Submitted by Jaqueline Silva (jtas29@gmail.com) on 2014-10-20T16:16:37Z No. of bitstreams: 2 Dissertação - Elsie Estela Moratoya - 2014.PDF: 1759354 bytes, checksum: c262cfaeef59e283285f32b837fdee16 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Approved for entry into archive by Jaqueline Silva (jtas29@gmail.com) on 2014-10-20T16:16:54Z (GMT) No. of bitstreams: 2 Dissertação - Elsie Estela Moratoya - 2014.PDF: 1759354 bytes, checksum: c262cfaeef59e283285f32b837fdee16 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2014-10-20T16:16:54Z (GMT). No. of bitstreams: 2 Dissertação - Elsie Estela Moratoya - 2014.PDF: 1759354 bytes, checksum: c262cfaeef59e283285f32b837fdee16 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2014-02-28 / This study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT. / Este estudo apresenta uma análise empírica de transmissão de preços e de volatilidade nos preços da soja e do milho entre o mercado internacional, representado pela CBOT, e quatro mercados domésticos no Brasil: o Estado de Goiás, Mato Grosso, Paraná e Rio Grande do Sul. Para isso, foram selecionados os preços diários da soja e do milho, para o período entre janeiro de 2008 e junho de 2013. Os preços foram obtidos junto ao Centro de Estudos Avançados de Economia Aplicada e o Instituto de Economia Agrícola; em seguida, foram convertidos em retornos e logaritimizados para as análises. Posteriormente, foi feita uma análise preliminar dos preços nominais para avaliar o comportamento das séries temporais, em que foi verificada a estacionariedade de ordem (1) para todas as séries de preços. Foi também constatada uma alta correlação entre o mercado internacional e os mercados domésticos. O comovimento e a velocidade da transmissão dos preços foram estimados mediante o uso do teste de cointegração de Johansen e o modelo de correção de erros. Os resultados apontaram uma cointegração entre os mercados domésticos e o mercado internacional para as duas culturas. Os resultados empíricos dos testes para os preços da soja mostraram que o Estado do Rio Grande do Sul é o mercado que mais rapidamente se ajusta e se equilíbra com os preços da CBOT, numa velocidade de 55%. Os preços da soja no Estado de Goiás se ajustam a uma velocidade de 40%, o de Mato Grosso a uma velocidade de 46%, e o Paraná a uma velocidade de 55%. Quanto aos preços do milho, o Estado de Goiás é o que mais rapidamente se equilibra com os preços da CBOT, com uma velocidade de 1,12%. Os preços do Mato Grosso se corrigem a uma velocidade do 0,67% e os mercados do Paraná e Rio Grande do Sul a uma velocidade de 0,83%. A análise empírica da transmissão de volatilidade foi estimada pelo uso do modelo GARCH-BECK triangular inferior. Os resultados para a soja apontam que o mercado do Estado de Goiás foi o único que não apresentou evidência de transmissão de volatilidade. Existência de transmissão de volatilidade foi encontrado da CBOT para Mato Grosso, do Paraná para CBOT, e bidirecional entre Rio Grande do Sul e CBOT. Além disso, os resultados da Função Resposta ao Impulso mostram que um choque do mercado internacional no mercado do Estado de Goiás não chega à estabilidade em um período de vinte e quatro meses. Os outros mercados domésticos mostraram uma tendência de se estabilizar, em média, a partir de vinte meses. No caso do milho, foram encontradas evidências de transmissão de volatilidade bidirecional nos Estados de Goiás, Mato Grosso e Paraná, e transmissão unidirecional de Rio Grande do Sul para CBOT. A reação a um choque da CBOT mostra que a persistência do choque nos mercados domésticos leva, em média, dez dias para se estabilizar. Portanto, os resultados mostram que existe transmissão de preços e de volatilidade entre os mercados domésticos para os commodities analisados com a CBOT, além do que as novas informações dos proprios mercados possuem maior papel na volatilidade dos retornos que das informações da CBOT.

