[pt] E se o risco fiscal não for desprezível? O Banco Central poderia continuar efetivamente trazendo a inflação para a meta ao ignorar o risco de default? Para responder a essas questões, propomos um modelo DSGE de pequena economia aberta com limite fiscal endógeno, onde o governo pode dar calote em seus títulos domésticos, e a autoridade monetária pode responder por isso. Avaliamos a dinâmica sob duas regras de decisão do Banco Central: quando (i) rastreia erroneamente esse risco e (ii) rastreia perfeitamente o risco de inadimplência. O modelo é calibrado com base em dados brasileiros, dado que a recente deterioração orçamentária do país faz dele um caso ideal a ser estudado. Constatamos que inflação alta e moeda desvalorizada coexistem com uma alta taxa de juros quando a autoridade monetária não leva em conta integralmente o risco de inadimplência. Quanto maior a probabilidade de default, maiores as diferenças entre os efeitos dos dois tipos de regras de política que analisamos. Para uma banqueira central restaurar a meta de inflação, ela deve incorporar perfeitamente toda a dinâmica do risco de inadimplência em sua regra de decisão. Além disso, nosso modelo gera um prêmio endógeno entre as taxas de juros dos países devido às diferenças no risco de default soberano. / [en] What if the fiscal risk is not negligible? Could the Central Bank continue effectively bringing inflation to the target when it ignores the default risk? To address those questions, we propose a small open economy DSGE model with an endogenous fiscal limit, where the government can default on its domestic bonds, and monetary authority may account for that. We evaluate dynamics under two different Central Bank decision rules: when (i) it wrongly tracks that risk, and (ii) it perfectly tracks default risk. The model is calibrated based on Brazilian data, as its recent budgetary deterioration makes the country an ideal case to be studied. We find that high inflation and depreciated currency coexist with a high interest rate when the monetary authority does not fully account for the default risk. The higher the default probability, the greater the differences across the effects of the two types of policy rules that we analyzed. For a central banker to restore the inflation target, she must fully track default risk in its decision rule. In addition, our model generates an endogenous premium across countries’ interest rates due to differences in sovereign default risk.

[pt] Os modelos Dinâmicos Estocásticos de Equilíbrio Geral (DSGE) contêm falhas diversas, como ficou claro após a crise financeira de 2007- 2008. Esforços para mitigar as deficiências têm sido insuficientes: até hoje, ainda há uma demanda por construir uma nova estrutura para estudar as implicações de política econômica e tomar decisões. Propomos uma nova estratégia para resolver o problema do banco central, na tentativa de prover uma ferramenta auxiliar para os bancos centrais, cujos principais modelos ainda pertencem à família dos DSGEs. Derivamos uma função objetivo a partir de três relações empíricas estabelecidas há muito tempo na literatura econômica: a Lei de Okun, a Curva de Phillips e os efeitos de liquidez. Usando dados do Brasil, procuramos minimizar o valor dessa função, escolhendo a taxa de juros através de um algoritmo genético. Como a função é prospectiva, usamos uma rede neural para prever valores de desemprego e inflação. Os resultados sugerem que, se o banco central brasileiro houvesse aplicado nossa estratégia e todas as outras condições econômicas continuassem iguais, a inflação poderia ter sido mais baixa 62,48 por cento do tempo. O desemprego previsto, contudo, foi mais baixo apenas 39,69 por cento dos períodos cobertos, pois enfrenta um trade-off com a inflação. Discutimos a aplicabilidade da estratégia proposta e defendemos sua solidez teórica. / [en] Dynamic Stochastic General Equilibrium (DSGE) models are flawed, as became clear after the 2007-2008 financial crisis. Efforts to subdue the shortcomings have been insufficient: to this date, there is still a demand for building a new framework to study policy implications and make decisions. We propose a novel monetary policy strategy, in an attempt to provide an auxiliary tool to central banks, whose main predictive models are still from the DSGE family.We derive an objective function from three empirical relationships that have long been established in economic literature: Okun s Law, the Phillips Curve, and liquidity effects. Using data from Brazil, we seek to minimise the value of this function by choosing the interest rate via a genetic algorithm. Since the function is forward looking, we use a neural network to predict values of unemployment and inflation. Results suggest that had the Brazilian central bank applied our strategy, and all other economic conditions remained identical, inflation could have been lower for 62.48 percent of the time. Predicted unemployment, however, was lower only for 39.69 percent of covered periods, as it faces a trade-off with inflation. We discuss the applicability of the proposed strategy and argue for its theoretical soundness.

