The welfare cost of macroeconomic uncertainty in the post-war period

Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate Beveridge-Nelson decomposition for trends and cycles, which considers not only business-cycle uncertainty but also uncertainty from the stochastic trend in consumption. The post-WWII period is relatively quiet, with the welfare costs of uncertainty being about 0:9% of per-capita consumption. Although changing the decomposition method changed substantially initial results, the welfare cost of uncertainty is qualitatively small in the post-WWII era - about $175.00 a year per-capita in the U.S. We also computed the marginal welfare cost of macroeconomic uncertainty using this same technique. It is about twice as large as the welfare cost ñ$350.00 a year per-capita.

The welfare cost of macroeconomic uncertainty in the post-war period

With standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for post-war U.S. using the BeveridgeNelson decomposition. Welfare costs are about 0.9% per-capita consumption ($175.00) and marginal welfare costs are about twice as large.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond

The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two types of shocks associated with them (respectively,transitory and permanent shocks) hit consumption simultaneously. Separating these welfare costs requires dealing with degenerate bivariate distributions. Levis Continuity Theorem and the Disintegration Theorem allow us to adequately de ne the one-dimensional limiting marginal distributions. Under Normality, we show that the parameters of the original marginal distributions are not afected, providing the means for calculating separately the welfare costs of business-cycle uctuations and of economic-growth variation. Our empirical results show that, if we consider only transitory shocks, the welfare cost of business cycles is much smaller than previously thought. Indeed, we found it to be negative - -0:03% of per-capita consumption! On the other hand, we found that the welfare cost of economic-growth variation is relatively large. Our estimate for reasonable preference-parameter values shows that it is 0:71% of consumption US$ 208:98 per person, per year.

On the welfare costs of business cycles in the 20th century

Lucas (1987) has shown a surprising result in business-cycle research, that the welfare cost of business cycles are relatively small. Using standard assumptions on preferences and a reasonable reduced form for consumption, we computed these welfare costs for the pre- and post-WWII era, using three alternative trend-cycle decomposition methods. The post-WWII period is very era this basic result is dramatically altered. For the Beveridge and Nelson decomposition, and reasonable preference parameter and discount values, we get a compensation of about 5% of consumption, which is by all means a sizable welfare cost (about US$ 1,000.00 a year).

