The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.

La loi monétaire de septembre 1939 interdit la détention, le commerce, l’importation et l’exportation de l’or enFrance. Un marché clandestin s’est alors créé en 1941 et fonctionne jusqu’en janvier 1948. La loi du 2 février1948 a rendu la liberté au commerce de l’or en France. Ainsi, un marché officiel de ce métal précieux est-ilouvert à la Bourse de Paris. Après 56 ans d’existence, il est fermé en juillet 2004. Depuis cette date, le marché del’or en France est un marché de gré à gré où le prix d’équilibre est déterminé par la Compagnie Parisienne deRéescompte. Malgré cette riche histoire, le marché de l’or à Paris depuis 1941 n’a jamais été étudiéscientifiquement jusqu’à maintenant. Afin de l’explorer, cette thèse est divisée en deux parties distinctes. Lapremière l’étudie sous l’angle historique. Nous analysons son évolution en le rattachant aux événements del’histoire le qualifiant de plusieurs statuts différents : un marché clandestin de 1941 à 1948 (chapitre 1), unmarché réglementé de 1948 à 2004 (chapitres 2 et 3) et un marché de gré à gré de 2004 à 2009 (chapitre 4). Ladeuxième partie de la thèse étudie le marché de l’or à Paris sous l’angle financier. Les résultats du chapitre 5montrent que l’hypothèse de l’efficience informationnelle du marché parisien de l’or ne semble pas être validée.Dans le chapitre 6, nous trouvons que l’or coté à Paris (le lingot et la pièce napoléon) est moins rentable à longtermeque les actions. Cependant, il est aussi risqué que ces dernières et quatre fois plus risqué que lesobligations. Contrairement à la littérature anglo-saxonne, nous trouvons, dans le chapitre 7, que l’or n’est pas unbon moyen de protection contre l’inflation en France. De même, l’or coté à Paris n’est favorable dans ladiversification des portefeuilles français que durant les périodes où son prix a une tendance haussière. / The monetary law of September 1939 forbids possession, trade, import and export of gold in France. Aclandestine market was then created in 1941 and operates until January 1948. The law of February 2nd, 1948turned back the liberty to the gold trade in France. Thus, an official market was opened at the Paris StockExchange. After 56 years of existence, it was closed in July 2004. Since then, the gold market in France is anover the counter market where price is fixed by the Compagnie Parisienne de Réescompte. In spite of this veryrich history, the Paris Gold Market from 1941 has never been studied scientifically before. In order to explorethis market, our thesis is divided in two distinct parts. The first one concerns the historical analysis. We presentthe evolution of the market in parallel with the historical events which describe it by different natures: aclandestine market from 1941 to 1948 (chapter 1), an official market from 1948 to 2004 (chapters 2 and 3) andan over the counter market from 2004 until now (chapter 4). The second part of the thesis analyzes the financialaspects of the Paris gold market. The results of the chapter 5 show that the efficient market hypothesis seems notto be validated. In the chapter 6, we find that gold quoted at Paris (ingot and napoleon coin) are less profitablethan stocks in the long-term. Nevertheless, they have the same level of risk than these latters and are four timesmore risky than bonds. Contrarily to the Anglo-Saxon literature, we find, in the chapter 7, that gold is not a goodhedge against inflation in France. At the same time, gold quoted at Paris is favorable in the diversification ofFrench portfolios only in the periods when its price has an upward trend.

