O trabalho está centrado no estudo do conflito existente entre teoria e prática no que concerne à relação existente entre valor de mercado de uma ação e seu valor patrimonial. Estudos de correlação, causalidade e evolução foram levados a efeito sobre séries de valores de 35 ações. Os resultados indicam que o valor patrimonial é um importante indicador da performance futura da ação.; The work studies the conflict between theory and practice concerning the relationship between stock market value and book value. Correlation, causality and performance studies were made on series of values of 35 stocks. The results indicate that the book value is an important indicator of the stock s future performance.
The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floating
exchange rates. The empirical analysis examines the short and long term behavior of the exchange rate, interest rate
(domestic and foreign) and country risk using econometric techniques such as variance decomposition, Granger
causality, cointegration tests, error correction models, and a GARCH model to estimate the exchange rate volatility. The
empirical findings suggest that one can argue in favor of a certain degree of endogeneity of the exchange rate and that
flexible rates have not been able to insulate the Brazilian economy in the same patterns predicted by literature due to its
own specificities (managed floating with the use of international reserves and domestic interest rates set according to
inflation target) and to externally determined variables such as the country risk. Another important outcome is the lack
of a closer association of domestic and foreign interest rates since the new exchange regime has been adopted. That is,
from January 1999 to May 2004, the US monetary policy has no significant impact on the Brazilian exchange rate
dynamics, which has been essentially endogenous primarily when we consider the fiscal dominance expressed by the
probability of default.
The present work seeks to investigate the dynamics of capital account liberalization and
its impact on short run capital flows to Brazil in the period of 1995-2002, considering
different segments such as the monetary, derivative and equity markets. This task is
pursued by developing a comparative study of financial flows and examining how it is
affected by the uncovered interest parity, country risk and the legislation on portfolio
capital flows. The empirical framework is based on a vector autoregressive (VAR)
analysis using impulse-response functions, variance decomposition and Granger
causality tests. In general terms the results indicate a crucial role played by the
uncovered interest parity and the country risk to explain portfolio flows, and a less
restrictive (more liberalized) legislation is not significant to attract such flows.
In this paper, we investigate what has been leading investors to ask for higher yields on sovereign debt
from certain Euro countries. We dismiss Granger Causality as a basis to define speculation. Instead, we assume
that speculative behavior would only exist if market assessments were unrelated to economic fundamentals.
Using a cross section of countries, we improve on the literature on Credit Default Swap Markets on sovereign
debt. Firstly, we use an ordered probit to determine whether fundamentals are driving ratings. Then, quantile
regression determines which variables matter at different conditional quantiles of the default probability. Finally,
Fisher’s Z statistic is used to relate bond yields to domestic savings. The different methods support the conclusion
that the domestic savings rate is lenders’ main concern. Economies with worse saving habits are penalized both
in the CDS and in the bonds market. Notwithstanding, for countries on the top quantiles of the default
probabilities, public and external debt also increase the insurance premium in the derivatives market. Looking at
the Portuguese case, it is clear that policies that don’t take savings into account shall fail, as the country had the
lowest net savings rate in the EU27 in 2008...
C22, D20, E22 and E44; This paper aims to address empirically the relationship between financialisation and real investment by Portuguese non-financial corporations from 1977 to 2013. An equation to describe aggregate investment is estimated, which includes the traditional or standard variables (profitability, debt, cost of capital, savings rate and business cycle) and two further measures to capture the phenomenon of financialisation (financial receipts and financial payments). Financialisation, on the one hand, leads to a rise of financial investments by non-financial corporations, which deviates funds from real investment (“crowding out” effect). On the other hand, the pressure to intensify financial payments restrains the available funds for real investments. The paper concludes that there is a long-term relationship between all variables, and also finds evidence that the process of financialisation has hampered real investment, mainly through financial payments.
