Submitted by Nicole de Mendonça Saba (nicolesaba@gmail.com) on 2015-09-24T17:21:52Z No. of bitstreams: 1 Nicole Saba versao final_vf.pdf: 1360650 bytes, checksum: aafa0056ed232ccdb36bda0393568740 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-24T17:28:57Z (GMT) No. of bitstreams: 1 Nicole Saba versao final_vf.pdf: 1360650 bytes, checksum: aafa0056ed232ccdb36bda0393568740 (MD5) / Made available in DSpace on 2015-09-24T17:33:40Z (GMT). No. of bitstreams: 1 Nicole Saba versao final_vf.pdf: 1360650 bytes, checksum: aafa0056ed232ccdb36bda0393568740 (MD5) Previous issue date: 2015-08-19 / Este trabalho procura identificar quais variáveis são as mais relevantes para previsão da taxa de câmbio real do Brasil e analisar a robustez dessas previsões. Para isso foram realizados testes de cointegração de Johansen em 13 variáveis macroeconômicas. O banco de dados utilizado são séries trimestrais e compreende o período de 1970 a 2014 e os testes foram realizados sobre as séries combinadas dois a dois, três a três e quatro a quatro. Por meio desse método, encontramos nove grupos que cointegram entre si. Utilizando esses grupos, são feitas previsões fora da amostra com a partir das últimas 60 observações. A qualidade das previsões foi avaliada por meio dos testes de Erro Quadrático Médio, teste de Diebold-Mariano e, além disso, foi utilizado um modelo de passeio aleatório do câmbio real como benchmark para o procedimento de Hansen. Todos os testes mostram que, à medida que se aumenta o horizonte de projeção, o passeio aleatório perde poder preditivo e a maioria dos modelos são mais informativos sobre o futuro da o câmbio real efetivo. O horizonte é de três a quatro anos à frente. No caso do teste de Hansen, o passeio aleatório é completamente eliminado do grupo final de modelos, mostrando que é possível fazer previsões superiores ao passeio aleatório. / This paper seeks to identify which variables are most relevant to forecast Brazil's real exchange rate and also analyze the robustness of the results. To that end, we conducted Johansen cointegration tests on 13 different variables. The database covers the period of 1970 to 2014 with quarterly frequency. The series were combined in subsets of two, three and four variables. After conducting the Johansen cointegration test, we found that nine different groups that are cointegrated. We then proceed to estimate out-of-sample forecasts of the real exchange rate for each of these nine groups. Once we have these forecasts, we evaluate their quality by calculating their mean squared errors and conduct the Diebold-Mariano Test. We also use a random walk model of the exchange rate as benchmark for Hansen's model confidence set. All of the tests show that, as we expand the forecast horizon, the random walk series' predictive power is far worse than the other forecasts. In the case of Hansen's model confidence set, the random walk series is eliminated from the final confidence set of models. The time horizon is three to four years, which gives us evidence of forecast accuracy gains superior to the random walk model for the exchange rate in the long term.

Este estudo tem como objetivo explorar e testar se os preços das moradias nas cidades de Rio de Janeiro e São Paulo podem ser explicados por um conjunto de indicadores econômicos selecionados, que inclui variáveis sociais e de custos de construção. Modelos de previsão de preços das residências foram construídos por meio da aplicação de análise fatorial seguida de regressão linear por mínimos quadrados ordinários. Estes modelos não cumpriram com todos os pressupostos estatísticos necessários. Alternativamente, para cada uma das cidades, foi obtido um modelo ajustado a partir da regressão das séries em estado estacionário, seguida da aplicação da técnica de omissão de variáveis a partir do modelo completo. Finalmente, por meio da cointegração de Johansen, foi elaborado um modelo que evidencia o comportamento de longo prazo dos índices de preços. Este modelo foi utilizado para analisar o risco de existência de bolhas imobiliárias nas cidades estudadas, que se mostrou menor em São Paulo que no Rio de Janeiro onde, no entanto, pode-se observar um movimento de convergência dos preços reais para a curva de preços de longo prazo, indicando redução gradual no sobrepreço dos imóveis, se mantida a tendência. / This study aimed at exploring and testing whether house prices in Rio de Janeiro and Sao Paulo could be explained by a set of selected economic indexes, which includes social variables and construction costs. Some prediction models were constructed by applying a factor analysis followed by an ordinary least-squares linear regression. However, these models have failed to comply with all the necessary statistical assumptions. Alternatively, for each of the cities, an accurate model was obtained by applying a stepwise regression technique to a set of steady state variables (first, second and third difference). Finally, it was used the Johansen cointegration to develop a model for the long-term behavior of house prices. The model was used to analyze the risk of real estate bubbles in the studied cities, which was shown to be lower in Sao Paulo than in Rio de Janeiro. However, Rio exhibits a convergence trend in real prices to the long-term price curve, indicating gradual reduction in overpricing, if the trend continues.

