f(R) gravity with density and pressure p that satisfy the weak energy condition + p 0 is necessarily isometric to the Gödel geometry, demonstrating, therefore, that these theories present causal anomalies in the form of closed time-like curves. This result extends a theorem on Gödel-type models to the framework of Palatini f(R) gravity theory. We derive an expression for a critical radius rc (beyond which causality is violated) for an arbitrary Palatini f(R) theory. The expression makes apparent that the violation of causality depends on the form of f(R) and on the matter content components. We concretely examine the Gödel-type perfect-fluid solutions in the f(R) = R−fi/Rn class of Palatini gravity theories, and show that for positive matter density and for fi and n in the range permitted by the observations, these theories do not admit the Gödel geometry as a perfect-fluid solution of its field equations. In this sense, f(R) gravity theory remedies the causal pathology in the form of closed timelike curves which is allowed in General Relativity. We also examine the violation of causality of Gödel-type by considering a single scalar field as the matter content. For this source, we show that Palatini f(R) gravity gives rise to a unique Gödeltype solution with no violation of causality. Finally, we show that by combining a perfect fluid plus a scalar field as sources of Gödel-type geometries, we obtain both solutions in the form of closed time-like curves, as well as solutions with no violation of causality

Interpretação sísmica e análise de atributos - área do levantamento sísmico 3D de siririzinho (Bacia Sergipe-Alagoas, NE do Brasil)

The main objective of the present thesis was the seismic interpretation and seismic attribute analysis of the 3D seismic data from the Siririzinho high, located in the Sergipe Sub-basin (southern portion of Sergipe-Alagoas Basin). This study has enabled a better understanding of the stratigraphy and structure that the Siririzinho high experienced during its development. In a first analysis, we used two types of filters: the dip-steered median filter, was used to remove random noise and increase the lateral continuity of reflections, and fault-enhancement filter was applied to enhance the reflection discontinuities. After this filtering step similarity and curvature attributes were applied in order to identify and enhance the distribution of faults and fractures. The use of attributes and filtering greatly contributed to the identification and enhancement of continuity of faults. Besides the application of typical attributes (similarity and curvature) neural network and fingerprint techniques were also used, which generate meta-attributes, also aiming to highlight the faults; however, the results were not satisfactory. In a subsequent step, well log and seismic data analysis were performed, which allowed the understanding of the distribution and arrangement of sequences that occur in the Siririzinho high, as well as an understanding of how these units are affected by main structures in the region. The Siririzinho high comprises an elongated structure elongated in the NS direction, capped by four seismo-sequences (informally named, from bottom to top, the sequences I to IV, plus the top of the basement). It was possible to recognize the main NS-oriented faults, which especially affect the sequences I and II, and faults oriented NE-SW, that reach the younger sequences, III and IV. Finally, with the interpretation of seismic horizons corresponding to each of these sequences, it was possible to define a better understanding of geometry, deposition and structural relations in the area.