Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

Credit shocks and monetary policy in Brazil: a structural FAVAR approach

This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external nance premium and the bank balance sheet channel produce large and persistent uctuations in in ation and economic activity accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. The central bank seems to incorporate developments in credit markets especially variations in credit spreads into its reaction function, as impulse-response exercises show the Selic rate is declining in response to wider credit spreads and a contraction in the volume of new loans. Counterfactual simulations also demonstrate that the credit channel ampli ed the economic contraction in Brazil during the acute phase of the global nancial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

Application of open string ?eld theory to the in?ationary scenario

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Localização eletrônica de sistemas aperiódicos em uma dimensão

Desde a descoberta do estado quasicristalino por Daniel Shechtman et al. em 1984 e da fabricação por Roberto Merlin et al. de uma superrede artificial de GaAs/ AlAs em 1985 com características da sequência de Fibonacci, um grande número de trabalhos teóricos e experimentais tem relatado uma variedade de propriedades interessantes no comportamento de sistemas aperiódicos. Do ponto de vista teórico, é bem sabido que a cadeia de Fibonacci em uma dimensão se constitui em um protótipo de sucesso para a descrição do estado quasicristalino de um sólido. Dependendo da regra de inflação, diferentes tipos de estruturas aperiódicas podem ser obtidas. Esta diversidade originou as chamadas regras metálicas e devido à possibilidade de tratamento analítico rigoroso este modelo tem sido amplamente estudado. Neste trabalho, propriedades de localização em uma dimensão são analisadas considerando-se um conjunto de regras metálicas e o modelo de ligações fortes de banda única. Considerando-se o Hamiltoniano de ligações fortes com um orbital por sítio obtemos um conjunto de transformações relativas aos parâmetros de dizimação, o que nos permitiu calcular as densidades de estados (DOS) para todas as configurações estudadas. O estudo detalhado da densidade de estados integrada (IDOS) para estes casos, mostra o surgimento de plateaux na curva do número de ocupação explicitando o aparecimento da chamada escada do diabo" e também o caráter fractal destas estruturas. Estudando o comportamento da variação da energia em função da variação da energia de hopping, construímos padrões do tipo borboletas de Hofstadter, que simulam o efeito de um campo magnético atuando sobre o sistema. A natureza eletrônica dos auto estados é analisada a partir do expoente de Lyapunov (γ), que está relacionado com a evolução da função de onda eletrônica ao longo da cadeia unidimensional. O expoente de Lyapunov está relacionado com o inverso do comprimento de localização (ξ= 1 /γ), sendo nulo para os estados estendidos e positivo para estados localizados. Isto define claramente as posições dos principais gaps de energia do sistema. Desta forma, foi possível analisar o comportamento autossimilar de cadeias com diferentes regras de formação. Analisando-se o espectro de energia em função do número de geração de cadeias que seguem as regras de ouro e prata foi feito, obtemos conjuntos do tipo-Cantor, que nos permitiu estudar o perfil do calor específico de uma cadeia e Fibonacci unidimensional para diversas gerações

Wage adjustments under extreme downward nominal wage rigidity

Using a rich and highly accurate dataset for Portugal spanning from 1986 to 2013, this paper analyzes the determinants of downward nominal wage rigidity, mainly focusing on macroeconomic factors. The data supports the hypothesis that recessionary periods alongside with low in ation contribute to a higher degree of wage rigidity, as measured by the incidence of nominal wage freezes. It is further highlighted how this lack of wage adjustments con- tributed to an increase in labor costs which culminated in a wage markup of 6-7%. This paper, thus seems to corroborate the argument that low in ation did exacerbated the downward in exibility of (real) wages after the Great Recession.

Política monetária no Brasil, 1950-2005: objetivos e procedimentos operacionais

This dissertation shows that brazilian monetary policy had two main objectives in the last fty years: before 1994 the main goal was to - nance the public de cit and since 1994 to control the in ation rate. This dissertation also explains the main aspects of the monetary policy instru- ments and procedures of the Central Bank. In particular, it describes how day-to-day monetary policy was implemented in di¤erent environments. We estimate the La¤er Curve for Brazil and we identify the interest rate stochastic processes at di¤erent periods.

Welfare costs of inflation when interest-bearing deposits are disregarded: a calculation of the bias

Most estimates of the welfare costs of in ation are devised considering only noninterest- bearing assets, ignoring that since the 80s technological innovations and new regulations have increased the liquidity of interest-bearing deposits. We investigate the resulting bias. Suscient and necessary conditions on its sign are presented, along with closed-form expressions for its magnitude. Two examples dealing with bidimensional bilogarithmic money demands show that disregarding interest-bearing monies may lead to a non-negligible overestimation of the welfare costs of in ation. An intuitive explanation is that such assets may partially make up for the decreased demand of noninterest-bearing assets due to higher in ation.

