Submitted by Guilherme Kater (guikater@hotmail.com) on 2015-09-14T18:36:07Z No. of bitstreams: 1 Dissertação FINAL ENG.pdf: 720256 bytes, checksum: 7f7ae7b4da61d9a474e3e3ccea9f4a64 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-14T19:01:21Z (GMT) No. of bitstreams: 1 Dissertação FINAL ENG.pdf: 720256 bytes, checksum: 7f7ae7b4da61d9a474e3e3ccea9f4a64 (MD5) / Made available in DSpace on 2015-09-14T19:08:57Z (GMT). No. of bitstreams: 1 Dissertação FINAL ENG.pdf: 720256 bytes, checksum: 7f7ae7b4da61d9a474e3e3ccea9f4a64 (MD5) Previous issue date: 2015-08-25 / This work aims to analyze the interaction and the effects of administered prices in the economy, through a DSGE model and the derivation of optimal monetary policies. The model used is a standard New Keynesian DSGE model of a closed economy with two sectors companies. In the first sector, free prices, there is a continuum of firms, and in the second sector of administered prices, there is a single firm. In addition, the model has positive trend inflation in the steady state. The model results suggest that price movements in any sector will impact on both sectors, for two reasons. Firstly, the price dispersion causes productivity to be lower. As the dispersion of prices is a change in the relative price of any sector, relative to general prices in the economy, when a movement in the price of a sector is not followed by another, their relative weights will change, leading to an impact on productivity in both sectors. Second, the path followed by the administered price sector is considered in future inflation expectations, which is used by companies in the free sector to adjust its optimal price. When this path leads to an expectation of higher inflation, the free sector companies will choose a higher mark-up to accommodate this expectation, thus leading to higher inflation trend when there is imperfect competition in the free sector. Finally, the analysis of optimal policies proved inconclusive, certainly indicating that there is influence of the adjustment model of administered prices in the definition of optimal monetary policy, but a quantitative study is needed to define the degree of impact. / Este trabalho tem o objetivo de analisar a interação e os efeitos dos preços administrados na economia, por meio de um modelo DSGE e pela derivação das políticas monetárias ótimas. O modelo utilizado é um modelo DSGE padrão Novo Keynesiano de uma economia fechada com empresas de dois setores, no primeiro setor, de preços livres, há um contínuo de empresas, e no setor de preços administrados uma única empresa. Adicionalmente, o modelo possui inflação positiva no steady state. Os resultados do modelo sugerem que os movimentos de preços em qualquer setor terá impacto em ambos os sectores, por duas razões. Em primeiro lugar, a dispersão de preços faz com que a produtividade seja menor. Como a dispersão dos preços é uma mudança no preço relativo de qualquer sector, em relação aos preços gerais da economia, quando um movimento nos preços de um setor não é seguido pelo outro, seus pesos relativos mudarão, levando a um impacto sobre a produtividade em ambos os sectores. Em segundo lugar, o caminho seguido pelo setor de preços administrados é considerado na expectativa futura de inflação, que é utilizado pelas empresas do setor livre para ajustar o seu preço ótimo. Quando este caminho leva a uma expectativa de inflação mais elevada, as empresas do sector livre irão escolher um mark-up maior, para acomodar esta expectativa, conduzindo assim a uma maior tendência de inflação, quando há uma concorrência imperfeita no setor livre. Por fim, a análise das políticas ótimas se mostrou inconclusiva, certamente indicando que há influencia do modelo de ajuste dos preços administrados na definição da política monetária ótima, porém sendo necessário um estudo quantitativo para definir o grau de impacto.

A literatura sobre economia monetária vem despertando interesse crescente dentro da macroeconomia. Devido aos avanços computacionais, os modelos têm se tornado cada vez mais complexos e precisos, permitindo estudar detalhadamente as relações entre as variáveis reais da economia e as variáveis nominais. Dessa forma, através de um modelo de equilíbriogeral estocástico e dinâmico (DSGE) baseado em Gali e Monacelli (2005), é proposto e estimado um modelo para a economia brasileira através de métodos bayesianos, com o intuito de avaliar se o Banco Central do Brasil (BCB) considera variações cambiais na condução da política monetária. O resultado mais importante do presente trabalho é que não há evidências de que o BCB altere diretamente a trajetória dos juros devido a variações na taxa de câmbio. Um exercício de simulação também é realizado. Conclui-se que a economia acomoda rapidamente choques induzidos separadamente na taxa de câmbio, nos termos de troca, na taxa de juros e na inflação mundial. / The literature on monetary economy has aroused growing interest in macroeconomics. Due to computational advancements, models have been increasingly more complex and accurate, allowing for the in-depth analysis of the relationships between real economic variables and nominal variables. Therefore, using a dynamic stochastic general equilibrium (DSGE) model, based on Gali and Monacelli (2005), we propose and estimate a model for the Brazilian economy by employing Bayesian methods so as to assess whether the Central Bank of Brazil takes exchange rate fluctuations into account in the conduct of monetary policy. The most striking result of the present study is that the Central Bank of Brazil does not directly change the interest rate path due to exchange rate movements. A simulation exercise is also used. Our conclusion is that the economy quickly accommodates shocks induced separately on the exchange rate, on the terms of trade, on the interest rate, and on global inflation.

