Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

A trava bancária na recuperação judicial e o seu impacto nas formas de financiamento da empresa: uma análise através da teoria do “common pool assets” de Thomas H. Jackson

O objeto de estudo do presente trabalho é a Trava Bancária, mecanismo jurídico previsto no art. 49, § 3º da Lei de Falências e Recuperação Judicial de Empresas - LRF, por meio do qual dívidas contraídas pelas empresas junto às instituições financeiras são garantidas pela alienação fiduciária dos seus recebíveis. Serão analisadas as peculiaridades desse tipo de garantia fiduciária e, em especial, a prerrogativa que os credores detentores desse tipo de garantia possuem dentro dos procedimento de recuperação judicial de empresas, de não precisarem submeter seus créditos aos procedimentos concursais. Será feita uma análise para demonstrar que a manutenção da trava bancária diminui o valor de going concern da empresa em recuperação, pois a criação de um tipo de credor que é blindado quanto aos efeitos da recuperação judicial impede que essa mantenha-se como um procedimento concursal coletivo e compulsório, requisitos que são essenciais para incentivar os credores da empresa a trabalharem de forma conjunta, mantendo o valor de going concern da empresa recuperanda, com o objetivo de recuperar a empresa e saldarem seus créditos. Tem-se como objetivo demonstrar que, a existência da trava bancária na recuperação judicial, pode afetar negativamente o acesso das empresas ao financiamento por equity. Isto porque, os acionistas das empresas são os últimos da fila de credores a receberem caso a empresa entre em recuperação judicial, e, portanto, acredita-se que, ao saberem que existe um mecanismo que poderá inviabilizar a recuperação judicial das empresas em crise, atrapalhando sua geração de valor de going concern, é possível que investidores desistam de investir em empresas financiadas por dívidas garantidas pela alienação fiduciária de seus recebíveis, passando a ser essa uma variável levada em consideração quando da realização dos procedimentos de valuation para compra de participação acionária em empresas. Os pressupostos teóricos que serão utilizados para embasar a premissa de que a trava bancária gera impacto negativo no valor de going concern das empreas em crise, dificultando seu processo de recuperação, serão extraídos e elaborados a partir da Teoria da Common Pool Assets do autor norte-americano, Thomas H. Jackson. A relevância deste trabalho decorre da importância que o procedimento de recuperação judicial apresenta para as empresas em crise e para os seus credores, bem como a importância que esse tipo de procedimento adquiriu no País. Com efeito, desde a entrada em vigor da LRF no ordenamento jurídico brasileiro em 2005, cerca de 4 mil companhias já pediram recuperação judicial. Além disso, o trabalho mostra-se relevante por abordar questão relativa às formas de financiamento das empresas, assunto que tem reflexo no Custo Brasil e impacto direto no desenvolvimento da economia brasileiro.

Auctions with options for re-auction

We examine the role of seller bidding and reserve prices in an infinitely repeated independent-private-value (IPV) ascending-price auction. The seller has a single object that she values at zero. At the end of any auction round, she may either sell to the highest bidder or pass-in the object and hold a new auction next period. New bidders are drawn randomly in each round. The ability to re-auction motivates a notion of reserve price as the option value of retaining the object for re-auctioning. Even in the absence of a mechanism with which to commit to a reserve price, the optimal “secret” reserve is shown to exceed zero. However, despite the infinite repetition, there may be significant value to the seller from a binding reserve price commitment: the optimal binding reserve is higher than the optimal “secret” reserve, and may be substantially so, even with very patient players. Furthermore, reserve price commitments may even be socially preferable at high discount factors. We also show that the optimal “phantom” bidding strategy for the seller is revenue-equivalent to a commitment to an optimal public reserve price.

All-pay auctions with endogenous asymmetries

We study N-bidders, asymmetric all-pay auctions under incomplete information. First, we solve for the equilibrium of a parametric model. Each bidder’s valuation is independently drawn from an uniform [0, αi] where the parameter αi may vary across bidders. In this game, asymmetries are exogenously given. Next, a two-stage game where asymmetries are endogenously generated is studied. At the first stage, each bidder chooses the level of an observable, costly, value-enhancing action. The second stage is the bidding sub-game, whose equilibrium is simply the equilibrium of the, previously analyzed, game with exogenous asymmetries. Finally, natural applications of the all pay-auction in the context of political lobbying are considered: the effects of excluding bidders, as well as, the impact of caps on bids.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

A critical value function approach, with an application to persistent time-series

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic islarger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter dificulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.

