Diese Dissertation besteht aus vier eigenständigen Aufsätzen. Das erste Kapitel liefert eine Einleitung uns einen Literaturüberblick. Im zweiten Kapitel schätzen wir die Effekte eines geldpolitischen Schocks in einer Bayesianischen faktorerweiterten Vektorautoregression. Als ein Identifikationsschema schlagen wir theoretisch fundierte Vorzeichenrestriktionen vor, welche auf die angemessenen Impuls-Antwortfolgen auferlegt werden können. Der Vorteil der faktorbasierten Vorzeichenrestriktion liegt in der Möglichkeit sehr viele theoretische fundierte Restriktionen zu setzen um so exakter zu identifizieren. Im dritten Kapitel untersuchen wir die Rolle der Geldpolitik während der Weltwirtschaftskrise in den USA. Die besondere Rolle der Geldpolitik gilt seit Friedman and Schwartz [1963] als gängige Meinung. In diesem Papier versuchen wir die entscheidenden Dynamiken der Zwischenkriegszeit mit dem BFAVAR Modell abzubilden und die Effekte geldpolitischer Schocks zu analysieren. Weiterhin schauen wir uns die Effekte der systematischen Komponente der Geldpolitik an. Wir finden heraus, dass der Anteil der Geldpolitik insgesamt zwar präsent allerdings recht gemäßigt vorhanden. Im vierten Kapitel werden die makroökonomischen Dynamiken innerhalb des Euroraumes untersucht. Hierbei schlage ich einen neuen Ansatz vor um die vielen relevanten Interrelationen effizient und sparsam zu vereinbaren. Ein faktorbasiertes DSGE Modell wird gemeinsam mit einem dynamischen Faktormodell geschätzt. Hierbei wird explizit ökonomische Theorie zur Datenanalyse verwendet. Zur Identifikation makroökonomischer Schocks verwende ich sowohl Vorzeichenrestriktionen wie auch die DSGE Rotation. / This thesis consists of four self-contained chapters. The first chapter provides an introduction with a literature overview. In Chapter 2 we estimate the effects of monetary policy shocks in a Bayesian Factor- Augmented vector autoregression (BFAVAR). We propose to employ as an identification strategy sign restrictions on the impulse response function of pertinent variables according to conventional wisdom. The key strength of our factor based approach is that sign restrictions can be imposed on many variables in order to pin down the impact of monetary policy shocks. Thus an exact identification of shocks can be approximated and monitored. In chapter 3 the role of monetary policy during the interwar Great Depression is analyzed. The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper attempts to capture the pertinent dynamics through a BFAVAR methodology of the previous chapter. We find the effects of monetary policy shocks and the systematic component to have been moderate. Our results caution against a predominantly monetary interpretation of the Great Depression. This final chapter 4 analyzes macroeconomic dynamics within the Euro area. To tackle the questions at hand I propose a novel approach to jointly estimate a factor-based DSGE model and a structural dynamic factor model that simultaneously captures the rich interrelations in a parsimonious way and explicitly involves economic theory in the estimation procedure. To identify shocks I employ both sign restrictions derived from the estimated DSGE model and the implied restrictions from the DSGE model rotation. I find a high degree of comovement across the member countries, homogeneity in the monetary transmission mechanism and heterogeneity in transmission of technology shocks. The suggested approach results in a factor generalization of the DSGE-VAR methodology of Del Negro and Schorfheide [2004].