Ensaios em macroeconometria e finanças

Esta tese de doutorado está composta por quatro ensaios em macroeconometria e finanças com aplicações nas áreas de abertura comercial, custo de bem estar do ciclo de negócios e taxas de juros. No primeiro ensaio analisamos o comportamento da indústria de transformação após as reformas implantadas na década de noventa. Verificamos se o processo de abertura gerou aumentos da produtividade média da indústria de transformação. Adicionalmente, estimamos o mark-up de diferentes setores industriais e testamos se este se modifica após a abertura comercial. Os resultados das estimações indicam a existência de um significativo aumento na produtividade industrial na maior parte dos setores estudados. O canal para este aumento de produtividade, aparentemente, não é o aumento da concorrência, já que não há evidência estatística de redução de mark-up. Este é talvez o resultado mais surpreendente do artigo, o fato de que o mark-up não se modificar significativamente após a abertura comercial. Os setores estimados como não concorrenciais antes da abertura continuaram a ser depois dela. Acesso a insumo importados e uso de novas tecnologias podem ser possíveis canais de aumento de produtividade. Este resultado está em desacordo com Moreira (1999) que constrói diretamente dos dados medidas de mark-up. No segundo ensaio testamos a Hipótese das Expectativas Racionais (HER) para a estrutura a termo brasileira. Examinamos várias combinações de prazos entre 1 dia e 1 ano, seguindo a metodologia adotada pelo Banco Central do Brasil, para o período de Julho de 1996 a Dezembro de 2001. Mostramos que: (i) os coeficientes estimados dos diferenciais de rendimento entre as taxas longa e curta (yield spreads) nas equações de mudança de curto prazo da taxa longa e nas equações de mudança de longo prazo da taxa curta são imprecisos e incapazes de rejeitarem a HER; e (ii) diferenciais de rendimento altamente correlacionados com as previsões de expectativas racionais das futuras mudanças das taxas curtas, mas significativamente mais voláteis que estas últimas, sugerem a rejeição da HER. A hipótese alternativa de reação exagerada (overreaction) do diferencial de rendimento em relação à expectativa das futuras variações da taxa curta parece uma explicação razoável para as evidências, com implicações para a política monetária e para a gestão de investimentos. No terceiro ensaio estudamos o custo de bem-estar dos ciclos de negócios. Robert Lucas (1987) mostrou um resultado surpreendente para a literatura de ciclos de negócios, o custo de bem-estar, por ele calculado, é muito pequeno (US$ 8,50 por ano). Modelamos as preferências por funções com elasticidade de substituição constante e uma forma reduzida para o consumo razoável. Construímos dados seculares para a economia americana e computamos o custo de bem-estar para dois períodos distintos, pré e pós-segunda guerra mundial, usando três formas alternativas de decomposição tendência-ciclo, com foco na decomposição de Beveridge-Nelson. O período pós-guerra foi calmo, com um custo de bem-estar que raramente ultrapassa 1% do consumo per-capita (US$ 200,00 por ano). Para o período pré-guerra há uma alteração drástica nos resultados, se utilizamos a decomposição de Beveridge-Nelson encontramos uma compensação de 5% do consumo per-capita (US$ 1.000,00 por ano) com parâmetros de preferências e desconto intertemporal razoáveis. Mesmo para métodos alternativos, como o modelo com tendência linear, encontramos um custo de bem estar de 2% do consumo per-capita (US$ 400,00 por ano). Deste estudo podemos concluir: (i) olhando para dados pós-guerra, o custo de bem-estar dos ciclos de negócios marginal é pequeno, o que depõe contra a intensificação de políticas anticíclicas, sendo que do ponto de vista do consumidor pré-segunda guerra este custo é considerável; e (ii) o custo de bem-estar dos ciclos de negócios caiu de 5% para 0.3% do consumo per-capita, do período pré para o período pós-guerra, se esta redução é resultado de políticas anticíclicas, estas políticas foram muito bem sucedidas. Por último, no quarto ensaio analisamos o comportamento da taxa de juros livre de risco - cupom cambial - na economia brasileira para o período de 20 de janeiro de 1999 a 30 de julho de 2003. Identificamos os componentes de curto e longo prazo de três medidas de taxa de retorno, as quais foram submetidas aos tratamentos econométricos propostos em Vahid e Engle (1993) e Proietti (1997). Os resultados sugerem a convergência das taxas de retorno para um equilíbrio de longo prazo. Identificamos a dominância do componente de longo prazo na determinação da trajetória do Prêmio do C-BOND e do componente de curto prazo no caso do Prêmio do Swap Cambial. Já para o Prêmio Descoberto de Juros não conseguimos identificar o domínio de qualquer componente. Associando o componente de longo prazo aos fundamentos da economia e os componentes de curto prazo a choques nominais, poderíamos dizer que, em termos relativos, o Prêmio do C-BOND estaria mais fortemente ligado aos fundamentos e o Prêmio do Swap Cambial a choques nominais.

A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve

The appealing feature of the arbitrage-free Nelson-Siegel model of the yield curve is the ability to capture movements in the yield curve through readily interpretable shifts in its level, slope or curvature, all within a dynamic arbitrage-free framework. To ensure that the level, slope and curvature factors evolve so as not to admit arbitrage, the model introduces a yield-adjustment term. This paper shows how the yield-adjustment term can also be decomposed into the familiar level, slope and curvature elements plus some additional readily interpretable shape adjustments. This means that, even in an arbitrage-free setting, it continues to be possible to interpret movements in the yield curve in terms of level, slope and curvature influences. © 2014 © 2014 Taylor & Francis.

Straw decomposition of nitrogen-fertilized grasses intercropped with irrigated maize in an integrated crop-livestock system

