Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2018-06-13T12:26:04Z No. of bitstreams: 1 Leonardo Joaquim Muniz.pdf: 1917454 bytes, checksum: 245606e77eb1c28d0f5320f16dd3c88a (MD5) / Made available in DSpace on 2018-06-13T12:26:04Z (GMT). No. of bitstreams: 1 Leonardo Joaquim Muniz.pdf: 1917454 bytes, checksum: 245606e77eb1c28d0f5320f16dd3c88a (MD5) Previous issue date: 2018-03-13 / The central objective of BNDES disbursement research and analysis from 2002 to 2016, as well as to analyze if the Bank adhered to the post-Keynesian concepts of development bank. The specific objective is to clarify where BNDES funds were directed in the different economic cycles of the period under analysis. And BNDES disbursement prices in relation to payment banks / O Objetivo central da pesquisa é analisar os desembolsos do BNDES de 2002 a 2016, bem como analisar se o Banco foi aderente aos conceitos pós-keynesianos de banco de desenvolvimento. O objetivo específico visa esclarecer onde foram direcionados os recursos do BNDES nos diferentes ciclos econômico do período em análise e comparar os desembolsos do BNDES, em relação a atuação dos demais bancos privados

A presente tese de doutoramento é composta de três ensaios independentes (ainda que complementares) sobre a História do Pensamento Econômico, mais especificamente, da Macroeconomia. O primeiro ensaio - \"Uma Breve História sobre a Abordagem de Desequilíbrio na Macroeconomia\" - é uma versão revista e ampliada do artigo apresentado no XXXVIII Encontro Nacional de Economia da ANPEC em 2010 (Uma Breve História sobre a Abordagem de Desequilíbrio na Economia). Nossa argumentação vai de encontro às interpretações de Romer (1989) e Mankiw (2005) sobre a compreensão histórica daquele episódio, como também a hipótese levantada por Backhouse & Boianovsky (2005) sobre o fracasso da Macroeconomia do Desequilíbrio. O segundo ensaio se chama \"Uma Análise Histórica (e Retórica) do Discurso Doutrinário de Robert E. Lucas Jr.\". Se no primeiro ensaio argumentamos que parte do \"fracasso\" da Abordagem de Desequilíbrio deveu-se ao surgimento de um método entendido como superior pela maior parte dos economistas (o método de Lucas), neste investigamos o conteúdo daqueles artigos em que Lucas busca convencer os leitores da superioridade do seu método não a partir da comparação dos resultados obtidos por seu modelo em comparação a uma estrutura alternativa, mas sim com uma retórica polemista, fazendo uso de uma série de estratagemas retóricos. Nossa intenção é checar a validade de algumas de suas teses históricas e teóricas, bem como fazer um escrutínio dos expedientes retóricos utilizados pelo autor. O terceiro ensaio - \"Tese da Ancestralidade, Reinvenção da Tradição ou Superação Positiva? Uma Investigação sobre a \"Macroeconomia\" anterior a Keynes e as Causas do Sucesso da Teoria Geral\" - é derivada do segundo ensaio. Partimos da contraposição de hipóteses históricas de dois grandes autores da Macroeconomia sobre o estado da teoria \"macroeconômica\" anterior a Keynes, e as causas do sucesso da Teoria Geral. De um lado, Robert Lucas trata a Macroeconomia fundada por Keynes como um desvio na tradição equilibrista das análises de flutuação, cujo sucesso foi um \'feliz acidente histórico\', provocado principalmente por fatores alheios as vontades e até as simpatias de Keynes. De outro, Olivier Blanchard argumenta que o que havia antes de Keynes era uma grande diversidade de métodos e ausência de um aparato hegemônico, e o sucesso de Keynes deveu-se exclusivamente aos avanços teóricos e metodológicos apresentados naquela obra. / This PhD thesis contains three independent (although complementary) essays on the History of Economic Thought, more specifically on Macroeconomics History. The first essay - A Brief History of the Disequilibrium Approach in Macroeconomics - is a revised and expanded version of paper presented at the XXXVIII Meeting of ANPEC. Our argumentation challenges Romer (1989) and Mankiw (2005) interpretations about that episode. We also disagree (at some level) with Backhouse & Boianovsky (2005) hypothesis about the so-called \"failure\" of Non-Market-Clearing Approach. The second essay - A Historical (and Rhetorical) Analysis of Robert E. Lucas Junior\'s Doctrinaire Speech - is still a work in progress. If the first essay we argue that part of the \"failure\" of Disequilibrium Approach was due to the emergence of a method perceived as superior by most economists (lucasian method), here we investigate the content of those articles where Lucas seeks to persuade its readers of the superiority of his method not from the scrutiny of the results obtained by a specific model in comparison to an alternative structure, but mainly through a polemicist rhetoric. Our intention is to check the validity of some of its historical and theoretical arguments, and make a scrutiny of rhetorical expedients used by the author. The third essay - Ancestry Thesis, Reinvention of a Tradition or Cumulative Progress? A Research on \"Macroeconomics\" before Keynes and some Speculation about the causes of General Theory\'s Success\" - is derived from the second paper. We start from the juxtaposition of historical hypotheses of two great authors about the state\'s theory of \"macroeconomic\" before Keynes, and the causes of the success of the General Theory. On one hand, Robert Lucas argues that Macroeconomics as developed by Keynes was a deviation in the tradition of equilibrist fluctuation analysis, whose success was a fortunate historical accident. On the other, Olivier Blanchard argues that what was before Keynes was a great diversity of methods and the absence of a hegemonic apparatus, and the success of Keynes was due exclusively to theoretical and methodological advances made in that work.