Este trabalho estima, utilizando dados trimestrais de 1999 a 2011, o impacto dinâmico de um estímulo fiscal no Brasil sobre as principais variáveis macroeconômicas Brasileiras. Na estimativa dos impactos permitiu-se que as expectativas dos agentes econômicas fossem afetadas pela existência e probabilidade de alternância de regimes (foram detectados dois regimes) na política monetária do país. Os parâmetros da regra da política monetária, nos dois regimes detectados, foram estimados através de um modelo - composto apenas pela equação da regra da política monetária - que permite uma mudança de regime Markoviana. Os parâmetros do único regime encontrado para a política fiscal foram estimados por um modelo Vetorial de Correção de Erros (Vector Error Correction Model - VEC), composto apenas pelas variáveis pertencentes à regra da política fiscal. Os parâmetros estimados, para os diversos regimes das políticas monetária e fiscal, foram utilizados como auxiliares na calibragem de um modelo de equilíbrio geral estocástico dinâmico (MEGED), com mudanças de regime, com rigidez nominal de preços e concorrência monopolística (como em Davig e Leeper (2011)). Após a calibragem do MEGED os impactos dinâmicos de um estímulo fiscal foram obtidos através de uma rotina numérica (desenvolvida por Davig e Leeper (2006)) que permite obter o equilíbrio dinâmico do modelo resolvendo um sistema de equações de diferenças de primeira ordem expectacionais dinâmicas não lineares. Obtivemos que a política fiscal foi passiva durante todo o período analisado e que a política monetária foi sempre ativa, porém sendo em determinados momentos menos ativa. Em geral, em ambas as combinações de regimes, um choque não antecipado dos gastos do governo leva ao aumento do hiato do produto, aumento dos juros reais, redução do consumo privado e (em contradição com o resultado convencional) redução da taxa de inflação. / This paper estimates, using quarterly data from 1999 to 2011, the dynamic impacts of a fiscal stimulus in Brazil on key Brazilian macroeconomic variables. The estimates take into account the effects of the existence and of the probabilities of occurrence of the switching monetary policy regimes (two regimes were detected) on agents expectations formation. The monetary policy rules parameters, in the two detected regimes, were estimated through a Markov regime-switching model composed only by the monetary policy rule equation. The fiscal rules parameters of the unique detected fiscal policy regime were estimated through a Vector Error Correction (VEC) model composed only by the variables pertained to the fiscal policy rule. The monetary and fiscal policy rules parameters were auxiliary in the calibration of a Dynamic Stochastic General Equilibrium (DSGE) model with regime-switching, nominal price rigidity and monopolistic competition (as in Davig and Leeper (2011)). After the DSGEs calibration the fiscal stimuluss impacts were obtained through a numerical routine (developed by Davig and Leeper (2006)) that solves a set of nonlinear expectational first-order difference equations and gives the dynamic equilibrium of the model. Our results suggest that fiscal policy was passive during the whole period and that monetary policy was always active, but they were more active at certain times and in others, less active. Overall, in both combinations of regimes, a government spending shock induces an increase in the output gap, increases in real interest rates, a reduction in private consumption and (contrary to the conventional wisdom) a reduction in inflation.

