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Depuis le debut des annees septante, les marches financiers ont affiche des taux d'interet eleves et et surtout plus oscillants qu'auparavant. Parallelement a cette tendance, les deficits ont conduit la dette canadienne a un niveau alarmant. Existe-t-il un lien comportemental entre l'accroissement des deficits budgetaires et cette precarite qui caracterise les taux d'interet? De notre survol theorique, nous avons degage les constats suivants: les deficits pourraient s'accompagner de pressions inflationnistes; ils pourraient egalement amplifier les craintes futures d'une monetisation de la dette, voire meme accroi tre la fraction non anticipee de la croissance monetaire; et ils pourraient aller jusqu'a effrayer les investisseurs devalorisant ainsi le dollar. Cette vision traditionnelle soutient que l'endettement canadien aurait contribue a l'instauration de telles perturbations sur les taux d'interet. Toutefois, la notion d'equivalence ricardienne, reinstituee par Barro, postule plutot une neutralite de la dette. Ce theoreme s'appuie de preuves empiriques. Notre objectif se borne a l'observation empirique de ce postulat contradictoire. Notre modelisation macro-econometrique s'apparente a celle employee par Evans en 1987; il s'agit d'une equation reduite des taux d'interet reels ex posts qui insere un modele "term structure" et un processus stochastique (VAR$\sb{(4)}$). Notons, toutefois, l'ajout de deux variables explicatives, soit les attentes inflationnistes et les taux d'interet americains. (Abstract shortened by UMI.)

La presente etude examine la relation entre le taux de croissance et la repartition dans un contexte contemporain caracterise par la contractualisation des salaires nominaux. Faisant abstraction du progres technique, cette relation se reduit au lien qui pourrait exister entre le salaire reel et le taux de croissance. Pour ce faire, l'analyse s'est penchee sur cette relation dans le cadre d'un modele postkeynesien statique, ou le partage salaires-profits est subordonne au partage consommation-accumulation; le mouvement des prix (et donc du salaire reel) ou la variation du produit en assure en permanence la compatibilite. Cette analyse statique fait appel a deux developpements complementaires a savoir une theorie des prix et une theorie de l'investissement. C'est ce qui a fait l'objet de la deuxieme etape de cette analyse qui nous a permis de degager deux relations entre les prix et l'investissement, a la suite d'une divergence entre les auteurs postkeynesiens quant au role primordial assigne a l'entreprise. (Abstract shortened by UMI.)

he impact on the global landscape of the (re-)entry into the international financial system of a large number of middle-income transition and developing countries---the so-called "emerging markets"---has taken many observers by surprise. The Mexican and Asian crises were but two examples of the materialization and worldwide reverberations of inherent contradictions within the emerging market phenomenon; i.e. contradictions between powerful, disembedded and unaccountable financial forces and political forces that are still organized on a territorial basis within relatively weak and vulnerable economics. This thesis deploys a neo-Gramscian constructivist analysis to examine efforts by elements within a nascent transnational historical bloc of financial forces to overcome the risk of a Polanyian double movement to protect emerging market societies. More precisely, as this thesis reveals. there is mounting evidence of an hegemonic project seeking to bolster the emerging synthesis of material capabilities, ideas and institutions appropriate for an eventual hegemonic dominance of financial capital over emerging markets. Eschewing a problem-solving approach to financial matters, this thesis critically examines the roles (i) of material capabilities wielded through collectively allocated financial capital flows, (ii) of the intersubjective meanings given to financial globalization and the subsequent blueprint for commonsensical policymaking, and (iii) of central banks, credit-raters and the IMF in institutionalizing the coercive and consensual power relations at the heart of the emerging hegemonic bloc.