O objetivo principal deste trabalho é identificar quais são os possíveis impactos que a adoção de um novo modelo de contratação de empreendimentos populares pela Caixa Econômica Federal (CAIXA) tem sobre a promoção da inovação e da sustentabilidade na cadeia brasileira da construção civil. Apesar de possuir diversas definições, o conceito mais aceito de sustentabilidade é a capacidade de atender as necessidades do presente sem impedir que as futuras gerações satisfaçam suas necessidades. O movimento em prol da sustentabilidade vem se fortalecendo rapidamente no mundo no início deste século XXI, instigando a sociedade civil a repensar seu comportamento de consumo, impactando diretamente sobre o comportamento de produção das empresas. Neste processo de mudança, a capacidade de inovar, isto é, de produzir novos conhecimentos ou aplicar de maneira diferentes conhecimentos existentes, é estratégica para que as empresas possam se adaptar a este novo contexto em que a sustentabilidade é requisito de participação no mercado. Um modelo de compra estratégica de empreendimentos populares baseado em desempenho, ao modificar a metodologia de seleção, contratação e acompanhamento das construtoras se apresenta como uma maneira do Estado influenciar o setor brasileiro da construção civil em direção à sustentabilidade. Através de uma pesquisa exploratória teórica, apresentamos uma forma de aplicação do modelo de compra estratégica baseada em desempenho desenvolvida nos Estados Unidos no início dos anos 1990 e identificamos seu potencial em estimular a sustentabilidade, devido principalmente à maneira como são descritas as características dos empreendimentos a serem construídos, e a inovação, devido à maneira como se dá a relação entre proponentes e a CAIXA durante o processo de seleção dos empreendimentos. A principal conclusão desta pesquisa é que o modelo apresentado tem um potencial muito maior que o atual em promover a inovação e a sustentabilidade no setor brasileiro da construção civil, uma vez que apresenta novos papéis e uma nova dinâmica de relacionamento entre todos os agentes envolvidos na implantação da política pública de habitação. / The main purpose of this research is to identify the possible impacts the adoption of a new purchasing model of popular buildings by Caixa Econômica Federal (CAIXA) has on the promotion of innovation and sustainability in the Brazilian building chain. Despite several definitions, the most accepted concept of sustainable development is the development which meets the needs of the present without compromising the ability of future generations to meet their own needs. The sustainability movement is quickly getting stronger in the beginning of the 21st century, urging civil society to rethink its consumption pattern. This has a direct impact over companies production pattern. On this change process, the ability to innovate, that is, to develop new knowledge or apply in different matters the existing knowledge, is strategic to companies adapt to this new context where sustainability is a condition to keep in market. A performance-based procurement model of popular housing, once it modifies the methodology of selection, award and monitoring building companies, becomes a way to the State promote the Brazilian building sector towards sustainability. Through a theoretical exploratory research, we present a model of performance-based procurement developed in the USA in the 1990´s and we identify its potential to promote sustainability and innovation, mainly due to the way the request for proposal is done. The main finding of this research is that the presented model has a greater potential than the actual one to foster innovation and sustainability in the Brazilian building sector, once it presents new roles and a new relationship dynamics among all agents involved in the implementation of the public housing policy.

This thesis investigates the complex dynamics of foreign exchange (FX) risk affecting Swedish multinational corporations and their financial performance, with a focus on the impact of company size and periods of economic crisis. Amidst global economic interdependencies, these entities encounter substantial FX risks, primarily due to the volatility of the Swedish Krona (SEK) against major currencies. Utilizing a comprehensive dataset spanning from 2004 to 2023, this study employs an empirical approach grounded in the International Capital Asset Pricing Model (ICAPM) and Purchasing Power Parity (PPP) to analyze the correlation between currency fluctuations and stock valuations. The analysis reveals that both company size and economic crises significantly modulate the effects of FX risks, with larger companies often better positioned to manage these risks through sophisticated hedging strategies. Smaller firms, conversely, show greater sensitivity to economic disruptions, particularly during crises which heighten the volatility of FX impacts. The findings indicate that FX risks significantly influence the financial outcomes of these firms, with both direct impacts on stock returns and indirect effects through operational strategies. The thesis underscores the importance of robust risk management strategies and the potential for policy adjustments to mitigate adverse effects from currency volatility. The insights derived from this research aims to contribute to a deeper understanding of the financial economics of foreign exchange, providing implications for investors and multinational corporations operating in global markets.

En 2014, quel est le « sens de l’habiter »? L’évolution de la législation française engendre un processus de marchandisation du logement social, déjà amorcé. « Grands ensembliers » et professionnels du logement s’associent pour développer une nouvelle offre d’habitat social à destination des classes moyennes intermédiaires. La montée des classes moyennes mondiales et la crise économique produit des modes de consommer différenciés et une demande de logements prenant en considération de nouvelles tendances sociétales. Le regain d’intérêt depuis les années 2000 pour l’habitat alternatif (notamment le cohousing), positionne l’innovation dans l’habitat dans une démarche de co-construction (constructeur, architecte, sociologue). Ces effets de contexte s’inscrivent dans une démarche compréhensive de la diversité des pratiques habitants des classes moyennes. L’hétérogénéité de ce groupe social, à travers des modes de vie pluriels, illustre le déploiement de stratégies et de choix résidentiels qui rendent compte d’un rapport à l’autre singulier, d’un rapport au monde spécifique ; dont les « grands ensembliers » s’essaient à en saisir le sens et la complexité. / In 2014, what is the "sense of living"? The evolution of French legislation creates a social housing commodification process already begun. "Large contractors" and housing professionals join forces to develop a new offer of social housing to intermediate middle class. The rise of the global middle class and the economic crisis produces differentiated patterns of consumption and housing demand considering new societal trends. The renewed interest since the 2000s for alternative housing (including cohousing) positions innovation in housing in a co-construction approach (builder, architect, sociologist). These context effects are part of a comprehensive approach to the diversity of the inhabitants of the middle class practices. The heterogeneity of this social group, through plural lifestyles, illustrates the deployment strategies and residential choices that reflect a singular relative to each other, a report to the specific world; whose "big contractors" is trying to grasp the meaning and complexity.

