Yes / As major financial crises, and the rise of China have shaped the new world order, so it is inevitable that those nations, especially in South East Asia, that once looked west for stability need to reappraise their situation. With the markets so intertwined in events, studying the propagation of equity price shocks within the wider set of macroeconomic variables allows us to say more about how relations are changing, and the likely impacts of any future crash. With data reaching into 2014, this paper is better able to reflect the post global financial crisis period. Using a Global Vector Autoregressive (GVAR) model we analyse these changes and what lies in store for South East Asia, and the ASEAN 4 in particular. Isolating three distinct trade patterns in our weight matrices responses to crises are clearly identifiable, and the opening up of China readily chartable. Indirect effects of China’s rise are highlighted; impacts on the ASEAN 4 being via other nations to date, but direct impact is appearing.

Au cours de la dernière décennie, les prix des logements ont augmenté de façon spectaculaire dans plusieurs pays à travers le monde. Par exemple, les prix des logements aux États-Unis, en Espagne et en Irlande ont été marqués par des cycles d'expansion et de récession les plus marquants de leur histoire. L'augmentation concomitante des prix des logements (et dans certains cas l’occurrence des épisodes d'expansion - récession) dans de nombreuses économies avancées soulève quelques questions importantes. Y a t-il eu une bulle immobilière dans les pays avancés? Quels sont les principaux déterminants de l'évolution des prix des logements dans ces pays? Est-ce que les marchés immobiliers des pays avancés sont-ils interdépendants? Le premier chapitre propose une modélisation structurelle des modèles VAR Bayésiens pour les États-Unis, la France, l'Espagne et la Grèce qui examinent les effets relatifs de l'évolution du secteur réel de production, du secteur financier et des flux internationaux de capitaux sur les marchés du logement. Un deuxième exercice tente d'identifier la présence de régimes de bulles immobilières à partir d’une modélisation Markovienne à deux états. Les principaux résultats liés au marche américain montrent que les entrées de capitaux étrangers, mesurées par le solde de la balance courante en pourcentage du PIB, comptent pour plus de 30 % de la variance des chocs qui frappent les prix des logements, tandis que les taux d’intérêt contribuent pour environ 38 %. En France, la politique monétaire a le plus grand pouvoir explicatif des évolutions du marché du logement, tandis qu'en Espagne et en Grèce, les taux hypothécaires variables et les investissements dans le logement exercent la plus grande influence sur le marché du logement. Tous les pays ont connu un régime de bulle immobilière sur la majeure partie des années 2000.Le deuxième chapitre utilise une approche de type Global VAR (ou GVAR) qui porte sur la modélisation des interdépendances internationales des prix immobiliers. Le modèle GVAR a été estimé empiriquement en utilisant des données trimestrielles de sept pays, pour la période 1987-2011. Les résultats montrent que les chocs des prix immobiliers originaires des États-Unis ont de fortes répercussions sur tous les pays, avec les plus fortes magnitudes observées pour l'Irlande. Ce résultat suggère que les marchés immobiliers pourraient être soumis à des effets de contagion du comportement des marchés financiers et que le secteur immobilier peut être analysé comme un actif spéculatif. Les liens entre les taux d'intérêt réels à long terme sont positifs et statistiquement significatifs dans tous les pays, même si ils ont un rôle limité sur l'évolution des prix immobiliers. Les chocs négatifs sur les prix immobiliers aux États-Unis ont des effets négatifs et statistiquement significatifs sur le PIB réel aux États-Unis, le Canada et l'Irlande.Le troisième chapitre est consacré au financement de la première guerre mondiale par les Etats-Unis et le rôle de la War Finance Corporation (WFC). Plus spécifiquement, on s’intéresse aux fluctuations des rendements des bons du Trésor américain émis entre novembre 1917 et décembre 1920. L’analyse économétrique est basée sur des techniques de séries temporelles Bayésiennes. Les principaux résultats montrent que les chocs positifs sur les achats de la WFC engendrent une réponse négative et statistiquement significative sur tous les types de rendements des bons de guerre. En outre, les achats de la WFC des bons Liberty et Victory, à l'exception du premier prêt des bons Liberty, ont eu un effet statistiquement significatif sur l'évolution des taux à court terme. Les achats de la WFC de la deuxième et de la quatrième émission des bons Liberty ont eu des effets significatifs et positifs sur les taux à court terme, ce qui suggère une déformation de la courbe des taux. / During the last decade, housing prices have increased dramatically in several countries around the world. For instance, housing prices in the United States, Spain, and Ireland have been marked by one of the most striking boom-bust cycles in their history. The concomitant increase in housing prices (and in some cases boom-bust episodes) across many advanced economies raises the following important questions. Was there a housing bubble across advanced countries? What are the main determinants of the housing price movements in these countries? Are the advanced countries' housing markets interrelated? The first chapter of the dissertation estimates a set of structural Bayesian VAR models for the U.S., France, Spain, and Greece that examine the relative effects of developments in the real production sector, the financial sector, and international capital flows on the housing market. A second exercise attempts to identify the presence of housing price bubble regimes by estimating a set of two state Markov-switching Bayesian VAR models. The main results for the U.S. show that foreign capital inflows, measured by the current account balance as a percentage of GDP, account for more than 30\% of the variance of the shocks hitting housing prices, while adjustable mortgage rates contribute about 38\%. In France, monetary policy has the largest explanatory power for the housing market evolutions, while in Spain and Greece, the variable mortgage rates and housing investments exert the largest influence on the housing market. All the countries experienced a bubble regime over most of the 2000s. The second chapter uses a Global VAR model estimated using quarterly data from seven countries, for the period 1987-2011, to analyze the interdependencies that exist between domestic and international factors in housing markets. We find that housing price shocks originating in the U.S. have large spillover effects on all the countries, with the largest magnitudes on Ireland. This result suggests that housing markets may be subject to contagion effects and that housing can be analyzed as a speculative asset, based on international data spanning the past two decades. Linkages in long-run real interest rates are positive and statistically significant across all the countries, although they have a limited role on the evolution of housing prices. Negative shocks to the U.S. housing prices have negative and statistically significant effects on real GDP in the U.S., Canada, and Ireland. The third chapter studies the price fluctuations of war bonds issued by the U.S Treasury in order to finance the World War I between November 1917 and December 1920. Bayesian time series techniques are used to carry out the analyses. We are focusing on the effects that the bond-purchasing program of the War Finance Corporation (WFC) had on the evolution of war bond yields. Our main results show that positive shocks to WFC purchases display a negative and statistically significant effect on all types of war bond yields. Furthermore, WFC purchases of Liberty and Victory Bonds, except the First Liberty Loan, had a statistically significant effect on the evolution of commercial paper rates. WFC purchases of the Second and Fourth Liberty Bonds had significant and positive effects on commercial paper rates, suggesting a twist in the bond yield curve.