Thesis (M. Com.(Economics)) -- University of Limpopo, 2017 / The relationship between unemployment, exchange rate and inflation has been a subject of debate for many years. Given the fact that South Africa is faced with a very low economic growth rate, inflation rate which is likely to go beyond the upper band of 6 percent and a high level of unemployment, policy makers are often faced with the trade-off between unemployment and inflation rate in the country. The purpose of this study is to determine the relationship between exchange rate, unemployment and inflation in South Africa. The study employed Johansen cointegration procedures and the vector error correction model (VECM) to capture the relationship between the variables. The Engle-Granger causality test was also employed to analyse causality amongst the variables. The results of Johansen cointegration test indicate that there is a long-run equilibrium relationship between the variables. The VECM also confirmed the existence of short-run equilibrium relationship between the variables. The nature of the relationship indicates that there is a significant negative relationship between unemployment and inflation in South Africa. This implies that policy makers are been faced with the trade-off between these two variables. The results further indicate that inflation is positively related to exchange rate, meaning a depreciation of the Rand (South African currency) in the foreign exchange market will feed to inflation in the home country. Furthermore, it is also indicated that unemployment is positively related to exchange rate. Meaning, a depreciation of the Rand in the foreign exchange market increases the level of unemployment in South Africa. All the results appeared to be significant. Policies aimed at lowering unemployment and inflation rate are recommended. It is also recommended that policy makers in South Africa take measures to improve the quality of education, skills training and steps to increase the labour intensity of production.

Financial liberalisation, through increasing investment as well as the average productivity of capital, should stimulate economic growth, or so the theory goes. Bank lending unfortunately suffers adverse selection and moral hazard effects, to which the establishment and expansion of stock markets has been offered as a remedy. However, research from developing country stock markets have shown that in many cases these markets did not complement the effects of credit market liberalisation but in rather important aspects subverted them. Countries that implemented credit market liberalisation and raised real interest rates only increased the price of debt capital rather than all capital. This caused a share price boom in many of them. When the price of equity capital fell it seriously undermined and indeed allowed large private corporations to skip altogether the main channel of high interest rates through which the theoretical McKinnon-Shaw effects were to operate. This study asks the research question of what effect the expansion of the South African stock exchange has had for its economic development. It makes use of a general empirical model to explain the relationship between financial development and real output. The model comprises indicators for growth, banking system development, stock market volatility; and, stock market development through a conglomerate index that accounts for market size, liquidity and integration with world capital markets. Quarterly data from 1989 to 2001 is analysed based on the null hypothesis that, as far as financial architecture is concerned, the development of the JSE Securities Exchange has stimulated the country's economic growth. This study found a negative and statistically significant relation between stock market development and economic growth. It suggests that while the JSE Securities Exchange is a relatively large stock market it is the presence of thin trading that prevents the proposed benefits of market development from accruing to the economy. Thus the hypothesis is rejected. However, since the only stable cointegrating vector is between growth and banking sector development, it recommends that by expanding their universal banking functions, the present banking structure, though oligopolistic, may be better suited to act as a catalyst for growth. / Business Management / D. Comm.

Financial liberalisation, through increasing investment as well as the average productivity of capital, should stimulate economic growth, or so the theory goes. Bank lending unfortunately suffers adverse selection and moral hazard effects, to which the establishment and expansion of stock markets has been offered as a remedy. However, research from developing country stock markets have shown that in many cases these markets did not complement the effects of credit market liberalisation but in rather important aspects subverted them. Countries that implemented credit market liberalisation and raised real interest rates only increased the price of debt capital rather than all capital. This caused a share price boom in many of them. When the price of equity capital fell it seriously undermined and indeed allowed large private corporations to skip altogether the main channel of high interest rates through which the theoretical McKinnon-Shaw effects were to operate. This study asks the research question of what effect the expansion of the South African stock exchange has had for its economic development. It makes use of a general empirical model to explain the relationship between financial development and real output. The model comprises indicators for growth, banking system development, stock market volatility; and, stock market development through a conglomerate index that accounts for market size, liquidity and integration with world capital markets. Quarterly data from 1989 to 2001 is analysed based on the null hypothesis that, as far as financial architecture is concerned, the development of the JSE Securities Exchange has stimulated the country's economic growth. This study found a negative and statistically significant relation between stock market development and economic growth. It suggests that while the JSE Securities Exchange is a relatively large stock market it is the presence of thin trading that prevents the proposed benefits of market development from accruing to the economy. Thus the hypothesis is rejected. However, since the only stable cointegrating vector is between growth and banking sector development, it recommends that by expanding their universal banking functions, the present banking structure, though oligopolistic, may be better suited to act as a catalyst for growth. / Business Management / D. Comm.

