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Estrutura a termo de taxa de juros brasileira: investigando a presença de não linearidadeChun, Winston Seung Hyun 08 August 2011 (has links)
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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.
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Chômage et politique économique dans un contexte d'équilibres multiples. / Unemployment and Economic Policy in a Multiple Equilibria Framework.Beugnot, Julie 01 June 2010 (has links)
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.
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貨幣需求結構改變與金融變數轉折區間:變數模糊時間序列模型 / Testing for the Financial variable's Interval of Structure Change of Money Demand : Fuzzy Time Series in Variable李建興, Lee, Jen-Sin Unknown Date (has links)
本文研究台灣貨幣需求結構改變,我們研究「變數」值(Piecewise in Variable)的結構轉折而非「時間」值(Piecewise in Time),因為轉折點只是轉折區間的特例,所以本文建立一「變數模糊時間序列」(Fuzzy Time Series in Variable)模型來探討「變數的轉折區間」,相較於傳統時間序列研究方法如:時間序列模型、門檻轉折點模型與模糊時間序列模型等,本文所建立的變數模糊時間序列模型,所求取的股價轉折區間,不僅可改善對稱模型殘差項的非隨機現象,同時也改善了門檻轉折模型之轉折點股價指數太低的現象,並且有效地將轉折點變更為較一般化的轉折區間,足見本文所提出變數模糊時間序列模型在結構轉折的偵測上具有相對優勢,詳述如下:
(一)、相較於對稱模型方面:變數模糊時間序列模型可避免對稱模型估計貨幣需求函數所產生的偏差,並且有效改善其殘差項具有非白噪音現象。
(二)、相較於門檻轉折模型方面:1.變數模糊時間序列模型較能有效驗證以下假說:貨幣需求的股價指數彈性在高股價區時較大,以及貨幣需求的所得彈性在高股價區時較小。2.變數模糊時間序列模型所求出的股價指數轉折區間水準值,對央行目前及未來貨幣政策較具實用性,3. 變數模糊時間序列模型再預測貨幣需求時,未如門檻轉折模型產生高估的偏誤。
(三)、相較於傳統模糊時間序列模型方面:變數模糊時間序列模型已改善傳統模糊時間序列模型的結構轉折區間太長之不合理現象。
(四)、相較於以「時間」為轉折的傳統時間序列模型方面:當貨幣需求函數的重要解釋變數在短時間持續發生較大幅度變化時,傳統時間序列模型可能無法診斷出結構轉變的缺失,本文的變數模糊時間序列模型可避免此一缺失。
(五)、在政策的應用上:
1. 中央銀行若未將資料,區分高低股價指數來分段估計貨幣需求函數,將使貨幣需求的所得彈性抑或是狹義貨幣需求的股價指數彈性的估計,產生頗大的偏誤。
2. 經建會在計算台灣地區的景氣對策信號中,其金融面指標同時包括有M1B貨幣供給的增加率與股價指數變動率,如此將造成在高股價指數下,股價指數上揚時高估了台灣地區的景氣狀況,而在股價指數下降時,則反之。
另外,由於台灣欠缺貨幣需求函數的重要解釋變數「所得」的月資料,以往文獻以工業生產指數等為替代變數以估計月貨幣需求函數,本文不僅證明這些方法的缺失,並提出「模糊距離權數法」來估計出月國內生產毛額資料,此一資料不僅可避免月工業生產指數等方法的三項缺失,而且在貨幣需求的估計上與預測上均有較佳的表現。 / Whether the ”money demand function” makes “structural change” happened or not ,that is crucial research for the monetary theory field. Therefore, many foreign and domestic papers have ever made studies on this. There have two major methods of study structural change. The first method is piecewise in time that is so popular and so many lecture study by it e.g. Juda and Scadding(1982), Shen(1999) ,Lin and Huang(1999),etc . Tsay(1989) had proposed a new methoed that is piecewise in variable . Distinct situation is suitable in using the two methods .We have two reasons to use the new method to study the structural change of Taiwan’s money demand function. First one is that Friedman(1988,Paul(1992),Wu and Shea(1993)and Shen(1996) find the trade-volume of stock market or stock price are the important factors of money demand function. TSE is 12495 in February of 1990 and 2573 in October of 1990. TSE is changing so huge but all the Papers of piecewise in time can’t detect the structural change of Taiwan money demand. The second reason is that to detect the ” interval of financial variable” of structural change of Taiwan money demand is more benefit to the Central Bank than to detect the ” past time point” of structural change. To detect the ” interval of financial variable” of structural change of Taiwan money demand is much convenient matters for monetary policy of Center Bank from now and future.
Our research propose “fuzzy time series in variable” try to find the ” smoothing interval of financial variable” of structural change of money demand . Our method has two major benefits as follow:
1. Difference to TAR model: The TAR model find out the ” point of financial variable” of structural change. It seems metaphorically money demand function’s structural change suddenly. Our method find out the ” interval of financial variable” of structural change .It’s more reasonable that structural change of money demand function is gradually.
2. Difference to STAR model: So many STAR(Smooth Transition Autoregressive )papers also find out the Gradual Transition Interval .For example: Terasvirta and Anderson(1992), Sarantis(1999) etc. But those lectures have the following point on why our method can improve it (a).STAR is piecewise in time. (b). STAR investigate structural change by just one variable AR process. But economists concern the structural change of variables. (c). The power of STAR to detect structural change is too weak.
3. We propose new summation average entropy formula that can improve the interval of structural change too longer.
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