Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

The effects of external and internal strikes on total factor productivity

This paper examines structural changes that occur in the total factor productivity (TFP) within countries. It is possible that some episodes of high economic growth or economic decline are associated with permanent productivity shocks, therefore, this research has two objectives. The Örst one is to estimate the structural changes present in TFP for a sample of 81 countries between 1950(60) and 2000. The second one is to identify, whenever possible, episodes in the political and economic history of these countries that may account for the structural breaks in question. The results suggest that about 85% of the TFP time-series present at least one structural break, moreover, at least half the structural changes can be attributed to internal factors, such as independence or a newly adopted constitution, and about 30% to external shocks, such as oil shock or shocks in international interest rates. The majority of the estimated breaks are downwards, indicating that after a break the TFP tends to decrease, implying that institutional rearrangements, external shocks, or internal shocks may be costly and from which it is very di¢ cult to recover.

Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

The macroeconomics of price adjustments under information frictions and menu costs

Esta tese se dedica ao estudo de modelos de fixação de preços e suas implicações macroeconômicas. Nos primeiros dois capítulos analiso modelos em que as decisões das firmas sobre seus preços praticados levam em conta custos de menu e de informação. No Capítulo 1 eu estimo tais modelos empregando estatísticas de variações de preços dos Estados Unidos, e concluo que: os custos de informação são significativamente maiores que os custos de menu; os dados claramente favorecem o modelo em que informações sobre condições agregadas são custosas enquanto que as idiossincráticas têm custo zero. No Capítulo 2 investigo as consequências de choques monetários e anúncios de desinflação usando os modelos previamente estimados. Mostro que o grau de não-neutralidade monetária é maior no modelo em que parte da informação é grátis. O Capítulo 3 é um artigo em conjunto com Carlos Carvalho (PUC-Rio) e Antonella Tutino (Federal Reserve Bank of Dallas). No artigo examinamos um modelo de fixação de preços em que firmas estão sujeitas a uma restrição de fluxo de informação do tipo Shannon. Calibramos o modelo e estudamos funções impulso-resposta a choques idiossincráticos e agregados. Mostramos que as firmas vão preferir processar informações agregadas e idiossincráticas conjuntamente ao invés de investigá-las separadamente. Este tipo de processamento gera ajustes de preços mais frequentes, diminuindo a persistência de efeitos reais causados por choques monetários.

Comments on public debt indexation and denomination, the case of Brazil

In this work I analyze the model proposed by Goldfajn (2000) to study the choice of the denomination of the public debt. Some potential shortcmomings of the mo dei in explaining the data are discussed. Measures of the overestimation of the welfare gains of reducing distortions from taxation, under the model's simplified time frame, are also provided. Assuming a time-preference parameter of 0.9, for instance, welfare gains associated with a hedge to the debt that reduces to half a once-for-all 20o/o-of-GDP shock to governemnt spending run around 1.43% of GDP under the no-tax-smoothing structure of the model. Under a Ramsey allocation, though, welfare gains amount to just around 0.05% of GDP.

A restatement of the welafare costs of inflation. The wast of scarce resources in the manufacturing , banking and household sectors

