IPS - ESCE – DEG - Artigos científicos
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- Stochastic models of forecasting prices of soybeans in BrazilPublication . Feliciani, A.V.; Souza, A.M.; Souza, F. M.; Souza, F. M.; Feliciani, A. V.
- Applications Residual Control Charts Based on Variable LimitsPublication . Souza, F. M.; Souza, A.M.; Zanini, R.R.; REICHERT, B.; LIMA JUNIOR, A. V.; Souza, F. M.The main purpose of this paper is to verify the stability of a productive process in the presence of the effects of autocorrelation and volatility, in order to capture these characteristics by a joint forecast model which produces residuals that are evaluated by a control chart based on variable control limits. The methodology employed will be the joint estimation of the residuals by ARIMA – ARCH models and the conditional standard deviation from residuals to establish the chart control limits. The joint AR (1)-ARCH (1) model shows that an appropriate forecasting model brings a great contribution to the performance of residual control charts in monitoring the stability of industrial variables using just one chart to monitor mean and variance together.
- The importance of principal components in studying mineral prices using vector autoregressive models: evidence from the Brazilian economyPublication . Ramser, Claudia Aline de Souza; Souza, Adriano Mendonça; Souza, F. M.; da Veiga, Claudimar Pereira; da Silva, Wesley Vieirahis study examines the impact of the main Brazilian mineral commodity prices negotiated in trade balance using vector autoregressive models (VAR) in the Brazilian economy in a short-term period. VAR models were applied to the full original data and then to the data dimensionality reduced by principal components denoted by PC-VAR (principal component - vector autoregressive). In the study cases, Cholesky decomposition impulse response and variance decomposition were performed and compared in terms of short run co-movements to identify the most effective model. The applied PC-VAR methodology led to a significant reduction of variables, and similar co-movements were obtained in the short-term period when an impulse response was applied and compared to an unrestricted vector autoregressive. The proposed method also identified the most important variables that affect the other variables in the Brazilian economy and have the same co-movements.
- Smooth transition regression models: theory and applications in JMultiPublication . Menezes, Rui; Ferreira, Nuno; Souza, Adriano Mendonça; Souza, F. M.This tutorial aims to analyze nonlinear models of Smooth Transition Regression with JMulTi and contribute to the understanding of STR specification, from the estimation until the evaluation cycle of these models. It provides pedagogical explanations, combining theoretical concepts and empirical results coherently. Especially in economic relationships, where an asymmetric behaviour with distinct effects is often found on contractions and expansions. As economic series generally present asymmetric/nonlinear behaviour, Smooth Transition Regression (STR) models provide a flexible empirical strategy that allows capturing the impacts of possible types of asymmetry in the data, Souza (2016).An overview of theory and applications in software is described. These nonlinear models describe in-sample movements of the stock returns series better than the corresponding linear model. The data used in this study consist of daily prices index from January 02, 1995 to March 29, 2013, a total of 4761 observations, from Germany (DAX30). The data was collected from the DataStream database considering 5 days a week. The data (price index) is converted to base 100 and the yields are then calculated based on the first differences in the log price series. 10-year interest rates treasury bond regarding the same markets identified has also been collected for the same period.
- Asymmetric Movements between the US and Hong-Kong Stock Market Price IndicesPublication . Souza, F. M.; Jacobi, Luciane Flores; Zanini, Roselaine Ruviaro; Souza, Adriano MendonçaIn the financial field, we are often faced with data that are somewhat non-linear. Thus, this research investigates the asymmetric behavior of the series through the Threshold Autoregressive and Momentum Threshold asymmetry tests between price index using diary data between of the total price index of actions in stock markets of United States of America (S&P500) and Hong Kong (HANG SENG), from January 2, 1995 to March 29, 2013. With the empirical analysis it was possible to see the asymmetry in the series analysed through the TAR and M-TAR models. These oscillations demonstrate that behaviors are distinct in contractions and expansions.
