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.

A conditional likelihood ratio test for structural models

This paper develops a general method for constructing similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reducedform covariance matrix. The test based on the likelihood ratio statistic is particularly simple and has good power properties. When identification is strong, the power curve of this conditional likelihood ratio test is essentially equal to the power envelope for similar tests. Monte Carlo simulations also suggest that this test dominates the Anderson- Rubin test and the score test. Dropping the restrictive assumption of disturbances normally distributed with known covariance matrix, approximate conditional tests are found that behave well in small samples even when identification is weak.

Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Otimização de carteiras regularizadas empregando informações de grupos de ativos para o mercado brasileiro

Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições sobre a norma dos pesos dos ativos, assim como DeMiguel et al. (2009). Adicionalmente, também analisamos o desempenho de carteiras que levam em consideração informações sobre a estrutura de grupos de ativos com características semelhantes, conforme proposto por Fernandes, Rocha e Souza (2011). Enquanto a matriz de covariância empregada nas análises é a estimada através dos dados amostrais, os retornos esperados são obtidos através da otimização reversa da carteira de equilíbrio de mercado proposta por Black e Litterman (1992). A análise empírica fora da amostra para o período entre janeiro de 2010 e outubro de 2014 sinaliza-nos que, em linha com estudos anteriores, a penalização das normas dos pesos pode levar (dependendo da norma escolhida e da intensidade da restrição) a melhores performances em termos de Sharpe e retorno médio, em relação a carteiras obtidas via o modelo tradicional de Markowitz. Além disso, a inclusão de informações sobre os grupos de ativos também pode trazer benefícios ao cálculo de portfolios ótimos, tanto em relação aos métodos tradicionais quanto em relação aos casos sem uso da estrutura de grupos.

Labor earnings dynamics in post-stabilization Brazil

This paper analyzes both the levels and evolution of wage inequality in the Brazilian formal labor market using administrative data from the Brazilian Ministry of Labor (RAIS) from 1994 to 2009. After the covariance structure of the log of real weekly wages is estimated and the variance of the log of real weekly wages is decomposed into its permanent and transitory components, we verify that nearly 60% of the inequality within age and education groups is explained by the permanent component, i.e., by time-invariant individual productive characteristics. During this period, wage inequality decreased by 29%. In the rst years immediately after the macroeconomic stabilization (1994

Estimates of genetic parameters for visual scores and their correlation with production and reproductive traits in Brahman cattle

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

Tide-topography interaction along the eastern Brazilian shelf

In the Tropics, continental shelves governed by western boundary currents are considered to be among the least productive ocean margins in the world, unless eddy-induced shelf-edge upwelling becomes significant. The eastern Brazilian shelf in the Southwest Atlantic is one of these, and since the slight nutrient input from continental sources is extremely oligotrophic. It is characterized by complex bathymetry with the presence of shallow banks and seamounts. In this work, a full three-dimensional nonlinear primitive equation ocean model is used to demonstrate that the interaction of tidal currents and the bottom topography of the east Brazil continental shelf is capable of producing local upwelling of South Atlantic Central Water, bringing nutrients up from deep waters to the surface layer. Such upper layer enrichment is found to be of significance in increasing local primary productivity. (c) 2005 Elsevier Ltd. All rights reserved.

Is the meander growth in the Brazil Current system off Southeast Brazil due to baroclinic instability?

Temporally-growing frontal meandering and occasional eddy-shedding is observed in the Brazil Current (BC) as it flows adjacent to the Brazilian Coast. No study of the dynamics of this phenomenon has been conducted to date in the region between 22 degrees S and 25 degrees S. Within this latitude range, the flow over the intermediate continental slope is marked by a current inversion at a depth that is associated with the Intermediate Western Boundary Current (IWBC). A time series analysis of 10-current-meter mooring data was used to describe a mean vertical profile for the BC-IWBC jet and a typical meander vertical structure. The latter was obtained by an empirical orthogonal function (EOF) analysis that showed a single mode explaining 82% of the total variance. This mode structure decayed sharply with depth, revealing that the meandering is much more vigorous within the BC domain than it is in the IWBC region. As the spectral analysis of the mode amplitude time series revealed no significant periods, we searched for dominant wavelengths. This search was done via a spatial EOF analysis on 51 thermal front patterns derived from digitized AVHRR images. Four modes were statistically significant at the 95% confidence level. Modes 3 and 4, which together explained 18% of the total variance, are associated with 266 and 338-km vorticity waves, respectively. With this new information derived from the data, the [Johns, W.E., 1988. One-dimensional baroclinically unstable waves on the Gulf Stream potential vorticity gradient near Cape Hatteras. Dyn. Atmos. Oceans 11, 323-350] one-dimensional quasi-geostrophic model was applied to the interpolated mean BC-IWBC jet. The results indicated that the BC system is indeed baroclinically unstable and that the wavelengths depicted in the thermal front analysis are associated with the most unstable waves produced by the model. Growth rates were about 0.06 (0.05) days(-1) for the 266-km (338-km) wave. Moreover, phase speeds for these waves were low compared to the surface BC velocity and may account for remarks in the literature about growing standing or stationary meanders off southeast Brazil. The theoretical vertical structure modes associated with these waves resembled very closely to the one obtained for the current-meter mooring EOF analysis. We interpret this agreement as a confirmation that baroclinic instability is an important mechanism in meander growth in the BC system. (C) 2008 Elsevier B.V. All rights reserved.

