Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

Feasibility analysis for biofuel production and investment recommendation

A FGV Projetos posiciona-se com destaque no desenvolvimento de projetos e estudos sobre biocombustíveis. Especialistas no assunto apontam para a viabilidade da produção de biocombustíveis em diversos países, e recomendam investimentos em toda a cadeia produtiva, específicos para cada localidade. Isso permitirá aos países que desejam reduzir a dependência por combustíveis fósseis, tais como o petróleo, a diversificação da matriz energética, o aumento do emprego no campo, e uma melhora do saldo comercial. Este documento apresenta síntese dos trabalhos realizados e em desenvolvimento, e tem como base os estudos de viabilidade para a produção de biocombustíveis de El Salvador e da República Dominicana.

Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

Aggregate vs disaggregate data analysis: a paradox in the estimation of money demand function of Japan under the low interest rate policy

We investigate the issue of whether there was a stable money demand function for Japan in 1990's using both aggregate and disaggregate time series data. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of liquidity trapo Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We also conduct simulation analysis to show that when heterogeneity among micro units is present. The prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations. Moreover. policy evaluation based on aggregate data can be grossly misleading.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

A Fruticultura Irrigada de pequenos produtores no Baixo-Açu: Uma análise da eficiência de custo

This work has as an objective analyze the efficiency of producers costs of the irrigation Project Baixo-Açu , and identify the determining factors of this efficiency. To achieve these targets it was estimated, in a first stage, a frontier of costs by the method, non parametric of Data Envelopment Analysis-DEA, and measured the stakes of efficiency producers. On the second stage, it was utilized the Tobit regression pattern, estimating an inefficiency function of costs, and were indentified the associated factors of resources waste. Among the results found it was noticed the existence of a high waste of resources, that represent more than 54% of effective cost. Among the factors with the highest wastes are: energy, herbicides, defensives and chemical fertilizers. In a general way, the producers presented low efficiency level and, only, two, of seventy-five researched, achieved the frontier of costs minimization. These results reveal, in a certain way, that the producers in irrigated fruit growing in the project Baixo-Açu don t seek to minimize the production costs. It was still noticed, that the reduction of resources waste, and this way the inefficiency of costs, is associated with the agriculturalist education, his experience in agriculture, his access to the technical assistance and credit

Lima beans production and economic revenue as function of organic and mineral fertilization

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Genetic parameter estimates for buffalo milk yield, milk quality and mozzarella production and Bayesian inference analysis of their relationships

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Optimal Conditions for Biomass and Recombinant Glycerol Kinase Production Using the Yeast Pichia pastoris

The extracellular glycerol kinase gene from Saccharomyces cerevisiae (GUT]) was cloned into the expression vector pPICZ alpha. A and integrated into the genome of the methylotrophic yeast Pichia pastoris X-33. The presence of the GUT1 insert was confirmed by PCR analysis. Four clones were selected and the functionality of the recombinant enzyme was assayed. Among the tested clones, one exhibited glycerol kinase activity of 0.32 U/mL, with specific activity of 0.025 U/mg of protein. A medium optimized for maximum biomass production by recombinant Pichia pastoris in shaker cultures was initially explored, using 2.31 % (by volume) glycerol as the carbon source. Optimization was carried out by response surface methodology (RSM). In preliminary experiments, following a Plackett-Burman design, glycerol volume fraction (phi(Gly)) and growth time (t) were selected as the most important factors in biomass production. Therefore, subsequent experiments, carried out to optimize biomass production, followed a central composite rotatable design as a function of phi(Gly) and time. Glycerol volume fraction proved to have a significant positive linear effect on biomass production. Also, time was a significant factor (at linear positive and quadratic levels) in biomass production. Experimental data were well fitted by a convex surface representing a second order polynomial model, in which biomass is a function of both factors (R(2)=0.946). Yield and specific activity of glycerol kinase were mainly affected by the additions of glycerol and methanol to the medium. The optimized medium composition for enzyme production was: 1 % yeast extract, 1 % peptone, 100 mM potassium phosphate buffer, pH=6.0, 1.34 % yeast nitrogen base (YNB), 4.10(-5) % biotin, 1 %, methanol and 1 %, glycerol, reaching 0.89 U/mL of glycerol kinase activity and 14.55 g/L of total protein in the medium after 48 h of growth.

