A phantom is haunting the EU enlargement process. Some fear that the Balassa-Samuelson (B-S) effect might be a major obstacle for the Central and Eastern European countries (CEEC) to become members of the Economic and Monetary Union (EMU). A review of the relevant literature reveals that most estimations of the B-S effect in the EU acceding countries are flawed by one kind or the other. Either they do not estimate correctly the B-S propositions, or if they measure it they use a variety of measures for the variables needed. Additionally, the B-S effect is only a special case of a broader approach towards equilibrium real exchange rates. Lastly the B-S effect is studied in a CGE multi-country world in order to detect possible spillover effects. After describing the "official" road map towards the EMU, it is concluded that the uncertainties in measuring the B-S are much too high in order to see in it (alone) a major hindrance for the CEEC to become early members of the EMU. Moreover, real exchange rate appreciations that reflect productivity gains in the tradable sector are an equilibrium phenomenon and do not require a policy response. They are a natural phenomena in catching-up countries like the CEEC. Furthermore, the official doctrine for entering the EMU by the EU/ECB only interdicts depreciations but not appreciations for potential EMU members. (author's abstract) / Series: EI Working Papers / Europainstitut

[pt] O objetivo deste trabalho é investigar empiricamente uma possível relação de causalidade entre fluxos de capitais (e abertura financeira de um modo geral) e o crescimento econômico de longo prazo dos países. Utilizando uma amostra de 70 países para o período de 1970-2004 foram realizadas uma série de estimações econométricas em painel em vista de se medir o impacto de um fluxo mais elevado de capitais sobre a produtividade das economias. Uma vez que a literatura documenta uma possível assimetria neste efeito, no sentido de que capitais externos devem ser benéficos somente para países que já possuem uma capacidade absorciva mínima, ou seja, que são capazes de converter de forma eficaz esses capitais para investimentos produtivos que alavancam o crescimento, utilizamos termos de interações nas regressões. Mais especificamente testou-se o papel que o aprofundamento financeiro de um país, medido como a razão do volume de crédito doméstico privado sobre o PIB, desempenha nesta relação entre fluxos de capitais e crescimento. Os resultados obtidos indicam que, para economias com razão crédito/PIB maior que um nível de threshold que varia entre 25 e 30%, o impacto de maiores fluxos de capitais é positivo e significante. Para abaixo desse threshold o impacto é negativo. Uma vez que fluxos excessivos de capitais externos exercem forte pressão de apreciação da taxa real de câmbio de um país, e que tal apreciação pode ser maléfica ao crescimento da produtividade uma vez que impõe perdas significantes aos setores de bens tradables, pode ocorrer que países com baixo aprofundamento financeiro cresceram a taxas menores em resultado de maiores fluxos de capitais devido a uma apreciação excessiva do câmbio real. No entanto, as estimações das regressões entre desalinhamentos da taxa real de câmbio e crescimento apontam um efeito significante e negativo do ponto de vista estatístico, porém insignificante do ponto de vista econômico. / [en] The objective of this paper is to investigate empirically a possible causal relation between capital flows (and financial openess in a widely fashion) and long run economic growth. With a sample of 70 countries in the period ranging from 1970 to 2004 we estimated econometric panels to test for the presence of a productivity growth enhancing effect of higher capital flows. Since the literature points out an assimetric effect in the sense that foreign capital is desirable only for countries which have attained a certain level of absorptive capacity, that means, which are more able to convert them to productive capital, interactive terms were included in the regressions. More specifically, we tested the role of the financial depth, measured as the ratio of domestic private credit over GDP, on the relationship between capital flows and growth. The results obtained show that economies which have already attained a certain ratio of credit over GDP greater than a threshold that varies between 25% and 30% has a positive and significant impact of capital flows on growth. Below this threshold, this impact is negative. Since excessive capital flows exerts a pressure of strong appreciation of the real exchange rate of a country and that appreciation may be negative to productivity growth since it imposes significant losses to tradables sectors, it is possible that countries with a low financial depth had grown less because of the effects of appreciation of the exchange rate caused by capital flows. However, the regression estimates between real exchange rate misalignments and growth show a negative significant effect by a statistical standpoint but insignificant by an economic standpoint.

