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Essays on long memory processes. / Ensaios sobre processos de memória longa.Fernando Fernandes Neto 28 November 2016 (has links)
The present work aims at discussing the main theoretical aspects related to the occurrence of long memory processes and its respective application in economics and finance. In order to discuss the main theoretical aspects of its occurrence, it is worth starting from the complex systems approach and emergent phenomena, keeping in mind that many of these are computationally irreducible. In other words, the current state of the system depends on all previous states, in such a way that any change in the initial configuration must cause a significant difference in all posterior states. That is, there is a persistence of information over time - this is a concept directly related to long memory processes. Hence, based on complex systems simulations, three factors (possibly there are many others) were related to the rise of long memory processes: agents\' heterogeneity, occurrence of large deviations from the steady states (in conjunction with the motion laws of each system) and spatial complexity (which must influence on information propagation and on the dynamics of agents competition). In relation to the applied knowledge, first it is recognized that the explanatory factors for the rise of long memory processes are common to the structures/characteristics of real markets and it is possible to identify potential stylized facts when filtering the long memory components from time series - a considerable part of information present in time series is a consequence of the autocorrelation structure, which is directly related to the specificities of each market. Given that, in this thesis was developed a new risk contagion technique that does not need any further intervention. This technique is basically given by the calculation of rolling correlations between long memory filtered series of the conditional variances for different economies, such that these filtered series contain the stylized facts (risk peaks), free from possible overreactions caused by market idiosyncrasies. Then, based on the identification of risk contagion episodes related to the 2007/2008 Subprime Crisis in the U.S. and its respective contagion to the Brazilian economy, it was filtered out from the conditional variance of the Brazilian assets (which are an uncertainty measure) aiming at eliminating the contagion episodes and, consequently, it was made a counterfactual projection of what would have happened to the Brazilian economy if the risk contagion episodes had not occurred. Moreover, in conjunction with the evolutionary trend of the Brazilian economy prior to the crisis, it is possible to conclude that 70% of the economic crisis posterior to the 2008 events was caused by macroeconomic policies and only 30% is due to the effects of risk contagion episodes from the U.S. / O presente trabalho tem como objetivo discutir os principais aspectos teóricos ligados à ocorrência dos processos de memória longa e sua respectiva aplicação em economia e finanças. Para discutir os principais aspectos teóricos da sua ocorrência, recorre-se primeiramente à abordagem de sistemas complexos e fenômenos emergentes, tendo em vista que muitos destes são irredutíveis computacionalmente, ou seja, o estado atual do sistema depende de todos os estados anteriores, tal que, qualquer mudança nos instantes iniciais deve causar significativa diferença nos estados posteriores. Em outras palavras, há uma persistência da informação - conceito este intimamente ligado à memória longa. Portanto, com base em simulações de sistemas complexos computacionais, três fatores (podendo haver outros mais) foram relacionados ao surgimento de processos de memória longa: heterogeneidade dos agentes, ocorrência de grandes desvios do equilíbrio do sistema (em consonância com as respectivas leis do movimento de cada sistema estudado) e a complexidade espacial (que deve influenciar na propagação da informação e na dinâmica competitiva dos agentes). Em relação à aplicação do conhecimento, primeiro é reconhecido que os fatores explicativos para o surgimento de processos de memória longa são inerentes a estruturas/características de mercados reais e que é possível identificar potenciais fatos estilizados, ao filtrar as componentes de memória longa de séries temporais - grande parte da informação presente nas séries é função da estrutura de autocorrelação que advém das especificidades de cada mercado. Com base nisso, nesta tese foi desenvolvida uma nova técnica de estimação de contágio de risco, que não necessita intervenções adicionais, tendo em vista a identificação prévia de potenciais fatos estilizados em diferentes economias, utilizando as séries filtradas de variância condicional, tal que a partir destas séries filtradas é calculada uma correlação com horizonte móvel de observações entre choques (picos de risco) de curto prazo livres de possíveis reações causadas por idiossincrasias de cada mercado. Posteriormente, com base na identificação dos episódios ligados à Crise do Subprime de 2007/2008 nos Estados Unidos e seu respectivo contágio para a economia brasileira, filtrou-se a variância condicional dos ativos brasileiros (que é uma medida de incerteza), objetivando-se eliminar os eventos de contágio e, consequentemente, foi feita uma projeção contrafactual da evolução da economia, caso os episódios da crise não tivessem ocorrido. Com base nestes dados e com uma análise da tendência evolutiva da economia brasileira no período anterior à crise, constatou-se que 70% da crise econômica vivenciada no Brasil no período pós-2008 é decorrente de falhas na condução da política macroeconômica e somente 30% decorre dos efeitos do cenário externo na economia.
