Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana

Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, objetivo central do presente estudo é avaliar o fenômeno de contágio financeiro entre retornos de índices de Bolsas de Valores de diferentes países a partir de uma abordagem econométrica, apresentada originalmente em Pelletier (2006), sobre a denominação de Regime Switching Dynamic Correlation (RSDC). Tal metodologia envolve a combinação do Modelo de Correlação Condicional Constante (CCC) proposto por Bollerslev (1990) com o Modelo de Mudança de Regime de Markov sugerido por Hamilton e Susmel (1994). Foi feita uma modificação no modelo original RSDC, a introdução do modelo GJR-GARCH formulado em Glosten, Jagannathan e Runkle (1993), na equação das variâncias condicionais individuais das séries para permitir capturar os efeitos assimétricos na volatilidade. A base de dados foi construída com as séries diárias de fechamento dos índices das Bolsas de Valores dos Estados Unidos (SP500), Reino Unido (FTSE100), Brasil (IBOVESPA) e Coréia do Sul (KOSPI) para o período de 02/01/2003 até 20/09/2012. Ao longo do trabalho a metodologia utilizada foi confrontada com outras mais difundidos na literatura, e o modelo RSDC com dois regimes foi definido como o mais apropriado para a amostra selecionada. O conjunto de resultados encontrados fornecem evidências a favor da existência de contágio financeiro entre os mercados dos quatro países considerando a definição de contágio financeiro do Banco Mundial denominada de “muito restritiva”. Tal conclusão deve ser avaliada com cautela considerando a extensa diversidade de definições de contágio existentes na literatura.

Forecast comparison with nonlinear methods for brazilian industrial production

Este trabalho avalia as previsões de três métodos não lineares — Markov Switching Autoregressive Model, Logistic Smooth Transition Autoregressive Model e Autometrics com Dummy Saturation — para a produção industrial mensal brasileira e testa se elas são mais precisas que aquelas de preditores naive, como o modelo autorregressivo de ordem p e o mecanismo de double differencing. Os resultados mostram que a saturação com dummies de degrau e o Logistic Smooth Transition Autoregressive Model podem ser superiores ao mecanismo de double differencing, mas o modelo linear autoregressivo é mais preciso que todos os outros métodos analisados.

Forecast comparison with nonlinear methods for Brazilian industrial production

This work assesses the forecasts of three nonlinear methods | Markov Switching Autoregressive Model, Logistic Smooth Transition Auto-regressive Model, and Auto-metrics with Dummy Saturation | for the Brazilian monthly industrial production and tests if they are more accurate than those of naive predictors such as the autoregressive model of order p and the double di erencing device. The results show that the step dummy saturation and the logistic smooth transition autoregressive can be superior to the double di erencing device, but the linear autoregressive model is more accurate than all the other methods analyzed.

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

Symbiotic gap and semigap solitons in Bose-Einstein condensates

Using the variational approximation and numerical simulations, we study one-dimensional gap solitons in a binary Bose-Einstein condensate trapped in an optical-lattice potential. We consider the case of interspecies repulsion, while the intraspecies interaction may be either repulsive or attractive. Several types of gap solitons are found: symmetric or asymmetric; unsplit or split, if centers of the components coincide or separate; intragap (with both chemical potentials falling into a single band gap) or intergap, otherwise. In the case of the intraspecies attraction, a smooth transition takes place between solitons in the semi-infinite gap, those in the first finite band gap, and semigap solitons (with one component in a band gap and the other in the semi-infinite gap).

A model for the Schottky anomaly in metallic Nd2-yCeyCuO4

We present a simple model for the doped compound Nd2-yCevCuO4, in order to explain some recent experimental results on the latter. Within a Hartree-Fock context, we start from an impurity Anderson-like model and consider the magnetic splitting of the Nd-4f ground state Kramers doublet due to exchange interactions with the ordered Cu moments. Our results are in very good agreement with the experimental data, yielding a Schottky anomaly peak for the specific heat that reduces its amplitude, broadens and shifts to lower temperatures, upon Ce doping. For overdoped compounds at low temperatures, the specific heat behaves linearly and the magnetic susceptibility is constant. A smooth transition from this Fermi liquid-like behavior occurs as temperature is increased and, at high temperatures, the susceptibility exhibits a Curie-like behavior. Finally, we discuss some improvements our model is amenable to incorporate, (C) 1998 Elsevier B.V. B.V. All rights reserved.

A New Method of Current Switching for Linear Wide-Range Measurement Systems

This new and general method here called overflow current switching allows a fast, continuous, and smooth transition between scales in wide-range current measurement systems, like electrometers. This is achieved, using a hydraulic analogy, by diverting only the overflow current, such that no slow element is forced to change its state during the switching. As a result, this approach practically eliminates the long dead time in low-current (picoamperes) switching. Similar to a logarithmic scale, a composition of n adjacent linear scales, like a segmented ruler, measures the current. The use of a linear wide-range system based on this technique assures fast and continuous measurement in the entire range, without blind regions during transitions and still holding suitable accuracy for many applications. A full mathematical development of the method is given. Several computer realistic simulations demonstrated the viability of the technique.

