Beyond the carry trade: Optimal currency portfolios

Author's Pre-print

Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

Drilling deeper: Understanding trade in Angola

The present study analyzes Angola’s trading partners from 2005 to 2015 in order to understand the main drivers of Exports and Imports growth. Departing from a gravity model, foreign GDP growth and real exchange rate fluctuations were interpreted as demand and supply disturbances on Exports. While nominal and real exports both increase with demand expansions, they react differently to supply shocks. Imports are growing at the same rate as Angola’s economy while exchange rate fluctuations capture the wealth effect of Oil price in the economy.

The emergence of product certification systems as trade barriers

This paper addresses the growing difficulties automobile manufacturers face within their after sales business: an increasing number of trade obstacles set up by import countries discriminates against the foreign suppliers and impedes the international sales of genuine parts. The purpose of the study is to explore the emergence of trade restrictive product certification systems, which affect spare parts exports of automobile manufacturers. The methodology used includes review of the literature and an empirical study based on qualitative interviews with representatives of major stakeholders of the automotive after sales business. Relevant key drivers, which initiate the introduction of technical regulations in importing countries, are identified and analysed to evaluate their effect on the emerging trade policy. The analysis of the key drivers outlines that several interacting components, such as the global competitiveness of the country, macroeconomic and microeconomic factors, and certain country-specific variables induce trade restrictive product certification systems. The findings allow for an early detection of the emergence of product certification systems and provide a means to early recognise the risks and opportunities for the sales of automotive spare parts in the automakers’ target markets. This allows the manufacturers to react immediately and adapt in time to the upcoming changes.

Density-dependent morphological plasticity and trade-offs among vegetative traits in Eichhornia crassipes (Pontederiaceae)

Density-dependent responses are an important component of the organism life-history, and the resource allocation theory is a central concept to the life-history theory. When resource allocation varies due to environmental changes, a plant may change its morphology or physiology to cope with the new conditions, a process known as phenotypic plasticity. Our study aimed to evaluate how plant density affects Eichhornia crassipes allocation patterns. A total of 214 individuals in high and low density were collected. The density effect was observed in all plant traits examined including biomass accumulation. All traits of E. crassipes demonstrated higher values in high density conditions, except for biomass of leaves. Density exhibited a high influence on vegetative traits of E. crassipes, but did not influence allocation pattern, since a trade-off among the vegetative traits was not found. The morphological plasticity and the absence of trade-offs were discussed as strategies to overcome neighbor plants in competition situations. In high density conditions, there were clear changes in the morphology of the plants which probably allows for their survival in a highly competitive environment.

A voyage to the islands Madera, Barbados, Nieves, S. Christophers and Jamaica : with the natural history of the herbs and trees, four-footed beasts, fishes, birds, insects, reptiles, &c. of the last of those islands; to which is prefix'd, an introduction, wherein is an account of the inhabitants, air, waters, diseases, trade, &c. of that place, with some relations concerning the neighbouring continent, and islands of America. Illustrated with figures of the things described, which have not been heretofore engraved. In large copper-plates as big as the life /

Vol. 2

A voyage to the islands Madera, Barbados, Nieves, S. Christophers and Jamaica : with the natural history of the herbs and trees, four-footed beasts, fishes, birds, insects, reptiles, &c. of the last of those islands; to which is prefix'd, an introduction, wherein is an account of the inhabitants, air, waters, diseases, trade, &c. of that place, with some relations concerning the neighbouring continent, and islands of America. Illustrated with figures of the things described, which have not been heretofore engraved. In large copper-plates as big as the life /

Vol. 1

Evaluación de la interacción virus-hospedante-vector- endosimbiontes y su influencia en la transmisión del Mal de Río Cuarto en infecciones simples y mixtas con el Cereal Rhabdovirus.

