The paper estimates a dynamic macroeconometric model for the US economy that captures two important features commonly observed in the study of the US business cycle, namely the strong co-movement of key macroeconomic quantities, and the distinction between expansionary and recessionary phases. The model extends the factor-augmented vector autoregressive model of Bernanke et al. (2005) by combining Markov switching with factor augmentation, modeling the Markov switching probabilities endogenously, and adopting a full Bayesian estimation approach which uses shrinkage priors for several parts of the parameter space. Exploiting a large data set for the US economy ranging from 1971:Q1 to 2014:Q2, the model is applied to measure not only the dynamic effects of unconventional monetary policy within distinct stages of the business cycle, but also the dynamic response of the recession probabilities, based on conducting counterfactual simulations. The results obtained provide new insights on the effect of monetary policy under changing business cycle phases, and highlight the importance of discriminating between expansionary and recessionary phases of the business cycle when analyzing the impact of monetary policy on the macroeconomy. (authors' abstract) / Series: Working Papers in Regional Science

This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions. / Series: Department of Economics Working Paper Series

Submitted by Adriano Faria (afaria@fgvmail.br) on 2013-07-04T01:07:02Z No. of bitstreams: 1 Dissertacao_AAF.PDF: 928548 bytes, checksum: 9ea032eacaf5dfa81fc00a6c7a9ce5c6 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-07-10T12:19:16Z (GMT) No. of bitstreams: 1 Dissertacao_AAF.PDF: 928548 bytes, checksum: 9ea032eacaf5dfa81fc00a6c7a9ce5c6 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-07-10T12:20:21Z (GMT) No. of bitstreams: 1 Dissertacao_AAF.PDF: 928548 bytes, checksum: 9ea032eacaf5dfa81fc00a6c7a9ce5c6 (MD5) / Made available in DSpace on 2013-07-10T12:21:20Z (GMT). No. of bitstreams: 1 Dissertacao_AAF.PDF: 928548 bytes, checksum: 9ea032eacaf5dfa81fc00a6c7a9ce5c6 (MD5) Previous issue date: 2013-06-11 / This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed are between January of 2000 and May of 2012. The rst approach is based on the model proposed by Moench (2008) in which the short term interest rate dynamics is modeled in a FAVAR framework and its term structure is derived through the use of restrictions implicated by no-arbitrage conditions . The choice of this model is justi ed by the results it obtained in the original study. It has presented the best predictive performance for intermediary and long horizons when compared to usual benchmarks. Nonetheless, such results also presented a progressive deterioration when subject to expansion of maturity periods. This suggests a possible failure from the latter to the estimation of the intermediary and long parts of the curve. When implemented to the Brazilian term structure, the model achieved similar results to Moench's study. In an attempt to overcome the previously mentioned deterioration, we propose an alternative modeling approach in which the dynamics of each rate is modeled alongside with the macroeconomic factors, therefore eliminating the restrictions implicated by the no-arbitrage condition .This approach led to fairly superior prediction results and also made possible to con rm the acknowledged inadequacy. Lastly, we have also inserted the macro factors in the dynamic of the factors from Diebold e Li (2006) model. There was also a predictive capacity gain when comparing to the article's dynamics especially to greater prediction horizons. / Este artigo estuda a previsão da estrutura a termo da taxa de juros brasileira utilizando de fatores comuns extraídos de uma vasta base de séries macroeconômicas. Os períodos para estimação e previsão compreendem o intervalo de Janeiro de 2000 a Maio de 2012. Foram empregas 171 séries mensais para a construção da base. Primeiramente foi implementado o modelo proposto por Moench (2008), no qual a dinâmica da taxa de juros de curto prazo é modelada através de um FAVAR e a estrutura a termo é derivada utilizando-se de restrições implicadas por não arbitragem. A escolha pela adoção deste modelo se deve aos resultados obtidos no estudo original, nos quais tal modelagem apresentou melhor desempenho preditivo para horizontes intermediários e longos quando comparado com benchmarks usuais. Contudo, tais resultados também apresentaram uma deterioração progressiva à medida que as maturidades aumentam, evidenciando uma possível inadequação do modelo para as partes intermediária e longa da curva. A implementação deste modelo para a estrutura a termo brasileira levou a resultados muito similares ao do estudo original. Visando contornar a deterioração mencionada, foi proposta uma modelagem alternativa na qual a dinâmica de cada taxa é modelada conjuntamente com os fatores macroeconômicos, eliminando-se as restrições implicadas por não arbitragem. Tal modelagem proporcionou resultados de previsão amplamente superiores e através dela foi possível confirmar a inadequação descrita. Por fim, também foi realizada a inserção dos fatores macro na dinâmica dos fatores beta do modelo de Diebold e Li (2006), levando a um grande ganho de capacidade preditiva, principalmente para horizontes maiores de previsão.

