No / We compare actual and calibrated values for the foreign exchange risk premium based on the definition in [J. Int. Econ. 32 (1992) 305]. Calibrated values are found from within a dynamic stochastic general equilibrium model of a small open economy consisting of risk averse optimizing agents with unconventional preferences. We find that the equilibrium foreign exchange risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk. Furthermore, various forms of policy uncertainty improve the capacity of the model to generate values closer to those found in the data.

Esta pesquisa teve como objetivo analisar os desdobramentos econômicos dos programas de transferência de renda Benefício de Prestação Continuada e Bolsa Família, à luz do modelo de equilíbrio geral computável TERM-BR. A partir de dados do Ministério do Desenvolvimento Social e Combate à Fome foram calculados o crescimento real dessas transferências no período entre 2005 e 2012, representando o choque a ser inserido no modelo. Utilizaram-se quatro fechamentos distintos para calcular três simulações de longo prazo e uma de curto prazo, que diferem na escolha das varáveis de ajuste. Os resultados agregados do modelo mostram que há retração do PIB real quando o ajuste macroeconômico do modelo é via investimentos ou balança comercial. O PIB só cresce quando há endividamento externo. O consumo real das famílias aumenta em todas as simulações. O PIB das regiões com maior número de pobres também aumenta, devido ao montante de recursos recebidos. O trabalho conclui que tais programas não podem ser vistos como políticas de crescimento econômico, mas aumentam o consumo das regiões e das famílias mais pobres. / In this study the economic impacts of two income transfer programs in Brazil, namely the Programa de Benefício de Prestação Continuada (BPC) and the Programa Bolsa Familia were analyzed with the aid of a computable general equilibrium model of Brazil (the TERM-BR model). The values transferred by the programs in the 2005 to 2012 period were calculated, and used as shocks to the model. Four different simulations were run, three with long-term closures and one with a short-term closure. Aggregate results show a reduction of real GDP when the macroeconomic adjustment model is taken from investment and trade balance. GDP only increases when external indebtedness increases. Real household consumption increases in all simulations. Regional GDP increases in regions with the highest number of poor due to the amount of funds transferred. This research concludes that such programs may not be seen as policies of economic growth, but they have positive impacts both on the target regions and on consumption of the poorer families as well.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-03-27T18:09:52Z No. of bitstreams: 1 Aline Ribeiro de Oliveira.pdf: 1013765 bytes, checksum: 0d950b28a509a37c83e8f287c81176ac (MD5) / Made available in DSpace on 2015-03-27T18:09:52Z (GMT). No. of bitstreams: 1 Aline Ribeiro de Oliveira.pdf: 1013765 bytes, checksum: 0d950b28a509a37c83e8f287c81176ac (MD5) Previous issue date: 2014-08-20 / Nenhuma / Esta dissertação examina a evolução recente de aspectos relacionados ao regionalismo e ao multilateralismo, buscando identificar se o MERCOSUL e a Aliança do Pacífico (AP) sinalizam para uma integração que poderia facilitar uma abertura multilateral. A análise sinaliza que apenas os membros da AP se mostram mais alinhados ao processo multilateral. Assim, é utilizado o modelo de equilíbrio geral computável Global Trade Analysis Project (GTAP), a fim de mensurar os resultados da integração da AP, utilizando uma agregação setorial que privilegia o grau de intensidade tecnológica. Os resultados apontaram que os maiores beneficiados pela AP seriam Chile e México, devido à melhoria de seus termos de troca. Os ganhos de bem-estar do Chile chegaram a US$ 230 milhões, enquanto no México eles alcançaram US$ 75 milhões. / This study examines recent issues related to the regionalism and multilateralism, aiming at identifying whether MERCOSUR and the Pacific Alliance (PA) are moving towards a multilateral integration. The analysis shows that only the PA members are aligned with the multilateral process. Therefore, it employs a computable general equilibrium model from the Global Trade Analysis Project (GTAP), in order to identify the results of the integration using a sectorial classification based on the technological intensity of the products. The results show that Chile and Mexico would benefit most from the agreement due to an improvement in their terms of trade. The total welfare gains obtained form Chile reached US$ 230 million, while in Mexico they were US$ 75 million.

