Default mercado de crédito parcelado para bens duráveis : veículos automotores

The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Recuperação do cromo contido nas cinzas provenientes da incineração de resíduos sólidos das indústrias coureira e calçadista visando a obtenção de cromato de sódio (VI)

O processo de transformação da pele em couro envolve uma seqüência complexa de reações químicas e processos mecânicos, no qual o curtimento representa fundamental estágio, por propiciar à pele características como qualidade, estabilidade hidrotérmica e excelentes propriedades para uso. O sulfato básico de cromo trivalente é o agente curtente predominantemente empregado no curtimento de peles em todo o mundo. É produzido a partir do cromato de sódio, industrialmente obtido do minério de cromo. Consideráveis quantidades de resíduos sólidos contendo cromo são geradas pelas indústrias coureira e calçadista. Estes resíduos tem sido motivo de preocupação constante, uma vez que são considerados perigosos devido a presença do cromo. O processo de incineração destes resíduos é uma importante alternativa a ser considerada, em decorrência de suas características de redução de massa, volume e possibilidade de aproveitamento da energia térmica dos gases de combustão. O processo de incineração dos resíduos das indústrias coureira e calçadista dá origem a cinzas contendo cerca de 40% de cromo que pode ser submetida a um processo de recuperação. Este trabalho apresenta os resultados da pesquisa sobre a utilização das cinzas, provenientes da incineração dos resíduos sólidos da indústria coureira e da indústria calçadista, para a produção de cromato de sódio(VI). No processo de planejamento e de condução dos experimentos foram utilizadas as técnicas de Planejamento Fatorial 2k, Metodologia de Superfície de Resposta e Análise de Variância na avaliação da produção de cromato de sódio(VI). Os fatores investigados foram: temperatura, taxa de aquecimento, tempo de reação, vazão de ar e quantidade de dolomita. A partir das variáveis selecionadas identificaram-se como parâmetros importantes a temperatura e a taxa de aquecimento. As superfícies de resposta tridimensionais obtidas a partir dos modelos de segunda ordem ajustados aos dados experimentais, apresentaram o comportamento do efeito conjugado dos fatores temperatura e taxa de aquecimento sobre a variável resposta grau de oxidação, desde a temperatura de inicio da reação química até a temperatura limite utilizada industrialmente. As condições de operação do processo de produção de cromato de sódio(VI) foram otimizadas. Os níveis ótimos dos fatores de controle aplicados as cinzas dos resíduos da indústria calçadista, geradas em uma planta piloto com incinerador de leito fixo, com tecnologia de gaseificação e combustão combinadas, apresentaram um grau de oxidação superior a 96% para as cinzas coletadas no ciclone e de 99,5% para as cinzas coletas no reator de gaseificação. Os resíduos sólidos, as cinzas e o produto de reação foram caracterizados por análises químicas, fluorescência de raio-X, microscopia eletrônica de varredura e difração de raio-X.

Estratégias de imunização de carteira de renda fixa no Brasil

Este trabalho visa comparar, estatisticamente, o desempenho de duas estratégias de imunização de carteiras de renda fixa, que são recalibradas periodicamente. A primeira estratégia, duração, considera alterações no nível da estrutura a termo da taxa de juros brasileira, enquanto a abordagem alternativa tem como objetivo imunizar o portfólio contra oscilações em nível, inclinação e curvatura. Primeiro, estimamos a curva de juros a partir do modelo polinomial de Nelson & Siegel (1987) e Diebold & Li (2006). Segundo, imunizamos a carteira de renda fixa adotando o conceito de construção de hedge de Litterman & Scheinkman (1991), porém assumindo que as taxas de juros não são observadas. O portfólio imunizado pela estratégia alternativa apresenta empiricamente um desempenho estatisticamente superior ao procedimento de duração. Mostramos também que a frequência ótima de recalibragem é mensal na análise empírica.

On invariant Rings of Sylow subgroups of finite classical groups

In this thesis we study the invariant rings for the Sylow p-subgroups of the nite classical groups. We have successfully constructed presentations for the invariant rings for the Sylow p-subgroups of the unitary groups GU(3; Fq2) and GU(4; Fq2 ), the symplectic group Sp(4; Fq) and the orthogonal group O+(4; Fq) with q odd. In all cases, we obtained a minimal generating set which is also a SAGBI basis. Moreover, we computed the relations among the generators and showed that the invariant ring for these groups are a complete intersection. This shows that, even though the invariant rings of the Sylow p-subgroups of the general linear group are polynomial, the same is not true for Sylow p-subgroups of general classical groups. We also constructed the generators for the invariant elds for the Sylow p-subgroups of GU(n; Fq2 ), Sp(2n; Fq), O+(2n; Fq), O-(2n + 2; Fq) and O(2n + 1; Fq), for every n and q. This is an important step in order to obtain the generators and relations for the invariant rings of all these groups.

