• Nenhum resultado encontrado

Regra de Taylor no Brasil e preços de ativos financeiros: 1999-2005

N/A
N/A
Protected

Academic year: 2017

Share "Regra de Taylor no Brasil e preços de ativos financeiros: 1999-2005"

Copied!
34
0
0

Texto

(1)

!

(2)

!

#$$%&'()*+ (,&%$%-'(.( (+ /&$+

.% 0$ &(./()*+ %1 2+-+1#( .(

/-.()*+ %'34#+ (&5($6 2+1+

&%7/#$#'+ ,(&2#(4 ,(&( ( +8'%-)*+ .+ &(/ .% %$'&%9

(3)

"

; !

#$$%&'()*+ (,&%$%-'(.( (+ /&$+

.% 0$ &(./()*+ %1 2+-+1#( .(

/-.()*+ %'34#+ (&5($6 2+1+

&%7/#$#'+ ,(&2#(4 ,(&( ( +8'%-)*+ .+ &(/ .% %$'&%9

<

&+:9 &9 ; &#%-'(.+&

=

&+:9 &9

=

&+:9

(4)

$'( .#$$%&'()*+ '%1 + ,&+,0$#'+ .% '%$'(& ( >#,0'%$% .% 7/% +

(-2+ %-'&(4 .+ &($#4 -*+ 2+-$#.%&( +$ ,&%)+$ .% ('#?+$

:#-(-2%#&+$ %1 $/( :/-)*+ .% &%()*+ .( ,+4@'#2( 1+-%'A&#(9 ,&#1%#&( ,(&'% B .%.#2(.( (+ %$'/.+ .( 4#'%&('/&( ('/(4 $+8&% ( &%4()*+ %-'&% ,+4@'#2( 1+-%'A&#( % ,&%)+$ .% ('#?+$ :#-(-2%#&+$6 -( 7/(4 :+&(1 #.%-'#:#2(.($ '&C$ 2+&&%-'%$ .% ,%-$(1%-'+ .#$'#-'($ $+8&%

+ '%1(9 /1( $%5/-.( %'(,(6 $*+ (?(4#(.+$ (45/-$ 1+.%4+$ 2+1

8($% -( %$'#1('#?( ,&+,+$'( ,+& +(&%$ % (&8+$( D "E6 ,+&B1

2+1 ( #-$%&)*+ .% /1( ?(&#A?%4 .% ,&%)+$ .% ()F%$9 $$#1 2+1+ %1

/,+& % +-4%G D HE6 +$ &%$/4'(.+$ %1,@&#2+$ 1+$'&(1 7/% (

(5)

999999999999999999999999999999999999999999999999999999999999999999999999999999999"

999999999999999999999999999999999999999999999999999I

9999999999999999999999999 J9 9999999999999999999999999999999999999999999999999999999999999999999999999999 J9 9999999999999999999999999999999999999999999999999999999999999999999999999999999999999

J9J K 999999999999999999999999999999999 !

J9H L K 9999999999999999999999999999999999999999999999999999999 I

J9! 9999999999999999999999999999999999999999999999J

99999999999999999999999999999999999999999999999999999999999999999999999999999999J

(6)

$'/.+$ $+8&% + $#$'%1( .% 1%'($ .% #-:4()*+ 2+1,&+?(1

7/%6 .% (2+&.+ 2+1 (45/-$ %2+-+1#$'($6 + (4'+ -@?%4 .% #-:4()*+ '%1

( 2(,(2#.(.% .% .#$'+&2%& ($ .%2#$F%$ .+$ (5%-'%$ ,&#?(.+$6 2+1

&%4()*+ (+$ #-?%$'#1%-'+$6 ( ,+/,(-)( % ( ,&+./)*+6 ,+.%-.+

&%$/4'(& -( .%$(2%4%&()*+ .+ 2&%$2#1%-'+ %2+-M1#2+ .% /1 ,(@$9

(N*+ ,%4( 7/(46 (45/-$ (-2+$ %-'&(#$ /'#4#N(1 $% .($ 1%'($

#-:4(2#+-A&#($ 2+1+ /1( '%-'('#?( .% (42(-)(& -@?%#$ #-:4(2#+-A&#+$

.%$%OA?%#$ %6 2+-$%7P%-'%1%-'%6 ( %$'(8#4#.(.% .% ,&%)+$9

%5/-.+ %?#.C-2#($ (,&%$%-'(.($ %1 (45/-$ %$'/.+$

%Q(1#-(.+$6 ( %$'(8#4#.(.% .% ,&%)+$ ?#?%-2#(.( %1 (45/-$ ,(@$%$

-+$ (-+$ .%/ $% 5&()($ ( /1( '&(O%'0&#( :/'/&( .% ?(&#A?%#$

-+1#-(#$ %$'#,/4(.($ ,%4+$ (-2+$ %-'&(#$6 .% :+&1( ( #-:4/%-2#(&

($ %Q,%2'('#?($ #-:4(2#+-A&#($6 2+1 + +8O%'#?+ .% -*+ ,%&1#'#& 7/%

2>+7/%$ #-'%&-+$ +/ %Q'%&-+$ '&(./N(1 $% %1 (4'($ ,%&1(-%-'%$ .%

#-:4()*+6 :+&)(-.+6 ($$#16 + 2+1,&+1%'#1%-'+ .( %$'(8#4#.(.% .%

,&%)+$6 ,(&( 7/% %$'% 1+$'&% $% 1(#$ $#5-#:#2('#?+9

5&(-.% 1(#+&#( .+$ %$'/.#+$+$ $+8&% + $#$'%1( .% 1%'($

2+-2+&.( 7/% %$'( %$'&/'/&( .% ,+4@'#2( 1+-%'A&#( B 1/#'+ %:#2#%-'% -+

2+18('% R #-:4()*+9 -'&%'(-'+6 %Q#$'%1 #-.@2#+$6 -( 4#'%&('/&( 'B2-#2(

('/(46 7/% ( #-24/$*+ .% -+?($ ?(&#A?%#$ -( &%5&( .% (G4+& +&#5#-(4

,+.%1 1%4>+&(& + ,&+2%$$+ .% %$'(8#4#N()*+ .% ,&%)+$ (4#(.+ (+

2&%$2#1%-'+ $/$'%-'(.+ .% 4+-5+ ,&(N+ .+ 9

$$% '&(8(4>+ '%1 2+1+ +8O%'#?+ %-/1%&(& (45/-$ (&5/1%-'+$

:(?+&A?%#$ % .%$:(?+&A?%#$ %-2+-'&(.+$ -( 4#'%&('/&( 2+-'%1,+&S-%(6

,(&( ( #-24/$*+ .( ?(&#A?%4 ,&%)+ .% ('#?+$ :#-(-2%#&+$ -( ,+4@'#2(

1+-%'A&#( .+ (-2+ %-'&(46 2+1 %Q%1,4+$ %$,%2@:#2+$ ,(&( ( #-24/

(7)

$*+ .+ ,(&S1%'&+ ,&%)+ .% ()F%$9 /1 $%5/-.+ 1+1%-'+6 %$$%

%$'/.+ ,&+,F% #-$%&#& ( .#$2/$$*+6 (2#1( 2#'(.(6 ,(&( + 2($+

8&($#4%#&+6 %1 7/% $%&A (-(4#$(.+ /1 %$'/.+ %2+-+1B'&#2+ $+8&% +

(8)

$'% 2(,@'/4+ $%&A .%.#2(.+ (+ %$'/.+ .( 4#'%&('/&( 'B2-#2(

%Q#$'%-'% (2%&2( .% /1( 7/%$'*+ 7/% %$'A 5(->(-.+ #1,+&'S-2#( -(

%2+-+1#( 2+-'%1,+&S-%( ?(&#A?%4 ,&%)+ .% ('#?+$ :#-(-2%#&+$

.%?% $%& #-2+&,+&(.( -( :/-)*+ .% &%()*+ .( ,+4@'#2( 1+-%'A&#( .+

(-2+ %-'&(4U A '&C$ 2+&&%-'%$ .#$'#-'($ $+8&% %$$% '%1(

(E ,&#-2#,(4 #-'%&4+2/'+& .%-'&% ?A&#+$ %2+-+1#$'($ 7/% $*+

2+-'&( (+ 2+18('% .#&%'+ R 8+4>( .% 2+-$/1+ 6 ?#( ,+4@'#2( 1+-%'A&#(6

B %&-(-V% D 6 % JE6 $%5/#.+ ,+& W/''-%& D JE6 %&'4%&

D % E6 +&#+ % +X% D % E6 %-'&% +/'&+$9 4%$

.%:%-.%1 + /$+ .( ,+4@'#2( 1+-%'A&#( (,%-($ 7/(-.+ +$ %:%#'+$ .(

8+4>( $*+ $%-'#.+$ -($ %Q,%2'('#?($ .% #-:4()*+ :/'/&(T

8E #$>V#- % Y>#'% D E % 2>X(&'N D E (:#&1(1 7/%

8+4>($ %1 ,&%)+$ .% ('#?+$ .%?%1 $%& 1+'#?+ .% ,&%+2/,()*+6

7/(-.+ (:%'(1 ( %$'(8#4#.(.% .+ $#$'%1( :#-(-2%#&+9 (&.+/?%4#$ %

>%+.+$$#+/ D E '(18B1 $*+ :(?+&A?%#$ ( %$$( ?#$*+T

2E %22>%''# D % JE % /,+& D % HE $*+ +$

,&#-2#,(#$ .%:%-$+&%$ .( #-24/$*+ .% /1( ?(&#A?%4 .% ('#?+$

:#-(-2%#&+$ -( &%5&( .% (G4+& 2#'(-.+6 2+1+ %Q%1,4+6 + %:%#'+ .($

8+4>($ -+ 1%&2(.+ (2#+-A&#+9 (&5/1%-'+ .%:%-.#.+ ,+& %4%$ &%$#.%

-+ :('+ .% 7/% %$$( ?(&#A?%4 ,+.% (:%'(& + 2+1,+&'(1%-'+ :/'/&+ .+

2+-$/1+6 7/% .%,%-.% .( &#7/%N(6 '%-.+ ($ ()F%$ /1( ,(&2%4(

$#5-#:#2('#?( .( &#7/%N(9 %1 /1( %Q,%2'('#?( .% 2+-$/1+6 -*+

2+-$%5/#1+$ ,&%?%& + T ( %Q,%2'('#?( .% #-:4()*+ .%,%-.% .+

>#('+ .+ ,&+./'+ % %$'%6 2+-$%7P%-'%1%-'%6 .%,%-.% .( ,&%?#$*+ .+

9

(9)

