The aim of this research is to check whether the Taylor rule in its simple linear form can be viewed as an appropriate description of the monetary policy pursued by Norway’s central bank – Norges Bank, and whether this rule can be used for forecasting purposes. Not only does this research focus on the original Taylor rule, but it also deals with its extended version designed for small open economies such as Norway. A conclusion about whether regressions can produce reliable coefficient estimates is drawn on the basis of time series’ properties tests and cointegration tests. The performance of the simple-form Taylor equation is compared to its alternative forms through forecasting exercises. The study has shown that the extended version of the Taylor rule with interest rate smoothing and augmented with the real exchange rate, the policy rate of the EU and oil prices can be viewed as a close approximation of Norges Bank’s monetary policy and can be used for forecasting purposes.

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Made available in DSpace on 2016-03-15T19:31:11Z (GMT). No. of bitstreams: 1 Carlos Eduardo Mariano da Silvaprot.pdf: 2595730 bytes, checksum: 9833a96c1c04d678ce0e727b83b72b45 (MD5) Previous issue date: 2015-02-11 / The aim of this work is to test the rationality of the Brazilian market for commodities actively negotiated at the BM&FBovespa, the exchange for stocks and derivatives in Brazil. The study encompasses live cattle, arabic coffee, corn and the US$/R$ exchange rate. The Present Value Model (PVM) was used to test the ratio between the future and spot prices spread and the market price of commodity under study. The ratio between the convenience yield, that accrues to holders of inventory, and the spot price is also tested. Cointegration tests, Granger causality tests and serial autocorrelation are among the tools employed. Conformance to the present value model is weak, since there is no cointegration between the convenience yield and the spot price for none of the four commodities. Prices, therefore, deviate from fundamentals. It is not possible to reconcile return forecasts with an efficient market environment under a context of rational expectations for the above mentioned assets. It is thus necessary continued investigations in this field. Two alternative schools of thought for investigations would be using equilibrium models between future and spot prices with arbitrage finite elasticity and, if prices follow an stochastic multivariate process, reverting to a trend line, to treat the convenience yield as an endogenous variable. / Este trabalho de pesquisa teve por objetivo principal testar a racionalidade do mercado brasileiro de commodities agropecuárias, para os ativos boi gordo, café arábica, milho e no âmbito de ativos financeiros, para a taxa de câmbio do dólar norteamericano. Essas commodities estocáveis são largamente transacionadas na Bolsa de Mercadoria e Futuros (BM&FBovespa). Utilizou-se o modelo de valor presente (PVM) da razão entre o spread dos preços futuros e a vista ( spot ) e o preço de mercado do ativo em questão, bem como entre o ganho de conveniência, que é o benefício obtido pelos detentores de estoque físico e o preço de mercado spot , utilizando testes de cointegração, de causalidade no sentido de Granger e de auto correlação dos excessos de retorno. Os resultados da pesquisa mostram uma fraca evidência do modelo para explicar os preços das commodities estocáveis estudadas, já que não houve cointegração entre o preço spot e o ganho de conveniência para nenhuma das commodities. Os preços, portanto, se desviam dos valores fundamentais para as commodities neste estudo. Assim, não é possível compatibilizar a previsibilidade de retornos com a existência de um mercado eficiente sob um contexto de expectativas racionais para os ativos estudados. Nesse sentido é necessária a continuidade das investigações neste campo. Duas vertentes alternativas para esses estudos seriam a utilização de modelos de equilíbrio de preços spot e futuros com elasticidade finita de arbitragem e, em outra linha de pesquisa, se os preços seguirem um processo multivariável estocástico, revertendo à uma linha de tendência, tratar o ganho de conveniência como uma variável endógena.