El “Mal de Río Cuarto” es la enfermedad más importante del maíz en la Argentina. El agente causal es un fijivirus denominado Mal de Río Cuarto virus (MRCV). Se transmite únicamente a través de delfácidos (Hemiptera-Delphacidae) de forma persistente propagativa. Se han descripto diversas especies con demostrada capacidad vectora, entre ellos Delphacodes kuscheli Fennah y Toya propinqua Fieber. La primera es de gran importancia tanto por su abundancia en las zonas maiceras de nuestro país como por su eficiencia de transmisión mientras que T. propinqua es una especie cosmopolita que se encuentra ampliamente distribuida en toda el área productiva. Ambas especies poseen una demostrada capacidad de transmisión a cereales de grano fino, importantes epidemiológicamente por su rol como reservorios del virus y el vector en época invernal. Un aspecto que requiere especial atención es la aparición de una nueva virosis, un Cytorhabdovirus, en infecciones mixtas con MRCV en cereales de invierno en el sur de la provincia de Córdoba (región endémica del Mal de Río Cuarto). Al igual que este último el rhabdovirus se transmite por insectos delfácidos, por lo que sería relevante estudiar las posibles interacciones entre la coinfección por ambos patógenos y sus consecuencias en la transmisión del MRCV. La capacidad vectora puede estar afectada por diversos aspectos biológicos, entre los que se pueden mencionar el estadío del insecto al momento de la adquisición del virus, los niveles de concentración viral alcanzados en el organismo del vector, la existencia de barreras morfofisiológicas (como las membranas basales del intestino medio y glándulas salivales, y mecanismos de inmunidad innata) y la presencia de endosimbiontes. Se conoce que existen diferencias en la transmisión según el MRCV se adquiera como ninfa de primer o tercer estadío, por lo que se propone realizar estudios comparativos entre ambos grupos. Se plantea además evaluar el efecto de diferencias de concentración del MRCV en el organismo del insecto en la transmisión mediante RT-qPCR, en infecciones simples y mixtas. Se analizará la posible existencia de barreras morfofisiológicas observando el tropismo de las partículas virales en los tejidos del vector a través de inmunomicroscopía confocal y la activación diferencial de genes de inmunidad innata con RT-qPCR. Dado que existen antecedentes de la presencia de endosimbiontes, como Wolbachia pipientis en este grupo de insectos, se propone además estudiar la prevalencia de esta bacteria y analizar las cepas existentes en poblaciones de delfácidos del área maicera. Este objetivo es importante por dos razones. En primer lugar, W pipientis es ampliamente estudiada como potencial biocontrolador de vectores debido al fenómeno de incompatibilidad citoplasmática que expresa en sus hospedantes. En segundo lugar, esta bacteria influye en la eficiencia de transmisión de enfermedades ya que se conoce que los endosimbiontes producen proteínas denominadas simbioninas que protegen las partículas virales de la degradación enzimática durante su circulación por la hemolinfa. De este modo, la presencia de Wolbachia podría condicionar la replicación, estabilidad y persistencia de las partículas virales en insectos vectores, fenómenos comprobados para otros patosistemas. Este proyecto tiene como objetivo final profundizar los conocimientos acerca del fenómeno de la transmisión viral y establecer bases para el manejo integrado del vector y la enfermedad.

Ciclos económicos en economías abiertas y menos desarrolladas: el papel de los "shocks" en los términos de intercambio.The business cycle in open and less developed economies: the rol of terms-of-trade shocks.

Nuestra preocupación reside en estudiar empíricamente el mecanismo de transmisión internacional de ciclos económicos a economías pequeñas y menos desarrolladas (LDC), evaluando el impacto de los shocks en los términos de intercambio en países dónde existen imperfecciones en el mercado crediticio que imponen severas restricciones en el financiamiento de la inversión doméstica y al crecimiento económico. Primero, analizamos si la cuenta corriente responde de manera asimétrica a movimientos de largo plazo en los términos de intercambio. La hipótesis es que “en los buenos tiempos” cuando se produce una mejora permanente en términos de intercambio (y con ello el nivel de ingreso) los individuos no elevan su consumo en un monto acorde con la mejora de su ingreso (permanente) sino que ahorran una fracción del aumento en su dotación para hacer frente a una reversión en la mejora en los términos de intercambios (aunque ésta sea transitoria) en el futuro. En consecuencia, la cuenta corriente (diferencia entre ingreso y absorción) responde de manera positiva a un shock permanente en los términos de intercambio, ya que el individuo ahorra de manera cautelosa –debido a que sabe que no le prestarán para suavizar consumo - aún suponiendo que en el futuro tendrá una reversión transitoria de su ingreso. Segundo, estudiamos la relación dinámica entre los términos de intercambio y la tasa de interés en la economía pequeña abierta y con imperfecciones en el mercado crediticio (información asimétrica). La hipótesis es que la economía doméstica tiene que soportar una prima de riesgo que eleva el costo de la inversión y retarda el crecimiento (Gertler y Rogoff; 1990). Esta prima de riesgo depende, además, en forma negativa del nivel del colateral que tenga la economía. El colateral es la dotación de recursos naturales, por ejemplo, que la economía posee a los fines garantizar el cumplimiento de las obligaciones contraídas (en el modelo presentado las actividades dónde se invierten son independientes del colateral). La hipótesis establecida indica que los cambios en los términos de intercambio generan un aumento del colateral de la economía y una reducción del riesgo país: aumentos en los términos de intercambio reducen la prima de riesgo de la economía que opera en mercados de capitales con asimetrías de información, y como consecuencia aumentarían los ingresos de capitales. De esta forma, se estaría encontrando una explicación a la denominada “Paradoja de Lucas”. Finalmente, el proyecto estudia la conexión entre dos variables “clave” en la economía de los países emergentes: la relación entre los términos de intercambio y el tipo de cambio real. Argumentamos que los efectos de las mejoras de los términos de intercambio sobre los flujos de capitales externos tienden a ser sobreestimadas si no se consideran los efectos “secundarios” de éstas sobre el tipo de cambio real de la economía pequeña menos desarrollada. En este proyecto se controlan estadísticamente esta relación. La estrategia empírica elegida resulta en aplicar a un panel (constituido por dieciocho países de Latinoamérica) el método generalizado de momentos (GMM) a dos modelos de regresión estadística a los fines de abordar de manera eficiente el problema de la endogeneidad de la variable dependiente que actúa como regresor rezagado. La estrategia de estimación elegida enfatiza el análisis de la relación dinámica de las variables económicas incluidas en el análisis. The paper analyzes the general problem related to the transmission of economic cycles to Small Open Economies. The analysis focuses on terms-of-trade shocks, which are considered one of the major sources of income volatility in developing economies. Specifically, we tackle the problem related to the impact of terms-of-trade shocks in Less Developed SOEs. ‘Less Developed SOEs’ are understood as those countries who have borrowing constraints. First, we put to a test the hypothesis of asymmetric response of current account to terms-of-trade shocks (the impact of the shock on current account differs depending whether it is positive or negative), which originates from considering binding restrictions in international capital markets (Agénor and Aizenman; 2004). Second, we investigate about the main determinants of External Capital Flows (ECF) directed to Developing Countries. We put to a test the Gertler and Rogoff (1990) hypothesis that a “risky rate” arises in that markets because the economy has not sufficient amount of wealth to “collateralize” the capital she needs to borrow to take advantage of the investment opportunities she has and additionally because the lender does not have the chance of observing what the borrowed does with the funds (that is information asymmetry arises because the lender can check the realized output of investment but he can not observe if he really invest in the project or secretly lend abroad). Finally, Following Prasad, E. S., Rajan and R. Subramanian, A (2007) we measure the relationship between external capital flows and domestic currency overvaluation. We run a panel GMM estimation for a set of 18 Latin American Countries during the period 1973-2008.

