Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro

The trade volume of inflation indexed bonds has grown substantially in the treasury debt market. These bonds have been used as an important instrument for both diversifying investor´s portfolio, for managing firms´ liabilities and, mainly, for extracting inflation expectations by policymakers. This paper adds to the literature in twofold. First, we apply methodologies to obtain inflation expectations. Thus, we modified the method used in Durham (2007) to estimate the inflation risk premium. Second, we apply these methods in the Brazilian debt market for inflation indexed bonds issued from 2006 to 2008. Our results show that these methods perform better about inflation expectations, providing a more robust support for policymakers´ decisions.

Volatilidade e Previsão de Retorno com Modelos de Alta Frequência e GARCH: Evidências para o Mercado Brasileiro

Com base em estudos desenvolvidos em anos recentes sobre o uso de dados de alta frequência para a estimação da volatilidade, este artigo implementa o modelo Autorregressivo Heterogêneo (HAR)desenvolvido por Andersen, Bollerslev, e Diebold (2007) e Corsi (2009), e o modelo Componente (2-Comp) desenvolvido por Maheu e McCurdy (2007) e os compara com a família de modelos Autorregressivos com Heteroscedasticidade Generalizados (GARCH)para estimar a volatilidade e os retornos. Durante o período analisado, os modelos que usam dados intraday obtiveram melhores previsões de retornos dos ativos avaliados, tanto dentro como fora da amostra, confirmando assim que esses modelos possuem informações importantes para uma série de agentes econômicos.Based on studies developed over recent years about the use of high-frequency data for estimating volatility, this article implements the Heterogeneous Autoregressive (HAR) model developed by Andersen, Bollerslev, and Diebold (2007) and Corsi (2009), and the Component (2-Comp)model developed by Maheu and McCurdy (2007) and compare them with the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in order to estimate volatility and returns. During the period analyzed, the models using intraday data obtained better returns forecasts of the assets assessed, both in and out-of-sample, thus confirming these models possess important information for a variety of economic agents

Expectativas inflacionárias e inflação implícita: será que pesquisas de mercado fornecem medidas precisas?

In recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In this environment, this study contributes as it presents an amended methodology to estimate the inflation risk premium and in applying different methodologies in the Brazilian market. The results indicate that implicit inflation measures with or without adjustment of the inflation risk premium return the smallest forecast errors in relation to the IPCA of measurement period.Nos últimos anos os títulos indexados em índices inflacionários têm experimentado um grande crescimento nos volumes negociados. Estes títulos tornaram-se um importante instrumento para a diversificação das carteiras dos investidores, para administração de passivos e principalmente para aferição de expectativas de autoridades monetárias. Neste ambiente, este trabalho contribui ao apresentar uma metodologia modificada de estimação do prêmio de risco de inflação e por aplicar diferentes metodologias no mercado brasileiro. Os resultados indicam que as medidas de inflação implícita com ou sem ajuste do prêmio de risco de inflação retornam os menores erros de previsão em relação ao IPCA ocorrido

COVID-19 symptoms at hospital admission vary with age and sex: results from the ISARIC prospective multinational observational study

Background: The ISARIC prospective multinational observational study is the largest cohort of hospitalized patients with COVID-19. We present relationships of age, sex, and nationality to presenting symptoms. Methods: International, prospective observational study of 60 109 hospitalized symptomatic patients with laboratory-confirmed COVID-19 recruited from 43 countries between 30 January and 3 August 2020. Logistic regression was performed to evaluate relationships of age and sex to published COVID-19 case definitions and the most commonly reported symptoms. Results: ‘Typical’ symptoms of fever (69%), cough (68%) and shortness of breath (66%) were the most commonly reported. 92% of patients experienced at least one of these. Prevalence of typical symptoms was greatest in 30- to 60-year-olds (respectively 80, 79, 69%; at least one 95%). They were reported less frequently in children (≤ 18 years: 69, 48, 23; 85%), older adults (≥ 70 years: 61, 62, 65; 90%), and women (66, 66, 64; 90%; vs. men 71, 70, 67; 93%, each P < 0.001). The most common atypical presentations under 60 years of age were nausea and vomiting and abdominal pain, and over 60 years was confusion. Regression models showed significant differences in symptoms with sex, age and country. Interpretation: This international collaboration has allowed us to report reliable symptom data from the largest cohort of patients admitted to hospital with COVID-19. Adults over 60 and children admitted to hospital with COVID-19 are less likely to present with typical symptoms. Nausea and vomiting are common atypical presentations under 30 years. Confusion is a frequent atypical presentation of COVID-19 in adults over 60 years. Women are less likely to experience typical symptoms than men