Q#$'%6 ,+&'(-'+6 /1 $%-$+ 2+1/1 %-'&% +$ %2+-+1#$'($

7/(-'+ (+$ +8O%'#?+$ :#-(#$ .+$ (5%-'%$ &%$,+-$A?%#$ ,%4( %Q%2/)*+

.( ,+4@'#2( 1+-%'A&#(6 7/% B 1(-'%& ( %2+-+1#( $(/.A?%4 ('&(?B$ .(

(,4#2()*+ .% /1( ,+4@'#2( 1+-%'A&#( (.%7/(.(6 ,%&$%5/#-.+ ($

1%'($ .% %$'(8#4#.(.% .% ,&%)+6 2&%$2#1%-'+ $/$'%-'A?%4 % -@?%4 .%

%1,&%5+9 %&-(-V% D 6 % JE &%2+->%2% 7/% ( ,+4@'#2(

1+-%'A&#( #1,(2'( .#?%&$+$ 1%&2(.+$6 -+ %-'(-'+6 (:#&1( 7/% (,%-($

7/(-.+ +$ ,&%)+$ .+$ ('#?+$ :#-(-2%#&+$ #-:4/%-2#(&%1 ( %Q,%2'('#?(

.% #-:4()*+ :/'/&( B 7/% .%?(1 $%& 2+-$#.%&(.+$ -( &%5&( .% (G4+&9

+ (-(4#$(&1+$ + %$'/.+ .% %&-(-V% % %&'4%& D E6

-+'(1+$ 7/% ( 7/%$'*+ Z$% + 2+1,+&'(1%-'+ .( ,+4@'#2( 1+-%'A&#(

.%?% $% (4'%&(& ,%&(-'% +$2#4()F%$ -+ ,&%)+ .+$ ('#?+$[ B (8+&.(.(9

$ (-A4#$%$ #-24/@&(1 ($ +$2#4()F%$ .+$ ('#?+$ .%?#.+ ( 8+4>($ %=+/ (

2>+7/%$ '%2-+405#2+$9 $$% %$'/.+ $%5/#/ + '&(8(4>+ (-'%&#+&1%-'%

&%(4#N(.+ ,%4+$ ,&0,&#+$ %&-(-V% % %&'4%& D E 7/% %Q(1#-(?( (

,&#-2#,(4 :%&&(1%-'( .( ,+4@'#2( 1+-%'A&#(6 '*+ 2+->%2#.( -+$ .#($ .%

>+O% ( 1%'( .% #-:4()*+9 $ (/'+&%$ 1+$'&(&(1 7/% $+8 ( 0'#2( .(

%$'&/'/&( .% 1%'($ .% #-:4()*+6 ($ 1/.(-)($ -+$ ,&%)+$ .+$ ('#?+$

$+1%-'% .%?%1 (:%'(& ( ,+4@'#2( 1+-%'A&#(6 7/(-.+ %$$($ 1/.(-)($

(:%'(1 ( ,&%?#$*+ .% #-:4()*+ :/'/&( .+ (-2+ %-'&(49 -'&%'(-'+6

-%$$% -+?+ %$'/.+6 +$ (/'+&%$ %-2+-'&(&(1 &%$/4'(.+$

2+1,4%1%-'(&%$6 %1 7/% /1( ,+4@'#2( (5&%$$#?( .% 1%'( .% #-:4()*+

%$'(8#4#N( + ,&+./'+ % ( #-:4()*+6 7/(-.+ +$ ,&%)+$ .+$ ('#?+$ $*+

?+4A'%#$6 $%O( %$'( ?+4('#4#.(.% ,&+?%-#%-'% .% /1( 8+4>( +/ 2>+7/%$

'%2-+405#2+$ +/ (18+$9

,%$(& .% $%&%1 2+-'&( ( &%()*+ .( ,+4@'#2( 1+-%'A&#( ,(&( +

2+18('% R$ 8+4>($6 %&-(-V% % %&'4%& D E %?#.%-2#(1 7/%

2+4+2(& /1 ,%$+ ,%7/%-+ -+ ,(&S1%'&+ .% ,&%)+ .% ('#?+$ ,+.%

&%./N#& ( ?(&#(8#4#.(.% .+ >#('+ .+ ,&+./'+9 -'&%'(-'+6 4+5+ .%,+#$

(:#&1(1 7/% '(4 5(->+ $%&A %4#1#-(.+ $% ,%&1#'#&1+$ 7/% ( &%5&( .%

(10)

.#:#2/4.(.% .% $% %$'#1(& + >#('+ .+ ,&+./'+6 ,+&B1 + ,&%:%&%1 %1

&%4()*+ R$ %$'#1('#?($ .( ,(&2%4( .% :/-.(1%-'+ #1,4@2#'( -+$ ,&%)+$

.($ ()F%$9

$ (/'+&%$ (:#&1(1 7/% %22>%''#6 (-$6 #,$VG % Y(.>X(-#

D E &%(4#N(&(1 /1 %$'/.+ 2+1 8($% -+ 1%$1+ 1+.%4+ /$(.+ ,+&

%4%$6 % 7/% (,%$(& .#$$+ %-2+-'&(&(1 %?#.C-2#($ '+'(41%-'%

2+-'&A&#($9 (4 %Q,4#2()*+ &%$#.% -+ :('+ .% 7/% %22>%''#6 (-$6

#,$VG % Y(.>X(-# D E -*+ 4%?(&(1 %1 2+-'( ( -('/&%N(

,&+8(8#4@$'#2( .( 8+4>( -+$ ,&%)+$ .% ('#?+$ :#-(-2%#&+$6 % 7/% '(4

8+4>( ,+.% $%& 2+-$%7PC-2#( .% /1 2>+7/% '%2-+405#2+9 /'&( :(4>(

%?#.%-2#(.( ,+& %&-(-V% % %&'4%& D E B 7/% + 1+.%4+ ,&+,+$'+

,+& %22>%''# %' (4 D E ,&%$$/,F% 7/% + (-2+ %-'&(4 2+->%2%6

2+1 2%&'+ 5&(/ .% 2%&'%N(6 7/% '(4 (4'( -+$ ,&%)+$ .+$ ('#?+$ -+

1%&2(.+ (2#+-A&#+ B $%1 :/-.(1%-'+ % 7/(-.+ ( 8+4>( .%:4(5(&A9

+-.#)F%$ %$$($ 2+-$#.%&(.($ #1,&+?A?%#$ -( ,&A'#2( ,+& %&-(-V%

% %&'4%& D E9

%&-(-V% % W/''-%& D JE &%(4#N(&(1 %$'/.+$ :+2(-.+ -+

#1,(2'+ .( ,+4@'#2( 1+-%'A&#( 5%&(.+ -+ 1%&2(.+ .% ()F%$6 ,+&

2+-$#.%&(& 7/% +$ ,&%)+$ .($ ()F%$ $*+ +$ 1(#$ (2+1,(->(.+$ .%

,%&'+ -( %2+-+1#( % $*+ +$ 1(#$ $%-$@?%#$ R$ 2+-.#)F%$ .(

%2+-+1#(9

%&-(-V% % W/''-%& D JE 8($%(&(1 + '&(8(4>+ %1 ./($

7/%$'F%$ ,&#-2#,(#$9 ,&#1%#&( (?(4#( + #1,(2'+ .($ (4'%&()F%$ .(

,+4@'#2( 1+-%'A&#( -+$ ,&%)+$ .($ ()F%$9 K #1,+&'(-'% &%$$(4'(& 7/%

-%$'% ,+-'+6 + :+2+ .+$ (/'+&%$ :+# -($ (4'%&()F%$ 7/% -*+ %&(1

%$,%&(.($ ,%4+ 1%&2(.+6 /1( ?%N 7/% ($ ,&%?#$'($ ,%4+ 1%&2(.+6 OA

%$'*+ %18/'#.($ -+$ ,&%)+$ .($ ()F%$6 -*+ (2(&&%'(-.+6 ,+&'(-'+6

-%->/1( ?(&#()*+ .% ,&%)+ 7/(-.+ $*+ .#?/45(.($9 $%5/-.(

7/%$'*+ ,&+2/&( 1+'#?+$ ,(&( %Q,4#2(& +$ #1,(2'+$ .% (4'%&()F%$ .(

,+4@'#2( 1+-%'A&#( -+$ ,&%)+$ .($ ()F%$9 %$$% ,+-'+6 +$ (/'+&%$

(11)

(:%'(1 +$ ,&%)+$ .($ ()F%$6 -*+ '(-'+ ,+& #-:4/%-2#(& +$ .#?#.%-.+$

%$,%&(.+$ +/ ( '(Q( .% O/&+$ &%(4 ,%4( 7/(4 B .%$2+-'(.+ + :4/Q+ .%

2(#Q( :/'/&+6 1($ $#1 ,+& #-:4/%-2#(& + &#$2+ ,%&2%8#.+ -+ ?(4+& .($

()F%$9

(&( (-(4#$(& $+1%-'% ( ,(&2%4( 7/% -*+ %&( ,&%?#$'( ,%4+

1%&2(.+6 %&-(-V% % W/''-%& D JE %$'#1(&(1 7/(4 %&( (

%Q,%2'('#?( .+$ (5%-'%$ %2+-M1#2+$ ,(&( ( '(Q( ( $%& .#?/45(.( ,%4+

D E6 8($%(.+$ -+ 1%&2(.+

:/'/&+ .% O/&+$6 $%-.+ ( .#:%&%-)( %-'&% ( %Q,%2'('#?( % + ?(4+&

.#?/45(.+ ,%4+ ( ,(&2%4( -*+ %$,%&(.( ,%4+ 1%&2(.+9

$ (/'+&%$ (,4#2(&(1 %$$( &%4()*+ -( 8($% .% .(.+$

>#$'0&#2+$ .% 1(#+ .% I ('B .%N%18&+ .% % %-2+-'&(&(1 +

Z1/4'#,4#2(.+& .% ,&%)+ .% ()*+[ .% H6\6 +/ $%O(6 ( 2(.(

Z$/&,&%$([ ( 1%-+& -( '(Q( .#?/45(.( ,%4+ 6 5%&(&#( /1

(/1%-'+ .% H6\ -+ ?(4+& .($ ()F%$9 (&( 5(&(-'#& 7/%

%$$% &%$/4'(.+ -*+ .%,%-.%$$% .% (45/1($ +8$%&?()F%$ %Q'&%1($6

+$ (/'+&%$ :#N%&(1 /1 '&('(1%-'+ -( 8($% .% .(.+$ /'#4#N(.(6

&%1+?%-.+ +$ .#($ %1 7/% +2+&&%&(1 +$2#4()F%$ 1/#'+ $#5-#:#2('#?($

-+ 1%&2(.+ .% ()F%$9 +1+ 2+-$%7PC-2#(6 + 1/4'#,4#2(.+& &%$/4'+/

%1 6" % -*+ H6\9 (18B1 :+# (-(4#$(.( -%$$% %$'/.+ ( ,%&1(-C-2#(

.($ (4'%&()F%$ -( ,+4@'#2( 1+-%'A&#(9 %$'% ,+-'+ + 1/4'#,4#2(.+& .+

,&%)+ .($ ()F%$ :+# .% "6 /1 ,+/2+ 1(#+& .+ 7/% + +8'#.+

(-'%&#+&1%-'%9 + %-'(-'+6 + &%4%?(-'% B ( 2+-24/$*+ .% 7/% +

1%&2(.+ .% ()F%$ .% :('+ B #-:4/%-2#(.+ ,%4( ,+4@'#2( 1+-%'A&#( %

7/%6 $%5/-.+ %?#.C-2#($ %$'('@$'#2($6 %Q#$'% .% :('+ %$$%

1/4'#,4#2(.+& % $%/ ?(4+& ?(&#(1 %-'&% J % "6 $%-.+ 7/% +$ ?(4+&%$

1(#+&%$ 2+&&%$,+-.%1 R$ (4'%&()F%$ -( ,+4@'#2( 1+-%'A&#( ($ 7/(#$

+$ #-?%$'#.+&%$ 2+-$#.%&(1 7/% $%&*+ 1(#$ ./&(.+/&($9

,+4@'#2( 1+-%'A&#( (:%'( +$ ,&%)+$ .($ ()F%$ %1 '&C$ :('+&%$

.#?#.%-.+$ %$,%&(.+$6 '(Q( .% O/&+$ &%(4 2+&&%-'% +/ :/'/&( % (45+

(12)

