A recente crise econômica internacional destacou a deficiência da estrutura regulatória então vigente no sistema financeiro. Desde então muitos trabalhos têm avaliado a introdução da política macroprudencial no arcabouço de um modelo DSGE. No entanto, seu foco primordial não tem sido na escolha da variável à qual o requerimento contracíclico de capital deve responder - a variável âncora. A fim de preencher essa lacuna, diferentes regras macroprudenciais foram introduzidas no modelo DSGE desenvolvido por Gerali et al. (2010) e os resultados foram comparados por meio de uma métrica de bem-estar. O crescimento do crédito foi a variável que apresentou melhor resultado. / The recent crisis highlighted the deficiency of the regulatory framework in place then. Thenceforth many papers have been assessing the introduction of macroprudential policy in a DSGE model. However, they do not focus on the choice of the variable to which the countercyclical capital buffer must respond - the anchor variable. In order to fulfil this gap, we input different macroprudential rules into the DSGE proposed by Gerali et al. (2010), and then we sort the results using a measure of welfare. Credit growth is the variable that performs best.

Resumo: Dois modelos formam a base da teoria moderna de crescimento econômico, conhecidos como modelo de Solow-Swan e modelo de Ramsey-Cass-Koopmans. Os dois modelos são apresentados por uma narrativa linear. O modelo de Solow representaria um primeiro modelo mais básico para compreender o crescimento econômico. Já Ramsey-Cass-Koopmans relaxaria a forte hipótese do primeiro modelo de que a propensão a poupar seria uma alíquota fixa, transformando a decisão de poupança em uma decisão derivada de um comportamento maximizador de utilidade e assim enriquecendo o modelo de Solow por clarificar a relação de crescimento econômico com a teoria do equilíbrio geral. O propósito deste trabalho é desafiar esta narrativa linear. Para isto, a dissertação apresenta outros assuntos de importância para a teoria do crescimento na década de 1960 que não se encaixam nesta narrativa, os teoremas de turnpike e os modelos de dois setores. Estes dois temas atuam como elos que ligam as três distintas comunidades representadas pelos atores Robert Solow, Tjalling Koopmans e David Cass, demonstrando que a relação entre os dois modelos é menos linear do que é usualmente apresentado. / Abstract: Two models shape the basis of modern economic growth theory, known as the Solow-Swan model and the Ramsey-Cass-Koopmans model. Both models are usually presented by a linear narrative. The Solow model would represent a first basic model to understand economic growth. The Ramsey-Cass-Koopmans would come to enrich the basic Solow model, by relaxing the constant propensity to save hypothesis, making the savings decision derived from a utility maximizing behavior. The purpose of this work is to challenge this linear narrative. This dissertation introduce other subjects that were influential to the development of growth theory in the sixties, but don\'t fit in the linear narrative: the turnpike theorems and the two-sector models of growth. These two subjects operate as links that connect three different scientific communities, represented by the actors Robert Solow, Tjalling Koopmans and David Cass, and help to evidence that the relation between the Solow model and the Ramsey-Cass-Koopmans model is less linear than usually presented.

Esta pesquisa investiga o comportamento de determinação de preços na cidade de São Paulo. São analisadas mais de seis milhões de cotações do índice de preços ao consumidor da FIPE. Os principais resultados são: (i) a freqüência média de mudança dos preços é de 32,35% ao mês; (ii) os preços duram em média 2,56 meses; (iii) há grande heterogeneidade entre produtos quanto ao comportamento de mudança dos preços; (iv) 40% das mudanças de preço são para baixo; (v) as mudanças de preço possuem magnitude considerável; (vi) a freqüência de mudança dos preços exibe padrões sazonais em alguns grupos; (vii) a freqüência de mudança dos preços respondeu às incertezas eleitorais de 2002 em alguns grupos; (viii) as funções de risco comum são decrescentes e apresentam picos na duração correspondente a doze meses para alguns subgrupos, e (ix) o risco de mudança dos preços responde ao índice inflacionário para aproximadamente 70% dos subgrupos. / This research investigates the price-setting behavior in São Paulo city. We analyze more than six millions of consumer price index quotes produced by FIPE. The main results are: (i) the average frequency of price change is 32,35% per month; (ii) the prices remain unchanged on average for 2,56 months; (iii) there is a large degree of product heterogeneity related to the behavior of price change; (iv) 40% of price changes are price decreases; (v) the magnitude of price changes is large; (vi) the frequency of price change exhibits seasonal patterns for some groups; (vii) for some groups the frequency of price change was affected by 2002 elections; (viii) the baseline hazard functions are downward-sloping with 12 month spikes for some subgroups, and (ix) the hazard of price change responds to inflation for almost 70% of the subgroups.

