A macro-financial analysis of the euro area sovereign bond market. National Bank of Belgium Working Paper No. 259, June 2014

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin, Singleton, and Zhu (2011) and introduce next to standard spanned factors a set of unspanned macro factors, as in Joslin, Priebsch, and Singleton (2013). The model is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our results show that economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign debt crisis in the summer of 2011

The Brazilian real estate securitization market: determinants of pricing

Analisamos os determinantes de precificação de Certificados de Recebíveis Imobiliários (CRIs) com relação ao ativo objeto e níveis de garantias, controlando por variáveis de tamanho, prazo e rating. Verifica-se um prêmio médio adicional em CRIs de 1,0 p.p. quando comparados com debêntures de prazos semelhantes e de mesmo rating. A justificativa desse prêmio é analisada em duas frentes: (a) apesar de CRI seguir relativa padronização, encontramos que o papel pode representar diferentes níveis de risco e ativos-objeto; e (b) essa falta de padronização leva a níveis de precificação diferenciados por suas características específicas de riscos. Os diferentes níveis de risco são percebidos pelas diversas garantias utilizadas sendo que 41% das emissões possuem garantias pessoais de originadores (aval ou fiança). Conclui-se que existe, em geral, uma diferença de retornos positiva (o spread médio na emissão dos CRIs indexados à inflação foi de 321 bps superior à curva de juros de mercado), sendo mais preponderante a depender do segmento (prêmio para os segmentos residencial e loteamentos) e mitigado pelo nível de garantias oferecido. É possível verificar um prêmio médio de 1,4 p.p. para os segmentos residencial e de loteamentos. Algumas características das emissões foram analisadas como controle (tamanho, prazo e, por fim, das notas e origem da agência avaliadora de rating). Os CRIs de maior volume e maior prazo apresentam spreads menores. Quanto ao rating, os CRIs apresentam efeitos diversos a depender do segmento. Para CRIs residenciais, o efeito é positivo (redução de spread) caso a emissão seja avaliada por alguma agência de rating, enquanto que para os CRIs comerciais, o efeito é negativo. O efeito pode ser positivo para os CRIs comerciais (redução de spread) em caso de avaliação por agência de rating internacional ou possuir notas de rating superiores à nota ‘A’.

IDENTIFICAÇÃO DE SURPRESAS MONETÁRIAS E SEUS IMPACTOS SOBRE A ESTRUTURA A TERMO DA TAXA DE JUROS

A reação dos mercados às alterações na taxa básica de juros é relevante para toda a economia. O entendimento da relação entre a política monetária e as taxas de juros é de extrema importância, uma vez que surpresas monetárias, ou seja, os erros de previsão do mercado a respeito das alterações da meta da Taxa Selic, podem afetar as taxas de juros de diferentes maturidades ou vencimentos, impactando diretamente a Administração Financeira. O objetivo deste estudo foi analisar a variação da Estrutura a Termo da Taxa de Juros (ETTJ) quando verificadas surpresas monetárias na ocasião da decisão do Comitê de Política Monetária (Copom) a respeito da meta da Taxa Selic. Para isso, foi desenvolvido um estudo descritivo quantitativo, que considerou as 88 reuniões ordinárias do Copom realizadas no período de janeiro de 2004 a dezembro de 2013. As surpresas monetárias foram identificadas através de duas formas distintas. Na primeira forma foram consideradas as taxas do contrato de DI1 referente ao último negócio realizado no pregão da data da reunião do Copom, e a taxa do primeiro negócio realizado no pregão seguinte. Desta maneira foram identificadas 11 surpresas monetárias. Na segunda forma foram consideradas as taxas médias verificadas nos mesmos contratos e ocasiões citados anteriormente, sendo assim identificadas 10 surpresas monetárias. Já para a análise da relação entre as variações da ETTJ e as surpresas monetárias foram considerados os vencimentos de 2, 3, 6, 9, 12, 15, 18 e 24 meses. Como resultado foi possível observar que as surpresas monetárias e as variações na ETTJ são diretamente proporcionais, movendo-se na mesma direção, para as duas formas distintas de surpresas monetárias identificadas neste estudo. Além disso, foi empregada nas análises a questão da unanimidade na decisão do Copom, com o objetivo testar o seu conteúdo informacional, e observou-se como resultado uma menor variação da ETTJ em ocasiões em que a decisão do Copom foi unânime. Em resumo, entende-se que os resultados encontrados no presente estudo estão em linha aos apresentados por outros autores, sendo possível comprovar a correlação existente entre as variações da ETTJ e as surpresas monetárias, bem como verificar que a magnitude das variações diminui ao longo da ETTJ, fato este que pode ser relacionado à transparência da política monetária nacional e à experiência na vigência do sistema de metas para a inflação.