The nitrogen sufficiency index underlying estimates of nitrogen fertilization requirements of common bean

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

Evaluation of pyraclostrobin and acibenzolar-S-methyl on common bacterial blight of snap bean

Assays were done under greenhouse conditions in order to evaluate the effect of pyraclostrobin (0.0375, 0.0750 and 0.150 mL.L-1) and acibenzolar-S-methyl (ASM) (0.025 g.L-1) in common bacterial blight on leaves of snap beans cultivar Braganca. These chemicals were sprayed at three different times: five days before; five days before + five days after; and five days after leaf inoculation with an isolate of Xanthomonas axonopodis pv. phaseoli. They were determinate the levels of polyphenoloxidase, peroxidase and total soluble proteins on inoculated and non-inoculated leaves of snap beans sprayed with pyraclostrobin (0.075 g.L-1) and ASM (0.025 g.L-1). All concentration of pyraclostrobin and ASM reduced the area under the disease progress curve (AUDPC) on leaves of snap beans, and the least AUDPC value was observed when this products were sprayed five days before + five days after inoculation. Higher levels of polyphenoloxidase, peroxidase and the total soluble proteins were observed on leaves sprayed with pyraclostrobin or ASM.

NESTLING BEHAVIOR and PARENTAL CARE of THE COMMON POTOO (NYCTIBIUS GRISEUS) IN SOUTHEASTERN BRAZIL

We recorded and quantified the nocturnal activity and parental care of a brooding Common Potoo (Nyctibius griseus) using an infrared camera in southeastern Brazil. Parents alternated care of the nestling and decreased their presence as the nestling grew. Nestling feeding on passing insects while sitting on the nest, movements on the nest, wing exercising, preening, and defecating were recorded primarily while it was alone. The frequency of begging calls per hour was higher when the nestling was accompanied by one of the parents. Nocturnal recordings of this species on the nest revealed behaviors that were not cited in past studies, including: feedings bouts on passing flies performed by the nestling and adults, nestling defecation, and nestling plumage maintenance. The well-known plus newly quantified behaviors of the Common Potoo reinforce their value to survival during the long nestling period. Received 24 May 2010. Accepted 14 September 2010.

Prognostic value of vascular endothelial growth factor and hypoxia-inducible factor 1 alpha in canine malignant mammary tumors

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

Strategies in identifying individuals in a segregant population of common bean and implications of genotype x environment interaction in the success of selection

The objective of this study was to compare the BLUP selection method with different selection strategies in F-2:4 and assess the efficiency of this method on the early choice of the best common bean (Phaseolus vulgaris) lines. Fifty-one F-2:4 progenies were produced from a cross between the CVIII8511 x RP-26 lines. A randomized block design was used with 20 replications and one-plant field plots. Character data on plant architecture and grain yield were obtained and then the sum of the standardized variables was estimated for simultaneous selection of both traits. Analysis was carried out by mixed models (BLUP) and the least squares method to compare different selection strategies, like mass selection, stratified mass selection and between and within progeny selection. The progenies selected by BLUP were assessed in advanced generations, always selecting the greatest and smallest sum of the standardized variables. Analyses by the least squares method and BLUP procedure ranked the progenies in the same way. The coincidence of the individuals identified by BLUP and between and within progeny selection was high and of the greatest magnitude when BLUP was compared with mass selection. Although BLUP is the best estimator of genotypic value, its efficiency in the response to long term selection is not different from any of the other methods, because it is also unable to predict the future effect of the progenies x environments interaction. It was inferred that selection success will always depend on the most accurate possible progeny assessment and using alternatives to reduce the progenies x environments interaction effect.

Provisional Biopharmaceutical Classification of Some Common Herbs Used in Western Medicine

The aim of this study was to classify some markers of common herbs used in Western medicine according to the Biopharmaceutical Classification System (BCS). The BCS is a scientific approach to classify drug substances based upon their intestinal permeability and their solubility, at the highest single dose used, within the physiologically relevant pH ranges. Known marker components of twelve herbs were chosen from the USP Dietary Supplement Compendium Monographs. Different BCS parameters such as intestinal permeability (P-eff) and solubility (C-s) were predicted using the ADMET Predictor, which is a software program to estimate biopharmaceutical relevant molecular descriptors. The dose number (D-0) was calculated when information from the literature was available to identify an upper dose for individual markers. In these cases the herbs were classified according to the traditional BCS parameters using Peff and Do. When no upper dose could be determined, then the amount of a marker that is just soluble in 250 mL of water was calculated. This value, M-x, defines when a marker is changing from highly soluble to poorly soluble according to BCS criteria. This biopharmaceutically relevant value can be a useful tool for marker selection. The present study showed that a provisional BCS classification of herbs is possible but some special considerations need to be included into the classification strategy. The BCS classification can be used to choose appropriate quality control tests for products containing these markers. A provisional BCS classification of twelve common herbs and their 35 marker compounds is presented.