Les trois chapitres suivants examinent: 1) si les taux de change réels d'Asie du Sud-Est sont nonlinéaire, 2) l'inférence bayésienne sur le modèle de série temporelle nonlinéaire avec des applications sur le taux de change réel,et 3) la cyclicité et effet de rebond dans le marché boursier.Depuis la fin des années nonante, les analyses théorique et empirique consacrée au taux de change réel suggèrent que la dynamique pourrait être bien estimés par les modèles non linéaires. Le premier chapitre examine cette possibilité utilisant les données mensuelles de l'ASEAN-5, et il s'étend la recherche existante dans deux directions. Tout d'abord, nous utilisons récemment mis au point des tests de racine unitaire ce qui permettra d'assouplir les modèles non linéaires stationnaires dans le cadre du d'autre alternative que l'couramment utilisés à SETAR ou ESTAR modèle. Deuxièmement, bien que différents modèles nonlinéaires survivre aux tests de mis-spécification, une expérience Monte Carlo à partir de généralisées fonctions de réponse impulsionnelle est utilisé pour comparer leur pertinence relative. Nos résultats i) soutenir l'hypothèse de retour nonlinéaire à la moyenne , et donc la parité de pouvoir d'achat, dans la moitié des cas et ii) indiquent MRLSTAR et ESTAR comme les plus probables processus générant des taux de change réels.Le deuxième chapitre analyse ACR modèle. Nous proposons une approche bayésienne complète d'inférence et une attention particulière est portée sur les paramètres des variables de seuil. Nous discutons le choix des distributions a priori et proposer une chaîne de Markov algorithme de Monte Carlo pour estimer les paramètres et les variables latentes. Une étude de simulation et de l'application à des données taux de change réelles illustrer l'analyse.Le troisième chapitre explore que les différentes formes de recouvrements dans les marchés financiers peuvent présenter dans un modèle de Markov Switching. Elle s'appuie sur les effets de rebond d'abord analysé par Kim, Morley et Piger [2005] dans le cycle des affaires et généralisé par Bec, Bouabdallah et Ferrara [2011] pour permettre une plus souple de type rebond.Nos résultats i) montrer que l'effet de rebond est statistiquement significative et importante dans tous les cas, mais l'Allemagne où la preuve est moins claire et ii) l'impact négatif permanent de marchés baissiers sur l'indice est notablement réduite lorsque le rebond est explicitement pris en compte. / The following three chapters investigate: 1) whether Southeast Asian real exchange rates are nonlinear mean reverting, 2) bayesian inference on nonlinear time series model with applications in real exchange rate, and 3)cyclicality and bounce-back effect in stock market. Since the late nineties, both theoretical and empirical analyses devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponential Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in half the cases and point to the Multiple Regime-Logistic Smooth Transition and the Self-Exciting Threshold AutoRegressive models as the most likely data generating processes of these real exchange rates.Various nonlinear threshold models are employed to mimic the real exchange rate dynamics. A natural question arises: Which model does the best job of modeling the real exchange rate process? It is difficult and not straightforward to formally compare the nonlinear models within classic approach. In the second chapter, we propose to use Bayesian approach to address this issue. The second part of my dissertation actually uses a Bayesian method to estimate some nonlinear time series models, the ACR model, SETAR model, and MAR model. We propose a full Bayesian inference approach and particular attention is paid to the parameters of the threshold variables. We discuss the choice of the prior distributions and propose a Markov-chain Monte Carlo algorithm for estimating both the parameters and the latent variables. A simulation study and the application to real exchange rate data illustrate the analysis. Our empirical results of the second chapter show that i) Bayesian estimations closely match those of the Maximum likelihood for French real exchange rate vis-a-vis Deutsche Mark; ii)the speed of real exchange rate's adjustment to equilibrium level is overestimated if heterogeneous variances in two regimes is not taken into account; iii) ACR model is preferred to other nonlinear threshold models, SETAR and MAR; iv) within ACR class models, the suitable transition function form is selected based on Bayes factor.This paper proposes an empirical study of the shape of recoveries in financial markets from a bounce-back augmented Markov Switching model. It relies on models first applied by Kim, Morley et Piger [2005] to the business cycle analysis. These models are estimated for monthly stock market returns data of five developed countries for the post-1970 period. Focusing on a potential bounce-back effect in financial markets, its presence and shape are formally tested. Our results show that i) the bounce-back effect is statistically significant and large in all countries, but Germany where evidence is less clear-cut and ii) the negative permanent impact of bear markets on the stock price index is notably reduced when the rebound is explicitly taken into account.

