The thesis examines the effects of geopolitical events on global crude oil, wheat and aluminum prices. Geopolitical events have the potential to disrupt the production and supply of commodities to markets, affecting prices. Path analysis models that mirror crude oil, wheat and aluminum markets are constructed using theories specific to each commodity to measure how substantial the impacts of different variables are upon prices. Vector error correction models are then employed to test if individual geopolitical events have long-term effects on prices. An analysis of production and exports of commodities in regions and countries affected by geopolitical events is conducted to determine how severely production is disrupted. A basic examination of prices before, during and after geopolitical events is conducted to understand how quickly drivers of commodity prices can shift between geopolitical events and supply and demand fundamentals. It also serves to show how quickly prices revert to pre-event levels following a geopolitical event.

This thesis presents three distinct chapters that look at different challenges faced by advanced and emerging market economies. Given the issues explored in these chapters, I contribute to several strands of economic literature. Yet, each chapter is motivated by its policy relevance and is embedded in the issues advanced and emerging market countries face. Chapter 1 explores the impact of income inequality on domestic investment in resource-rich countries. Income inequality may affect investment through different mechanisms. For instance, it could distort incentives for domestic investment; high-income inequality may discourage investment in public goods since low-income non-investors may benefit more from the returns on investment. As a result, countries with higher income inequality are expected to contribute less to their domestic investment. To investigate the relationship between income inequality and domestic investment, I use the data for 57 resource-rich countries from 1982-2015. Due to endogenous relationships among variables, I use generalized method-of moments estimators that employ lagged regressors as instruments in the estimation. Using a variety of income inequality measures, I find a negative and significant relationship between these two economic indicators: income inequality and domestic investment. This result could help resource-rich countries achieve higher growth from their resource endowments. The second chapter studies the extent to which worldwide shocks can explain country-specific inflation fluctuations. My benchmark model proxy world shocks with shocks to commodity prices. First, using a factor model of commodity prices, I extract three leading factors characterizing their co-movement. Then, I use the commodity price factors in a structural vector autoregressive model to investigate the fraction of inflation fluctuations that commodity price shocks can explain. My estimation is based on the data for 67 advanced and emerging market economies from 1970-2014. Furthermore, I examine the impact of world shocks on inflation through additional mechanisms, such as changes in the world interest rate and the global economic activity index. Compared to the previous literature, I find the increased importance of world shocks in explaining country-specific inflation fluctuations. This result can guide policymakers in setting the relevant monetary policy to control or prevent inflationary pressures in an economy. Finally, the third chapter studies whether commodity price shocks matter for estimating the output gap. First, I apply the Beveridge and Nelson decomposition method and calculate the share explained by world shocks in the variance decomposition of the output gap. In my analysis, world shocks affect the output gap through commodity price indices and global economic factors. My study includes five advanced and ten emerging market economies from 1980-2018. Then, I investigate whether commodity price shocks can improve the accuracy of this estimation. To do this, I exclude commodity price indices from my model to estimate the output gap. Finally, I use output gaps estimated with and without commodity price indices in an inflation forecasting model to compare the forecast errors of predicted inflation. Using a forecast error test, I find that the estimated output gap using commodity price indices would provide better results in forecasting inflation than other output measures.

A wholesale beef futures contract has been suggested as a possible solution to recent problems in live cattle futures. However, it is uncertain whether the new futures contract will outperform the existing contract. In this research, I develop methods to derive a price series that is theoretically sound for a hypothetical futures contract. This allows for the evaluation of this hypothetical wholesale beef futures contract. I test these methods for validity using futures markets for hogs and find that they are similar in accuracy to a futures valuation model for existing futures. Then I derive a price series for this hypothetical wholesale beef futures contract and evaluate its effectiveness as a risk management tool.