A generalized anisotropic quadric yield criterion and its application to bone tissue at multiple length scales

Nonlinear computational analysis of materials showing elasto-plasticity or damage relies on knowledge of their yield behavior and strengths under complex stress states. In this work, a generalized anisotropic quadric yield criterion is proposed that is homogeneous of degree one and takes a convex quadric shape with a smooth transition from ellipsoidal to cylindrical or conical surfaces. If in the case of material identification, the shape of the yield function is not known a priori, a minimization using the quadric criterion will result in the optimal shape among the convex quadrics. The convexity limits of the criterion and the transition points between the different shapes are identified. Several special cases of the criterion for distinct material symmetries such as isotropy, cubic symmetry, fabric-based orthotropy and general orthotropy are presented and discussed. The generality of the formulation is demonstrated by showing its degeneration to several classical yield surfaces like the von Mises, Drucker–Prager, Tsai–Wu, Liu, generalized Hill and classical Hill criteria under appropriate conditions. Applicability of the formulation for micromechanical analyses was shown by transformation of a criterion for porous cohesive-frictional materials by Maghous et al. In order to demonstrate the advantages of the generalized formulation, bone is chosen as an example material, since it features yield envelopes with different shapes depending on the considered length scale. A fabric- and density-based quadric criterion for the description of homogenized material behavior of trabecular bone is identified from uniaxial, multiaxial and torsional experimental data. Also, a fabric- and density-based Tsai–Wu yield criterion for homogenized trabecular bone from in silico data is converted to an equivalent quadric criterion by introduction of a transformation of the interaction parameters. Finally, a quadric yield criterion for lamellar bone at the microscale is identified from a nanoindentation study reported in the literature, thus demonstrating the applicability of the generalized formulation to the description of the yield envelope of bone at multiple length scales.

The Determinants of Personal Income Tax Progressivity Around the Globe

This paper utilizes a novel database collected by the authors to document features of the progressivity of personal income tax systems across 209 countries for the years 1980-2009. We measure progressivity in several ways. First, we associate it with the increase in effective average (marginal) tax rates between a wage of zero and ten times the average wage in a country. Second, we consider the curvature of the tax schedule expressed as the difference between the effective average (marginal) tax schedule from a wage of zero to ten times the average wage and a linear average tax schedule and, alternatively, the diference between the effective average (marginal) tax schedule from the minimum positive taxable income, to ten times the average wage as opposed to a linear average tax schedule. Moreover, the paper assesses patterns regarding the conditional correlation of country-specifc tax progressivity measures with a host of economic and political country-specific characteristics and find the labor supply elasticity and the income replacement rates for the unemployed to be key determinants of progressivity around the globe, in line with economic theory.

Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence

The effects of exchange rate risk have interested researchers, since the collapse of fixed exchange rates. Little consensus exists, however, regarding its effect on exports. Previous studies implicitly assume symmetry. This paper tests the hypothesis of asymmetric effects of exchange rate risk with a dynamic conditional correlation bivariate GARCH(1,1)-M model. The asymmetry means that exchange rate risk (volatility) affects exports differently during appreciations and depreciations of the exchange rate. The data include bilateral exports from eight Asian countries to the US. The empirical results show that real exchange rate risk significantly affects exports for all countries, negative or positive, in periods of depreciation or appreciation. For five of the eight countries, the effects of exchange risk are asymmetric. Thus, policy makers can consider the stability of the exchange rate in addition to its depreciation as a method of stimulating export growth.

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, Taiwan and a zero net effect in Korea and Thailand. Since the negative effect of exchange rate risk may offset, or even dominate, positive contributions from depreciation, policy makers need to reduce exchange rate fluctuation along with and possibly before efforts to depreciate the currency.

Does the Federal Reserve Follow a Non-Linear Taylor Rule?

The Taylor rule has become one of the most studied strategies for monetary policy. Yet, little is known whether the Federal Reserve follows a non-linear Taylor rule. This paper employs the smooth transition regression model and asks the question: does the Federal Reserve change its policy-rule according to the level of inflation and/or the output gap? I find that the Federal Reserve does follow a non-linear Taylor rule and, more importantly, that the Federal Reserve followed a non-linear Taylor rule during the golden era of monetary policy, 1985-2005, and a linear Taylor rule throughout the dark age of monetary policy, 1960-1979. Thus, good monetary policy is associated with a non-linear Taylor rule: once inflation approaches a certain threshold, the Federal Reserve adjusts its policy-rule and begins to respond more forcefully to inflation.

Inflation targeting in Korea, Indonesia, Thailand, and the Philippines : the impact on business cycle synchronization between each country and the world

This paper empirically analyzes whether and to what extent the adoption of inflation targeting (IT) in Korea, Indonesia, Thailand and the Philippines has affected their business cycle synchronization with the rest of the world. By employing the dynamic conditional correlation (DCC) model developed by Engle (2002), we find that IT in Asia has little effect on international business cycle synchronization and the effect is positive in some of the countries, if any. These findings basically seem to be consistent with the evidence from relevant literature.

Providing 3D video services: the challenge from 2D to 3DTV quality of experience

Recently, three-dimensional (3D) video has decisively burst onto the entertainment industry scene, and has arrived in households even before the standardization process has been completed. 3D television (3DTV) adoption and deployment can be seen as a major leap in television history, similar to previous transitions from black and white (B&W) to color, from analog to digital television (TV), and from standard definition to high definition. In this paper, we analyze current 3D video technology trends in order to define a taxonomy of the availability and possible introduction of 3D-based services. We also propose an audiovisual network services architecture which provides a smooth transition from two-dimensional (2D) to 3DTV in an Internet Protocol (IP)-based scenario. Based on subjective assessment tests, we also analyze those factors which will influence the quality of experience in those 3D video services, focusing on effects of both coding and transmission errors. In addition, examples of the application of the architecture and results of assessment tests are provided.