Esta pesquisa teve como objetivo analisar os desdobramentos econômicos dos programas de transferência de renda Benefício de Prestação Continuada e Bolsa Família, à luz do modelo de equilíbrio geral computável TERM-BR. A partir de dados do Ministério do Desenvolvimento Social e Combate à Fome foram calculados o crescimento real dessas transferências no período entre 2005 e 2012, representando o choque a ser inserido no modelo. Utilizaram-se quatro fechamentos distintos para calcular três simulações de longo prazo e uma de curto prazo, que diferem na escolha das varáveis de ajuste. Os resultados agregados do modelo mostram que há retração do PIB real quando o ajuste macroeconômico do modelo é via investimentos ou balança comercial. O PIB só cresce quando há endividamento externo. O consumo real das famílias aumenta em todas as simulações. O PIB das regiões com maior número de pobres também aumenta, devido ao montante de recursos recebidos. O trabalho conclui que tais programas não podem ser vistos como políticas de crescimento econômico, mas aumentam o consumo das regiões e das famílias mais pobres. / In this study the economic impacts of two income transfer programs in Brazil, namely the Programa de Benefício de Prestação Continuada (BPC) and the Programa Bolsa Familia were analyzed with the aid of a computable general equilibrium model of Brazil (the TERM-BR model). The values transferred by the programs in the 2005 to 2012 period were calculated, and used as shocks to the model. Four different simulations were run, three with long-term closures and one with a short-term closure. Aggregate results show a reduction of real GDP when the macroeconomic adjustment model is taken from investment and trade balance. GDP only increases when external indebtedness increases. Real household consumption increases in all simulations. Regional GDP increases in regions with the highest number of poor due to the amount of funds transferred. This research concludes that such programs may not be seen as policies of economic growth, but they have positive impacts both on the target regions and on consumption of the poorer families as well.

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2018-07-11T15:30:20Z No. of bitstreams: 1 Alana Virginia Santos Vieira_.pdf: 723573 bytes, checksum: b47f6e01d706f3b68e31a215306997b7 (MD5) / Made available in DSpace on 2018-07-11T15:30:20Z (GMT). No. of bitstreams: 1 Alana Virginia Santos Vieira_.pdf: 723573 bytes, checksum: b47f6e01d706f3b68e31a215306997b7 (MD5) Previous issue date: 2018-04-06 / Nenhuma / Este estudo emprega o Modelo de Equilíbrio Geral Computável Global Trade Analysis Project (GTAP, V.9) para avaliar os impactos da consolidação de um acordo preferencial de comércio entre o Brasil e a UE e entre o MERCOSUL e a UE sobre fluxos comerciais, PIB e bem-estar dessas regiões. São implementadas quatro simulações envolvendo o Brasil, o MERCOSUL e a UE, considerando a redução tanto das barreiras tarifárias, quanto das barreiras não tarifárias, com o intuito de identificar o cenário mais benéfico para o Brasil. Os resultados mostram que o ganho de bem-estar para o Brasil gerado por um acordo Brasil-UE, que consista na redução parcial das barreiras tarifárias e não tarifárias, é maior do que os ganhos decorrentes de uma negociação da mesma magnitude entre o MERCOSUL e a União Europeia. Os efeitos são particularmente positivos para a agropecuária e para a indústria alimentícia brasileira, o que pode, em contrapartida, aprofundar o padrão de especialização regressiva das exportações do país. / This study employs the Computable General Equilibrium Model Global Trade Analysis Project (GTAP, V.9) to assess the impact of a preferential trade agreement between Brazil and the EU and between MERCOSUR and the EU on trade flows, GDP and welfare of these regions. Four simulations involving Brazil, MERCOSUR and the EU, considering different levels of integration, are implemented in order to identify the most beneficial scenario for Brazil. Results show that the welfare gain generated by a Brazil-EU trade deal is higher than the gains arising from an agreement between Mercosur and the EU. Reducing NTBs tends to maximize the results for both agreements. Impacts are particularly positive for Brazil’s agricultural and food industries, which may, however, deepen the regressive pattern of specialization of the country’s exports.