The n-dimensional bailey-divisia measure as a general-equilibrium measure of the welfare costs of inflation

This paper shows that in economies with several monies the Bailey-Divisia multidimensional consumers surplus formula may emerge as an exact general-equilibrium measure of the welfare costs of in ation, provided that preferences are quasilinear.

The Brazilian foreign exchange market through the microstructure perspective

The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. To perform this test, a database that includes all transactions of the commercial and nancial segments of the Brazilian primary foreign exchange market between January of 1999 and May of 2008 was used. We show that the order ow was partly responsible for variations in in ation expectations over the time period and that this relationship did not remain robust, drawing comparisons with other fundamentals such as GDP and Industrial Production.

Evolução cosmológica de perturbações de densidade inhomogêneas

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A geometric approach to cosmological boundary conditions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A cellular defense pathway regulating transcription through poly(ADP-ribosyl)ation in response to DNA damage

DNA damage is known to trigger key cellular defense pathways such as those involved in DNA repair. Here we provide evidence for a previously unrecognized pathway regulating transcription in response to DNA damage and show that this regulation is mediated by the abundant nuclear enzyme poly(ADP-ribose) polymerase. We found that poly(ADP-ribose) polymerase reduced the rate of transcription elongation by RNA polymerase II, suggesting that poly(ADP-ribose) polymerase negatively regulates transcription, possibly through the formation of poly(ADP-ribose) polymerase–RNA complexes. In damaged cells, poly(ADP-ribose) polymerase binds to DNA breaks and automodifies itself in the presence of NAD+, resulting in poly(ADP-ribose) polymerase inactivation. We found that automodification of poly(ADP-ribose) polymerase in response to DNA damage resulted in the up-regulation of transcription, presumably because automodified poly(ADP-ribose) polymerase molecules were released from transcripts, thereby relieving the block on transcription. Because agents that damage DNA damage RNA as well, up-regulation of RNA synthesis in response to DNA damage may provide cells with a mechanism to compensate for the loss of damaged transcripts and may be critical for cell survival after exposure to DNA-damaging agents.

Learning English in an English speaking world : examining opportunities for intercultural understandings and connectedness through representations of identities in English language textbooks

With the recognition that language both reflects and constructs culture and English now widely acknowledged as an international language, the cul-tural content of language teaching materials is now being problematised. Through a quantitative analysis, this chapter focuses on opportunities for intercultural understanding and connectedness through representations of the identities that appear in two leading English language textbooks. The analyses reveal that the textbooks orientate towards British and western identities with representations of people from non-European/non-Western backgrounds being notable for their absence, while others are hidden from view. Indeed there would appear to be a neocolonialist orientation in oper-ation in the textbooks, one that aligns English with the West. The chapter proposes arguments for the consideration of cultural diversity in English language teaching (ELT) textbook design, and promoting intercultural awareness and acknowledging the contexts in which English is now being used. It also offers ways that teachers can critically reflect on existing ELT materials and proposes arguments for including different varieties of Eng-lish in order to ensure a level of intercultural understanding and connect-edness.

Collaboration to improve evacuation centre operations in disaster-affected communities

Emergency sheltering is a temporary source of safety and support for people affected by disasters. People access emergency sheltering just prior to or soon after a disaster; therefore they are often scared, stressed, and/or experiencing loss/grief. The gathering of people in shelters also increases several environmental health risks. Therefore ensuring emergency shelters contain adequate facilities (permanent or temporary) and are well managed is essential in providing immediate support to disaster-affected communities and providing a level of assurance that the agencies involved are capable of supporting them through the recovery process. This paper will be presented by representatives of Australian Red Cross and Environmental Health Australia (Queensland), which both have an interest in emergency sheltering in Queensland. The paper will cover the development, content and application of the ‘Preferred Sheltering Practices for Emergency Sheltering in Australia’ and the roles of various organisations in relation to emergency sheltering. The importance of or- ganisational collaboration will also be discussed, with a focus on the experience of the two organisations fol- lowing the 2011 floods in Queensland and how they are collaborating to improve future operations in evacu- ation centres, which are a common form of emergency sheltering in Queensland. The organisations are con- tinuing to work together with the ultimate goal of improving services to disaster-affected communities and supporting such communities to start the recovery process.