Worldwide, unconventional resources are important sources of oil and gas when most conventional resources are declining and demand for hydrocarbons is growing. The Masters? (1979) concept of the energy resource triangle suggest that the exploitation of unconventional reservoirs is particularly sensitive to both technology and commodity price parameters. In the United States, production from unconventional reservoirs has been stimulated by a combination of Federal tax credits, technical development programs -supported by government agencies and private organizations- and high commodity prices. In this work, the effect of technology and different economic events for selected unconventional oil and gas plays in the United States was evaluated according to the concept of the Resource Triangle Theory (RTT). Studies conducted in the Austin Chalk -our textbook case- and other seven unconventional plays in the United States have supported the RTT concept that high prices and better technologies do result in more drilling activity and more oil and gas production from unconventional reservoirs. For instance, two approaches were employed to support RTT concept: Correlation study and Forecasting graphs. On the first one, correlations of commodity prices and technology with drilling activity demonstrated that periods of high commodity prices coincide with increase in unconventional producing wells approximately 75% from selected plays in this study. The second one shows that high prices and technological advances also translate into additional oil and gas production and reserves. This behavior was observed through the analysis of a series of decline production curves using a VBA program in Excel that compute oil and gas production volumes and their corresponding economic values under specific conditions. The results indicated that maximum value of approximately $50 billion oil plus gas would have been possible using conventional hydraulic fracturing technology only. Moreover, subsequent episodes of high commodity allow the introduction of new technologies that have boosted even more oil and gas production from the plays. Great examples are the use of horizontal and multilateral wells which has opened up additional areas for development, such as the Barnett Shale and the Bakken Shale. Using horizontal wells has also revived older plays, such as the Austin Chalk. The combination of horizontal well technology and water fracturing technology has led to a dramatic increase in the development of both oil and gas from shale reservoirs. Current production schemes suggest that the plays could produce an additional of $320 billion when producing at rates higher than 5 BOE/day. Our results confirm the concept of the resource triangle that natural gas and oil resources can be produced from low quality resources when either product prices increase or when better technology is available. The seven oil and gas plays studied in this research are demonstrative examples.

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第19392号 / 経博第527号 / 新制||経||276(附属図書館) / 32417 / 京都大学大学院経済学研究科経済学専攻 / (主査)准教授 敦賀 貴之, 教授 照山 博司, 教授 有賀 健 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