The greatest limitation to the sustainability of no-till systems in Cerrado environments is the low quantity and rapid decomposition of straw left on the soil surface between fall and spring, due to water deficit and high temperatures. In the 2008/2009 growing season, in an area under center pivot irrigation in Selvíria, State of Mato Grosso do Sul, Brazil, this study evaluated the lignin/total N ratio of grass dry matter , and N, P and K deposition on the soil surface and decomposition of straw of Panicum maximum cv. Tanzânia, P. maximum cv. Mombaça, Brachiaria. brizantha cv. Marandu and B. ruziziensis, and the influence of N fertilization in winter/spring grown intercropped with maize, on a dystroferric Red Latosol (Oxisol). The experiment was arranged in a randomized block design in split-plots; the plots were represented by eight maize intercropping systems with grasses (sown together with maize or at the time of N side dressing). Subplots consisted of N rates (0, 200, 400 and 800 kg ha-1 year-1) sidedressed as urea (rates split in four applications at harvests in winter/spring), as well as evaluation of the straw decomposition time by the litter bag method (15, 30, 60, 90, 120, and 180 days after straw chopping). Nitrogen fertilization in winter/spring of P. maximum cv. Tanzânia, P. maximum cv. Mombaça, B. brizantha cv. Marandu and B. ruziziensis after intercropping with irrigated maize in an integrated crop-livestock system under no-tillage proved to be a technically feasible alternative to increase the input of straw and N, P and K left on the soil surface, required for the sustainability of the system, since the low lignin/N ratio of straw combined with high temperatures accelerated straw decomposition, reaching approximately 30 % of the initial amount, 90 days after straw chopping.

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.

Straw decomposition of nitrogen-fertilized grasses intercropped with irrigated maize in an integrated crop-livestock system

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Compact Ag@fe3o4 Core-shell Nanoparticles By Means Of Single-step Thermal Decomposition Reaction.

A temperature pause introduced in a simple single-step thermal decomposition of iron, with the presence of silver seeds formed in the same reaction mixture, gives rise to novel compact heterostructures: brick-like Ag@Fe3O4 core-shell nanoparticles. This novel method is relatively easy to implement, and could contribute to overcome the challenge of obtaining a multifunctional heteroparticle in which a noble metal is surrounded by magnetite. Structural analyses of the samples show 4 nm silver nanoparticles wrapped within compact cubic external structures of Fe oxide, with curious rectangular shape. The magnetic properties indicate a near superparamagnetic like behavior with a weak hysteresis at room temperature. The value of the anisotropy involved makes these particles candidates to potential applications in nanomedicine.

Thermal decomposition of mercerized linter cellulose and its acetates obtained from a homogeneous reaction

Cellulose acetates with different degrees of substitution (DS, from 0.6 to 1.9) were prepared from previously mercerized linter cellulose, in a homogeneous medium, using N,N-dimethylacetamide/lithium chloride as a solvent system. The influence of different degrees of substitution on the properties of cellulose acetates was investigated using thermogravimetric analyses (TGA). Quantitative methods were applied to the thermogravimetric curves in order to determine the apparent activation energy (Ea) related to the thermal decomposition of untreated and mercerized celluloses and cellulose acetates. Ea values were calculated using Broido's method and considering dynamic conditions. Ea values of 158 and 187 kJ mol-1 were obtained for untreated and mercerized cellulose, respectively. A previous study showed that C6OH is the most reactive site for acetylation, probably due to the steric hindrance of C2 and C3. The C6OH takes part in the first step of cellulose decomposition, leading to the formation of levoglucosan and, when it is changed to C6OCOCH3, the results indicate that the mechanism of thermal decomposition changes to one with a lower Ea. A linear correlation between Ea and the DS of the acetates prepared in the present work was identified.

Thermal behavior and decomposition kinetics of rifampicin polymorphs under isothermal and non-isothermal conditions

The thermal behavior of two polymorphic forms of rifampicin was studied by DSC and TG/DTG. The thermoanalytical results clearly showed the differences between the two crystalline forms. Polymorph I was the most thermally stable form, the DSC curve showed no fusion for this species and the thermal decomposition process occurred around 245 ºC. The DSC curve of polymorph II showed two consecutive events, an endothermic event (Tpeak = 193.9 ºC) and one exothermic event (Tpeak = 209.4 ºC), due to a melting process followed by recrystallization, which was attributed to the conversion of form II to form I. Isothermal and non-isothermal thermogravimetric methods were used to determine the kinetic parameters of the thermal decomposition process. For non-isothermal experiments, the activation energy (Ea) was derived from the plot of Log β vs 1/T, yielding values for polymorph form I and II of 154 and 123 kJ mol-1, respectively. In the isothermal experiments, the Ea was obtained from the plot of lnt vs 1/T at a constant conversion level. The mean values found for form I and form II were 137 and 144 kJ mol-1, respectively.

