Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation

We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional integration for which we use a generic procedure known as Efficient Importance Sampling (EIS). Our empirical results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of the probability of current-account reversal. Furthermore we find under all specifications evidence for serially correlated error components and weak evidence for state dependence. --Panel data,Dynamic discrete choice,Current account reversals,Importance Sampling,Monte Carlo integration,State dependence

Determinants and dynamics of current account reversals: an empirical analysis

We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires high-dimensional integration for which we use Efficient Importance Sampling (EIS). Our results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of current-account reversal. Furthermore, we find strong evidence for serial dependence in the occurrence of reversals. While the likelihood criterion suggest that state-dependence and serially correlated errors are essentially observationally equivalent, measures of predictive performance provide support for the hypothesis that the serial dependence is mainly due to serially correlated country-specific shocks related to local political or macroeconomic events. --Panel data,dynamic discrete choice,importance sampling,Monte Carlo integration,state dependence,spillover effects

Efficient Yield Curve Estimation and Forecasting in Brazil

Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter.

On topological spin excitations on a rigid torus

We study Heisenberg model of classical spins lying on the toroidal support, whose internal and external radii are $r$ and $R$, respectively. The isotropic regime is characterized by a fractional soliton solution. Whenever the torus size is very large, $R\to\infty$, its charge equals unity and the soliton effectively lies on an infinite cylinder. However, for R=0 the spherical geometry is recovered and we obtain that configuration and energy of a soliton lying on a sphere. Vortex-like configurations are also supported: in a ring torus ($R>r$) such excitations present no core where energy could blow up. At the limit $R\to\infty$ we are effectively describing it on an infinite cylinder, where the spins appear to be practically parallel to each other, yielding no net energy. On the other hand, in a horn torus ($R=r$) a singular core takes place, while for $R<r$ (spindle torus) two such singularities appear. If $R$ is further diminished until vanish we recover vortex configuration on a sphere.Comment: 11 pages, 9 figure

On multigraded generalizations of Kirillov-Reshetikhin modules

We study the category of Z^l-graded modules with finite-dimensional graded pieces for certain Z+^l-graded Lie algebras. We also consider certain Serre subcategories with finitely many isomorphism classes of simple objects. We construct projective resolutions for the simple modules in these categories and compute the Ext groups between simple modules. We show that the projective covers of the simple modules in these Serre subcategories can be regarded as multigraded generalizations of Kirillov-Reshetikhin modules and give a recursive formula for computing their graded characters

Berry phases and zero-modes in toroidal topological insulator

An effective Hamiltonian describing the surface states of a toroidal topological insulator is obtained, and it is shown to support both bound-states and charged zero-modes. Actually, the spin connection induced by the toroidal curvature can be viewed as an position-dependent effective vector potential, which ultimately yields the zero-modes whose wave-functions harmonically oscillate around the toroidal surface. In addition, two distinct Berry phases are predicted to take place by the virtue of the toroidal topology.Comment: New version, accepted for publication in EPJB, 6 pages, 1 figur

Efficient likelihood evaluation of state-space representations

We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. We illustrate our procedure in applications to dynamic stochastic general equilibrium models. --particle filter,adaption,efficient importance sampling,kernel density approximation,dynamic stochastic general equilibrium model

Scattering and Trapping of Nonlinear Schroedinger Solitons in External Potentials

Soliton motion in some external potentials is studied using the nonlinear Schr\"odinger equation. Solitons are scattered by a potential wall. Solitons propagate almost freely or are trapped in a periodic potential. The critical kinetic energy for reflection and trapping is evaluated approximately with a variational method.Comment: 9 pages, 7 figure

The Phillips curve and information rigidity in Brazil

This work aims at testing the null hypothesis of no sticky information against the alternative of sticky information using Brazilian data. The rejection of the null hypothesis allows us to derive the expected time between information updates. The median of market participants' predictions collected by Gerin/Bacen is used as a proxy to firms' expectation contained in the sticky information version of the Phillips curve. Our estimates imply that inflation expectations in Brazil are updated about once each five quarters, which in part can be attributed to reduced uncertainty about Brazilian inflation in the period of analysis.O objetivo deste trabalho é testar a hipótese de ausência de rigidez de informação no Brasil. A metodologia permite também derivar a frequência de reajuste informacional via Curva de Phillips sob Rigidez de Informação. Para tanto, a mediana das projeções de mercado divulgadas pela Gerin/Bacen são utilizadas como proxy para as expectativas contidas na curva de Phillips. As estimativas obtidas são consistentes com o modelo e implicam em atualização de informação a cada cinco trimestres. Portanto, o período de atualização de informações estimado para o Brasil é próximo de alguns estimados para países europeus e norte americanos, o que em parte pode ser atribuído à redução nas incertezas inflacionárias brasileiras no período de análise