Modelo de volatilidade estoc��stica com saltos aplicado a commodities agr��colas

Mensalmente s��o publicados relat��rios pelo Departamento de Agricultura dos Estados Unidos (USDA) onde s��o divulgados dados de condi����es das safras, oferta e demanda globais, n��vel dos estoques, que servem como refer��ncia para todos os participantes do mercado de commodities agr��colas. Esse mercado apresenta uma volatilidade acentuada no per��odo de divulga����o dos relat��rios. Um modelo de volatilidade estoc��stica com saltos �� utilizado para a din��mica de pre��os de milho e de soja. N��o existe um modelo ���ideal��� para tal fim, cada um dos existentes t��m suas vantagens e desvantagens. O modelo escolhido foi o de Oztukel e Wilmott (1998), que �� um modelo de volatilidade estoc��stica emp��rica, incrementado com saltos determin��sticos. Empiricamente foi demonstrado que um modelo de volatilidade estoc��stica pode ser bem ajustado ao mercado de commodities, e o processo de jump-diffusion pode representar bem os saltos que o mercado apresenta durante a divulga����o dos relat��rios. As op����es de commodities agr��colas que s��o negociadas em bolsa s��o do tipo americanas, ent��o alguns m��todos dispon��veis poderiam ser utilizados para precificar op����es seguindo a din��mica do modelo proposto. Dado que o modelo escolhido �� um modelo multi-fatores, ent��o o m��todo apropriado para a precifica����o �� o proposto por Longstaff e Schwartz (2001) chamado de Monte Carlo por m��nimos quadrados (LSM). As op����es precificadas pelo modelo s��o utilizadas em uma estrat��gia de hedge de uma posi����o f��sica de milho e de soja, e a efici��ncia dessa estrat��gia �� comparada com estrat��gias utilizando-se instrumentos dispon��veis no mercado.

Need and opportunity: what are the main security threats to the pharmaceuticals industry in Latin America?

Os pre��os altos de produtos farmac��uticos patenteados sempre t��m sido uma pol��mica na Am��rica Latina. Considerando as disparidades econ��micas na regi��o e a falta hist��rica do desenvolvimento, muitas vezes os pre��os altos servem como barreiras contra o acesso aos medicamentos essenciais. Por um lado, as companhias farmac��uticas dizem que os pre��os elevados s��o necess��rios para financiar os processos de pesquisa e desenvolvimento e para gerar um retorno do investimento lucrativo. Por outro lado, os consumidores, tanto privados como p��blicos, dizem que os pre��os altos t��m resultado em uma falta hist��rica de medicamentos baratos. Neste debate, ambos lados t��m realizado uma s��rie de manobras e contramanobras que t��m exposto algumas das vulnerabilidades do setor. Utilizando v��rios m��todos de an��lise e entrevistas com profissionais no setor, este projeto analisa as vulnerabilidades do setor para determinar o risco, ao mesmo tempo tentando a responder �� pergunta: Quais s��o as amea��as principais na seguran��a da ind��stria farmac��utica na Am��rica Latina? Justifica����o deste projeto �� o aumento dos crimes relacionados aos produtos farmac��uticos na ��ltima d��cada, que t��m exposto os pacientes a um n��mero de riscos mais alto. Uma compreens��o das amea��as principais �� necess��ria para melhor mitigar o risco, garantir a integridade de produtos e preservar a sa��de p��blica.

Essays on the credit channel of monetary policy: a case study for Brazil

The onset of the financial crisis in 2008 and the European sovereign crisis in 2010 renewed the interest of macroeconomists on the role played by credit in business cycle fluctuations. The purpose of the present work is to present empirical evidence on the monetary policy transmission mechanism in Brazil with a special eye on the role played by the credit channel, using different econometric techniques. It is comprised by three articles. The first one presents a review of the literature of financial frictions, with a focus on the overlaps between credit activity and the monetary policy. It highlights how the sharp disruptions in the financial markets spurred central banks in developed and emerging nations to deploy of a broad set of non conventional tools to overcome the damage on financial intermediation. A chapter is dedicated to the challenge face by the policymaking in emerging markets and Brazil in particular in the highly integrated global capital market. This second article investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term ���structural��� comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external finance premium and the credit volume produce large and persistent fluctuations in inflation and economic activity ��� accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. Counterfactual simulations demonstrate that the credit channel amplified the economic contraction in Brazil during the acute phase of the global financial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed. In the third articles, I make use of Bayesian estimation of a classical neo-Keynesian DSGE model, incorporating the financial accelerator channel developed by Bernanke, Gertler and Gilchrist (1999). The results present evidences in line to those already seen in the previous article: disturbances on the external finance premium ��� represented here by credit spreads ��� trigger significant responses on the aggregate demand and inflation and monetary policy shocks are amplified by the financial accelerator mechanism. Keywords: Macroeconomics, Monetary Policy, Credit Channel, Financial Accelerator, FAVAR, DSGE, Bayesian Econometrics