Biaxial strain-induced suppression of spinodal decomposition in GaMnAs and GaCrAs

The thermodynamic properties of the magnetic semiconductors GaMnAs and GaCrAs are studied under biaxial strain. The calculations are based on the projector augmented wave method combined with the generalized quasichemical approach to treat the disorder and composition effects. Considering the influence of biaxial strain, we find a tendency to the suppression of binodal decomposition mainly for GaMnAs under compressive strain. For a substrate with a lattice constant 5% smaller than the one of GaAs, for GaMnAs, the solubility limit increases up to 40%. Thus, the strain can be a useful tool for tailoring magnetic semiconductors to the formation or not of embedded nanoclusters. (C) 2010 American Institute of Physics. [doi:10.1063/1.3448025]

Direct evidence of singlet molecular oxygen generation from peroxynitrate, a decomposition product of peroxynitrite

The decomposition of peroxynitrite to nitrite and dioxygen at neutral pH follows complex kinetics, compared to its isomerization to nitrate at low pH. Decomposition may involve radicals or proceed by way of the classical peracid decomposition mechanism. Peroxynitrite (ONOOH/ONOO(-)) decomposition has been proposed to involve formation of peroxynitrate (O(2)NOOH/O(2)NOO(-)) at neutral pH (D. Gupta, B. Harish, R. Kissner and W. H. Koppenol, Dalton Trans., 2009, DOI: 10.1039/b905535e, see accompanying paper in this issue). Peroxynitrate is unstable and decomposes to nitrite and dioxygen. This study aimed to investigate whether O(2)NOO(-) formed upon ONOOH/ONOO(-) decomposition generates singlet molecular oxygen [O(2) ((1)Delta(g))]. As unequivocally revealed by the measurement of monomol light emission in the near infrared region at 1270 nm and by chemical trapping experiments, the decomposition of ONOO(-) or O(2)NOOH at neutral to alkaline pH generates O(2) ((1)Delta(g)) at a yield of ca. 1% and 2-10%, respectively. Characteristic light emission, corresponding to O(2) ((1)Delta(g)) monomolecular decay was observed for ONOO(-) and for O(2)NOOH prepared by reaction of H(2)O(2) with NO(2)BF(4) and of H(2)O(2) with NO(2)(-) in HClO(4). The generation of O(2) ((1)Delta(g)) from ONOO(-) increased in a concentration-dependent manner in the range of 0.1-2.5 mM and was dependent on pH, giving a sigmoid pro. le with an apparent pK(a) around pD 8.1 (pH 7.7). Taken together, our results clearly identify the generation of O(2) ((1)Delta(g)) from peroxynitrate [O(2)NOO(-) -> NO(2)(-) + O(2) ((1)Delta(g))] generated from peroxynitrite and also from the reactions of H(2)O(2) with either NO(2)BF(4) or NO(2)(-) in acidic media.

Simulation of sugarcane residue decomposition and aboveground growth

Due to the worldwide increase in demand for biofuels, the area cultivated with sugarcane is expected to increase. For environmental and economic reasons, an increasing proportion of the areas are being harvested without burning, leaving the residues on the soil surface. This periodical input of residues affects soil physical, chemical and biological properties, as well as plant growth and nutrition. Modeling can be a useful tool in the study of the complex interactions between the climate, residue quality, and the biological factors controlling plant growth and residue decomposition. The approach taken in this work was to parameterize the CENTURY model for the sugarcane crop, to simulate the temporal dynamics of aboveground phytomass and litter decomposition, and to validate the model through field experiment data. When studying aboveground growth, burned and unburned harvest systems were compared, as well as the effect of mineral fertilizer and organic residue applications. The simulations were performed with data from experiments with different durations, from 12 months to 60 years, in Goiana, TimbaA(0)ba and Pradpolis, Brazil; Harwood, Mackay and Tully, Australia; and Mount Edgecombe, South Africa. The differentiation of two pools in the litter, with different decomposition rates, was found to be a relevant factor in the simulations made. Originally, the model had a basically unlimited layer of mulch directly available for decomposition, 5,000 g m(-2). Through a parameter optimization process, the thickness of the mulch layer closer to the soil, more vulnerable to decomposition, was set as 110 g m(-2). By changing the layer of mulch at any given time available for decomposition, the sugarcane residues decomposition simulations where close to measured values (R (2) = 0.93), contributing to making the CENTURY model a tool for the study of sugarcane litter decomposition patterns. The CENTURY model accurately simulated aboveground carbon stalk values (R (2) = 0.76), considering burned and unburned harvest systems, plots with and without nitrogen fertilizer and organic amendment applications, in different climates and soil conditions.