The short and long-run determinants of the real exchange rate in Mexico

This paper explores the real exchange rate behavior in Mexico from 1960 until 2005. Since the empirical analysis reveals that the real exchange rate is not mean reverting, we propose that economic fundamental variables affect its evolution in the long-run. Therefore, based on equilibrium exchange rate paradigms, we propose a simple model of real exchange rate determination which includes the relative labor productivity, the real interest rates and the net foreign assets over a long period of time. Our analysis also considers the dynamic adjustment in response to shocks through impulse response functions derived from the multivariate VAR model.

Caracterização de bactérias dos gêneros Mima e Herella (Tribo Mimeae, DeBord, 1942): 1) Propriedade morfo-bioquímicas e sensibilidade aos antibióticos

No presente trabalho, os autores estudaram as propriedades morfo-bioquímicas e a sinsibilidade aos antibióticos de 19 amostras de bactérias dos gêneros Mima e Herellea isoladas de material clínico e identificadas como Mima polymorpha variedade oxidans, Mima polymorpha e Herellea vaginicola. No estudo bioquímico observou-se que Herellea vaginicola foi oxidase negativa e em meio complexo nitrogenado, consistentemente ataca a glicose, galactose, manose, arabinose, xilose, lactose a 10% e irregularmente ataca a ramnose e a celobiose; em base sintética nitrogenada, além das atividades citadas, consistentemente produziu ácido a partir da lactose. Mima polymopha foi oxidase negativa, não apresentando atividade glicidolítica, quer em meio complexo nitrogenado, quer em base sintética nitrogenada. Mima polymorpha var. oxidans, foi oxidase positiva, não revelando nenhuma atividade glicidolítica. Herellea vaginicola e Mima polymorpha mostraram grande sensibilidade à gabromicina, knamicina, neomicina, colistin, sendo que a última também foi muito sensível ao cloranfenicol e rovamicina. Mima polymorpha var. oxidans, apresentou grande sensibilidade à knamicina, neomicina, colistin, cloranfenicol e wintomylon. A sensibilidade das amostras a 1 a 0,1 unidade de penicilina/ml, nas condições ensaiadas no presente trabalho, não foi absoluta, como a observada por Baumann, Doudoroff & Stanier (1968a) que permitisse uma separação entre amostras oxidase positiva e negativa ou uma diferenciação dentro do grupo das bactérias oxidase positiva.

Diatomáceas de tanques do cactário do Jardim Botânico, Guanabara, Brasil

O autor analisou a microflora de três tanques situados no Cactário do Jardim Botânico, Rio de Janeiro, Guanabara. Tanque nº 1. Apresentou desenvolvimento muito intenso da microfibra nos mseses mais frios. As diatomáceas foram muito freqüentes. As espécies indicadoras de saprobidade foram as seguintes: Gomphonema gracile Ehr., pinnularia maior. (kutz) Cleve, Gomphonema parvulum (kutz) Grunow, Navicula mutica Kutz., Pinnularia borealis Ehr., Pinnularia microstauron (Ehr) Cleve, Pinnularia acrospheria Breb., Hantzschia amphioxys (Ehr) Grunow, Nitzschia palea Kutz., Eutonia pectinalis (Kutz) Rabenh. Tanque nº 2. As diatomáceas indicadoras de águas contaminadas, anotamos como segue: Eutonia pectinalis (Kutz) Rabenh., Gomphonema parvulum (kutz) Grunow, Hanstzschia amphioxys (Ehr) Grunow, Navicula mutica Kutz, Pinnularia borealis Ehr., Pinnularia maior (Kutz) Cleve, Pinnularia microstauron (Ehr) Cleve. Tanque nº 3. Foi bastante reduzida a freqüência da microflora. Comparando-o com os tanques nº 1 e 2, as diatomáceas e clorofícias observadas, mostraram-se diminuídas nos meses mais quentes. Encontramos as seguintes espécies oligosaprobias: Eunotia pectinalis (Kutz) Rabenh., Gomphonema gracile ehr., Gomphonema parvulum (Kutz) Grunow Hantzschia amphioxys (Ehr) Grunow, Pinnularia borealis Ehr., Pinnularia maior (Kutz) Cleve. Foram consideradas também as clorofíceas quanto ao regime de saprobidade do material estudado. Eutonia augusta f. crenulata Cleve-Euler e Eutonia veneris var. exsecta Clever-Euler encontradas em nossas amostras, são novas para o Brasil. Um total de 71 espécies foram determinadas de 21 coletas realizadas durante o período de 36 meses.

Observações hidrobiológicas sobre a poluição do rio Capibaribe-Mirim, Pernambuco, Brasil

Foi estudada, do ponto de vista ecológico, a poluição da água do rio Capibaribe-Mirim. Foram feitas cerca de 40 coletas de material de janeiro a dezembro de 1974, compreendendo os períodos seco e chuvoso, em 6 estações distribuídas desde o alto curso do rio (perto de Macaparana) até o médio curso (imediações de Goiana). Observaram-se 96 taxa entre espécies e variedades, sendo as mais frequëntes e dominantes as seguintes: Biddulphia laevis (Ehr.) Hustedt, Synedra ulna (Nitzsch) Ehr., Eunotia pectinalis (Kutz) Rabenhost, Nitzschia sigma (Kutz) W. Smith, Navicula cuspidata var. ambigua (Ehr.) Cleve, Eunotia didyma Grunow, Amphora ovalis Kutz., Amphora coffeaeformis Agard, Hantzschia amphioxys (Ehr.) Grunow, Nitzschia triblionella var. victoriae (H.) Grunow, Pinnularia acrospheria Breb., Pinnularia mesolepta (Ehr.) W. Smith, Rhopalodia gibberula (Ehr.) O. Müller, Surirella ovata kutz. É dada especial atenção ás algas Bacillariophyceae e Chlorophyceae. São apresentados, em forma tabular, o inventário ecológico, os índices halóbicos e sapróbicos das espécies, e a freqüência e distribuição das diatomáceas nas diversas estações de coleta.