Thermoeconomic analysis applied in cold water production system using biogas combustion

In this paper is proposed the use of biogas generated in the Wastewater Treatment Plant of a Dairy industry. The objective is to apply a thermoeconomic analysis to the supplementary cold water production of an absorption refrigeration system (NH3 + H2O) by the burning of such gas. The exergoeconomic analysis is carried out to allow a comparison between an absorption refrigeration system and of an equivalent compression refrigeration system that uses NH3 as work fluid. The proposed exergoeconomic model uses functional diagrams and allows one to obtain the exergetic incremental functions for each component individually and for the system as a whole. The model minimizes the exergetic manufacturing cost (EMC) which represents the cost of supplementary cold water production at 1degreesC (exergetic base) needed for this dairy's cold storage. As a conclusion, the absorption refrigeration system is better than compression refrigeration system, when the biogas cost is not considered. 2004 Elsevier Ltd. All rights reserved.

Electricity, hot water and cold water production from biomass. Energetic and economical analysis of the compact system of cogeneration run with woodgas from a small downdraft gasifier

Wood gasification technologies to convert the biomass into fuel gas stand out. on the other hand, producing electrical energy from stationary engine is widely spread, and its application in rural communities where the electrical network doesn't exist is very required. The recovery of exhaust gases (engine) is a possibility that makes the system attractive when compared with the same components used to obtain individual heat such as electric power. This paper presents an energetic alternative to adapt a fixed bed gasifier with a compact cogeneration system in order to cover electrical and thermal demands in a rural area and showing an energy solution for small social communities using renewable fuels. Therefore, an energetic and economical analysis from a cogeneration system producing electric energy, hot and cold water, using wooden gas as fuel from a small-sized gasifier was calculated. The energy balance that includes the energy efficiency (electric generation as well as hot and cold water system; performance coefficient and the heat exchanger, among other items), was calculated. Considering the annual interest rates and the amortization periods, the costs of production of electrical energy, hot and cold water were calculated, taking into account the investment, the operation and the maintenance cost of the equipments. Crown Copyright (C) 2010 Published by Elsevier Ltd. All rights reserved.

Analysis of the expression of toll-like receptors 2 and 4 and cytokine production during experimental Leishmania chagasi infection

Toll-like receptors (TLRs) recognise pathogen-derived molecules and influence immunity to control parasite infections. This study aimed to evaluate the mRNA expression of TLRs 2 and 4, the expression and production of the cytokines interleukin (IL)-12, interferon (IFN)-γ, tumor necrosis factor (TNF)-α, IL-17, IL-10 and transforming growth factor (TGF)-β and the production of nitric oxide (NO) in the spleen of mice infected with Leishmania chagasi. It also aimed to evaluate any correlations between mRNA expression TLR2 and 4 and cytokines and NO production. Infection resulted in increased TLR2-4, IL-17, TNF-α and TGF-β mRNA expression during early infection, with decreased expression during late infection correlating with parasite load. IFN-γ and IL-12 mRNA expression decreased at the peak of parasitism. IL-10 mRNA expression increased throughout the entire time period analysed. Although TGF-β, TNF-α and IL-17 were highly produced during the initial phase of infection, IFN-γ and IL-12 exhibited high production during the final phase of infection. IL-10 and NO showed increased production throughout the evaluated time period. In the acute phase of infection, there was a positive correlation between TLR2-4, TNF-α, IL-17, NO, IL-10 and TGF-β expression and parasite load. During the chronic phase of infection, there was a positive correlation between TLR2-4, TNF-α, IL-17 and TGF-β expression and parasite load. Our data suggest that infection by L. chagasi resulted in modulation of TLRs 2 and 4 and cytokines.

Reproductive development and function of female rats exposed to di-eta-butyl-phthalate (DBP) in utero and during lactation

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