Made available in DSpace on 2015-03-05T18:57:21Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Nenhuma / Os ciclos econômicos representam as oscilações de variáveis como a produção e o emprego de um setor, região ou país. Apresentam-se de forma única, não divisível e com características próprias quanto à sua amplitude e duração. De uma forma geral, os ciclos podem ser subdivididos nas seguintes fases: expansão, crise e depressão. Cada fase alterna-se a outra predeterminando o comportamento da fase posterior. Uma das técnicas mais promissoras é o modelo de mudança de regime, com o trabalho seminal de Hamilton (1989), abriu-se um novo campo de investigação dentro do tema. Destaca-se que a investigação sobre ciclos econômicos na literatura internacional esteve focada nas economias centrais, e os países emergentes ainda apresentam um número relativamente baixo de trabalhos na área. Quando comparados a de outros continentes, esses apresentam um contexto singular para ser discutido em termos de teoria dos ciclos econômicos. Nesse estudo, foi utilizada a técnica de mudança de regime Markoviano, que além das formulações / Economic cycles represent fluctuations of variables such as production and employment in a sector, region or country. They are so unique, and not divisible with characteristics as to its magnitude and duration. In general, the cycles can be subdivided in the following phases: expansion, crisis and depression. Each phase switches to the behavior of other predetermined later. One of the most promising techniques is the model of regime change, with the seminal work of Hamilton (1989) opened up a new field of research within the theme. It is that research on economic cycles in the international literature has focused on central economies and emerging countries still have a relatively low number of jobs in the area. When compared to other continents, they have a natural context for discussions in terms of the theory of economic cycles. In this study, we used the technique of changing the Markovian regime, which in addition to univariate and multivariate formulations was tested bivariate arrangements. Because of th

Submitted by Maicon Juliano Schmidt (maicons) on 2015-07-06T14:25:22Z No. of bitstreams: 1 Gustavo Jose Schuck.pdf: 1176134 bytes, checksum: 0a06b537ba55c68822649108c9e9d315 (MD5) / Made available in DSpace on 2015-07-06T14:25:23Z (GMT). No. of bitstreams: 1 Gustavo Jose Schuck.pdf: 1176134 bytes, checksum: 0a06b537ba55c68822649108c9e9d315 (MD5) Previous issue date: 2012-07-26 / Nenhuma / O interesse e, especialmente, a necessidade da atual economia global em entender o presente e antecipar o futuro, mesmo que no curto prazo, torna o estudo da previsão cíclica e, consequentemente, dos indicadores antecedentes de extrema importância. Dessa forma, este trabalho tem como objetivo a criação de três indicadores antecedentes compostos para a Produção Física da Agroindústria no Brasil, com horizonte de previsão entre 2 e 4 meses, 5 a 8 meses e 9 a 12 meses, respectivamente nomeados de Curto, Médio e Longo prazo. Para tanto, foi feito um levantamento do estado atual da arte, principalmente da produzida para o Brasil. Introdutoriamente, é apresentado o conceito de ciclo e indicadores antecedentes, como a justificativa e importância desse tema. Então, é feito um levantamento da literatura sobre ciclos, abordando publicações seminais, como Burns e Mitchell (1946), e a atual discussão entre ciclos econômicos e ciclos de crescimento. Após, abordo o conceito de indicadores antecedentes, sua origem, principais métodos utilizados e trabalhos atuais sobre o tema. Por fim, é construída uma metodologia, baseada no modelo proposto em OECD (2008) com adição de modelos VAR, Causalidade de Granger e Probit, sendo testada e avaliada para as informações mensais da Produção Física da Agroindústria no Brasil e outras 421 séries candidatas a antecedentes, no período entre janeiro de 1995 e dezembro de 2011. Conclui-se positivamente no que se refere à possibilidade de criação de indicadores antecedentes compostos, seja de curto, médio ou longo prazo, para Agroindústria brasileira. / The interest and especially the need of today's global economy to understand the present and anticipate the future, even in the short term, makes the study of cyclical forecasting and the leading indicators of extreme importance. Thus, this study aims to create three composite leading indicators for GDP of the Brazilian Agribusiness, with the forecast horizon between 2-4 months, 5-8 months and 9-12 months respectively named short, medium and long term. For this purpose, a survey