Do U.S. and Colombian macro factors improve the forecasting ability of unrestricted VAR models of the local term structure of interest rate?

Este estudio empírico compara la capacidad de los modelos Vectores auto-regresivos (VAR) sin restricciones para predecir la estructura temporal de las tasas de interés en Colombia -- Se comparan modelos VAR simples con modelos VAR aumentados con factores macroeconómicos y financieros colombianos y estadounidenses -- Encontramos que la inclusión de la información de los precios del petróleo, el riesgo de crédito de Colombia y un indicador internacional de la aversión al riesgo mejora la capacidad de predicción fuera de la muestra de los modelos VAR sin restricciones para vencimientos de corto plazo con frecuencia mensual -- Para vencimientos de mediano y largo plazo los modelos sin variables macroeconómicas presentan mejores pronósticos sugiriendo que las curvas de rendimiento de mediano y largo plazo ya incluyen toda la información significativa para pronosticarlos -- Este hallazgo tiene implicaciones importantes para los administradores de portafolios, participantes del mercado y responsables de las políticas

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

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 inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

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.

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.

Intoxicação por Baccharis megapotamica var. weiriiem ovinos

As intoxicações por Baccharis coridifolia afetam especialmente animais de fazenda famintos ou curiosos e que não haviam tido contato prévio com a planta. B. coridifolia ocorre usualmente em terrenos secos de coxilhas no Rio Grande do Sul e estados ou países vizinhos. Uma forma indistinguível e esporádica da doença tem sido associada com a ingestão de Baccharis megapotamica que ocorre em áreas úmidas. Relata-se a intoxicação natural de quatro cordeiros após ingestão de Baccharis megapotamica var. weirii. A doença foi observada em uma propriedade localizada em Barra do Ribeiro, Rio Grande do Sul. O rebanho era composto por 220 ovinos, os quais eram mantidos em área de pastagem nativa sem qualquer suplementação. Uma rápida doença clínica caracterizada por anorexia, cólica, diarréia e desidratação causou a morte de três cordeiros em um período de 8 a 24 horas, o outro foi encontrado morto. A necropsia revelou alterações significativas no rúmen, no qual havia edema de serosa e hemorragias equimóticas na submucosa. Microscopicamente, o rúmen apresentou edema de submucosa, além de edema, tumefação, vacuolização e necrose de mucosa. O diagnóstico foi fundamentado nos achados clínicos, patológicos e epidemiológicos.

Intoxicação natural por Baccharis megapotamica var.weirii em caprinos

Intoxicações por plantas do gênero Baccharis representam uma importante causa de morte em animais de produção. Baccharis coridifoliae Baccharis megapotamica são as espécies mais comuns e importantes. Nesse trabalho, são descritos os aspectos epidemiológicos, clínicos e anatomopatológicos de um surto de intoxicação natural por Baccharis megapotamicavar. weirii em caprinos. Onze caprinos jovens, de um total de 152, foram afetados por uma doença aguda fatal. Os casos ocorreram em uma pequena propriedade rural no município de Viamão, Rio Grande do Sul, Brasil. Grande quantidade de exemplares de Baccharis megapotamicavar. weirii em estágio de floração, foram encontrados onde os caprinos estavam. As plantas cresceram em áreas úmidas e alagadas. Os caprinos afetados tinham entre seis meses a um ano de idade e todos apresentaram sinais clínicos caracterizados por apatia, anorexia, prostração, diarreia, desidratação, desconforto abdominal, timpanismo, decúbito e morte. O curso clínico variou aproximadamente de 12 a 24 horas. Dos onze caprinos acometidos, três foram necropsiados. As alterações presentes em todas as necropsias incluíam desidratação, conteúdo líquido no rúmen, avermelhamento, erosões e úlceras da mucosa dos pré-estômagos, e avermelhamento na mucosa do abomaso e intestino. Um dos caprinos apresentou marcada hemorragia dos linfonodos mesentéricos. As lesões histológicas de todos os caprinos necropsiados incluíam hiperemia, hemorragia, alterações degenerativas, necróticas e ulcerativas variadas no revestimento epitelial do rúmen, retículo e omaso, e na mucosa do abomaso e de alguns segmentos do intestino delgado. Necrose do tecido linfoide foi observada em linfonodos mesentéricos e em agregados linfoides no intestino e folículos do baço.

Trace metals in sediments of the Var Canyon turbidite system at the DYFAMED station in the Ligurian Sea

The magnitude and the chronology of anthropogenic impregnation by Hg and other trace metals of environmental concern (V, Cr, Ni, Cu, Zn, Ag, Cd and Pb, including its stable isotopes) in the sediments are determined at the DYFAMED station, a site in the Ligurian Sea (Northwestern Mediterranean) chosen for its supposed open-sea characteristics. The DYFAMED site (VD) is located on the right levee of the Var Canyon turbidite system, at the end of the Middle Valley. In order to trace the influence of the gravity current coming from the canyon on trace metal distribution in the sediment, we studied an additional sediment core (VA) from a terrace of the Var Canyon, and material collected in sediment traps at the both sites at 20 m above sea bottom. The patterns of Hg and other trace element distribution profiles are interpreted using stable Pb isotope ratios as proxies for its sources, taking into account the sedimentary context (turbidites, redox conditions, and sedimentation rates). Major element distributions, coupled with the stratigraphic examination of the sediment cores point out the high heterogeneity of the deposits at VA, and major turbiditic events at both sites. At the DYFAMED site, we observed direct anthropogenic influence in the upper sediment layer (<2 cm), while on the Var Canyon site (VA), the anthropization concerns the whole sedimentary column sampled (19 cm). Turbiditic events superimpose their specific signature on trace metal distributions. According to the 210Pbxs-derived sedimentation rate at the DYFAMED site (0.4 mm yr-1), the Hg-enriched layer of the top core corresponds to the sediment accumulation of the last 50 years, which is the period of the highest increase in Hg deposition on a global scale. With the hypothesis of the absence of significant post-depositional redistribution of Hg, the Hg/C-org ratio changes between the surface and below are used to estimate the anthropogenic contribution to the Hg flux accumulated in the sediment. The Hg enrichment, from pre-industrial to the present time is calculated to be around 60%, consistent with estimations of global Hg models. However, based on the chemical composition of the trapped material collected in sediment traps, we calculated that epibenthic mobilization of Hg would reach 73%. Conversely, the Cd/C-org ratio decreases in the upper 5 cm, which may reflect the recent decrease of atmospheric Cd inputs or losses due to diagenetic processes.