<p>Sedan EMU-samarbetet påbörjades har ett flertal länder inom unionen legat på högre</p><p>inflationsnivåer än genomsnittet och visat tecken på ekonomisk överhettning. Ett av dessa</p><p>länder har varit Portugal, som, tillsammans med bland annat Irland, uppvisat de högsta</p><p>inflationssiffrorna. Denna uppsats studerar tänkbara orsaker till den höga inflationen i</p><p>Portugal sedan EMU-inträdet. Vi testar för huruvida en Balassa-Samuelson-effekt finns med</p><p>hjälp av kvartalsdata för åren 2000–2004. Vi tar även upp betydelsen av eurons</p><p>växelkursfluktuationer och outputgapen för inflationssituationen i Portugal och gör slutligen</p><p>en jämförelse med Sverige, då det befann sig under liknande ekonomiska förutsättningar.</p><p>Den huvudsakliga slutsatsen är att Balassa-Samuelson-effekten tycks ha spelat en</p><p>avgörande roll i utvecklingen, varför den höga inflationen inte behöver ha varit rakt igenom</p><p>negativ, samtidigt som växelkursfluktuationerna haft en mer underordnad betydelse än i fallet</p><p>med exempelvis Irland. Vid jämförelsen med Sverige kom vi fram till att Portugals</p><p>ekonomiska tillbakagång efter högkonjunkturen, fram till idag, inte visat tecken på att vara</p><p>lika djupgående som Sveriges var, bland annat till följd av olikheter inom institutionella</p><p>förändringar.</p>

Sedan EMU-samarbetet påbörjades har ett flertal länder inom unionen legat på högre inflationsnivåer än genomsnittet och visat tecken på ekonomisk överhettning. Ett av dessa länder har varit Portugal, som, tillsammans med bland annat Irland, uppvisat de högsta inflationssiffrorna. Denna uppsats studerar tänkbara orsaker till den höga inflationen i Portugal sedan EMU-inträdet. Vi testar för huruvida en Balassa-Samuelson-effekt finns med hjälp av kvartalsdata för åren 2000–2004. Vi tar även upp betydelsen av eurons växelkursfluktuationer och outputgapen för inflationssituationen i Portugal och gör slutligen en jämförelse med Sverige, då det befann sig under liknande ekonomiska förutsättningar. Den huvudsakliga slutsatsen är att Balassa-Samuelson-effekten tycks ha spelat en avgörande roll i utvecklingen, varför den höga inflationen inte behöver ha varit rakt igenom negativ, samtidigt som växelkursfluktuationerna haft en mer underordnad betydelse än i fallet med exempelvis Irland. Vid jämförelsen med Sverige kom vi fram till att Portugals ekonomiska tillbakagång efter högkonjunkturen, fram till idag, inte visat tecken på att vara lika djupgående som Sveriges var, bland annat till följd av olikheter inom institutionella förändringar.

[pt] A presente dissertação busca estudar empiricamente a relação entre preço de commodities e taxa de câmbio real para países que possuem alta participação destes produtos em sua pauta de exportação. De fato, os países que estamos estudando (Austrália, Canadá, Nova Zelândia e Brasil) possuem tais características e, desta forma, preços de commodities devem ser determinantes fundamentais de seus termos de troca, tornando-se importantes na determinação de suas taxas de câmbio real de equilíbrio. Compreendemos que o trato cuidadoso das tecnicalidades relacionadas a este estudo é de fundamental importância para uma estimação consistente dos coeficientes de interesse, principalmente quando levamos em consideração as diversas divergências existentes na literatura quanto à qual o mecanismo gerador de dados das séries de preço de commodities e de taxa de câmbio real e quanto à endogeneidade da variável índice de preço de commodities na determinação da taxa de câmbio real. Para contornar tal problema partiremos de diferentes hipóteses para estas questões e utilizaremos técnicas econométricas apropriadas para cada hipótese, buscando obter resultados robustos a estas divergências. / [en] This dissertation intends to study the relationship between commodity prices and real effective exchange rate for countries which exports portfolios accounts on a large share of commodity related products. In fact, all the four countries we study (Australia, Canada, New Zealand and Brazil) depends heavily on commodity exports, and therefore commodity prices might be important determinant of their terms of trade, becoming fundamental variable to the real exchange rate determination. It is also of great importance the careful treatment of the technical issues related to the study, so as to provide consistent estimates of the coefficients of interest, mainly when we consider all the divergence related to what the true data generating process of the series and the endogeneity of the commodity price index. To solve this issue we follow considering different assumptions, and for each we use appropriate econometric technical and then compare the results.

This diploma thesis has an ambition to evaluate the nominal, real and structural convergence process of the Visegrad group (also known as V4) countries to the euro area. It also discusses theoretical and methodological issues relating to this process. The first part of this paper deals with some theories which has just started to work with the concept of convergence and were imaginary springboard for the development of other theories. It analyses the Solow growth model that assume convergence between developed and developing countries. This chapter offers a general overview of real convergence measurement, which will be used by evaluation of convergence or divergence process in the V4 countries. We will not observe only the progress of real convergence. In the second part of this thesis we will also examine the nominal convergence trough the price level growth and development of inflation in comparison to the euro area. Next part focuses on identifying relationship between real and nominal convergence due to Balassa-Samuelson effect. The optimum currency area and selected structural parameters of the convergence process will be subject of the final part of this thesis, which will complete our observations of the real, nominal and structural convergence in the V4 countries.