This thesis addresses three relevant macroeconomic issues: (i) why Central Banks behave so cautiously compared to optimal theoretical benchmarks, (ii) do monetary variables add information about future Euro Area inflation to a large amount of non monetary variables and (iii) why national saving and investment are so correlated in OECD countries in spite of the high degree of integration of international financial markets. The process of innovation in the elaboration of economic theory and statistical analysis of the data witnessed in the last thirty years has greatly enriched the toolbox available to macroeconomists. Two aspects of such a process are particularly noteworthy for addressing the issues in this thesis: the development of macroeconomic dynamic stochastic general equilibrium models (see Woodford, 1999b for an historical perspective) and of techniques that enable to handle large data sets in a parsimonious and flexible manner (see Reichlin, 2002 for an historical perspective). Dynamic stochastic general equilibrium models (DSGE) provide the appropriate tools to evaluate the macroeconomic consequences of policy changes. These models, by exploiting modern intertemporal general equilibrium theory, aggregate the optimal responses of individual as consumers and firms in order to identify the aggregate shocks and their propagation mechanisms by the restrictions imposed by optimizing individual behavior. Such a modelling strategy, uncovering economic relationships invariant to a change in policy regimes, provides a framework to analyze the effects of economic policy that is robust to the Lucas'critique (see Lucas, 1976). The early attempts of explaining business cycles by starting from microeconomic behavior suggested that economic policy should play no role since business cycles reflected the efficient response of economic agents to exogenous sources of fluctuations (see the seminal paper by Kydland and Prescott, 1982} and, more recently, King and Rebelo, 1999). This view was challenged by several empirical studies showing that the adjustment mechanisms of variables at the heart of macroeconomic propagation mechanisms like prices and wages are not well represented by efficient responses of individual agents in frictionless economies (see, for example, Kashyap, 1999; Cecchetti, 1986; Bils and Klenow, 2004 and Dhyne et al., 2004). Hence, macroeconomic models currently incorporate some sources of nominal and real rigidities in the DSGE framework and allow the study of the optimal policy reactions to inefficient fluctuations stemming from frictions in macroeconomic propagation mechanisms. Against this background, the first chapter of this thesis sets up a DSGE model in order to analyze optimal monetary policy in an economy with sectorial heterogeneity in the frequency of price adjustments. Price setters are divided in two groups: those subject to Calvo type nominal rigidities and those able to change their prices at each period. Sectorial heterogeneity in price setting behavior is a relevant feature in real economies (see, for example, Bils and Klenow, 2004 for the US and Dhyne, 2004 for the Euro Area). Hence, neglecting it would lead to an understatement of the heterogeneity in the transmission mechanisms of economy wide shocks. In this framework, Aoki (2001) shows that a Central Bank maximizing social welfare should stabilize only inflation in the sector where prices are sticky (hereafter, core inflation). Since complete stabilization is the only true objective of the policymaker in Aoki (2001) and, hence, is not only desirable but also implementable, the equilibrium real interest rate in the economy is equal to the natural interest rate irrespective of the degree of heterogeneity that is assumed. This would lead to conclude that stabilizing core inflation rather than overall inflation does not imply any observable difference in the aggressiveness of the policy behavior. While maintaining the assumption of sectorial heterogeneity in the frequency of price adjustments, this chapter adds non negligible transaction frictions to the model economy in Aoki (2001). As a consequence, the social welfare maximizing monetary policymaker faces a trade-off among the stabilization of core inflation, economy wide output gap and the nominal interest rate. This feature reflects the trade-offs between conflicting objectives faced by actual policymakers. The chapter shows that the existence of this trade-off makes the aggressiveness of the monetary policy reaction dependent on the degree of sectorial heterogeneity in the economy. In particular, in presence of sectorial heterogeneity in price adjustments, Central Banks are much more likely to behave less aggressively than in an economy where all firms face nominal rigidities. Hence, the chapter concludes that the excessive caution in the conduct of monetary policy shown by actual Central Banks (see, for example, Rudebusch and Svennsson, 1999 and Sack, 2000) might not represent a sub-optimal behavior but, on the contrary, might be the optimal monetary policy response in presence of a relevant sectorial dispersion in the frequency of price adjustments. DSGE