The effect of deficits on prices of financial assets : theory and evidence /

"March 1984."

IDENTIFICAÇÃO DE SURPRESAS MONETÁRIAS E SEUS IMPACTOS SOBRE A ESTRUTURA A TERMO DA TAXA DE JUROS

A reação dos mercados às alterações na taxa básica de juros é relevante para toda a economia. O entendimento da relação entre a política monetária e as taxas de juros é de extrema importância, uma vez que surpresas monetárias, ou seja, os erros de previsão do mercado a respeito das alterações da meta da Taxa Selic, podem afetar as taxas de juros de diferentes maturidades ou vencimentos, impactando diretamente a Administração Financeira. O objetivo deste estudo foi analisar a variação da Estrutura a Termo da Taxa de Juros (ETTJ) quando verificadas surpresas monetárias na ocasião da decisão do Comitê de Política Monetária (Copom) a respeito da meta da Taxa Selic. Para isso, foi desenvolvido um estudo descritivo quantitativo, que considerou as 88 reuniões ordinárias do Copom realizadas no período de janeiro de 2004 a dezembro de 2013. As surpresas monetárias foram identificadas através de duas formas distintas. Na primeira forma foram consideradas as taxas do contrato de DI1 referente ao último negócio realizado no pregão da data da reunião do Copom, e a taxa do primeiro negócio realizado no pregão seguinte. Desta maneira foram identificadas 11 surpresas monetárias. Na segunda forma foram consideradas as taxas médias verificadas nos mesmos contratos e ocasiões citados anteriormente, sendo assim identificadas 10 surpresas monetárias. Já para a análise da relação entre as variações da ETTJ e as surpresas monetárias foram considerados os vencimentos de 2, 3, 6, 9, 12, 15, 18 e 24 meses. Como resultado foi possível observar que as surpresas monetárias e as variações na ETTJ são diretamente proporcionais, movendo-se na mesma direção, para as duas formas distintas de surpresas monetárias identificadas neste estudo. Além disso, foi empregada nas análises a questão da unanimidade na decisão do Copom, com o objetivo testar o seu conteúdo informacional, e observou-se como resultado uma menor variação da ETTJ em ocasiões em que a decisão do Copom foi unânime. Em resumo, entende-se que os resultados encontrados no presente estudo estão em linha aos apresentados por outros autores, sendo possível comprovar a correlação existente entre as variações da ETTJ e as surpresas monetárias, bem como verificar que a magnitude das variações diminui ao longo da ETTJ, fato este que pode ser relacionado à transparência da política monetária nacional e à experiência na vigência do sistema de metas para a inflação.

Testing term structure estimation methods:evidence from the UK STRIPs market

Prices and yields of UK government zero-coupon bonds are used to test alternative yield curve estimation models. Zero-coupon bonds permit a more pure comparison, as the models are providing only the interpolation service and also not making estimation feasible. It is found that better yield curves estimates are obtained by fitting to the yield curve directly rather than fitting first to the discount function. A simple procedure to set the smoothness of the fitted curves is developed, and a positive relationship between oversmoothness and the fitting error is identified. A cubic spline function fitted directly to the yield curve provides the best overall balance of fitting error and smoothness, both along the yield curve and within local maturity regions.

Estimating time-varying risk premia in UK long-term government bonds

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Essays in dynamic optimal taxation: working experience, unemployment scarring and poverty

This thesis investigates the design of optimal tax systems in dynamic environments. The first essay characterizes the optimal tax system where wages depend on stochastic shocks and work experience. In addition to redistributive and efficiency motives, the taxation of inexperienced workers depends on a second-best requirement that encourages work experience, a social insurance motive and incentive effects. Calibrations using U.S. data yield higher expected optimal marginal income tax rates for experienced workers for most of the inexperienced workers. They confirm that the average marginal income tax rate increases (decreases) with age when shocks and work experience are substitutes (complements). Finally, more variability in experienced workers' earnings prospects leads to increasing tax rates since income taxation acts as a social insurance mechanism. In the second essay, the properties of an optimal tax system are investigated in a dynamic private information economy where labor market frictions create unemployment that destroys workers' human capital. A two-skill type model is considered where wages and employment are endogenous. I find that the optimal tax system distorts the first-period wages of all workers below their efficient levels which leads to more employment. The standard no-distortion-at-the-top result no longer holds due to the combination of private information and the destruction of human capital. I show this result analytically under the Maximin social welfare function and confirm it numerically for a general social welfare function. I also investigate the use of a training program and job creation subsidies. The final essay analyzes the optimal linear tax system when there is a population of individuals whose perceptions of savings are linked to their disposable income and their family background through family cultural transmission. Aside from the standard equity/efficiency trade-off, taxes account for the endogeneity of perceptions through two channels. First, taxing labor decreases income, which decreases the perception of savings through time. Second, taxation on savings corrects for the misperceptions of workers and thus savings and labor decisions. Numerical simulations confirm that behavioral issues push labor income taxes upward to finance saving subsidies. Government transfers to individuals are also decreased to finance those same subsidies.