No description available.

Im Rahmen dieser Arbeit wurden InSb- und verdünnt-magnetische In_{1-x}Mn_xSb Filme mittels Gasquellen-Molekularstrahlepitaxie hergestellt und deren strukturelle und elektronische Eigenschaften untersucht. Die 2 μm InSb-Dünnschichten wurden sowohl auf GaAs(001)-Substrat als auch um 4° in Richtung [110] fehlgeschnittenem Si(001)-Substrat hergestellt. Optimierte InSb-Schichten direkt auf GaAs zeigen eine hohe kristalline Qualität, niedriges Rauschen und eine Elektronenbeweglichkeit von 41100 cm^2/Vs bei 300 K. Die Ladungsträgerkonzentration beträgt etwa 2,9e16 cm^{-3}. Um InSb-Dünnschichten guter Qualität auf Si-Substrat zu realisieren, wurden fehlgeschnittene Substrate benutzt. Zur Reduzierung der Gitterfehlanpassung wurden Pufferschichten gewachsen. Eine Elektronenmobilität von 24000 cm^2/Vs und Ladungsträgerkonzentration von 2,6e16 cm^{-3} wurden bei 300 K nachgewiesen. Diese Probe enthält ein 0,06 μm GaAs/AlSb-Supergitter als Pufferschicht (Wachstumstemperatur war 340°C). Diese Probe zeigt der höheren Dichte der Microtwins und Stapelfehler als auch den Threading-Versetzungen in der schnittstellennahen Region geschuldet. Die Deep-Level Rauschspektren zeigen die Existenz von Deep-Levels sowohl in GaAs- als auch in Si-basierten Proben. Die InSb-Filme auf Si-Substrat zeigen einen kleineren Hooge-Faktor im Vergleich zu Schichten auf GaAs (300 K). Unter Anwendung der optimierten Wachstumsbedingungen für InSb/GaAs wurden verdünnt-magnetische In_{1-x}Mn_xSb-Schichten (bis zum 1% Mangan) auf GaAs (001)-realisiert. Mn verringert die Gitterkonstante und damit den Grad der Relaxation von (In,Mn)Sb-Filmen. In den Proben befindet sich Mn in zwei magnetischen Formen, sowohl als verdünnt-magnetischer Halbleiter (In,Mn)Sb, als auch als MnSb-Cluster. Die Cluster dominieren auf der Oberfläche. Die Curie-Temperatur, Tc, unterscheidet sich für die beiden Formen. Für (In,Mn)Sb ist Tc kleiner als 50 K. Die MnSb-Cluster zeigen dagegen ein Tc über 300 K. / This dissertation describes the growth by molecular beam epitaxy and the characterization of the semiconductor InSb and the diluted magnetic semiconductor (DMS) In_{1-x}Mn_xSb. The 2 µm-thick InSb films were grown on GaAs (001) substrate and Si (001) offcut by 4° toward (110) substrate. After optimizing the growth conditions, the best InSb films grown directly on GaAs results in a high crystal quality, low noise, and an electron mobility of 41100 cm^2/V s Vs with associated electron concentration of 2.9e16 cm^{-3} at 300 K. In order to successfully grow InSb on Si, tilted substrates and the insertion of buffer layers were used. An electron mobility of 24000 cm^2/V s measured at 300 K, with an associated carrier concentration of 2.6e16 cm^{-3} is found for the best sample that was grown at 340°C with a 0.06 μm-thick GaSb/AlSb superlattice buffer layer. The sample reveals a density of microtwins and stacking faults as well as threading dislocations in the near-interface. Deep level noise spectra indicate the existence of deep levels in both GaAs and Si-based samples. The Si-based samples exhibit the lowest Hooge factor at 300 K, lower than the GaAs-based samples. Taking the optimized growth conditions of InSb/GaAs, the DMS In_{1-x}Mn_xSb/GaAs is prepared by adding Mn (x < 1%) into the InSb during growth. Mn decreases the lattice constant as well as the degree of relaxation of (In,Mn)Sb films. Mn also distributes itself to result in two different and distinct magnetic materials: the DMS (In,Mn)Sb and clusters MnSb. The MnSb clusters dominate only on the surface. For the DMS alloy (In,Mn)Sb, the measured values of Curie temperature Tc appears to be smaller than 50 K, whereas it is greater than 300 K for the MnSb clusters.