&#$2+ #-2+&&#.+ %1 ,+$$/#& /1( ()*+9 (&( .%$2+8&#& 2+1+ %$$%$ '&C$

:('+&%$ (:%'(1 + ,&%)+ .($ ()F%$6 +$ (/'+&%$ $% 8($%(&(1 -(

1%'+.+4+5#( OA /'#4#N(.( (-'%&#+&1%-'% ,+& (1,8%44 D E %

(1,8%44 % 11%& D JE9 :('+& 1(#$ $#5-#:#2('#?+ ,(&( (:%'(& +

,&%)+ .($ ()F%$6 $%5/-.+ %$$( 1%'+.+4+5#(6 :+# + ,&C1#+ ,%4+ &#$2+

.%1(-.(.+ ,%4+$ #-?%$'#.+&%$9

+1 %$$($ 2+-24/$F%$ $+8&% ($ ./($ ,%&5/-'($ #-#2#(#$6

%&-(-V% % W/''-%& D JE (-(4#$(&(1 ($ #1,4#2()F%$ .+$ &%$/4'(.+$

-( 1(-%#&( 2+1 7/% + 1%&2(.+ .% ()F%$ '&(-$1#'% ($ (4'%&()F%$ .(

,+4@'#2( 1+-%'A&#( ,(&( ( %2+-+1#( % ( %:#2A2#( .( ,+4@'#2( 1+-%'A&#(6

2+1+ :%&&(1%-'( ,(&( 2+-'&+4(& ($ 8+4>($ .+ 1%&2(.+ .% ()F%$9

,&#1%#&+ ($,%2'+ ,+.% $%& %Q,4#2(.+ ('&(?B$ .( $%5/#-'%

405#2( 7/(-.+ +$ O/&+$ 2(%16 ($ ()F%$ $+8%1 % + -@?%4 .% &#$2+ .(

%2+-+1#( 2(#T ,+& 2+-$%5/#-'%6 +$ (5%-'%$ %2+-M1#2+$ $*+

8%-%:#2#(.+$ ,%4+ %:%#'+ &#7/%N( 2+1 ( (4'( .($ ()F%$6 % %$'% B

,+'%-2#(4#N(.+ -+ 2/&'+ ,&(N+ ,%4( 7/%.( .+ -@?%4 .% &#$2+ .(

%2+-+1#(9

]/(-'+ (+ $%5/-.+ ($,%2'+6 +$ (/'+&%$ %-/1%&(&(1 (45/-$

1+'#?+$ ,%4+$ 7/(#$ $*+ 2+-'&A&#+$ (+ /$+ .( ,+4@'#2( 1+-%'A&#( ,(&(

2+-'&+4(& 8+4>($ -+ 1%&2(.+ (2#+-A&#+ ( .#:#2/4.(.% %1 $% #.%-'#:#2(&

/1( 8+4>( '&#8/#& (+ (-2+ %-'&(4 + ,(,%4 .% (&8#'&(.+& .%

?(4+& ,(&( +$ ('#?+$6 (,%-($ /1( 24($$% .% ('#?+$ B (:%'(.( ,%4(

8+4>(6 % -*+ '+.($ %-'&% +/'&+$ 1+'#?+$9 1(#+& ,&%+2/,()*+ .%

%&-(-V% % W/''-%& D JE 7/(-'+ R %$'&('B5#( .% $% 2+18('%& /1(

8+4>( %1 ,&%)+$ .% ('#?+$ &%$#.% -+ :('+ .% 7/% $%&A -%2%$$A&#+ /1

(,%&'+ 1+-%'A&#+ $#5-#:#2('#?+ ,(&( ('#-5#& '(4 +8O%'#?+ % $%/$ %:%#'+$

$%&*+ 1/#'+ :+&'%$ ,(&( ( %2+-+1#(9 %5/-.+ + %$'/.+ .%'(4>(.+

(-'%&#+&1%-'%6 /1( %4%?()*+ -*+ %$,%&(.( .% ! .( '(Q(

.% O/&+$ #&A (:%'(& -%5('#?(1%-'% + ?(4+& .($ ()F%$ %1 ,+/2+ 1(#$

.% ^6 +/ $%O(6 /1 1+?#1%-'+ 2+&&#7/%#&+ ,(&( + 1%&2(.+ (2#+-A&#+9

(13)

(,%&'+ -( ,+4@'#2( 1+-%'A&#( 1/#'+ 1(#+& ,(&( $% (42(-)(& + +8O%'#?+

.% 2+18('%& /1( 8+4>( -+ 1%&2(.+ (2#+-A&#+9 +/'&+ ,+-'+

&%$$(4'(.+ -+ %$'/.+ %$'A -+ :('+ .% 7/%6 7/(-.+ +$ O/&+$

(/1%-'(16 + ,&C1#+ .% &#$2+ #1,4@2#'+ -($ ()F%$ (/1%-'( -( 1%$1(

,&+,+&)*+ 7/% + &#$2+ 1(2&+%2+-M1#2+ D (1,8%44 % +2>&(-%6

E6 4+5+6 '+.+$ +$ (5%-'%$ %2+-M1#2+$ $+:&%1 ($ 2+-$%7PC-2#($

.% /1( ,+4@'#2( &%$'&#'#?(9

$ (&5/1%-'+$ 2+-'&A&#+$ R$ #.B#($ ,&%?#(1%-'% %Q,+$'($

.% %&-(-V% %' (4 D 6 % JE $*+ .%$'(2(.+$ ( $%5/#&6 +-.%

%22>%''# %' (4 D % JE % /,+& %' (4 D % HE (,&%$%-'(1

% &%8('%1 (45/1($ 2&@'#2($ R$ $/($ #.B#($9 %22>%''# :+# 1%18&+ .+

./&(-'% + ,%&@+.+ .% (5+$'+ .% \ ('B O/->+ .% %

2+1+ 1%18&+6 &%2%8#( (-'%$ .% 2(.( &%/-#*+ + 6 + 4#?&+

7/% 2+-'C1 ($ %Q,%2'('#?($ %2+-M1#2($ :%#'($ ,%4( %7/#,% .+ 9

/&(-'% + ,%&@+.+ %1 7/% &%2%8#( %$'($ ,&%?#$F%$6 + (/'+&

%$'&(->(?( /1( %1 %$,%2#(46 ( .% 7/% + 1%&2(.+ (2#+-A&#+ :+$$%

2(#& .% ^ ( ^9

%22>%''# D JE &%$$(4'( ( #1,+&'S-2#( .( ,&%?#$*+ .+

2+1,+&'(1%-'+ .+$ ,&%)+$ .+$ ('#?+$ :#-(-2%#&+$ -( %2+-+1#(6 2+1

.%$'(7/% ,(&( ( 8+4$(6 /1( ?%N 7/% + 2+1,+&'(1%-'+ :/'/&+ .+

2+-$/1+ .%,%-.% .( &#7/%N(6 % ()F%$ 2+&&%$,+-.%1 ( /1( ,(&2%4(

$#5-#:#2('#?( .( &#7/%N(9 %1 /1( %Q,%2'('#?( .% 2+-$/1+6 -*+

2+-$%5/#1+$ ,&%?%& + 6 ( %Q,%2'('#?( .% #-:4()*+ .%,%-.% .+

>#('+ .+ ,&+./'+ % %$'( .%,%-.% .( ,&%?#$*+ .+ 9 (/'+& &%4('(

7/% ./&(-'% + 8++1 .+ 1%&2(.+ -+$ (-+$ 6 + '+1+/

.%2#$F%$ 2+1 8($% %1 /1( %Q,%2'('#?( .% 7/%.( .+ 1%&2(.+

(2#+-A&#+ % '+.($ ($ $/($ 2+-$%7PC-2#($ -($ +/'&($ ?(&#A?%#$9

%22>%''# D JE 2#'( (45/-$ ,&+84%1($ .% 8+4>($ -+

1%&2(.+ (2#+-A&#+ + %:%#'+ &#7/%N( %Q,(-.% + 2+-$/1+ % .%,+#$

2+4(,$(T (4'($ -+ 1%&2(.+ (2#+-A&#+ :(2#4#'(1 %1,&%$($ ( :#-(-2#(&%1

(14)

%1,&B$'#1+$ $*+ $/,%&%$'#1(.($ % 7/(-.+ +$ ,&%)+$ 2(%16 +$

8(4(-)+$ .($ %1,&%$($ #-'%&1%.#(.+&($ $*+ (:%'(.+$9 $ :#-(-)($

5+?%&-(1%-'(#$ '(18B1 $*+ (:%'(.($6 /1( ?%N 7/%6 7/(-.+ +

1%&2(.+ (2#+-A&#+ $+8%6 ( &%2%#'( ,&+?%-#%-'% .% 5(->+$ .% 2(,#'(4

'(18B1 (/1%-'(6 (/1%-'(-.+ ($$#1 ( (&&%2(.()*+ .+ 5+?%&-+6 7/%

&%./N%1 #1,+$'+$ % 5($'(1 1(#$9 +1 + %$'+/&+ .( 8+4>(6 ( &%2%#'(

2(# % + 5+?%&-+ ,&%2#$( $% %-.#?#.(& 1(#$9 (/'+& &%$$(4'( 7/% ($

8+4>($ (/1%-'(1 ( ?+4('#4#.(.% .+ 6 .( #-:4()*+ % (1%()( (

%$'(8#4#.(.% .+ $#$'%1( :#-(-2%#&+ 2+1+ /1 '+.+9

%$$% %$'/.+6 + (/'+& (,+-'( (45/-$ (&5/1%-'+$

2+-'&A&#+$ (+$ $%/$6 2+1+ %1 #$>V#- % Y>#'% D E % 2>X(&'N

D E6 7/% &%8('%1 $/5%&#-.+ 7/% 8+4>($ .% ,&%)+$ .+$ ('#?+$

:#-(-2%#&+$ $0 .%?%1 $%& 1+'#?+ .% ,&%+2/,()*+ 7/(-.+ (:%'(1 (

%$'(8#4#.(.% .+ $#$'%1( :#-(-2%#&+9 %22>%''# D JE .#$2+&.( %

.%:%-.% ( ,&+,+$'( .% 7/% O/&+$ .%?(1 &%(5#& R$ 8+4>($6 /1( ?%N

7/% + 2+18('% R$ 8+4>($ %$'A 2+-.#N%-'% 2+1 +$ +8O%'#?+$ .+

$#$'%1( .% 1%'($ .% #-:4()*+ +/ 7/(47/%& +/'&+ $#$'%1( 7/% '%->(

2+1+ +8O%'#?+$6 /1( 2+18#-()*+ .% %$'(8#4#.(.% .% ,&%)+$ (4#(.( (+

2&%$2#1%-'+ $/$'%-'A?%4 .+ 9 (/'+& (:#&1( 7/% + (-2+ %-'&(4

.%?% &%(5#& ,(&( %?#'(& 7/% ( 2&#$% 2+-'(1#-% + $#$'%1( :#-(-2%#&+ %

-*+ %$,%&(& ( 2+-'(1#-()*+ ,(&( &%(5#&9

/'&+$ ,+-'+$ .% ?#$'( 2+-'&A&#+$ (+$ .+ (/'+& $*+

.%'(4>(.+$ ( $%5/#&9 +&#+ % +X% D E (&5/1%-'(1 7/% %Q#$'%

/1( .#:#2/4.(.% .( (/'+&#.(.% 1+-%'A&#( %1 #.%-'#:#2(& .%$%7/#4@8&#+$

.% :+&1( &A,#.( % %:#2(N6 &%$$(4'(-.+ '(18B1 + &#$2+ % ( #-2%&'%N( .%

2+1+ '(4 ,+4@'#2( #&A (:%'(& + ,&+84%1( %:%'#?+ % ($ .%1(#$ ?(&#A?%#$

%2+-M1#2($ % ,+& 34'#1+6 ( .#:#2/4.(.% .% O/$'#:#2(& '(4 ()*+ ,(&( +$

(5%-'%$ %2+-M1#2+$9

%22>%''# D JE &%8('% (:#&1(-.+ 7/% + :('+ .% %Q#$'#&

.#:#2/4.(.% %1 #.%-'#:#2(& +$ .%$%7/#4@8&#+$6 -*+ O/$'#:#2( ( (/'+&#.(.%

(15)