We provide a comprehensive analysis of the out-of-sample predictive accuracy of different global vector autoregressive (GVAR) specifications based on alternative weighting schemes to address global spillovers across countries. In addition to weights based on bilateral trade, we entertain schemes based on different financial variables and geodesic distance. Our results indicate that models based on trade weights, which are standard in the literature, are systematically outperformed in terms of predictive accuracy by other specifications. We find that, while information on financial linkages helps improve the forecasting accuracy of GVAR models, averaging predictions by means of simple predictive likelihood weighting does not appear to systematically lead to lower forecast errors.

In this paper, we examine international linkages in inflation and short-term interest rates using a global sample of OECD and emerging economies. Using a Bayesian global vector autoregression (GVAR) model, we show that for short-term interest rates both movements in inflation and output play an important role. In advanced countries, however, international factors such as foreign interest rates appear as an important driver of local interest rates. For inflation, we also find evidence for the importance of global factors, such as price developments in other countries, oil prices and the exchange rate. Again, this impact of global factors appears predominately in advanced countries. / Series: Department of Economics Working Paper Series

Submitted by Raphael Castro da Costa Ferreira (raphaelccf@hotmail.com) on 2018-02-24T21:25:53Z No. of bitstreams: 1 Dissertacao Raphael Ferreira-Final.pdf: 6026688 bytes, checksum: fd6ee6ea57052eb1f13986b8f2b1c24b (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-02-27T18:54:39Z (GMT) No. of bitstreams: 1 Dissertacao Raphael Ferreira-Final.pdf: 6026688 bytes, checksum: fd6ee6ea57052eb1f13986b8f2b1c24b (MD5) / Made available in DSpace on 2018-02-27T20:38:04Z (GMT). No. of bitstreams: 1 Dissertacao Raphael Ferreira-Final.pdf: 6026688 bytes, checksum: fd6ee6ea57052eb1f13986b8f2b1c24b (MD5) Previous issue date: 2018-02-05 / O objetivo deste trabalho é analisar o comportamento dos setores da economia brasileira, por meio do nível de atividade e do nível de emprego, observando a inter-relação entre eles, a propagação de choques e seus impactos no crescimento. Choques podem advir de variáveis exógenas ao sistema nacional ou dos próprios setores (spillovers). As respostas a esses choques podem ocorrer de forma heterogênea entre os subsetores, assim como a própria dissipação desses choques. Essa dinâmica depende do grau de interligação entre os setores, bem como a relação desses com o resto do mundo. Para tanto, será usada a metodologia de Vetor Autorregressivo Global (Global Vector Autoregressive - GVAR), com dados trimestrais de 1998 a 2016. Por meio de análises dos coeficientes, de resposta ao impulso e de projeções condicionadas, chega-se a resultados que demostram a dinâmica de interligação entre os subsetores, bem como os impactos que eles têm no crescimento da economia brasileira. Subsetores mais representativos tendem a ter maior impacto, tanto no nível de atividade como no nível de emprego. Contudo, alguns subsetores que não são tão representativos também registraram impactos significativos nessas variáveis. / The objective of this paper is to analyze the behavior of the Brazilian economy sectors, through the level of activity and employment level, observing the interrelationship among them, the propagation of shocks and their impacts on growth. Shocks can arise from variables exogenous to the national system or from the sectors themselves (spillovers). The responses to these shocks can occur in a heterogeneous way among the subsectors, as well as the dissipation itself of these shocks. This dynamic depends on the degree of interconnection between sectors, as well as their relationship with the rest of the world. To do so, the Global Vector Autoregressive (GVAR) methodology will be used, with quarterly data from 1998 to 2016. Through analysis of coefficients, impulse response and conditional projections, we arrive at results that demonstrate the interconnection dynamics between the subsectors, as well as the impacts they have on the growth of the Brazilian economy. Most representative sub-sectors tend to have a greater impact, both in the level of activity and in the level of employment. However, some sub-sectors that are not as representative also have significant impacts on these variables.

This work investigates the international spillover effects and transmission channels of Unconventional Monetary Policy (UMP) of major central banks from United States, United Kingdom, Japan and Europe to Latin-American countries. A Global VAR model is estimated to analyze the impact on output, inflation, credit, equity prices and money growth on the selected countries. Results suggest that indeed, there are international spillovers to the region with money growth, stock prices and international reserves as the main transmission channels. In addition, outcomes are different between countries and variables implying not only that transmission channels are not same across the region but also that the effects of the monetary policy are not distributed equally. Furthermore, it is found evidence that for some countries transmission channels may have transformed due to the crisis. Finally, effects of UMP during the crisis were in general positive with exception of Japan indicating that policies from this country brought more costs than benefits to the region. Keywords Zero Lower Bound, Unconventional Monetary Policy, International Spillovers, Global VAR, GVAR.