Estudos recentes relacionados ao meio ambiente vêm ganhando grande destaque em todo o mundo devido ao fato dos níveis de poluição e a destruição das reservas naturais terem aumentado de maneira alarmante nos últimos anos. As grandes cidades são as que mais sofrem com a poluição e aqui serão estudados os níveis de poluição do ar em duas cidades em particular, a Cidade do México e São Paulo. A Cidade do México apresenta sérios problemas com os níveis de ozônio e São Paulo é a cidade brasileira com os maiores problemas relacionados à poluição. Entre os diferentes modelos considerados para analisar dados de poluição do ar, pode-se considerar o uso de modelos de séries temporais para modelar as médias diárias ou semanais de poluição. Nessa direção pode-se usar modelos de volatilidade estocástica. Essa família de modelos estatísticos tem sido extensivamente usada para analisar séries temporais financeiras, porém não se observa muitas aplicações em dados ambientais e de saúde. Modelos de volatilidade estocástica bivariados e multivariados, sob a aproximação Bayesiana, foram considerados para analisar os dados, especialmente usando métodos MCMC (Monte Carlo em Cadeias de Markov) para obter os sumários a posteriori de interesse, pois pode-se ter muitas dificuldades usando métodos clássicos de inferência estatística / Recent studies related to environmental has been considered in all world due to increasing levels of pollution and of natural resources destruction especially, in the last years. The largest cities in the world are the ones been mostly affected by pollution and in this work we consider the analysis of air pollution data of two important cities: Mexico City and São Paulo. The Mexico City presents serious problems of ozone levels and São Paulo is the Brazilian city with the largest problems related to air pollution. Among the different models which could be used to analyze air pollution data, we consider the use of time series modeling to the weekly or daily levels of pollution. In this way, we consider the use of volatility stochastic models. This family of models has been well explored with financial data but not well explored to analyze environmental and health data. Bivariate and multivariate stochastic models under the Bayesian approach were considered to analyze the data, especially using MCMC (Markov Chain Monte Carlo) methods to obtain the posterior summary of interest, since we usually have big difficulties using standard classical inference methods

Este trabalho apresenta uma metodologia de cálculo de sensibilidades utilizando equa- ções analíticas, levando em a conta a correção de smile na superfície de volatilidade, que não é contemplada no modelo de Black e Scholes. Dada a diferença signicativa na mensura ção do risco as instituições nanceiras calculam suas sensibilidades incorporando esta correção, mas tal determinação tem sido realizada por métodos numéricos, que acabam sendo mais lentos que a abordagem aqui proposta. São apresentadas equações analíticas para as principais sensibilidades do modelo a partir de dados de mercado usados na constução da superfície de volatilidade implícita. Ilustramos a comparação da técnica proposta com o método numérico com base no mercado de opções sobre taxa de câmbio Brasileiro. / This work presents a study on how we should adapted the Greeks or risk factors of the Black and Scholes model. We can derive analytical equations for the main sensitivities of the model and using the market data to build an implied volatility surface and to get additional terms for the risk factors. We propose to implement this model in a scheme of analytic differential equations derived from the pricing model and from the implied volatility function. The building of this implied volatility and risk factors was based on the foreign exchange Brazilian market.