models are proving useful also in empirical applications and recently efforts have been made to incorporate large amounts of information in their framework (see Boivin and Giannoni, 2006). However, the typical DSGE model still relies on a handful of variables. Partly, this reflects the fact that, increasing the number of variables, the specification of a plausible set of theoretical restrictions identifying aggregate shocks and their propagation mechanisms becomes cumbersome. On the other hand, several questions in macroeconomics require the study of a large amount of variables. Among others, two examples related to the second and third chapter of this thesis can help to understand why. First, policymakers analyze a large quantity of information to assess the current and future stance of their economies and, because of model uncertainty, do not rely on a single modelling framework. Consequently, macroeconomic policy can be better understood if the econometrician relies on large set of variables without imposing too much a priori structure on the relationships governing their evolution (see, for example, Giannone et al., 2004 and Bernanke et al., 2005). Moreover, the process of integration of good and financial markets implies that the source of aggregate shocks is increasingly global requiring, in turn, the study of their propagation through cross country links (see, among others, Forni and Reichlin, 2001 and Kose et al., 2003). A priori, country specific behavior cannot be ruled out and many of the homogeneity assumptions that are typically embodied in open macroeconomic models for keeping them tractable are rejected by the data. Summing up, in order to deal with such issues, we need modelling frameworks able to treat a large amount of variables in a flexible manner, i.e. without pre-committing on too many a-priori restrictions more likely to be rejected by the data. The large extent of comovement among wide cross sections of economic variables suggests the existence of few common sources of fluctuations (Forni et al., 2000 and Stock and Watson, 2002) around which individual variables may display specific features: a shock to the world price of oil, for example, hits oil exporters and importers with different sign and intensity or global technological advances can affect some countries before others (Giannone and Reichlin, 2004). Factor models mainly rely on the identification assumption that the dynamics of each variable can be decomposed into two orthogonal components - common and idiosyncratic - and provide a parsimonious tool allowing the analysis of the aggregate shocks and their propagation mechanisms in a large cross section of variables. In fact, while the idiosyncratic components are poorly cross-sectionally correlated, driven by shocks specific of a variable or a group of variables or measurement error, the common components capture the bulk of cross-sectional correlation, and are driven by few shocks that affect, through variable specific factor loadings, all items in a panel of economic time series. Focusing on the latter components allows useful insights on the identity and propagation mechanisms of aggregate shocks underlying a large amount of variables. The second and third chapter of this thesis exploit this idea. The second chapter deals with the issue whether monetary variables help to forecast inflation in the Euro Area harmonized index of consumer prices (HICP). Policymakers form their views on the economic outlook by drawing on large amounts of potentially relevant information. Indeed, the monetary policy strategy of the European Central Bank acknowledges that many variables and models can be informative about future Euro Area inflation. A peculiarity of such strategy is that it assigns to monetary information the role of providing insights for the medium - long term evolution of prices while a wide range of alternative non monetary variables and models are employed in order to form a view on the short term and to cross-check the inference based on monetary information. However, both the academic literature and the practice of the leading Central Banks other than the ECB do not assign such a special role to monetary variables (see Gali et al., 2004 and references therein). Hence, the debate whether money really provides relevant information for the inflation outlook in the Euro Area is still open. Specifically, this chapter addresses the issue whether money provides useful information about future inflation beyond what contained in a large amount of non monetary variables. It shows that a few aggregates of the data explain a large amount of the fluctuations in a large cross section of Euro Area variables. This allows to postulate a factor structure for the large panel of variables at hand and to aggregate it in few synthetic indexes that still retain the salient features of the large cross section. The database is split in two big blocks of variables: non monetary (baseline) and monetary variables. Results show that baseline variables provide a satisfactory predictive performance improving on the best univariate benchmarks in the period 1997 - 2005 at all horizons between 