Volatility and Return Forecasting with High‐Frequency and GARCH Models: Evidence for the Brazilian Market

Com base em estudos desenvolvidos em anos recentes sobre o uso de dados de alta frequência para a estimação da volatilidade, este artigo implementa o modelo Autorregressivo Heterogêneo (HAR)desenvolvido por Andersen, Bollerslev, e Diebold (2007) e Corsi (2009), e o modelo Componente (2-Comp) desenvolvido por Maheu e McCurdy (2007) e os compara com a família de modelos Autorregressivos com Heteroscedasticidade Generalizados (GARCH)para estimar a volatilidade e os retornos. Durante o período analisado, os modelos que usam dados intraday obtiveram melhores previsões de retornos dos ativos avaliados, tanto dentro como fora da amostra, confirmando assim que esses modelos possuem informações importantes para uma série de agentes econômicos.Based on studies developed over recent years about the use of high-frequency data for estimating volatility, this article implements the Heterogeneous Autoregressive (HAR) model developed by Andersen, Bollerslev, and Diebold (2007) and Corsi (2009), and the Component (2-Comp)model developed by Maheu and McCurdy (2007) and compare them with the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in order to estimate volatility and returns. During the period analyzed, the models using intraday data obtained better returns forecasts of the assets assessed, both in and out-of-sample, thus confirming these models possess important information for a variety of economic agents

Potencial erosivo da chuva no vale do rio doce, região centro leste do estado de Minas Gerais: primeira aproximação Erosive potential of rainfall at Rio Doce Valley, central-east region of Minas Gerais state: first approach

Entre os fatores climáticos que interferem na erosão hídrica, a precipitação pluvial, expressa pela erosividade da chuva, é o de maior importância. Portanto, seu conhecimento torna-se fundamental na recomendação de práticas de manejo e conservação do solo que visem à redução da erosão hídrica. Nesse contexto, os objetivos deste trabalho foram: a) determinar a erosividade da chuva e sua distribuição, na região do Vale do Rio Doce, MG, para nove sub-regiões; b) estimar o índice EI30 mensal, no período de 1969 a 2005, para os municípios de Ferros e Guanhães e c) determinar o tempo de retorno dos índices mensais e anuais de erosividade. O valor médio de erosividade obtido foi de 12.913 MJ mm ha-1 h-1 ano-1, sendo classificado como muito alto. Entre as sub-regiões, os valores de erosividade variaram de 8.243 a 26.676 MJ mm ha-1 h-1 ano-1. O período crítico em relação à erosão hídrica, em razão da ocorrência de chuvas erosivas, é de janeiro-março e novembro-dezembro, contribuindo com 88,6% da erosividade anual. De abril a outubro, praticamente inexiste a ocorrência de erosividade crítica. Os valores máximos individuais estimados para os tempos de retorno de 1, 10, 50 e 150 anos foram de 5.508, 15.534, 18.110, 19.632 e 5.542, 17.653, 20.954, 22.931 MJ mm ha-1 h-1 ano-1, para Ferros e Guanhães, respectivamente. A determinação dos valores de erosividade ao longo do ano permite identificar os meses nos quais os riscos de perdas de solo e água são mais elevados, o que exerce relevante papel no planejamento das práticas conservacionistas.<br>Among the climatic factors that interfere in water erosion, precipitation, expressed by the rainfall erosivity, is of great importance. Therefore, its knowledge becomes fundamental for the recommendation for soil management and conservation practices that seek the reduction of water erosion. In that context, the objectives of this work were: a) to determine the rainfall erosivity and its distribution at Rio Doce Valley, Minas Gerais State, for nine sub-regions, b) to estimate the monthly EI30 index in the period from 1969 to 2005 for Ferros and Guanhães counties, and c) to determine the return periods of the monthly and yearly erosivity indexes. The average erosivity value obtained was 12.913 MJ mm ha-1 h-1 year-1, being classified as very high. Among the sub-regions, the erosivity values varied from 8.243 to 26.676 MJ mm ha-1 h-1 year-1. The critical periods in relation to water erosion due to the occurrence of erosive rains are January-March and November-December, contributing with 88.6% of the annual erosivity. From April to October, the occurrence of critical erosivity practically does not exist. The estimated individual maximum values for the return periods of 1, 10, 50, and 150 years were of 5.508, 15.534, 18.110, 19.632, and 5.542, 17.653, 20.954, 22.931 MJ mm ha-1 h-1 year¹ for Ferros and Guanhães, respectively. The determination of the erosivity values throughout the year allows to identify the months in which the risks of soil and water losses are higher, which is important for planning the conservation practices

