Partendo dalla constatazione della sempre maggiore complessità del contesto economico e sociale nazionale ed internazionale, imputabile da un lato al processo di integrazione economico e monetario europeo, e dall'altro alla progressiva decentralizzazione dei poteri a livello regionale, la tesi intende proporsi come uno strumento analitico di supporto al decisore. A tal fine, in base a dati annui di fonte ISTAT-SVIMEZ per il periodo 1970-2003, viene sviluppato un modello econometrico regionale 'globale' per il mercato del lavoro italiano, estendendo un precedente modello mono-regionale proposto da Baussola (2003), ad un contesto pluri-regionale. Il modello conduce non solo a rappresentare soddisfacentemente i mercati regionali italiani, ma opera altresì efficacemente nel ricostruire i valori delle variabili a livello nazionale. Il modello si conferma robusto ed efficace nel rappresentare le realtà regionali, anche nell'ottica di analisi propria dell'econometria delle serie storiche. / The starting point of this thesis is the remark that recent decades have been characterized by a rising complexity in the economic and political context both at the national and international level. This is due both to the European economic and monetary integration process and to the regional decentralisation process. With the aim of providing a useful tool of analysis for the decision-maker,. a 'global' regional model for the Italian labour market has been constructed on the basis of annual data from ISTAT-SVIMEZ over the 1970-2003 period. This model could be viewed as an extension to a multi-regional framework of the previous one-region model developed by Baussola (2003). The model shows good performance not only in representing regional labour market specificities, but also in reproducing national variable values. It is also robust and effective in a time-series context.

本研究係探討匯率與總體經濟之關聯性，以中國大陸1996第一季至 2013年第一季之總體經濟變數，共計樣本數為69筆季資料。先以1996第一季至 2013年第一季全期數據進行實證分析。再以2005年7月為分界點，分為1996年第一季至2005年第二季及2005年第三季至2013年第一季數據分別進行實證分析。 本論文就REER、GDP、CPI、M2、UNEMP、CHIBOR、FDI、OPEN等總體經濟變數，以單根檢定及建構向量自我迴歸模型進行實證分析，並以Granger因果關係檢定、衝擊反應分析及預測誤差變異數分解，以了解匯率與總體經濟相互間之關係。 實證結果發現，中國大陸匯率與總體經濟間的關係自2005年7月21日匯率改革後逐漸增強，但整體言之匯率與總體經濟間之傳導能力仍然不大，人民幣匯率的變動主要受其自身影響較多，受總體經濟變數的相互影響較小，顯示其外匯市場的開放程度與一個真正開放的經濟體還是有些許差距。 / This research examines the correlation between foreign exchange rates and macroeconomics by using the data of economic variables of China from the 1st quarter of 1996 to the 1st quarter of 2013. The sample contains 69 quarterly data during the entire period, while the reform of Chinese exchange rate on 21st July 2005 is a crucial division. In order to find the correlation between foreign exchange rates and macroeconomics, the research examines the economic variables such as REER, GDP, CPI, M2, UNEMP, CHIBOR, FDI, and OPEN by using unit root test, vector autoregression model, Granger causality test, impulse response function and variance decomposition impulse response function. The result of the tests indicates that after the reform of Chinese exchange rate on 21st July 2005, the correlation between exchange rates and macroeconomics has been enhanced, but the connection is not prominent. In other words, the fluctuation of Renminbi is mainly affected by the nation’s policy instead of its macroeconomic factors. Hence, the openness of the Chinese foreign exchange market is still distant from a real open economy.

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In this paper we examine the short and long-term relations between stock price, book value and residual income.  We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.

In time series models, autoregressive processes are one of the most popular stochastic processes, which are stationary under certain conditions. In this study we consider nonstationary autoregressive models of order one, which have iid random errors. One of the important nonstationary time series models is the unit root process in AR (1), which simply implies that a shock to the system has permanent effect through time. Therefore, testing unit root is a very important problem. However, under nonstationarity, any estimator of the autoregressive coefficient does not have a known exact distribution and the usual t &ndash / statistic is not accurate even if the sample size is very large. Hence,Wiener process is invoked to obtain the asymptotic distribution of the LSE under normality. The first four moments of under normality have been worked out for large n. In 1998, Tiku and Wong proposed the new test statistics and whose type I error and power values are calculated by using three &ndash / moment chi &ndash / square or four &ndash / moment F approximations. The test statistics are based on the modified maximum likelihood estimators and the least square estimators, respectively. They evaluated the type I errors and the power of these tests for a family of symmetric distributions (scaled Student&rsquo / s t). In this thesis, we have extended this work to skewed distributions, namely, gamma and generalized logistic.