Made available in DSpace on 2015-05-08T14:44:55Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 7649365 bytes, checksum: ee27bd58facf83365ed85471f6231dbf (MD5) Previous issue date: 2012-11-06 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Although infrastructure investment has a central role in economic development, it declined considerably in Brazil during the 1980 and 1990 decades. At the beginning of the 2000s it amounted to 2.2 \% of GDP, while in China and Chile it amounted to 7.3 \% and 6.5 \% of GDP, respectively. The private investment in infrastructure was not enough to offset the decline in public investment, which occurred because of the government's effort to achieve primary surpluses. Thus, the government faces a dilemma between balancing the budget and increasing the investment. In order to achieve the two goals, the investment must be financed. The aim of this work is to evaluate the impact of an increase in the infrastructure investment and its financing in the Brazilian economy. To do it, a dynamic computable general equilibrium model is used. It is simulated an increase in the investment for two years, equal to 1 \% of the GDP. The results show that, in the first three years, the increase in the GDP growth rate is higher when the investment is financed by reducing the government consumption (0.73 \%), it is moderate when the financing is done through the tax on production (0.33 \%) or foreign savings (0.34 \%), and it is lower when the financing is done by increasing the income tax (0.28 \%). Construction was the fastest growing sector (2.39 \% on average in the first 3 years). The contribution of this work was to obtain clear and useful results for policy making, enhance the understanding of the effects of infrastructure investment financing in the Brazilian economy, and analyze the sectorial impacts of this investment. / Embora o investimento em infraestrutura tenha um papel central no desenvolvimento econômico, ele reduziu-se muito no Brasil nas décadas 1980 e 1990. No início da década de 2000 equivalia a 2,2%do PIB, enquanto que na China e no Chile correspondia a 7,3% e 6,5%do PIB, respectivamente. O investimento privado em infraestrutura, não foi suficiente para compensar a redução do investimento público, que ocorreu por causa do esforço do governo para obter superávits primários. Assim, o governo enfrenta um dilema entre obter o equilíbrio orçamentário ou aumentar o investimento público. Para que os dois objetivos sejam alcançados é preciso que o investimento seja financiado. O objetivo desse trabalho é avaliar o impacto do aumento do investimento em infraestrutura e de seu financiamento na economia brasileira. Para isso, utiliza-se um modelo de equilíbrio geral computável dinâmico. E simulado o aumento do investimento durante 2 anos, equivalente a 1 % do PIB. Os resultados mostram que, nos três primeiros anos, o aumento da taxa de crescimento do PIB é maior quando o investimento é financiado pela redução do consumo do governo (0,73 %), é moderada quando o financiamento é feito através do imposto sobre a produção (0,33 %) ou da poupança externa (0,34 %) e é menor quando o financiamento é feito através do aumento do imposto de renda (0,28 %). O setor que mais cresceu foi o de construção (2,39% em média nos 3 primeiros anos). A contribuição desse trabalho foi obter resultados claros e úteis para a tomada de decisões políticas, ampliar a compreensão dos efeitos do financiamento do investimento em infraestrutura na economia brasileira e analisar os impactos setoriais de tal investimento.