Respiratory support in patients with severe COVID-19 in the International Severe Acute Respiratory and Emerging Infection (ISARIC) COVID-19 study: a prospective, multinational, observational study

Background: Up to 30% of hospitalised patients with COVID-19 require advanced respiratory support, including high-flow nasal cannulas (HFNC), non-invasive mechanical ventilation (NIV), or invasive mechanical ventilation (IMV). We aimed to describe the clinical characteristics, outcomes and risk factors for failing non-invasive respiratory support in patients treated with severe COVID-19 during the first two years of the pandemic in high-income countries (HICs) and low middle-income countries (LMICs). Methods: This is a multinational, multicentre, prospective cohort study embedded in the ISARIC-WHO COVID-19 Clinical Characterisation Protocol. Patients with laboratory-confirmed SARS-CoV-2 infection who required hospital admission were recruited prospectively. Patients treated with HFNC, NIV, or IMV within the first 24 h of hospital admission were included in this study. Descriptive statistics, random forest, and logistic regression analyses were used to describe clinical characteristics and compare clinical outcomes among patients treated with the different types of advanced respiratory support. Results: A total of 66,565 patients were included in this study. Overall, 82.6% of patients were treated in HIC, and 40.6% were admitted to the hospital during the first pandemic wave. During the first 24 h after hospital admission, patients in HICs were more frequently treated with HFNC (48.0%), followed by NIV (38.6%) and IMV (13.4%). In contrast, patients admitted in lower- and middle-income countries (LMICs) were less frequently treated with HFNC (16.1%) and the majority received IMV (59.1%). The failure rate of non-invasive respiratory support (i.e. HFNC or NIV) was 15.5%, of which 71.2% were from HIC and 28.8% from LMIC. The variables most strongly associated with non-invasive ventilation failure, defined as progression to IMV, were high leukocyte counts at hospital admission (OR [95%CI]; 5.86 [4.83-7.10]), treatment in an LMIC (OR [95%CI]; 2.04 [1.97-2.11]), and tachypnoea at hospital admission (OR [95%CI]; 1.16 [1.14-1.18]). Patients who failed HFNC/NIV had a higher 28-day fatality ratio (OR [95%CI]; 1.27 [1.25-1.30]). Conclusions: In the present international cohort, the most frequently used advanced respiratory support was the HFNC. However, IMV was used more often in LMIC. Higher leucocyte count, tachypnoea, and treatment in LMIC were risk factors for HFNC/NIV failure. HFNC/NIV failure was related to worse clinical outcomes, such as 28-day mortality. Trial registration This is a prospective observational study; therefore, no health care interventions were applied to participants, and trial registration is not applicable