The main purpose of this thesis is to explore whether the Balassa-Samuelson hypothesis can effectively explain the long-term change of the real exchange. The recent panel unit root, panel cointegration tests and fully modified OLS are applied to examine the four tested equations that are based on the Balassa-Samuelson hypothesis. 1. Relative differential productivity between traded and non-traded sectors influences price differential in two sectors. 2. We extend the relative productivity in non-traded and traded sectors causing change in non-traded relative price into the two-country model. 3. The appreciation (depreciation) of the real exchange results from the different relative price of the two-country model. 4. The appreciation (depreciation) of the real exchange is caused by the different relative productivity of the two-country model. The data span is from 1971 to 1995, and includes 12 OECD countries. There are three main different points from the existing literatures. 1. We apply some newly developed panel unit root tests to estimate the equations based on Balassa-Samuelson hypothesis. 2. The previous documents only estimated the model of one variable, but the estimation of two variables was rare. In the equation 14 and 15, we examined the two variables in both. 3. In the calculation of the price, owing to the difficulties of collecting data from various sectors, we use a special way to measure the price. Finally, we can observe from the results of the empirical study: when productivity of the domestic sectors differentiates, that is, 1% increase in relative productivity between traded and non-trade sectors causes 0.53% increase in domestic relative prices. When it is taken into the two-country model, the increase of productivity will cause the appreciation of the real exchange rate. This can explain why in the developed countries like the U.S. and Japan, the faster increase in domestic relative productivity causes the appreciation of real exchange rates in the long run.

The main purpose of this thesis is to explore whether the Balassa-Samuelson hypothesis can effectively explain the long-term change of the real exchange. The recent panel unit root, panel cointegration tests and fully modified OLS are applied to examine the four tested equations that are based on the Balassa-Samuelson hypothesis. The data span is from 1985 to 2002, and includes 7 east asian countries. 1. Relative differential productivity between traded and non-traded sectors influences price differential in two sectors. 2. We extend the relative productivity in non-traded and traded sectors causing change in non-traded relative price into the two-country model. 3. The appreciation (depreciation) of the real exchange results from the different relative price of the two-country model. 4. The appreciation (depreciation) of the real exchange is caused by the different relative productivity of the two-country model. Finally, we can observe from the results of the empirical study: when productivity of the domestic sectors differentiates, that is, 1% increase in relative productivity between traded and non-trade sectors causes 0.28% increase in domestic relative prices. When it is taken into the two-country model, the increase of productivity will cause the appreciation of the real exchange rate.

Made available in DSpace on 2010-04-20T20:58:09Z (GMT). No. of bitstreams: 3 2006DaniloSampaio06062008.pdf.jpg: 17491 bytes, checksum: 2ca1bbc3acee26ede53fe9284bbf8149 (MD5) 2006DaniloSampaio06062008.pdf.txt: 107797 bytes, checksum: bf615d8b129795c3a8ab3e64bdb00d63 (MD5) 2006DaniloSampaio06062008.pdf: 581957 bytes, checksum: 356de32309d0c0ac648bacd362ddcbc6 (MD5) Previous issue date: 2008-06-06T00:00:00Z / Most empirical approaches only use productivity differentials to estimate the Balassa-Samuelson effect. Despite of that, the Balassa-Samuelson model assumes some important hypotheses that are generally ignored. Initially, this work intends to estimate the Balassa-Samuelson effect relaxing the hypothesis that the productive sectors (tradables and non-tradables) have the same relative size in all the countries. Following Rodrik (2007), a real exchange rate disequilibrium index is computed using the results of the Balassa-Samuelson effect estimation. After that, I estimate the effect of real exchange rate misalignment on economic growth and verify if Rodrik´s conclusions still hold. / A maioria dos trabalhos empíricos atuais utiliza somente os diferenciais de produtividade para estimar o efeito Balassa-Samuelson. Porém, o modelo em que se baseia esta abordagem assume algumas hipóteses importantes que podem ser relaxadas. A primeira parte deste trabalho busca estimar o efeito Balassa-Samuelson relaxando a hipótese de que o setor produtor de bens não-comercializáveis tem o mesmo tamanho em todos os países do mundo. Posteriormente, utilizando uma abordagem proposta por Rodrik (2007), os resultados obtidos na estimação do efeito Balassa-Samuelson são utilizados para calcular um índice de desequilíbrio do câmbio real. Por fim, o efeito de desequilíbrios cambiais sobre o crescimento econômico é estimado, verificando se os resultados encontrados por Rodrik (2007) se mantêm.

The goal of this diploma thesis is to assess purchasing power parity (PPP) under the conditions of transition process. The thesis provides a survey of the purchasing power parity theory and concentrates on the relative version. It outlines main causes of possible deviations and modifications of the model. In the empirical part four transition economies are tested for the PPP theory: the Czech Republic, Hungary, Poland and Slovakia. The diploma thesis concludes with analysis of the role of the exchange rate under conditions of a small open economy. The overall analysis is implemented within the context of real and nominal convergence towards European Union and future accession to the European Monetary Union.

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

This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.