The doubt about whether socially responsible investment is a viable strategy for investors seeking to maximize both social and financial returns is the central question of this paper. This is addressed by investigating whether portfolio selection based on sustainability criteria harms investor’s returns, or in contrast it can be a driver of superior financial benefits. With this purpose, daily prices and returns of 4 traditional and 10 sustainable stock indexes are analyzed from 2001 to 2011 and in the peaks and downs of both bull and bear markets. One of the major results of this study is that sustainable indexes outperform traditional stock indexes in all the periods under analysis; however the differences on average returns are not statistically significant. Through unit root tests we acknowledge that returns are stationary and levels are nonstationary. The short-run relationship analysis based on Granger causality test reveals a feedback effect between traditional and sustainable stock indexes returns. In contrast, long-run relationship, based on cointegration analysis, points that most of the stock indexes are not cointegrated, suggesting that sustainable and traditional stock indexes do not have a long-run linkage and thus can diverge without bound.
This paper assesses empirically the effect of oil price shocks on Portuguese aggregate
economic activity, industrial production and price level. We take the usual multivariate
VAR methodology to investigate the magnitude and stability of this relationship. In
doing so, we follow the approach presented in the recent literature and adopt different
oil price specifications. We conclude that, as for most industrialized countries, the
nature of this relationship changed in the mid-1980s. Furthermore, we show that the
main Portuguese macroeconomic variables have become progressively less responsive
to oil shocks and the adjustment towards equilibrium has become increasingly faster.
Our previous studies on scalp-recorded event-related potentials (ERPs) showed that somatosensory N140 evoked by a tactile vibration in working memory tasks was enhanced when human subjects expected a coming visual stimulus that had been paired with the tactile stimulus. The results suggested that such enhancement represented the cortical activities involved in tactile-visual crossmodal association. In the present study, we further hypothesized that the enhancement represented the neural activities in somatosensory and frontal cortices in the crossmodal association. By applying independent component analysis (ICA) to the ERP data, we found independent components (ICs) located in the medial prefrontal cortex (around the anterior cingulate cortex, ACC) and the primary somatosensory cortex (SI). The activity represented by the IC in SI cortex showed enhancement in expectation of the visual stimulus. Such differential activity thus suggested the participation of SI cortex in the task-related crossmodal association. Further, the coherence analysis and the Granger causality spectral analysis of the ICs showed that SI cortex appeared to cooperate with ACC in attention and perception of the tactile stimulus in crossmodal association. The results of our study support with new evidence an important idea in cortical neurophysiology: higher cognitive operations develop from the modality-specific sensory cortices (in the present study...
Neurons engage in causal interactions with one another and with the surrounding body and environment. Neural systems can therefore be analyzed in terms of causal networks, without assumptions about information processing, neural coding, and the like. Here, we review a series of studies analyzing causal networks in simulated neural systems using a combination of Granger causality analysis and graph theory. Analysis of a simple target-fixation model shows that causal networks provide intuitive representations of neural dynamics during behavior which can be validated by lesion experiments. Extension of the approach to a neurorobotic model of the hippocampus and surrounding areas identifies shifting causal pathways during learning of a spatial navigation task. Analysis of causal interactions at the population level in the model shows that behavioral learning is accompanied by selection of specific causal pathways—“causal cores”—from among large and variable repertoires of neuronal interactions. Finally, we argue that a causal network perspective may be useful for characterizing the complex neural dynamics underlying consciousness.
Oscillatory activity plays a critical role in regulating biological processes at levels ranging from subcellular, cellular, and network to the whole organism, and often involves a large number of interacting elements. We shed light on this issue by introducing a novel approach called partial Granger causality to reliably reveal interaction patterns in multivariate data with exogenous inputs and latent variables in the frequency domain. The method is extensively tested with toy models, and successfully applied to experimental datasets, including (1) gene microarray data of HeLa cell cycle; (2) in vivo multi-electrode array (MEA) local field potentials (LFPs) recorded from the inferotemporal cortex of a sheep; and (3) in vivo LFPs recorded from distributed sites in the right hemisphere of a macaque monkey.