The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill.  Also an analytic approximation and a parameter estimation procedure to a stochastic volatility option-pricing model are developed.  Generally, the large valuation differences and hedging errors that occur for different assumptions about the price process indicate the importance of an appropriately specified price process.  The dissertation provides examples of this. The question of whether commodity prices are mean reverting or follow a random walk is also studied.  Using a large database with close to 300 different commodities, econometric tests favour a random walk.  There are very few exceptions.  However, when applied to an option pricing model, the time-inhomogeneous mean reverting process gives smaller hedging errors than the traditional Black-Scholes model based on a random walk.  The results are therefore inconclusive, although mean reversion seems more predominant than econometric tests reveal. / Diss. Stockholm : Handelshögskolan, 2003

Submitted by Vagner Enrico Castilho Alves (vagneralves@gmail.com) on 2014-08-26T17:29:47Z No. of bitstreams: 1 MPFE_Dissertacao_Vagner Enrico Castilho Alves_VF.pdf: 1506529 bytes, checksum: 5f1fd3e54f60edb8c87d8542948d2b57 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-26T18:38:27Z (GMT) No. of bitstreams: 1 MPFE_Dissertacao_Vagner Enrico Castilho Alves_VF.pdf: 1506529 bytes, checksum: 5f1fd3e54f60edb8c87d8542948d2b57 (MD5) / Made available in DSpace on 2014-08-26T18:40:31Z (GMT). No. of bitstreams: 1 MPFE_Dissertacao_Vagner Enrico Castilho Alves_VF.pdf: 1506529 bytes, checksum: 5f1fd3e54f60edb8c87d8542948d2b57 (MD5) Previous issue date: 2014-08-08 / Este trabalho procurar analisar a validade da Paridade do Poder de Compra entre regiões metropolitanas do Brasil através do Índice de Preços do Consumidor Amplo (IPCA). Para isso foram realizados testes de raiz unitária para modelos lineares e não lineares, sobre cinco grupos do IPCA: Índice Geral, Administrados, Bens Comercializáveis, Bens Não Comercializáveis e Alimentos no Domicílio. O banco de dados utilizado compreende o período de 1991 a 2013 e os testes foram realizados sobre 550 séries, comparando-se todos os pares possíveis de regiões. Sob o modelo linear, não foi possível validar a PPC para a maioria das séries através do teste de raiz unitária DF-GLS, o que é diferente do esperado, uma vez que a análise intranacional elimina os efeitos da taxa de câmbio e reduz a influência dos custos de transações sobre as condições de arbitragem. Já o resultado do modelo não linear, realizado através do teste de Kapetanios, confirmou a estacionariedade de 203 séries, de tal forma que podemos afirmar que a PPC é válida para praticamente todos os pares possíveis de regiões metropolitanas abrangidas pelo IPCA nos cinco grupos estudados. Além disso, é possível observar que as séries apresentam maiores desvios entre os anos de 1991 e 1994, período marcado por grande instabilidade macroeconômica no Brasil e de sucessivos planos econômicos que não funcionaram. Após o início do plano real, em 1994, a relação da variação de preços entre regiões apresenta menor volatilidade e uma convergência mais rápida. / This paper analyses the validity of Purchasing Power Parity (PPP) between metropolitan regions of Brazil through the Consumer Price Index (IPCA). For this, we conducted unit root tests for linear and nonlinear models, on five groups of the IPCA: General Index, Regulated Prices, Tradable Goods, Non Tradable Goods and Food at Home. The database covers the period of 1991-2013 and the tests were conducted on 550 series, comparing all possible pairs of regions. On the linear model, it was not possible to validate the PPP for most of the series through the DF-GLS unit root test, which was not expected since the intra-national analysis should eliminate the effects of exchange rate and reduce the influence of transaction costs on arbitrage conditions. However, the result of the linear model, done through the Kapetanios test, confirmed the stationarity of 203 series, such that is possible to validate the PPP for almost all pairs of metropolitan areas covered by the IPCA in the five studied groups. Moreover, one can observe that the series have large deviations between the years of 1991 and 1994, a period marked by great macroeconomic instability in Brazil and successive economic plans that have not worked. After the beginning of the Real Plan in 1994, the ratio of the change in prices between regions stabilizes, presenting a low volatility and a short term convergence.