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Obtenção e caracterização de queratinase de bacillus sp. P45 a partir de coprodutos e aplicação na produção de queijos cremosos enriquecidos com chia e quinoa

As proteases constituem 60-65% do mercado global das enzimas industriais e são utilizadas na indústria de alimentos no processo de amaciamento de carne, na síntese de peptídeos, preparo de fórmulas infantis, panificação, cervejarias, produtos farmacêuticos, diagnósticos médicos, como aditivos na indústria de detergentes e na indústria têxtil no processo de depilação e transformação do couro. Proteases específicas produzidas por micro-organismos queratinolíticos são chamadas de queratinases e distinguem-se de outras proteases pela maior capacidade de degradação de substratos compactos e insolúveis como a queratina. Atualmente, processos que apontem o uso total das matérias-primas e que não resultem em impactos negativos ao meio ambiente tem ganhado destaque. Dentro desta temática, destacam-se a reutilização da farinha de penas residual durante o cultivo do Bacillus sp. P45 para produção de proteases e a biomassa residual de levedura, ambas com elevados teores de proteínas, podendo ser utilizadas no cultivo do Bacillus sp. P45 para obtenção de proteases. O objetivo deste trabalho foi obter a enzima queratinase purificada em grandes quantidades, sua caracterização, bem como a sua aplicação em processos de coagulação enzimática do leite para o desenvolvimento de um queijo cremoso enriquecido com farinha de chia e quinoa. Além disso, aplicar diferentes coprodutos para produção de enzimas proteolíticas e queratinolíticas. A presente tese foi dividida em quatro artigos: no primeiro foi realizado a obtenção da queratinase purificada em maiores quantidades e a determinação dos parâmetros de estabilidade térmica e a influência de componentes químicos na atividade enzimática. A obtenção da enzima em maiores quantidades alcançou fatores de purificação de 2,6, 6,7 e 4,0 vezes, paras 1º SAB, 2º SAB e diafiltração, respectivamente. A recuperação enzimática alcançou valores de 75,3% para o 1º SAB, 75,1% no 2º sistema e 84,3% na diafiltração. A temperatura de 55ºC e o pH 7,5 foram determinados como ótimos para atividade da enzima queratinase. O valor da energia de desativação (Ed) médio foi de 118,0 kJ/mol e os valores de z e D variaram de 13,6 a 18,8ºC, e 6,9 a 237,3 min, respectivamente. Além disso a adição de sais (CaCl2, CaO, C8H5KO4 e MgSO4) elevou a atividade da enzima na presença destes compostos. O segundo artigo apresenta a aplicação da queratinase como coagulante de leite bovino e sua aplicação na obtenção de queijo cremoso enriquecido com chia e quinoa. A enzima mostrou atividade de coagulação semelhante ao coagulante comercial, na concentração de 30mg/mL. A enzima purificada foi empregada de forma eficiente na fabricação do queijo cremoso, que apresentou valores de pH de 5,3 e acidez de 0,06 a 0,1 mol/L, com elevação durante os 25 dias de armazenamento. O terceiro artigo apresenta o perfil do queijo cremoso enriquecido com farinha de chia e quinoa, o qual apresentou alto índice de retenção de água (>99,0%) e baixos valores de sinérese (<0,72%). Elevados teores de fibras foi verificado (3,0 a 5,0%), sugerindo seu consumo como fonte de fibras. As análises microbiológicas foram de acordo com a legislação vigente. Na análise sensorial foi verificado altos valores de suavidade ao paladar e verificado maiores valores de consistência e untabilidade nas amostras com maiores concentrações de nata e quinoa. O quarto artigo traz a extração de β-galactosidase por ultrassom e o uso da biomassa residual da levedura, bem como o uso de farinha de penas residuais como substrato para obtenção de proteases. O ultrassom foi eficiente para ruptura celular e extração de β-galactosidase, apresentando alta atividade (35,0 U/mL) e rendimento (876,0 U/g de biomassa). A maior atividade proteolítica (1300 U/mL em 32 h) e queratinolítica (89,2 U/mL) verificadas ocorreram utilizando-se a biomassa e a farinha de penas residuais, respectivamente. Maior produtividade proteolítica (40,8 U/mL/h) foi verificado no meio utilizando biomassa residual como substrato. Já a maior produtividade queratinolítica (2,8 U/mL/h) foi alcançada utilizando farinha de penas reutilizada.

~(12)C与~(209)Bi反应中Au同位素的产额与Q_(gg)的关系；Q_(gg)-Yield Dependence of Au Isotopes in Interaction of 47 MeV/u ~(12)C With ~(209)Bi

用47MeV/u12C离子轰击天然铋靶,通过炮弹和靶核之间的核子转移反应产生Au同位素。使用放射化学方法从大量Bi和复杂反应产物中分离、纯化Au,并制备Au的γ射线测量源。使用HPGe探测器测量放射性Au同位素的γ活性。根据照射结束时Au同位素的活度和其他相关数据,确定每个Au同位素的产生截面。分析发现,缺中子Au同位素的产生截面与Qgg值之间不遵从指数依赖关系,这可用重离子碰撞中的次级过程加以解释。

