Can a habit formation model really explain the Forward Premium Anomaly?

Verdelhan (2009) mostra que desejando-se explicar o comporta- mento do prêmio de risco nos mercados de títulos estrangeiros usando- se o modelo de formação externa de hábitos proposto por Campbell e Cochrane (1999) será necessário especi car o retorno livre de risco de equilíbrio de maneira pró-cíclica. Mostramos que esta especi cação só é possível sobre parâmetros de calibração implausíveis. Ainda no processo de calibração, para a maioria dos parâmetros razoáveis, a razão preço-consumo diverge. Entretanto, adotando a sugestão pro- posta por Verdelhan (2009) - de xar a função sensibilidade (st) no seu valor de steady-state durante a calibração e liberá-la apenas du- rante a simulação dos dados para se garantir taxas livre de risco pró- cíclicas - conseguimos encontrar um valor nito e bem comportado para a razão preço-consumo de equilíbrio e replicar o foward premium anom- aly. Desconsiderando possíveis inconsistências deste procedimento, so- bre retornos livres de risco pró-cíclicos, conforme sugerido por Wachter (2006), o modelo utilizado gera curvas de yields reais decrescentes na maturidade, independentemente do estado da economia - resultado que se opõe à literatura subjacente e aos dados reais sobre yields.

Can a habit formation model really explain the forward premium anomaly?

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane’s framework under implausible parameters specifications given that the price-consumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan’s shortcut of fixing the sensivity function λ(st) at its steady state level to attain a finite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with procyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data.

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

Formation of social capital in Eastern Europe : explaining the gap vis-à-vis developed countries

Recent Eurobarometer survey data are used to document and explain the leveI of social capital in thirteen new members and fifteen current members of the European Union. Social capital in Eastern Europe - measured by participation in clubs and organization, intensity of networks or altruistic behavior - lags behind that in developed countries. The differences in individual-leveI determinants cannot fully account for the gap at the aggregate leveI. Once we also include aggregate measures of economic development and quality of institutions, the gap disappears. This implies that the EU enlargement will contribute to a convergence in social capital, assuming that it contributes to the economic and institutional development of Eastern European countries. A necessary condition is that both, formal and informal institutions and their interaction should be regarded in this process.

The Pair-Bond Formation and Its Role in the Stimulation of Reproductive Function in Female Common Marmosets (Callithrix jacchus)

SILVA, H.P.A.; SOUSA, M.B.C. The pair-bond formation and its role in the stimulation of reproductive function in female common marmosets (collithrix Jacchus). International Journal of Primatology, v, 18, n.3, p.387-400, 1997.

Synthesis of poly(styrene-co-methyl methacrylate)-based ionomers and their Langmuir and Langmuir-Blodgett (LB) film formation

Poly(styrene-co-methyl methacrylate) (PS-PMMA) ionomers with several degrees of sulfonation were synthesized and characterized by infrared, UV-vis, and NMR spectroscopies, elemental analysis, and differential scanning calorimetry (DSC). Stable Langmuir films could be produced with PS-PMMA with 3 and 6 mol % of sulfonation, while PS-PMMA 8% exhibited material loss to the water subphase, probably due to its higher solubility. Surface pressure and surface potential isotherms with PS-PMMA 3% spread onto salt-containing subphases pointed to a film behavior characteristic of the polyelectrolyte effect, where charge repulsion governs the film properties. The Langmuir-Blodgett films of this ionomer were successfully transferred onto various substrates, as confirmed by UV-vis and FTIR spectroscopies. Using cycling voltammetry, we show that LB films from PS-PMMA 3% can be applied in selective sensing of dopamine, even in the presence of interferents such as ascorbic acid.

Physicochemical Characterization and Rheological Behavior Evaluation of the Liquid Crystalline Mesophases Developed with Different Silicones

This article presented physicochemical characterization and rheological behavior evaluation of the liquid crystalline mesophases developed with different silicones. There were prepared 5 ternary systems, which were carried out the determination of the relative density, the electric conductivity and polarized light microscopy analysis, being selected two systems to promote the Preliminary Stability Tests. The results showed that System 1 obtained the major liquid crystal formation and a higher stability. The temperature influences in the systems stability and phases structure. In hot oven, observed oneself the mixture of lamellar and hexagonal phase, for both systems.