Considerando a importância de uma medida de alta frequência para o PIB do Rio Grande do Sul, o principal indicador de atividade econômica do estado, este trabalho foi dividido em três objetivos. O primeiro foi a estimação de uma série com frequência mensal para o PIB real do Rio Grande do Sul entre janeiro de 2002 e março de 2017, dado que o mesmo só é contabilizado em frequência trimestral. Para tanto, foi utilizado um modelo em espaço de estados que permite a estimação e nowcast do PIB mensal, utilizando séries coincidentes como fonte de informação para a interpolação dos dados trimestrais do PIB, em linha com Bernanke, Gertler e Watson (1997), Mönch e Uhlig (2005) e Issler e Notini (2016). O segundo objetivo foi comparar a série estimada com um indicador de atividade calculado pelo Banco Central do Brasil para o estado, o Índice de Atividade Econômica Regional (IBCR-RS), tanto em termos metodológicos como na capacidade em antecipar as variações do PIB trimestral antes de sua divulgação (nowcasting). O terceiro objetivo foi estabelecer a cronologia dos ciclos de expansão e recessão da economia gaúcha com o uso do algoritmo de Bry e Boschan (1971). Após a etapa de seleção das séries coincidentes e da estimação de diversos modelos de interpolação, foi escolhido para gerar a série mensal do PIB o modelo que utiliza somente a produção industrial como variável auxiliar, tendo este apresentado o melhor ajuste. A comparação do PIB mensal interpolado com o IBCR-RS mostrou que, além da vantagem computacional a favor do método proposto neste trabalho, a imposição da disciplina de que as variações do PIB mensal estimado devem ser exatamente iguais às do PIB trimestral faz com que a dinâmica de curto e longo prazo das variáveis sejam idênticas, o que não ocorre com o IBCR-RS. A cronologia dos pontos de inflexão da atividade econômica apontou três períodos recessivos na economia gaúcha desde janeiro de 2002: jun/2003 a abr/2005 (23 meses e queda acumulada de 8,79%); abr/2011 a abr/2012 (13 meses e queda acumulada de 9,47%); e jun/2013 a nov/2016 (42 meses e queda acumulada de 10,41%), sendo o encerramento deste último apontado somente com a inclusão dos resultados estimados pelo modelo para o segundo trimestre de 2017. Finalmente, os resultados do exercício de nowcasting do PIB mostraram desempenho superior do método proposto frente ao IBCR-RS em termos de antecipação do resultado do PIB de um trimestre a frente, tomando como base as medidas de MAE (erro absoluto médio, em inglês) e MSE (erro quadrático médio, em inglês), comumente usadas nesse intuito. / Giving the importance of a high frequency measure for Rio Grande do Sul’s GDP, the main indicator of economic activity of the state, this work was divided into three objectives. The first one was the estimation of monthly frequency series for Rio Grande do Sul’s real GDP between January/2002 and March/2017, since it is only accounted in quarterly basis. Therefore, we used a State-Space model that enables to estimate and nowcast the monthly GDP, using coincident series as a source of information for the interpolation of quarterly GDP data, in line with Bernanke, Gertler e Watson (1997), Mönch e Uhlig (2005) and Issler e Notini (2016). The second objective was to compare the estimated series with an activity indicator calculated by the Central Bank of Brazil for the state, the Regional Economic Activity Index (IBCR-RS), both in methodological terms and in the capability to anticipate the quarterly GDP release (nowcasting). The third objective was to establish the chronology of the cycles of expansion and recession of the economy of Rio Grande do Sul using the algorithm of Bry e Boschan (1971). After the selection of the coincident series and the estimation of several interpolation models, the chosen model to generate the monthly GDP series uses only the industrial production as an auxiliary variable, and this one presented the best fit. The comparison of the monthly GDP interpolated with the IBCR-RS showed that, in addition to the computational advantage in favor of the method proposed in this work, the imposition of the discipline that the estimated monthly GDP changes must be exactly the same as the quarterly GDP makes the short-term and long-term dynamics of the variables are identical, which is not the case with IBCR-RS. The chronology of the turning points of the economic activity pointed to three recessive periods in the economy of Rio Grande do Sul since January 2002: June/2003 to April/2005 (23 months and accumulated drop of 8.79%); April/2011 to April/2012 (13 months and accumulated fall of 9.47%); and June/2013 to November/2016 (42 months and 10.41% accumulated decrease), with the latter one closing only with the inclusion of the results estimated by the model for the second quarter of 2017. Finally, results for GDP’s nowcasting showed superior performance of the proposed method compared to the IBCR-RS in terms of anticipating quarter-to-quarter GDP results, based on the measures of MAE (absolute mean error) and MSE (mean square error), commonly used for this purpose.

Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more in bad times (recession) and that investors value bad news rating changes (downgrades) more in good times (expansion). I model and test probit models using variables capturing the characteristics of the previous issuer’s credit rating, liquidity, solvency, profitability, and growth opportunity to determine the classification of single notch versus multi notch rating changes. The determinants of multi notch versus single notch rating changes for upgrades and downgrades differ. Business cycle influences are evident. Firms that have multi notch rating upgrades and downgrades have significantly different probit variables vis-à-vis firms that have single notch rating upgrades and downgrades. The important characteristics for determining multiple notch upgrades are a firm’s prior rating change, prior rating, cash flow, total assets and market value. The important characteristics for determining multiple notch downgrades are a firm’s prior rating change, prior rating, current ratio, interest coverage, total debt, operating margin, market to book ratio, capital expenditure, total assets, market value, and market beta. The variables that differ for multi notch upgrades in recessions are cash flow, net income, operating margin, market to book ratio, total assets, and retained earnings. The variables that differ for multi notch downgrades in expansions are a firm’s prior rating change, current ratio, interest coverage ratio, debt ratio, total debt, capital expenditure and market beta. The power of the explanatory tests improves when the stage of the business cycle is considered. Results are robust to consideration of rating changes across rating categories, changes from probit to logit, alternative specifications of accounting variables, lags and leads of recessions and expansions timing, Fama and French industry adjustments, and winsorization levels of variables.

本文建構一個兩國並結合銀行之 DSGE 模型，旨在瞭解銀行資本與放款利差於國際景氣傳遞過程的機制。中間財廠商必須向銀行融通資金以購買資本財。本文假設廠商償還資金時存在違約衝擊，即銀行不一定能完全回收貸放總額。銀行資本水準又會影響放款利差的高低，進而改變廠商生產決策。本文以此機制連結金融與實質部門探討當違約衝擊發生時，除了對本國的影響之外，又會如何衝擊外國經濟體系。本文發現，本國違約衝擊的確會導致兩國景氣同時步入衰退，成功地捕捉兩國之產出、投資與放款呈現下降的現象。此外，本國若採行緊縮性貨幣政策，外國經濟體系也會遭受威脅。 / The objective of this study is to investigate the international transmission mechanism of the role of banking sector. We propose a Dynamic Stochastic and General Equilibrium model of a two-country two-bank world with nominal rigidity. Bank lends funds to entrepreneurs to purchase capital. The banking capital position has influence on loan rate spreads which can affect the real economic activities. Financial impact is originated from entrepreneur defaulting on their borrowings. The calibration results show that a country-specific financial shock causes international crisis. Furthermore, a negative monetary policy shock also drives simultaneous recession across countries.

