The advent of advanced means of communication, faster modes of transportation and sophisticated trading technologies has facilitated economic and financial integration across the world. The emergence of globalization in the last two decades has transformed the economic outlook and perceptions of consumers, investors and policymakers. Consumers have a vast range of goods and services to choose from, investors seeking to maximize profits and minimize risks have access to markets worldwide and last, but not least, policymakers can harness the benefits accruing from international trade to abet economic growth and development. Although augmented economic and financial integration has its benefits, it does have its pitfalls as well. Highly synchronized financial and goods markets are relatively less insulated from disturbances or shocks arising in foreign markets. This synchrony makes these markets more susceptible to foreign shocks, thus, compromising their economic autonomy. Accordingly, the issue economic interdependence among countries warrants a detailed investigation. This dissertation consists of three essays. The first essay investigates exchange rate dynamics among the ASEAN-5 economies of Indonesia, Malaysia, Philippines, Singapore and Thailand. The second essay is dedicated to a detailed analysis of real and monetary interrelationships among the economies of Norway, Sweden, the UK and the US. In the third essay, the short-term and the long-term co-movements among the price of crude oil and the real exchange rates of the Canadian Dollar and the Norwegian Krone are examined. Exchange rate movements are central to international trade and finance as they directly impact the relative price of goods and services in domestic and foreign markets. Fluctuations in exchange rates can have a significant bearing on the terms of trade and the value of foreign asset holdings. Moreover, they can potentially transmit economic shocks across countries. Consequently, exchange rate dynamics are of keen interest to investors and policymakers alike. In the first essay, common trends and common cycles among the exchange rates of Indonesia, Malaysia, Philippines, Singapore and Thailand are investigated in detail. We identify and isolate the permanent and transitory components of the nominal exchange rates of the currencies of Malaysia, Philippines, Singapore and Thailand in an effort to examine the similitude of their responses to within-country and across-country economic disturbances in the long-run as well as in the short-run. This also allows us to ascertain the relative impacts of permanent and transitory shocks on the behavior of the observed exchange rate series. We find that a large proportion of economic and financial shocks have a dual impact on the behavior of the exchange rates, i.e., while a proportion of the impact of certain shocks is transitory and fades away with time, there is a persistent proportion of these shocks that alters the long-run path of the exchange rates. Thus, most shocks cannot be considered as exclusively transitory or permanent. It is observed that in the case of pegged exchange rate regimes, the trend and cyclical components move in opposite directions and offset the impacts of one another. The small open economies of Norway and Sweden rely extensively on foreign trade. Outside the Scandinavian group of countries, Germany and the UK are two of their biggest trading partners within the European Union (EU), while the US is one of their largest non-EU trading partners. Real and monetary disturbances in one or more countries can easily be transmitted to other countries that are linked through channels of trade. Consequently, the assessment of the impact of foreign shocks on the domestic economy is central to the formulation of economic policy. In light of this, the second essay is dedicated to the investigation of the impact of real and monetary disturbances arising in the major trading partners of Norway and Sweden on their respective price levels and outputs. Such an assessment may provide useful insights into the nature of the transmission mechanism of economic disturbances across these countries and may prove to be useful in the formulation and conduct of monetary policy. The central banks of Norway and Sweden seek output stability while explicitly targeting pre-specified inflation rates in order to conduct monetary policy. The achievement of such quantitative targets relies considerably on the forecasts of the target variables themselves, and of the impact of the changes in the instrument variables that are adjusted to achieve the targets. Our results indicate that output shocks have a more significant impact than monetary shocks on the GDPs of both Norway and Sweden. While the GDPs of Norway and Sweden are predominantly influenced by output shocks originating in Norway and Sweden in the short-run, the output shocks originating in the larger economies of the UK and the US dominate the variation in the GDPs of Norway and Sweden in the long-run. We find that monetary shocks have a more significant impact than real shocks on the CPI variables of both Norway and Sweden. Specifically, the monetary shocks originating in Norway, Sweden and the UK are found to be more significant than those originating in the US. Crude oil constitutes a large proportion of exports for Canada and Norway. In fact, they are two of the largest net exporters of crude oil in the world. Therefore, oil price