Apesar da recente queda no crescimento das exportações, a resposta das vendas externas à valorização cambial tem sido mais lenta do que previa a teoria econômica. Essas evidências sugerem a lentidão na correção dos desvios de uma relação de longo prazo entre o câmbio e as exportações, motivando a pesquisa sobre a presença de hysteresis no comércio brasileiro. O objetivo deste estudo é confirmar as predições da teoria de hysteresis em nível macroeconômico para as exportações manufaturadas brasileiras. Para isso, propõe-se um diferencial metodológico: a inclusão, nos modelos de oferta e demanda de exportações, de variável representativa de hysteresis, construída segundo o método de Piscitelli et al. (2000), testando sua significância nas equações. São utilizados modelos com dados em painel, metodologia que permite lidar com efeitos específicos aos setores industriais e realizar testes de hysteresis para o total das exportações manufaturadas a partir de informações desagregadas, proporcionado maior eficiência na estimação. Além disso, é investigada a estacionariedade das séries de dados, realizando testes para raiz unitária e cointegração em painel. Também são estimados os parâmetros das relações de longo prazo entre as variáveis. Os resultados confirmam a hipótese de uma relação de hysteresis, em especial, nas equações de demanda por exportações brasileiras. / In spite of the recent fall of the growth rate of Brazilian exports, the response of external sales to the appreciation of the exchange rate has been slower than what was predicted by economic theory. These evidences suggest that deviations from a long-run relationship between exchange rate and exports may take longer to be corrected, motivating the investigation of the presence of hysteresis in Brazilian international trade. The purpose of this study is to evaluate the applicability of the theory of macro-hysteresis to Brazilian manufactured exports. Thus, a distinct methodology is proposed: including a hysteretic variable in the equations of export supply and demand as an explanatory variable. This variable is constructed as the method developed by Piscitelli et al. (2000) and will be tested in order to assess its power in capturing the hysteretic effect. This study uses panel data which allow for heterogeneity among the industrial sectors and admits testing the hysteresis hypothesis in the aggregate exports through disaggregated information; hence, panel data will lead to more efficiency when estimating models. Furthermore, the stationarity of the data series is investigated through panel unit root and cointegration tests and the long run relationship parameters are estimated. Results confirm the hypothesis of the presence of a hysteretic relationship, especially in the demand equations.

Esta dissertação apresenta a importância dos condicionantes externos ao desenvolvimento econômico e destaca o papel da taxa real de câmbio em impulsionar o setor de bens comercializáveis, os quais, além de melhorar a situação externa, têm a capacidade de induzir o crescimento econômico no longo prazo. Para isso se trará a importância do crescimento econômico compatível com o “equilíbrio” do balanço de pagamentos e se analisará os resultados da estratégia de inserção brasileira no processo de globalização financeira sob a perspectiva da vulnerabilidade externa. Em seguida são realçados os impactos da taxa real de câmbio no setor externo e no desenvolvimento econômico, tanto no aspecto teórico como aplicado ao Brasil após o Plano Real. Por fim, são realizados testes econométricos, utilizando-se do método Almon lag, para estimar os impactos da taxa real de câmbio na balança comercial e nos seus principais componentes. Os resultados encontrados para o caso brasileiro corroboram o argumento de que a taxa real de câmbio contribui para a melhora da situação externa e incentiva o setor exportador, especialmente o de bens manufaturados. / This dissertation presents the importance of external constraints to economic development and highlights the role of real exchange rate to boost the tradable sector, which improve the external position and induce economic growth in the long run. It is considered the importance of economic growth consistent with the equilibrium of balance of payments and it is examined the results of international insertion strategy in the Brazilian financial globalization from the perspective of external vulnerability. Are then highlighted the impact of real exchange rate in the external sector and economic development, both in theoretical and applied to Brazil after the Real Plan. Finally econometric tests are performed, using the Almon lag method to estimate the impact of real exchange rate on trade balance and its main components. The results for the Brazilian case corroborate the argument that the real exchange rate contributes to the improvement in the external environment and encourages the export sector, especially of manufactured goods.

This study aims to analyze the causes and consequences of sudden stops in international capital flows with special reference to the recent Turkish experience. We aim to investigate also the vulnerability of the Turkish economy to a sudden stop and compute the required change in the real exchange rates for a current account adjustment in the face of a sudden stop. The assessment of the economic and structural indicators, which are assumed to be related with the resilience of the economy against sudden stops, such as openness and dollarization, refers that the risk of experiencing a sudden stop has increased in Turkey in the last two years, despite a decrease in its exposure to the destructive effects of such shocks thanks to the structural improvements in the economy. Our empirical results based on a small open economy model with tradables and non-tradables suggest that a sudden stop that requires the closing of the current account imbalance in Turkey would necessitate a real depreciation of around 36 percent as of May 2008 under the assumption that international reserves were not used in order to mitigate the level and the effects of the adjustment. Although the effects of such a real depreciation may be milder due to the decreased currency mismatches in the public and banking sector, there is still the risk of experiencing a financial crisis following a sudden stop because of the high liability dollarization in the real sector.