Este estudo reúne três ensaios que abordam os impactos econômicos do processo de integração financeira dos países. No primeiro, é feito uma revisão da literatura acerca do tema, identificando as principais mudanças no foco das discussões relacionadas aos impactos da abertura de capital. As análises deixam de se centrar nos impactos diretos e passam a enfatizar também os impactos colaterais da integração financeira. Além disso, reconhecem o papel das particularidades de cada país no resultado econômico alcançado. Características como o grau de desenvolvimento do setor financeiro doméstico e a qualidade das instituições parecem influenciar nos resultados da integração financeira. O segundo ensaio testa se a abertura de capital, por representar um canal de punição às políticas mal avaliadas pelo mercado, pode estimular reformas institucionais. Os resultados, para a amostra de 39 países utilizada, confirmam esta visão. O estudo também indica que as instituições sofrem transformação por até três períodos posteriores ao da abertura financeira. Por fim, o terceiro ensaio testa se a abertura financeira da economia brasileira é um exemplo que confirma a teoria dos impactos colaterais deste processo, avaliando se a volatilidade do PIB se reduz e se ocorrem transformações na condução da política econômica após a abertura financeira. Os resultados confirmam parcialmente esta posição. / The study is a combination of three essays about the economic impacts of the countries’ financial integration process. In the first one, it is done a survey about the topic, identifying the most important changes in the discussions about the impacts of financial integration. The analysis is moving away from the traditional approach centered on the direct impacts of the process and starts to emphasize the collateral impacts of the financial integration process too. The literature also recognizes the role of specific characteristics present in each country to the financial integration outcomes. Characteristics like the local financial sector degree of development and institutional quality seems to have influence in the financial integration results. The second essay tests whether the financial integration, due to its capacity to work as a channel for punishment of deviations from the economic policies accept for the market, can stimulate institutional reforms. The results, using a sample of 39 countries, confirm this view. The study also indicates that the institutional indicator evolves for about three periods after the financial integration date. Lastly, the third essay tests whether the Brazilian financial integration process is an example that confirms the theory of collateral impacts of this process, evaluating whether the GDP’s volatility reduces after the financial integration and whether it is observed changes in the conduction of economic policies. The results partially confirm this position.

In the post Bretton Woods era, the volatile nature of exchange rates has been the focus of many researchers. Although some previous studies suggest that variations in an exchange rate has the potential to affect a country’s economic performance, LDC’s (Less Developed Countries’) have received less attention compared to industrialized or developed economies. In this thesis we analyse the nature of exchange rate behaviour in three LDCs: Ghana, Mozambique and Tanzania. These countries have gone through comparable policy engagements with the IMF, have followed similar floating exchange rate regimes since early 1990s and currently all adhere to the IMF convention of free current account convertibility and transfer (Ghana and Tanzania accepted Article VIII of IMF “Articles of Agreement” in 1994. Mozambique began floating in 1992 under the SAP reforms of IMF; Article IV consultation was completed in 2009 and acceptance of Article VIII seems imminent).The main content of the thesis can be summarised as follows.I. We examine whether exchange rate behaviour in these three countries are influenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also examine the data to find if they exhibit the empirical regularities found in other exchange rate/financial markets such as volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these countries is generally influenced by similar factors. In particular, we find that the series exhibit the empirical regularities found in other exchange rate/financial markets, justifying the application of the ARCH methodology which we use to estimate the volatility of exchange rate in these countries. We however observed that the ARCH family of models does not always produce the best fit. For instance, volatility forecasts generated by an Exponentially Weighted Moving Average (EWMA) model based on the RiskMetricsTM estimation technique produces the best fit for the daily Ghanaian exchange rate series under consideration compared to volatility forecasts from our estimated ARCH family of models.II. We explore the causal relationship between exchange rate depreciation and uncertainty/volatility using the VAR toolkit. Our main motivation for this study is to analyse whether the changes in the levels of exchange rate as a result of appreciation or depreciation in an underlying currency changes the level of exchange rate uncertainty (volatility). Further, we also analyse the reverse causal relationship; whether increasing uncertainty feeds back into the exchange rate market. We find a bi-directional Granger causal relationship between the level of exchange rate and uncertainty in the foreign exchange markets. Despite adopting similar macro-policies since the mid 1980s and early 1990s, uncertainty in the Tanzanian exchange rate as a response to changes in the level of exchange rate takes a shorter length of time to dissipate. We attribute this to the macroeconomic policies undertaken by Tanzanian policymakers which have ensured price and currency stability.The reverse causality reflects the effectiveness of the Tanzanian macro-policies and the confidence in them; we observed that intervention reduces uncertainty in the Tanzanian exchange rate, whereas for Ghana and Mozambique, macro-policies intending to mitigate undesired exchange rate changes rather create further uncertainty in their exchange rate markets. For all three LDCs under consideration, we observed that effects of shocks to exchange rate from innovations in uncertainty for each country is fleeting III. We investigate the relationship between exchange rate volatility and economic performance (via trade) for each of these countries and some of their biggest trade partners. Exchange rate volatility resulting from a depreciating underlying currency of trade can potentially affect the economic performance of a country. Using a gravity model augmented with variables that are deemed to influence earnings from trade, we observe that earnings from trade are not significantly affected by exchange rate volatility. We conjecture that in periods of uncertainty, traders increase the volume of trade to compensate for the ill effects of currency volatility.