Diss. Stockholm : Handelshögskolan, 2006

Popularity of nonlinear threshold models and unit root tests has increased after the recent empirical studies concerning the effects of business cycles on macroeconomic data. These studies have shown that an economic variable may react differently in response to downturns and recoveries in a business cycle. Inspiring from empirical results, this thesis investigates dynamics of Turkish key macroeconomic data, namely capacity utilization rate, growth of import and export volume indices, growth of gross domestic product, interest rate for cash loans in Turkish Liras and growth of industrial production index. Estimation results imply that capacity utilization rate and growth of industrial production index show M-TAR type nonlinear stationary behavior according to the unit root test proposed by Enders and Granger (1998).

From the 1970s onwards, it is argued that central banks should be independent from politicians since the latter have an interest in seeking populist interventions to the conduct of the monetary policy. Additionally, it is often maintained that the sole aim of a central bank should be to seek price stability. Despite the seemingly neutral and objective tone of these arguments, central bank independence can find its meaning as a part of Neoliberalism, which restructured the economic administration of the state. The main objective of this thesis is to analyse the notion of central bank independence and the case of the Central Bank of the Republic of Turkey in a multidisciplinary manner, in order to reveal its political and administrative implications.

Magistro baigiamajame darbe išanalizuoti ir įvertinti Lietuvos II pakopos pensijų fondų investicijų grąžos pokyčiai verslo cikluose, iškelta fondo pasirinkimo problema bei pateikti siūlymai kaip šią problemą spręsti pensijų fondų dalyviams. Pirmoje darbo dalyje teoriniu aspektu analizuojama Lietuvos pensijų sistema, pateikiami teigiami ir neigiami kaupiamųjų fondų aspektai ir pateikiama verslo ciklų samprata. Antroje dalyje atliekama II pakopos pensijų fondų metinėse ataskaitose skelbiamų rodiklių analizė, nagrinėjami dažniausiai mokslinėje literatūroje sutinkami pensijų fondų vertinimo metodai bei pateikiamas darbo tyrimo modelis ir apibrėžiama darbo eiga. Trečioje dalyje pateikiama trumpa 2013 metų pabaigoje veiklą vykdžiusių II pakopos pensijų fondų apžvalga ir panaudojant Šarpo metodiką bei kitus pagrindinius fondų vertinimo kriterijus yra atrenkami efektyviausiai valdomi skirtingų strategijų pensijų fondai. Identifikavus verslo ciklus Lietuvoje, atliekama efektyviausiai valdomų skirtingų strategijų pensijų fondų investicijų grąžos analizė kiekvienoje verslo ciklo fazėje. Atliekama techninė analizė ir sudaromos tiesinės daugianarės regresijos lygtys, naudojamos prognozuoti investicijų grąžos pokyčius remiantis faktiniais fondų apskaitos vienetų vertės pokyčiais ir makroekonominiais rodikliais. / Master's Work analyzed and evaluated Lithuanian pillar II pension funds return on investment changes in business cycles, a series of suggestions is given for pension funds participants how to solve the problem of pension fund selection. The first part examines theoretical aspect of Lithuanian pension system, an overview of its positive and negative aspects and defined concept of business cycles. In second section analyzed indicators provided in the annual reports of pillar II pension funds, mostly encountered pension fund valuation methods in the scientific literature and workflow is defined. The third part present short review of Lithuanian pillar II pension funds which operated in 2013 and using Sharpe methodology and other most important valuation methods are selected efficiently managed by different strategies of pension funds. After identification of the business cycles in Lithuania, carried out in most effectively managed, by different strategies of pension funds, the return on investment analysis for each phase of the business cycle Technical analysis and the straight multiple regression equations used to predict changes in investment return based on the actual value of the fund units of accounting changes and macroeconomic indicators.