1%-$/&(.+E9 +-'&( (&5/1%-'+$ /$(.+$ $% 8($%#(1 -( '%+&#( .% 7/%

1%&2(.+$ %:#2#%-'%$ #-2+&,+&(1 '+.($ ($ #-:+&1()F%$ .#$,+-@?%#$ %

#$$+ %4#1#-(&#( ($ 8+4>($9 ($ + (/'+& &%8('% 7/% '(4 '%+&#( 8($%#( $%

%1 (&8#'&(5%1 % 7/% 7/(-.+ #$$+ :(4>(6 ( %:#2#C-2#( .+ 1%&2(.+

'(18B1 B 7/%$'#+-(.(9

%22>%''# D JE &%8('% + $%5/-.+ (&5/1%-'+

2+-2+&.(-.+ $+8&% ($ #-2%&'%N($ .+$ #1,(2'+$ -+ 2/&'+ ,&(N+6 1($

&%$$(4'( 7/% B 1%4>+& &%(5#& .+ 7/% :#2(& '%1%&+$+ 7/(-'+ (+$

#1,(2'+$9

]/(-'+ (+ '%&2%#&+ (&5/1%-'+6 + (/'+& (:#&1( 7/% $%1,&%

B .#:@2#4 %Q,4#2(& (/1%-'+$ .% O/&+$6 1($ ( O/$'#:#2('#?( B .% 7/%

(O/$'%$ .% ,+4@'#2( $*+ -%2%$$A&#+$ ,(&( %$'(8#4#N(& ,&%)+$ %

2&%$2#1%-'+ ( 1B.#+ ,&(N+6 '(18B1 :/-2#+-( %1 2($+$ .% 8+4>($9

%22>%''# D JE (#-.( (&5/1%-'( 7/% B 2&%$2%-'% +

-31%&+ .% ,%$$+($ 7/% .*+ $/,+&'% R '%+&#( .% 7/% +$ ,&%)+$ .%

('#?+$ 'C1 %$,()+ -( &%5&( .% ,+4@'#2( 1+-%'A&#(9 /,+& D E

2+-$'&0# /1 1+.%4+ -+ 7/(4 %1,&%$($ #-?%$'%1 .%1($#(.(1%-'% %1

2(,#'(4 :@$#2+6 7/(-.+ $/($ ()F%$ $% '+&-(1 1/#'+ %4%?(.($9

,+4@'#2( 1+-%'A&#( 0'#1( -+ 1+.%4+ .%:%-.#.+ ,+& /,+& B ( .%

(/1%-'(& ( '(Q( .% O/&+$ ,(&( .#1#-/#& + %1,&%5+6 &%./N#-.+ ($$#1 (

,&+./'#?#.(.% 1(&5#-(4 .+ 2(,#'(4 7/%6 ,+& $/( ?%N6 .#1#-/#/ +$

,&%)+$9 #42>&#$' % %(>G D E 2>%5(1 ( /1( 2+-24/$*+ $#1#4(&6

7/(-.+ 2+-$#.%&(1 +$ %:%#'+$ .% /1 2>+7/% -( 2(,(2#.(.% .% '+1(&

2&B.#'+ .% /1 #-?%$'#.+&9 1 $%/ 1+.%4+6 7/(-.+ (

2(,(2#.(.%=7/(4#.(.% .% '+1(& 2&B.#'+ .+ #-?%$'#.+& (/1%-'(6 2(# +

,&C1#+ .% &#$2+ .+$ %1,&B$'#1+$6 (/1%-'(-.+ ($$#16 +$

#-?%$'#1%-'+$9 -'&%'(-'+6 '(#$ #-?%$'#1%-'+$ %$'*+ 8($%(.+$ %1 /1(

%2+-+1#( Z#-:4(.([ ,%4( 8+4>( -+$ ('#?+$ :#-(-2%#&+$ % &%$/4'( %1 /1(

.%'%&#+&#N()*+ .( 7/(4#.(.% .+$ %1,&B$'#1+$6 ,#+&(-.+ +$

(16)

.%?% %4%?(& +$ O/&+$ ,(&( &%./N#& ( .#$'+&)*+ 2&#(.( % %$'(8#4#N(& (

%2+-+1#( ( 4+-5+ ,&(N+9

%22>%''# &%2+->%2% 7/% (45/-$ %$'/.+$ -*+ ?(4#.(1 (

#-24/$*+ .( ?(&#A?%4 ,&%)+ .+$ ('#?+$ -( :/-)*+ .% &%()*+ .+ (-2+

%-'&(49 &/%-6 4+18 % '+-% D JE :(N%1 /1( $B&#% .%

$#1/4()F%$ 2+1 ($ &%()F%$ .( ,+4@'#2( 1+-%'A&#( 7/(-.+ >A 5&(-.%$

% ,%7/%-($ 8+4>($ -+$ ,&%)+$ .+$ ('#?+$ :#-(-2%#&+$6 % 2>%5(1 R

2+-24/$*+ 7/% $%&A 1%4>+&6 ,(&( +$ (5%-'%$ %2+-M1#2+$6 $% (

,+4@'#2( 1+-%'A&#( -*+ 1/.(& %1 B,+2($ .% 8+4>($9 /,+& % +-4%G

D HE '(18B1 -*+ 2+-$%5/%1 (:#&1(& 2+1 2%&'%N( $% ,+.%1+$

#-24/#& '(4 ?(&#A?%4 -( :/-)*+ .% &%()*+6 2+-:+&1% %$'/.+ 7/%

.#$2/'#.+ ( $%5/#&9

A +/'&+$ %$'/.+$ #-.#2(-.+ 7/% (45/-$ 1+?#1%-'+$ -+

1%&2(.+ (2#+-A&#+ $/&5%1 2+1+ 2+-$%7PC-2#( .% :('+&%$ -*+

:/-.(1%-'(.+$6 2+1+ 8+4>($ +/ %Q,%2'('#?($ #&&(2#+-(#$9 (#$

1+?#1%-'+$ ,+.%1 '%& #1,(2'+ -( %2+-+1#( &%(46 /1( ?%N 7/% +

%:%#'+ &#7/%N( %$'#1/4( + 2+-$/1+9 ($+ #$$+ &%(41%-'% +2+&&(6

/,+& % +-4%G D HE .%:%-.%1 ( #.B#( .% 7/% 2(8%&A (+ (-2+

%-'&(4 &%(5#& (/1%-'(-.+ ( '(Q( .% O/&+$ ( :#1 .% -%/'&(4#N(& +$

%:%#'+$ .% /1( (4'( -*+ :/-.(1%-'(.( -( +4$(9

$ (/'+&%$ %$'/.(1 /1 2($+ %$,%2@:#2+ 2+1+ ( ,+4@'#2(

1+-%'A&#( .+ J&%(5% R$ ?(&#()F%$ .+ 1%&2(.+ (2#+-A&#+ $+8 (4'(

?%&$/$ 8(#Q( #-:4()*+6 % '%$'(1 .+#$ ,&%$$/,+$'+$ 2+1/-$9

,&#1%#&+ &%$$(4'( 7/% + (/1%-'( ( '(Q( &%(4 .% 2/&'+ ,&(N+ %1

&%$,+$'( R #-:4()*+ D >(&+- W+N#2V#6 E % + $%5/-.+6 7/% -*+

1/.( ( ,+4@'#2( 1+-%'A&#( %1 :/-)*+ .% 1+?#1%-'+$ %1 ,&%)+$ .%

()F%$9

; %.%&(4 %$%&?% %,(&'1%-' K + (-2+ %-'&(4 +&'% 1%&#2(-+6 &%$,+-$A?%4 ,%4( :+&1/4()*+ % %Q%2/)*+ .% ,+4@'#2( 1+-%'A&#(9 4B1 .#$$+6 + (5% 2+1+ &%5/4(.+& % $/,%&?#$+& .+ $#$'%1( 8(-2A&#+6 $%&?% 2+1+ Z8(-2+[ .+ +?%&-+ % + ($$%$$+&( %1 +,%&()F%$ :#-(-2%#&($9 '(Q( .% O/&+$ .+

(17)

,(&'#& .(@6 %1 2+-'&($'% 2+1 +$ %$'/.+$ %Q#$'%-'%$6

/,+& % +-4%G D HE .%2#.#&(1 %$'#1(& +$ ,&%$$/,+$'+$ %1 .+#$

$/8,%&@+.+$ .% (4'( #-:4()*+ D \ H E %6 .% 8(#Q( #-:4()*+

D HE9 (&( + $/8 ,%&@+.+ .% (4'( #-:4()*+6 +$

,&%$$/,+$'+$ .%$2&#'+$ (2#1( $%&*+ ?A4#.+$9 A -+ $/8 ,%&@+.+ .%

8(#Q( #-:4()*+6 :+# 2+-$'('(.+ 7/% -*+ ,+.%1+$ (:#&1(& 7/% +

-*+ 1/.( ( ,+4@'#2( 1+-%'A&#( %1 :/-)*+ .% 1/.(-)($ -+$ ,&%)+$

.($ ()F%$9

&%5&( .% ,+4@'#2( 1+-%'A&#( /$(.( B ( (8+&.(5%1 .%

(G4+& D JE % 4(&#.( %' (4 D IT E6 2+-:+&1% .%$2&#'( (8(#Q+

+ +

+ − +

ρ θ α π + β +

+-.%

B ( 1B.#( .#A&#( .( '(Q( .+$ 6

π B ( '(Q( .% 2&%$2#1%-'+ .+$ 7/('&+ '&#1%$'&%$ .+ .%:4('+& .+

%6

B + .%$?#+ ,%&2%-'/(4 .+ &%(4 %1 &%4()*+ R '%-.C-2#( .% 9

,(&'#& .(@6 ('&(?B$ .+$ &%$/4'(.+$ .( %$'#1('#?( :%#'( ,%4+

6 /,+& % +-4%G D HE ,%&2%8%1 7/% (+ /'#4#N(& '+.( ( 8($%

.% .(.+$ ,(&( ( ,+4@'#2( 1+-%'A&#(6 %$$( ,($$( ( $%& ('#?( 2+1

&%4()*+ R #-:4()*+T (4B1 .#$$+6 >A ,&%$%-)( .( ('%-/()*+9 +

,%&@+.+ .% (4'( #-:4()*+6 (,%$(& .% +8'%& &%$/4'(.+$ $#1#4(&%$6 (

,+4@'#2( ,+.%&A ,%&.%& ( ,&%2#$*+ % ( ('%-/()*+ ,+.%&A $%& 1(#+&9 (4

&%$/4'(.+ B #-'/#'#?+6 /1( ?%N 7/% + (-2+ %-'&(4 $%&A 1(#$ %-:A'#2+

-+ 2+18('% R #-:4()*+ -+ ,%&@+.+ .% (4'( #-:4()*+6 -*+ >(?%-.+

,&%$$( .% $/( ,(&'% ,(&( 8(#Q(& +$ O/&+$ -+?(1%-'%9

-'&%'(-'+6 2+-$#.%&(-.+ $% + ,%&@+.+ .% 8(#Q( #-:4()*+6

(18)

?%N 7/% +$ .%$?#+$ ,+.%&*+ $%& $#5-#:#2('#?+$9 3-#2( ,&%1#$$(6 -+

%-'(-'+6 %$'('#$'#2(1%-'% 2+1,&+?(.(6 B ( .( ,+4@'#2( 2+-'#-/(&

$%-.+ 1#'#5(.(9

%$$% 2+-'%Q'+6 + $%-$+ 2+1/1 .%?%&A '%& 2+1+

,&%$$/,+$'+ 7/% ( ,+4@'#2( 1+-%'A&#( :+# ('#?( %1 '+.( 8($% .% .(.+$

/$(.(6 1%$1+ -*+ '%-.+ $#.+ 2+-:#&1(.+ ,%4+$ &%$/4'(.+$9

%$1+ %Q#$'#-.+ %$'/.+$ 2(,(N%$ .% 2+1,&+?(& 7/% (

,+4@'#2( 1+-%'A&#( -*+ &%$,+-.% R$ 1/.(-)($ -+$ ,&%)+$ .% ()F%$6

/,+& % +-4%G D HE ,&+?(1 7/% %$$( ,&%1#$$( ,+.%&#( $+:&%&

#-:4/C-2#( .( %$2+4>( .( 8($% .% .(.+$6 OA 7/% %1 ,%&@+.+$ .% (4'(

#-:4()*+ ( ,+4@'#2( 1+-%'A&#( '%-.% ( $%& .#&%2#+-(.( (+ $%/ 2+18('%6

.#:%&%-'% .+ ,%&@+.+ .% 8(#Q( #-:4()*+9 (&( #$$+6 :+# %$'#1(.( /1(

:/-)*+ .% &%()*+ #-24/#-.+ /1( ?(&#A?%4 -+?(6 /1( 1%.#.( .%

,&%)+$ .($ ()F%$6 2+1+ .%$2&#'+ ( $%5/#&

+ + +

+ − +

ρ θ α π + β + γ

+-.%

B ( '(Q( .% 2&%$2#1%-'+ .% .+#$ (-+$ .+ @-.#2% _ ! H &%4('#?+

(+$ 4/2&+$ 2+&,+&('#?+$ .%,+#$ .+$ #1,+$'+$9

+1 &%4()*+ (+$ .(.+$ $+8&% ,&%)+$ .% ()F%$6 :+#

/'#4#N(.( /1( 1%.#.( 7/% &%:4%'% /1( '%-.C-2#( % ,(&( #$$+ +$

(/'+&%$ /'#4#N(&(1 ( '(Q( .% 2&%$2#1%-'+ .% .+#$ (-+$ .+ @-.#2% %1

7/%$'*+6 /1( ?%N 7/% B 1(#$ ,4(/$@?%4 7/% + &%(O( ( ?(&#()F%$

.% 1B.#+ % 4+-5+ ,&(N+6 (+ #-?B$ .% 1/.(-)($ ( 2/&'+ ,&(N+9

(19)