Determination of decimal reduction time (D value) of chemical agents used in hospitals for disinfection purposes

Abstract Background Prior to the selection of disinfectants for low, intermediate and high (sterilizing) levels, the decimal reduction time, D-value, for the most common and persistent bacteria identified at a health care facility should be determined. Methods The D-value was determined by inoculating 100 mL of disinfecting solution with 1 mL of a bacterial suspension (104 – 105 CFU/mL for vegetative and spore forms). At regular intervals, 1 mL aliquots of this mixture were transferred to 8 mL of growth media containing a neutralizing agent, and incubated at optimal conditions for the microorganism. Results The highest D-values for various bacteria were determined for the following solutions: (i) 0.1% sodium dichloroisocyanurate (pH 7.0) – E. coli and A. calcoaceticus (D = 5.9 min); (ii) sodium hypochlorite (pH 7.0) at 0.025% for B. stearothermophilus (D = 24 min), E. coli and E. cloacae (D = 7.5 min); at 0.05% for B. stearothermophilus (D = 9.4 min) and E. coli (D = 6.1 min) and 0.1% for B. stearothermophilus (D = 3.5 min) and B. subtilis (D = 3.2 min); (iii) 2.0% glutaraldehyde (pH 7.4) – B. stearothermophilus, B. subtilis (D = 25 min) and E. coli (D = 7.1 min); (iv) 0.5% formaldehyde (pH 6.5) – B. subtilis (D = 11.8 min), B. stearothermophilus (D = 10.9 min) and A. calcoaceticus (D = 5.2 min); (v) 2.0% chlorhexidine (pH 6.2) – B. stearothermophilus (D = 9.1 min), and at 0.4% for E. cloacae (D = 8.3 min); (vi) 1.0% Minncare® (peracetic acid and hydrogen peroxide, pH 2.3) – B. stearothermophilus (D = 9.1 min) and E. coli (D = 6.7 min). Conclusions The suspension studies were an indication of the disinfectant efficacy on a surface. The data in this study reflect the formulations used and may vary from product to product. The expected effectiveness from the studied formulations showed that the tested agents can be recommended for surface disinfection as stated in present guidelines and emphasizes the importance and need to develop routine and novel programs to evaluate product utility.

The nitrogen sufficiency index underlying estimates of nitrogen fertilization requirements of common bean

Chlorophyll determination with a portable chlorophyll meter can indicate the period of highest N demand of plants and whether sidedressing is required or not. In this sense, defining the optimal timing of N application to common bean is fundamental to increase N use efficiency, increase yields and reduce the cost of fertilization. The objectives of this study were to evaluate the efficiency of N sufficiency index (NSI) calculated based on the relative chlorophyll index (RCI) in leaves, measured with a portable chlorophyll meter, as an indicator of time of N sidedressing fertilization and to verify which NSI (90 and 95 %) value is the most appropriate to indicate the moment of N fertilization of common bean cultivar Perola. The experiment was carried out in the rainy and dry growing seasons of the agricultural year 2009/10 on a dystroferric Red Nitosol, in Botucatu, São Paulo State, Brazil. The experiment was arranged in a randomized complete block design with five treatments, consisting of N managements (M1: 200 kg ha-1 N (40 kg at sowing + 80 kg 15 days after emergence (DAE) + 80 kg 30 DAE); M2: 100 kg ha-1 N (20 kg at sowing + 40 kg 15 DAE + 40 kg 30 DAE); M3: 20 kg ha-1 N at sowing + 30 kg ha-1 when chlorophyll meter readings indicated NSI < 95 %; M4: 20 kg ha-1 N at sowing + 30 kg ha-1 N when chlorophyll meter readings indicated NSI < 90 % and, M5: control (without N application)) and four replications. The variables RCI, aboveground dry matter, total leaf N concentration, production components, grain yield, relative yield, and N use efficiency were evaluated. The RCI correlated with leaf N concentrations. By monitoring the RCI with the chlorophyll meter, the period of N sidedressing of common bean could be defined, improving N use efficiency and avoiding unnecessary N supply to common bean. The NSI 90 % of the reference area was more efficient to define the moment of N sidedressing of common bean, to increase N use efficiency.

A Divided City in a Common Market: EU Citizenship and Everyday Instrumentalities on the Polish-German Border

Based on an ethnographic case study in the border cities of Frankfurt (Oder), Germany and Słubice, Poland, this article explores the construction and maintenance of ethnic difference within the transnational economic and social spaces created by the European Union's common market. Through an examination of three domains of cross-border citizenship practice - shopping and consumption, housing and work - this article argues that even as the European Union deploys policies aimed at creating de-territorialised and supranational forms of identity and citizenship, economic asymmetries and hierarchies of value embedded within these policies grant rights differentially in ways that continue to be linked to ethnicity and nationality.