The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

A note on the forward and the equity-premium puzzles: two symptoms of the same illness?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

The forward and the equity premium puzzles: two symptoms of the same illness?

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

Hematological analysis of Micropogonias Furnieri, Desmarest, 1823, Scianidae, from two estuaries of Baixada Santista, São paulo Brazil

Alterações hematológicas em peixes são consideradas uma importante ferramenta para avaliar processos patológicos decorrentes da exposição a poluentes ambientais. Micropogonias furnieri (Desmarest, 1823) (corvina) é comumente encontrada em regiões estuarinas e eventualmente está exposta a inúmeros contaminantes. No presente estudo foi avaliado o quadro hematológico de indivíduos de M. furnieri coletados na Baixada Santista: o Sistema Estuarino de Santos, considerado poluído, e o estuário do Rio Itanhaém (controle). Foram avaliados o número de Eritrócitos (Er), o Hematócrito (Ht), a taxa de Hemoglobina (Hb), o Volume Corpuscular Médio (VCM) e a Concentração de Hemoglobina Corpuscular Média (CHCM). Nos peixes coletados no Sistema Estuarino de Santos, os níveis de Ht foram significativamente menores, enquanto os níveis de CHCM e Hb foram significativamente mais altos, indicando que os prováveis efeitos estejam atribuídos aos diferentes níveis de contaminação encontrados nos estuários.

Population growth and development of two species of Cladocera, Moina micrura and Diaphanosoma birgei, in laboratory

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effect of sowing time on phytomass production during early growth of two varieties of Stylosanthes guianensis (Aubl.) Sw.

The objective of this research was to determine the effect of two sowing times on phytomass production of two varieties of Slylosanthes guianensis (var. pauciflora and var. vulgaris). Two experimental periods were studied (1: January - May/1998 and 2: November/1998 - March/1999) using a completely randomized factorial design 2 x 2 x 14 (two periods, two varieties and fourteen ages of evaluation), with four replications. The results showed a difference between the periods concerning the growth and development of Stylosanthes, and that period 2 was the most favourable to this forage plant. There was, also, different adaptability between the two varieties concerning the sowing times. The var. pauciflora was more adapted in period 1, and the var. vulgaris, in period 2. The data showed the possibility of selecting Stylosanthes cultivars adapted to different seasonal conditions.

Efeitos por comparações e por experimento em interações de experimentos fatoriais

Avaliar efeitos de interações é um dos principais objetivos dos experimentos fatoriais. em experimentos com dois fatores A e B, com m e n níveis de cada fator, respectivamente, há m x n possíveis interações e (m-1)(n-1) graus de liberdade associados. Freqüentemente somente parte dessas interações contribui efetivamente para a Soma de Quadrados da Interação e pode ser interessante examiná-las. O uso de nível de significância menos rigoroso para interpretação do efeito da interação por experimento, em relação às demais fontes de variação da análise de variância, pode captar efeitos importantes. Recomenda-se o uso de p = 0,25 para a interpretação do efeito da interação por experimento, mantendo-se o usual p = 0,05 para efeitos por comparações. Mesmo no caso de interações significativas, comparações selecionadas, em lugar de apenas cortes, podem auxiliar a interpretação de interações complexas.

Bispectral index in dogs with high intracranial pressure, anesthetized with propofol and submitted to two levels of FiO2

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

Severity of banana leaf spot in an intercropping system in two cycles of banana Prata Ana

Prata Ana is the most planted banana cultivar in northern Minas Gerais, Brazil. It is however susceptible to several pathogens. This study was carried out to evaluate the disease severity of banana leaf spot in the Prata Ana cv. in the first and second cycle under six different planting systems. The randomized block experimental design was used with six treatments and four replications. lit an evaluation of the severity of banana leaf spot, no disease symptoms were found on Thap Maeo and Caipira. The evolution curve of the disease indicated seasonal effects in the first and second cycles. The severity, of banana leaf spot was highest soon after the regional rainy period from November to March. A comparison of the means of the evaluations indicated a reduction in disease severity from the first to the second cycle.

Desenvolvimento de esquema de controle com realimentação visual para um robô manipulador

This work proposes a kinematic control scheme, using visual feedback for a robot arm with five degrees of freedom. Using computational vision techniques, a method was developed to determine the cartesian 3d position and orientation of the robot arm (pose) using a robot image obtained through a camera. A colored triangular label is disposed on the robot manipulator tool and efficient heuristic rules are used to obtain the vertexes of that label in the image. The tool pose is obtained from those vertexes through numerical methods. A color calibration scheme based in the K-means algorithm was implemented to guarantee the robustness of the vision system in the presence of light variations. The extrinsic camera parameters are computed from the image of four coplanar points whose cartesian 3d coordinates, related to a fixed frame, are known. Two distinct poses of the tool, initial and final, obtained from image, are interpolated to generate a desired trajectory in cartesian space. The error signal in the proposed control scheme consists in the difference between the desired tool pose and the actual tool pose. Gains are applied at the error signal and the signal resulting is mapped in joint incrementals using the pseudoinverse of the manipulator jacobian matrix. These incrementals are applied to the manipulator joints moving the tool to the desired pose

Allometric growth of two species of Ephemeroptera from Neotropical mountains streams

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Chromosome polymorphism of heterochromatin and nucleolar regions in two populations of the fish Astyanax bockmanni (Teleostei: Characiformes)

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

Functional alterations in endocrine pancreas of rats with different degrees of dexamethasone-induced insulin resistance

Objectives: We have analyzed the peripheral insulin and glucose sensitivity in vivo, and islet function ex vivo in rats with different degrees of insulin resistance induced by dexamethasone (DEX).Methods: Dexamethasone, in the concentrations of 0.1 (DEX 0.1), 0.5 (DEX 0.5), and 1.0 mg/kg body weight (DEX 1.0) was administered daily, intraperitoneally, to adult Wistar rats for 5 days, whereas controls received saline.Results: Dexamethasone treatment induced peripheral insulin resistance in a dose-dependent manner. At the end of the treatment, only DEX 1.0 rats showed significant increase of postabsorptive blood glucose and serum triglycerides, and nonesterified fatty acids levels. Incubation of pancreatic islets in increasing glucose concentrations (2.8-22 mM) led to an augmented insulin secretion in all DEX-treated rats. Leucine, carbachol, and high KCl concentrations induced the insulin release in DEX 0.5 and DEX 1.0, whereas arginine augmented secretion in all DEX-treated groups.Conclusions: We demonstrate that in DEX 0.5 and, especially in DEX 0.1 groups, but not in DEX 1.0, the adaptations that occurred in the endocrine pancreas are able to counteract metabolic disorders (glucose intolerance and dyslipidemia). These animal models seem to be interesting approaches for the study of degrees of subjacent effects that may mediate type 2 diabetes (DEX 1.0) and islet function alterations, without collateral effects (DEX 0.1 and DEX 0.5).