- Fossil fuels consumption and carbon dioxide emissions in G7 countries: empirical evidence from ARDL bounds testing approachPublication . Martins, T.; Barreto, A.C.; Souza, F. M.; Souza, A.M.This research determines the intertemporal relationships caused by the coal, oil, and natural gas consumption in the carbon dioxide emission by the G7 countries from 1965 to 2018. Auto-regressive and Distributed Lags models and Bound test were used to detect cointegration and understand the dynamic effect. Due to structural breaks occurred in the variables, two dummy variables for the periods of breaks, 1978 and 1990 were incorporated respectively. Positive causality was identified, in the sense that the consumption of fossil fuels provides an increase in carbon dioxide emissions. Short-term elasticities indicate that an increase of 1 percentage point in the consumption of oil, coal, and natural gas will cause, respectively, an increase of 0.4823%, 0.3140%, and 0.1717% in carbon dioxide emissions. In the long run, the increase of 1 percentage point in the consumption of oil, coal, and natural gas will cause, respectively, an increase of 0.4924%, 0.2692%, and 0.1829% in carbon dioxide emissions. The error correction model (ECM = −0.4739) indicates that 47.39% of a shock in the carbon dioxide emissions variable is resolved in one year and after 2 years, carbon dioxide emissions return to long term equilibrium.
- Econometric modelling of time series applied in the generation of subsidies in the milk production chain in Rio Grande do SulPublication . Souza, F. M.; Paula, Brunna Aver De; Baggio, Daniel Knebel; Brum, Argemiro Luis; Sausen, Juliana da Fonseca Capssa LimaThe purpose of this article is to make short-term forecasting using the methodology Box & Jenkins, the Johansen method and the Granger causality, and the impulse-response function between variables price and milk production in Rio Grande do Sul’s market. The monthly price series of milk and its production in Rio Grande do Sul were analysed, in the period from January 1995 to December 2017. The model that suits best, for forecasts, the data of the series of the milk price paid to the producer was an ARIMA (1, 1, 1) and production was SARIMA (1, 1, 1) (1, 1, 1)6, which provided reasonable estimates of forecasts for the months from February to July of 2017. The use of Johansen methodologies identifies the existence of the one cointegration vector and a long-term equilibrium relation between variables price and production of the milk. When we analyse Granger's causality, the results point to a two-way relationship, that is, prices influence milk production and vice versa. The analysis of the impulse-response function showed that the shocks present significant impacts between production and cost, both in terms of duration and intensity
- The effects of shocks on the dismissal in the electro-electronics sector: evidence from BrazilPublication . Ueda, Renan Mitsuo; Souza, Adriano Mendonça; Silva, Wesley Vieira Da; Veiga, Claudimar Pereira Da; Souza, F. M.his research aims to investigate the short and long-term relationship between the number of dismissals in the Brazilian electro-electronics sector and the macroeconomic variables: gross domestic product, Brazil's total exports, monthly average of the dollar quotation and the broad national consumer index, from May 2003 to September 2018. To verify the interrelationship between the variables, we used the vector autoregressive (VAR) models and vector error correction (VEC). The analysis of the impulse response function and the variance decomposition helped to understand the dynamics of the electro-electronics industry, showing that in the long-term, part of the variance of the sector's dismissal (28.64%) is explained by the broad national consumer index. Abrupt changes in the analysed macroeconomic variables cause fluctuations in the number of dismissals in the Brazilian electro-electronic sector for approximately four to seven months.
- Influência dos fundos de investimentos na formação do preço da soja na Bolsa de Cereais de ChicagoPublication . Brum, Argemiro Luis; Baggio, Daniel Knebel; Schneider, Isoé Nicolas; Souza, F. M.; Knebel, Eduardo Luis Goulart; Silva, Karla Leticia Morais da
- influência dos fundos de investimentos na formação do preço do trigo na Bolsa de Cereais de ChicagoPublication . Brum, Argemiro Luís; Baggio, Daniel Knebel; Souza, F. M.; Silveira, Daniel Claudy da