The goal of this diploma thesis is to assess purchasing power parity (PPP) under the conditions of transition process. The thesis provides a survey of the purchasing power parity theory and concentrates on the relative version. It outlines main causes of possible deviations and modifications of the model. In the empirical part four transition economies are tested for the PPP theory: the Czech Republic, Hungary, Poland and Slovakia. The diploma thesis concludes with analysis of the role of the exchange rate under conditions of a small open economy. The overall analysis is implemented within the context of real and nominal convergence towards European Union and future accession to the European Monetary Union.

O mercado da carne bovina na China sofreu grandes transformações nos últimos anos, quando o país passou a ser um dos maiores importadores mundiais, apresentando assim oportunidades para os países exportadores. A competitividade de Austrália, Brasil e Estados Unidos, os três principais players que participaram deste mercado nos últimos 20 anos, foi avaliada utilizando o índice de Vantagens Comparativas Reveladas (IVCR). Consideraram-se as importações de carne bovina in natura realizadas via China continental, via Hong Kong e no total de ambos. Os resultados mostraram que o Brasil foi o país mais competitivo ao longo da série, mas seus resultados devem-se às exportações de carne congelada realizadas via Hong Kong. A Austrália é competitiva em ambos mercados, em especial na China continental, se mostrando também o mais competitivo fornecedor de carne resfriada, enquanto que os Estados Unidos tiveram sua competitividade comprometida pela ocorrência do surto de EEB em 2003. Os resultados mostram que a ocorrência de adversidades sanitárias foi o evento mais importante da série, sendo capaz de causar alterações duradouras na competitividade de todos os players. / Beef market in China has undergone major changes in recent years as the country has become one of the largest importers in the world, thus offering opportunities for exporting countries. The competitiveness of Australia, Brazil and the United States, the three main players that participated in this market during the last 20 years, was evaluated using the Revealed Comparative Advantage Index. For this analysis were considered imports of fresh beef imported by mainland China, Hong Kong and the Total of both. The results showed that Brazil was the most competitive country during the series, but its performance is linked to exports of frozen beef made through Hong Kong. Australia is competitive in both markets, especially in mainland China, and is also the most competitive supplier of chilled beef. The United States had its competitiveness in both markets jeopardized by the occurrence of a BSE outbreak in 2003. The results show that the occurrence of sanitary adversities was the most important event of the series, being able to cause long-lasting changes in the competitiveness of all players.

A phantom is haunting the EU enlargement process. Some fear that the Balassa-Samuelson (B-S) effect might be a major obstacle for the Central and Eastern European countries (CEEC) to become members of the Economic and Monetary Union (EMU). A review of the relevant literature reveals that most estimations of the B-S effect in the EU acceding countries are flawed by one kind or the other. Either they do not estimate correctly the B-S propositions, or if they measure it they use a variety of measures for the variables needed. Additionally, the B-S effect is only a special case of a broader approach towards equilibrium real exchange rates. Lastly the B-S effect is studied in a CGE multi-country world in order to detect possible spillover effects. After describing the "official" road map towards the EMU, it is concluded that the uncertainties in measuring the B-S are much too high in order to see in it (alone) a major hindrance for the CEEC to become early members of the EMU. Moreover, real exchange rate appreciations that reflect productivity gains in the tradable sector are an equilibrium phenomenon and do not require a policy response. They are a natural phenomena in catching-up countries like the CEEC. Furthermore, the official doctrine for entering the EMU by the EU/ECB only interdicts depreciations but not appreciations for potential EMU members. (author's abstract) / Series: EI Working Papers / Europainstitut

This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.