Whether functional magnetic resonance imaging (fMRI) allows the identification of neural drivers remains an open question of particular importance to refine physiological and neuropsychological models of the brain, and/or to understand neurophysiopathology. Here, in a rat model of absence epilepsy showing spontaneous spike-and-wave discharges originating from the first somatosensory cortex (S1BF), we performed simultaneous electroencephalographic (EEG) and fMRI measurements, and subsequent intracerebral EEG (iEEG) recordings in regions strongly activated in fMRI (S1BF, thalamus, and striatum). fMRI connectivity was determined from fMRI time series directly and from hidden state variables using a measure of Granger causality and Dynamic Causal Modelling that relates synaptic activity to fMRI. fMRI connectivity was compared to directed functional coupling estimated from iEEG using asymmetry in generalised synchronisation metrics. The neural driver of spike-and-wave discharges was estimated in S1BF from iEEG, and from fMRI only when hemodynamic effects were explicitly removed. Functional connectivity analysis applied directly on fMRI signals failed because hemodynamics varied between regions, rendering temporal precedence irrelevant. This paper provides the first experimental substantiation of the theoretical possibility to improve interregional coupling estimation from hidden neural states of fMRI. As such...
We compared conscious and nonconscious processing of briefly flashed words using a visual masking procedure while recording intracranial electroencephalogram (iEEG) in ten patients. Nonconscious processing of masked words was observed in multiple cortical areas, mostly within an early time window (<300 ms), accompanied by induced gamma-band activity, but without coherent long-distance neural activity, suggesting a quickly dissipating feedforward wave. In contrast, conscious processing of unmasked words was characterized by the convergence of four distinct neurophysiological markers: sustained voltage changes, particularly in prefrontal cortex, large increases in spectral power in the gamma band, increases in long-distance phase synchrony in the beta range, and increases in long-range Granger causality. We argue that all of those measures provide distinct windows into the same distributed state of conscious processing. These results have a direct impact on current theoretical discussions concerning the neural correlates of conscious access.
Neural data are inevitably contaminated by noise. When such noisy data are subjected to statistical analysis, misleading conclusions can be reached. Here we attempt to address this problem by applying a state space smoothing method, based on the combined use of the Kalman filter theory and the Expectation-Maximization algorithm, to denoise two datasets of local field potentials recorded from monkeys performing a visuomotor task. For the first dataset, it was found that the analysis of the high gamma band (60-90 Hz) neural activity in the prefrontal cortex is highly susceptible to the effect of noise, and denoising leads to markedly improved results that were physiologically interpretable. For the second dataset, Granger causality between primary motor and primary somatosensory cortices was not consistent across two monkeys and the effect of noise was suspected. After denoising, the discrepancy between the two subjects was significantly reduced.
Paradigms requiring either a GO or a NO-GO response are often used to study the neural mechanisms of response inhibition. Here this issue is examined from the perspective of event-related beta (14-30 Hz) oscillatory activity. Two macaque monkeys performed a task that began with a self-initiated lever depression and maintenance (sustained motor output) and required a visual pattern discrimination followed by either a lever release (GO) or continued lever-holding (NO-GO) response. Analyzing simultaneous local field potentials (LFPs) from primary somatosensory, frontal motor, and posterior parietal cortices, we report two results. First, beta oscillation desynchronized shortly after stimulus presentation, the onset of which was approximately the same for both the GO and NO-GO conditions (∼110 ms). Since it is well known that beta desynchronization is a reliable indicator of movement preparation, this result suggests that early motor preparation took place in both conditions. Second, following the GO/NO-GO decision (∼190 ms), beta activity rebounded significantly (∼300 ms) only in the NO-GO condition. Coherence and Granger causality measures revealed that the dynamical organization of the rebounded beta network was similar to that existing during the sustained motor output prior to stimulus onset. This finding suggests that response inhibition led to the restoration of the sensorimotor network to its prestimulus state.
Recent studies using functional imaging and electrophysiology demonstrate that processes related to sensory integration are not restricted to higher association cortices but already occur in early sensory cortices, such as primary auditory cortex. While anatomical studies suggest the superior temporal sulcus (STS) as likely source of visual input to auditory cortex, little evidence exists to support this notion at the functional level. Here we tested this hypothesis by simultaneously recording from sites in auditory cortex and STS in alert animals stimulated with dynamic naturalistic audio–visual scenes. Using Granger causality and directed transfer functions we first quantified causal interactions at the level of field potentials, and subsequently determined those frequency bands that show effective interactions, i.e. interactions that are relevant for influencing neuronal firing at the target site. We found that effective interactions from auditory cortex to STS prevail below 20 Hz, while interactions from STS to auditory cortex prevail above 20 Hz. In addition, we found that directed interactions from STS to auditory cortex make a significant contribution to multisensory influences in auditory cortex: Sites in auditory cortex showing multisensory enhancement received stronger feed-back from STS during audio–visual than during auditory stimulation...