Corrosion behavior of Ti-6Al-4V alloy treated by plasma immersion ion implantation process

Ti-6Al-4V alloy is one of the most frequently used Ti alloys with diverse applications in aerospace and biomedical areas due to its favorable mechanical properties, corrosion resistance and biocompatibility. Meanwhile, its surface can stiffer intense corrosion caused by wear processes due to its poor tribological properties. Thus in the present study, PIII processing of Ti-6Al-4V alloy was carried out to evaluate its corrosion resistance in 3.5% NaCl solution. Two different sets of Ti-6Al-4V samples were PIII treated, varying the plasma gases and the treatment time. The corrosion behavior is correlated with the surface morphology, and the nitrogen content. SEM micrographs of the untreated sample reveal a typical two-phase structure. PIII processing promotes surface sputtering and the surface morphology is completely different for samples treated with N-2/H-2 mixture and N-2 only. The highest penetration of nitrogen (similar to 88 nm), corresponding to 33% of N-2 was obtained for the sample treated with N-2/H-2 mixture for 1:30 h. The corrosion behavior of the samples was investigated by a potentiodynamic polarization method. A large passive region of the polarization curves (similar to 1.5 V), associated with the formation of a protective film, was observed for all samples. The passive current density (similar to 3 x 10(-6) A cm(-2)) of the PIII-treated Ti-6Al-4V samples is about 10 times higher than for the untreated sample. This current value is still rather low and maintains good corrosion resistance. The anodic branches of the polarization curves for all treated Ti-6Al-4V samples demonstrate also that the oxide films break down at approximately 1.6 V, forming an active region. Although the sample treated by N-2/H-2 mixture for 1.30 It has thicker nitrogen enriched layer, better corrosion resistance is obtained for the PIII process performed with N, gas only. (c) 2007 Elsevier B.V. All rights reserved.

Influence of aged Ti-15V-3Cr-3Sn-3Al alloy microstructure on chemical and electrochemical behavior in the Kroll reagent for metallographic etching

The chemical and electrochemical behaviour of the Ti-1 5V-3Cr-3Sn-3Al alloy in Kroll reagent has been studied after ageing at 350-600degreesC, to optimise metallographic etching. Etching tests and polarisation curves showed that samples aged at higher temperatures have been more susceptible to corrosion. It has been attributed to the formation of intra- and intergranular alpha-phase precipitates during ageing.

What is the role of lipopolysaccharide on the tribocorrosive behavior of titanium?

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Interface Formation and Electrical Transport in SnO2:Eu3+/GaAs Heterojunction Deposited by Sol-Gel Dip-Coating and Resistive Evaporation

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Electrochemical Redox Behavior of Omeprazole Using a Glassy Carbon Electrode

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Study of acrosome formation, interspecific and intraspecific, in the testicular lobes of some pentatomid species

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

Theoretical study of omeprazole behavior: Racemization barrier and decomposition reaction

omeprazole is a substituted benzimidazole which suppresses gastric-acid secretion by means of H+, K+-ATPase inhibition. It is an optically active drug with the sulfur of the sulfoxide being the chiral center. This pro-drug can be easily converted into its respective sulfenamide at low pH. In this work, omeprazole has been studied in relation to racemization barrier and decomposition reaction. Quantum chemistry coupled to PCA chemometric method were used to find all minimum energy structures. Conformational analysis and calculation of racemization barriers were carried out by PM3 semiempirical method (Gaussian 98). The average racemization energy barrier for all minimum energy structures (43.56 kcal mol(-1)) can be related to the velocity constant in Eyring's equation. The enormous half-life time at 100 degrees C (9.04 x 10(4) years) indicates that the process cannot be observed in human time scale. on the other hand, the difference of free energy change (Delta(Delta G) = -266.78 kcal mol(-1)) for the decomposition reaction shows that the process is favorable to the sulfenamide formation. The highly negative Delta(Delta G) obtained for the decomposition reaction shows that this process is extremely exothermic. This result explains why omeprazole decomposes and does not racemize. (C) 2008 Wiley Periodicals, Inc.

Aggregation behavior of hydrophobically modified dextran in aqueous solution: a fluorescence probe study

Dextrans (M-W = 11.000 and M-w = 40.000) have been modified with 4-hexyl benzoyl chloride and their aggregation behavior was studied in aqueous solution employing the fluorescent probes pyrene and 1,8 anilinonaphtalene sulfonic acid sodium salt (1,8 ANS). The photophysical studies showed that above a critical concentration the derivatives tend to form aggregates having different properties, which depend on both the degree of substitution (alpha) and the molecular weight of the sample. The parameter alpha has a marked effect on the critical aggregation concentrations (CAC) and aggregate proper-ties. Hydrophobic microenvironments can be detected for substituted dextrans having alpha values varying from 0.01 to 0.19. CAC values decreased by two orders and magnitude when the molecular weight increased from 11 to 40 kDa, leading to formation of more apolar aggregates and diminishing by about 30% the polarity of the microenviromnents. Pre-aggregation was evidenced by pyrene excimer emission and intermolecular interactions were responsible by the formation of aggregates leading to solution behaviour similar to that of common surfactants. (C) 2003 Elsevier B.V. Ltd. All rights reserved.