In Folge der Osterweiterung der europäischen Union (EU) und der steigenden Arbeitsmarktintegration zwischen den EU15 und den neuen Mitgliedsstaaten ist die Lohnfindung in Mittel- und Osteuropa zu einem Schwerpunkt der europäischer Wirtschaftspolitik geworden. Zugleich wird das optimale Wechselkursregime für mittel- und osteuropäische Staaten kontrovers diskutiert. Die Dissertation befasst sich mit der Fragestellung, welche Wechselkursstrategie in Mittel- und Osteuropa vorzuziehen ist, um zum einen den Lohnfindungsprozess zu optimieren und zum anderen den Anpassungsprozess (Konvergenzprozess) an europäische Lohnstandards zu beschleunigen. Diese kumulierte Arbeit besteht aus vier unabhängigen Fachaufsätzen. Zuerst wird der Frage nachgegangen, welche Wechselkursstrategie einen optimalen Rahmen für die Lohnsetzung während des Aufholprozesses mittel- und osteuropäischer Staaten ermöglicht (Kapitel zwei). Im Kapitel drei wird die Rolle der Geldpolitik in Bezug auf die Lohnfindung in Staaten mit flexiblen Wechselkursen untersucht. Die Evaluierung der Prognosefähigkeit alternativer Konjunkturindikatoren für die Euro Zone sowie deren Implikationen für den Lohnverhandlungsprozess in Mittel-und Osteuropa ist Gegenstand der Analyse in Kapitel vier. Im fünften Kapitel wird der Rolle der Lohnpolitik auf Leistungsbilanz(un)gleichgewichte in Mittel- und Osteuropa nachgegangen. / After the Eastern enlargement of the European Union (EU) and increasing participation of labor between the EU15 and the new member states, wage determination in Central and Eastern Europe (CEE) has become a key issue in European economic policy making. At the same time there are controversial discussions regarding the appropriate exchange rate regime for the CEE countries. In this thesis it is examined which exchange rate strategy provides a more favorable framework for wage setting in CEE and leads to faster wage convergence in Europe. This thesis has four parts. First, it is analyzed which exchange rate strategy provides a more favorable framework for wage setting during the economic catch-up process of CEE (section two). Second, the role of monetary policy in wage determination in countries with flexible exchange rate regimes is examined in section three. Third, the predictive power of different euro area business cycle indicators is analyzed in section four. Fourth, the impact of wage determination on the balance of payments in CEE is scrutinized (section five).

This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. In particular, we present an interest rate model and a FX rate model that I have developed for man- aging Swedbank’s Counterparty Credit Risk (CCR). In addition to the mathematical derivations, we describe the theories underlying the models, discuss the model com- parisons, and explain the model choices made in practical applications. Finally, we provide a prototype of model implementation to illustrate how theory can be put into practice. I had some doubts about the interest rate model and the FX rate model that I have developed for managing Swedbank’s CCR. These doubts have been cleared up through this thesis work. Both the doubts and the clarifications are described in this thesis. / Denna uppsats tillför en helhetsbild av modellering av räntorna och valutakurserna. Vi börjar med att definiera räntorna och valutakurserna. Med en bra uppfattning av grunden, gör vi en djupdykning i de metoder som används för att modellera räntorna och valutakurserna respektive. I synnerhet presenterar vi en räntemodell och en valu- takursmodell, som jag har utvecklat för att hantera Swedbanks motpartsrisk. Förutom de matematiska härledningarna beskriver vi också modellernas underliggande teorier, diskuterar modellerjämförelser, och förtydligar de modellval som gjorts i praktiska tillämpningar. Slutligen använder vi en prototyp för att belysa genomförandet av modellerna. Jag var en smula tveksam till de riskfaktormodeller som jag har utvecklat för att hantera Swedbanks motpartsrisk. Jag har klargjort dessa tvivel genom att arbeta med den här uppsatsen. Både tvivlen och klargörandena beskrivs i denna rapport.