+1 8($% -+$ &%$/4'(.+$ (,&%$%-'(.+$6 + 2+%:#2#%-'%

+8$%&?(.+ .( ?(&#A?%4 .% +4$( B 6 ! 2+1 /1 .%$?#+ ,(.&*+ .%

6 9 +5+6 %?#.%-2#( /1 (/1%-'+ .% HH .( '(Q( .%

O/&+$6 %1 &%$,+$'( ( /1 (/1%-'+ .% /1 .%$?#+ ,(.&*+ .%$'(

?(&#A?%49 $ 2+%:#2#%-'%$ .% #-:4()*+ % .+ ,&+./'+ -*+ (,&%$%-'(&(1

&%4%?S-2#( %$'('@$'#2(9

.%1(#$6 ( #-24/$*+ .( '(Q( .% 2&%$2#1%-'+ .% .+#$ (-+$

.( ?(&#A?%4 -( %$'#1('#?(6 &%$/4'( %1 /1( 7/%.( (8&/,'( -+

2+%:#2#%-'% .+ >#('+ .+ ,&+./'+6 $%-.+ 7/% /1( ,+$$@?%4 %Q,4#2()*+

&%$#.#&#( -+ :('+ .% 7/% ( ?(&#A?%4 .( +4$( ,+.% $%& (4'(1%-'%

2+&&%4(2#+-(.( 2+1 + ,&+./'+ %$,%&(.+9 %$$% 2($+6 '+&-(& $% #(

.#:@2#4 .#$'#-5/#& $% + (-2+ %-'&(4 &%$,+-.% R$ ?(&#()F%$ -+$ ,&%)+$

.($ ()F%$ +/ R$ ?(&#()F%$ -+ ,&+./'+9 % 7/(47/%& :+&1(6 .(.( %$$(

,+$$#8#4#.(.%6 +$ (/'+&%$ %$'#1(1 -+?(1%-'% /$(-.+ β = 6

,&#1%#&+ ?(4+& ,&+,+$'+ ,+& (G4+& D JE9 (4 &%$'&#)*+ &%$/4'(&A %1

/1( ,%7/%-( &%./)*+ -+ 2+%:#2#%-'% .( ?(&#A?%4 .( +4$(6 7/%

2+-'#-/(&A ,+$#'#?+6 ,+&B1 $%/ , ?(4+& (/1%-'(&A ,(&( 6 !I9

,%$(& .% +$ &%$/4'(.+$ $%&%1 $/5%$'#?+$6 +$ (/'+&%$ -*+

.%&(1 1/#'( 2&%.#8#4#.(.% ( #$$+6 ,+#$ (45/-$ %$'/.+$ (:#&1(1 2+1

(45/1( ,&%2#$*+6 7/% ( ,+4@'#2( 1+-%'A&#( &%(41%-'% ,+.% $%& ('#?(6

-( 1%.#.( %1 7/% /$(&1+$ /1( 8($% .% .(.+$ 1(#$ 4+-5(6

#-24/#-.+ + ,%&@+.+ .% +42V%& D \ I"E9 +&B16 %1 %$'/.+$ 2+1

8($% -+$ .(.+$ .+ #-@2#+ .+$ (-+$ I 6 ?%&#:#2(1+$ 7/% '(4 ,&%2#$*+

(2(8( $% ,%&.%-.+9

$$% ,&+84%1( ,+.% $%& +8$%&?(.+ %1 4(&#.( D IT

E6 ,+#$ (+ '&('(& + ,%&@+.+ .% \ ( "6 (,%$(& .% $%&

,+$$@?%4 +8'%&1+$ /1( ,+4@'#2( ('#?( -+ 2+18('% R #-:4()*+6 7/(-.+ (

(1+$'&( 2+1%)( (45/-$ (-+$ .%,+#$6 %1 IJ6 B #1,+$$@?%4

&%O%#'(&1+$ ( >#,0'%$% .% 7/% + (-2+ %-'&(4 B ,($$#?+ R #-:4()*+9

(20)

%22>%''# % # D JE &%(4#N(&(1 /1 %$'/.+ $%1%4>(-'%6

#-24/#-.+ ./($ -+?($ ?(&#A?%#$ R &%5&( .% ,+4@'#2( 1+-%'A&#( ,&+,+$'(

,+& 4(&#.(6 (4@ % %&'4%& D I % ET /1( 7/% 1%.% ( ,&%$%-)(

.% 8+4>($ -+ 1%&2(.+ (2#+-A&#+ % ( +/'&( ( (4(?(-2(5%1 .+ $#$'%1(

8(-2A&#+9 ,&#1%#&( ?(&#A?%4 :+# +8'#.( ('&(?B$ .( '(Q( .% .#?#.%-.+

%Q'&(@.( .+ @-.#2% _ ! 6 $/8'&(@.( .( $+1( .( '(Q( .%

2&%$2#1%-'+ .+ .#?#.%-.+ % ( '(Q( 4#?&% .% &#$2+9 (&( $% +8'%& /1(

1%.#.( 1%-+$ ?+4A'#46 + (/'+& .%:#-% 2+1+ %Q2%$$+ .% ,&C1#+ .%

&#$2+ .($ ()F%$6 2+1+ ( .#:%&%-)( .%$'( ?(&#A?%4 .%$2&#'( (2#1( .(

$/( 1B.#( 10?%4 .% (-+$9 (4(?(-2(5%1 .+ $#$'%1( :#-(-2%#&+

:+# .%:#-#.( 2+1+ ( &(N*+ %-'&% ( '+'(4#.(.% .+$ ('#?+$ % ( '+'(4#.(.%

.+$ 2(,#'(#$9

$ &%$/4'(.+$ +8'#.+$ .*+ $/,+&'% ,(&( ( #-24/$*+ .($

./($ ?(&#A?%#$ R &%5&( .% ,+4@'#2( 1+-%'A&#(9 (&( ( ?(&#A?%4 7/%

1%.% + %Q2%$$+ .% ,&C1#+ .% &#$2+ .($ ()F%$6 + (/'+& %-2+-'&+/

2+%:#2#%-'%$ 7/% ?(&#(1 .% 6!J ('B 6"!6 .%,%-.%-.+ .% 7/(4

@-.#2% .% #-:4()*+ B /'#4#N(.+ D +/ E9 A ,(&( ( ?(&#A?%4 7/%

1%.% + 5&(/ .% (4(?(-2(5%1 .+ $#$'%1( 8(-2A&#+6 + (/'+& %-2+-'&+/

2+%:#2#%-'%$ %-'&% 6 " % 6 \9 +.($ ($ ?(&#A?%#$ $*+ 2+-$#.%&(.($

&%4%?(-'%$9

#$>V#- % Y>#'% D E (:#&1(1 7/% + :+2+ .( ,+4@'#2(

1+-%'A&#( -*+ .%?% $%& + ,&%)+ .% ('#?+$6 % $#1 ( %$'(8#4#.(.% .+

$#$'%1( :#-(-2%#&+9 $'/.#+$+$ $+8&% + '%1( &%$$(4'(1 7/% /1(

,&%+2/,()*+ #1,+&'(-'%6 ,(&( (7/%4%$ 7/% :(N%1 ( %$'&/'/&( .%

&%5/4()*+6 B ( 7/% ($ 4%#$ :%#'($ ,+& %4%$ -*+ (:%'(1 ($ :4/'/()F%$

:#-(-2%#&($ .+ 2+'#.#(-+9

+&#+6 /&:#-% % +X% D E % 2>X(&'N D E 2+-2+&.(1

7/% ,+4@'#2($ (-'#2@24#2($ .% 2+1,/4$0&#+ :/-2#+-(1 8%1 ,(&(

1#-#1#N(& +$ %:%#'+$ .% 8+4>( -+$ ,&%)+$ .+$ ('#?+$ :#-(-2%#&+$9 $

(21)

%-7/(-'+ 2>X(&'N $/5%&% + (/1%-'+ .($ 5(&(-'#($ .+$

%1,&B$'#1+$9

(&.+/?%4#$ % >%+.+$$#+/ D E (8+&.(1 + '%1( 2+1

/1( ,&+,+$'( $#1#4(& ( .% 2>X(&'N9 4%$ (:#&1(1 7/% ($

(/'+&#.(.%$ .%?%1 :+2(& (,%-($ %1 (45/-$ '+1(.+&%$ .%

%1,&B$'#1+6 R7/%4%$ 7/% /$(1 + .#->%#&+ ,(&( 2+1,&(& ()F%$T

(/1%-'(-.+6 ($$#16 ($ 1(&5%-$ -%2%$$A&#($ .%$'% '#,+ .%

%1,&B$'#1+6 7/(-.+ + 1%&2(.+ (2#+-A&#+ $+8%9

$$% 2(,@'/4+ :+# .%.#2(.+ (+ %$'/.+ $+8&% ( #-24/$*+ .(

?(&#A?%4 ,&%)+ .% ('#?+$ :#-(-2%#&+$ -( ,+4@'#2( 1+-%'A&#(6 2+1

%Q%1,4+$ $+8&% ( &%4()*+ .( ,+4@'#2( 1+-%'A&#( % +$ ,&%)+$ .%

()F%$9 7/% ,+.%1+$ 2+-24/#&6 B 7/% '(4 .#$2/$$*+ %$'A 4+-5% .%

'%&1#-(& % 7/% 1/#'+$ %$'/.+$ (#-.( ?#&*+9 ( $%5/-.( ,(&'% .%$$%

'&(8(4>+6 $%&A '%$'(.( ( >#,0'%$% ,&+,+$'( ,+& /,+& % +-4%G D HE

,(&( + 2($+ 8&($#4%#&+6 +-.% $%&A #-24/@.( /1( ?(&#A?%4 .% ,&%)+ .%

(22)

J9

$'% 2(,@'/4+ $%&A .%$'#-(.+ R '%$'(& ( >#,0'%$% .(

#-24/$*+ .% /1( ?(&#A?%4 .( +4$( -( :/-)*+ .% &%()*+ .+ (-2+

%-'&(4 ,(&( + 2($+ 8&($#4%#&+9 +1 %$$% ,&+,0$#'+6 $%&A /$(.( 2+1+

8($% ,(&( + %$'/.+6 ( :/-)*+ .% &%()*+ %$'#1(.( ,+& +(&%$ %

(&8+$( D "E9 1 '(4 %$'/.+6 +$ (/'+&%$ :(N%1 /1( (-A4#$% .+

$#$'%1( .% 1%'($ .% #-:4()*+ -+$ ,(@$%$ .%$%-?+4?#.+$ %

%1%&5%-'%$9

J9

$$#1 2+1+ /,+& % +-4%G D HE6 +$ (/'+&%$ $%

8($%(&(1 -( ?%&$*+ .( &%5&( .% (G4+&6 $%1%4>(-'%

(+ 1+.%4+ ,&+,+$'+ ,+& 4(&#.(6 (4@ % %-'4%& D IE9

(

+

)