Submitted by Oscar Simoes (oscar.simoes@citi.com) on 2011-09-06T20:01:02Z No. of bitstreams: 1 Dissertação Oscar Simoes FINAL.pdf: 585897 bytes, checksum: 7cd8393ba1823e9dcfc4bde821b40736 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T12:46:40Z (GMT) No. of bitstreams: 1 Dissertação Oscar Simoes FINAL.pdf: 585897 bytes, checksum: 7cd8393ba1823e9dcfc4bde821b40736 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T12:48:10Z (GMT) No. of bitstreams: 1 Dissertação Oscar Simoes FINAL.pdf: 585897 bytes, checksum: 7cd8393ba1823e9dcfc4bde821b40736 (MD5) / Made available in DSpace on 2011-09-08T12:48:49Z (GMT). No. of bitstreams: 1 Dissertação Oscar Simoes FINAL.pdf: 585897 bytes, checksum: 7cd8393ba1823e9dcfc4bde821b40736 (MD5) Previous issue date: 2011-08-12 / Este trabalho tem três objetivos básicos, tendo como base um banco de dados de taxas reais de câmbio entre Brasil e 21 parceiros comerciais no período de 1957 a 2010. O primeiro objetivo é o de verificar a validade da Paridade do Poder de Compra entre Brasil e seus parceiros comerciais através de três testes de raiz unitária (ADF, PP, KPSS). Para a maioria dos países, os testes de raiz unitária foram inconclusivos ou não rejeitaram raiz unitária quando foram utilizados dados mensais e modelos lineares. Já para dados de periodicidade anual, houve maior aceitação de estacionariedade, além de um número menor de resultados inconclusivos. O segundo objetivo é o de investigar a hipótese em Taylor (2001) de que a meia-vida é superestimada quando a amostra é formada a partir de um processo de agregação temporal pela média. Os resultados confirmam as conclusões de Taylor e superestimam a meia-vida em uma janela de 35% a 56% do que seria a meia-vida calculada a partir de dados de final de período. O terceiro objetivo do trabalho é o de verificar se a taxa real de câmbio possui uma reversão não-linear à média. Considerando dados mensais, foi verificado que na maioria dos testes rejeita-se a hipótese nula de raiz unitária contra a hipótese alternativa de globalmente estacionária, porém não-linear. / This dissertation has three main objectives and is based on real exchange rates between Brazil and 21 commercial counterparties for the period of 1957-2010. The first objective is to verify the validity of the Purchasing Power Parity through 3 different linear unit root tests (ADF, PP, and KPSS). For the majority of the cases, null hypotheses of unit roots could not be rejected or were inconclusive for monthly end-of-period data and linear models. For yearly end-ofperiod data, results were more inclined to accepting stationarity, and the number of inconclusive results was reduced. The second objective is to investigate Taylor’s (2001) conclusion that temporal aggregation overestimates the half-lives of the real exchange rates. Under the tests done, Taylor’s points are confirmed, and half-lives are overestimated by a range of 35% to 56% when aggregated temporally by its means and when compared with endof-period half-lives. The third objective is to verify if real exchange rates have non-linear mean-reversion. Considering monthly data, the majority of the tests confirm non-linearity and global stationarity against the unit root hypothesis

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.

O objetivo desse trabalho é analisar a influência que fundamentos internos e fatores externos exercem sobre a taxa de juros nominal dos títulos soberanos de longo prazo nos países emergentes. A base de dados engloba 13 países ao longo de 33 trimestres entre 2006 e 2014. A metodologia utilizada aborda as técnicas econométricas mais recentes para tratar dados macroeconômicos. O modelo estimado é o Pooled Mean Group desenvolvido por Pesaran, Shin e Smith (1999). O modelo consegue separar as variáveis que afetam o nível de equilíbrio da taxa de juros das que exercem efeito apenas no curto prazo. Na melhor especificação apresentada, os resultados indicam que as variáveis que causam flutuações de curto prazo na taxa de juros dos países emergentes são a taxa de juros livre de risco (+0,3), a taxa de curto prazo (+0,4) e o déficit do governo americano (+0,1). Já as variáveis que afetam o nível de equilíbrio são a taxa de juros livre de risco (+0,5), a aversão ao risco dos investidores (+0,1), o saldo em conta corrente (-0,3), a inflação (+0,1), a abertura econômica (-0,04) e a dívida bruta (efeito positivo não linear). Por fim, ao analisar exclusivamente o caso brasileiro, nosso modelo indica que se o país tivesse mantido os fundamentos internos em linha com a média dos outros emergentes desde o final de 2006, o Brasil iria chegar ao final de 2014 com uma taxa de juros nominal de longo prazo de 6,1%, 6 p.p. abaixo do valor efetivamente observado que foi de 12,1%. / The aim of this study is to analyze the influence that internal fundamentals and external factors have on long-term sovereign bond yields in emerging markets. The database covers 13 countries over 33 quarters between 2006 and 2014. The methodology addresses the latest techniques to deal with macro panels, such as panel unit root and panel cointegration tests. The estimated model is the Pooled Mean Group developed by Pesaran, Shin e Smith (1999). This model can separate the variables that affect the interest rate equilibrium from the ones that only have an effect in the short-run. In the best specification presented, the results indicates that in the short-run the variables that affects the interest rates in emerging markets are the risk free interest rate (+0.3), the short term interest rate (+0.4) and the American government deficit (+0.1). The variables that affects the equilibrium level are the risk free interest rate (+0.5), risk aversion (+0.1), current account balance (-0.3), inflation (+0.1), trade openness (-0.04) and gross debt (non-linear positive effect). Finally, by examining only the Brazilian case, our model indicates that if the country had maintained the internal fundamentals in line with the average of other emerging markets since the end of 2006, Brazil would reach the end of 2014 with a long-term interest rate of 6.1%, 6 p.p. below the actual value of 12.1%.