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[pt] Este estudo buscou analisar a relação dinâmica entre três variáveis macroeconômicas no Brasil: Taxa de juros, Taxa de câmbio e Índice Ibovespa. A primeira variável analisada foi a taxa de juros, utilizando-se os preços de contratos futuros de taxas CDI negociados na BMeF Bovespa com vencimento em 360 dias e levantados através da plataforma Bloomberg. A segunda variável analisada foi a taxa de câmbio Real/Dolar real histórica fornecida pelo Banco Central do Brasil. A terceira variável analisada foi o Índice Ibovespa levantado pelo programa Economática. Para este estudo, foram coletados dados diários para as três variáveis do período de 04 de janeiro de 1999 a 04 de setembro de 2015 com o objetivo de se estudar a relação dinâmica entre as variáveis e a existência da memória longa e análise dos choques de volatilidade através da aplicação de modelos econométricos. O modelo VAR foi aplicado com 13 lags para a análise da relação dinâmica com o objetivo de estudar o poder explanatório entre as três variáveis. O modelo FIPARCH foi aplicado para testar a existência da memória longa e analisar os impactos dos choques de volatilidade nas variáveis. Os resultados foram significativos e mostraram um maior poder explanatório da taxa de câmbio sobre as demais variáveis, a existência da memória longa e que a volatilidade condicional é mais afetada por choques positivos para o índice Ibovespa e mais afetada por choques negativos para a taxa de câmbio e para a taxa de juros. Este estudo é importante para que profissionais de empresas e do governo planejem suas ações de curto e longo prazo para controle e planejamento da economia e para contribuir com os demais estudos sobre este tema. / [en] This study investigates the dynamic relationship between three macroeconomic variables in Brazil: Interest rate, exchange rate and Ibovespa index. The first variable analyzed was the interest rate, using the prices of futures contracts CDI traded on the BMeF Bovespa maturing in 360 days and raised through the Bloomberg platform. The second variable analyzed was the exchange rate real/dolar real historic provided by the Central Bank of Brazil. The third variable analyzed was the Ibovespa index raised by Economática program. For this study were collected daily data for the three variables between January 4,1999 to September 4, 2015 in order to study the dynamic relationship between the variables and the existence of long-term memory and analysis of shocks volatility by applying econometric models. The VAR model was applied with 13 lags for the analysis of the dynamics related to study the explanatory power between the three variables. The FIPARCH model was applied to test the existence of long memory and analyze the impacts of volatility shocks in the variables. The results were significant and showed a greater explanatory power of the exchange rate on the remaining variables, the existence of long memory and that the conditional volatility is more affected by positive shocks to the Ibovespa index and more affected by negative shocks to the exchange rate and the interest rate. This study is important for professionals in business and government to plan their short and long term actions to control and planning of the economy and to contribute for others studies of this topic.

Over the past few decades, many countries have experienced a marked decline in the volatility of output. However, there is still a significant difference between developed and developing countries in the level of output volatility. A proposed explanation for this phenomenon is the impact of economic policies on output volatility in developing countries. The empirical results reported in this study support this view. Trade openness and discretionary fiscal policy seem to increase volatility in developing countries, while the converse is true in developed countries. Furthermore, a flexible exchange rate regime is desirable to decrease volatility. However, many developing countries still use fixed rates for reasons such as a fear of floating, which contributes to volatility. The impact of monetary policy was found to be stabilising, but this could be the result of a favourable global economic environment. It should be noted, however, that uncontrollable factors such as financial systems and institutions play a vital role in all the above relationships. / Economics / M.Com. (Economics)

Thesis (MComm (Business Management))--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: his study aims to investigate whether the phenomena found by Shnoll et al. when applying histogram pattern analysis techniques to stochastic processes from chemistry and physics are also present in financial time series, particularly exchange rate and index data. The phenomena are related to fine structure of non-smoothed frequency distributions drawn from statistically insufficient samples of changes and their patterns in time. Shnoll et al. use the notion of macroscopic fluctuations to explain the behaviour of sequences of histograms. Histogram patterns in time adhere to several laws that could not be detected when using time series analysis methods. In this study general approaches are reviewed that may be used to model financial markets and the volatility of price processes in particular. Special emphasis is placed on the modelling of highfrequency data sets and exchange rate data. Following previous studies of the Shnoll phenomena from other fields, different steps of the histogram sequence analysis are carried out to determine whether the findings of Shnoll et al. could also be applied to financial market data. The findings of this thesis widen the understanding of time varying volatility and can aid in financial risk measurement and management. Outcomes of the study include an investigation of time series characteristics in terms of the formation of discrete states, the detection of the near zone effect as proclaimed by Shnoll et al., the periodic recurrence of histogram shapes as well as the synchronous variation in data sets measured in the same time intervals.