(

+ −

)

+ + − +

(

− −

)

+ +

=

π

λ

π

π

λ

λ

λ

+-.%

B ( 1%'( .% '(Q( .% O/&+$ -+1#-(4T

B ( '(Q( .% O/&+$ &%(4 .% %7/#4@8&#+ .% 4+-5+ ,&(N+T

π B ( 1%'( .% #-:4()*+T

+

π B ( %Q,%2'('#?( .% #-:4()*+T

B + >#('+ .+ ,&+./'+T

− B + >#('+ .+ ,&+./'+ .%:($(.+T

B ( ?(&#()*+ .( '(Q( .% 2S18#+ &%(4 .% %7/#4@8&#+T

(23)

+(&%$ % (&8+$( D "E '(18B1 8($%(&(1 $% -( .#-S1#2(

.% (O/$'(1%-'+ ,&+,+$'( ,+& /.. % /.%8/$2> D IE6 -( 7/(4 (

?(&#()*+ .( '(Q( .% O/&+$ .%,%-.% .+ .%$?#+ %-'&% ( 1%'( .% O/&+$

.%$%O(.( ,%4+ (-2+ %-'&(4 % ( '(Q( .% O/&+$ .+ ,%&@+.+ (-'%&#+&6 %

.( ?(&#()*+ .% '(Q( .% O/&+$ -+ ,%&@+.+ ,($$(.+6 2+1+ .%$2&#'+ (

$%5/#&

(

− −

)

+ −

=γ ρ

+18#-(-.+ (18($ ($ %7/()F%$6 +8'B1 $%

(

− −

)

+

(

+

)

(

+ −

)

+ + − +

(

− −

)

+ −

=α γ π γ λ π π γλ γλ γλ ρ

+-.% α = γ T = − % = 9

-'&%'(-'+6 .#:%&%-'%1%-'% .( 1(#+&#( .+$ %$'/.+$

&%(4#N(.+$ ('B (7/%4% 1+1%-'+6 +(&%$ % (&8+$( D "E

,&+,/$%&(1 /1( :/-)*+ .% &%()*+ 7/% 2+-$#.%&( '(-'+ ( '(Q( .%

O/&+$ &%(4 .% %7/#4@8&#+ .% 4+-5+ ,&(N+ 7/(-'+ R 1%'( .% #-:4()*+

?(&#A?%#$ -+ '%1,+9

$ 2&#'B&#+$ /'#4#N(.+$ ,%4+$ (/'+&%$ ,(&( $%4%2#+-(& +

1%4>+& 1+.%4+ :+&(1 $#5-#:#2S-2#( %$'('@$'#2( .+$ ,(&S1%'&+$

%$'#1(.+$6 ( 1(5-#'/.% .+$ ,(&S1%'&+$6 ( 2+%&C-2#( .+$ $#-(#$ .+$

,(&S1%'&+$6 .% (2+&.+ 2+1 ( '%+&#( %2+-M1#2(6 ( #-%Q#$'C-2#( .%

2+&&%4()*+ .% &%$@./+$ -( &%5&%$$*+6 + (4'+ 2+%:#2#%-'% .%

.%'%&1#-()*+ % ( %$'(2#+-(&#%.(.% .($ $B&#%$ '%1,+&(#$

&%,&%$%-'('#?($ .($ ?(&#A?%#$ .+$ 1+.%4+$9

$ ,&#1%#&+$ '%$'%$ :%#'+$ ,%4+$ (/'+&%$ 8($%(&(1 $% -(

>#,0'%$% .% 7/% + (-2+ %-'&(4 .+ &($#4 (O/$'(&#( ( '(Q( .% O/&+$

-+1#-(4 .% 2/&'+ ,&(N+ 2+1 8($% -($ $%5/#-'%$ ?(&#A?%#$ '(Q( .%

O/&+$ -+1#-(4 .%:($(.(6 1%'( .% #-:4()*+6 .%$?#+ %-'&% ( %Q,%2'('#?(

(24)

2+&&%-'% % .%:($(.+6 ?(&#()*+ .( '(Q( .% 2(18#+ &%(4 2+&&%-'% %

.%:($(.( % ( ,&#1%#&( .#:%&%-)( .( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+

,&(N+ .%:($(.(9 (4 1+.%4+ ,+.% $%& .%$2&#'+ 2+1+

(

− −

)

+

(

+ −

)

+ + − +

(

− −

)

+ −

+

=α α π α π π α α α α

+-.%

B ( ,&#1%#&( .#:%&%-)( .( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+T

− B ( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+ .%:($(.(T

π

B ( 1%'( .% #-:4()*+T

+

π B ( %Q,%2'('#?( .% #-:4()*+T

B + >#('+ .+ ,&+./'+T

B + >#('+ .+ ,&+./'+ .%:($(.+T

B ( ,&#1%#&( .#:%&%-)( .+ 4+5(&#'1+ .( '(Q( &%(4 .% 2(18#+T

B ( ,&#1%#&( .#:%&%-)( .+ 4+5(&#'1+ .( '(Q( &%(4 .% 2(18#+

.%:($(.( %

B ( ,&#1%#&( .#:%&%-)( .( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+

.%:($(.(9

,0$ /1( $B&#% .% $#1/4()F%$6 ($ %?#.C-2#($ %1,@&#2($

4%?(&(1 +$ (/'+&%$ ( %$2+4>%&%1 ( %$'#1('#?( 1(#$ 2+-$#$'%-'%6 -(

7/(4 ( ?(&#A?%4 >#('+ .+ ,&+./'+ .%:($(.+ -*+ $% 1+$'&+/ &%4%?(-'%9

$$#16 2+1+ -+ %$'/.+ :%#'+ ,+& /,+& % +-4%G D HE6 %$'%

'&(8(4>+ ,&+,F% '%$'(& $% ( #-24/$*+ .% /1( ?(&#A?%4 .% ,&%)+$ .%

('#?+$ :#-(-2%#&+$6 %$,%2#:#2(1%-'% ,&%)+$ .% ()F%$6 -( :/-)*+ .%

&%()*+6 .%$2&#'( (2#1(6 $%&A %$'('#$'#2(1%-'% (,&+?(.(9 ?(&#A?%4

%$2+4>#.( ,+& /,+& % +-4%G D HE :+# R '(Q( .% 2&%$2#1%-'+ .%

(25)

.+$ #1,+$'+$9 ?(&#A?%4 ,&+,+$'( -%$$% '&(8(4>+ $%&A + @-.#2% 7/%

1%.% ( &%4()*+ %-'&% + ,&%)+ .+ @-.#2% +?%$,(! % + 4/2&+

,+-.%&(.+ .($ %1,&%$($ 7/% + 2+1,F%16 2>(1(.+ .% ,&%)+ $+8&%

4/2&+ D = E9 #-'%-)*+ .%$$( ?(&#A?%4 B .% 2(,'(& ?(&#()F%$ -*+

:/-.(1%-'(.($ -+$ ,&%)+$ .($ ()F%$6 OA 7/% '(4 @-.#2% #&A $/8#&

7/(-.+ ( ?(4+&#N()*+ .+ 8+?%$,( -*+ :+& (2+1,(->(.( ,%4(

1%4>+&( .+ 4/2&+ .($ %1,&%$($ 7/% + 2+1,F%19 %&*+ &%(4#N(.($

%$'#1('#?($ 2+1 8($% -+$ .%$?#+$ .( $B&#% = 2+1 &%4()*+ ( $/($

1B.#($ 10?%#$ .% % ! .#($ % .+ .%$?#+ .($ 1B.#($ 2#'(.($

(2#1(9 /1 ,&#1%#&+ 1+1%-'+6 $%&A (,%-($ #-24/@.( ( -+?( ?(&#A?%4

-+ 1+.%4+ ,&+,+$'+ ,+& +(&%$ % (&8+$( D "E6 ,(&( %1 $%5/#.(

$/8$'#'/#& + >#('+ .+ ,&+./'+ ,%4( &(N*+ = 9

J9J L

'(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+ B ( $B&#% >#$'0&#2(

1%-$(4 .( '(Q( "6 %-2+-'&(.( -+ $#'% .+ (-2+ %-'&(4 .+

&($#4 % %$'A %Q,&%$$( %1 '(Q( ,%&2%-'/(4 2+1 8($% (-/(49

$B&#% .% .(.+$ 1%-$(#$ ,(&( ( 1%'( .% #-:4()*+ :+# +8'#.(

O/-'+ (+ $#'% .+ (-2+ %-'&(4 .+ &($#46 ('&(?B$ .% 2+-$/4'($ R$

&%$+4/)F%$ " !6 \HH6 IH 6 \ 6 J I % J 9 $$( ?(&#A?%4 B

2+-$#.%&(.( %1 '(Q( ,%&2%-'/(4 2+1 8($% (-/(49

@-.#2% .% ,&%)+$ %$2+4>#.+ ,%4+ +-$%4>+ +-%'A&#+

(2#+-(4 ,(&( (-2+&(& + $#$'%1( .% 1%'($ .% #-:4()*+ -+ &($#4 :+# +

\

9 -'&%'(-'+6 + 1+.%4+ ,&+,+$'+ /'#4#N( ( %Q,%2'('#?( .% #-:4()*+

`-.#2% +?%$,( B + 1(#$ #1,+&'(-'% #-.#2(.+& .+ .%$%1,%->+ 1B.#+ .($ 2+'()F%$ .+ 1%&2(.+ .% ()F%$ 8&($#4%#&+9 /( &%4%?S-2#( (.?B1 .+ :('+ .+ 8+?%$,( &%'&('(& + 2+1,+&'(1%-'+ .+$ ,&#-2#,(#$ ,(,B#$ -%5+2#(.+$ -( % '(18B1 .% $/( '&(.#)*+6 ,+#$ + @-.#2% 1(-'%?% ( #-'%5&#.(.% .% $/( $B&#% >#$'0&#2( % -*+ $+:&%/ 1+.#:#2()F%$ 1%'+.+405#2($ .%$.% $/( #1,4%1%-'()*+ %1 "I9 (&( 1(#+&%$ #-:+&1()F%$ XXX98+?%$,(92+198&

" #54( .% #$'%1( $,%2#(4 .% #7/#.()*+ .% #7/#.()*+ % /$'+.#(9 K /1 $#$'%1(

2+1,/'(.+&#N(.+ .+ (-2+ %-'&(4 6 (+ 7/(4 (,%-($ ($ #-$'#'/#)F%$ :#-(-2%#&($ 2&%.%-2#(.($ 'C1 (2%$$+9 %4#2 2(42/4( /1( 1B.#( .% O/&+$ 7/% + 5+?%&-+ ,(5( (+$ 8(-2+$ 7/% 4>% %1,&%$'(1 .#->%#&+9 $$( 1B.#(6 2>(1(.( .% (Q( ?%& %4#26 $%&?% .% &%:%&C-2#( ,(&( '+.($ ($ +/'&($ '(Q($ .% O/&+$ .+ ,(@$9 (Q( ?%& %4#2 B '(18B1 2>(1(.( .% O/&+ 8A$#2+9

(26)

% -*+ .+ @-.#2% .% #-:4()*+6 % ( 1%'+.+4+5#( .% 2A42/4+ /'#4#N(.( ,(&(

( +8'%-)*+ .+ .%$?#+ %-'&% ( %Q,%2'('#?( .% #-:4()*+ % ( 1%'( :+#

,&+,+$'( ,+& #-%44( %' (49 D EI9 ,%$(& .+ $#$'%1( .% 1%'($ .%

#-:4()*+ .%:#-#& ( 1%'( .% #-:4()*+ ,(&( + (-+ 2+&&%-'% % $/8$%7P%-'%6

B -%2%$$A&#( /1( 3-#2( 1%.#.( .% .%$?#+ .( #-:4()*+ ,(&( ( $/(

1%'(9 +&'(-'+6 :+# /'#4#N(.( /1( 1B.#( 10?%4 ,+-.%&(.( .+$ .%$?#+$

%-'&% ( #-:4()*+ %$,%&(.( % ( 1%'( ,(&( +$ (-+$ ('/(4 % + $%5/#-'%6

+-.% +$ ,%$+$ $*+ #-?%&$(1%-'% ,&+,+&2#+-(#$ (+ -31%&+ .% 1%$%$

.+ (-+ 2+&&%-'%6 2+1+ ,+.%1+$ +8$%&?(& ('&(?B$ .( $%5/#-'%

%Q,&%$$*+

(

)