The focus of our empirical assessment is on studying two bound theories proposed by Ritchken (1985) and Ryan (1997). The study embarks on two tasks. One task is to answer how much tighter Ryan bounds are. The second is to propose a method to detect the pricing bias problem for a bound theory. The test data set consists of 1910 samples recorded at 9:00am, 11:00am and 2:00pm Central Time at Chicago Board Options Exchange, in total, 20875 S&P 500 index call options. Analysis with our test data set shows that by adding in an additional constraint, Ryan bounds are approximately 22% tighter than Ritchken bounds. The empirical analysis also shows that the proposed method has successfully detected the pricing bias problem for the Ritchken's theory when a lognormal distribution is assumed.

This thesis describes a first experimental project using a recursive parameter estimation and Kalman filter approach to on-line modelling and prediction of stock market time-series. On-line (real-time) and daily closing price stock data are identified as Box-Jenkins ARIMA models. Differencing is performed to obtain a locally wide sense stationary process which is identified through spectral estimation methods. The initial model parameters are updated on-line via the Recursive Prediction Error algorithm and predictions are performed using the Kalman filter. This approach is studied and compared to the traditional Box-Jenkins SISO approach. The daily stock processes are also modeled as autoregressive processes embedded in white noise, which make an ideal investigation for the Kalman filter.

The objective of this thesis is to study the operation of exchange rate regimes in the context of possible regime switches. An intuitive survey of the regime switching literature is given in Chapter 1, and three independent essays are presented in Chapters 2, 3, and 4. Using the theory of regulated Brownian motion, Chapter 2 derives the nonlinear relationship between the nominal exchange rate and its fundamentals during the transition period from the current free-float to a specified target zone (TZ), triggered at an announced state-dependent switch. It is shown that the derived nonlinear relationship is in general different from the relationship corresponding to a return to a fixed exchange rate regime. This is due to a "reflecting effect", the mirror image of the well known "honeymoon effect" of a target zone. and a "bandwidth effect". Also derived is a locus of "benchmark cases" demarcating the factors that lead to an immediate appreciation or depreciation of the domestic currency at the announcement of the future TZ. The target zone model developed in Chapter 3 incorporates the possibility of a future change in the trend in the fundamentals of the exchange rate as policy reaction to specific events (e.g., impending speculative attacks and nominal anchor debates). The market has subjective expectations about this possible trend revision, which can affect the exchange rate level even if the change in trend is not implemented. These expectations are treated, first, as entirely exogenous and, second, as state-varying. In both cases various correlation patterns between the exchange rate and interest rate differentials are possible. This result is consistent with the observed behaviour of the exchange rate and interest rate differentials within the European Monetary System. Chapter 4 studies an announced (state-dependent) regime shift from a free-floating to a permanently fixed exchange rate regime and introduces specific welfare considerations. The welfare issues introduced here try to explain why a specific exchange rate target level would be chosen instead of another one, if a return to a fixed exchange rate were on the public policy agenda and a given range for its pegged value had already been proposed. While this model does not provide a theory of choice between free-float and fixed rate regimes, it proposes a criterion to choose between fixed exchange rate regimes, taking into account the transition period from the free-float to the implementation of the fixed regime.

Abstract not available.

Abstract not available.

This dissertation studies the nature of the elasticity of the supply of funds through the analysis of concepts as presented by post Keynesian horizontalists and post Keynesian non-horizontalists. These two competing views are outlined, and pertinent issues are isolated. Empirical analysis is performed using data for the Canadian economy in order to assess the validity of both positions. In order to distinguish empirically between horizontalists and non-horizontalists, the variability of the commercial bank markup is tested, as well as any evidence of the presence of financial fragility. A markup that varies with changes in gross domestic product would indicate that the determination of the interest rate was not purely a supply-side phenomenon, and would violate the horizontalist position. Any evidence of the presence of financial fragility resulting from increased firm indebtedness would also indicate that constraints on monetary creation exist, as consistent with non-horizontalist views. The econometric tests attempted in this dissertation address both these issues using Canadian data for the 1980 to 1995 period. The results of the empirical tests conducted do not provide any evidence to support an upward sloping money supply function. (Abstract shortened by UMI.)