In this paper, we estimate a Bayesian vector autoregressive (VAR) model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area (EA). This allows us to incorporate uncertainty directly into the econometric framework and treat it as a latent quantity. Only a limited number of papers estimates impacts of uncertainty and macroeconomic consequences jointly, and most literature in this sphere is based on single countries. We analyze the special case of a shock restricted to the Euro area, whose countries are highly related by definition. Among other variables, we find significant results of a decrease in real activity measured by GDP in most Euro area countries over a period of roughly a year following an uncertainty shock. / Series: Department of Economics Working Paper Series

O presente trabalho tem como objetivo analisar a volatilidade dos mercados de renda fixa e renda variável no Brasil, no período de março de 1986 até fevereiro de 2006, por meio do CDI (Certificado de Depósito Interfinanceiro) e IRF-M (Índice de Renda Fixa de Mercado), como indicadores do mercado de renda fixa, e o IBOVESPA (Índice da BOVESPA), como indicador de renda variável. Por meio da comparação da volatilidade destes ativos é possível observar se há coincidência temporal entre os dois mercados, em relação aos picos de volatilidade devido, principalmente, a influência de variáveis macroeconômicas. Tal análise é importante para que os gestores de portfólios, que tomam decisões de como alocar os investimentos, conheçam o histórico e o corrente relacionamento entre as volatilidades dos dois mercados. As volatilidades do mercado de renda fixa e do mercado de renda variável foram calculadas por meio do desvio padrão anual dos retornos mensais e por meio de um modelo GARCH(1,1). Os resultados mostram que, no Brasil, durante o período analisado, os dois mercados apresentaram: períodos coincidentes de picos de volatilidade, grande mudança no padrão comportamental das volatilidades após a implantação do Plano Real e pouca estabilidade na relação entre as volatilidades. / This work aims to study the volatility of the fixed income market and the stock market in Brazil, from March 1986 to February 2006, through CDI (Interbank Interest Rate), IRF-M (Fixed Income Index), as a fixed income market indicators, and IBOVESPA (BOVESPA index), as a stock market indicator. Through the comparison of the volatility of these assets it is possible to observe if there is time frame coincidence between the two markets, in relation to the peaks of volatility due to, mainly the influence of macroeconomics variables. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Those fixed income market and stock markets volatilities were calculated through the annual standard deviation of the monthly returns and from a GARCH(1,1) model. The results show that, in Brazil, during the studied period, both markets presents: coincident volatility peaks periods, high change in the behavioral pattern of volatility after the deployment of the Plano Real and little stability in the relationship between the volatility.

