A maior parte dos trabalhos sobre substituição de moeda encontra como fonte geradora deste fenômeno a diferença de capacidade entre as diferentes moedas em manterem os seus valores ao longo do tempo. Existe, entretanto, um aspecto pouco explorado nesta literatura. É necessário estudar a relação entre o grau de integração comercial e o processo de substituição de moeda. Em concordância com esta necessidade, o objetivo desta dissertação consiste em analisar os impactos sobre a demanda pelas moedas nacionais decorrentes de um processo de integração comercial, focalizando sobre o motivo transacional da demanda por moeda. Para isto, desenvolvem-se dois modelos de equilíbrio geral dinâmico com trocas descentralizadas (search) em economia aberta. De acordo com os resultados obtidos, elevados níveis de integração comercial podem deflagrar um processo de substituição de moeda em que o meio de pagamento estrangeiro passa a ser utilizado também em trocas envolvendo apenas indivíduos domésticos. Daí se seguem importantes mudanças de preços relativos e novas condições sobre a condução da política monetária. / Most works on currency substitution finds the origin of this phenomenon at the difference of money prices inflation between two currencies. However, there is a remaining issue. It is necessary to study the relation between the degree of commercial integration and the currency substitution process. In accordance to this need, the purpose of this dissertation consists in analyzing the impacts upon national currency demand due to a process of commercial integration, focusing on the transactional demand for money. To accomplish that, two open economy dynamic general equilibrium with decentralized exchanges (search) models are developed. According to the results, high levels of commercial integration may start a process where the foreign currency is used as a medium-of-exchange for trades between domestic agents. Moreover, there are important relative prices changes and relevant consequences upon monetary policy making.

No description available.

The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This thesis employs both linear and nonlinear estimation methods to investigate the relationship between money demand, GDP, inflation and interest rates for the Euro Area over the period 1980-2010. The aim of this thesis is to compare the European money demand in linear and nonlinear framework. First a vector autoregression (VAR) model has been estimated. Then a threshold cointegration model has been employed and nonlinearity properties of the money demand relationship has been investigated. In contrast to the existing empirical literature, linear VEC model can find evidence of stability, however it has some conflicting results which can be explained by the nonlinearity of the model. Empirical results of MTAR type threshold cointegration specification verifies the nonlinearity in European money demand. The adjustment coefficient of lower regime suggests faster adjustment towards long run equilibrium compared to upper regime in nonlinear model. Moreover, the nonlinear model presents better fit to economic literature than linear model for European money demand.

The purpose of this thesis is to explore the possibilities and advantages of describing macroeconomic relationships with a certain well-defined class of parametric nonlinear econometric models, called smooth transition regressions (STR). An STR model is a flexible nonlinear specification with a continuum of regimes. It is locally linear transitions from one extreme regime to another are determined by a function of a continuous variable, the transition variable.The thesis consists of four essays and the macroeconomic relationships that are considered are: Consumption, Money Demand and the Phillips Curve. The essays of this dissertation emphasise the importance of allowing for a flexible functional form when dealing with macroeconomic relationships. / Diss. Stockholm : Handelshögsk.

This paper examines the main determinants of inflation in Madagascar during the period 1984-2011, using cointegration approach. The empirical results highlight the existence of a stable money demand relationship that dictates the movement of prices in the long run, as well as a long run equilibrium involving domestic prices, exchange rate and foreign prices. Also, we found two long term relationships involving money, aggregate price, oil price, as well rice price. In the short run, inflation adjusts to deviation from the long run equilibrium in the monetary market, money growth have a positive impact on inflation while an appreciation of the exchange rates causes inflation to decelerate. We also find that inflation has a considerable inertia, movements in the prices of oil and rice affect the inflation rate in the short term, and the influence of external shocks are quite important. Variance decomposition and impulse response allow to examine the responses of the variables to various shocks.

A maior parte dos trabalhos sobre substituição de moeda encontra como fonte geradora deste fenômeno a diferença de capacidade entre as diferentes moedas em manterem os seus valores ao longo do tempo. Existe, entretanto, um aspecto pouco explorado nesta literatura. É necessário estudar a relação entre o grau de integração comercial e o processo de substituição de moeda. Em concordância com esta necessidade, o objetivo desta dissertação consiste em analisar os impactos sobre a demanda pelas moedas nacionais decorrentes de um processo de integração comercial, focalizando sobre o motivo transacional da demanda por moeda. Para isto, desenvolvem-se dois modelos de equilíbrio geral dinâmico com trocas descentralizadas (search) em economia aberta. De acordo com os resultados obtidos, elevados níveis de integração comercial podem deflagrar um processo de substituição de moeda em que o meio de pagamento estrangeiro passa a ser utilizado também em trocas envolvendo apenas indivíduos domésticos. Daí se seguem importantes mudanças de preços relativos e novas condições sobre a condução da política monetária. / Most works on currency substitution finds the origin of this phenomenon at the difference of money prices inflation between two currencies. However, there is a remaining issue. It is necessary to study the relation between the degree of commercial integration and the currency substitution process. In accordance to this need, the purpose of this dissertation consists in analyzing the impacts upon national currency demand due to a process of commercial integration, focusing on the transactional demand for money. To accomplish that, two open economy dynamic general equilibrium with decentralized exchanges (search) models are developed. According to the results, high levels of commercial integration may start a process where the foreign currency is used as a medium-of-exchange for trades between domestic agents. Moreover, there are important relative prices changes and relevant consequences upon monetary policy making.