was made of the current state of the art, mainly produced in Brazil. Introductorily, we present the concept of the cycle and leading indicators, as the justification and importance of this issue. Then, a survey of the literature on business cycles, addressing seminal publications such as Burns and Mitchell (1946), and the current discussion between business cycles and growth cycles. By then, it was mentioned the concept of leading indicators, its origin, the main methods used and current work on the subject. Finally, we built a methodology, based on the model proposed in OECD (2008) with addition of VAR models, Granger Causality and Probit. Being tested and evaluated, for the monthly information of physical production of Agribusiness in Brazil and other 421 series candidates as leading indicators, for period between January 1995 and December 2011. Completing positively to the possibility of creating composite leading indicators, whether short, medium or long term, for Brazilian Agribusiness.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-05-16T18:21:41Z No. of bitstreams: 1 Marcus Vinícius de Souza Almeida Conceição_.pdf: 1027394 bytes, checksum: ec1fa126f0db08777cb3c87ff8bdd7bd (MD5) / Made available in DSpace on 2016-05-16T18:21:41Z (GMT). No. of bitstreams: 1 Marcus Vinícius de Souza Almeida Conceição_.pdf: 1027394 bytes, checksum: ec1fa126f0db08777cb3c87ff8bdd7bd (MD5) Previous issue date: 2016-02-25 / Nenhuma / Este trabalho tem como objetivo, dentro da abordagem dos ciclos de negócios reais, elaborar dois indicadores compostos, antecedente e coincidente, para o complexo metalmecânico brasileiro. Delimita-se e caracteriza-se como complexo metalmecânico as atividades industriais nas seções 24; 25; 26; 27; 28; 29; 30 do CNAE 2.0. A elaboração dos indicadores orientou-se sob adaptação da metodologia proposta pela OCDE 2012 para elaboração de indicadores compostos. Consoante com as rotinas difundidas por esta metodologia foram coletadas e tratadas 1026 séries de tempo, com dados mensais abrangendo o período de 1994 a 2015. Estes dados sendo submetidos a tratamentos estatísticos de filtragem, avaliação, aplicação de filtros X-12, HP, CF, FD, realização de testes Cross-Correlation e utilização de modelos ARIMA e PROBIT. Como resultado, elaborou-se um índice (I-MM) para acompanhar em tempo real o desempenho do complexo metalmecânico e três indicadores antecedentes, estes compreendendo uma probabilidade de ocorrência de recessões e expansões para cenários de curto prazo (IACP-MM) e médio prazo (IAMP1-MM, IAMP2-MM). / This study aims, in the approach to real business cycles, draw two composite indicators, antecedent and coincident to the Brazilian metal-mechanic complex. It delimits and is characterized as metal-mechanic complex industrial activities in sections 24; 25; 26; 27; 28; 29; 30 of CNAE 2.0. The development of indicators was guided through adapting the methodology proposed by the OECD in 2012 for the preparation of composite indicators. According to the routines revealed by this methodology were collected and treated in 1026 time series with monthly data covering the period 1994 to 2015. These data were submitted to statistical treatment filtering and evaluation, application of X-12 filters, HP, CF FD, conducting Cross-Correlation tests using ARIMA models and PROBIT. As a result, produced an index (I-MM) to follow in real time the performance of the metal-mechanic complex and three leading indicators, these comprising a probability of occurrence of an event, which stipulate short-term scenarios (IACP-MM) and medium term (IAMP1-MM, IAMP2-MM)

Deflation, today understood mainly as a decrease in price level, is in the eyes of the mainstream economists the threat and danger of the economic development. This view is based on the experience from the Economic Crisis between 1929 and 1933 and later development in Japan. Therefore, the price stability is nowadays comprehended as a non decline in price index; monetary policy actually states the sustainable increase as a goal. The Austrian School of Economics uses the original definition of the words inflation and deflation and defines them as the increase and decrease of money supply. Modern interpretation of these terms means for them a dangerous misunderstanding whose result is misapprehension of causal connections between individual phenomena. This leads not only to incorrect conclusions but, above all, to disruption of the economic system, price and production structure, and development of economic cycles caused by artificial increase in money supply, which brings profit to certain groups.