shocks may significantly impact the trade balance of these countries, thereby, prompting their monetary and fiscal authorities to intervene. The nature and the degree of the intervention would depend significantly on the assessment as to whether these shocks are permanent and/or transitory. Accordingly, the links among the trends and cycles in the price of crude oil, the real exchange rate of the Canadian Dollar and the real exchange rate of the Norwegian Krone are investigated in the third essay. We address this issue by ascertaining the presence of common trends and common cycles among the price of crude oil and the two real exchange rates, and then decomposing them into their trend and cyclical components in a multivariate modeling framework. We find that, while the real exchange rates of the Canadian Dollar and the Norwegian Krone vis-à-vis the US Dollar are trend-dominated, the West Texas Intermediate (WTI) crude oil price is neither trend-dominated nor cycle-dominated. We also find evidence for a positive relationship among the cyclical components of the WTI crude oil price and the two real exchange rates. As a robustness check, common trends and common cycles among the Brent crude oil price denominated in Euros, and the real exchange rates of the Canadian Dollar and the Norwegian Krone vis-à-vis the Euro are also examined. As in the previous case, we find evidence for the presence of common trends as well as common cycles. The positive co-movement among the cyclical components of the price of crude oil and the real exchange rates appears to be robust to changes in the numeraire currency. However, we observe a slight contrast in the co-movement among the trend components of the three variables when different numeraire currencies are used. The composition of the dissertation is as follows: The first chapter serves as an introduction to the dissertation and presents a broad picture of the analyses undertaken in this dissertation. Chapters two, three and four comprise essays one, two and three respectively. Chapter five concludes the dissertation.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / O objetivo desse trabalho à analisar os efeitos das flutuaÃÃes macroeconÃmicas de curto e longo prazo entre Brasil e Argentina, por meio do Modelo de TendÃncias e Ciclos Comuns. Utilizamos dados do PIB real com periodicidade trimestral no perÃodo de 1995 a 2010. Busca-se atravÃs deste modelo estimar o comportamento das variÃveis aos choques permanentes e transitÃrios por meio da funÃÃo impulso-resposta e a proporÃÃo dos efeitos dos choques sobre cada variÃvel, atravÃs da decomposiÃÃo da variÃncia do erro da previsÃo. Os resultados mostram que existe uma tendÃncia estocÃstica comum e um ciclo comum entre os dois paÃses. Os choques transitÃrios tem uma importÃncia maior na explicaÃÃo das flutuaÃÃes brasileiras, enquanto que as flutuaÃÃes na Argentina sÃo mais influenciadas pelos choques permanentes. / The aim of this work is to analyze the effects of macroeconomic fluctuations in short-run and long-run term between Brazil and Argentina, through the Model Common Trends and Common Cycles. We use real GDP data on a quarterly from 1995 to 2010. Search using this model to estimate the behavior of the permanent and transitory shocks through impulse-response function and the proportion of the effects of shocks on each variable by decomposing the forecast error variance. The results show that there is a common stochastic trend and common cycle between the two countries. The transitory shocks have a greater importance in explaining fluctuations in Brazil, while fluctuations in Argentina are more influenced by permanent shocks.

nÃo hà / This work analyzes the level of financial integration of an economic bloc entitled, on an ad hoc way, BRIC, composed by emerging economies with common and growth patterns, where more than 40% of the population live in one quarter of the worldâs territory. Following methodologically Vahid and Engle (1993), the results suggest that financial markets are determined by domestic economic fundamentals in periods of global economic stability, while in crisis periods, the cycles have greater importance in the composition of the returns of the indices analyzed, indicating a higher influence of financial risk. The individual cycles, as well as the individual trends are robustly correlated. These evidences are not trivial since Brazil is a market economy, with high level of inequality, poverty, democracy and urbanization, Russia is a an exsuperpower socialist, with high per capita income and human capital levels, India is a rural society with strong cultural and religious aspects, while China is a communist dictatorship with a high degree of trade openness and high levels of international reserves. The Indian financial market, which has been undergoing reforms since 1991, is such that the SENSEX-30 index plays important role in terms of predictability of others, as well as its tendency is the only individual to be significant in the exercise of causality Granger in the first common trend, the unique related to a promising scenario. / Este trabalho analisa o nÃvel de integraÃÃo financeira de um bloco econÃmico intitulado, de forma ad hoc, BRIC, composto por emergentes com padrÃes comuns e potenciais de crescimento, os quais dispÃem de um quarto do territÃrio mundial, onde residem mais de 40% da populaÃÃo. Seguindo metodologicamente Vahid e Engle (1993), os resultados sugerem que estes