Análise de vizinhança na avaliação de genótipos de cana-de-açúcar

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Desempenho reprodutivo, características do pelame e taxa de sudação em vacas da raça Braford

Foram investigados os efeitos das características do pelame e da taxa de sudação (TS) sobre o intervalo de partos (IEP, n = 423) e os dias para o parto (DPP, n = 1.202) de vacas da raça Braford criadas em sistema extensivo em região tropical úmida no Mato Grosso do Sul, Brasil. As análises foram realizadas pelo método dos quadrados mínimos considerando para intervalo de partos os seguintes efeitos das classes de idade da vaca ao parto: grupo genético; pai; e regressão sobre a refletância da superfície da capa (R), a espessura da capa (E), o comprimento dos pêlos (C), o número de pêlos por unidade de área (N), o diâmetro dos pêlos (D) e a taxa de sudação. Para dias para o parto, foram considerados os efeitos: R, E, C, N, D, TS, divididos em classes; grupo genético; idade no início da estação de monta; e pai. Os componentes de variância e co-variância foram estimados pelo método de Máxima Verossimilhança Restrita sob o modelo touro. As características adaptativas não foram importantes para a variação do intervalo de parto e dos dias para o parto, mas a taxa de sudação apresentou efeito importante sobre dias ao parto. As estimativas de herdabilidade foram quase nulas para IEP e DPP e maiores para as características adaptativas (E = 0,16 ± 0,09; C = 0,18 ± 0,09; N = 0,08 ± 0,06; D = 0,12 ± 0,07; R = 0,30 ± 0,12; TS = 0,10 ± 0,06). Os resultados obtidos para as correlações genéticas de IEP e DPP com TS e entre as características do pelame indicaram que a seleção simultânea para menores valores de C pode ser favorável à redução do intervalo de partos. em geral, as correlações genéticas entre TS, IEP e DPP apresentaram elevado erro-padrão. Considerando os resultados deste estudo e a importância das características do pelame e da sudação, confirma-se a necessidade de se estudarem as correlações genéticas entre as características adaptativas e o desempenho reprodutivo para o progresso da adaptação de bovinos da raça Braford no Brasil.

Características do pelame de vacas Holandesas em ambiente tropical: um estudo genético e adaptativo

As características do pelame (espessura da capa, comprimento médio dos pêlos, número de pêlos por unidade de área, densidade de massa dos pêlos, ângulo de inclinação dos pêlos com respeito a superfície da epiderme e diâmetro médio do pêlos) foram avaliadas em 973 vacas da raça Holandesa, entre novembro de 2000 e abril de 2001, numa área localizada 20cm abaixo da coluna vertebral, no centro do tronco, tanto nas malhas brancas como nas negras. As amostras de pêlos foram obtidas com um alicate comum adaptado. O método da Máxima Verossimilhança Restrita (REML) foi usado para estimar os componentes de variância e covariância sob modelo animal, sendo empregado o sistema MTDFREML. Os resultados mostraram que as características do pelame preto são diferentes das do branco, quando os animais são criados em ambiente tropical. O pelame preto apresentou-se menos denso, com pêlos mais curtos e grossos devido à maior necessidade de perder calor, enquanto que, o pelame branco é mais denso e com pêlos mais compridos, oferecendo uma melhor proteção contra à radiação solar direta. A seleção de vacas predominantemente negras pode ser uma boa escolha para aumentar a resistência do gado Holandês às condições do ambiente tropical, principalmente à radiação solar, quando esses animais são criados a campo, devido a que a epiderme sob esse tipo de malhas é altamente pigmentada. Tal seleção pode ser facilmente realizada, considerando a alta herdabilidade (h²=0,75) para a proporção de malhas negras. Esta seleção deve ser realizada no sentido de um pelame menos denso, com pêlos curtos e grossos favorecendo as perdas de calor sensível e calor latente.

Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index

Parent, L. E., Natale, W. and Ziadi, N. 2009. Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index. Can. J. Soil Sci. 89: 383-390. Compositional nutrient diagnosis (CND) provides a plant nutrient imbalance index (CND - r(2)) with assumed chi(2) distribution. The Mahalanobis distance D(2), which detects outliers in compositional data sets, also has a chi(2) distribution. The objective of this paper was to compare D(2) and CND - r(2) nutrient imbalance indexes in corn (Zea mays L.). We measured grain yield as well as N, P, K, Ca, Mg, Cu, Fe, Mn, and Zn concentrations in the ear leaf at silk stage for 210 calibration sites in the St. Lawrence Lowlands [2300-2700 corn thermal units (CTU)] as well as 30 phosphorus (2300-2700 CTU; 10 sites) and 10 nitrogen (1900-2100 CTU; one site) replicated fertilizer treatments for validation. We derived CND norms as mean, standard deviation, and the inverse covariance matrix of centred log ratios (clr) for high yielding specimens (>= 9.0 Mg grain ha(-1) at 150 g H(2)O kg(-1) moisture content) in the 2300-2700 CTU zone. Using chi(2) = 17 (P < 0.05) with nine degrees of freedom (i.e., nine nutrients) as a rejection criterion for outliers and a yield threshold of 8.6 Mg ha(-1) after Cate-Nelson partitioning between low- and high-yielders in the P validation data set, D(2) misclassified two specimens compared with nine for CND -r(2). The D(2) classification was not significantly different from a chi(2) classification (P > 0.05), but the CND - r(2) classification differed significantly from chi(2) or D(2) (P < 0.001). A threshold value for nutrient imbalance could thus be derived probabilistically for conducting D(2) diagnosis, while the CND - r(2) nutrient imbalance threshold must be calibrated using fertilizer trials. In the proposed CND - D(2) procedure, D(2) is first computed to classify the specimen as possible outlier. Thereafter, nutrient indices are ranked in their order of limitation. The D(2) norms appeared less effective in the 1900-2100 CTU zone.