Dans cette thèse nous examinons différents aspects des fluctuations dans les économies émergentes. Premièrement, afin d’établir les régularités empiriques de ces pays nous examinons le contexte économique des pays du Moyen Orient et d’Afrique du Nord. Ensuite, nous estimons un modèle des cycles réels pour essayer de reproduire les faits stylisés de ces pays, mais aussi pour évaluer la performance de ces modèles néoclassiques augmentés de deux types de chocs de productivité transitoire et permanent. Ceci fait l’objet du chapitre 2 dont le résultat est en faveur de l'hypothèse "Le cycle c'est la tendance" . Le deuxième aspect porte sur l’importance des frictions financières, il est traité dans le troisième chapitre qui introduit des chocs financiers au modèle de croissance stochastique. Nous identifions le rôle des frictions financières dans l’économie tunisienne comme étant un amplificateur de l’effet des chocs de productivité. Le quatrième chapitre porte sur l'analyse de la politique monétaire. Premièrement, nous examinons le régime de ciblage d’inflation où nos résultats empiriques supportent une implémentation de la stricte version du ciblage d’inflation avec une fonction de réaction basée sur des prévisions de l'inflation. Deuxièmement, nous exploitant les règles monétaires optimales en présence de la rigidité d l'information dans le cadre d’un modèle stochastique d’équilibre général (DSGE). Nos résultats, révèlent que les chocs du taux de marge de la force de travail jouent un rôle important dans les fluctuations de l’économie tunisienne, la règle de Taylor produit un taux satisfaisant de bien être, alors que les règles qui ciblent le niveau de prix ne sont pas efficaces. / This thesis investigates different aspects of the fluctuations in emerging economies. First, it examines the MENA countries’ context to establish the empirical regularities. Then, to replicate the MENA countries’ business cycle patterns observed in the annual data, we estimate a standard real business cycle (RBC) model to assess the performance of the neoclassical model with transitory and permanent shocks. This is the purpose of chapter 2 which results support the assumption "The cycle is the trend". The second aspect refers to the importance of financial frictions and is addressed in the third chapter which adds new financial shocks to the stochastic growth model. We determine the role of financial frictions in the Tunisian economy not as the source of business cycle fluctuations but as an amplifier of the effects of total factor of productivity shocks.The fourth chapter analyzes monetary policy in emerging economies. Firstly, we examine the inflation targeting regime under the lens of a New Keynesian forward-looking model. We also, estimate a Taylor rule and some other alternatives in order to determine which rule to adopt within this framework. Empirical results support the implementation of a strict inflation targeting regime, with an inflation forecast based rule as a reaction function. Secondly, we explore the optimal monetary policy rules using a New Keynesian DSGE model. In particular we assume that information stickiness as the only type of rigidity in the model. We find that Whereas, Taylor rule in its original version provides substantial welfare gains, price-level targeting regime was suboptimal.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-10-05T12:57:37Z No. of bitstreams: 1 Bruno Pedron_.pdf: 427411 bytes, checksum: 3ec46db7e95778a77ba0a7da26faffca (MD5) / Made available in DSpace on 2016-10-05T12:57:37Z (GMT). No. of bitstreams: 1 Bruno Pedron_.pdf: 427411 bytes, checksum: 3ec46db7e95778a77ba0a7da26faffca (MD5) Previous issue date: 2016-07-21 / itt Performance - Instituto Tecnológico em Desempenho da Construção Civil / O objetivo deste trabalho foi compreender a relação entre o ciclo de negócios e o resultado primário do Rio Grande do Sul. Para tanto, foram coletados dados mensais da Ferramenta de finanças públicas em tempo real da Secretaria da Fazenda do estado para o período de 1999-2015, os quais conduziram ao cálculo do resultado primário trimestral sem operações intraorçamentárias. Estes dados foram ajustados pela inflação pelo IPCA e pela sazonalidade utilizando o Census X-13 multiplicativo, e então foram utilizados para estimar o balanço orçamentário estrutural pela abordagem do Fundo Monetário Internacional. As repartições de receitas da União e as transferências diversas foram removidas da regressão e a