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[pt] Desde o século XVI, já existia a idéia de que o poder de compra deveria influenciar no valor de cada moeda. A fim de se entender as relações entre câmbio e inflação, modelos autoregressivos lineares sempre apresentaram dificuldades para superar o passeio aleatório. Possíveis fricções em operações cambiais podem dificultar a arbitragem próxima do câmbio de equilíbrio considerado pelos agentes financeiros. À medida em que se distancia do valor considerado justo, a convergência se torna mais intensa, pois os custos já não seriam uma parcela tão relevante para o lucro potencial da operação. No modelo não-linear proposto, há dois regimes diferentes: um próximo do equilíbrio (comportamento de passeio aleatório) e um comportamento longe dele ocorrendo simultaneamente, mas com pesos variáveis. A depender do nível do câmbio em relação ao equilíbrio, um regime ganha mais peso e outro perde relevância. Essa tese tem o objetivo de avaliar o caráter preditivo do movimento cambiais. O modelo não-linear ESTAR é usado para montar cestas de moedas a serem compradas e vendidas e o retorno advindo de oscilações cambiais é computado. Por fim, incorporamos os efeitos de juros ao modelo para montar portfólios de moedas a fim de simular o retorno de um investimento usando essa estratégia. Para as cestas de moedas, o modelo gerou bons retornos e baixos riscos, tanto em termos de desvio padrão quanto em termos de drawdown. Tal característica foi observada no modelo in-sample e no out-of-sample o que indica um forte caráter preditivo. Levando em conta o efeito dos juros, os portfólios com menos moedas apresentaram retornos positivos, porém essa vantagem é perdida ao se aumentar a quantidade de moedas. / [en] Since the sixteenth century, there was already the idea that purchasing power should influence the value of each currency. In order to understand the relationship between exchange rate and inflation, linear autoregressive models always presented difficulties to beat the random walk. Possible frictions in foreign exchange operations may hinder arbitrage close to the equilibrium exchange rate considered by financial agents. As the exchange rate distances itself from the value considered fair, the convergence becomes more intense, because the costs would no longer be so relevant to the potential profit of the operation. In the proposed nonlinear model, there are two different regimes: one near equilibrium (random walk behavior) and one behavior away from it occurring simultaneously, but with variable weights. For different levels of the exchange rate relative to the equilibrium, one regime gains more weight and the other loses relevance. This thesis aims to evaluate the predictive nature of the exchange rate movement. The nonlinear model ESTAR is used to create baskets of currencies to be bought and sold and the aggregate return based on exchange rate movements is computed. Finally, we consider the interest rate effects on the model to set up currencies portfolios in order to simulate the return on an investment using this strategy. For the baskets of currencies, the model generated good returns and low risks, based on both standard deviation and drawdown. This characteristic was observed in the in-sample model and in the out-of-sample model, which indicates a strong predictive power. Considering the interest effect, portfolios with fewer currencies showed positive returns, but this advantage is lost by increasing the number of currencies.

¡@¡@The purpose of this research is to employ the STAR model in discussing and analyzing the relationship between stock index and macroeconomic variables in Taiwan, Japan and Korea. ¡@¡@Monthly stock market index data is analyzed over the period January 1990 to December 2000, with the sample period from January 2001 to April 2005 being used in an out-of -sample forecasting exercise. The macroeconomic variables considered in this paper include money supply, consumer price index, industrial production index, interest rate and exchange rate. ¡@¡@The empirical results of Taiwan, Japan and Korea show that LSTAR & ESTAR model improve both the in-sample fit and out-of-sample forecast of the data over both the linear model alternative.

In an effort to assess the predictive ability of exchange rate models when data on African countries is sampled, this paper studies nonlinear modelling and prediction of the nominal exchange rate series of the United States dollar to currencies of thirty-eight African states using the smooth transition autoregressive (STAR) model. A three step analysis is undertaken. One, it investigates nonlinearity in all nominal exchange rate series examined using a chain of credible statistical in-sample tests. Significantly, evidence of nonlinear exponential STAR (ESTAR) dynamics is detected across all series. Two, linear models are provided another chance to make it right by shuffling to data on African countries to investigate their predictive power against the tough random walk without drift model. Linear models again failed significantly. Lastly, the predictive ability of nonlinear models against both the random walk without drift and the corresponding linear models is investigated. Nonlinear models display useful forecasting gains over all contending models.