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Previsão de atividade econômica por demanda de fretesGodinho, Artur Dias 29 August 2018 (has links)
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Previous issue date: 2018-08-29 / Este trabalho busca aprimorar um dos métodos de construção de indicadores coincidentes mais utilizados da atualidade, desenvolvido pelo The Conference Board (TCB). Esses indicadores buscam detectar mudanças no ciclo econômico de curto prazo. Para isso foi proposta a adição de uma variável que mede a demanda de fretes no cálculo do indicador e uma mudança da metodologia de determinação da relevância (ou peso) de cada variável no indicador. A nova variável é produzida pela Fretebras, uma empresa privada que atua a nível nacional no setor de transporte de cargas. Foram gerados novos indicadores coincidentes com as alterações propostas e comparados com a metodologia atual através de um indicador coincidente de referência. A adição da nova variável permitiu uma melhoria no indicador, bem como a proposta de mudança de metodologia, que neste caso, apresentou impacto mais expressivo na capacidade preditiva do indicador. / This paper seeks to improve the coincident indicator construction method developed by The Conference Board (TCB), one of the most commonly used of the actuality. These indicators seek to detect changes in the short-term economic cycle. In order to do so, it was proposed to add a variable that measures freight demand in the calculation of the indicator and a change in the methodology for determining the relevance (or weight) of each variable in the indicator. The new variable is produced by Fretebras, a private company that operates at the national level in the cargo transportation sector. New coincident indicators with the proposed changes were generated and compared with the current methodology through a benchmark coincident indicator. The addition of the new variable allowed an improvement in the indicator, as well as the proposed change in methodology, which in this case had a more significant impact on the predictive capacity of the indicator.
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Composition des dépenses publiques et impacts sur la croissance économique : analyses théoriques et empiriques sur des panels de pays développés, émergents et en voie de développement / Composition of public spending and impacts on economic growth : theoretical and empirical analyses on panels of developed, emerging and developing countriesDione, Léon-Amath 28 September 2016 (has links)
Le rôle économique de l’État fait l’objet de nombreuses controverses autant dans le cadre théorique que du point de vue pratique. Les acteurs de ces controverses sont les objecteurs de l’efficacité de l’intervention publique depuis Smith à nos jours, les keynésiens et les économistes de la synthèse néo-classique. Divers thèmes allant du principe de la main invisible, de l’impôt, des anticipations, du fardeau de la dette, de l’effet d’éviction, de la production de biens publics sont questionnés à travers de tels débats. Le travail explique la ventilation des composantes des dépenses publiques et leurs conséquences suivant le développement (OCDE, BRICS et UEMOA). L’étude montre également que les effets des dépenses publiques et de leurs composantes sur l’activité économique sont différents suivant le niveau de revenu des pays. Enfin, ce travail de recherche suggère que la taille optimale des dépenses publiques et celle de leurs composantes sont une fonction croissante du niveau de développement à l’exception des dépenses militaires. / The economic role of the State has been the subject of much debate both from theoretical and the practical perspectives. The actors of these controversies include the objectors of the efficiency of the public intervention since Smith to the present days, Keynesians and economists of the synthesis. Topics ranging from principle of the invisible hand, tax, expectations, burden of the debt, crowding out effect, public sector production are treated through of such debates. The work explains the breakdown of public spending components and implications for countries at levels development (OECD, BRICS, and WAEMU). The study also indicated that the effects of the public spending and its components on the economic activity are different according countries’ stage of development. A lastly, research work suggests that the optimal size of the public spending and its components are an increasing function of the level of development with the exception of military expenditures.
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Analýza trhu práce starší pracovní síly v České republice v letech 2005-2015 / Analysis of Older Workers Labour Market in the Czech Republic During the Years 2005-2015Virtová, Olga January 2015 (has links)
Czech Republic, like other European developed countries, has to deal with impacts of population ageing. The number of older people in society grows therefore the drain on workers in productive age is rising. Population ageing causes problems within current setting of the Czech pension system, especially in long-term sustainability of public finance. Hence added involvement of elderly people into working process becomes necessary. The goal of this Masters thesis is to analyse the situation of older workers on Czech labour market between 2005 and 2015 and to find some possible solutions that would increase the employment rate of people before and in retirement age. There are four chapters in the theoretical part that are dealing with population ageing, labour market, specificities of employing older workers and tools used to increase the employment rate. The practical part is focused on demographic situation in the Czech Republic and especially on analysis of the situation of older workers on the Czech labour market in comparison to countries of the European Union. Analysis that was carried out confirms that the overall employment rate of older workers in the Czech Republic is on a good level however there are some areas that need to be improved. For example, option of using part time working contracts is underused as well as the motivation of elderly people to stay economically active. In the last chapter there are possible solutions suggested. These recommendations could strengthen motivation of older workers to stay on labour market and in the same time should motivate employers to employ these workers.