Lucas (2000) estimates that the US welfare costs of inflation are around 1% of GDP. This measurement is consistent with a speci…c distorting channel in terms of the Bailey triangle under the demand for monetary base schedule (outside money): the displacement of resources from the production of consumption goods to the household transaction time à la Baumol. Here, we consider also several new types of distortions in the manufacturing and banking industries. Our new evidences show that both banks and firms demand special occupational employments to avoid the inflation tax. We de…ne the concept of ”the foat labor”: The occupational employments that are aflected by the in‡ation rates. More administrative workers are hired relatively to the bluecollar workers for producing consumption goods. This new phenomenon makes the manufacturing industry more roundabout. To take into account this new stylized fact and others, we redo at same time both ”The model 5: A Banking Sector -2” formulated by Lucas (1993) and ”The Competitive Banking System” proposed by Yoshino (1993). This modelling allows us to characterize better the new types of misallocations. We …nd that the maximum value of the resources wasted by the US economy happened in the years 1980-81, after the 2nd oil shock. In these years, we estimate the excess resources that are allocated for every speci…c distorting channel: i) The US commercial banks spent additional resources of around 2% of GDP; ii) For the purpose of the firm foating time were used between 2.4% and 4.1% of GDP); and iii) For the household transaction time were allocated between 3.1% and 4.5 % of GDP. The Bailey triangle under the demand for the monetary base schedule represented around 1% of GDP, which is consistent with Lucas (2000). We estimate that the US total welfare costs of in‡ation were around 10% of GDP in terms of the consumption goods foregone. The big di¤erence between our results and Lucas (2000) are mainly due to the Harberger triangle in the market for loans (inside money) which makes part of the household transaction time, of the …rm ‡oat labor and of the distortion in the banking industry. This triangle arises due to the widening interest rates spread in the presence of a distorting inflation tax and under a fractionally reserve system. The Harberger triangle can represent 80% of the total welfare costs of inflation while the remaining percentage is split almost equally between the Bailey triangle and the resources used for the bank services. Finally, we formulate several theorems in terms of the optimal nonneutral monetary policy so as to compare with the classical monetary theory.

Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

Characterization of heat waves affecting mortality rates of broilers between 29 days and market age

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

Thermal and mechanical shocks affecting the first flush of production of Lentinula edodes on Eucalyptus saligna logs

O objetivo deste trabalho foi avaliar o efeito do choque térmico e mecânico na produtividade de Lentinula edodes em 140 toras de Eucalyptus saligna, completamente colonizadas pelo fungo, em diferentes tempos de imersão em água e no primeiro fluxo de produção. As toras foram imersas em água resfriada (16ºC) ou à temperatura ambiente (22ºC); os períodos de imersão corresponderam a 6, 10, 14, 18, 22, 26 e 38 horas; o choque mecânico foi acompanhado por três quedas consecutivas da tora, em posição vertical, no chão. A temperatura da água e o tempo de imersão afetaram a produção de L. edodes, resultando em aumentos significativos (2 a 4 vezes) nos tratamentos em que as toras foram submetidas à água resfriada e nos tempos de imersão mais curtos (6 e 10 horas). O choque mecânico não resultou em aumento na produção de basidiomas.

Hepatic concentration of heat shock protein 70 kD (Hsp70) in broilers subjected to different thermal treatments

1. The relationship between repeated thermal treatments and hepatic synthesis of Hsp 70 was studied in broiler chickens.2. Sixty broilers were submitted to 5 different treatments (12 birds each) from day 1 to day 42. Four groups were kept in a thermoneutral environment and subjected to 0, 1, 2 and 3 heat stress episodes at 35 degrees C for 4 h per week (TN-0, TN-1, TN-2 and TN-3, respectively). The last group (HT-35) was reared at a room temperature of 35 degrees C.3. From 39 to 42 old, the birds experienced acute heat stress at 41 degrees C. Resistance to heat stress was evaluated by the time taken for rectal temperature to increase by 3 degrees C above the pre-treatment value. Livers were collected (before and after heat stress) and Hsp70 was determined using Western Blot analysis with monoclonal anti-Hsp70 antibody.4. Resistance to heat stress and concentration of Hsp70 were higher in those birds subjected to more heat stress episodes during the experimental period (TN-3) and HT-35. A positive correlation was observed between Hsp70 concentration and the time taken for a 3 degrees C increase in rectal temperature (r=0.42; P<0.01).5. Exposing birds to episodes of heat stress (35 degrees C) during rearing may improve their resistance to acute heat stress, but the previous thermal history did not seem to influence the hepatocyte Hsp70 content after exposure to more severe heat stress (41 degrees C).