Submitted by Débora Morais (morais.debora@gmail.com) on 2012-09-04T00:04:09Z No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 320015 bytes, checksum: 22c924dfc03055e0ea63193844dbcc2c (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: Falta a folha de aprovação no arquivo digital. on 2012-09-04T18:05:15Z (GMT) / Submitted by Débora Morais (morais.debora@gmail.com) on 2012-09-04T19:40:28Z No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2012-09-04T19:43:07Z (GMT) No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) / Made available in DSpace on 2012-10-15T18:18:52Z (GMT). No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) Previous issue date: 2012-05-28 / This study aims to estimate a natural real rate of interest quarterly series for Brazil through a Dynamic Stochastic General Equilibrium (DSGE) model, from 2000´s first quarter to 2011´s fourth. The model represents a closed economy with households maximizing CRRA, profit maximizing firms in imperfect competition and a government with a balanced budget fiscal policy and a Taylor type monetary policy rule, in a context of price rigidity. In this framework, the neutral real interest rate was calculated based on productivity and government spending shocks, which were considered the most appropriate ones for the Brazilian economy. Moreover, we analyze the responses of the natural rate to productivity and government spending shocks, its behavior thru the estimated period and its sensibility to alternative calibrations. Finally, by comparing the behavior of the interest rate gap and inflation, we found negative correlations of 56% and 83% for the full period estimated and for a latter-day sample (from 2006´s first quarter to 2011´s last), respectively, indicating some reliability in the obtained series. / Este trabalho objetiva estimar uma série trimestral para a taxa de juros real neutra brasileira via modelo de Equilíbrio Geral Dinâmico Estocástico (DSGE), para o período compreendido entre o primeiro trimestre de 2000 e o último de 2011. O modelo representa uma economia fechada, com famílias maximizando utilidade do tipo CRRA, firmas maximizando lucro em um mercado de concorrência imperfeita e um governo com política fiscal de orçamento equilibrado e regra de política monetária à la Taylor, em um contexto de rigidez de preços. Neste arcabouço, a taxa de juros real neutra foi calculada com base nos choques de produtividade e de gastos de governo, que foram considerados os mais relevantes para a economia brasileira. Adicionalmente, analisou-se o impacto dos choques de produtividade e gastos do governo sobre a taxa neutra, assim como seu comportamento ao longo do período estimado e sua sensibilidade a calibragens alternativas. Por fim, ao comparar o comportamento do hiato de taxa de juros vis-à-vis à inflação, encontramos correlações negativas de 56% e 83% para todo o período estimado e para uma amostra mais recente (do primeiro trimestre de 2006 até o último de 2011), respectivamente, indicando certa consistência na série obtida.

Submitted by Rodrigo Ribeiro Martins Santin (rrmsantin@gmail.com) on 2013-03-01T20:51:37Z No. of bitstreams: 1 Dissertação_RodrigoSantin_2012.pdf: 816914 bytes, checksum: 541c67c450eee2706710e9d6d80f47db (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Prezado Rodrigo, Na ata não tem informação da alteração do título para alterar é necessário o orientador informar e assinar a ata. Ano de apresentação 2013 e não 2012. titulo da ata: ANÁLISE DA POLÍTICA DE CRÉDITO DO BNDES EM UM MODELO DSGE. Att. Suzi 3799-7876 on 2013-03-04T13:17:20Z (GMT) / Submitted by Rodrigo Ribeiro Martins Santin (rrmsantin@gmail.com) on 2013-03-04T14:28:06Z No. of bitstreams: 1 Dissertação_RodrigoSantin_2013.pdf: 816940 bytes, checksum: 6bf6c34d8a94d8c852d468d55c08d3f0 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-04T14:39:38Z (GMT) No. of bitstreams: 1 Dissertação_RodrigoSantin_2013.pdf: 816940 bytes, checksum: 6bf6c34d8a94d8c852d468d55c08d3f0 (MD5) / Made available in DSpace on 2013-03-04T14:48:40Z (GMT). No. of bitstreams: 1 Dissertação_RodrigoSantin_2013.pdf: 816940 bytes, checksum: 6bf6c34d8a94d8c852d468d55c08d3f0 (MD5) Previous issue date: 2013-02-01 / This paper presents a DSGE model that contemplates three instances of monetary policy, conventional and unconventional, used by the Brazilian government to combat the effects of the global crisis started by the collapse of the american subprime. Monetary policy via interest rule a la Taylor, control of reserve requirements and credit policy of the government, in the figure of BNDES, are analyzed. The conclusion is that using various policies ultimately builds economic variables more stable and monetary policy does lose power. / Este trabalho apresenta um modelo DSGE que comtempla três instâncias de politica monetária, convencional e não convencional, utilizadas pelo governo brasileiro para combater os efeitos da crise mundial iniciada pelo colapso dos créditos subprime americanos. Politica monetária via regra de juros a la Taylor, política de controle dos depósitos compulsórios e política de crédito governamental, na figura do BNDES, são analisados. A conclusão que fica é que a utilização de diversas politicas acaba por deixar as variáveis econômicas mais estáveis e faz a política monetária perder potência.