Secondary market pricing behaviour around UK bond auctions

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve, the market offered statistically and economically significant excess returns, around the auctions held between 1992 and 2004. A cross-sectional analysis of the cumulative excess returns shows that the excess demand at the auctions is a key determinant of this excess return.

Estimating time-varying risk premia in UK long-term government bonds

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Credit risk & forward price models

Doutoramento em Gestão

Curve crossing for the reflected Levy process at zero and infinity

Let $R_{t}=\sup_{0\leq s\leq t}X_{s}-X_{t}$ be a Levy process reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times above power law boundaries at infinity. Information as to when the expected passage time for $R_{t}$ is finite, is given. We also discuss the almost sure finiteness of $\limsup_{t\to 0}R_{t}/t^{\kappa}$, for each $\kappa\geq 0$.

Genetic parameters of total milk yield and factors describing the shape of lactation curve in dairy buffaloes

The objective of this study was to apply factor analysis to describe lactation curves in dairy buffaloes in order to estimate the phenotypic and genetic association between common latent factors and cumulative milk yield. A total of 31 257 monthly test-day milk yield records from buffaloes belonging to herds located in the state of São Paulo were used to estimate two common latent factors, which were then analysed in a multi-trait animal model for estimating genetic parameters. Estimates of (co)variance components for the two common latent factors and cumulated 270-d milk yield were obtained by Bayesian inference using a multiple trait animal model. Contemporary group, number of milkings per day (two levels) and age of buffalo cow at calving (linear and quadratic) as covariate were included in the model as fixed effects. The additive genetic, permanent environmental and residual effects were included as random effects. The first common latent factor (F1) was associated with persistency of lactation and the second common latent factor (F2) with the level of production in early lactation. Heritability estimates for Fl and F2 were 0.12 and 0.07, respectively. Genetic correlation estimates between El and F2 with cumulative milk yield were positive and moderate (0.63 and 0.52). Multivariate statistics employing factor analysis allowed the extraction of two variables (latent factors) that described the shape of the lactation curve. It is expected that the response to selection to increase lactation persistency is higher than the response obtained from selecting animals to increase lactation peak. Selection for higher total milk yield would result in a favourable correlated response to increase the level of production in early lactation and the lactation persistency.

Milk yield persistency in Brazilian Gyr cattle based on a random regression model

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The effect of friction on indenter force and pile-up in numerical simulations of bone nanoindentation

Nanoindentation is a useful technique for probing the mechanical properties of bone, and finite element (FE) modeling of the indentation allows inverse determination of elasto-plastic constitutive properties. However, FE simulations to date have assumed frictionless contact between indenter and bone. The aim of this study was to explore the effect of friction in simulations of bone nanoindentation. Two dimensional axisymmetric FE simulations were performed using a spheroconical indenter of tip radius 0.6m and angle 90°. The coefficient of friction between indenter and bone was varied between 0.0 (frictionless) and 0.3. Isotropic linear elasticity was used in all simulations, with bone elastic modulus E=13.56GPa and Poisson’s ratio =0.3. Plasticity was incorporated using both Drucker-Prager and von Mises yield surfaces. Friction had a modest effect on the predicted force-indentation curve for both von Mises and Drucker-Prager plasticity, reducing maximum indenter displacement by 10% and 20% respectively as friction coefficient was increased from zero to 0.3 (at a maximum indenter force of 5mN). However, friction has a much greater effect on predicted pile-up after indentation, reducing predicted pile-up from 0.27m to 0.11m with a von Mises model, and from 0.09m to 0.02m with Drucker-Prager plasticity. We conclude that it is important to include friction in nanoindentation simulations of bone.