Cette thèse porte sur les déterminants macroéconomiques et financiers des prix du vin. Dans un premier temps, une revue de la littérature présente les principales contributions académiques portant sur les prix du vin. En complément de l'approche du prix hédonique, il est nécessaire d'étudier les liens entre l’évolution du prix du vin et les facteurs macroéconomiques et financiers. Ainsi, nous avons identifié de manière empirique les déterminants macroéconomiques du prix du vin. Au cours des 20 dernières années, le prix du vin a évolué en fonction des cycles économiques. Nous avons observé un point de rupture significatif en 2004, lorsque les vins prestigieux ont commencé à être de plus en plus financiarisés. Enfin, nous avons témoigné de l'existence de relations à long terme entre les indices des prix du vin et les indices boursiers et confirmé la transmission des fluctuations des prix des marchés financiers vers les marchés du vin à court et moyen terme. / This thesis fills the gap in the research on the discovery of the macroeconomic and financial determinants of fine-wine prices. As a first step, a literature review presents main academic contributions on wine pricing. Complementary to the hedonic pricing approach, it is necessary to study the impact of macroeconomic and financial factors on the evolution of wine prices. Thereby, we have empirically identified the macroeconomic determinants of fine-wine prices. Throughout the past 20 years, the price of fine wines have been moving in accordance with the economic cycles, and there was a significant breakpoint at 2004 when fine wines started to be increasingly financialized. Finally, we have witnessed the existence of long-term relationships between fine-wine price indices and stock-market indices, and confirmed the transmission of price fluctuation from financial markets to fine-wine markets in a short-medium term.

Muitos economistas apontam que as condições macroeconômicas afetam o risco de crédito das instituições financeiras. Assim, há uma necessidade de avaliar a sensibilidade do risco de crédito das instituições financeiras à mudanças na economia a fim de evitar instabilidade no mercado de crédito. Este trabalho contribuiu para análise de risco de crédito pois apresentou modelos de previsão para a inadimplência do sistema financeiro no Brasil utilizando um conjunto abrangente de variáveis macroeconômicas no modelo. A análise também incorpora a composição da carteiras de crédito das instituições financeiras. A revisão bibliográfica utilizou, como constructo, estudos empíricos na área de risco de crédito soberano; testes de stress; credit scoring com variáveis macroeconômicas; estudos que relacionam inadimplência e variáveis econômicas e estudos que relacionam risco de crédito e composição da carteira de crédito. A base de dados mensais foi extraída do banco de dados do Banco Central e do IPEA. A variável resposta do modelo, a inadimplência, é definida como a relação entre o saldo em atraso superior a noventa dias dos contratos de crédito sobre o saldo de todos os contratos na data base. Foram extraídas 313 variáveis explicativas com base na revisão bibliográfica. Foram construídos modelos estatísticos de séries temporais (ARIMA) e séries temporais com variáveis explicativas exógenas (ARMAX) para prever a inadimplência. Os modelos foram construídos com uma base de dados de modelagem no período de Março de 2007 a Dezembro de 2011. O período de Janeiro de 2012 a Dezembro de 2012 foi utilizado para mensurar a performance dos modelos fora do tempo (amostra de validação). Variáveis explicativas indicadoras do saldo por região da carteira de crédito, dívida pública interna e juros se mostraram estatisticamente significativas para explicar a inadimplência do sistema financeiro no Brasil, sendo que (1) quanto maior o crescimento anual do saldo das operações de crédito do sistema financeiro nacional na região Centro-Oeste, menor a inadimplência; (2) quanto maior a média dos juros aplicados pelo Banco Central nos últimos três meses, menor a inadimplência e (3) quanto maior o crescimento da dívida interna do setor público, menor a inadimplência. Na comparação dos modelos obtidos, o modelo ARIMA apresentou melhor ajuste para o ano de 2012, porém o modelo ARMAX também se apresentou adequado por obter baixos valores dos resíduos. / Economists show that macroeconomic conditions affect credit risk of financial institutions. Thus, there is a need to evaluate the sensitivity of credit risk of financial institutions to changes in the economy in order to avoid instability in the credit market. This work contributed to the analysis of credit risk by presenting a prediction model for non-performing loans of Brazilian financial system using a comprehensive set of macroeconomic variables in the analysis. The model also incorporates the composition of the loan portfolios of financial institutions. The literature review used, as a construct, empirical studies in sovereign credit risk area, stress testing, credit scoring with macroeconomic variables, studies that relate non- performing loans and economic variables and studies relating to credit risk and composition of the loan portfolio. The monthly data base was extracted from Central Bank and IPEA data. The response variable of the model, the non-performing loans rate is defined as the ratio between the outstanding balance more than ninety days of credit agreements and the balance of all contracts in the data base. 313 explanatory variables were extracted based on the literature review. Statistical models of time series (ARIMA) and time series with exogenous explanatory variables (ARMAX) were built to predict non-performing loans. The modeling database used the period between March 2007 to December 2011. The period from January 2012 to December 2012 was used to measure the performance of the models out of time (validation sample). Explanatory variables by region of the loan portfolio, the internal public debt and the interest rate were statistically significant in explaining the default of the financial system in Brazil , where (1) the higher the annual growth of loans in Centro-Oeste, the lower the non-performing loans, (2) the higher average interest rates applied by the Central Bank in the last three months, the lower the non-performing loans and (3) the higher annual growth of domestic debt of the public sector, lower non-performing loans. Comparing the obtained models, ARIMA model showed better fit for the year 2012, but ARMAX model also performed properly with low residual values.