Submitted by Bruno Tebaldi de Queiroz Barbosa (btebaldi@deskpaper.com) on 2017-08-21T19:31:55Z No. of bitstreams: 4 0 Perc.mp4: 4753951 bytes, checksum: 9745789b7fc26007c3f3c6b277c41eaa (MD5) 2 Perc.mp4: 4744791 bytes, checksum: c5450c39d510518879431f5ac018ca09 (MD5) 4 Perc.mp4: 4703437 bytes, checksum: 627597ffbcb6f2dc43498d9a04327104 (MD5) Dissertacao Bruno Tebaldi - vfinal.pdf: 1863011 bytes, checksum: d24ac4b5e84a1980f2e4751b42e52392 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-08-21T20:01:49Z (GMT) No. of bitstreams: 4 0 Perc.mp4: 4753951 bytes, checksum: 9745789b7fc26007c3f3c6b277c41eaa (MD5) 2 Perc.mp4: 4744791 bytes, checksum: c5450c39d510518879431f5ac018ca09 (MD5) 4 Perc.mp4: 4703437 bytes, checksum: 627597ffbcb6f2dc43498d9a04327104 (MD5) Dissertacao Bruno Tebaldi - vfinal.pdf: 1863011 bytes, checksum: d24ac4b5e84a1980f2e4751b42e52392 (MD5) / Made available in DSpace on 2017-08-22T12:25:10Z (GMT). No. of bitstreams: 4 0 Perc.mp4: 4753951 bytes, checksum: 9745789b7fc26007c3f3c6b277c41eaa (MD5) 2 Perc.mp4: 4744791 bytes, checksum: c5450c39d510518879431f5ac018ca09 (MD5) 4 Perc.mp4: 4703437 bytes, checksum: 627597ffbcb6f2dc43498d9a04327104 (MD5) Dissertacao Bruno Tebaldi - vfinal.pdf: 1863011 bytes, checksum: d24ac4b5e84a1980f2e4751b42e52392 (MD5) Previous issue date: 2017-08-11 / The assessment of economic variables is an important part of regional macroeconomic analyses. However, increasing integration of the markets has led to greater financial and economic interdependence between regions. Therefore, this paper uses the global vector autoregressive (GVAR) methodology, which can tackle the curse of dimensionality. Focusing in the Brazilian labor market, it has two main objectives: firstly, establishing a model accounting for the interdependencies between regions. Secondly, estimate the regional elasticity of employment in respect to the economic activity of the country. To this end, it is applied the so-called GVAR technique, which considers the interdependencies between several regions and their temporal dynamics in a multivariate framework. The model is estimated at the Brazilian mesoregion level, with 137 distinct mesoregions. The final model proved to be stable with 128 regions, 2 cointegration relationship and, and 9 regions having 1 cointegration relation. Focusing on the classical major Brazilian regions (North, Northeast, Southeast, South, Central) it is estimated that the most sensitive region is the South followed by the Northeast and the South region, while the Northern and Central regions are mostly unaffected. A long-run relationship is also estimated indicating a natural growth of 694 thousand jobs per year in Brazil. / A avaliação das variáveis econômicas é uma parte importante das análises macroeconômicas regionais. No entanto, o aumento da integração dos mercados levou a uma maior interdependência financeira e econômica entre as regiões. Portanto, este artigo usa a metodologia de vetor autoregressivo global (GVAR), que pode enfrentar a maldição da dimensionalidade. Focando no mercado de trabalho brasileiro, tem dois objetivos principais: primeiro, estabelecer um modelo levando em conta as interdependências entre as regiões. Em segundo lugar, estimar a elasticidade regional do emprego em relação à atividade econômica do país. Para este fim, é aplicada a chamada técnica GVAR, que considera as interdependências entre várias regiões e suas dinâmicas temporais em uma estrutura multivariada. O modelo é estimado no nível mesorregional brasileiro, com 137 mesorregiões distintas. O modelo final mostrou-se estável com 128 regiões, 2 relações de cointegração e, e 9 regiões com 1 relação de cointegração. Concentrando-se nas principais regiões brasileiras clássicas (Norte, Nordeste, Sudeste, Sul, Central), estima-se que a região mais sensível é o Sul, seguido pela região Nordeste e Sul, enquanto as regiões Norte e Central não são afetadas. Uma relação de longo prazo também é estimada indicando um crescimento natural de 694 mil empregos por ano no Brasil.