A dívida pública apresentou uma profunda deterioração a partir do início do plano Real, destacando-se os dois choques cambiais: de 1999 e 2002. De acordo com a literatura sobre o tema as questões institucionais e a composição patrimonial desempenham um importante papel para explicar o comportamento da dívida. O presente trabalho pretende avaliar os fatores que levaram ao aumento da dívida pública no período recente, pós-plano Real. Para tal busca-se entender o arcabouço regulatório e macroeconômico em que se insere a dívida pública brasileira. Feito isto, busca-se compreender não só o montante da dívida, mas também a sua composição e os seus prazos de vencimento. Assim, pretende-se evidenciar como a composição, prazos de vencimentos e arcabouço regulatório afetam o desempenho fiscal. Alguns fatores mostram que a concentração da dívida atrelada a indexadores como a taxa de câmbio e a taxa SELIC tornam o comportamento da dívida muito volátil em momentos de crise e, por conseguinte, provocariam uma deterioração fiscal. A redução do risco sistêmico e a migração de títulos pós-fixados para prefixados levaria a uma redução do risco (volatilidade) da dívida. Por outro lado, a utilização de títulos prefixados pode significar custos maiores em momentos de estabilidade e prazos menores, devido aos riscos inerentes à economia brasileira. Os resultados obtidos evidenciam um grande aumento da volatilidade da dívida em 1999 e em 2002, períodos que foram marcados pela elevada participação de títulos atrelados ao câmbio e à taxa SELIC. A partir do governo Lula evidencia-se um melhor resultado das contas públicas em virtude da evolução do arcabouço institucional, iniciado no Plano Real, e a redução da volatilidade da dívida. Destaca-se também a volta de uma participação significativa dos títulos prefixados, o que não se observava desde os anos iniciais do plano-Real. / The public debt has presented a profound deterioration since the implementation of the Real plan, emphasizing the two shocks that affected the Brazilian exchange rate in 1999 and in 2002. In accordance with the literature concerning this theme institutional issues and the public debt index composition have an important role in order to explain public debt`s evolution. This paper intends to evaluate the factors that caused the recent public debt`s increase after the Real plan. In order to achieve it, this dissertation tries to explore the regulatory and the macroeconomic environment embodied in Brazil. After that, it tries to comprehend not only public debt`s amount, but also its composition and debt term. So, this dissertation intends to provide evidence how public debt`s composition, debt term and regulatory issues affect the fiscal result. Some factors provide evidence that debt indexed by the exchange rate and the interest rate SELIC cause a volatile behavior during crisis resulting in a fiscal deterioration. The systemic risk reduction and the migration from not fixed indexed bonds to fixed indexed bonds would reduce debt`s risk (volatility). However, the utilization of fixed indexed bonds can represent higher costs and larger debt term during stability moments due to the risks associated to the Brazilian economy. The results obtained provide evidence on the great increase in the debt`s volatility in 1999 and in 2002, periods that were distinguished by strong participation of bonds indexed to the exchange rate and SELIC rate. Since president Lula government it`s perceived a better fiscal result due to the evolution of the institutional environment, after the Real plan implementation, and also public debt`s volatile reduction. We emphasize also the return of a significant participation of fixed bonds, a fact that wasn`t observed since initial years of the Real plan implementation.

The drivers of human health and changing climate are important areas of environmental and atmospheric studies. Among many environmental factors present in our biosphere, small particles, also known as ultrafine particles or UFPs, have direct and indirect pathways to affect human health and climatic processes. The rapid change in their properties makes UFPs dynamic and often challenging to quantify their effect on health and radiative forcing. To reduce uncertainty in the climate effects of UFPs and to strengthen the evidence on health effects, accurate characterizations of physical and chemical properties of UFPs are needed. In this thesis, two broad aspects of UFPs were investigated: (1) the development of particle instrumentation to study particle properties; and (2) measurement of physical and chemical properties of UFPs relevant to human health and climate. These two broad aspects are divided into four specific aims in this thesis. The measurement of UFP concentration at different locations in an urban location, from roadside to various residential areas, can be improved by using a mobile particle counter. A TSI 3786 Condensation Particle Counter (CPC) was modified for mobile battery-power operation. This design provided high-frequency, one second time resolution measurements of particle number and carbon dioxide (CO2). An independent electric power system, a central controller and robust data acquisition system, and a GPS system are the major components of this mobile unit. These capabilities make the system remotely deployable, and also offer flexibility to integrate other analog and digital sensors. A Volatility Tandem Differential Mobility Analyzer (V-TDMA) system was designed and built to characterize the volatility behavior of UFPs. The physical and chemical properties of UFPs are often challenging to measure due to limited