(

)

(

)

      −       +       −       −

= π π π + π +

+-.%

B + .%$?#+ %-'&% ( %Q,%2'('#?( .% #-:4()*+ % ( $/( 1%'(T

' B + @-.#2% 2+&&%$,+-.%-'% (+ 1C$T

O B + @-.#2% 2+&&%$,+-.%-'% (+ (-+T

π

B ( %Q,%2'('#?( .+ 1C$ ' ,(&( ( #-:4()*+ .+ (-+ OT

π

B ( 1%'( .% #-:4()*+ .+ (-+ OT

+

π

B ( %Q,%2'('#?( .+ 1C$ ' ,(&( ( #-:4()*+ .+ (-+ Ob %

+

π

B ( 1%'( .% #-:4()*+ .+ (-+ Ob 9

$B&#% .% .(.+$ 1%-$(#$ %Q,&%$$( %1 '(Q( ,%&2%-'/(4 (-/(4

( %Q,%2'('#?( .% #-:4()*+ .+ 1%&2(.+ ,(&( + (-+ 2+&&%-'% % ,(&( +

(-+ $/8$%7P%-'%6 :+# +8'#.( -+ $#'% .+ (-2+ %-'&(4 .+ &($#49

I

(27)

,&+./'+ &%(4 :+# %$'#1(.+ ('&(?B$ .( $B&#% .( ,&+./)*+

#-./$'&#(4 1%-$(4 (O/$'(.( $(N+-(41%-'%9 (#$ .(.+$ :+&(1 +8'#.+$

-+ $#'% .+ 9 -'&%'(-'+6 + 1+.%4+ ,&+,+$'+ 8($%#( $% -+ >#('+

.+ ,&+./'+ ,(&( $%/$ 2A42/4+$6 .%:#-#.+ 2+1+ + .%$?#+ ,%&2%-'/(4

%-'&% + ,&+./'+ &%(4 % + ,+'%-2#(4 9 $B&#% .% ,&+./'+ ,+'%-2#(4 :+#

.%'%&1#-(.( ($$/1#-.+ $% /1( ?(&#()*+ 4#-%(& .+ ,&+./'+ &%(49

'(Q( .% 2S18#+ %$,%2#:#2(.( -+ 1+.%4+ B ( '(Q( .% 2S18#+

&%(4 %:%'#?( % :+# +8'#.( -+ $#'% .+ 9 (4 ?(&#A?%4 B 2+-$#.%&(.( -+

1+.%4+ %1 '%&1+$ ,%&2%-'/(#$ % -( :+&1( .% .%$?#+ %-'&% ( ,&#1%#&(

.#:%&%-)( .+ 4+5(&#'1+ .( '(Q( .% 2S18#+ &%(4 % ( ,&#1%#&( .#:%&%-)(

.+ 4+5(&#'1+ .( '(Q( .% 2S18#+ &%(4 .%:($(.(9

$B&#% .( ?(&#A?%4 .( +4$(6 = 6 :+# +8'#.( ( ,(&'#& .( 8($% .%

.(.+$ .( 2+-$/4'+&#( 9 $$%$ .(.+$ $*+ 1%-$(#$9

$ ?(&#A?%#$ :+&(1 .%:#-#.($ 2+-:+&1% .%$2&#)*+ (8(#Q+

!"#$ B ( ,&#1%#&( .#:%&%-)( %-'&% ( '(Q( .% O/&+$ -+1#-(4

.% 2/&'+ ,&(N+ % ( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+ .%:($(.(9

!"#$ B ( ,&#1%#&( .#:%&%-)( %-'&% ( '(Q( .% O/&+$ -+1#-(4

.% 2/&'+ ,&(N+ .%:($(.( % ( '(Q( .% O/&+$ -+1#-(4 .% 2/&'+ ,&(N+

.%:($(.( 2+1 &%4()*+ ( (-'%&#+&9

!"#$% &'() B ( ,&#1%#&( .#:%&%-)( %-'&% ( '(Q( .% O/&+$

-+1#-(4 .% 2/&'+ ,&(N+ .%:($(.( % ( 1%'( .% #-:4()*+ 2+&&%-'%9

'*+,-)B ( .%$?#+ %-'&% ( %Q,%2'('#?( .% #-:4()*+ % ( 1%'( .%

#-:4()*+9

!(,!(.),B + >#('+ .+ ,&+./'+9

%/'0-1)2.' B + .%$?#+ %-'&% ( ,&#1%#&( .#:%&%-)( .+

4+5(&#'1+ .( '(Q( .% 2(18#+ &%(4 % ( ,&#1%#&( .#:%&%-)( .+ 4+5(&#'1+

.( '(Q( .% 2(18#+ .%:($(.(9

-$'#'/'+ &($#4%#&+ .% %+5&(:#( % $'('@$'#2(9 K /1( #1,+&'(-'% %1,&%$( ,/84#2( 2&#(.( 2+1 + ,&+,0$#'+ 8A$#2+ .% (,&%$%-'(& %$'/.+$ % (2+1,(->(& ($ ?(&#()F%$ .% 2+-'($ 1(2&+%2+-M1#2($6 '(#$ 2+1+ .%$%1,&%5+6 2/$'+ .% ?#.(6 #-:4()*+6 %'29

(28)

3 B + .%$?#+ %-'&% ( &%4()*+ .% ,&%)+ $+8&% 4/2&+ .($

()F%$ 7/% 2+1,F%1 + @-.#2% .( +4$( .% (4+&%$ .% *+ (/4+ %

$/( 1B.#( 10?%4 .% .#($9

3 B + .%$?#+ %-'&% ( &%4()*+ .% ,&%)+ $+8&% 4/2&+ .($

()F%$ 7/% 2+1,F%1 + @-.#2% .( +4$( .% (4+&%$ .% *+ (/4+ %

$/( 1B.#( 10?%4 .% ! .#($9

3 B + .%$?#+ %-'&% ( 1B.#( 10?%4 .% .#($ .(

&%4()*+ .% ,&%)+ $+8&% 4/2&+ .($ ()F%$ 7/% 2+1,F%1 + @-.#2% .(

+4$( .% (4+&%$ .% *+ (/4+ % 1B.#( 10?%4 .% ! .#($9

J9H L K

+&(1 %$'#1(.($ $%'% %7/()F%$6 $%-.+ ( ,&#-2#,(4 8($%(.(

-( :/-)*+ .% &%()*+ ,&+,+$'( -+ %$'/.+ .% +(&%$ % (&8+$(

D "E9 $ '&C$ :/-)F%$ $%5/#-'%$ :+&(1 (-(4#$(.($ 2+1 8($% -(

:/-)*+ (-'%&#+&6 -( 7/(4 ( ?(&#A?%4 +4$( :+# (.#2#+-(.( $+8 '&C$

:+&1($ .#:%&%-'%$6 7/(#$ $%O(1 ( .#:%&%-)( %-'&% ( $B&#% % ( 1B.#(

10?%4 .#($6 ( .#:%&%-)( %-'&% ( $B&#% % ( 1B.#( 10?%4 ! .#($ % (

.#:%&%-)( %-'&% ($ ./($ 1B.#($ 10?%#$9 $ 34'#1($ '&C$ :/-)F%$

:+&(1 %$'#1(.($ 2+1 + 1%$1+ 1+.%4+ ,&+,+$'+ ,+& +(&%$ %

(&8+$( D "E6 ,+&B1 $/8$'#'/#-.+ + >#('+ .+ ,&+./'+ ,%4($

?(&#A?%#$ .% 8+4$(9

1%'+.+4+5#( /'#4#N(.( ,(&( ($ %$'#1('#?($ :+# + 1B'+.+ .+$

1@-#1+$ 7/(.&(.+$ .% .+#$ %$'A5#+$6 /1( ?%N 7/% %$$% 1B'+.+ B +

1(#$ (.%7/(.+ 7/(-.+ $% /'#4#N( %Q,%2'('#?( .% ?(&#A?%#$6 ( :#1 .%

%?#'(&1+$ ,&+84%1($ .%2+&&%-'%$ .( ,+$$@?%4 2+&&%4()*+ %-'&% ($

?(&#A?%#$ %Q,4#2('#?($ % +$ &%$@./+$9 $ ?(&#A?%#$ .%:($(.($ .% /1 (

7/('&+ ,%&@+.+$ /'#4#N(.($ 2+1+ #-$'&/1%-'+$ $*+ ( ,&#1%#&(

.#:%&%-)( .( '(Q( .% O/&+$ -+1#-(46 + .%$?#+ %-'&% ( '(Q( .% O/&+$

.%:($(.( % ( 1%'( .% #-:4()*+6 + .%$?#+ %-'&% ( %Q,%2'('#?( .%

(29)

?(&#()*+ %-'&% ( ,&#1%#&( .#:%&%-)( .+ 4+5(&#'1+ .( '(Q( .% 2S18#+

&%(4 2+&&%-'% % ( ,&#1%#&( .#:%&%-)( .+ 4+5(&#'1+ .( '(Q( .% 2S18#+

&%(4 .%:($(.( % ( ?(&#A?%4 .% 8+4$( /'#4#N(.( -+ 1+.%4+ %1 7/%$'*+9

(1,4#'/.% .( 8($% .% .(.+$ /'#4#N(.( B .% $%'%-'( 1%$%$ %

%$'A 2+1,&%%-.#.( %-'&% O/4>+ .% % +/'/8&+ .% !9

#1+8#4#.(.% .($ $B&#%$ .% .(.+$ :+# (?(4#(.( ,%4+ '%$'% .%

&(#N /-#'A&#(6 /'#4#N(-.+ $% + 1B'+.+ /1%-'(-.+ #2V%G /44%& D E

9 $ &%$/4'(.+$ $*+ (,&%$%-'(.+$ -( (8%4( (8(#Q+9

)4'/)

)"+5*'/ '$(

()(+$(+-6 "+(+-)/

)/!'

6 "+(+-)/

)/!'

76 "+(+-)/

)/!'

'$!/()%#

O/&+$ J6H! " J6! II\ 6 \\ 6!II I %O%#'( $% + ( !^

O/&+$ J6H! !H" J6! II\ 6 \\ 6!II I %O%#'( $% + ( !^

O/&+$. 1%'( 6 \ J " J6! II\ 6 \\ 6!II I %O%#'( $% + ( !^

%?#,2( 6"J !! J6! II\ 6 \\ 6!II I %O%#'( $% + (

^

/',/'5(, 6 !IJJ J6! II\ 6 \\ 6!II I %O%#'( $% + ( !^

.4%Q2>(-5% \6 " J6! II\ 6 \\ 6!II I %O%#'( $% + ( ^

H6 !" I J6! II\ 6 \\ 6!II I %O%#'( $% + ( ^

! 6J J6! II\ 6 \\ 6!II I *+ $% &%O%#'( + (

^

! 6H J6! II\ 6 \\ 6!II I *+ $% &%O%#'( + (

^

(30)

J9!