O cereal de Adlay: estudo de seu valor agrícola e nutricional para aves

Both experiments confirm Job's tears are inadequate as poultry feed due the low growing and high mortality shown on the groups receiving Job's tears meal. Considerations are done by the authors about Coix crops, that do not seem economical on the general condition of the country.

International trade, technical change and the demand for skills : how important is trade in quality differential products?

Magdeburg, Univ., Fak. für Wirtschaftswiss., Diss., 2012

The diet of the black widow spider Latrodectus mirabilis (Theridiidae) in two cereal crops of central Argentina

The spider Latrodectus mirabilis (Holmberg, 1876) is commonly found in cereals crops of central Argentina. We studied its diet composition at the field and capture rate on leaf-cutting ants based on laboratory experiments. This study comprises the first approach that documents the diet of L. mirabilis in wheat and oat fields of central Argentina. We identified 1,004 prey items collected from its webs during the last phenological stages of both cereal crops. The prey composition was variable but the spiders prey mainly on ants (Formicidae, Hymenoptera), who represented more than 86% of the total. Meanwhile, in the capture rate experiences we registered a high proportion of ants captured by spiders at the beginning of experiences, capturing the half of the ants from total in the first four hours. Summarizing, we reported a polyphagous diet of this spider species in wheat and oat fields. Ants were the most important prey item of this spider, as found in other Latrodectus spiders around the world.

Trade disclosure and price dispersion

This paper determines the effects of post-trade opaqueness on market performance. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period making zero expected profits in each of the two trading rounds, whereas in the opaque market dealers invest in acquiring information at the beginning of the trading day. Moreover, we obtain that if there is no trading activity in the first period, then market makers only change their quotes in the opaque market. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning welfare of market participants, we obtain ambiguous results. Keywords: Market microstructure, Post-trade transparency, Price experimentation, Price dispersion.

Accuracy vs. simplicity: a complex trade-off

Inductive learning aims at finding general rules that hold true in a database. Targeted learning seeks rules for the predictions of the value of a variable based on the values of others, as in the case of linear or non-parametric regression analysis. Non-targeted learning finds regularities without a specific prediction goal. We model the product of non-targeted learning as rules that state that a certain phenomenon never happens, or that certain conditions necessitate another. For all types of rules, there is a trade-off between the rule's accuracy and its simplicity. Thus rule selection can be viewed as a choice problem, among pairs of degree of accuracy and degree of complexity. However, one cannot in general tell what is the feasible set in the accuracy-complexity space. Formally, we show that finding out whether a point belongs to this set is computationally hard. In particular, in the context of linear regression, finding a small set of variables that obtain a certain value of R2 is computationally hard. Computational complexity may explain why a person is not always aware of rules that, if asked, she would find valid. This, in turn, may explain why one can change other people's minds (opinions, beliefs) without providing new information.