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Uplatňování DPH veřejnoprávními subjekty - obcemi / Application of value added tax by public bodies - municipalitiesSlámová, Ivana January 2015 (has links)
This diploma thesis deals with questions on value added tax of municipalities. In the first chapter is defined the term public body. The second chapter describes the most important provisions of the VAT Code, focusing on specificities of municipalities. This chapter also describes the main characteristics of the proposed solutions which are analysed in the Copenhagen Economics study. The practical part is focused on concrete examples of application of the VAT Code and analyses impact of the selected change on the tax liability of municipality.
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Starší pracovníci na trhu práce. / Older workers in the labour marketPazderníková, Michaela January 2016 (has links)
The thesis is dealing with the older workers in the labour market. The aim of this thesis is to analyse and evaluate the situation of the older workers in the labour market in the Czech Republic, especially in the years 2000 and 2005-2015, or even in 2015, with the focus on the indicators of the labour market, on the position of the older workers in this market according to selected aspects, and on the instruments affecting and encouraging these workers in the labour market. The thesis consists of the theoretical and the practical part. The theoretical part defines the problem of the demographic aging population, because this process is one of the reasons, why it is necessary to pay attention to the older workers in the labour market. This theoretical part is also dealing with the employment, unemployment, employment policy and strategic documents in relation to the older workers. The practical part begins with the demographic development in the Czech Republic, the following chapters are dealing with the analysis of the labour market indicators, instruments to support the older workers in the labour market and the comparison of the Czech Republic and EU states.
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Analýza příjmové nerovnosti pohlaví / Analysis of Income Inequality Between the SexesKuboušková, Hana January 2010 (has links)
Diploma thesis is focused on understanding the causes of gender pay gap, especially in connection with parenthood and related differences between male and female qualification- and career development and their respective time schedule. Using statistical methods and software instruments Statgraphics and Microsoft Excel the thesis attempts to describe the influence of parenthood and other significant factors such as age, education, occupational status or work field on economic activity and total personal income with respect to gender pay gap.
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[en] THE EFFECTS OF UNCERTAINTY ON ACTIVITY AND MONETARY POLICY IN BRAZIL / [pt] OS EFEITOS DA INCERTEZA SOBRE ATIVIDADE E POLÍTICA MONETÁRIA NO BRASILRICARDO DE MENEZES BARBOZA 02 March 2018 (has links)
[pt] Este trabalho tem um duplo objetivo. Em primeiro lugar, investiga qual o efeito da incerteza sobre a atividade econômica no Brasil. Para isso, são construídas diversas proxies que buscam captar o nível de incerteza vigente no Brasil (incerteza doméstica) e em vários de seus principais parceiros comerciais (incerteza externa). Em seguida, são estimados modelos de vetores autorregressivos (SVAR), em linha com Baker, Bloom e Davis (2016). Os resultados obtidos sugerem que a incerteza tem efeitos contracionistas relevantes sobre a economia brasileira. Em segundo lugar, estuda qual o efeito da incerteza sobre o poder da política monetária no Brasil. Para tanto, são construídos diversos modelos de vetores autorregressivos interativos (IVAR), tal como proposto por Aastveit, Natvik e Sola (2013), porém estimados por LASSO Adaptativo. As estimativas obtidas não corroboram a hipótese de que sob alta incerteza os efeitos da política monetária sobre a atividade são menores do que sob baixa incerteza. Este resultado, no entanto, não é robusto. / [en] This work has a dual purpose. First of all, we investigate the effect of uncertainty on economic activity in Brazil. In order to do that, we construct several proxies which seek to capture the uncertainty level prevailing in Brazil (domestic uncertainty) and in several of our major trading partners (external uncertainty). Next, we estimate vector autoregressive (SVAR) models, in line with Baker, Bloom and Davis (2016). The results suggest that uncertainty has, in fact, contractionary effects on the activity in Brazil. Second, we study the effect of uncertainty on effectiveness of monetary policy in Brazil. Thus, we make use of interacted vector autoregressive (IVAR) models, as proposed by Aastveit, Natvik and Sola (2013), estimated, however, by Adaptive LASSO. Our estimates do not corroborate the hypothesis that under high uncertainty the effects of monetary policy on the activity are lower than under low uncertainty.