Countries with unemployment insurance (UI) program can effectively conduct a labor market policy and observe the flow of unemployed-employed. But should we just hand UI over to anyone who has no job? Do individual response to the program in terms of their decision to work or to enjoy more leisure unanimously the same across leisure type characteristic individuals? In a heterogeneous constructed labor search market we derive that introduction of the UI program increases the wage gap between the different individuals when the program impacts the productivity of firm positively. In an empirical investigation of the impact of unemployment benefits on the duration of unemployment using a job search model, we specify a distribution of duration of unemployment that we estimate using maximum likelihood estimation and find that there is in the National Longitudinal Survey of Youth (NLSY 97) there are 3 types of individuals and the type of leisure individuals present an adverse response to the program: An increase in UI for the highest leisure type leads to a longer duration of unemployment. Whereas the lowest values of leisure do not tend to have an extended duration of unemployment from a positive change in UI. Finally, the response for the type 2 individuals is completely ambiguous as it could either see them having a prolonged duration of unemployment or a shortened period with no work. So a selective increase in unemployment insurance to those with a relatively low value of leisure may decrease the equilibrium rate of unemployment. The second part of the dissertation focuses on modeling money demand and shocks in Cote D'Ivoire for the period of 1960-2009. Unlike Drama and Yao (2010) our result suggests M1 is not in a long-run equilibrium with its determinants real income and expected inflation and therefore unstable. However, the broad definition M2 is cointegrated with its long-run determinants and it is therefore the most appropriate definition of money for the Cote D'Ivoire economy. As a consequence M2 can be used as an alternative to the interest rate as a long run monetary policy instrument.

Even though precise evaluation of money demand function is essential for cen- tral banking and for the right determination of the transmission mechanism, economists have not reached a consensus about the underlying determinants of money demand function neither their magnitude and direction. Researchers differ even in the selection of measures used for the main variables - income, and interest rate. While the heterogeneity in elasticity estimates of the former one has been scrutinize in several quantitative surveys, to the best of our knowledge, there has not been compiled any meta-analysis focusing on differences among the interest rate elasticities of the money demand. Therefore, we collected 53 studies reporting 1 094 estimates of interest rate elasticity. Implementing both the state-of-the-art methods and those proposed only recently, we have found out that researches are prone to selective reporting. Firstly, our results shows that negative publication bias is present in empirical studies of the money de- mand and increases the average elasticity estimate approximately three times (in absolute terms). Secondly, negative highly precise estimates are more likely to be compared to their imprecise counterparts. Additionally, we scrutinize po- tential sources of heterogeneity among individual...

No description available.

Cette thèse se propose d’étudier à la lumière des théories traditionnelles et modernes de l’optimalité les facteurs de blocage du processus de convergence au sein de la communauté économique et monétaire d’Afrique centrale. Cette entité régionale voit ses chances de converger à long terme compromises par l’existence d’hétérogénéités au niveau des mécanismes de demande de monnaie d’une part, et de ceux garants de la stabilité des prix d’autre part. Sans renier l’intérêt des critères de convergence nominale, cette étude démontre qu’il serait une erreur de les considérer comme capables de prémunir la zone contre les asymétries. Ces critères, qui sont certes essentiels au fonctionnement de la zone économique et monétaire, offrent de faibles garanties en termes d’ajustement aux chocs asymétriques. En somme, cette thèse s’intéresse aux interconnections entre d’une part les variables nominales et réelles, et les variables structurelles qui les sous-tendent d’autre part. Elle conclut en définitive que l’union régionale formée par la CEMAC ne pourra être viable à terme qu’à condition que les structures tendent à s’homogénéiser. / This thesis proposes to study in the light of the traditional and modern theories of optimality the factors of blocking of the process of convergence within the economic and monetary community of Central Africa. This regional entity sees its chances to converge in the long run compromised by the existence of heterogeneities on the level of the mechanisms of request for currency on the one hand, and those guaranteeing price stability on the other hand. Without disavowing the interest of the convergence criteria nominal, it shows that it would be an error to regard them as able to secure the zone against asymmetries. These criteria, which are certainly essential with the operation of the economic and monetary zone, offer weak warranties in terms of adjustment to the asymmetrical shocks. All in all, this thesis is interested on interconnections between on the one hand the nominal and real variables, and the structural variables which underlie them. It concludes that the regional union formed by the CEMAC could not be viable in the long term, except if the structures tend to be homogenized.