[pt] Neste trabalho estudamos o canal de crédito de política monetária, em particular o lending channel, por meio da análise da resposta em nível desagregado de bancos comerciais a inovações de política monetária no Brasil. Os efeitos de um choque monetário são estimados em um factor augmented VAR considerando um amplo conjunto de informação. Posteriormente, estimamos regressões utilizando características dos bancos comerciais para analisar as respostas diferenciadas das operações de crédito, juros (proxy), depósitos à vista e alavancagem. Os resultados obtidos corroboram a hipótese de existência do canal de crédito no Brasil, e que as respostas heterogêneas dependem de características dos bancos comerciais. Em particular, quanto maior o porte do banco maior seu grau de sensibilidade ao choque monetário e mais ativamente ele administra seu balanço. Por fim, encontramos evidências que houve uma alteração no mercado de crédito brasileiro a partir da crise de 2008: bancos públicos tornaram-se menos sensíveis à inovação de política monetária. / [en] We study the credit channel of monetary policy, in particular the lending channel, by analyzing the disaggregated level response of commercial banks to monetary policy innovations in Brazil. The effects of a monetary shock are estimated by a factor augmented VAR considering a broad set of information. Subsequently, we estimate regressions using characteristics of commercial banks to analyze the differentiated responses of loans, interest rates (proxy), demand deposits and leverage. The results corroborate the hypothesis of the existence of the credit channel in Brazil, and that heterogeneous responses depend on characteristics of commercial banks. In particular, the larger the size of the bank the larger its degree of sensitivity to monetary shock and more actively it manages its balance sheet. Finally, we find evidences that there was a change in the Brazilian credit market from the 2008 crisis: public banks became less sensitive to monetary policy innovation.

Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T19:10:06Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3704297 bytes, checksum: 3b1fcaf85bbcf74f3843e7c2c0d1cad9 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde Marcelo, conforme conversamos ao telefone. Att. Suzi 3799-7876 on 2014-05-19T19:47:10Z (GMT) / Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T21:20:48Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-05-20T11:36:27Z (GMT) No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Made available in DSpace on 2014-05-20T11:38:51Z (GMT). No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) Previous issue date: 2014-05-06 / O estouro da crise do subprime em 2008 nos EUA e da crise soberana europeia em 2010 renovou o interesse acadêmico no papel desempenhado pela atividade creditícia nos ciclos econômicos. O propósito desse trabalho é apresentar evidências empíricas acerca do canal do crédito da política monetária para o caso brasileiro, usando técnicas econométricas distintas. O trabalho é composto por três artigos. O primeiro apresenta uma revisão da literatura de fricções financeiras, com especial ênfase nas suas implicações sobre a condução da política monetária. Destaca-se o amplo conjunto de medidas não convencionais utilizadas pelos bancos centrais de países emergentes e desenvolvidos em resposta à interrupção da intermediação financeira. Um capítulo em particular é dedicado aos desafios enfrentados pelos bancos centrais emergentes para a condução da política monetária em um ambiente de mercado de capitais altamente integrados. O segundo artigo apresenta uma investigação empírica acerca das implicações do canal do crédito, sob a lente de um modelo FAVAR estrutural (SFAVAR). O termo estrutural decorre da estratégia de estimação adotada, a qual possibilita associar uma clara interpretação econômica aos fatores estimados. Os resultados mostram que choques nas proxies para o prêmio de financiamento externo e o volume de crédito produzem flutuações amplas e persistentes na inflação e atividade econômica, respondendo por mais de 30% da decomposição de variância desta no horizonte de três anos. Simulações contrafactuais demonstram que o canal do crédito amplificou a contração econômica no Brasil durante a fase aguda da crise financeira global no último trimestre de 2008, produzindo posteriormente um impulso relevante na recuperação que se seguiu. O terceiro artigo apresenta estimação Bayesiana de um modelo DSGE novo-keynesiano que incorpora o mecanismo de acelerador financeiro desenvolvido por Bernanke, Gertler e Gilchrist (1999). Os resultados apresentam evidências em linha com aquelas obtidas no artigo anterior: inovações no prêmio de financiamento externo – representado pelos spreads de crédito – produzem efeitos relevantes sobre a dinâmica da demanda agregada e inflação. Adicionalmente, verifica-se que choques de política monetária são amplificados pelo acelerador financeiro. Palavras-chave: Macroeconomia, Política Monetária, Canal do Crédito, Acelerador Financeiro, FAVAR, DSGE, Econometria Bayesiana

Submitted by Adriano Faria (afaria@fgvmail.br) on 2017-12-13T19:49:29Z No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-12-21T11:41:13Z (GMT) No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Made available in DSpace on 2017-12-27T12:18:22Z (GMT). No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) Previous issue date: 2017-03-16 / This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.