Field potential oscillations at around 10 Hz (alpha rhythm) are widely noted in the visual cortices, but their physiological mechanisms and significance are poorly understood. In vitro studies have implicated pyramidal neurons in both infragranular and supragranular layers as pacemakers. The generality of these observations for the intact brain in the behaving subject is unknown. We analyzed laminar profiles of spontaneous Local Field Potentials (LFPs) and MultiUnit Activity (MUA) recorded with linear array multielectrodes from visual areas V2, V4 and inferotemporal (IT) cortex of two macaque monkeys during performance of a sensory discrimination task. Current source density (CSD) analysis was combined with CSD-MUA coherence to identify intracortical alpha current generators and their potential for alpha pacemaking. The role of each alpha current generator was further delineated by Granger causality analyses. In V2 and V4, alpha current generators were found in all layers, with the infragranular generator acting as primary local pacemaking generator. In contrast, in IT, alpha current generators were found only in supragranular and infragranular layers, with the supragranular generator acting as primary local pacemaking generator. The amplitude of alpha activity in V2 and V4 was negatively correlated with behavioral performance...
We present a macroscopic theory of electroencephalogram (EEG) dynamics based on the laws of motion that govern atomic and molecular motion. The theory is an application of Zwanzig-Mori projection operators. The result is a simple equation of motion that has the form of a generalized Langevin equation (GLE), which requires knowledge only of macroscopic properties. The macroscopic properties can be extracted from experimental data by one of two possible variational principles. These variational principles are our principal contribution to the formalism. Potential applications are discussed, including applications to the theory of critical phenomena in the brain, Granger causality and Kalman filters.
The neural basis of motor response inhibition has drawn considerable attention in recent imaging literature. Many studies have employed the go/no-go or stop signal task to examine the neural processes underlying motor response inhibition. In particular, showing greater activity during no-go (stop) as compared to go trials and during stop success as compared to stop error trials, the right inferior prefrontal cortex (IFC) has been suggested by numerous studies as the cortical area mediating response inhibition. Many of these same studies as well as others have also implicated the pre-supplementary motor area (preSMA) in this process, in accord with a function of the medial prefrontal cortex in goal-directed action. Here we employed connectivity analyses to delineate the roles of IFC and preSMA during stop signal inhibition. Specifically, we hypothesized that, as an integral part of the ventral attention system, the IFC responds to a stop signal and expedites the stop process in the preSMA, the primary site of motor response inhibition. This hypothesis predicted that preSMA and primary motor cortex would show functional interconnectivity via the basal ganglia circuitry to mediate response execution or inhibition, whereas the IFC would influence the basal ganglia circuitry via connectivity with preSMA. The results of Granger causality analyses in 57 participants confirmed this hypothesis. Furthermore...
The medial prefrontal cortex (MFC) is critical for our ability to learn from previous mistakes. Here we provide evidence that neurophysiological oscillatory long-range synchrony is a mechanism of post-error adaptation that occurs even without conscious awareness of the error. During a visually signaled Go/No-Go task in which half of the No-Go cues were masked and thus not consciously perceived, response errors enhanced tonic (i.e., over 1–2 s) oscillatory synchrony between MFC and occipital cortex (OCC) leading up to and during the subsequent trial. Spectral Granger causality analyses demonstrated that MFC → OCC directional synchrony was enhanced during trials following both conscious and unconscious errors, whereas transient stimulus-induced occipital → MFC directional synchrony was independent of errors in the previous trial. Further, the strength of pre-trial MFC-occipital synchrony predicted individual differences in task performance. Together, these findings suggest that synchronous neurophysiological oscillations are a plausible mechanism of MFC-driven cognitive control that is independent of conscious awareness.