Effect of moderate and severe heat stress on avian embryonic Hsp70 gene expression

Stress response is a universal mechanism developed by all organisms to deal with adverse changes in the environment, which lead to the synthesis of heat shock proteins (Hsps). In this study, the effect of moderate (41degreesC) and severe (44degreesC) heat stress on Hsp70 transcript expression pattern was investigated during chicken embryogenesis. Acute exposure to severe heat stress for one hour resulted in a fifteen-fold increase in Hsp70 mRNA levels. The return of stressed embryos to normal incubation temperature resulted in Hsp70 mRNA levels five-fold higher than control after three hours and normal levels after six hours. Moderate heat stress did not induce enhancements on Hsp70 mRNA levels. The spatial expression of Hsp70 transcripts was detected in embryos under normal incubation conditions. Whole-mount in situ hybridization analysis showed that Hsp70 transcripts were constitutively present in somite and in distinct encephalic domains (predominantly in prosencephalon and mesencephalon areas) of the chicken embryo. These results showed that Hsp70 induction is dependent on incubation temperature conditions, suggesting that early chicken embryos may induce a quick emergence response to cope with severe heat stress by increasing Hsp70 mRNA levels.

Brain and hepatic Hsp70 protein levels in heat-acclimated broiler chickens during heat stress

In the present study we have investigated the effects of heat acclimation on brain and hepatic Hsp70 protein levels and body temperature of broiler chickens in response to gradual heat stress. Two groups of broilers were raised up to 47 days of age under distinct temperature conditions: thermoneutral (TN, according to bird age) or hot environmental (HS, 31-33°C). At 46 days of age, the birds reared at high ambient temperature were transferred to thermoneutrality conditions. After 18 h, these birds and the birds reared at thermoneutral temperature were submitted to gradual heat stress in a climatic chamber so that environment temperature was increased from 28 to 40ºC at a rate of 2ºC/h. Colonic temperature was measured using a thermometer sensor probe at each two hours, and hepatic and brain tissues were collected immediately after slaughter in order to assess Hsp70 protein level by Western blotting analysis. The colonic temperatures of birds reared at high temperature increased steeply during the first 2 h of heat stress (1.06ºC/h) and more slowly thereafter (0.59ºC/h). Broilers reared at thermoneutral temperature showed a small increase in the first 4 h of heat stress (0.18ºC/h) and then colonic temperature increased sharply (0.72ºC/h). Nevertheless, both groups presented similar final colonic temperature by the end of the stress period. Hsp70 levels (ng Hsp70 µg total protein-1) did not change in the liver or brain of the birds reared at high temperature. on the other hand, both liver and brain Hsp70 levels increased significantly during heat stress in the animals reared at thermoneutrality, with a higher expression of this peptide in brain tissue.

Cellular and molecular characterization of an embryonic cell line (BME26) from the tick Rhipicephalus (Boophilus) microplus

The cellular and molecular characteristics of a cell line (BME26) derived from embryos of the cattle tick Rhipicephalus (Boophilus) microplus were studied. The cells contained glycogen inclusions, numerous mitochondria, and vesicles with heterogeneous electron densities dispersed throughout the cytoplasm. Vesicles contained lipids and sequestered palladium meso-porphyrin (Pd-mP) and rhodamine-hemoglobin, suggesting their involvement in the autophagic and endocytic pathways. The cells phagocytosed yeast and expressed genes encoding the antimicrobial peptides (microplusin and defensin). A cDNA library was made and 898 unique mRNA sequences were obtained. Among them, 556 sequences were not significantly similar to any sequence found in public databases. Annotation using Gene Ontology revealed transcripts related to several different functional classes. We identified transcripts involved in immune response such as ferritin, serine proteases, protease inhibitors,. antimicrobial peptides, heat shock protein, glutathione S-transferase, peroxidase, and NADPH oxidase. BME26 cells transfected with a plasmid carrying a red fluorescent protein reporter gene (DsRed2) transiently expressed DsRed2 for up to 5 weeks. We conclude that BME26 can be used to experimentally analyze diverse biological processes that occur in R. (B.) microplus such as the innate immune response to tick-borne pathogens. (C) 2008 Elsevier Ltd. All rights reserved.