En 2014, quel est le « sens de l’habiter »? L’évolution de la législation française engendre un processus de marchandisation du logement social, déjà amorcé. « Grands ensembliers » et professionnels du logement s’associent pour développer une nouvelle offre d’habitat social à destination des classes moyennes intermédiaires. La montée des classes moyennes mondiales et la crise économique produit des modes de consommer différenciés et une demande de logements prenant en considération de nouvelles tendances sociétales. Le regain d’intérêt depuis les années 2000 pour l’habitat alternatif (notamment le cohousing), positionne l’innovation dans l’habitat dans une démarche de co-construction (constructeur, architecte, sociologue). Ces effets de contexte s’inscrivent dans une démarche compréhensive de la diversité des pratiques habitants des classes moyennes. L’hétérogénéité de ce groupe social, à travers des modes de vie pluriels, illustre le déploiement de stratégies et de choix résidentiels qui rendent compte d’un rapport à l’autre singulier, d’un rapport au monde spécifique ; dont les « grands ensembliers » s’essaient à en saisir le sens et la complexité. / In 2014, what is the "sense of living"? The evolution of French legislation creates a social housing commodification process already begun. "Large contractors" and housing professionals join forces to develop a new offer of social housing to intermediate middle class. The rise of the global middle class and the economic crisis produces differentiated patterns of consumption and housing demand considering new societal trends. The renewed interest since the 2000s for alternative housing (including cohousing) positions innovation in housing in a co-construction approach (builder, architect, sociologist). These context effects are part of a comprehensive approach to the diversity of the inhabitants of the middle class practices. The heterogeneity of this social group, through plural lifestyles, illustrates the deployment strategies and residential choices that reflect a singular relative to each other, a report to the specific world; whose "big contractors" is trying to grasp the meaning and complexity.

The thesis focuses on the question of undervaluation of the renminbi exchange rate to the U.S. dollar from the perspective of three selected alternative methods of calculating long term equilibrium exchange rate. In the case of calculations of behavioral equilibrium exchange rate and the natural real exchange rate, I performed calculations by using vector error correction model. In the case of fundamental equilibrium exchange rate I used error correction model. The input data used in the models are ranging from 1980 to 2010. Those are primarily value of nominal exchange rates, price levels and foreign trade. According to my results behavioural and fundamental equilibirum exchange rate show undervaluation of the renminbi to the year 2010, while the natural real exchange rate indicates a slight overvaluation of the renminbi to the year 2010.

Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste. / Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.

Made available in DSpace on 2016-03-15T19:26:16Z (GMT). No. of bitstreams: 1 Helene Albuquerque Rebelo 1.pdf: 1046658 bytes, checksum: 341e6608b9c7f265ac5e1303f07c7667 (MD5) Previous issue date: 2014-10-23 / Fundo Mackenzie de Pesquisa / The dissertation examines the behavior of the exchange rate in the long term from the perspective of the classical model of purchasing power parity theory (PPP), developed empirically by Cassel and the alternative model proposed by Basso originating from the Marxist benchmark, which emphasizes prices and productivities to determine the exchange rate. The exchange rate behavior is examined for three countries over the 1977-2006 period, with annual frequency. To test the models, it was used the consumer price index (CPI), the GDP, the value-added price index and gross producer price index (EU KLEMS database). The essay uses the causality tests of Johansen, the Dickey-Fuller and Phillips-Perron unit root tests, the VAR (vector autoregression) and VEC (vector error correction) models and performing a projection with the Model Confidence Set. It is ascertained that PPP was not supported for any of the 12 models generated. In Basso s approach, the 48 models generated, cointegration was found in only four models, therefore it is not possible to generalize the new model. / A dissertação examina o comportamento da taxa de câmbio no longo prazo sobre a perspectiva do modelo clássico da paridade do poder de compra (PPC) ou purchasing power parity theory (PPP), desenvolvido empiricamente por Cassel e do modelo alternativo proposto por Basso oriundo do referencial marxista, enfatizando preços e produtividades para determinar a taxa de câmbio. Examina-se o comportamento da taxa de câmbio para três países no período de 1977 a 2006, com frequência anual. Para testar os modelos, foram empregados o índice de preço ao consumidor (IPC), o deflator do PIB, o deflator dos valores agregados e o deflator de produção total (base de dados EU KLEMS). O trabalho utiliza o teste de causalidade de Johansen, os testes de raiz unitária de Dickey e Fuller e Phillips-Perron, os modelos de VAR (vetores autorregressivos) e VEC (vetores autorregressivos com correção de erro) e é feito projeção com Model Confidence Set. Constata-se que a PPP não foi corroborada para nenhum dos 12 modelos gerados. Na abordagem de Basso, dos 48 modelos gerados, encontrou-se cointegração apenas em quatro, portanto, não é possível generalizar o novo modelo.

Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste. / Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.