Submitted by Winston Chun (winston.chun@gmail.com) on 2011-09-08T04:15:02Z No. of bitstreams: 1 Dissertacao VFINAL.pdf: 252650 bytes, checksum: 8b08b5f955a557fe1c18b78a33d10bda (MD5) / Rejected by Gisele Isaura Hannickel (gisele.hannickel@fgv.br), reason: Prezado Winston, O trabalho postado está com as folhas invertidas, deve seguir a seguinte sequencia: 1 - capa 2 - contra-capa 3 - ficha catalográfica 4 - folha de assinaturas. Em caso de dúvidas, favor acessar o caminho: http://bibliotecadigital.fgv.br/site/bkab/normalizacao Att, Gisele Hannickel Secretaria de Registro on 2011-09-08T12:44:39Z (GMT) / Submitted by Winston Chun (winston.chun@gmail.com) on 2011-09-08T13:30:24Z No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T13:43:33Z (GMT) No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T13:43:46Z (GMT) No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Made available in DSpace on 2011-09-08T13:44:03Z (GMT). No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) Previous issue date: 2011-08-08 / Esta dissertação tem com objetivo avaliar uma das implicações da hipótese de expectativas para a estrutura a termo de taxa de juros brasileira. Utilizando testes lineares tradicionais e através da reprodução de testes não lineares TAR de Enders e Granger (1998) e ESTAR Kapetanios e Shin (2003) conclui-se que a hipótese de expectativas não é totalmente válida para a ETTJ do Brasil, além disso, são encontradas evidências de não linearidade nas séries de spreads que demandam mais pesquisa sobre o assunto. / This dissertation has the aim to evaluate one of the implications of expectation hypothesis in Brazilian term structure of interests. Using traditional linear tests and through the reproduction of nonlinear Threshold Autoregressive (TAR) tests of Enders and Granger (1998) and Exponential Smooth Transition Autoregressive (ESTAR) of Kapetanios and Shin (2003) the conclusion is that expectation hypothesis is not totally valid for Brazil, besides that, some evidences of non-linearity in spreads series were found then more research is needed on the subject.

Cette thèse étudie les performances du marché du travail dans une économie susceptible de présenter plusieurs équilibres, et les implications d’une telle configuration pour la politique économique. Elle comporte quatre essais, traitant chacun d’un aspect spécifique de cette problématique. En premier lieu, l’analyse économétrique des séries temporelles de taux de chômage de quelques pays de l’OCDE, permettant notamment l’identification des changements de régimes et de leurs caractéristiques, apporte des évidences significatives à l’appui de l’hypothèse d’une multiplicité d’équilibres. En second lieu, on étudie les effets de l’introduction d’un salaire minimum obligatoire et d’une hausse de celui-ci dans un modèle statique de concurrence imparfaite avec négociations salariales au niveau de la firme, le facteur travail étant hétérogène. Si la hausse du salaire minimum est défavorable à l’emploi,l’introduction d’un salaire minimum en présence d’une multiplicité d’équilibres permet d’éliminer l’équilibre Pareto-inférieur. En troisième lieu, on étudie également les implications de l’existence d’équilibres multiples pour les politiques économiques, du fait de l’altération des propriétés dynamiques de l’économie, à travers l’analyse complète d’un modèle dynamique de concurrence imparfaite avec des négociations salariales individuelles et des frictions d’appariement sur le marché du travail. Enfin, on montre grâce à l’outil expérimental dans quelle mesure l’introduction d’une variable dite de tâche solaire, peut être source de défaut de coordination et d’inefficience dans une économie possédant deux équilibres Pareto-ordonnés. / This thesis analyzes the performances of labor market in an economy subject to multiple equilibria and the implications of such a configuration for economic policy. It contains four pieces of research, each dealing with a particular aspect of the general setting. First, the econometric analysis of the unemployment time series for several OECD countries,which allows the identification of regime switches and their characteristics, brings forth some significant evidence that the multiple equilibria framework is relevant. Second, the effect of the implementation and of the rise of the minimum wage are investigated through a static model, assuming imperfect competition, heterogeneous labor input and wage negotiations at the firm level. Though minimum wage hikes have an adverse effect on employment, the implementation of a binding minimum wage turns out to be an efficient tool for excluding the Pareto- inferior equilibrium. Third economic policy conditions are also affected because the existence of multiple equilibria alters the dynamic properties of the economy. This case has been investigated in the framework of a fully dynamic model assuming imperfect competition individual wage negotiations and matching frictions. Finally, a coordination game experiment confirms that the introduction of a sunspot can be a source of coordination failure and inefficiency in an economy with two Pareto-ranked equilibria.