Assignment (MComm)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that return series are non-stationary. Owing to this non-stationarity nature of returns, there were no reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-ante volatility models. It was only then realised that before good volatility models can be created, reliable ex-post volatility measuremetns need to be defined. In this study we examine non-parametric ex-post volatility measurements in order to obtain approximations of the variances of non-stationary return series. A detailed mathematical derivation and discussion of the already developed volatility measurements, in particular the realised volatility- and DST measurements, are given In theory, the higher the sample frequency of returns is, the more accurate the measurements are. These volatility measurements referred to above, however, all have short-comings in that the realised volatility fails if the sample frequency becomes to high owing to microstructure effects. On the other hand, the DST measurement cannot handle changing instantaneous volatility. In this study we introduce a new volatility measurement, termed microstructure realised volatility, that overcomes these shortcomings. This measurement, as with realised volatility, is based on quadratic variation theory, but the underlying return model is more realistic. / AFRIKAANSE OPSOMMING: Volatiliteit is oorspronklik as konstant en deterministies beskou, dit was eers later dat besef is dat opbrengste nie-stasionêr is. Betroubare volatiliteits metings was nie beskikbaar nie weens die nie-stasionêre aard van opbrengste. Daarom het navorsers gefokus op vooruitskattingvolatiliteits modelle. Dit was eers op hierdie stadium dat navorsers besef het dat die definieering van betroubare volatiliteit metings 'n voorvereiste is vir die skepping van goeie vooruitskattings modelle. Nie-parametriese volatiliteit metings word in hierdie studie ondersoek om sodoende benaderings van die variansies van die nie-stasionêre opbrengste reeks te beraam. 'n Gedetaileerde wiskundige afleiding en bespreking van bestaande volatiliteits metings, spesifiek gerealiseerde volatiliteit en DST- metings, word gegee. In teorie salopbrengste wat meer dikwels waargeneem word tot beter akkuraatheid lei. Bogenoemde volatilitieits metings het egter tekortkominge aangesien gerealiseerde volatiliteit faal wanneer dit te hoog raak, weens mikrostruktuur effekte. Aan die ander kant kan die DST meting nie veranderlike oombliklike volatilitiet hanteer nie. Ons stel in hierdie studie 'n nuwe volatilitieits meting bekend, naamlik mikro-struktuur gerealiseerde volatiliteit, wat nie hierdie tekortkominge het nie. Net soos met gerealiseerde volatiliteit sal hierdie meting gebaseer wees op kwadratiese variasie teorie, maar die onderliggende opbrengste model is meer realisties.

The objective of the thesis was to study monetary policy frameworks in developing countries. The thesis focused on three aspects of the monetary framework; the degree of central bank independence, the monetary policy strategy and the exchange rate regime. The research applied quantitative empirical analysis and in-depth case studies on Egypt, Jordan and Lebanon. The empirical research investigated three areas: 1) the phenomenon of ‘fear of floating’ and the correlation between exchange rate and macroeconomic volatility; 2) the degree of monetary policy independence in developing countries in the context of their increased integration into the global economic system; and 3) the degree of central bank independence and how it impacts both ‘fear of floating’ and monetary policy independence. The case studies allowed for an in-depth understanding of the process of setting monetary policy and the constraints under which it is formulated in developing countries. The results that emerged from the quantitative analysis highlight the impact of central bank independence in influencing the other aspects of the monetary framework, as it can mitigate fear of floating and contribute to increased monetary policy independence of world interest rates in developing countries. The case studies detailed the evolution of monetary frameworks in three countries with varying degrees of central bank independence. The degree of central bank independence increased in Egypt and Jordan as a result of severe currency crises in each country, while Lebanon provides a very different example of a developing country with an independent central bank since its inception. The conclusions that emerged from the cases suggest that central bank independence is critical in achieving exchange rate and price stability; however, developing countries should avoid focusing on exchange rate stability at the expense of other considerations for extended periods of time. In that, the results point to the benefits of proactively and pre-emptively managing the exchange rate regime. The cases also highlight the importance of the coordination between fiscal and monetary policies, as conditions of fiscal profligacy can undermine even the most independent central bank.