Ekonominiai ciklai įtakoja transporto šakos efektyvumą, todėl magistro darbe ir analizuojama ekonominių ciklų įtaka transporto sektoriui. Efektyvumo supratimas ir vertinimas yra viena iš pagrindinių problemų, nagrinėjant šią temą, kadangi nėra vieningos apibendrinančios transporto sektoriaus vertinimo metodikos (mokslininkai siūlo vertinti šakos arba įmonių efektyvumą įvairiais aspektais). Magistro darbe transporto rūšių ekonominis efektyvumas 2000 – 2012 metais vertinamas, remiantis suformuotų finansinių rodiklių sistema, pagal kurią svertinio aritmetinio vidurkio pagrindu išvesti agreguoti rodikliai. Transporto rūšies veiklos efektyvumas ir jo palyginimas visame sektoriuje per 2000 – 2012 metus atliktas remiantis dviem efektyvumo skaičiavimo metodais: skaičiuojant efektyvumą agreguotų rodiklių pagrindu kiekvienos transporto rūšies atskirai ir kiekvienos transporto rūšies visame sektoriuje. Ekonominių ciklų įtakos transporto sektoriaus efektyvumui įvertinimas, atliktas pagal transporto sektoriaus ekonominių veiklos rūšių efektyvumo agreguotų rodiklių ir makroekonominių rodiklių koreliacinę analizę. Magistro darbe įvertintas ekonominių ciklų poveikis transporto įmonių finansiniams rezultatams, atlikta perspektyvinė analizė pagal regresines analizes, sukuriant krovinių gabenimo, keleivių pervežimų, pardavimo pajamų, savikainos, veiklos sąnaudų prognozavimo modelius, remiantis makroekonominiais rodikliais. Perspektyvinė analizė atlikta remiantis Finansų Ministerijos ir Lietuvos... [toliau žr. visą tekstą] / Economic cycles influence efficiency of transport sector therefore the main problem in work of the master, is the analysis of influence of economic cycles on transport sector. The concept and assessment of efficiency is one of the main problems in this subject as there is no uniform technique for estimation of transport sector (scientists suggest to estimate branches and efficiency of the enterprises through different prisms). In work of the master, economic efficiency of separate means of transport in 2000 - 2012 are estimated, leaning on the installed system of financial performance on the basis of which by means of the weighed arithmetic average of an indicator, the aggregated indicators are received. Scientific researches, for comparison of means of transport in all sector for 2000 - 2012 are executed, leaning on two methods of calculation of efficiency: the aggregated indicators of efficiency of each type of transport sector separately are removed and the aggregated indicators of efficiency of each look in all sector are removed. Estimation of influence of economic cycles on efficiency of transport sector, is executed by means of the correlation analysis of the aggregated indicators of efficiency of economic kinds of activity of transport sector and macroeconomic indicators. The analysis of influence of economic cycles on financial results of transport enterprises, is executed by means of the regression analysis, creating models of forecasting of transportation of goods... [to full text] / Экономические циклы влияют на эффективность транспортного сектора, поэтому основная проблема в работе магистра, это анализ влияния экономических циклов на транспортный сектор. Понятие и оценка эффективности является одной из основных проблем в этой теме, так как нет единой методики для оценивания транспортного сектора (учёные предлагают оценивать отрасли и эффективность предприятий через разные призмы). В работе магистра, экономическая эффективность отдельных видов транспорта в 2000 – 2012 годах оцениваются, опираясь на установленную систему финансовых показателей, на основе которых с помощью взвешенного среднего арифметического показателя, получены агрегированные показатели. Научные исследования, для сравнения видов транспорта во всём секторе за 2000 – 2012 года выполнены, опираясь на два метода расчёта эффективности: выведены агрегированные показатели эффективности каждого вида транспортного сектора в отдельности и выведены агрегированные показатели эффективности каждого вида во всём секторе. Оценивание влияния экономических циклов на эффективность транспортного сектора, выполнено при помощи корреляционного анализа агрегированных показателей эффективности экономических видов деятельности транспортного сектора и макроэкономических показателей. Анализ влияния экономических циклов на финансовые результаты транспортных предприятий, выполнен при помощи регрессионного анализа, создавая модели прогнозирования перевозки грузов и пассажиров, доходов от продаж, себестоимости... [полный текст, см. далее]