Esta dissertação apresenta a importância dos condicionantes externos ao desenvolvimento econômico e destaca o papel da taxa real de câmbio em impulsionar o setor de bens comercializáveis, os quais, além de melhorar a situação externa, têm a capacidade de induzir o crescimento econômico no longo prazo. Para isso se trará a importância do crescimento econômico compatível com o “equilíbrio” do balanço de pagamentos e se analisará os resultados da estratégia de inserção brasileira no processo de globalização financeira sob a perspectiva da vulnerabilidade externa. Em seguida são realçados os impactos da taxa real de câmbio no setor externo e no desenvolvimento econômico, tanto no aspecto teórico como aplicado ao Brasil após o Plano Real. Por fim, são realizados testes econométricos, utilizando-se do método Almon lag, para estimar os impactos da taxa real de câmbio na balança comercial e nos seus principais componentes. Os resultados encontrados para o caso brasileiro corroboram o argumento de que a taxa real de câmbio contribui para a melhora da situação externa e incentiva o setor exportador, especialmente o de bens manufaturados. / This dissertation presents the importance of external constraints to economic development and highlights the role of real exchange rate to boost the tradable sector, which improve the external position and induce economic growth in the long run. It is considered the importance of economic growth consistent with the equilibrium of balance of payments and it is examined the results of international insertion strategy in the Brazilian financial globalization from the perspective of external vulnerability. Are then highlighted the impact of real exchange rate in the external sector and economic development, both in theoretical and applied to Brazil after the Real Plan. Finally econometric tests are performed, using the Almon lag method to estimate the impact of real exchange rate on trade balance and its main components. The results for the Brazilian case corroborate the argument that the real exchange rate contributes to the improvement in the external environment and encourages the export sector, especially of manufactured goods.

Esta dissertação apresenta a importância dos condicionantes externos ao desenvolvimento econômico e destaca o papel da taxa real de câmbio em impulsionar o setor de bens comercializáveis, os quais, além de melhorar a situação externa, têm a capacidade de induzir o crescimento econômico no longo prazo. Para isso se trará a importância do crescimento econômico compatível com o “equilíbrio” do balanço de pagamentos e se analisará os resultados da estratégia de inserção brasileira no processo de globalização financeira sob a perspectiva da vulnerabilidade externa. Em seguida são realçados os impactos da taxa real de câmbio no setor externo e no desenvolvimento econômico, tanto no aspecto teórico como aplicado ao Brasil após o Plano Real. Por fim, são realizados testes econométricos, utilizando-se do método Almon lag, para estimar os impactos da taxa real de câmbio na balança comercial e nos seus principais componentes. Os resultados encontrados para o caso brasileiro corroboram o argumento de que a taxa real de câmbio contribui para a melhora da situação externa e incentiva o setor exportador, especialmente o de bens manufaturados. / This dissertation presents the importance of external constraints to economic development and highlights the role of real exchange rate to boost the tradable sector, which improve the external position and induce economic growth in the long run. It is considered the importance of economic growth consistent with the equilibrium of balance of payments and it is examined the results of international insertion strategy in the Brazilian financial globalization from the perspective of external vulnerability. Are then highlighted the impact of real exchange rate in the external sector and economic development, both in theoretical and applied to Brazil after the Real Plan. Finally econometric tests are performed, using the Almon lag method to estimate the impact of real exchange rate on trade balance and its main components. The results for the Brazilian case corroborate the argument that the real exchange rate contributes to the improvement in the external environment and encourages the export sector, especially of manufactured goods.