6 and 36 months. Remarkably, monetary variables provide a sensible improvement on the performance of baseline variables at horizons above two years. However, the analysis of the evolution of the forecast errors reveals that most of the gains obtained relative to univariate benchmarks of non forecastability with baseline and monetary variables are realized in the first part of the prediction sample up to the end of 2002, which casts doubts on the current forecastability of inflation in the Euro Area. The third chapter is based on a joint work with Domenico Giannone and gives empirical foundation to the general equilibrium explanation of the Feldstein - Horioka puzzle. Feldstein and Horioka (1980) found that domestic saving and investment in OECD countries strongly comove, contrary to the idea that high capital mobility should allow countries to seek the highest returns in global financial markets and, hence, imply a correlation among national saving and investment closer to zero than one. Moreover, capital mobility has strongly increased since the publication of Feldstein - Horioka's seminal paper while the association between saving and investment does not seem to comparably decrease. Through general equilibrium mechanisms, the presence of global shocks might rationalize the correlation between saving and investment. In fact, global shocks, affecting all countries, tend to create imbalance on global capital markets causing offsetting movements in the global interest rate and can generate the observed correlation across national saving and investment rates. However, previous empirical studies (see Ventura, 2003) that have controlled for the effects of global shocks in the context of saving-investment regressions failed to give empirical foundation to this explanation. We show that previous studies have neglected the fact that global shocks may propagate heterogeneously across countries, failing to properly isolate components of saving and investment that are affected by non pervasive shocks. We propose a novel factor augmented panel regression methodology that allows to isolate idiosyncratic sources of fluctuations under the assumption of heterogenous transmission mechanisms of global shocks. Remarkably, by applying our methodology, the association between domestic saving and investment decreases considerably over time, consistently with the observed increase in international capital mobility. In particular, in the last 25 years the correlation between saving and investment disappears.

The choice of an appropriate government policy tool to promote the employment should be done with regard to the source of unemployment. This diploma the- sis investigates structural and cyclical components of unemployment. The two components are induced by different causes. Search and matching frictions in the labor market are the source of the structural component. The cyclical component is induced by a low labor productivity which induces a negative gross marginal profit of firms. Consequently, they are obliged to cancel a portion of existing job- worker matches. The main finding is that during a period of economic slowdown the overall unemployment and its cyclical component rise while the structural component declines. The dynamics of the two components is reversed during a robust economic growth. The diploma thesis proceeds with investigating the pub- lic hiring, a policy potentially suitable to diminish the unemployment during an economic slowdown. The results show that the public hiring can be successfully applied despite the private employment crowding out. A New Keynesian DSGE model calibrated for the Czech Republic is used to model the labor market dy- namics. The results are interpreted with regard to the historic development of the unemployment and the economic growth from 2000 to 2014. JEL...

This thesis analyzes the incomplete exchange rate pass-through effect on Mongolian economy and its implication on monetary policy under foreign and domestic shocks. The analysis is carried out in a small open economy New Keynesian DSGE model proposed by Monacelli (2005), where incomplete exchange rate pass-through is introduced via nominal rigidities on import prices. In order to accomplish the goal, we firstly derive the solutions of the model, calibrate the parameters, and finally simulate the impulse responses. Moreover, SVAR estimation is achieved to estimate the pass-through. Four main results are obtained. First, the exchange rate pass-through into import price and inflation is 0.69% and 0.49% respectively in short run, implying incomplete pass-through in Mongolia. Second, the exchange rate acts as a shock absorber for domestic productivity and foreign demand shock, but as a shock amplifier for domestic demand shock. Third, in case of incomplete pass-through the central bank of Mongolia is required to adjust the nominal interest rate more under the productivity shock, but less for the domestic and foreign demand shock. Finally, deviations from the law of one price contributes considerably to the variability of the output gap under the low pass-through. Therefore, considering incomplete pass-through in...