mercados financeiros sejam determinados por fundamentos econÃmicos domÃsticos em perÃodos de estabilidade econÃmica global, enquanto em perÃodos turbulentos, hà uma maior relevÃncia dos ciclos na composiÃÃo dos retornos dos Ãndices analisados, sinalizando uma maior influÃncia de fatores de risco financeiros. Em termos individuais, os ciclos, assim como as tendÃncias dos quatro emergentes sÃo robustamente correlacionados entre si. Estas evidÃncias nÃo sÃo triviais tratando-se se o Brasil de uma economia de mercado desigual, pobre, democrÃtica, fortemente urbanizada, a RÃssia de uma antiga superpotÃncia, exâadepta do socialismo que se destaca pela renda per capita e pelo capital humano, a Ãndia de uma sociedade rural, com forte traÃo cultural e religioso e a China de um comunismo ditatorial com elevado grau de abertura comercial e elevados nÃveis de reservas internacionais. O mercado financeiro indiano, o qual tem passado por reformas na desde 1991, à tal que, o Ãndice SENSEX-30 exerce relevante papel em termos de previsibilidade dos demais, assim como sua tendÃncia individual, a qual à a Ãnica a ser significativa no exercÃcio de causalidade de Granger na primeira tendÃncia comum, a Ãnica que està associada a um cenÃrio promissor.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / A presente tese à composta por trÃs capÃtulos. O primeiro capÃtulo aplica o teste de quebra estrutural de Bai e Perron (1998, 2003) para analisar as mudanÃas na conduÃÃo da polÃtica monetÃria brasileira durante o perÃodo de 2002 â 2013. Estimamos uma regra de Taylor forward-looking, a partir da metodologia proposta por Clarida et. al. (1999) e Conrad e Eife (2012) e uma meta de inflaÃÃo implÃcita com base nos dados e nos parÃmetros estimados da regra de Taylor. Os resultados indicaram a existÃncia de trÃs quebras estruturais nos parÃmetros estimados da regra de Taylor, a primeira no ano de 2005, a segunda em 2008 e a Ãltima em 2011, evidenciando uma mudanÃa na conduta da polÃtica monetÃria. Observamos que a polÃtica monetÃria foi utilizada como instrumento para estabilizar o produto, mas o BACEN vem dando uma maior importÃncia ao hiato do produto nos Ãltimos anos. No segundo capÃtulo aplica-se uma decomposiÃÃo tendÃncia e ciclo multivariado aos setores da economia brasileira, focando a anÃlise nas relaÃÃes entre os setores e na dataÃÃo dos ciclos de negÃcios individuais. Utilizamos uma base de dados trimestrais composta pelo Produto Interno Bruto - PIB de cada setor, entre os anos de 1995 e 2013. Os resultados confirmam a existÃncia de uma relaÃÃo de equilÃbrio de curto e longo prazo entre os setores e uma alta correlaÃÃo entre as tendÃncias setoriais. No terceiro capÃtulo testamos se um modelo neoclÃssico bÃsico poderia explicar as flutuaÃÃes macroeconÃmicas do consumo, investimento e produto per capita brasileiro entre 1991 e 2013. Utilizamos um arcabouÃo teÃrico à fundamentado no modelo de crescimento neoclÃssico estocÃstico proposto por King et. al. (1988a, 1988b) e King et. al. (1991). As evidÃncias empÃricas estÃo de acordo com as suposiÃÃes teÃricas do modelo. As variÃveis apresentam um comportamento de passeio aleatÃrio e existe um equilÃbrio de longo prazo entre elas, apontando uma relaÃÃo de estacionaridade entre consumo â produto e investimento â produto. A hipÃtese de crescimento balanceado entre as variÃveis foi verificada e representam um impacto positivo, significativo e de mesma magnitude sobre as variÃveis. / This thesis consists of three chapters. The first chapter applies the structural break of Bai and Perron (1998, 2003) test to analyze changes in the conduction of monetary policy during the period 2002-2013. Estimate a Taylor rule forward-looking, based on the methodology proposed by Clarida et. al. (1999) and Conrad and Eife (2012) and a target headline inflation based on the data and the estimated parameters of the Taylor rule. The results indicated the existence of three structural breaks in the estimated parameters of the Taylor rule, the first in 2005, second in 2008 and the last in 2011, indicating a change in the conduct of monetary policy. We observed that monetary policy was used as a tool to stabilize the product, but the Brazilian Central Bank has been giving less importance to the output gap in recent years. The second chapter applies a decomposition multivariate trend and cycle sectors of the Brazilian economy, focusing the analysis on the relations between the sectors and the dating of individual business cycles. We use a database of quarterly data for Gross Domestic Product - GDP of each sector, between years 1995-2013 The results confirm the existence of short and long term equilibrium among sectors and a high correlation between trends sector. In the third chapter we test whether a basic neoclassical model could explain Brazilian macroeconomic fluctuations in consumption, investment and product per capita between 1991-2013. We use a theoretical framework based on the stochastic neoclassical growth model proposed by King et. al. (1988a, 1988b) and King et. al. (1991). Empirical evidence is consistent with the theoretical assumptions of the model. The variables present behavior of random walk and there is a long-term equilibrium between them, pointing a stationary relationship between consumption - output and investment - product. The hypothesis of balanced growth between variables was checked and represent a positive, significant and of the same magnitude impact on the variables.