Trade liberalization in Kenya started in the early 1980s with the structural adjustment programmes, and continued under the multilateral framework of the WTO. During the same period, the incidence of poverty and level of inequality also worsened. The government’s focus on trade negotiations has been to ensure that there is policy space for the daily running of the economy even though welfare impacts are also important. Non-state actors have argued that trade liberalization has negatively affected the poor; particularly the farmers, since they cannot compete with the developed countries whose farmers enjoy significant government support through subsidies, making their products much cheaper in the world market. Government officials, on the other hand, contend that trade liberalization is good as it brings in competition and transfer of technology which is good for an economy. It is important to examine how trade liberalization has affected household’s welfare in Kenya, given that this kind of analysis has not been conducted in Kenya. This study is unique because it does not assume the existence of a trade liberalization– poverty relationship, unlike most studies. It uses a multi-method approach to first test the hypothesis that there is no statistically significant relationship between trade liberalization and poverty, it further tests for multiplier effects of trade liberalization on poverty determinants. Trade Liberalization and poverty is found to have a stochastic relationship, furthermore investments and capital stock were found to significantly affect poverty determinants in the stochastic model. Due to unavailability of household welfare measure data in time series, a CGE model was used to establish the dynamics of trade liberalization on poverty at a point in time using the 2003 Social Accounting Matrix Data for Kenya. Overall, trade liberalization accompanied by FDI had the greatest impact on household welfare. Trade liberalization had a positive impact on household welfare since household incomes and consumption increased. Micro simulations results, based on changes in consumption, also showed that poverty incidence reduced for all households, even though the urban households experienced higher decreases. The study found that there was little difference in protecting sensitive products and not protecting them; secondly, trade liberalization accompanied by foreign direct investment had greater impact on improving the household welfare. Consumption and incomes increased, resulting in overall poverty reduction. The welfare of urban households was much higher than rural households in terms of income and consumption increases. However, income inequality was much higher in urban than rural areas. / Economics / D. Litt. et Phil. (Economics)

O objetivo deste trabalho é investigar o desempenho de estimadores baseados em momentos das famílias verossimilhança empírica generalizada (GEL) e mínimo contraste generalizado (GMC) na estimação de modelos de equilíbrio geral dinâmico e estocástico (DSGE), com enfoque na análise de robustez sob má-especificação, recorrente neste tipo de modelo. Como benchmark utilizamos método do momentos generalizado (GMM), máxima verossimilhança (ML) e inferência bayesiana (BI). Trabalhamos com um modelo de ciclos reais de negócios (RBC) que pode ser considerado o núcleo de modelos DSGE, apresenta dificuldades similares e facilita a análise dos resultados devido ao menor número de parâmetros. Verificamos por meio de experimentos de Monte Carlo se os estimadores estudados entregam resultados satisfatórios em termos de média, mediana, viés, erro quadrático médio, erro absoluto médio e verificamos a distribuição das estimativas geradas por cada estimador. Dentre os principais resultados estão: (i) o estimador verossimilhança empírica (EL) - assim como sua versão com condições de momento suavizadas (SEL) - e a inferência bayesiana (BI) foram, nesta ordem, os que obtiveram os melhores desempenhos, inclusive nos casos de especificação incorreta; (ii) os estimadores continous updating empirical likelihood (CUE), mínima distância de Hellinger (HD), exponential tilting (ET) e suas versões suavizadas apresentaram desempenho comparativo intermediário; (iii) o desempenho dos estimadores exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) e suas versões suavizadas foi bastante comprometido pela ocorrência de estimativas atípicas; (iv) as versões com e sem suavização das condições de momento dos estimadores das famílias GEL/GMC apresentaram desempenhos muito similares; (v) os estimadores GMM, principalmente no caso sobreidentificado, e ML apresentaram desempenhos consideravelmente abaixo de boa parte de seus concorrentes / The objective of this work is to investigate the performance of moment-based estimators of the generalized empirical likelihood (GEL) and generalized minimum contrast (GMC) families in the estimation of dynamic stochastic general equilibrium (DSGE) models, focusing on the robustness analysis under misspecification, recurrent in this model. As benchmark we used generalized method of moments (GMM), maximum likelihood (ML) and Bayesian inference (BI). We work with a real business cycle (RBC) model that can be considered the core of DSGE models, presents similar difficulties and facilitates the analysis of results due to lower number of parameters. We verified, via Monte Carlo experiments, whether the studied estimators presented satisfactory results in terms of mean, median, bias, mean square error, mean absolute error and we verified the distribution of the estimates generated by each estimator. Among the main results are: (i) empirical likelihood (EL) estimator - as well as its version with smoothed moment conditions (SEL) - and Bayesian inference (BI) were, in that order, the ones that obtained the best performances, even in misspecification cases; (ii) continuous updating empirical likelihood (CUE), minimum Hellinger distance (HD), exponential tilting (ET) estimators and their smoothed versions exhibit intermediate comparative performance; (iii) performance of exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) and its smoothed versions was seriously compromised by atypical estimates; (iv) smoothed and non-smoothed GEL/GMC estimators exhibit very similar performances; (v) GMM, especially in the over-identified case, and ML estimators had lower performance than their competitors