The effect of friction on indenter force and pile-up in numerical simulations of bone nanoindentation

Nanoindentation is a useful technique for probing the mechanical properties of bone, and finite element (FE) modeling of the indentation allows inverse determination of elasto-plastic constitutive properties. However, all but one FE study to date have assumed frictionless contact between indenter and bone. The aim of this study was to explore the effect of friction in simulations of bone nanoindentation. Two dimensional axisymmetric FE simulations were performed using a spheroconical indenter of tip radius 0.6 m and angle 90°. The coefficient of friction between indenter and bone was varied between 0.0 (frictionless) and 0.3. Isotropic linear elasticity was used in all simulations, with bone elastic modulus E=13.56GPa and Poisson‟s ratio f 0.3. Plasticity was incorporated using both Drucker-Prager and von Mises yield surfaces. Friction had a modest effect on the predicted force-indentation curve for both von Mises and Drucker-Prager plasticity, reducing maximum indenter displacement by 10% and 20% respectively as friction coefficient was increased from zero to 0.3 (at a maximum indenter force of 5mN). However, friction has a much greater effect on predicted pile-up after indentation, reducing predicted pile-up from 0.27 to 0.11 m with a von Mises model, and from 0.09 to 0.02 m with Drucker-Prager plasticity. We conclude that it is potentially important to include friction in nanoindentation simulations of bone if pile-up is used to compare simulation results with experiment.

Nonlinear analysis for the pre- and post-yield behaviour of a composite structure with the refined plastic hinge approach

The computational technique of the full ranges of the second-order inelastic behaviour evaluation of steel-concrete composite structure is not always sought forgivingly, and therefore it hinders the development and application of the performance-based design approach for the composite structure. To this end, this paper addresses of the advanced computational technique of the higher-order element with the refined plastic hinges to capture the all-ranges behaviour of an entire steel-concrete composite structure. Moreover, this paper presents the efficient and economical cross-section analysis to evaluate the element section capacity of the non-uniform and arbitrary composite section subjected to the axial and bending interaction. Based on the same single algorithm, it can accurately and effectively evaluate nearly continuous interaction capacity curve from decompression to pure bending technically, which is the important capacity range but highly nonlinear. Hence, this cross-section analysis provides the simple but unique algorithm for the design approach. In summary, the present nonlinear computational technique can simulate both material and geometric nonlinearities of the composite structure in the accurate, efficient and reliable fashion, including partial shear connection and gradual yielding at pre-yield stage, plasticity and strain-hardening effect due to axial and bending interaction at post-yield stage, loading redistribution, second-order P-δ and P-Δ effect, and also the stiffness and strength deterioration. And because of its reliable and accurate behavioural evaluation, the present technique can be extended for the design of the high-strength composite structure and potentially for the fibre-reinforced concrete structure.

Zero tillage and nitrogen fertiliser application in wheat and barley on a Vertosol in a marginal cropping area of south-west Queensland

Winter cereal cropping is marginal in south-west Queensland because of low and variable rainfall and declining soil fertility. Increasing the soil water storage and the efficiency of water and nitrogen (N) use is essential for sustainable cereal production. The effect of zero tillage and N fertiliser application on these factors was evaluated in wheat and barley from 1996 to 2001 on a grey Vertosol. Annual rainfall was above average in 1996, 1997, 1998 and 1999 and below average in 2000 and 2001. Due to drought, no crop was grown in the 2000 winter cropping season. Zero tillage improved fallow soil water storage by a mean value of 20 mm over 4 years, compared with conventional tillage. However, mean grain yield and gross margin of wheat were similar under conventional and zero tillage. Wheat grain yield and/or grain protein increased with N fertiliser application in all years, resulting in an increase in mean gross margin over 5 years from $86/ha, with no N fertiliser applied, to $250/ha, with N applied to target ≥13% grain protein. A similar increase in gross margin occurred in barley where N fertiliser was applied to target malting grade. The highest N fertiliser application rate in wheat resulted in a residual benefit to soil N supply for the following crop. This study has shown that profitable responses to N fertiliser addition in wheat and barley can be obtained on long-term cultivated Vertosols in south-west Queensland when soil water reserves at sowing are at least 60% of plant available water capacity, or rainfall during the growing season is above average. An integrative benchmark for improved N fertiliser management appears to be the gross margin/water use of ~$1/ha.mm. Greater fallow soil water storage or crop water use efficiency under zero tillage has the potential to improve winter cereal production in drier growing seasons than experienced during the period of this study.