Submitted by Ary Cera Zanetta Neto Zanetta (ary.zanetta@brasil-capital.com) on 2014-08-19T19:21:54Z No. of bitstreams: 1 Efeitos de Choques Globais na Economia Brasileira_ Uma Análise a Partir do GVAR.pdf: 1085836 bytes, checksum: 25e953aa352fed09b5b828362226aab9 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: A ficha catalográfica não está valida, por gentileza aguardar o envio da ficha correta pala biblioteca digital. on 2014-08-19T19:29:14Z (GMT) / Submitted by Ary Cera Zanetta Neto Zanetta (ary.zanetta@brasil-capital.com) on 2014-08-19T20:33:33Z No. of bitstreams: 1 Efeitos de Choques Globais na Economia Brasileira_ Uma Análise a Partir do GVAR.pdf: 1085836 bytes, checksum: 25e953aa352fed09b5b828362226aab9 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-20T16:30:59Z (GMT) No. of bitstreams: 1 Efeitos de Choques Globais na Economia Brasileira_ Uma Análise a Partir do GVAR.pdf: 1085836 bytes, checksum: 25e953aa352fed09b5b828362226aab9 (MD5) / Made available in DSpace on 2014-08-20T19:02:31Z (GMT). No. of bitstreams: 1 Efeitos de Choques Globais na Economia Brasileira_ Uma Análise a Partir do GVAR.pdf: 1085836 bytes, checksum: 25e953aa352fed09b5b828362226aab9 (MD5) Previous issue date: 2014-08-05 / O objetivo deste estudo é avaliar a propagação de choques econômicos de alguns países sobre o crescimento econômico brasileiro, com principal destaque para China, Estados Unidos da América (EUA) e Argentina, que são os principais parceiros comerciais do Brasil. O aumento do comércio com a China tornou o Brasil muito mais vulnerável a choques no PIB chinês e menos vulnerável, do que no passado recente, a choques no PIB americano, enquanto que a influência da Argentina manteve-se estável. Foi aplicada a metodologia Vetor Autorregressivo Global (Global Var – GVAR), introduzida por Pesaran, Schuermann e Weiner (2004), Garratt, Lee, Pesaran e Shin (2006) e Dées, Di Mauro, Pesaran e Smith (2007), para analisar os canais de comércio e a transmissão de choques entre o resto do mundo e o Brasil. Usando dados trimestrais a partir de 1990 até o final de 2013, foi possível constatar que o aumento da relevância da economia Chinesa na balança comercial Brasileira exerce pressão sobre o crescimento econômico do Brasil. Em suma, a China tornou-se mais relevante para o crescimento econômico do Brasil do que os EUA e a Argentina. / The objective of this study is to evaluate the impact of variations in the Gross Domestic Product (GDP) of countries and economic blocks over Brazilian economic growth, with emphasis on China, United States of America (USA) and Argentina, which are the main commercial partners of Brazil. The increase in trading with China has made Brazil more vulnerable to shocks in Chinese GDP and less vulnerable, than in the recent past, to shocks in American GDP, and stability in the case of Argentina. It has been applied the methodology Global Vector Autorregressive (Global Var – GVAR), introduced, explained and expanded by Pesaran, Schuermann and Weiner (2004), Garratt, Lee, Pesaran and Shin (2006) and Dées, Di Mauro, Pesaran and Smith (2007) to analyze the trading channels and the transmission of shocks between the rest of the world and Brazil (specially with China, USA and Argentina). Using a sample from the first quarter of 1990 to the third quarter of 2013 it is possible to see that the increase of relevance of the Chinese economy on the Brazil trade balance increased the relevance of the Chinese economy over the Brazilian economy. Therefore, the conclusions of this work indicate a considerable vulnerability of the Brazilian economy to the Chinese economic cycle and, in a lower degree than in the past, to the American and Argentinian economies.