En este documento se mide el impacto sectorial de la política monetaria en el Perú utilizando un modelo de vectores autorregresivos con factores aumentados (FAVAR) para el periodo 2003-2018 junto con un amplio conjunto de variables. Esta metodología permite incorporar un mayor número de variables y medir el efecto de la política monetaria en cada una de ellas. Los resultados del presente trabajo amplían el conjunto de información a disposición de las autoridades de política monetaria permitiendo que se tomen decisiones adecuadas para la economía. Los resultados muestran que existe un impacto diferenciado de la política monetaria sobre los distintos sectores de la economía en magnitud y en horizonte temporal, siendo electricidad y agua, manufacturas y comercio los sectores más sensibles a choques de política monetaria. Adicionalmente, se encuentra que la política monetaria logra impactar sobre variables relevantes como el PBI, puesto que se observa que el PBI se reduce ante un aumento en la tasa de política. / This document quantifies the sectoral impact of monetary policy in Peru using an autoregressive vector model with increased factors (FAVAR) for the period 2003-2018 along with a broad set of variables. This methodology allows incorporating a greater number of variables and evaluating the impact of monetary policy shock on each of them. The results of the present work expand the set of information available to monetary policymakers, allowing them to make appropriate decisions for the economy. The results show that there is a differentiated effect of monetary policy on the different sectors of the economy in magnitude and time horizon, with electricity and water, manufacturing, and trade being the sectors most sensitive to monetary policy shocks. Additionally, it is found that monetary policy manages to impact relevant variables such as GDP since it is observed that GDP is reduced by an increase in the policy rate.

[pt] Esta tese é composta por três artigos independentes relacionados a macroeconomia. No primeiro artigo, nós aumentamos um modelo dinâmico de equilíbrio geral relativamente padrão com fricções financeiras, a fim de quantificar os efeitos macroeconômicos da expansão de credito observado no Brasil. No modelo, um estilizado setor bancário intermedia credito das famílias pacientes para as famílias impacientes e empresas. A novidade fundamental deste artigo é que nós modelamos a restrição de crédito enfrentada por (impacientes) famílias em função do rendimento do trabalho futuro. No modelo calibrado, expansão de crédito gera apenas modestos resultados sobre o crescimento acima do potencial do consumo, investimento e PIB. No segundo artigo, documentamos que a associação entre o crescimento do consumo médio per capita e a expansão do crédito é mais forte em países com maior desigualdade de renda. Nós usamos um modelo de mercados incompletos com famílias heterogêneas, risco idiossincrático e restrições ao crédito para verificar em que medida este arcabouço teórico pode racionalizar a evidencia empírica. Mostramos que, quando a fonte de desigualdade de renda vem do menor nível de capital humano fixo das famílias, o nosso modelo pode racionalizar a evidência empírica encontrada. Uma vez que as outras fontes de desigualdade de renda consideradas, o resultado oposto corre. Finalmente, no terceiro artigo, nós usamos um modelo de vetor auto-regressivo com fator aumentado (FAVAR) para estimar o impacto de um choque na taxa de juros internacional e de choque de preços de commodities na economia peruana. Nossos resultados sugerem que um choque positivo de taxa de juros internacional tem efeitos contracionistas, reduzindo o PIB, a taxa de inflação e gerando uma depreciação cambial, aumentando a taxa de juros interna e uma redução das reservas internacionais. No caso de choque de precos de commodities, encontramos que os nossos resultados são consistentes com a literatura, em que um choque positivo expande o PIB, as exportações líquidas e taxa de inflação. / [en] This thesis is comprised of three articles independent related to macroeconomics. In the first article, we augment a relatively standard dynamic, general equilibrium model with financial frictions, in order to quantify the macroeconomic effects of the credit deepening process observed in Brazil. In the model, a stylized banking sector intermediates credit from patient households to impatient households and firms. The key novelty of the paper is to model the credit constraint faced by (impatient) households as a function of future labor income. In the calibrated model, credit deepening generates only modest above-trend growth in consumption, investment, and GDP. In the second article, we documented that the association between consumption growth and credit expansion is stronger in countries with higher income inequality. We use an incomplete markets model with heterogeneous households, idiosyncratic risk and borrowing constraints to check in which extent this theoretical framework can rationalize the empirical finding. We show that when the source of income inequality comes from households lowest fixed level of human capital, our model can rationalize the empirical evidence. Once other sources of income inequality are considered, the opposite occurs. Finally, in the third article, we use a Factor-Augmented Vector Autoregressive (FAVAR) model to estimate the impact of an international interest rate shock and a commodities price shock on the Peruvian economy. Our results suggest that a positive international interest rate shock has contractive effects, it reduces GDP and inflation rate and generates an exchange rate depreciation, an increase of the domestic interest rate and a reduction of international reserves. In the case of commodity price shock, we find that its effects are consistent with the previous literature in which a positive shock expands GDP, net exports and inflation rate.