Dans le contexte actuel d'urgence environnementale, la consommation de carburant dans le secteur du transport routier, vu son impact négatif sur l'environnement et son rôle socioéconomique, doit évoluer dans une logique de durabilité. Nous initions notre travail de thèse par une approche comparative de 90 pays quant à leur intensité énergétique et leur intensité de CO2 dans le transport routier durant la période 1980-2010. En calculant le coefficient de Theil, nos résultats empiriques mettent en évidence l'existence d'une disparité spatiale et temporelle. En 2010, la Tunisie occupe le 48ème rang et le 38ème rang, respectivement en terme d'efficiences énergétique et environnementale. Elle a une performance énergétique moyenne tout en occupant le 34ème rang selon l'indice général de performance énergétique. Dans une deuxième partie, nous adoptions la démarche de modélisation conceptuelle dont l'objectif est la construction des indicateurs du transport routier énergétique durable. La définition d'un tel indicateur économique est confronté au problème de mesure de la valeur ajoutée réelle de ce secteur du transport. Par l'intermédiaire de l'approche de filtre de Kalman, nous pouvons conclure que la valeur ajoutée de transport informel est d'environ 61% de total de valeur ajoutée de secteur de transport durant la période 1980-2010 en Tunisie. Enfin, nous procédons à une modélisation économétrique des interactions entre les indicateurs de transport routier énergétiquement durable en Tunisie. L'étude de la dynamique des relations causales entre la consommation du carburant dans le transport routier, les émissions de CO2 dus au secteur de transport, la valeur ajoutée réelle de secteur du transport, le prix moyen du carburant, la longueur de l'infrastructure routière et le taux de motorisation se base sur la technique de cointégration de Johansen et le modèle de la Courbe Environnementale de Kuznets (CEK). Les résultats empiriques confirment, d'une part, l'hypothèse de neutralité entre la consommation de carburant et la valeur ajoutée réelle de secteur de transport et, d'autre part, l'hypothèse de CEK stipulant une relation en U-inversée entre les émissions de CO2 et la croissance économique du secteur du transport. Aussi, nous mettons en exergue une relation de causalité unidirectionnelle au sens de Granger allant de prix de carburant vers la consommation du carburant à court terme. Dans ce sens, en utilisant la technique de décomposition de prix, les résultats infirment l'hypothèse d'asymétrie de l'effet de prix sur la consommation de carburant. Avec la prise en compte de facteur technologique, nous estimons l'effet de rebond à l'ordre de 18% à court terme et 51% à long terme. En termes d'implications politiques, ce travail de thèse montre l'importance d'adopter des politiques publiques transversales où la question énergétique du transport routier est résolue en adéquation avec l'offre infrastructurel, la politique de prix de carburant, le droit à la mobilité individuelle et la protection de l'environnement. Une combinaison optimale entre divers instruments fiscal, économique et de régulation parait la meilleure stratégie pour atteindre un tel objectif. Le rôle de la gouvernance énergétique est central pour concevoir et opérationnaliser toute politique de transport routier énergétiquement durable. / As global concern about climate increases, road transport energy consumption, given its impact on the environment and its socio-economic role, must evolve to sustainability logic. First, the present work provides an international comparison of the energy intensity and the CO2 intensity in road transport for a group of 90 countries oer the period 1980-2010. Through the calculated Theil coefficient, our empirical findings highlight the existence of spatial and temporal disparities between coustries. In 2010, Tunisia occupies the 48th and the 38th rank respectively in terms of energy and environmental efficiency.Based on a general index of energy performance in the road transport sector, it is deemed to have a medium energy performance by occupying the 34th rank. Secondly, through the adoption of conceptual modeling approach, several indicators for sustainable energy development in road transport sector are constructed. To measure the real transport value added, we used filter Kalman approach. We denote that the informal transport value added is about 61% during the period 1980-2010.Finally, this thesis studies causal mechanisms between indicators for sustainable energy development related to energy consumption from Tunisian road transport sector. The investigation is made using the Johansen cointegration technique and the environmental Kuznets curve (EKC) approach. It examines the nexus between real transport value added , road transport-related energy consumption, road infrastructure, fuel price, rate of motorization and CO2 emissions from Tunisian transport sector during the same period. Empirical results support the hypothesis of neutrality between energy and income for Tunisian road transport sector, and the hypothesis of an inverted U-shaped EKC for transport CO2 emissions. Also, there is a unidirectional Granger causality running from fuel price to road transport-related energy consumption with no feedback in the short run. In this sense, using price decomposition technique, we refute asymmetric fuel price effect hypothesis. By the introducing of the technological factor, the rebound effect is about 18% in the short run and 51% in the long run. The study shows the importance if enhancing a number of policies for the road transport system through the joint improvement of the fuel price policy, of the road infrastructure policy and of the road vehicles policy. The optimal combination of fiscal, economic and regulatory instruments is the main strategy to achieve these objectives. The energetic governance is necessary in order to maintain sustainable energy road transport.