The goal of this thesis is to develop a DSGE model that accounts for the key business cycle properties of the Czech labor market. We used standard New Keynesian framework for monetary policy analysis and incorporated an elaborated labor market setup with equi- librium wage derived via an alternating offer bargaining protocol originally proposed by Rubinstein (1982) and follow the work of Christiano, Eichenbaum and Trabandt (2013) in the following steps. Firstly, we calibrated the closed economy model according to values suited for the Czech economy and found that the model can not only account for higher volatility of the real wage and unemployment, but can also explain the contemporaneous rise of both wages and employment after an expansionary shock in the economy, so called Shimer puzzle (Shimer, 2005a). Secondly, we demonstrated that the alternating offer bar- gaining sharing rule outperforms the Nash sharing rule under assumption of using the hiring costs in our framework (more so while using search costs) and therefore is better suited for use in larger scale models. Thirdly, we concluded that after estimating the labor market parameters using the Czech data, our model disproved the relatively low values linked to the probabilities of unsuccessful bargaining and job destruction. JEL...

Labor market indicators such as unemployment and labor force participation show a significant amount of heterogeneity across demographic groups, which is often not incorporated in monetary policy analysis. This dissertation is composed of three essays that explore the effect of labor market heterogeneity on the design and conduct of monetary policy. The first chapter, <b>Effect of Monetary Policy Shocks on Labor Market Outcomes</b>, studies this question empirically by looking at dynamics of macroeconomic outcomes to a monetary policy shock. I construct a measure of monetary policy shock using narrative methods that represent the unanticipatory changes in policy. Impulse response of unemployment rates for high and low-skill workers show low-skill workers bear a greater burden of contractionary monetary policy shock. Their unemployment rates increase by almost four times that of the high-skill group. Even though we see differences in dynamic response of unemployment rates, the empirical analysis shows some puzzling results where effects of contractionary shock are expansionary in nature. Moreover, these results are plagued by the “recursiveness assumption” that the shock does not affect current output and prices, which is at odds with theoretical models in the New Keynesian literature. In the second chapter, <b>Skill Heterogeneity in an Estimated DSGE Model</b>, I use a structural model to better identify these shocks and study dynamic responses of outcomes to economic shocks. I build a dynamic stochastic general equilibrium model, which captures skill heterogeneity in the U.S. labor market. I use Bayesian estimation techniques with data on unemployment and wages to obtain distribution of key parameters of the model. Low-skilled workers have a higher elasticity of labor supply and labor demand, contributing to the flatness of the wage Phillips curve estimated using aggregate data. A contractionary monetary policy shock has immediate effects on output and prices, lowering both output and inflation. Moreover, it increases unemployment rates for both high and low-skill groups, the magnitude being larger for the latter group. The presence of labor market heterogeneity will have new implications for the design of monetary policy, that I study in the third chapter, <b>Optimal Monetary Policy with Skill Heterogeneity</b>. I design an optimal policy for the central bank where policymakers respond to the different inflation-unemployment trade-off between high and low-skill workers. The monetary authority must strike a balance between stabilization of inflation, GDP and outcomes of high and low-skill workers separately. This optimal policy can be implemented by a simple interest rate rule with unemployment rates for high and low-skill workers and this policy is welfare improving.