Há mais de uma década o controle dos níveis de preço na economia brasileira é realizado dentro do escopo do Regime de Metas de Inflação, que utiliza modelos macroeconômicos como instrumentos para guiar as tomadas de decisões sobre política monetária. Após um período de relativo êxito (2006 - 2009), nos últimos anos apesar dos esforços das autoridades monetárias na aplicação das políticas de contenção da inflação, seguindo os mandamentos do regime de metas, esta tem se mostrado resistente, provocando um debate em torno de fatores que podem estar ocasionando tal comportamento. Na literatura internacional, alguns trabalhos têm creditado aos choques de oferta, especialmente aos desencadeados pela variação dos preços das commodities, uma participação significativa na inflação, principalmente em economias onde os produtos primários figuram como maioria na pauta exportadora. Na literatura nacional, já existem alguns trabalhos que apontam nesta mesma direção. Sendo assim, buscou-se, como objetivo principal para o presente estudo, avaliar como os choques de oferta, mais especificamente os choques originados pelos preços das commodities, têm impactado na inflação brasileira e como e com que eficiência a política monetária do país tem reagido. Para tanto, foi estimado um modelo semiestrutural contendo uma curva de Phillips, uma curva IS e duas versões da Função de Reação do Banco Central, de modo a verificar como as decisões de política monetária são tomadas. O método de estimação empregado foi o de Autorregressão Vetorial com Correção de Erro (VEC) na sua versão estrutural, que permite uma avaliação dinâmica das relações de interdependência entre as variáveis do modelo proposto. Por meio da estimação da curva de Phillips foi possível observar que os choques de oferta, tanto das commodities como da produtividade do trabalho e do câmbio, não impactam a inflação imediatamente, porém sua relevância é crescente ao longo do tempo chegando a prevalecer sobre o efeito autorregressivo (indexação) verificado. Estes choques também se apresentaram importantes para o comportamento da expectativa de inflação, produzindo assim, uma indicação de que seus impactos tendem a se espalhar pelos demais setores da economia. Através dos resultados da curva IS constatou-se a forte inter-relação entre o hiato do produto e a taxa de juros, o que indica que a política monetária, por meio da fixação de tal taxa, influencia fortemente a demanda agregada. Já por meio da estimação da primeira função de reação, foi possível perceber que há uma relação contemporânea relevante entre o desvio da expectativa de inflação em relação à meta e a taxa Selic, ao passo que a relação contemporânea do hiato do produto sobre a taxa Selic se mostrou pequena. Por fim, os resultados obtidos com a segunda função de reação, confirmaram que as autoridades monetárias reagem mais fortemente aos sinais inflacionários da economia do que às movimentações que acontecem na atividade econômica e mostraram que uma elevação nos preços das commodities, em si, não provoca diretamente um aumento na taxa básica de juros da economia. / For more than a decade the control of price levels in the Brazilian economy is conducted within the scope of the regime of inflation targets, which utilizes macroeconomic models as tools to guide decision-making on monetary policy. After a period of relative success (2006 - 2009), in recent years, despite the efforts of monetary authorities in the application of inflation containment policies, following the commandments of the targeting regime, this has proven resilient, causing a debate about factors that may be causing this behavior. In the international literature, some studies have credited to supply shocks, especially those triggered by the change in commodity prices, a significant participation in inflation, especially in economies where the commodities are a large part of export basket. In the Brazilian literature, there are already some studies pointing in the same direction. Therefore, it sought to the main objective of this study to evaluate how supply shocks, more specifically the shocks originated by commodity prices have impacted on Brazilian inflation and how and how efficiently monetary policy of the country has reacted. To this purpose, it estimated a semiestrutural model containing a Phillips curve, an IS curve and two versions of the central bank\'s reaction function, so check how monetary policy decisions are taken. The estimation method used was the Vector autoregression with Error Correction (VEC) in its structural version, which allows a dynamic assessment of interdependence between the variables of the model. By estimating the Phillips curve it was observed that the supply shocks, both commodity as labor productivity and the exchange rate, do not impact inflation immediately, but its relevance is growing over time getting to prevail over the effect autoregressive (index) checked. These shocks also performed important to the inflation expectations, a possible indication that supply shocks may spread over other economic sectors. Through the results of the IS curve noted the strong inter-relationship between the output gap and the interest rate, which indicates that monetary policy, by setting interest rates, strongly influences aggregate demand. Through the estimation of the A reaction function, it was revealed that there is a relevant contemporary relationship between the deviation of expected inflation from the target and the Selic rate, while the contemporary relationship of the output gap over the Selic was proved to be small. Finally, the results obtained with the B reaction function, confirmed that the monetary authorities react more strongly to inflationary signs of the economy than the movements that happen in economic activities and showed that a rise in commodity prices does not lead directly an increase in basic interest rate of the economy.

Various models driven by a hidden Markov chain in discrete or continuous time are developed to capture the stylised features of market variables whose levels or values constitute as the underliers of financial derivative contracts or investment portfolios. Since the parameters are switching regimes, the changes and developments in the economy as soon as they arise are readily reflected in these models. The change of probability measure technique and the EM algorithm are fundamental techniques utilised in the optimal parameter estimation. Recursive adaptive filters for the state of the Markov chain and other auxiliary processes related to the Markov chain are derived which in turn yield self-tuning dynamic financial models. A hidden Markov model (HMM)-based modelling set-up for commodity prices is developed and the predictability of the gold market under this setting is examined. An Ornstein-Uhlenbeck (OU) model with HMM parameters is proposed and under this set-up, we address two statistical inference issues: the sensitivity of the model to small changes in parameter estimates and the selection of the optimal number of states. The extended OU model is implemented on a data set of 30-day Canadian T-bill yields. An exponential of a Markov-switching OU process plus a compound Poisson process is put forward as a model for the evolution of electricity spot prices. Using a data set compiled by Nord Pool, we illustrate the vast improvements gained in incorporating regimes in the model. A multivariate HMM is employed as a framework in providing the solutions of two asset allocation problems; one involves the mean-variance utility function and the other entails the CVaR constraint. Finally, the valuation of credit default swaps highlights the important considerations necessitated by pricing in a regime-switching environment. Certain numerical schemes are applied to obtain approximations for the default probabilities and swap rates.