This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.

La question de la transmission internationale des cycles a reçu une attention considérable en raison de l’intensification de la globalisation économique et financière. La problématique générale de cette thèse s’inscrit dans le prolongement de la littérature consacrée à cette question. Plus précisément, elle focalise son attention sur l’analyse de la transmission du cycle des Etats-Unis sur les pays émergents. Elle comporte trois chapitres. Le premier, en se basant sur une nouvelle approche économétrique en termes de modèle Global VAR, s’attache à étudier l’effet des chocs provenant des Etats-Unis sur les pays émergents. Il confirme l’idée que les Etats-Unis jouent un rôle important dans la transmission des cycles économiques étant donné leur poids dans l’économie mondiale. Le second chapitre propose d’étudier la transmission financière des Etats-Unis en s’intéressant à la crise des subprimes sur ces pays. L’estimation du modèle switch à probabilité variée développée indique que la persistance des stress financiers, le durcissement des conditions du crédit et l’augmentation du risque de non-solvabilité bancaire ont été les causes fondamentales de la transmission financière. La volatilité de l’indice boursier américain a été le facteur clé de la contamination avec tous les pays étudiés. Le troisième chapitre est consacré à étudier si les pays émergents sont en mesure d’adopter des politiques budgétaires contracycliques pouvant atténuer les chocs provenant de l’extérieur. En utilisant le modèle à seuil avec transition lisse en panel (le modèle PSTR), ce chapitre confirme que la politique budgétaire dans les pays émergents est procyclique en période de ralentissement économique et aussi lorsque la dette publique dépasse le seuil critique. De ce fait, une solide position budgétaire est fondamentale pour assurer la stabilité macroéconomique. / The issue of international transmission cycles has considerably received attention due to the increasing economic and financial globalization. Our thesis is in line with the literature dedicated to this question. More specifically, we focusour attention on the analysis of the transmission cycle of the United States to emerging countries. It consists of three chapters. The first one, based on a new econometric approach in terms of Global VAR model, aims to study the effect of shocks from the U.S. to emerging countries. The main resultconfirms the idea that the United States plays an important role in the transmission of economic cycles given their weight in the world economy. The second chapter proposes to study the financial transmission of the United States by focusing on the subprime crisis on these countries. The estimation of time varyingtransitionprobability (TVTP) Markov switchingmodel indicates that the persistence of financial stress, the tightening of the conditions of the credit and the increase of the risk of Banking solvency constitute the major determinants of the financial transmission. The US stock market volatility is the key factor transmission channel for all the studied countries. The third chapter is devoted to investigate whether emerging countries are able to adopt countercyclical fiscal policies to mitigate the impact from outside. Using the threshold model with smooth transition panel ( the PSTR model ), this chapter confirms that fiscal policy in emerging countries is procyclicalin the slowdown periodand also when public debt exceeds the critical threshold. Therefore, a strong fiscal position is fundamental to ensure macroeconomic stability.