elasticidade das receitas em relação ao PIB foi estimada através de um modelo autorregressivo, resultando em 1,0908, enquanto o PIB potencial foi obtido pelo uso do filtro Christiano-Fitzgerald. Nenhum ajuste foi aplicado às despesas ou às transferências da União. Os resultados mostraram que o Rio Grande do Sul está mais predisposto a operar acima do PIB potencial e promovendo contrações fiscais, apesar de mostrar mais esforços nas fases de expansão. Assim, foram encontradas políticas pró-cíclias em 75% dos anos da amostra. Quando os ciclos políticos foram analisados, apenas o ciclo da governadora Yeda Crusius (2007-2010) apresentou-se de forma anti-cíclica. De forma geral, o estado está alinhado à ciclicidade do governo federal, mesmo considerando que, metade dos períodos que foram comparados com Andreis (2014) apresentaram políticas opostas às estimadas. Finalmente sugestões foram dadas para o estado na forma de contrações fiscais, inspirado em Santos (2014). / The aim of this study is to understand the relation between the business cycle and the primary result of Rio Grande do Sul. For that reason, monthly data were collected from the Real-time public finances tool of the state finances office for the period of 1999-2015, which allowed for the calculation of the quarterly primary result without intra-budget operations. These data were adjusted for inflation by IPCA and seasonality by multiplicative Census X-13 and then used to run the International Monetary Fund (IMF) approach of the structural budget balance. The transfers from the federal government were removed from the regression and the elasticity of revenue to the output was estimated through an autoregressive model and resulted in 1.0908, while the potential GDP was obtained through the Christiano-Fitzgerald filter. No adjustments were applied to the expenditures or the transfers. The results pointed out that Rio Grande do Sul is more likely to be operating above trend GDP and taking actions of fiscal contraction, although working harder during phases of expansion. Thus, pro-cyclical policies were conducted on 75% of the years of the sample. When the political cycles were analyzed, it turned out only the cycle of governor Yeda Crusis (2007-2010) had a counter-cyclical bias. Overall, the state is aligned with the cyclicality of the federal government, even though half of the periods that were compared to the findings of Andreis (2014) displayed opposite fiscal stances. In the end, some suggestions were made for fiscal contractions, inspired by Santos (2014).

Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more in bad times (recession) and that investors value bad news rating changes (downgrades) more in good times (expansion). I model and test probit models using variables capturing the characteristics of the previous issuer’s credit rating, liquidity, solvency, profitability, and growth opportunity to determine the classification of single notch versus multi notch rating changes. The determinants of multi notch versus single notch rating changes for upgrades and downgrades differ. Business cycle influences are evident. Firms that have multi notch rating upgrades and downgrades have significantly different probit variables vis-à-vis firms that have single notch rating upgrades and downgrades. The important characteristics for determining multiple notch upgrades are a firm’s prior rating change, prior rating, cash flow, total assets and market value. The important characteristics for determining multiple notch downgrades are a firm’s prior rating change, prior rating, current ratio, interest coverage, total debt, operating margin, market to book ratio, capital expenditure, total assets, market value, and market beta. The variables that differ for multi notch upgrades in recessions are cash flow, net income, operating margin, market to book ratio, total assets, and retained earnings. The variables that differ for multi notch downgrades in expansions are a firm’s prior rating change, current ratio, interest coverage ratio, debt ratio, total debt, capital expenditure and market beta. The power of the explanatory tests improves when the stage of the business cycle is considered. Results are robust to consideration of rating changes across rating categories, changes from probit to logit, alternative specifications of accounting variables, lags and leads of recessions and expansions timing, Fama and French industry adjustments, and winsorization levels of variables.