published_or_final_version / Economics and Finance / Master / Master of Economics

Östersjön har alltid varit en viktig knutpunkt för de länder som angränsar dit för att göra det möjligt att handla med varandra och på så sätt skapa en internationell marknad sinsemellan varandra. Under 1700-1800-talet tog produktionen fart och tack vare merkantilismen utvecklades den internationella handeln. För att fastställa deras växelkurs har många länder använt sig av olika myntfot såsom till exempel guldmyntfoten där valutans värde bestämdes utifrån värdet på motsvarande mängd guld vilket innebär att växelkurserna var fasta. Utifrån guldmyntfoten utvecklades teorierna lagen om ett pris och köpkraftsparitet med principerna om att en enhet valuta ska ha samma köpkraft även i andra länder vilket innebär att en vara ska kunna köpas för samma mängd av valutan oavsett om det är inrikes eller utrikes. Dessa teorier har studerats flertalet gånger, både för kort och lång sikt, med fåtalet länder till ett större antal. Denna studie använder sig av teoriernas grundidé och testar huruvida PPP i dess absoluta samt relativa form håller för Östersjöns handelsområde. För att kunna testa detta har två ekonometriska tester av de variabler som används gjorts, stationäritetstest och kointegrationstest. Stationäritetstestet visade att alla variabler förutom de tidsserier som användes för att testa relativ PPP led av icke-stationäritet och därmed behövdes differentieras för att kunna användas för att testa PPP. Kointegrationstestet visade att ingen av tidsserierna led av kointegration vilket medförde att vidare korrigeringsmodeller ej behövdes göras. Resultatet från de ekonometriska skattningarna visade på att absolut och relativ PPP ej kunde bekräftas, ej heller förnekas, då inga signifikanta koefficienter kunde konstateras. Vid testandet av real växelkurs för relativ PPP gavs signifikanta tidsserier men ej i enlighet med nollhypotesen och därmed förkastades nollhypotesen om att relativ PPP håller. Utifrån resultatet dras slutsatsen att PPP ej kan bekräftas utan att vidare studier måste göras. / The Baltic sea has always been an important transit hub for neighboring countries and the sea have made ​​it possible for the countries to trade with each other and thus create an international trade among themselves to each other. During 1700-1800's, the production took off and because of the mercantilism international trade developed. To establish their exchange rate, many countries have followed different standards, such as the gold standard where the currency's value was determined from the value of the corresponding quantity of gold which implies that the exchange rates were fixed. Based on the gold standard different theories was developed, such as the law of one price and purchasing power parity with the principles that a single currency will have the same purchasing power in other countries, which implies that a commodity should be bought for the same amount of currency, whether it is domestic or foreign. These theories have been studied several times, both for the short and long term, with the few countries to a greater number. In order to test this, two econometric tests of the variables were made​​, stationarity test and cointegration test. The stationarity test showed that all variables except the time series that was used to test relative PPP suffered from non-stationarity and therefore needed to be differentiated to be used to test the PPP. The cointegration test showed that no one of the time series suffered of cointegration and therefore further correction models was not needed to be done. The results from the econometric estimates showed that absolute and relative PPP could not be confirmed, nor denied, since no significant coefficients were identified. In the testing of real exchange rate for relative PPP significant time series were given but not in accordance with the nullhypothesis and therefore the null hypothesis is rejected that the relative PPP holds. From the results it is concluded that the PPP cannot be confirmed without that further studies must be done.