Pest-damage relationships for Helicoverpa armigera (Hübner) (Lepidoptera: Noctuidae) on soybean (Glycine max) and dry bean (Phaseolus vulgaris) during pod-fill.

The response of soybean (Glycine max) and dry bean (Phaseolus vulgaris) to feeding by Helicoverpa armigera during the pod-fill stage was studied in irrigated field cages over three seasons to determine the relationship between larval density and yield loss, and to develop economic injury levels. H. armigera intensity was calculated in Helicoverpa injury equivalent (HIE) units, where 1 HIE was the consumption of one larva from the start of the infestation period to pupation. In the dry bean experiment, yield loss occurred at a rate 6.00 ± 1.29 g/HIE while the rates of loss in the three soybean experiments were 4.39 ± 0.96 g/HIE, 3.70 ± 1.21 g/HIE and 2.12 ± 0.71 g/HIE. These three slopes were not statistically different (P > 0.05) and the pooled estimate of the rate of yield loss was 3.21 ± 0.55 g/HIE. The first soybean experiment also showed a split-line form of damage curve with a rate of yield loss of 26.27 ± 2.92 g/HIE beyond 8.0 HIE and a rapid decline to zero yield. In dry bean, H. armigera feeding reduced total and undamaged pod numbers by 4.10 ± 1.18 pods/HIE and 12.88 ± 1.57 pods/HIE respectively, while undamaged seed numbers were reduced by 35.64 ± 7.25 seeds/HIE. In soybean, total pod numbers were not affected by H. armigera infestation (out to 8.23 HIE in Experiment 1) but seed numbers (in Experiments 1 and 2) and the number of seeds/pod (in all experiments) were adversely affected. Seed size increased with increases in H. armigera density in two of the three soybean experiments, indicating plant compensatory responses to H. armigera feeding. Analysis of canopy pod profiles indicated that loss of pods occurred from the top of the plant downwards, but with an increase in pod numbers close to the ground at higher pest densities as the plant attempted to compensate for damage. Based on these results, the economic injury levels for H. armigera on dry bean and soybean are approximately 0.74 HIE and 2.31 HIE/m2, respectively (0.67 and 2.1 HIE/row-m for 91 cm rows).

Stochastic model for simulating maize yield

Maize is one of the most important crops in the world. The products generated from this crop are largely used in the starch industry, the animal and human nutrition sector, and biomass energy production and refineries. For these reasons, there is much interest in figuring the potential grain yield of maize genotypes in relation to the environment in which they will be grown, as the productivity directly affects agribusiness or farm profitability. Questions like these can be investigated with ecophysiological crop models, which can be organized according to different philosophies and structures. The main objective of this work is to conceptualize a stochastic model for predicting maize grain yield and productivity under different conditions of water supply while considering the uncertainties of daily climate data. Therefore, one focus is to explain the model construction in detail, and the other is to present some results in light of the philosophy adopted. A deterministic model was built as the basis for the stochastic model. The former performed well in terms of the curve shape of the above-ground dry matter over time as well as the grain yield under full and moderate water deficit conditions. Through the use of a triangular distribution for the harvest index and a bivariate normal distribution of the averaged daily solar radiation and air temperature, the stochastic model satisfactorily simulated grain productivity, i.e., it was found that 10,604 kg ha(-1) is the most likely grain productivity, very similar to the productivity simulated by the deterministic model and for the real conditions based on a field experiment. © 2012 American Society of Agricultural and Biological Engineers.