自1987年以來，台灣製造業就業比例開始大幅下降。這樣的情形，一般又稱為「去工業化」，引起了很多的討論與擔憂。許多人把台灣的「去工業化」歸咎於對中國大陸的投資與貿易。然而本文發現，台灣早在1996年之後便停止「去工業化」。如此現象迥異於一般已開發國家的情形，因此本文研究目的即在於探討台灣為何發生「去工業化」以及為何停止。本文首先將製造業分為「三階段、三類別」，並比較台灣經貿之發展，進行對照分析，發現：台灣傳統產業受到全球化因素影響造成勞動需求萎縮，導致台灣1987年與1996年之間出現「去工業化」；然自1997年開始，技術密集產業之勞動需求隨著對外投資與貿易增加而成長，使得台灣停止「去工業化」；其次本文依照「Rowthorn 模型」，先將製造業就業比例分為傳統產業與非傳統產業，再將造成「去工業化」的因素分為三類：經濟發展、全球化、景氣循環，並以實證分析檢驗台灣案例後發現：景氣差、失業率高對於傳統與非傳統產業的就業比例都有負向影響，但經濟發展與全球化因素對於傳統產業就業有顯著的負向影響，對非傳統產業則有顯著正向影響，促使傳統產業釋放出來的勞動力被非傳統產業所吸收，因此台灣的製造業整體就業比例得以維持在27%左右，並未如西方國家般持續得「去工業化」。 / Since 1987, the manufacturing employment rate in Taiwan had dropped dramatically for almost 10%. This situation, so called de-industrialization, has drown much attention and at many times been attributed to the expanding investment and trade with China. However, the trend of de-industrialization in Taiwan, unlike cases in other developed countries, has been stopped since 1996. The aim of this article is to find out why de-industrialization had once taken place in Taiwan and why it then got stopped. Firstly, we employed the correlation analysis on the data categorized as “three sectors and three phases”. Results indicated the negative impact of outward investment and trade with China on conventional industries and positive impact on non-conventional ones. Secondly, based on the “Rowthorn Model”, we used regression analysis to examine whether economic development, globalization, or busyness cycle will affect the employment rate of conventional and non-conventional industries. We found out that both economic development and globalization factors had caused the decrease of labor demand in conventional industries and the increase in non-conventional industries. The declining of conventional industries was the cause of de-industrialization after 1987, while the non-conventional industries, not the service industries, keep absorbing labors from conventional ones and therefore stopped the trend of de-industrialization after 1996.

<p>Syftet är att evaluera Baselramverkets riskreglering i en konjunkturcykel med hänsyn till Östersjöregionens storbankers systemviktiga funktion.</p><p>Studien antar främst en kvantitativ ansats i de två första delarna, nyckeltalsanalysen och buffertsimuleringen men även en kvalitativ ansats antas i den tredje delen, intervjuer.<strong> </strong></p><p>Studien utgår från teorierna om Basel I och Basel II, nyckeltalsteori samt från tidigare forskning.</p><p>Resultatet i studien består av nyckeltalanalys och simulering av åtta, i Östersjöregionen verksamma, bankers nyckeltal och buffert under 21 år samt sex djupintervjuer med representanter för såväl banker som regulatorer.</p><p><strong> </strong><strong>Slutsatser</strong></p><p>Att det inte finns något samband mellan Baselregleringens kapitaltäckning och bankernas risk eller konjunktur, att riskvägningen tenderar till att vara godtycklig och har större påverkan på buffert än Baselregleringens kapitaltäckning samt att mer transparens behövs i bankerna tyder på att Baselregleringens kapitaltäckningskrav i mycket liten utsträckning visar Östersjöregionens storbankers faktiska risk.</p> / <p>The purpose is to evaluate the Basel framework risk regulation in an economic cycle, in account to the systemic function of the large banks in the Baltic Sea region.</p><p>The study mainly adopts a quantitative approach in the two first parts, the key ratio analysis and the buffer simulation. A qualitative element is also implemented in the third part, interviews.</p><p>In a theoretical perspective the study is based on the Basel I and Basel II framework, key ratio theories and previously conducted research. </p><p>The result<strong> </strong>consists of key ratios analysis and buffer simulation for eight banks in the Baltic Sea region for a period of 21 years and interviews with six representatives of banks and regulatory institutions.</p><p> <strong>Conclusion                                   </strong></p><p>The absence of correlation between the Basel regulation capital adequacy and the bank risk nor economic cycle, that risk weighting tends to be arbitrary and have greater impact on bank buffer than capital adequacy regulation has, and that more transparency is needed in banking; suggests that the Basel capital adequacy to a small extent reflect actual risk.</p>