A thesis submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in Ful llment of the Requirements for the Degree of Doctor of Philosophy in Economics 15 July, 2015 / The thesis focuses on the sources of macroeconomic uctuations in ten (10) selected African economies over the period 1990-2011. Data for the study were obtained from the International Financial statistics (IFS), the World Bank, and Central Bank database of the selected countries. We formulate a dynamic stochastic general equilibrium (DSGE) model for the thesis. We estimate the model using quarterly time series data. Due to data availability, the sample size di¤ers from one country to the other. First, we investigate the relative contributions of internal and external shocks to economic uc- tuations in African economies. Second, we evaluate the signi cance of the balance sheet channel in African economies. Third, we investigate the ef- fectiveness of sovereign wealth funds in reducing macroeconomic volatility caused by commodity price shocks. The thesis has 5 chapters. Chapter 1 is the general introduction. Chapters 2, 3, and 4 are stand-alone related papers on macroeconomic uctuations. Chapter 5 is the conclusion. Chapter 1 introduces the study. We discuss the research problem, the moti- vation, the objectives, and the research questions. We also explain both our theoretical and empirical contributions to the literature. Moreover, we high- light the signi cance and the key ndings of the study. Finally, we conclude the chapter with a brief outline on the organisation of the study. Chapter 2 investigates the relative contributions of internal and external shocks to macroeconomic uctuations in African economies. We formulate and estimate a monetary DSGE model to examine the sources of economic uctuations in ten African countries. The model is estimated with the Bayesian technique using twelve macroeconomic variables. Generally, the ndings indicate that both the internal and external shocks signi cantly in- uence output uctuations in African countries. Over a four quarter horizon, internal shocks are dominant while over eight to sixteen quarter horizons, the external shocks are dominant. Among the external shocks, external debt, ex- change rate, foreign interest rate and commodity price shocks account for a large part of output variations in African economies. Money supply and productivity shocks are the most important internal shocks contributing to output uctuations in African countries. To ensure macroeconomic stability, African countries need to formulate appropriate exchange rate and exter- nal debt management policies, diversify the economies, and create sovereign wealth funds (SWFs) or use hedging instruments. Chapter 3 evaluates the quantitative signi cance of the balance sheet chan- nel in African economies. We construct an open economy monetary DSGE model where entrepreneurs nance investment by issuing foreign currency- denominated debt. The model is estimated with Bayesian technique. The evidence suggests that the balance sheet e¤ects are empirically important in African economies. The marginal likelihood results clearly favour the model with nancial frictions. Moreover, the ndings indicate that the balance sheet e¤ect reduces the e¤ectiveness of monetary policy, raises the sensitiv- ity of the risk premium to external debt, and contracts output. This indi- cates that exchange rate depreciation is contractionary in African economies. We conclude that African countries should reduce their exposure to foreign currency-denominated debt and also deepen their domestic bond markets. Chapter 4 investigates the e¤ectiveness of sovereign wealth funds (SWFs) in reducing macroeconomic volatility in commodity exporting African countries. We formulate and simulate a dynamic stochastic general equilibrium (DSGE) model that features SWFs. The simulation results suggest that the creation of SWFs can reduce macroeconomic volatility in commodity exporting coun- tries. Particularly, SWFs can reduce government expenditure, real exchange rate, and external debt volatility. Since these are the channels through which commodity price shocks are transmitted to the African economies, we rec- ommend that African countries should create SWFs to sterilize the in ow of commodity revenue and to prevent the resource curse problem. Chapter 5 concludes the study. We summarize the key ndings in Chapters 2, 3, and 4. We highlight the policy implications of our ndings. Finally, we suggest areas for further research.

Cette thèse analyse les effets de la libéralisation du commerce des services en Tunisie. Le premier chapitre, étudie à l’aide d’un modèle DSGE, l'effet global de la libéralisation du secteur des services marchands sur la croissance économique tout en estimant les barrières à l'entrée que doivent supporter les investisseurs afin d’accéder à ce marché. Le deuxième chapitre analyse le cas particulier de la libéralisation du secteur bancaire ainsi que les effets sur l’accumulation du capital. En particulier, il suggère que l'accroissement de la concurrence via plus de libéralisation est bénéfique pour le secteur bancaire tunisien et permettra de doubler la quantité de capital réellement accumulé. Le troisième chapitre procède à l’estimation des effets direct et indirect de la libéralisation du transport