Apesar da recente queda no crescimento das exportações, a resposta das vendas externas à valorização cambial tem sido mais lenta do que previa a teoria econômica. Essas evidências sugerem a lentidão na correção dos desvios de uma relação de longo prazo entre o câmbio e as exportações, motivando a pesquisa sobre a presença de hysteresis no comércio brasileiro. O objetivo deste estudo é confirmar as predições da teoria de hysteresis em nível macroeconômico para as exportações manufaturadas brasileiras. Para isso, propõe-se um diferencial metodológico: a inclusão, nos modelos de oferta e demanda de exportações, de variável representativa de hysteresis, construída segundo o método de Piscitelli et al. (2000), testando sua significância nas equações. São utilizados modelos com dados em painel, metodologia que permite lidar com efeitos específicos aos setores industriais e realizar testes de hysteresis para o total das exportações manufaturadas a partir de informações desagregadas, proporcionado maior eficiência na estimação. Além disso, é investigada a estacionariedade das séries de dados, realizando testes para raiz unitária e cointegração em painel. Também são estimados os parâmetros das relações de longo prazo entre as variáveis. Os resultados confirmam a hipótese de uma relação de hysteresis, em especial, nas equações de demanda por exportações brasileiras. / In spite of the recent fall of the growth rate of Brazilian exports, the response of external sales to the appreciation of the exchange rate has been slower than what was predicted by economic theory. These evidences suggest that deviations from a long-run relationship between exchange rate and exports may take longer to be corrected, motivating the investigation of the presence of hysteresis in Brazilian international trade. The purpose of this study is to evaluate the applicability of the theory of macro-hysteresis to Brazilian manufactured exports. Thus, a distinct methodology is proposed: including a hysteretic variable in the equations of export supply and demand as an explanatory variable. This variable is constructed as the method developed by Piscitelli et al. (2000) and will be tested in order to assess its power in capturing the hysteretic effect. This study uses panel data which allow for heterogeneity among the industrial sectors and admits testing the hysteresis hypothesis in the aggregate exports through disaggregated information; hence, panel data will lead to more efficiency when estimating models. Furthermore, the stationarity of the data series is investigated through panel unit root and cointegration tests and the long run relationship parameters are estimated. Results confirm the hypothesis of the presence of a hysteretic relationship, especially in the demand equations.

Submitted by Pierre Marinho (pierre.marinho@uol.com.br) on 2013-03-08T15:52:05Z No. of bitstreams: 1 MPFE_Dissertacao_Pierre da Silva Marinho_VF.pdf: 205056 bytes, checksum: f7e17dd57f3b948dffa3140396cbbb86 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-08T15:55:29Z (GMT) No. of bitstreams: 1 MPFE_Dissertacao_Pierre da Silva Marinho_VF.pdf: 205056 bytes, checksum: f7e17dd57f3b948dffa3140396cbbb86 (MD5) / Made available in DSpace on 2013-03-08T15:57:28Z (GMT). No. of bitstreams: 1 MPFE_Dissertacao_Pierre da Silva Marinho_VF.pdf: 205056 bytes, checksum: f7e17dd57f3b948dffa3140396cbbb86 (MD5) Previous issue date: 2013-02-05 / The objective of this paper is to analyze the evidences of long-run relationship among three variables: real exchange rate ('RER'), international investment position ('NFA') and the Balassa-Samuelson effect ('PREL') in a group of 28 countries. This group is composed of countries in different stages of economic development. The methodology utilized to assess long-run relationship was cointegration. The tests performed were developed by Bierens (1997), nonparametric test, and by Saikkonen and Lütkepohl (2000a, b, c), test that firstly estimates a deterministic term. Evidences of cointegration were found in both tests for the majority of the countries. However, there were significant differences between the results of the two performed tests. These differences between the two results and also some special cases of countries that did not demonstrated evidences of cointegration require deeper studies on the long-run behavior of the three variables analyzed in this paper. / Este trabalho tem a finalidade de analisar as evidências de relações de longo prazo entre a taxa de câmbio real ('RER'), a posição internacional de investimentos ('NFA') e o efeito Balassa-Samuelson ('PREL') em um grupo de 28 países, grupo este que inclui países em diferentes estágios de desenvolvimento. A metodologia utilizada foi a de testes de cointegração. Os testes aplicados foram desenvolvidos por Bierens (1997), teste não paramétrico, e por Saikkonen e Lütkepohl (2000a, b, c), teste que consiste em primeiro estimar um termo determinístico. Evidências de cointegração são constatadas, em ambos os testes, na maioria dos países estudados. Entretanto, houve diferenças relevantes entre os resultados encontrados através dos dois testes aplicados. Estas diferenças entre os resultados, bem como alguns casos especiais de países que não demonstraram evidências de cointegração, requerem análises mais aprofundadas sobre o comportamento de longo prazo das três variáveis estudadas.