This Thesis is composed by three independent papers that investigate<p>central debates in empirical macroeconomic modeling.<p><p>Chapter 1, entitled “A Model for Real-Time Data Assessment with an Application to GDP Growth Rates”, provides a model for the data<p>revisions of macroeconomic variables that distinguishes between rational expectation updates and noise corrections. Thus, the model encompasses the two polar views regarding the publication process of statistical agencies: noise versus news. Most of the studies previous studies that analyze data revisions are based<p>on the classical noise and news regression approach introduced by Mankiew, Runkle and Shapiro (1984). The problem is that the statistical tests available do not formulate both extreme hypotheses as collectively exhaustive, as recognized by Aruoba (2008). That is, it would be possible to reject or accept both of them simultaneously. In turn, the model for the<p>DPP presented here allows for the simultaneous presence of both noise and news. While the “regression approach” followed by Faust et al. (2005), along the lines of Mankiew et al. (1984), identifies noise in the preliminary<p>figures, it is not possible for them to quantify it, as done by our model. <p><p>The second and third chapters acknowledge the possibility that macroeconomic data is measured with errors, but the approach followed to model the missmeasurement is extremely stylized and does not capture the complexity of the revision process that we describe in the first chapter.<p><p><p>Chapter 2, entitled “Revisiting the Success of the RBC model”, proposes the use of dynamic factor models as an alternative to the VAR based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed by Forni et al. (2007) as a competitive benchmark that is able to capture weak statistical restrictions that DSGE models impose on the data. Our empirical illustration compares the out-of-sample forecasting performance of a simple RBC model augmented with a serially correlated noise component against several specifications belonging to classes of dynamic factor and VAR models. Although the performance of the RBC model is comparable<p>to that of the reduced form models, a formal test of predictive accuracy reveals that the weak restrictions are more useful at forecasting than the strong behavioral assumptions imposed by the microfoundations in the model economy.<p><p>The last chapter, “What are Shocks Capturing in DSGE modeling”, contributes to current debates on the use and interpretation of larger DSGE<p>models. Recent tendency in academic work and at central banks is to develop and estimate large DSGE models for policy analysis and forecasting. These models typically have many shocks (e.g. Smets and Wouters, 2003 and Adolfson, Laseen, Linde and Villani, 2005). On the other hand, empirical studies point out that few large shocks are sufficient to capture the covariance structure of macro data (Giannone, Reichlin and<p>Sala, 2005, Uhlig, 2004). In this Chapter, we propose to reconcile both views by considering an alternative DSGE estimation approach which<p>models explicitly the statistical agency along the lines of Sargent (1989). This enables us to distinguish whether the exogenous shocks in DSGE<p>modeling are structural or instead serve the purpose of fitting the data in presence of misspecification and measurement problems. When applied to the original Smets and Wouters (2007) model, we find that the explanatory power of the structural shocks decreases at high frequencies. This allows us to back out a smoother measure of the natural output gap than that<p>resulting from the original specification. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Previous literature examining the scenario without the constraint of legal tender law is a rather theoretical analysis of the subject matter. Aside from the theoretical examination of the competition of money this paper offers dynamic structural macroeconomic model based on the money in the utility function. This model compares the current monetary conditions with the potential situation permitting more currencies circulating alongside. The main assumption about individuals' preferences over stable currencies underlines the whole paper with emphasis on the mathematical model. The uniqueness of this model lies in the incorporation of variables affecting respective money demand functions into the utility function of the DSGE model and in the purpose of its use as well as its variables, where representative agent is a household owning a bank rather than a firm. Overall the results of this paper favor the idea of exclusion of the legal tender law in a developed country without severe turmoil. Particularly, the ascent of competition among currencies leads to lower inflation than present scenario. However, final simulations of the model in Matlab supplements such so far "unambiguous" view with skepticism due to possible difficulties during discovery process in such scenario.