Submitted by Aline Amarante (1146629@mackenzie.br) on 2018-11-08T18:07:41Z No. of bitstreams: 2 ARTHUR TORNATORE SIESSERE.pdf: 1820812 bytes, checksum: 51d8a4c3763f4af13c6dcecba4a7d179 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Approved for entry into archive by Paola Damato (repositorio@mackenzie.br) on 2018-11-14T15:17:23Z (GMT) No. of bitstreams: 2 ARTHUR TORNATORE SIESSERE.pdf: 1820812 bytes, checksum: 51d8a4c3763f4af13c6dcecba4a7d179 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2018-11-14T15:17:23Z (GMT). No. of bitstreams: 2 ARTHUR TORNATORE SIESSERE.pdf: 1820812 bytes, checksum: 51d8a4c3763f4af13c6dcecba4a7d179 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2018-05-03 / This work is composed of three essays dealing with the themes of exchange rate and competitiveness for the Brazilian, North American and European economy. The first part aims to verify empirically the validity of the theory of purchasing power parity and the Balassa-Samuelson effect for the Brazilian and North American economy, from 1948 to 2016. The second part seeks to analyze the relationship between exchange rate and wages for the brazilian economy in the post-trade liberalization period, from 1999 and 2015. The third part analyzes the influence of intellectual capital and its components on the national wealth of European Union countries. Thus, theories about the topics are presented an, econometric techniques of time series and analysis panel data has been used to analyze the data collected. The results of the first essay showed that there is no causal relationship between PPP and the Balassa-Samuelson effect, in addition the tests revealed a long-term causality between the variables. The results of the second part did not show evidence of cointegration between the exchange rate and wages, suggesting that, in the period analyzed, it is not possible to conclude that there is any relationship between the exchange rate and wages for the Brazilian economy. However, Granger's causality tests suggest that over time wages cause changes in the exchange rate. The results of the third research fail to find evidence of the influence of structural capital on national wealth, on the other hand, relational capital was positive and significant in all estimated models. Finally, despite finding evidence of a positive moderating effect between innovation and sophistication in the relationship between human capital and national wealth, it is not possible to validate that there is a moderating effect on the relationship between intellectual capital and national wealth. / Este trabalho é composto de três ensaios abordando os temas de câmbio e competitividade para a economia brasileira, norte-americana e europeia. A primeira parte tem como objetivo verificar empiricamente a validade da teoria da paridade do poder de compra e do efeito Balassa-Samuelson para a economia brasileira e norte-americana, no período de 1948 a 2016. A segunda parte busca analisar a relação entre taxa de câmbio e salários para a economia brasileira no período pós abertura comercial, entre 1999 e 2015. A terceira parte analisa a influência do capital intelectual e seus componentes na riqueza nacional dos países da união europeia. Sendo assim, são apresentadas as teorias sobre os temas abordados e para analisar os dados obtidos são utilizadas as técnicas econométricas de séries temporais e análise de dados em painel. Os resultados do primeiro ensaio mostraram que não existe uma relação de causalidade entre PPP e o efeito Balassa-Samuelson, além disso os testes mostraram uma causalidade de longo prazo entre as variáveis analisadas. Os resultados da segunda parte não mostraram evidências de cointegração entre taxa de câmbio e salários, sugerindo que no período analisado não é possível concluir que exista algum tipo de relação entre a taxa de câmbio e os salários para a economia brasileira. No entanto, os testes de causalidade de Granger sugerem que os salários ao longo do tempo causam variações na taxa de câmbio. Os resultados do terceiro capítulo não conseguem evidenciar a influência do capital estrutural na riqueza nacional; por outro lado o capital relacional mostrou-se positivo e significativo em todos as estimações realizadas. Por fim, apesar de encontrar evidências de um efeito moderador positivo entre inovação e sofisticação na relação entre capital humano e riqueza nacional, não é possível concluir que exista um efeito moderador sobre a relação entre capital intelectual e riqueza nacional.

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The aim of the submitted thesis "Nominal and Real Convergence of the Czech Republic to EU (selected issues)" is to analyze nominal and real convergence of the Czech Republic to EU member countries from macroeconomic point of view, by using comparison with other transition economies. It presents and discusses theoretical issues relating to convergent process. The thesis deals with analysis of convergence using these indicators: GDP per capita in purchasing power parities, comparative price level, Maastricht criteria and some other indicators.

Mass., Harvard Univ., Dep. of Economics, Diss.--Cambridge, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth.

Calif., Univ., Dep. of Economics, Diss.--Stanford, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

DC, Georgetown Univ., Graduate School of Arts and Sciences, Diss.--Washington, 2004. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 4 Beitr.