This paper examines the main determinants of inflation in Madagascar during the period 1984-2011, using cointegration approach. The empirical results highlight the existence of a stable money demand relationship that dictates the movement of prices in the long run, as well as a long run equilibrium involving domestic prices, exchange rate and foreign prices. Also, we found two long term relationships involving money, aggregate price, oil price, as well rice price. In the short run, inflation adjusts to deviation from the long run equilibrium in the monetary market, money growth have a positive impact on inflation while an appreciation of the exchange rates causes inflation to decelerate. We also find that inflation has a considerable inertia, movements in the prices of oil and rice affect the inflation rate in the short term, and the influence of external shocks are quite important. Variance decomposition and impulse response allow to examine the responses of the variables to various shocks.

Há mais de uma década o controle dos níveis de preço na economia brasileira é realizado dentro do escopo do Regime de Metas de Inflação, que utiliza modelos macroeconômicos como instrumentos para guiar as tomadas de decisões sobre política monetária. Após um período de relativo êxito (2006 - 2009), nos últimos anos apesar dos esforços das autoridades monetárias na aplicação das políticas de contenção da inflação, seguindo os mandamentos do regime de metas, esta tem se mostrado resistente, provocando um debate em torno de fatores que podem estar ocasionando tal comportamento. Na literatura internacional, alguns trabalhos têm creditado aos choques de oferta, especialmente aos desencadeados pela variação dos preços das commodities, uma participação significativa na inflação, principalmente em economias onde os produtos primários figuram como maioria na pauta exportadora. Na literatura nacional, já existem alguns trabalhos que apontam nesta mesma direção. Sendo assim, buscou-se, como objetivo principal para o presente estudo, avaliar como os choques de oferta, mais especificamente os choques originados pelos preços das commodities, têm impactado na inflação brasileira e como e com que eficiência a política monetária do país tem reagido. Para tanto, foi estimado um modelo semiestrutural contendo uma curva de Phillips, uma curva IS e duas versões da Função de Reação do Banco Central, de modo a verificar como as decisões de política monetária são tomadas. O método de estimação empregado foi o de Autorregressão Vetorial com Correção de Erro (VEC) na sua versão estrutural, que permite uma avaliação dinâmica das relações de interdependência entre as variáveis do modelo proposto. Por meio da estimação da curva de Phillips foi possível observar que os choques de oferta, tanto das commodities como da produtividade do trabalho e do câmbio, não impactam a inflação imediatamente, porém sua relevância é crescente ao longo do tempo chegando a prevalecer sobre o efeito autorregressivo (indexação) verificado. Estes choques também se apresentaram importantes para o comportamento da expectativa de inflação, produzindo assim, uma indicação de que seus impactos tendem a se espalhar pelos demais setores da economia. Através dos resultados da curva IS constatou-se a forte inter-relação entre o hiato do produto e a taxa de juros, o que indica que a política monetária, por meio da fixação de tal taxa, influencia fortemente a demanda agregada. Já por meio da estimação da primeira função de reação, foi possível perceber que há uma relação contemporânea relevante entre o desvio da expectativa de inflação em relação à meta e a taxa Selic, ao passo que a relação contemporânea do hiato do produto sobre a taxa Selic se mostrou pequena. Por fim, os resultados obtidos com a segunda função de reação, confirmaram que as autoridades monetárias reagem mais fortemente aos sinais inflacionários da economia do que às movimentações que acontecem na atividade econômica e mostraram que uma elevação nos preços das commodities, em si, não provoca diretamente um aumento na taxa básica de juros da economia. / For more than a decade the control of price levels in the Brazilian economy is conducted within the scope of the regime of inflation targets, which utilizes macroeconomic models as tools to guide decision-making on monetary policy. After a period of relative success (2006 - 2009), in recent years, despite the efforts of monetary authorities in the application of inflation containment policies, following the commandments of the targeting regime, this has proven resilient, causing a debate about factors that may be causing this behavior. In the international literature, some studies have credited to supply shocks, especially those triggered by the change in commodity prices, a significant participation in inflation, especially in economies where the commodities are a large part of export basket. In the Brazilian literature, there are already some studies pointing in the same direction. Therefore, it sought to the main objective of this study to evaluate how supply shocks, more specifically the shocks originated by commodity prices have impacted on Brazilian inflation and how and how efficiently monetary policy of the country has reacted. To this purpose, it estimated a semiestrutural model containing a Phillips curve, an IS curve and two versions of the central bank\'s reaction function, so check how monetary policy decisions are taken. The estimation method used was the Vector autoregression with Error Correction (VEC) in its structural version, which allows a dynamic assessment of interdependence between the variables of the model. By estimating the Phillips curve it was observed that the supply shocks, both commodity as labor productivity and the exchange rate, do not impact inflation immediately, but its relevance is growing over time getting to prevail over the effect autoregressive (index) checked. These shocks also performed important to the inflation expectations, a possible indication that supply shocks may spread over other economic sectors. Through the results of the IS curve noted the strong inter-relationship between the output gap and the interest rate, which indicates that monetary policy, by setting interest rates, strongly influences aggregate demand. Through the estimation of the A reaction function, it was revealed that there is a relevant contemporary relationship between the deviation of expected inflation from the target and the Selic rate, while the contemporary relationship of the output gap over the Selic was proved to be small. Finally, the results obtained with the B reaction function, confirmed that the monetary authorities react more strongly to inflationary signs of the economy than the movements that happen in economic activities and showed that a rise in commodity prices does not lead directly an increase in basic interest rate of the economy.