Estudo paramétrico da recuperação de petróleo pesado por aquecimento eletromagnético resistivo

Electrical resistive heating (ERH) is a thermal method used to improve oil recovery. It can increase oil rate and oil recovery due to temperature increase caused by electrical current passage through oil zone. ERH has some advantage compared with well-known thermal methods such as continuous steam flood, presenting low-water production. This method can be applied to reservoirs with different characteristics and initial reservoir conditions. Commercial software was used to test several cases using a semi-synthetic homogeneous reservoir with some characteristics as found in northeast Brazilian basins. It was realized a sensitivity analysis of some reservoir parameters, such as: oil zone, aquifer presence, gas cap presence and oil saturation on oil recovery and energy consumption. Then it was tested several cases studying the electrical variables considered more important in the process, such as: voltage, electrical configurations and electrodes positions. Energy optimization by electrodes voltage levels changes and electrical settings modify the intensity and the electrical current distribution in oil zone and, consequently, their influences in reservoir temperature reached at some regions. Results show which reservoir parameters were significant in order to improve oil recovery and energy requirement in for each reservoir. Most significant parameters on oil recovery and electrical energy delivered were oil thickness, presence of aquifer, presence of gas cap, voltage, electrical configuration and electrodes positions. Factors such as: connate water, water salinity and relative permeability to water at irreducible oil saturation had low influence on oil recovery but had some influence in energy requirements. It was possible to optimize energy consumption and oil recovery by electrical variables. Energy requirements can decrease by changing electrodes voltages during the process. This application can be extended to heavy oil reservoirs of high depth, such as offshore fields, where nowadays it is not applicable any conventional thermal process such as steam flooding

Mentol como anestésico para dourado (Salminus brasiliensis)

Different levels of menthol as an anesthetic for dourado (Salminus brasiliensis) were evaluated in this study. Fish (n=32) with average weight of 194.13 +/- 9.06 g and total mean length of 25.30 +/- 0.90 cm were separated in four groups composed of 8 individuals. Each group was submitted to different menthol concentrations: 60, 90, 120 and 150 mg L(-1). Total induction time was analyzed by polynomial regression and other parameters by Tukey's test. All experimental fish exposed to different concentrations of menthol reached deep anesthesia stage without mortality. It was observed a negative linear effect (P<0.05) for total induction time. The longest recovery time (172.60 s) was observed for dourado treated with 120 mg. L(-1), which differed (P<0.05) from the 90 mg.L(-1) treatment (122.03 s). All levels evaluated in this study were safe and effective. A concentration of 60 mg L(-1) for dourado is suggested based on lower cost and adequate induction and recovery time responses.

Testes bioquímicos para avaliação do vigor em sementes de Mimosa caesalpiniaefolia Benth

Mimosa caesalpiniaefolia Benth. is a forest species of the Mimosaceae family, recommended for recovery of degraded areas. The evaluation of vigor by biochemical tests have been an important tool in the control of seed quality programs, and the electrical conductivity and potassium leaching the most efficient in the verifying the physiological potential. The objective, therefore, to adjust the methodology of the electrical conductivity test for seeds of M. caesalpiniaefolia, for then compare the efficiency of this test with the potassium in the evaluation of seed vigor of different lots of seeds M. caesalpiniaefolia. To test the adequacy of the electrical conductivity were used different combinations of temperatures , 25 °C and 30 ºC, number of seeds , 25 and 50, periods of imbibition , 4 , 8 , 12 , 16 and 24 hours , and volumes deionized water, 50 mL and 75mL. For potassium leaching test, which was conducted from the results achieved by the methodology of the adequacy of the electrical conductivity test, to compare the efficiency of both tests , in the classification of seeds at different levels of vigor, and the period 4 hours also evaluated because the potassium leaching test can be more efficient in the shortest time . The best combination obtained in experiment of electrical conductivity is 25 seeds soaked in 50 mL deionized or distilled water for 8 hours at a temperature of 30 ° C. Data were subjected to analysis of variance, the means were compared with each other by F tests and Tukey at 5 % probability, and when necessary polynomial regression analysis was performed. The electrical conductivity test performed at period eight hour proved to be more efficient in the separation of seed lots M. caesalpiniaefolia at different levels of vigor compared to the potassium test

Interação da deficiência hídrica e da toxicidade do alumínio em guandu cultivado em hidroponia

O objetivo deste trabalho foi avaliar o efeito da interação da deficiência hídrica e da toxicidade do alumínio no crescimento inicial e teores de prolina livre em duas cultivares de guandu, IAPAR 43-Aratã e IAC Fava Larga, cultivadas em hidroponia. As plântulas foram submetidas aos estresses em solução nutritiva (pH 3,8), nos potenciais osmóticos de 0, -0,004, -0,006, -0,008 e -0,010 MPa, com 0, 0,25, 0,50, 0,75 e 1 mmol dm-3 de Al3+. O experimento foi conduzido em sala de crescimento, sob luminária com irradiância média de 190 mmol m-2 s-1 , fotoperíodo de 12 horas e temperatura de 25+1ºC. O delineamento experimental foi inteiramente casualizado, em arranjo fatorial 2x5x5 (duas cultivares de guandu, cinco potenciais osmóticos e cinco níveis de alumínio), com quatro repetições. Os dados foram submetidos às análises de regressão polinomial, agrupamento e componentes principais. A deficiência hídrica causa redução do crescimento da parte aérea do guandu, e a toxicidade do alumínio provoca diminuição do crescimento radicular. Houve aumento nos teores de prolina livre nas duas cultivares sob deficiência hídrica, e apenas na IAC Fava Larga sob toxicidade de alumínio. Na análise multivariada, foi observada alta correlação no crescimento e no acúmulo de prolina na cultivar IAC Fava Larga, o que evidencia provável tolerância aos estresses associados.

