[pt] A presente dissertação busca estudar empiricamente a relação entre preço de commodities e taxa de câmbio real para países que possuem alta participação destes produtos em sua pauta de exportação. De fato, os países que estamos estudando (Austrália, Canadá, Nova Zelândia e Brasil) possuem tais características e, desta forma, preços de commodities devem ser determinantes fundamentais de seus termos de troca, tornando-se importantes na determinação de suas taxas de câmbio real de equilíbrio. Compreendemos que o trato cuidadoso das tecnicalidades relacionadas a este estudo é de fundamental importância para uma estimação consistente dos coeficientes de interesse, principalmente quando levamos em consideração as diversas divergências existentes na literatura quanto à qual o mecanismo gerador de dados das séries de preço de commodities e de taxa de câmbio real e quanto à endogeneidade da variável índice de preço de commodities na determinação da taxa de câmbio real. Para contornar tal problema partiremos de diferentes hipóteses para estas questões e utilizaremos técnicas econométricas apropriadas para cada hipótese, buscando obter resultados robustos a estas divergências. / [en] This dissertation intends to study the relationship between commodity prices and real effective exchange rate for countries which exports portfolios accounts on a large share of commodity related products. In fact, all the four countries we study (Australia, Canada, New Zealand and Brazil) depends heavily on commodity exports, and therefore commodity prices might be important determinant of their terms of trade, becoming fundamental variable to the real exchange rate determination. It is also of great importance the careful treatment of the technical issues related to the study, so as to provide consistent estimates of the coefficients of interest, mainly when we consider all the divergence related to what the true data generating process of the series and the endogeneity of the commodity price index. To solve this issue we follow considering different assumptions, and for each we use appropriate econometric technical and then compare the results.

The goal of this diploma thesis is to assess purchasing power parity (PPP) under the conditions of transition process. The thesis provides a survey of the purchasing power parity theory and concentrates on the relative version. It outlines main causes of possible deviations and modifications of the model. In the empirical part four transition economies are tested for the PPP theory: the Czech Republic, Hungary, Poland and Slovakia. The diploma thesis concludes with analysis of the role of the exchange rate under conditions of a small open economy. The overall analysis is implemented within the context of real and nominal convergence towards European Union and future accession to the European Monetary Union.

This diploma thesis has an ambition to evaluate the nominal, real and structural convergence process of the Visegrad group (also known as V4) countries to the euro area. It also discusses theoretical and methodological issues relating to this process. The first part of this paper deals with some theories which has just started to work with the concept of convergence and were imaginary springboard for the development of other theories. It analyses the Solow growth model that assume convergence between developed and developing countries. This chapter offers a general overview of real convergence measurement, which will be used by evaluation of convergence or divergence process in the V4 countries. We will not observe only the progress of real convergence. In the second part of this thesis we will also examine the nominal convergence trough the price level growth and development of inflation in comparison to the euro area. Next part focuses on identifying relationship between real and nominal convergence due to Balassa-Samuelson effect. The optimum currency area and selected structural parameters of the convergence process will be subject of the final part of this thesis, which will complete our observations of the real, nominal and structural convergence in the V4 countries.

A phantom is haunting the EU enlargement process. Some fear that the Balassa-Samuelson (B-S) effect might be a major obstacle for the Central and Eastern European countries (CEEC) to become members of the Economic and Monetary Union (EMU). A review of the relevant literature reveals that most estimations of the B-S effect in the EU acceding countries are flawed by one kind or the other. Either they do not estimate correctly the B-S propositions, or if they measure it they use a variety of measures for the variables needed. Additionally, the B-S effect is only a special case of a broader approach towards equilibrium real exchange rates. Lastly the B-S effect is studied in a CGE multi-country world in order to detect possible spillover effects. After describing the "official" road map towards the EMU, it is concluded that the uncertainties in measuring the B-S are much too high in order to see in it (alone) a major hindrance for the CEEC to become early members of the EMU. Moreover, real exchange rate appreciations that reflect productivity gains in the tradable sector are an equilibrium phenomenon and do not require a policy response. They are a natural phenomena in catching-up countries like the CEEC. Furthermore, the official doctrine for entering the EMU by the EU/ECB only interdicts depreciations but not appreciations for potential EMU members. (author's abstract) / Series: EI Working Papers / Europainstitut

This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.

Differences in price levels as well as inflation rates among countries have been subject of discussion for a long time. More than the actual levels, however, the question of determinants of price levels in time and a possible convergence is key for the new member states with respect to the Maastricht criteria. The dynamics of price levels is crucial, and many suggestions have been put forward to explain the observed trends and changes. This thesis focuses on the determinants of relative price level, and hence real exchange rate, developments in the new member states of the EU and employs a regression analysis to examine their change in time. As most of the countries in focus are transition economies, structural variables are also included among the independent variables. We find that the Balassa- Samuelson effect is key to explaining real exchange rate developments as the effect of productivity differential has been significant over the whole period examined. However, in the recent years, marked by the onset of the crisis, other factors, such as the structure of trade and Euro area membership, have become more prominent.

The aim of the submitted thesis "Nominal and Real Convergence of the Czech Republic to EU (selected issues)" is to analyze nominal and real convergence of the Czech Republic to EU member countries from macroeconomic point of view, by using comparison with other transition economies. It presents and discusses theoretical issues relating to convergent process. The thesis deals with analysis of convergence using these indicators: GDP per capita in purchasing power parities, comparative price level, Maastricht criteria and some other indicators.

The aim of the submitted thesis is macroeconomic analysis, comparison and evaluation of nominal and real convergence of the Visegrad Group states with EU-15 states. By the help of regression model, one can state that in years 2004--2008 countries of V4 reached Beta - convergence with EU-15. However, this did not hold for the critical period in 2008--2012 when mainly Hungary lagged behind. There was proved a positive relationship between real and nominal convergence wherewith Balassa-Samuelson Effect for EU states was confirmed. The Czech Republic has always shown a lower nominal value than it would correspond to its GDP per capita, still it approximated to regression line over time. Other V4 states registered inverse course. During period 2004--2012, the Czech Republic performed Maastricht conver-gence criteria best from V4 states. Contrariwise, Hungary had the worst position of the ob-served period.