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Desigualdad Salarial entre Familias de Carreras Profesionales / Salary Inequality among Professional Career FamiliesChata Flores, Olga Estefany 05 November 2021 (has links)
El objetivo de esta investigación es evaluar qué variables impactan en la determinación del salario de los profesionales. Se han considerado como explicativas a las características por parte de la oferta laboral, es decir, del profesional, que son años de educación, género y zona de ubicación; también se incluye en la estimación a una variable que indica a qué familia de carrera pertenece el profesional. Además, se tiene en cuenta a una característica por parte de la demanda laboral, que es la actividad económica en la que trabaja el profesional, esto con el propósito de tener un modelo ampliado que analice tanto la perspectiva de oferta como de demanda laboral.
Por ello, para la estimación de salarios se ha empleado la metodología en dos etapas de Heckman, ya que esta da solución al problema de sesgo de selección que está presente cuando se quieren estimar los ingresos laborales. De la sección econométrica se obtuvo que un individuo que cuente con más años de educación, que sea hombre y que trabaje en Lima Metropolitana, obtendrá mayores salarios. Por otro lado, tanto las variables de familia de carrera como de actividad económica resultaron fundamentales para la explicación de salarios de los profesionales. / The objective of this research is to evaluate which variables impact on the determination of the salary of professionals. The characteristics by part of the labor offer, that is, of the professional, have been considered as explanatory, which are years of education, gender, and area of location; a variable that indicates to which career family the professional belongs is also included in the estimation. In addition, a characteristic by part of the labor demand is taken into account, which is the economic activity in which the professional works, this with the purpose of having an expanded model that analyzes both the labor offer and demand perspectives.
For this reason, for the estimation of salaries, Heckman’s two-stage methodology has been used, since it addresses the selection bias problem that is present when estimating labor income. From the econometric section, it was obtained that an individual who has more years of education, who is a man, and who works in Metropolitan Lima, has higher salaries. On the other hand, both the variables of career family and economic activity were fundamental for explaining the salaries of professionals. / Trabajo de investigación
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Politique budgétaire procyclique, stabilisation conjoncturelle et croissance économique dans la zone Union Economique et Monétaire Ouest Africaine / Procyclical fiscal policy, economic stabilization and economic growth in the Economic and Monetary Union of West Africa areaDiop, Mamadou 20 December 2013 (has links)
Malgré les importants programmes économiques et financiers entrepris à la fin des années 80 et l’adoption du Pacte de convergence en 1999, les taux de croissance des Etats de l’UEMOA restent en deçà du niveau minimal de 7% requis pour la réalisation des Objectifs du Millénaire pour le Développement (OMD). Cette faiblesse du rythme de croissance conduit aujourd’hui à s’interroger sur l’efficacité des politiques économiques et en particulier, sur le rôle que devraient jouer les autorités publiques à travers la politique budgétaire. Nous analysons, à partir des données empiriques, le caractère procyclique de la politique budgétaire dans la zone UEMOA, en testant les éventuels retournements liés à l’adoption du Pacte de convergence. Ensuite, dans un deuxième temps, nous estimons à travers un modèle VAR structurel, l’impact dynamique des chocs budgétaires sur les fluctuations de l’activité économique des pays de l’UEMOA et leurs canaux de transmission. En dernier lieu, nous exposons d’abord les limites de l’approche utilisée par le FMI pour le calcul des contributions de la politique budgétaire à la croissance économique ; puis, nous proposons un modèle d’évaluation des effets de long terme de cette politique sur la croissance, tout en montrant les risques liés aux coupes budgétaires sur les investissements publics. Les résultats de cette thèse suggèrent l’adoption de règles budgétaires qui tiennent compte de la situation conjoncturelle de chaque pays, la rapidité dans l’action gouvernementale pour remédier à l’inertie des finances publiques et le renforcement des investissements publics productifs afin de mieux soutenir la croissance économique / Despite significant economic and financial programs undertaken in the late 80s and the adoption of the convergence Pact in 1999, the growth rate of Economic and Monetary Union of West Africa (EMUWA) countries remain below the minimum level of 7% required for the achievement of Millennium Development Goals (MDGs). This low growth rate now leads to questions about the effectiveness of economic policy and, in particular, on the role to be played by public authorities through fiscal policy. We analyze empirical data through, the procyclicality of fiscal policy in the EMUWA and we test the possible reversals related to the adoption of the convergence Pact. Then, in a second step, we estimate from a structural VAR model, the dynamic impact of fiscal shocks on fluctuations in the economic activity of the EMUWA countries and their transmission channels. Finally, we discuss the limitations of the approach used by the International Monetary Fund (IMF) to calculate the contributions of fiscal policy to economic growth; then, we propose an evaluation of the long-term effects of this policy model on growth, while showing the risks of cuts on public investment.The results of this thesis suggest the adoption of fiscal rules that take into account the economic situation of each country, the speed in government action to overcome the inertia of public finances and strengthening of productive public investments to better support economic growth
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