Este trabajo de investigación se busca estimar el impacto que tiene el precio del cobre sobre la dinámica de los créditos al sector privado en la economía peruana. La literatura nos muestra que el crecimiento del crédito desmesurado puede debilitar el sistema financiero en una economía y más aún si esta depende de la exportación de commodities. El efecto de los denominados booms de commodities suelen llevar a incrementos atípicos en el crédito otorgado al sector privado. Este comportamiento a largo y mediano plazo puede conducir a crisis financieras. Para el caso del Perú, no solo se sigue el modelo primario exportador, sino que también se ha registrado en su economía un crecimiento persistente en los créditos otorgados al sector privado a lo largo de casi 20 años. Sumado a esto, la incertidumbre provocada por la guerra comercial EE. UU y China ha impactado en los precios de los commodities y la balanza comercial peruana ya que ha disminuido la demanda de cobre, la exportación principal del Perú, del gigante asiático, su mayor comerciante. Cabe resaltar que en este trabajo no se está tomando en consideración los posibles efectos de la actual crisis sanitaria causada por el SARS-CoV-2 (COVID-19). Dada la literatura sobre los orígenes de las crisis financieras y la coyuntura actual del Perú, se analizará el comportamiento del precio del cobre, commodity principal exportado del país, y su relación a largo plazo con el crédito total privado peruano. El periodo de análisis escogido es desde el 2004 hasta el primer trimestre del 2020 debido a que a partir de ese periodo es que el crédito demuestra un crecimiento inusual que se ha mantenido hasta la fecha. / This paper seeks to estimate the impact that the Price of the cooper has on the private credit Dynamic for the peruvian economy. Literature shows that excessive growth of private credit could have a negative effect on the financial system and it could be even worse if said economy is commodity dependent. The effect of the so called commodity boom usually leads to an unsual increase on the private credit. In the long run, if such behavior persists, it could end up in a financial crisis. For the peruvian case, not only are its economy commodity dependant but his economy has registered a persistent growth of the credit provided to the private sector for almost 20 years. Moreover, the uncertainty caused by the trade war between USA and China has impacted the prices of some of the most important commodities to Peru and therefore had negative implications on their comercial balance. Copper demand from China has decreased, copper been the main commodity exported by Perú and China its bigger partner. It should be noticed that this paper will not take in consideration the possible effects of the SARS-CoV-2 (COVID-19). By taking in consideration the literature about financial crisis and given the peruvian economic enviroment, in this work we will focus on analysing the intenational prices of cooper, main commodity exported by Peru, and it’s relationship with the private credit. Our time period will be from 2004 to the first quarter of 2020. / Trabajo de investigación