Is there a price puzzle in Brazil? an application of bias- corrected bootstrap

Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was confirmed by other authors and, as a consequence of its non-expectable nature, was given the name "price puzzle" by Eichenbaum (1992). In this paper I investigate the existence of a price puzzle in Brazil using the same type of estimation and benchmark identification scheme employed by Christiano et aI. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap confidence intervals. Even though the data does show the existence of a statistically significant price puzzle in Brazil, it lasts for .only one quarter and is quantitatively immaterial.

Financial globalization and economic growth

Capital mobility leads to a speed of convergence smaller in an open economy than in a closed economy. This is related to the presence of two capitals, produced with specific technologies, and where one of the capitals is nontradable, like infrastructures or human capital. Suppose, for example, that the economy is relatively less abundant in human capital, leading to a decrease of the remuneration of this capital during the transition. In a closed economy, the remuneration of physical capital will be increasing during the transition. In the open economy, the alternative investment yields the international interest rate, corresponding to the steady state net remuneration of physical capital in the closed economy. The nonarbitrage condition shows a larger difference in the remuneration of the two capitals in the closed economy. It leads to a higher accumulation of human capital and thus to a faster speed of convergence in the closed economy. This result stands in sharp contrast with that of the one-sector neoclassical growth model, where the speed of convergence is smaller in the closed economy.

Caracteriza����o dos retornos e das volatilidades de ativos financeiros do mercado Brasileiro : uma abordagem baseada na volatilidade realizada

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when the information contained in high frequency data is used to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities of the Brazilian stocks, showing that the distributions of volatilities are nearly lognormal. Second, we estimate a simple linear model to the log of realized volatilities that differs from the ones in other studies. The main difference is that we do not find evidence of long memory. The estimated model is compared with commonly used alternatives in an out-of-sample experiment.

Wasted: understanding the economic and social impact of food waste

Over one-third of global food production goes to waste while over 850million people are fighting chronic hunger. The United States is the world���s largest food waster. One third of America���s food with an economic value of US$161 billion is wasted and less than 7% is recycled. American food waste ends up in landfills creating powerful methane gas emissions. South Korea, on the other hand, has implemented the world���s strictest food waste laws, and today diverts 93% of wasted food away from landfills turning such waste into powerful economic opportunities. This Master Thesis investigates the reasons behind global food waste by comparing South Korea and the US. It explores what these two nations are doing to address their respective food waste problems, South Korea successfully, the US not. The paper looks at the two countries��� respective policies and national characteristics, which impact decision-making and recycling processes. The effort concludes that South Korea has embarked on a necessary paradigm shift turning food waste into powerful economic drivers leading to a sharp decline in food waste. In the US, food waste continues to be a major problem without a national strategy to remedy waste. Any effort in the US, while laudable, is sporadic and local, and hence the US misses out on possibly important economic growth opportunities.

Theoretical and empirical essays on microeconometrics

This Master Thesis consists of one theoretical article and one empirical article on the field of Microeconometrics. The first chapter\footnote{We also thank useful suggestions by Marinho Bertanha, Gabriel Cepaluni, Brigham Frandsen, Dalia Ghanem, Ricardo Masini, Marcela Mello, ��ureo de Paula, Cristine Pinto, Edson Severnini and seminar participants at S��o Paulo School of Economics, the California Econometrics Conference 2015 and the 37\textsuperscript{th} Brazilian Meeting of Econometrics.}, called \emph{Synthetic Control Estimator: A Generalized Inference Procedure and Confidence Sets}, contributes to the literature about inference techniques of the Synthetic Control Method. This methodology was proposed to answer questions involving counterfactuals when only one treated unit and a few control units are observed. Although this method was applied in many empirical works, the formal theory behind its inference procedure is still an open question. In order to fulfill this lacuna, we make clear the sufficient hypotheses that guarantee the adequacy of Fisher's Exact Hypothesis Testing Procedure for panel data, allowing us to test any \emph{sharp null hypothesis} and, consequently, to propose a new way to estimate Confidence Sets for the Synthetic Control Estimator by inverting a test statistic, the first confidence set when we have access only to finite sample, aggregate level data whose cross-sectional dimension may be larger than its time dimension. Moreover, we analyze the size and the power of the proposed test with a Monte Carlo experiment and find that test statistics that use the synthetic control method outperforms test statistics commonly used in the evaluation literature. We also extend our framework for the cases when we observe more than one outcome of interest (simultaneous hypothesis testing) or more than one treated unit (pooled intervention effect) and when heteroskedasticity is present. The second chapter, called \emph{Free Economic Area of Manaus: An Impact Evaluation using the Synthetic Control Method}, is an empirical article. We apply the synthetic control method for Brazilian city-level data during the 20\textsuperscript{th} Century in order to evaluate the economic impact of the Free Economic Area of Manaus (FEAM). We find that this enterprise zone had positive significant effects on Real GDP per capita and Services Total Production per capita, but it also had negative significant effects on Agriculture Total Production per capita. Our results suggest that this subsidy policy achieve its goal of promoting regional economic growth, even though it may have provoked mis-allocation of resources among economic sectors.