aérien sur les flux de touristes dans les pays Méditerranéens. Les accords signés par ces pays seront considérés au même titre que ceux signés entre pays tiers. En effet, lorsque ces pays tiers disposent d'aéroports de transit par lesquels passent les touristes pour se rendre dans les pays de la Méditerranée, un accord de libéralisation les concernant peut ainsi être bénéfique aux derniers. Nous constituons une base originale pour tenir compte de tous ces accords. Nos résultats montrent que la libéralisation des secteurs de service en Tunisie a un effet positif et dépend essentiellement de la performance su secteur des biens et barrières à l'entrée, évalués à 37% de la production totale. En ce qui concerne le secteur bancaire tunisien, la libéralisation a un impact positif sur l'accumulation de capital pouvant aller jusqu'à 200% de l'accumulation actuelle. Enfin, l'étude de la libéralisation du transport aérien sur le tourisme montre qu'il y a une augmentation des flux de touristes utilisant des routes directes et indirectes. L'effet direct d'un accord (suite à l'accroissement d'une unité de l'indice de libéralisation) accroît de 3 à 4% les flux touristiques, tandis que l'effet indirect est compris entre 2% et 3%. / This dissertation focuses on the effects of trade service liberalization in Tunisia. Using a DGSE model, the first chapter studies the overall effect of service liberalization on economic growth while considering the non-tariff barriers preventing investors to access this market. The second chapter analyzes the particular case of the banking sector liberalization by estimating its effect on capital accumulation. In particular, it suggests that increasing bank competition via liberalization is benefitting to the Tunisian banking sector up to a doubling of its capital accumulation. The third chapter shall estimate the direct and indirect effect of air transport liberalization on tourist flows in the southern Mediterranean countries. The agreements signed by these countries will be considered as well as those signed between third countries. In particular, when these third countries have transit airports through which pass tourists to visit Mediterrenean countries, liberalization can also be beneficial to the latter. For this purpose we have collected an original database to account for all of these agreements. Our results show that the liberalization of the service sector in Tunisia has a positive effect and depends mainly on the performance of the goods sector as well as the value of non-tariff barriers, evaluated at 37% of total of production. Morever, the liberalization of the Tunisian banking sector has a positive impact on capital accumulation running up to about 200 % of the current accumulation. Finally, the study of air transport liberalization on tourism shows that there is an increase in tourist flows using direct and indirect routes. The direct effect (following one unit increase of the liberalization index) increases the tourist flows by 3 to 4 percent, while the indirect effect is between 2 and 3 percent.

Esta tese apresenta três ensaios em macroeconomia aplicada e que possuem em comum o uso de técnicas estatísticas e econométricas em problemas macroeconômicos. Dentre os campos de pesquisa da macroeconomia aplicada, a tese faz uso de modelos macroeconômicos microfundamentados, em sua versão DSGE-VAR, e da macroeconomia financeira por meio da avaliação do comportamento da correlação entre os retornos das ações usando modelos Garch multivariados. Além disso, a tese provoca a discussão sobre um novo campo de pesquisa em macroeconomia que surge a partir do advento da tecnologia. No primeiro ensaio, aplicamos a abordagem DSGE-VAR na discussão sobre a reação do Banco Central do Brasil (BCB) as oscilações na taxa de câmbio, especificamente para o caso de uma economia sob metas de inflação. Para tanto, baseando-se no modelo para uma economia aberta desenvolvido por Gali e Monacelli (2005) e modificado por Lubik e Schorfheide (2007), estimamos uma regra de política monetária para o Brasil e examinamos em que medida o BCB responde a mudanças na taxa de câmbio. Além disso, estudamos o grau de má especificação do modelo DSGE proposto. Mais especificamente, comparamos a verossimilhança marginal do modelo DSGE às do modelo DSGE-VAR e examinamos se o Banco Central conseguiu isolar a economia brasileira, em particular a inflação, de choques externos. Nossas conclusões mostram que as respostas aos desvios da taxa de câmbio são diferentes de zero e menores do que as respostas aos desvios da inflação. Finalmente, o ajuste do modelo DSGE é consideravelmente pior do que o ajuste do modelo DSGE-VAR, independentemente do número de defasagens utilizadas no VAR o que indica que de um ponto de vista estatístico existem evidências de que as restrições cruzadas do modelo teórico são violadas nos dados. O segundo ensaio examina empiricamente o comportamento da correlação entre o retorno de ações listadas na BMF&BOVESPA no período de 2000 a 2015. Para tanto, utilizamos modelos GARCH multivariados introduzidos por Bollerslev (1990) para extrair a série temporal das matrizes de correlação condicional dos retornos das ações. Com a série temporal dos maiores autovalores das matrizes de correlação condicional estimadas, aplicamos testes estatísticos (raiz