Made available in DSpace on 2016-03-15T19:25:24Z (GMT). No. of bitstreams: 1 Felipe Namur.pdf: 898119 bytes, checksum: 5a7a9a3c8afc7163ca30e749e356a10e (MD5) Previous issue date: 2010-08-18 / Fundo Mackenzie de Pesquisa / Campbell and Schiller (1987) proposed, within the scope of econometric analysis and cointegration, a powerful tool that enabled the present value model tests to also test market rationality and efficiency. The opportunity offered by the present value model of a substantial and settled fundamental value theory together with a powerful tool kit of empiricaleconometric tests was able to effectively contribute for the comprehension of important phenomena in the area of financial economics such as asset pricing, agents rationality and market efficiency as well as impelling new studies and improvements. If this basic rationality can be verified then follows several econometrically testable implications. In other words there will be a spread S reflecting the differences between the theoretical or fundamental value and the actual prices that if stationary will reflect a long term trend of reversion to those fundamental values. Pindick (1991) pioneered in the application of the present value model for commodities. Although other works and tests of the present value model for other assets have been developed it could not be found any other work or research for commodities but Pindick (1991) in the literature. The other papers and researches dealing with commodities before Pindick (1991) regard the convenience yield qualitatively, developing and analyzing it conceptually. It is in Pindyck (1991) that for the first time a quantitative operational variable for the convenience yield is built demonstrating that it´s values can be extracted from future prices. These so named cash flows can be seen as similar to dividends for stocks and are possible of being tested by the present value model. This work s purpose is to apply Pindyck s (1991) methodologies in Brazilian reality, using the live cattle commodity over the period from 2.001 to 2.008 based on theoretical reference and literature about the present value model, rationality hypothesis, market efficiency and making use of econometric tool kit regarding stationarity and unit root tests (ADF), Granger casuality testes, F tests with restrictions, OLS, VAR and cointegration tests. The validation of virtually all the implications of the present value model leads to the following conclusion and response to the formulated research problem: Prices for live cattle over the period from 2.001 to 2.008 match with the net convenience yield cash flows discounted to the present. The evidences presented assert the adjustment between prices and cash flows, implying that economic agents while trading with the live cattle commodity do that rationally, and only in a no significant fashion drive away from its fundamental values, regressing to it as a rule. / Campbell e Schiller (1987) propuseram, dentro da estrutura de análise econométrica e cointegração,uma poderosa ferramenta para que os testes de modelo de valor presente possam também testar racionalidade e eficiência de mercado. A oportunidade oferecida pelo modelo de valor presente, uma consistente e sedimentada teoria de valor fundamental simultaneamente a um poderoso ferramental de testes empírico-econométricos, pode contribuir de forma efetiva para a compreensão de importantes fenômenos na área de finanças, como apreçamento de ativos, racionalidade de agentes e eficiência de mercados, além de ser um propulsor de novos estudos e avanços. Se esta racionalidade básica puder ser verificada, então diversas implicações testáveis econometricamente se derivam. Em outras palavras haverá um spread S refletindo as diferenças entre o valor teórico ou fundamental e os valores praticados que, sendo estacionário refletirá uma tendência de longo prazo de reversão a estes valores fundamentais. Pindyck (1991) é o trabalho pioneiro de aplicação do modelo de valor presente para mercadorias. Embora outros trabalhos e testes de modelo de valor presente para outros ativos tenham sido desenvolvidos não se encontrou na literatura nenhuma outra pesquisa para mercadorias além de Pindyck (1991). Os trabalhos sobre mercadorias anteriores tratam do ganho de conveniência de forma qualitativa, elaborando-o e analisando-o conceitualmente. É em Pindyck (1991) que pela primeira vez se constrói uma variável operacional, quantitativa para o ganho de conveniência, demonstrando que seus valores podem ser extraídos dos preços dos contratos futuros. Estes fluxos de caixa, assim identificados, podem ser vistos como semelhantes aos fluxos produzidos pelos dividendos das ações e possíveis de serem testados pelo modelo de valor presente. A proposta deste estudo é reproduzir as metodologias empregadas por Pindyck (1991) na realidade brasileira, para a mercadoria boi gordo, no período de 2001 a 2008, tendo como referencial teórico modelos de valor presente, hipóteses de racionalidade, eficiência de mercado e utilizando-se de ferramental econométrico abrangendo testes de estacionariedade e raiz unitária (ADF), testes de causalidade de Granger, testes F com restrições, MQO, VAR e testes de co-integração. A aceitação de praticamente todas as implicações do modelo de valor presente permite a seguinte conclusão e resposta ao problema de pesquisa formulado: Os preços do boi gordo no período de 2.001 a 2.008 correspondem aos fluxos de caixa dos ganhos de conveniência líquidos esperados, descontados a valor presente. As evidências apresentadas constatam a correspondência entre preços e fluxos de caixa, implicando que os agentes econômicos ao transacionarem com a mercadoria boi gordo o fazem de forma racional, e apenas de forma não significativa afastam-se de seus valores fundamentais, regredindo a eles como norma.