Reading comprehension in primary school: textbooks, curriculum and assessment

This study describes the reading comprehension processes present in the most widely sold textbooks at the fourth grade level in Portugal and discusses how they compare to international assessments of reading literacy. We adopted the Progress of International Reading Literacy Study framework to categorize the questions in the textbooks. Our analyses revealed that they focus heavily on the retrieval of explicitly stated information to the detriment of higher level comprehension skills. Portuguese fourth grade textbooks rarely challenge students to make connections between their knowledge and the ideas in the texts and to adopt a critical and evaluative reading stance. This is in sharp contrast to what students are asked to do in the Progress of International Reading Literacy Study, conducted every five years since 2001, and it may help explain the poor results Portuguese students have in national assessment and in PISA. The findings are discussed in light of the curriculum frameworks currently adopted in Portugal and suggestions are made as to how we can improve reading literacy achievement.

Estudo da substitui����o de agregados mi��dos naturais por p�� de pedra em concreto de cimento portland

The sharp consumption of natural resources by the construction industry has motivated numerous studies concerning the application of waste to replace partially or fully, some materials, such as aggregates, thereby reducing the environmental impact caused by the extraction of sand and crushing process. The application of stone dust from crushing process arising as an aggregate for the production of Portland cement concrete is a viable alternative in view of the high cost of natural sands, in addition to the environmental damage which causes its operation to the environment. The stone dust has reduced cost compared to natural sand because it is produced in the beds of their own quarries, which are usually located close to major urban centers. This study examined the feasibility of using stone dust from the crushing of rock gneisses in the state of Bahia, replacing natural quartz sand. In the development of scientific study was conducted to characterize physical and chemical raw materials applied and molded cylindrical specimens , using as reference values Fck 20, Fck 25 and Fck 30 MPa ( resistance characteristic of the concrete after 28 days) in following compositions stone powder: 10%, 30%, 50 %, 100% and 100% with additive. The specimens were cured and subjected to the tests of compressive strength and water absorption, then the samples were subjected to the tests of X-ray diffraction and scanning electron microscopy. The results obtained showed that the composition with 10% stone powder showed the best results regarding the physical and mechanical tests performed, confirming the reduction in compressive strength and increased water uptake increased as the content of the powder stone in the concrete composition

S��ntese hidrot��rmica assistida por micro-ondas de tiO2, e aplica����o em nanocomp��sito

In recent decades have seen a sharp growth in the study area of nanoscience and nanotechnology and is included in this area, the study of nanocomposites with self-cleaning properties. Since titanium dioxide (TiO2) has high photocatalytic activity and also antimicrobial, self-cleaning surfaces in your application has been explored. In this study a comparison was made between two synthesis routes to obtain TiO2 nanoparticles by hydrothermal method assisted by microwave. And after analysis of XRD and SEM was considered the best material for use in nanocomposites. It was deposited nanocomposite film of poly (dimethyl siloxane) (PDMS) with 0.5, 1, 1.5 and 2% by weight of nanoparticles of titanium dioxide (TiO2) by the spraying method. The nanocomposite was diluted with hexane and the suspension was deposited onto glass substrate, followed by curing in an oven with forced air circulation. The photocatalytic activity of the nanocomposite impregnated with methylene blue was evaluated by UV- vis spectroscopy from the intensity variation of absorption main peak at 660nm with time of exposure to the UV chamber. Changes in the contact angle and microhardness were analyzed before and after UV aging test. The effect of ultraviolet radiation on the chemical structure of the PDMS matrix was evaluated by spectrophotometry Fourier transform infrared (FTIR).The results indicated that the addition of TiO2 nanoparticles in the coating PDMS gave high photocatalytic activity in the decomposition of methylene blue, an important characteristic for the development of self-cleaning coatings

Efeito do tratamento por plasma na prolifera����o de fibroblastos e esteriliza����o de membranas de quitosana