availability of instruments, detection limit in terms of particle size and concentration, and sampling frequency. Indirect methods such as V-TDMA are useful, for small mass (<1 µg/m3), and nuclei mode particles (<30nm). Another advantage of V-TDMA is its fast response in terms of sampling frequency. A secondary motivation for building a V-TDMA system was to improve instrumentation capability of our group, thus enabling study of kinetic and thermodynamic properties of novel aerosols. Chapter four describes the design detail of the built V-TDMA system, which measures the change in UFP size and concentration during heated and non-heated (or ambient) condition. The V-TDMA system has an acceptable penetration efficiency of 85% for 10 nm and maintains a uniform temperature profile in the heating system. Calibration of V-TDMA using ammonium sulfate particles indicated that the system produces comparable evaporation curves (in terms of volatilization temperature) or volatility profiles to other published V-TDMA designs. Additionally the system is fully programmable with respect to particle size, temperature and sampling frequency and can be run autonomously after initial set up. The thesis describes a part of yearlong study to provide a complete perspective on particle formation and growth in a rural and agricultural Midwestern site. Volatility characterizations of UFPs were conducted to enable inference about particle chemistry, and formation of low volatile core or evaporation resistant residue in the UFP in the Midwest. This study addresses identification of the volatility signature of particles in the UFP size range, quantification of physical differences of UFPs between NPF1 and non-NPF events and relation of evaporation resistant residue with particle size, seasonality and mixing state. K-means clustering was applied to determine three unique volatility clusters in 15, 30, 50 and 80 nm particle sizes. Based on the proposed average volatility, the identified volatility clusters were classified into high volatile, intermediate volatile and least volatile group. Although VFR alone is insufficient to establish chemical composition definitively, least volatile cluster based on average volatility may be characteristically similar to the pure ammonium sulfate. The amount of evaporation residue at 200 °C was positively correlated with particle size and showed significant correlation with ozone, sulfur dioxide and solar radiation. Residue also indicated the presence of external mixture, often during morning and night time. Air quality science and management of an accidental urban tire fire occurring in Iowa City in May and June of 2012 were investigated. Urban air quality emergencies near populated areas are difficult to evaluate without a proper air quality management and response system. To support the development of an appropriate air quality system, this thesis identified and created a rank for health-related acute and chronic compounds in the tire smoke. For health risk assessment, the study proposed an empirical equation for estimating multi-pollutant air quality index. Using mobile measurements and a dispersion model in conjunction with the proposed air quality index, smoke concentrations and likely health impact were evaluated for Iowa City and surrounding areas. It was concluded that the smoke levels reached unhealthy outdoor levels for sensitive groups out to distances of 3.1 km and 18 km at 24 h and 1h average times. Tire smoke characterization was another important aspect of this study which provided important and new information about tire smoke. Revised emission factors for coarse particle mass and aerosol-PAH and new emission factors and enhancement ratios values for a wide range of fine particulate mass, particle size (0.001-2.5 µm), and trace gas were estimated. Overall the thesis added new instrumentation in our research group to measure various physical properties such as size, concentration, and volatility UFP. The built instruments, data processing algorithm and visualization tools will be useful in estimation of accurate concentration and emission factors of UFP for health exposure studies, and generate a fast response measurement of kinetic and thermodynamics properties of ambient particles. This thesis also makes a strong case for the development of an air quality emergency system for accidental fires for urban location. It provides useful evaluation and estimation of many aspects of such system such as smoke characterization, method of air quality monitoring and impact assessment, and develops communicable method of exposure risk assessment.

In this paper, we reconsider the question how monetary policy influences exchange rate dynamics. To this end, a vector autoregressive (VAR) model is combined with a two-country dynamic stochastic general equilibrium (DSGE) model. Instead of focusing exclusively on how monetary policy shocks affect the level of exchange rates, we also analyze how they impact exchange rate volatility. Since exchange rate volatility is not observed, we estimate it alongside the remaining quantities in the model. Our findings can be summarized as follows. Contractionary monetary policy shocks lead to an appreciation of the home currency, with exchange rate responses in the short-run typically undershooting their long-run level of appreciation. They also lead to an increase in exchange rate volatility. Historical and forecast error variance decompositions indicate that monetary policy shocks explain an appreciable amount of exchange rate movements and the corresponding volatility. / Series: Department of Economics Working Paper Series