No description available.

[pt] Estudamos se as intervenções cambiais do Banco Central do Brasil impactam, além da taxa de câmbio, outros preços de ativos (taxas de juros e preços de ações). Fazemos isso classificando as intervenções em três tipos, de acordo com o nível de surpresa, e usando dados minuto a minuto. Nossos resultados mostram que, tanto para a venda de USD (ou emissão de swap) quanto para a compra de USD (ou emissão de swap reverso), o BRL/USD reage na direção esperada, os preços das ações aumentam e as taxas de juros também aumentam. Vale ressaltar que o anúncio impacta muito mais do que a própria intervenção. Além disso, os vértices longos dos juros tendem a responder mais as intervenções do que os vértices curtos. Finalmente, entre os tipos de intervenções, encontramos uma notável heterogeneidade em termos de movimentação dos preços dos ativos dentro de uma janela de meia hora, como em termos de sustentação do movimento por uma janela de nove horas (duração do pregão). / [en] We study if the FX interventions of the Central Bank of Brazil impact other asset prices beyond the exchange rate, e.g., interest rates or stock prices. We do that by classifying the interventions into three types, according to the surprise level, and by using minute-by-minute data. Our results show that, for both USD sales (or swap issuance) and USD purchase (or reverse swap issuance), the BRL/USD reacts in the expected direction, the stock prices increase, and the interest rates increase as well. Noteworthy, the announcement impacts much more than the intervention itself. Furthermore, longer-dated rates yields tend to present greater responses to the interventions than shorter-term yields. Finally, across the interventions types, we find remarkably heterogeneity in terms of moving asset prices within a half-hour window, as in terms of sustaining the movement for a nine hours (trading day) window.

We present the analysis for the higher order continuous Galerkin−Petrov (cGP) time discretization schemes in combination with the one-level local projection stabilization in space applied to time-dependent convection-diffusion-reaction problems. Optimal a priori error estimates will be proved. Numerical studies support the theoretical results. Furthermore, a numerical comparison between continuous Galerkin−Petrov and discontinuous Galerkin time discretization schemes will be given.

Problems governed by partial differential equations (PDEs) in deformable domains, t Rd; d = 2; 3; are of fundamental importance in science and engineering. They are of particular relevance in the design of many engineering systems e.g., aircrafts and bridges as well as to the analysis of several biological phenomena e.g., blood ow in arteries. However, developing numerical scheme for such problems is still very challenging even when the deformation of the boundary of domain is prescribed a priori. Possibility of excessive mesh distortion is one of the major challenge when solving such problems with numerical methods using boundary tted meshes. The arbitrary Lagrangian- Eulerian (ALE) approach is a way to overcome this difficulty. Numerical simulations of convection-dominated problems have for long been the subject to many researchers. Galerkin formulations, which yield the best approximations for differential equations with high diffusivity, tend to induce spurious oscillations in the numerical solution of convection dominated equations. Though such spurious oscillations can be avoided by adaptive meshing, which is computationally very expensive on ne grids. Alternatively, stabilization methods can be used to suppress the spurious oscillations. In this work, the considered equation is designed within the framework of ALE formulation. In the first part, Streamline Upwind Petrov-Galerkin (SUPG) finite element method with conservative ALE formulation is proposed. Further, the first order backward Euler and the second order Crank-Nicolson methods are used for the temporal discretization. It is shown that the stability of the semi-discrete (continuous in time) ALE-SUPG equation is independent of the mesh velocity, whereas the stability of the fully discrete problem is unconditionally stable for implicit Euler method and is only conditionally stable for Crank-Nicolson time discretization. Numerical results are presented to support the stability estimates and to show the influence of the SUPG stabilization parameter in a time-dependent domain. In the second part of this work, SUPG stabilization method with non-conservative ALE formulation is proposed. The implicit Euler, Crank-Nicolson and backward difference methods are used for the temporal discretization. At the discrete level in time, the ALE map influences the stability of the corresponding discrete scheme with different time discretizations, and it leads to schemes where conservative and non-conservative formulations are no longer equivalent. The stability of the fully discrete scheme, irrespective of the temporal discretization, is only conditionally stable. It is observed from numerical results that the Crank-Nicolson scheme induces high oscillations in the numerical solution compare to the implicit Euler and the backward difference time discretiza-tions. Moreover, the backward difference scheme is more sensitive to the stabilization parameter k than the other time discretizations. Further, the difference between the solutions obtained with the conservative and non-conservative ALE forms is significant when the deformation of domain is large, whereas it is negligible in domains with small deformation. Finally, the local projection stabilization (LPS) and the higher order dG time stepping scheme are studied for convection dominated problems. The analysis is based on the quadrature formula for approximating the integrals in time. We considered the exact integration in time, which is impractical to implement and the Radau quadrature in time, which can be used in practice. The stability and error estimates are shown for the mathematical basis of considered numerical scheme with both time integration methods. The numerical analysis reveals that the proposed stabilized scheme with exact integration in time is unconditionally stable, whereas Radau quadrature in time is conditionally stable with time-step restriction depending on the ALE map. The theoretical estimates are illustrated with appropriate numerical examples with distinct features. The second order dG(1) time discretization is unconditionally stable while Crank-Nicolson gives the conditional stable estimates only. The convergence order for dG(1) is two which supports the error estimate.