(8%4( 2+1,&+?( 7/% -%->/1( .($ $%#$ %$'#1('#?($

(,&%$%-'( (/'+2+&&%4()*+6 $%-.+ 7/% + &%$/4'(.+ .+ '%$'%

/&8#-Y('$+- %$'A %Q,+$'+9 -'&%'(-'+6 2+-:+&1% %?#.C-2#($ 1+$'&(.($

-( (8%4( 6 (,%-($ ( ?(&#A?%4 ,+.% $%& 2+-$#.%&(.(

%$'(2#+-A&#(9

)4'/)

8!)9:# $()(;$(+-) <3= '$!/()%#

7/()*+ ($% 6 *+ $% &%O%#'( + ( !^

($%b D E 6"J *+ $% &%O%#'( + ( !^

($%b D ! E 6" *+ $% &%O%#'( + ( !^

($%b D ! E 6JJ *+ $% &%O%#'( + ( !^

($%b D E +/',/'5(, 6" *+ $% &%O%#'( + ( !^

($%b D ! E +/',/'5(, 6 I *+ $% &%O%#'( + ( !^

($%b D ! E +/',/'5(, 6J" *+ $% &%O%#'( + ( !^

+1 8($% -($ ./($ 2+-$'('()F%$ .%$2&#'($ (2#1(6 '&C$

%7/()F%$ $%&?#&*+ .% 8($% ,(&( %$'% %$'/.+9 ,&#1%#&( B ( %7/()*+

,&+,+$'( ,+& +(&%$ % (&8+$( D "E % $%&A 2>(1(.( .% %7/()*+

8($%9 ?(&#A?%4 .% +4$( $%&A (2&%$2#.( R %7/()*+ 8($% -(

$%5/-.( %7/()*+9 >#('+ .+ ,&+./'+ $%&A $/8$'#'/@.+ ,%4( ?(&#A?%4

-( '%&2%#&( %7/()*+9 (#$ &%$/4'(.+$ ,+.%&*+ $%&

+8$%&?(.+$ -( '(8%4( J9

-.% + B (/$C-2#( .% (/'+2+&&%4()*+9 (&( 1(#+&%$ #-:+&1()F%$ $+8&% + '%$'%

(31)

)4'/)

- % !"#$% &'() %'*+,-) #!(,!(.), %%/'0-1)2.' % !"#$ ,/,/ ) !

'8 4)$' 6 \ D 6 E 6 \ 6 6 ! 6H!

%$'(' ' 6"J D 6 JE J6 6" 6\ H6

,&+8 6 6 J 6 6 6 6

'8 4)$'>?,/3,/ @ 6 H D 6 E 6 ! 6 \ 6 " 6HI 6H\

%$'(' ' 6" D 6 "E J6 6 \ J6H H6 6

,&+8 6 6 H 6 6 6 6 6 "

'8 4)$'>?,/3,/ @3#!(,!(.), 6"\ D 6 HE 6 H 6 " 6! 6HI

%$'(' ' J6\ DJ6\HE J6 6IJ H6"H 6!

,&+8 6 6 6 6 6 6 H

6!"

6HI

6HI

$ &%$/4'(.+$ 2+1,&+?(.+$ ('&(?B$ .( '(8%4( J $#-(4#N(1 7/%

( #-24/$*+ .( ?(&#A?%4 .% +4$( -*+ (:%'+/ +$ $#-(#$ .+$ ,(&S1%'&+$6

$%-.+ '+.+$ 2+-.#N%-'%$ 2+1 ( '%+&#( 1(2&+%2+-M1#2(9 +&B1 +

?(4+& .+ 2+%:#2#%-'% .% .%'%&1#-()*+ (O/$'(.+ 2(#/ .% 6!" ,(&( 6HI9

*+ ,+.%1+$ &%O%#'(& ( >#,0'%$% .% 7/% ( #-24/$*+ .( -+?(

?(&#A?%4 (O/.% ( ,&%?%& ( '(Q( .% O/&+$6 /1( ?%N 7/% %$'( $% 1+$'&+/

$#5-#:#2('#?(1%-'% &%4%?(-'% ( ^9 -'&%'(-'+6 ($$#1 2+1+ -+

%$'/.+ ,&+,+$'+ ,+& /,+& % +-4%G D HE6 '(4 #-24/$*+ (:%'+/

.&($'#2(1%-'% + ,(&S1%'&+ +/',/'5(,6 OA 7/% %$'% .%#Q+/ .% $%&

%$'('#$'#2(1%-'% $#5-#:#2('#?+ ( ^6 '+&-(-.+ + '%$'% #-2+-24/$#?+9

1( ,+$$@?%4 %Q,4#2()*+ ,(&( + 2+-$'('(.+ (2#1( %$'A -+ :('+ .%

7/% ( +4$( .% (4+&%$ 2(,'( ($ %Q,%2'('#?($ .+$ (5%-'%$

(32)

A #-31%&($ .#$2/$$F%$ 'B2-#2($ .#$,+-@?%#$ -+ 1%&2(.+6 (

&%$,%#'+ .+ $#$'%1( .% 1%'($ .% #-:4()*+6 -+ 7/% '(-5% ( #-24/$*+ .%

/1( ?(&#A?%4 7/% &%,4#7/% + 2+1,+&'(1%-'+ .% 8+4>( .% (45/-$

('#?+$ :#-(-2%#&+$ -( &%5&( .% ,+4@'#2( 1+-%'A&#(6 2+1 (45/-$

(&5/1%-'+$ 2+-'&A&#+$ % +/'&+$ :(?+&A?%#$ ( '(4 1/.(-)(9 + 4+-5+

.%$$% %$'/.+6 :+&1( (-(4#$(.+$ %Q%1,4+$ $+8&% ( &%4()*+ %-'&% /1

('#?+ :#-(-2%#&+ %$,%2@:#2+6 ,&%)+$ .% ()F%$6 % ( ,+4@'#2( 1+-%'A&#( .+

9

+8O%'#?+ .%$$% '&(8(4>+ :+# %$'#1/4(& %$$( .#$2/$$*+ ,(&( +

2($+ 8&($#4%#&+9 +1 %$'% #-'/#'+6 :+&(1 %$'#1(.+$ +$ ,+$$@?%#$

#1,(2'+$ .( (.#)*+ .% /1( ?(&#A?%4 .% +4$( -( ,+4@'#2( 1+-%'A&#(

.+ (-2+ %-'&(4 .+ &($#46 ( ,(&'#& .( &%5&( .% (G4+& .%:#-#.( ,+&

+(&%$ % (&8+$( D "E9

$ %?#.C-2#($ %1,@&#2($ (,&%$%-'(.($ -%$$% %$'/.+ :+&(1

24(&($ %1 1+$'&(& 7/% ( #-24/$*+ .( ?(&#A?%4 .% +4$( -(

:/-)*+ .% &%()*+ +&#5#-(41%-'% ,&+,+$'( ,+& +(&%$ % (&8+$(

D "E B %$'('#$'#2(1%-'% &%4%?(-'%9 +&B16 ($$#1 2+1+ -+ '&(8(4>+

.% /,+& % +-4%G D HE6 '(4 1/.(-)( '+&-( + ,(&S1%'&+ >#('+ .+

,&+./'+ -*+ &%4%?(-'%9

+& :#16 $/5%&#1+$ ,(&( :/'/&+$ '&(8(4>+$ %1,@&#2+$ 7/% $%

%$'#1% ( %7/()*+ ,&+,+$'( %1 .#:%&%-'%$ 1+1%-'+$ %2+-M1#2+$6

($$#1 2+1+ ,%&@+.+$ .% (4'( ?%&$/$ 8(#Q( #-:4()*+6 2+-:+&1% +

(33)

W 6 %- 9 _ 6 (&V9

9 %.%&(4 %$%&?% (-V +: W(-$($ #'G9 2+-+1#2 %?#%X6

9

W 6 %- 9 _ 6 (&V9 !" #

$ 1%&#2(- 2+-+1#2 %?#%X6

9

W 6 %- 9 _ W 6 W%--%'>9 "

! % ! & Y#.%-%& -#?%&$#'G6 J9

W 6 %- 9 $$%' &#2% c /884%$a (-. +-%'(&G +4#2G9

- dddd " ' ( " " '

# & ) 9

6 4(/.#+ _ Y 6 >#4#,9 )

! % &* " ' * #+! , ' --.6

9

6 4(/.#+T 6 &(#5 _ Y 6 >#4#,9 &+2G24#2(4#'G +:

'>% #-(-2#(4 G$'%1 (-. #-(-2#(4 '(8#4#'G $$/%$ (-. +4#2G

,'#+-$9 - dddd " "

/ ! #+! ' - ($%49 /#)(6

9

6 +>- _ 60 " ," " ! #

$ / 1 2

6 J9

6 +>-6 / ! 6

9

6 '%,>%- 9 _ 6 #(-:(6 / 3

3 6 J9

6 '%,>%- 96 6 (-$6 W 6 +>- _

Y Y 6 /$>#49 $$%' &#2%$ (-. %-'&(4 (-V +4#2G 9 - dddd

4 " , & ) ' 5) +

# ! &

"6 9

6 #2>(&.6 ` 6 +&.@ _ 6 (&V9 +-%'(&G +4#2G

/4%$ (-. (2&+%2+-+1#2 '(8#4#'G ?#.%-2% (-. >%+&G9 - ddd

(34)

6 #44 _ 6 #1+'>G9 >% %$,+-$% '+ 7/#'G

&#2%$ (-. -:4('#+-9 - dddd & 6 H9

6 #449 >% ('/&(4 ('% +: ]9 - ddd &

6 9

6 #V($ 9 " ' '

+ % 2" 6

-'%&-('#+-(4 G1,+$#/1 +: '>% (-7/% .% &(-2%6 J9

6 #V($ 96 _ 6 (-(G#+'#$9 >%

$G11%'&#2 %4('#+-$ 8%'X%%- -#'#(4 (&5#- %7/#&%1%-'$ (-. '+2V

(&V%' +4('#4#'G 2&+$$ /44 (-. %(& (&V%'$9 - ddddd

! -7 76 9

6 +>- 9 _ 6 4%-- 9 (G4+&a$ /4% (-. '>% %.

\ \9 - ddd& 86 I9

6 -.&BT 6 (/4+ 96 6 4(- _

6 (&2%4+ W9 -:4('#+- (&5%'#-5 #- &(N#4 +-$'&/2'#-5

&%.#8#4#'G /-.%& Q2>(-5% ('% +4('#4#'G9 - ddd ,

! ' 996 J9

W 6 &%.%&#2 9 _ Y 6 /5%-% 9 9 9 '+2V (&V%'

&($>%$ (-. >%#& :'%&1('> 1,4#2('#+-$ :+& +-%'(&G +4#2G9 - ddd

'#& , ' :;556 9

Y e6 --( 9 $$%' &#2% -:4('#+- (-. +-%'(&G +4#2G9

- ddd'#& , ' ;85-6 9

6 +*+ 9 _ 6 %&-(-.+ .% +4(-.(9

2 # % -;;; 5<<76 "9

6 +>- 9 / 9 '(-:+&.

Referências

Documentos relacionados

Isso ocorre porque quando as taxas de juros dos títulos de curto prazo são altas, a taxa para atrair poupanças para títulos de médio e longo prazos para consolidar os investimentos

De acordo com regras desse tipo, o Banco Central (BC) anunciaria uma trajetória planejada para o PIB nominal, de modo que, se este ficasse acima (abaixo) do patamar proposto, o

Uma das grandes preocupações dos economistas está relacionada à condução da política monetária. Um evento econômico ocorrido no Brasil e que trouxe como conseqüência

Este artigo usa o enfoque da teoria dos pre¸cos dos ativos na deter- mina¸c˜ao do pre¸co da moeda para apresentar uma resenha concisa sobre os seguintes t´opicos da teoria

Com tal alteração, a categoria disponível para venda foi praticamente eliminada, uma vez que os títulos classificados como valor justo terão seus ajustes reconhecidos

da regra, utilizando o método de panel data , como forma de capturar o comportamento da taxa de juros, para o período de 1980 a 2002 para o grupo de países formado por..

Apesar de, por limitação de abrangência do modelo, não se ter utilizado o protótipo para a tomada de decisão em ambiente real de negociação de ativos, pode0se inferir, pelo

A segunda pergunta está relacionada ao trabalho de Brunnermeier &amp; Pedersen (2009) que descrevem o fenômeno Espiral de Liquidez relacionado ao comportamento pró-cíclico