Chitosan is being studied for use as dressing due their biological properties. Aiming to expand the use in biomedical applications, chitosan membranes were modified by plasma using the following gases: nitrogen (N2), methane (CH4), argon (Ar), oxygen (O2) and hydrogen (H2). The samples were characterized by scanning electron microscopy (SEM), atomic force microscopy (AFM), contact angle, surface energy and water absorption test. Biological Tests were also performed, such as: test sterilization and proliferation of fibroblasts (3T3 line). Through SEM we observed morphological changes occurring during the plasma treatment, the formation of micro and nano-sized valleys. MFA was used to analyze different roughness parameters (Ra, Rp, Rz) and surface topography. It was found that the treated samples had an increase in surface roughness and sharp peaks. Methane plasma treatment decreased the hydrophilicity of the membranes and also the rate of water absorption, while the other treatments turned the membranes hydrophilic. The sterilization was effective in all treatment times with the following gases: Ar, N2 and H2. With respect to proliferation, all treatments showed an improvement in cell proliferation increased in a range 150% to 250% compared to untreated membrane. The highlights were the treatments with Ar 60 min, O2 60 min, CH4 15 min. Observing the results of the analyzes performed in this study, it appears that there is no single parameter that influences cell proliferation, but rather a set of ideal conditions that favor cell proliferation

Estudos anal��ticos dos grafoelementos do eletroencefalograma em sono: fusos do sono, ondas agudas do v��rtex e o gradiente de freq����ncia e amplitude, como indicadores de comprometimento neurol��gico na crian��a

Innumerable studies have focused been reported on the sleep spindles (SS), Sharp Vertex Waves (SVW) and REM, NREM Sleep as indicators interpreting EEG patterns in children. However, Frequency and Amplitud Gradient (FAG) is rarely cited sleep parameter in children,that occurs during NREM Sleep. It was first described by Slater and Torres, in 1979, but has not been routinely evaluated in EEG reports. The aim of this study was to assess the absence of SS, SVW and FAG, as an indication of neurological compromise in children. The sample consisted of 1014 EEGs of children referred to the Clinical Neurophysiology Laboratory, Hospital Universit��rio de Bras��lia (HUB), from January 1997 to March 2003, with ages ranging from 3 months to 12 years old, obtained in spontaneous sleep or induced by choral hydrate. The study was transversal and analytical, in which, visual analysis of EEG traces was perfumed individually and independently by two electroencephalographers without prior knowledge of the EEG study or neurological findings. After EEG selection, the investigators analyzed the medical reports in order to define and correlate neurological pattern was classified according to the presence or absence of neurological compromise, as Normal Neurological Pattern (NNP), and Altered Neurological Pattern (ANP) respectively. From the visual analysis of the EEG(s), it was possible to characterize 6 parameters: 1- FAG present (64,1%); 2- FAG absent (35,9%); 3 - normal SS (87,9%); 4 - altered SS s (12,1%); 5 - normal SVW s (95,7%); 6 - altered SVW s (4,3%). The prevalence of well-formed FAG is found in the 3 months to 5 years age group in the children with NNF. FAG was totally absent from the age of 10 years. When comparing the three sleep graphielements, it was observed that SVW and SS were predominant in children with NNF. However, FAG absent was more prevalent in the ANF than in altered SS an SVW. The statistical analysis showed that there is a strong association of FAG absent, with isolated alteration, in ANF patients, in that the prevalence ratio was 6,60. The association becomes stronger when FAG absent + altered SS(s) is considered (RP= 6,68). Chi-square test, corrected by Yates technique, showed a highly significant relation for FAG &#961;= 0,00000001, for error X of 5%, or else the 95% confidence interval (&#961;<0,05). Thus, the FAG absent were more expressive in ANF patient than altered SS(s) and SVW(s). The association becomes stronger in order to establish a prognostic relation, when the FAG is combined with the SS. The results os this study allow us to affirm that the FAG, when absent at ages ranging from 3 months to 5 years , is an indication of neurological compromise. FAG is an age-dependent EEG parameter and incorporated systematically, in the interpretation criteria of the EEG of children s sleep, not only in the maturational point of view, but also neurological disturbances with encephalic compromise

Effect of umbelliferone (7-hydroxycoumarin, 7-HOC) on the enzymatic, edematogenic and necrotic activities of secretory phospholipase A2 (sPLA2) isolated from Crotalus durissus collilineatus venom

Coordena����o de Aperfei��oamento de Pessoal de N��vel Superior (CAPES)

Large scale laboratory cultures of Ankistrodesmus gracilis (Reisch) Korsikov (Chlorophyta) and Diaphanosoma biergei Korinek, 1981 (Cladocera)

Funda����o de Amparo �� Pesquisa do Estado de S��o Paulo (FAPESP)