Thesis is dedicated to Bayesian Estimation of DSGE Models. Firstly, the history of DSGE modeling is outlined as well as development of this macroeconometric field in the Czech Republic and in the rest of the world. Secondly, the comprehensive DSGE framework is described in detail. It means that everyone is able to specify or estimate arbitrary DSGE model according to this framework. Thesis contains two empirical studies. The first study describes derivation of the New Keynesian DSGE Model and its estimation using Bayesian techniques. This model is estimated with three different Taylor rules and the best performing Taylor rule is identified using the technique called Bayesian comparison. The second study deals with development of the Small Open Economy Model with housing sector. This model is based on previous study which specifies this model as a closed economy model. I extended this model by open economy features and government sector. Czech Republic is generally considered as a small open economy and these extensions make this model more applicable to this economy. Model contains two types of households. The first type of consumers is able to access the capital markets and they can smooth consumption across time by buying or selling financial assets. These households follow the permanent income hypothesis (PIH). The other type of household uses rule of thumb (ROT) consumption, spending all their income to consumption. Other agents in this economy are specified in standard way. Outcomes of this study are mainly focused on behavior of house prices. More precisely, it means that all main outputs as Bayesian impulse response functions, Bayesian prediction and shock decomposition are focused mainly on this variable. At the end of this study one macro-prudential experiment is performed. This experiment comes up with answer on the following question: is the higher/lower Loan to Value (LTV) ratio better for the Czech Republic? This experiment is very conclusive and shows that level of LTV does not affect GDP. On the other hand, house prices are very sensitive to this LTV ratio. The recommendation for the Czech National Bank could be summarized as follows. In order to keep house prices less volatile implement rather lower LTV ratio than higher.

Depuis la crise financière, la modélisation financière et la gestion des risques ont pris une place particulière dans les domaines de la finance et assurance. Cette thèse rentre dans ce cadre et aborde plus spécifiquement trois problématiques en lien avec la modélisation financière, l'évaluation et la couverture des risques. Les trois problématiques se déclinent en trois articles comme suit : "Optimal choice between CAT bond and debt to cover the risks of natural disasters". Ce document de recherche analyse le choix entre la dette non contingente et l'obligation catastrophe pour couvrir le risque de tremblements de terre. Un modèle dynamique d'optimisation stochastique avec frictions a été développé et montre sous quelles conditions il peut être avantageux pour un gouvernement d'émettre une obligation catastrophe plutôt qu'une obligation standard non contingente. "Écart de taux des obligations catastrophes, liquidité et taux d'intérêt " vise à analyser les déterminants de la liquidité des écarts de taux des obligations catastrophes en prenant en compte l'impact des taux d'intérêt. Ce projet permet d'analyser l'impact prépondérant du taux d'intérêt sur les écarts de taux des obligations catastrophes dans le contexte de taux d'intérêt durablement bas observé ces dernières années. "Pricing dynamics and solvency in insurance : capital allocation, surplus and insurance cycle". Cet article propose un modèle de tarification stochastique à plusieurs périodes basé sur la valeur des options de défaut, et qui prend en compte le cycle d'assurance afin d'examiner les interactions entre les prix, l'allocation optimale de capital et la solvabilité d'un assureur multirisque. / Since the financial crisis, financial modeling and risk management have taken on a special role in the fields of finance and insurance. This thesis is part of this context and addresses three specific issues related to financial modeling, risk assessment and risk coverage. The three issues are divided into three articles as follows: "Optimal choice between cat bond and debt to cover the risks of natural disasters ". This research paper analyzes the choice between non-contingent debt and catastrophe bonds to cover the risk of earthquakes. A dynamic stochastic optimization model with frictions has been developed and shows under which conditions it can be advantageous for a government to issue a catastrophe bond rather than a standard non-contingent bond. " Cat bond spreads, liquidity and interest rates" aims to analyze the determinants of liquidity and CAT bond spreads by taking into account the impact of interest rates. This project allows us to analyze the preponderant impact of interest rates on CAT bond spreads in the context of persistently low interest rates observed in recent years. "Pricing dynamics and solvency in insurance: capital allocation, surplus and insurance cycle". This paper proposes a multi-period stochastic pricing model based on the value of default options, and takes into account the insurance cycle, in order to examine the interactions among pricing, optimal capital allocation and solvency of a PC insurer.

Les gestionnaires des entreprises sont souvent des personnes différentes des actionnaires de ces entreprises. Une littérature récente (Danthine et Donaldson, 2004) explore les conséquences potentielles de cette séparation entre gestion et propriété, habituellement ignorée, pour la modélisation macroéconomique. Toutefois, les travaux de Danthine et Donaldson se basent sur un modèle simple et sans frictions et il est donc difficile de mesurer leur impact sur la modélisation macroéconomique récente, dans laquelle interagissent plusieurs frictions et chocs. Le présent mémoire adapte le modèle de Danthine et Donaldson à un environnement avec chocs monétaires et frictions nominales (contrats de salaires); à ce chapitre, le mémoire représente donc un premier pas dans la généralisation de ce modèle.