Frances Cheung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 65-69). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Appendices --- p.vii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Two-Sector Endogenous Growth Model with International Borrowing --- p.5 / Chapter 2.1 --- Introduction --- p.5 / Chapter 2.2 --- Basic Model --- p.8 / Chapter 2.2.1 --- Existence of the Balanced Growth Path --- p.12 / Chapter 2.2.2 --- "Determination of Steady State Values (u*,k*c*,θ*1)" --- p.13 / Chapter 2.2.3 --- Stability --- p.15 / Chapter 2.3 --- Model with Fixed Asset in Goods Production --- p.16 / Chapter 2.3.1 --- Existence of the Balanoed Growth Path --- p.20 / Chapter 2.3.2 --- "Determination of Steady States Values (u*, k*, c*, θ*2)" --- p.22 / Chapter 2.3.3 --- Stability --- p.25 / Chapter 2.3.4 --- Comparative Statics --- p.27 / Chapter 2.3.5 --- Transitional Dynamics --- p.30 / Chapter 2.3.6 --- Numerical Examples --- p.31 / Chapter 2.4 --- Conlusion --- p.33 / Chapter Chapter 3. --- Modification to Benhabib-Farmer Model --- p.34 / Chapter 3.1 --- Introduction --- p.34 / Chapter 3.2 --- The Model --- p.37 / Chapter 3.3 --- Steady States --- p.43 / Chapter 3.4 --- Condition for Indeterminacy --- p.45 / Chapter 3.4.1 --- A Necessary Condition --- p.45 / Chapter 3.4.2 --- Necessary and Sufficient Condition --- p.46 / Chapter 3.5 --- Numerical Examples --- p.47 / Chapter 3.6 --- Conclusion --- p.49 / Appendices --- p.54 / References --- p.65

by Wong Tak Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 106-108). / Abstracts in English and Chinese. / ACKNOWLEDGMENT --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATION --- p.v / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.2 / Chapter THREE --- METHODOLOGY --- p.8 / Error Correction Model / Unit-Root Tests / Cointegration Tests / Structural Break Test / Chapter FOUR --- MODEL SPECIFICATION AND SIMULATION --- p.19 / Chapter FIVE --- SIMULATION ANALYSIS --- p.45 / Chapter SIX --- CONCLUSION --- p.51 / TABLES --- p.53 / ILLUSTRATIONS --- p.67 / APPENDIX --- p.81 / Chapter A --- THE ESTIMATED MODEL / Chapter B --- DATA DESCRIPTION / BIBLIOGRAPHY --- p.109

Thesis. 1979. M.S.--Massachusetts Institute of Technology. Dept. of Ocean Engineering. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING. / Bibliography: leaves 265-266. / M.S.

Thesis. 1976. Ph.D.--Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. / Microfiche copy available in Archives and Engineering. / Includes bibliographical references. / Ph.D.

Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1979. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING. / Includes bibliographical references. / by Prashant Parikh. / M.S.