U-curve: A branch-and-bound optimization algorithm for U-shaped cost functions on Boolean lattices applied to the feature selection problem

This paper presents the formulation of a combinatorial optimization problem with the following characteristics: (i) the search space is the power set of a finite set structured as a Boolean lattice; (ii) the cost function forms a U-shaped curve when applied to any lattice chain. This formulation applies for feature selection in the context of pattern recognition. The known approaches for this problem are branch-and-bound algorithms and heuristics that explore partially the search space. Branch-and-bound algorithms are equivalent to the full search, while heuristics are not. This paper presents a branch-and-bound algorithm that differs from the others known by exploring the lattice structure and the U-shaped chain curves of the search space. The main contribution of this paper is the architecture of this algorithm that is based on the representation and exploration of the search space by new lattice properties proven here. Several experiments, with well known public data, indicate the superiority of the proposed method to the sequential floating forward selection (SFFS), which is a popular heuristic that gives good results in very short computational time. In all experiments, the proposed method got better or equal results in similar or even smaller computational time. (C) 2009 Elsevier Ltd. All rights reserved.

Determination of plastic yield stress from spherical indentation slope curve

The indentation slope curve from a spherical indentation on elastic-plastic materials is examined. By comparing it with that of an linear elastic material of the same elastic properties, we found that the start point of plastic yielding for an elastic-plastic material can be easily located from the indentation slope curve. Based on this analysis, a simple but effective method is proposed to measure the plastic yield stress of very small samples from a spherical nano-indentation slope curve.

Genetic parameters of total milk yield and factors describing the shape of lactation curve in dairy buffaloes

The objective of this study was to apply factor analysis to describe lactation curves in dairy buffaloes in order to estimate the phenotypic and genetic association between common latent factors and cumulative milk yield. A total of 31 257 monthly test-day milk yield records from buffaloes belonging to herds located in the state of São Paulo were used to estimate two common latent factors, which were then analysed in a multi-trait animal model for estimating genetic parameters. Estimates of (co)variance components for the two common latent factors and cumulated 270-d milk yield were obtained by Bayesian inference using a multiple trait animal model. Contemporary group, number of milkings per day (two levels) and age of buffalo cow at calving (linear and quadratic) as covariate were included in the model as fixed effects. The additive genetic, permanent environmental and residual effects were included as random effects. The first common latent factor (F1) was associated with persistency of lactation and the second common latent factor (F2) with the level of production in early lactation. Heritability estimates for Fl and F2 were 0.12 and 0.07, respectively. Genetic correlation estimates between El and F2 with cumulative milk yield were positive and moderate (0.63 and 0.52). Multivariate statistics employing factor analysis allowed the extraction of two variables (latent factors) that described the shape of the lactation curve. It is expected that the response to selection to increase lactation persistency is higher than the response obtained from selecting animals to increase lactation peak. Selection for higher total milk yield would result in a favourable correlated response to increase the level of production in early lactation and the lactation persistency.

Yield potential and resource-use efficiency of maize systems in the western U.S. Corn Belt

Maize demand for food, livestock feed, and biofuel is expected to increase substantially. The Western U.S. Corn Belt accounts for 23% of U.S. maize production, and irrigated maize accounts for 43 and 58% of maize land area and total production, respectively, in this region. The most sensitive parameters (yield potential [YP], water-limited yield potential [YP-W], yield gap between actual yield and YP, and resource-use efficiency) governing performance of maize systems in the region are lacking. A simulation model was used to quantify YP under irrigated and rainfed conditions based on weather data, soil properties, and crop management at 18 locations. In a separate study, 5-year soil water data measured in central Nebraska were used to analyze soil water recharge during the non-growing season because soil water content at sowing is a critical component of water supply available for summer crops. On-farm data, including yield, irrigation, and nitrogen (N) rate for 777 field-years, was used to quantify size of yield gaps and evaluate resource-use efficiency. Simulated average YP and YP-W were 14.4 and 8.3 Mg ha-1, respectively. Geospatial variation of YP was associated with solar radiation and temperature during post-anthesis phase while variation in water-limited yield was linked to the longitudinal variation in seasonal rainfall and evaporative demand. Analysis of soil water recharge indicates that 80% of variation in soil water content at sowing can be explained by precipitation during non-growing season and residual soil water at end of previous growing season. A linear relationship between YP-W and water supply (slope: 19.3 kg ha-1 mm-1; x-intercept: 100 mm) can be used as a benchmark to diagnose and improve farmer’s water productivity (WP; kg grain per unit of water supply). Evaluation of data from farmer’s fields provides proof-of-concept and helps identify management constraints to high levels of productivity and resource-use efficiency. On average, actual yields of irrigated maize systems were 11% below YP. WP and N-fertilizer use efficiency (NUE) were high despite application of large amounts of irrigation water and N fertilizer (14 kg grain mm-1 water supply and 71 kg grain kg-1 N fertilizer). While there is limited scope for substantial increases in actual average yields, WP and NUE can be further increased by: (1) switching surface to pivot systems, (2) using conservation instead of conventional tillage systems in soybean-maize rotations, (3) implementation of irrigation schedules based on crop water requirements, and (4) better N fertilizer management.