La scelta del modeller riguardo alla chiusura del modello CGE influenza i suoi risultati finali e le sue prescrizioni di policy. In questa tesi, lo scopo è l’analisi e l’identificazione del problema, sia attraverso una discussione teorica che un’ applicazione pratica. Dall’articolo del 1963 di Amartya Sen in poi, la letteratura ha presentato vari articoli sull’argomento. Attualmente, il problema delle chiusure del modello non appare più centrale nel dibattito. Dopo una breve introduzione su cosa siano i CGE, il loro sviluppo e la loro struttura, è presentata una serie di esemplificative maquette con lo scopo di introdurre al concetto di chiusura, come essa influenzi i risultati e come questa scelta del modeller sia intimamente connessa ai fondamenti macroeconomici del sistema. Dopo la teoria, ci si sposta nel mondo reale analizzando con differenti modelli (Neoclassico, “Bastardo Keynesiano”, Strutturalista/Post- Keynesiano) e diverse chiusure per gli aggregati macroeconomici (risparmi privati, pubblici, e stranieri) l’impatto dell’accordo regionale SADC sull’economia mozambicana. I modelli CGE per il Mozambico sono calibrati su una SAM del 2003 e sono svolti con l’ausilio di GAMS/MPSGE. I risultati dimostrano che la chiusura influenza i risultati stessi del modello per cui ognuno presenta una serie di raccomandazioni politiche per l’applicazione dell’accordo SADC. / Modellers’ choice on closure rules affects a CGE model results and consequently its policy prescriptions. In this thesis, the aim is to detect and assess this issue, both through a theoretical discussion and an empirical application. Starting from Amartya Sen’s 1963 paper, literature presents many contributions on this topic. Currently, the closure rule problem is not central in the CGE debate. After a brief introduction on CGEs, their development and their structure, a series of simple maquette is presented. They have the exemplary role of introducing the concept of closures, explain how they affect final outcomes and how this modeller’s choice is strictly connected to the macroeconomic foundation of the economic system. After theory, we move into the real World analyzing through different models (Neoclassical, “Bastard Keynesian”, and Structuralist/ Post- Keynesian), and through different closure rules for macro- aggregates (private, public and foreign savings) the impact of the Regional Trade Agreement of SADC with respect to the Mozambican economy. The Mozambican CGE models are calibrated on a 2003 Social Accounting Matrix (SAM) and they are performed using GAMS/ MPSGE. Outcomes show that closure rules affect them and each model presents a set of policy prescription to implement the SADC agreement.

Trade liberalization in Kenya started in the early 1980s with the structural adjustment programmes, and continued under the multilateral framework of the WTO. During the same period, the incidence of poverty and level of inequality also worsened. The government’s focus on trade negotiations has been to ensure that there is policy space for the daily running of the economy even though welfare impacts are also important. Non-state actors have argued that trade liberalization has negatively affected the poor; particularly the farmers, since they cannot compete with the developed countries whose farmers enjoy significant government support through subsidies, making their products much cheaper in the world market. Government officials, on the other hand, contend that trade liberalization is good as it brings in competition and transfer of technology which is good for an economy. It is important to examine how trade liberalization has affected household’s welfare in Kenya, given that this kind of analysis has not been conducted in Kenya. This study is unique because it does not assume the existence of a trade liberalization– poverty relationship, unlike most studies. It uses a multi-method approach to first test the hypothesis that there is no statistically significant relationship between trade liberalization and poverty, it further tests for multiplier effects of trade liberalization on poverty determinants. Trade Liberalization and poverty is found to have a stochastic relationship, furthermore investments and capital stock were found to significantly affect poverty determinants in the stochastic model. Due to unavailability of household welfare measure data in time series, a CGE model was used to establish the dynamics of trade liberalization on poverty at a point in time using the 2003 Social Accounting Matrix Data for Kenya. Overall, trade liberalization accompanied by FDI had the greatest impact on household welfare. Trade liberalization had a positive impact on household welfare since household incomes and consumption increased. Micro simulations results, based on changes in consumption, also showed that poverty incidence reduced for all households, even though the urban households experienced higher decreases. The study found that there was little difference in protecting sensitive products and not protecting them; secondly, trade liberalization accompanied by foreign direct investment had greater impact on improving the household welfare. Consumption and incomes increased, resulting in overall poverty reduction. The welfare of urban households was much higher than rural households in terms of income and consumption increases. However, income inequality was much higher in urban than rural areas. / Economics / D. Litt. et Phil. (Economics)