Latex of "Coroa de Cristo" (Euphorbia Splendens): an effective molluscicide

An aqueous solution of the latex of "coroa de cristo" (Euphorbia splendens var. hislopii) showed molluscicide action (LD90) at a concentration lower than 0.5 ppm on Biomphalaria glabrata and B. tenagophila reared in laboratory and at a concentration lower than 4.0 ppm for field B. tenagophila.

Progress Towards to Equity Market Integration in Eastern Europe

The advent of the European Union has decreased the diversification benefits available from country based equity market indices in the region. This paper measures the increase in stock integration between the three largest new EU members (Hungary, the Czech Republic and Poland who joined in May 2004) and the Euro-zone. A potentially gradual transition in correlations is accommodated in a single VAR model by embedding smooth transition conditional correlation models with fat tails, spillovers, volatility clustering, and asymmetric volatility effects. At the country market index level all three Eastern European markets show a considerable increase in correlations in 2006. At the industry level the dates and transition periods for the correlations differ, and the correlations are lower although also increasing. The results show that sectoral indices in Eastern European markets may provide larger diversification opportunities than the aggregate market. JEL classifications: C32; C51; F36; G15 Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock Return Comovement; Sectoral correlations; New EU Members

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model’s posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland’s (2001, 2004) hybrid estimation approach to allow for a vector autoregressive moving average (VARMA) process to describe the movements and co-movements of the model’s errors not explained by the basic RBC model. The results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model’s fit relative to the VAR and AR alternatives. Moreover, despite setting the RBC model a more difficult task under the VARMA specification, our analysis, based on forecast error and spectral decompositions, suggests that the RBC model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post-war U.S. economy.

Does the euro dominate Central and Eastern European money markets?

The so-called German Dominance Hypothesis (GDH) claimed that Bundesbank policies were transmitted into other European Monetary System (EMS) interest rates during the pre-euro era. We reformulate this hypothesis for the Central and Eastern European (CEE) countries that are on the verge of accessing the eurozone. We test this \Euro Dominance Hypothesis (EDH)" in a novel way using a global vector autoregressive (GVAR) approach that combines country-speci c error correction models in a global system. We nd that euro area monetary policies are transmitted into CEE interest rates which provides evidence for monetary integration between the eurozone and CEE countries. Our framework also allows for introducing global monetary shocks to provide empirical evidence regarding the e ects of the recent nancial crisis on monetary integration in Europe.

Inflation Uncertainty, Exchange Rate Depreciation and Volatility: Evidence from Ghana, Mozambique and Tanzania

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the underlying currency loses value. We conjecture that a reverse causation, which further weakens the currency, may be mitigated by price stability. Data from Ghana, Mozambique and Tanzania support this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which has enjoyed a more stable inflation despite all countries adopting similar macro-policies since early 1990s.

On monetary policy and stock market anomalies

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.

Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters

This paper uses forecasts from the European Central Bank's Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our empirical work. Given the relatively short data span of the Survey of Professional Forecasters and the need to control for many explanatory variables, we use dynamic model averaging in order to ensure a parsimonious econometric speci cation. We use both regression-based and VAR-based methods. We find no support for the backward looking behavior embedded in the Neo-classical Phillips curve. Much more support is found for the forward looking behavior of the New Keynesian Phillips curve, but most of this support is found after the beginning of the financial crisis.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Macroeconomists working with multivariate models typically face uncertainty over which (if any) of their variables have long run steady states which are subject to breaks. Furthermore, the nature of the break process is often unknown. In this paper, we draw on methods from the Bayesian clustering literature to develop an econometric methodology which: i) finds groups of variables which have the same number of breaks; and ii) determines the nature of the break process within each group. We present an application involving a five-variate steady-state VAR.

Forecasting with Medium and Large Bayesian VARs

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors which have been used with small VARs, discuss the issues which arise when they are used with medium and large VARs and examine their forecast performance using a US macroeconomic data set containing 168 variables. We nd that Bayesian VARs do tend to forecast better than factor methods and provide an extensive comparison of the strengths and weaknesses of various approaches. Our empirical results show the importance of using forecast metrics which use the entire predictive density, instead of using only point forecasts.

Large Time-Varying Parameter VARs

In this paper we develop methods for estimation and forecasting in large timevarying parameter vector autoregressive models (TVP-VARs). To overcome computational constraints with likelihood-based estimation of large systems, we rely on Kalman filter estimation with forgetting factors. We also draw on ideas from the dynamic model averaging literature and extend the TVP-VAR so that its dimension can change over time. A final extension lies in the development of a new method for estimating, in a time-varying manner, the parameter(s) of the shrinkage priors commonly-used with large VARs. These extensions are operationalized through the use of forgetting factor methods and are, thus, computationally simple. An empirical application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our approach.

Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada

VAR methods have been used to model the inter-relationships between inflows and outfl ows into unemployment and vacancies using tools such as impulse response analysis. In order to investigate whether such impulse responses change over the course of the business cycle or or over time, this paper uses TVP-VARs for US and Canadian data. For the US, we find interesting differences between the most recent recession and earlier recessions and expansions. In particular, we find the immediate effect of a negative shock on both in ow and out flow hazards to be larger in 2008 than in earlier times. Furthermore, the effect of this shock takes longer to decay. For Canada, we fi nd less evidence of time-variation in impulse responses.