unitária, quebra estrutural e tendência) para verificar a existência de tendência estocástica ou determinística para a intensidade da correlação entre os retornos das ações representadas pelos autovalores. Nossas conclusões confirmam que tanto em períodos de crises nacionais como turbulências internacionais, há intensificação da correlação entre as ações. Contudo, não encontramos qualquer tendência de longo prazo na série temporal dos maiores autovalores das matrizes de correlação condicional. Isso sugere que apesar das conclusões de Costa, Mazzeu e Jr (2016) sobre a tendência de queda do risco idiossincrático no mercado acionário brasileiro, a correlação dos retornos não apresentou tendência de alta, conforme esperado pela teoria de finanças. No terceiro ensaio, apresentamos pesquisas que utilizaram Big Data, Machine Learning e Text Mining em problemas macroeconômicos e discutimos as principais técnicas e tecnologias adotadas bem como aplicamos elas na análise de sentimento do BCB sobre a economia. Por meio de técnicas de Web Scraping e Text Mining, acessamos e extraímos as palavras usadas na escrita das atas divulgadas pelo Comitê de Política Monetária (Copom) no site do BCB. Após isso, comparando tais palavras com um dicionário de sentimentos (Inquider) mantido pela Universidade de Harvard e originalmente apresentado por Stone, Dunphy e Smith (1966), foi possível criar um índice de sentimento para a autoridade monetária. Nossos resultados confirmam que tal abordagem pode contribuir para a avaliação econômica dado que a série temporal do índice proposto está relacionada com variáveis macroeconômicas importantes para as decisões do BCB. / This thesis presents three essays in applied macroeconomics and who have in common the use of statistical and econometric techniques in macroeconomic problems. Among the search fields of applied macroeconomics, the thesis makes use of microfounded macroeconomic models, in tis DSGE-VAR version, and financial macroeconomics through the evaluation of the behavior of correlation between stock returns using multivariate Garch models. In addition, leads a discussion on a new field of research in macroeconomics which arises from the advent of technology. In the first experiment, we applied the approach to dynamic stochastic general equilibrium (DSGE VAR in the discussion about the reaction of the Central Bank of Brazil (CBB) to fluctuations in the exchange rate, specifically for the case of an economy under inflation targeting. To this end, based on the model for an open economy developed by Gali and Monacelli (2005) and modified by Lubik and Schorfheide (2007), we estimate a rule of monetary policy for the United States and examine to what extent the CBC responds to changes in the exchange rate. In addition, we studied the degree of poor specification of the DSGE model proposed. More specifically, we compare the marginal likelihood of the DSGE model to the DSGE-VAR model and examine whether the Central Bank managed to isolate the brazilian economy, in particular the inflation, external shocks. Our findings show that the response to deviations of the exchange rate are different from zero and lower than the response to deviations of inflation. Finally, the adjustment of the DSGE model is considerably worse than the adjustment of the DSGE-VAR model, regardless of the number of lags used in the VAR which indicates that a statistical point of view there is evidence that the restrictions crusades of the theoretical model are violated in the data. The second essay examines empirically the behavior of the correlation between the return of shares listed on the BMF&BOVESPA over the period from 2000 to 2015. To this end, we use models multivariate GARCH introduced by Bollerslev (1990) to remove the temporal series of arrays of conditional correlation of returns of stocks. With the temporal series of the largest eigenvalues of matrices of correlation estimated conditional, we apply statistical tests (unit root, structural breaks and trend) to verify the existence of stochastic trend or deterministic to the intensity of the correlation between the returns of the shares represented by eigenvalues. Our findings confirm that both in times of crises at national and international turbulence, there is greater correlation between the actions. However, we did not find any long-term trend in time series of the largest eigenvalues of matrices of correlation conditional. In the third test, we present research that used Big Data, Machine Learning and Text Mining in macroeconomic problems and discuss the main techniques and technologies adopted and apply them in the analysis of feeling of BCB on the economy. Through techniques of Web Scraping and Text Mining, we accessed and extracted the words used in the writing of the minutes released by the Monetary Policy Committee (Copom) on the site of the BCB. After that, comparing these words with a dictionary of feelings (Inquider) maintained by Harvard University and originally presented by Stone, Dunphy and Smith (1966), it was possible to create an index of sentiment for the monetary authority. Our results confirm that such an approach can contribute to the economic assessment given that the temporal series of the index proposed is related with macroeconomic variables are important for decisions of the BCB.