La nouvelle stratégie d'intégration adoptée en 2000 par les pays Sud-Américains, après trois décennies d'instabilité économique et de crises récurrentes, est un jalon de l'histoire économique de la région. En effet, la volatilité du cycle économique de ces pays s'est réduite significativement à partir de cette date, atteignant son niveau le plus bas depuis 1950. L'analyse d'un tel phénomène est particulièrement intéressante en particulier lorsque l'on se place dans le contexte de turbulences et de crises des années 2000, à savoir, la crise financière mondiale (2008-2009) et, dans son sillage, la crise des dettes souveraines en zone euro. Dans cette thèse, l'objectif est d'étudier le projet d'intégration régionale d'Amérique du Sud, institutionnalisé en 2008 avec la création de l'Union des Nations Sud-Américaines Unasur, en tant que vecteur de stabilisation de ces économies. De ce fait, il s'agit de concentrer l'analyse sur les interactions entre les douze pays du continent Sud-Américain – Argentine, Bolivie, Brésil, Chili, Colombie, Équateur, Guyana, Paraguay, Pérou, Uruguay, Suriname et Venezuela – qui forment un groupe hétérogène autour d'un objectif commun l' "… intégration culturelle, sociale, économique et politique …" et la "… réduction des asymétries de la qualité de vie de ses citoyens … ". La thèse s'intéresse exclusivement aux aspects économiques d'un tel projet d'intégration régionale. À partir d'outils empiriques et théoriques, nous cherchons à évaluer le niveau de convergence et de vulnérabilité des économies concernées. Plus particulièrement une analyse des impacts des politiques d'intégration dans court terme et une étude de leurs performances macroéconomiques de long terme. La thèse se divise en quatre chapitres et s'appuie sur des modèles qui intègrent diverses sources de diffusion des chocs asymétriques. Le premier chapitre présente l'état de l'art de la théorie d'intégration économique régionale en soulignant le cas Sud-Américain. Le deuxième chapitre analyse, à l'aide de modèles vectoriels autorégressifs structurels et de mesures de corrélation, l'impact de chocs externes sur les secteurs réel, monétaire et budgétaire des pays membres de l'Unasur. L'analyse montre que : (i) même les pays les plus fermés (Argentine et Venezuela) et les plus industrialisées (Brésil) présentent une forte vulnérabilité aux perturbations internationales, (ii) cette vulnérabilité individuelle se traduit en une convergence de court terme des trajectoires des principales variables macroéconomiques des pays concernés. Dans le troisième chapitre, on cherche à mesurer le degré de convergence de long terme des niveaux de vie des citoyens Sud-Américains à l’aide de modèles empiriques vectoriels à correction d'erreur et de techniques de cointégration. Les résultats montrent l'existence de tendances stochastiques communes à long terme. Cela signifie que les pays sont engagés dans un processus d'évolution vers un objectif commun, autrement dit, que les conditions de vie des citoyens Sud-Américains ne divergent pas à long terme. En fin, le troisième chapitre vise à analyser l'impact de l'investissement dans la construction de réseaux régionaux de transport, de communication et d'énergie, sur la réduction de l'hétérogénéité structurelle des pays de l'Unasur (projet IIRSA). En effectuant un certain nombre d'expériences de politique dans un cadre théorique, cette analyse constate que : (i) une accroissement d'investissement public en infrastructure suscite une augmentation du commerce intra-intra-régional mais pas forcément une réduction de l'écart de production entre les pays, (ii) l'écart de production à long terme entre l'Argentine et le Brésil diminue, dans un scénario gagnant-gagnant, en termes de croissance économique, seulement si les gouvernements de ces deux pays coordonnent leur augmentation d'investissement en infrastructure, comme proposé par l'IIRSA. / Economic integration seems to be a new global trend. The past two decades have witnessed the formation of several economic unions in Asia (ASEAN+3 in 1997), Europe (Eurozone in 1999), Africa, and America (Union of South American Nations, Unasur in 2008). The South American case deserves special attention because, unlike the other blocs, the Unasur emerged as a political alliance and not as an economic one. Furthermore, Unasur is conceived as a strategy for improving the socioeconomic conditions of nations that have a common history of economic instability and external dependence. However, while common concerns and political willingness exist among group members, the question of whether that consensus is sufficient to ensure economic integration remains unanswered. For instance, economic integration as a strategy for macroeconomic stability has seemed to work well in Europe after the euro was launched in 1999 (Sapir, 2011), until the breakdown of the European sovereign debt crisis in recent years has revealed the inherent weaknesses of an economic union that lacks a political union (Fligstein et al., 2012, Issing, 2011). This development suggests that the Unasur project is likely to fail if the concerned economies do not converge economically. This is the reason why, this thesis assesses the Unasur project from an economic integration perspective, thus, complementing the huge body of political literature that has been developed on the issue (Briceño-Ruiz, 2014, Sanahuja, 2012). The first chapter describes the theory of economic integration' state of art focusing on South America. The second chapter examines the reactions of the Unasur economies to external shocks. By using a structural vector autoregression approach, it measures the impact of three external shocks (monetary, commercial, and financial) in the real, monetary, and fiscal economic sectors of Unasur economies and investigates co-movement paths. The results show (i) a non-negligible degree of synchronization across the studied economies, confirming their high external vulnerability, (ii) irrespective of size or integration degree, all Unasur members share mutual weaknesses, which they must fight to overcome. The third chapter evaluates the convergence in real GDP per-capita, as a suitable proxy measure, of the concerned economies for the period 1951-2011. By relying on cointegration techniques and applying Bernard and Durlauf's (1995) stochastic definitions of convergence and common trends, the presented evidence supports the existence of common long-run trends driving output in South America, meaning that the region is involved in a dynamic process of convergence in living standards. Finally, the fourth chapter studies the economic spillovers of the most advanced structural project of the group: the Initiative for the Integration of Regional Infrastructure in South America (IIRSA). A micro-founded two-country general equilibrium model is constructed to evaluate potential gains or losses (in terms of output convergence and trade integration) of raising publicly provided transportation infrastructure in a coordinated and uncoordinated manner. The model is solved using data from Argentina and Brazil. Results show that: (i) rising public investment in infrastructure boost commercial integration but not necessarily generates output converge, (ii) the only way for the Argentina and Brazil to achieve output convergence is to coordinate their increments on public infrastructure as proposed by the IIRSA.