Egg production curve fitting using nonlinear models for selected and nonselected lines of White Leghorn hens

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

Período de incubação de Guignardia citricarpa em diferentes estádios fenológicos de frutos de laranjeira 'Valência'

A mancha preta dos citros (MPC), causada pelo fungo Guignardia citricarpa, produz lesões em frutos, os quais ficam depreciados para o mercado interno e os restringem para a exportação. O grande período de suscetibilidade dos frutos cítricos, em adição ao fato de G. citricarpa causar infecções latentes, dificulta o entendimento sobre o período de incubação da doença. O objetivo do trabalho foi determinar o período de incubação da MPC inoculando frutos de laranjeira 'Valência' em diferentes estádios fenológicos. Para a inoculação foram empregadas suspensões de conídios de G. citricarpa (10³, 10(4), 10(5) e 10(6) conídios mL-1) em diferentes diâmetros dos frutos (1,5; 2,0; 2,5; 3,0; 5,0 e 7,0 cm). O período de incubação da MPC para os diferentes diâmetros dos frutos inoculados apresentou uma relação polinomial negativa. em frutos com até 3 cm de diâmetro o período de incubação médio foi superior a 200 dias, enquanto que em frutos com diâmetros superiores a 5 cm o período de incubação médio foi inferior a 84 dias. A MPC apresenta período de incubação variável dependente do estádio fenológico em que os frutos são infectados. A concentração de conídios de G. citricarpa, na infecção, não interfere no período de incubação da doença.

Morphological Aspects and Storage of Dypsis leptocheilos (Hodel) Beentje & J. Dransf. (Arecaceae) Seeds

Dypsis leptocheilos (Hodel) Beentje & J. Dransf. palms are widely used in landscaping, however there is a lack of studies about its biology, especially on the morphology of its seedling disseminules and the ideal seed storage time without loss of viability. The objectives of this work were to describe the morphological aspects and to study the storage effect on the germination of D. leptocheilos seeds. The experiments were performed at FCAV/UNESP, Jaboticabal Campus, São Paulo State, Brazil. In order to obtain a morphology description 100 disseminules were sowed in vermiculite. The external and internal sides of the disseminules as well as the representative phases of the germination process were sketched with the help of a light chamber attached to a stereomicroscope. Five treatments were arranged in order to study the storage effects on the seeds (four months of storage and straight after harvest), with four replicates with 25 disseminules each (seeds with attached endocarp) in a completely randomized design. The germination test was conducted over a 140 days period and noted every two days. In order to calculate the germination percentage (% G) and the Germination Speed Index (GSI), the seeds were considered germinated when the germinative button appeared. The data were submitted to a polynomial regression analysis to verify the behavior of the variables over the storage period. The D. leptocheilos seeds have rounded shape, ruminate endosperm and hard consistency. The embryo is lateral, peripheral and relatively undifferentiated, with approximately 3 mm long and conical shape. The germination percentage increased from 17% for seeds sowed straight after harvest to 73% for those stored over a three-month period. For the GSI the increase was about 0.85%. It was concluded that the germination of D. leptocheilos is of an adjacent ligulate type. Furthermore, the seeds stored for 3 months at 14 degrees C showed both higher percentage and germination speed.

A simple and non-destructive model for individual leaf area estimation in citrus

Introduction. Leaf area is often related to plant growth, development, physiology and yield. Many non-destructive models have been proposed for leaf area estimation of several plant genotypes, demonstrating that leaf length, leaf width and leaf area are closely correlated. Thus, the objective of our study was to develop a reliable model for leaf area estimation from linear measurements of leaf dimensions for citrus genotypes. Materials and methods. Leaves of citrus genotypes were harvested, and their dimensions (length, width and area) were measured. Values of leaf area were regressed against length, width, the square of length, the square of width and the product (length x width). The most accurate equations, either linear or second-order polynomial, were regressed again with a new data set; then the most reliable equation was defined. Results and discussion. The first analysis showed that the variables length, width and the square of length gave better results in second-order polynomial equations, while the linear equations were more suitable and accurate when the width and the product (length x width) were used. When these equations were regressed with the new data set, the coefficient of determination (R(2)) and the agreement index 'd' were higher for the one that used the variable product (length x width), while the Mean Absolute Percentage Error was lower. Conclusion. The product of the simple leaf dimensions (length x width) can provide a reliable and simple non-destructive model for leaf area estimation across citrus genotypes.

Vegetative propagation of bauhinia x blakeana, an ornamental sterile tree

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)