Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since 1990s.Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate. This paper applies the Threshold Regression with Endogenous Threshold Variables(THRET) Model that puted forward Kourtellos, Stengos and Tan (2007) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle. For that purpose, the important variable is tested as thresholds: output gap change. The results indicate that the short-run pass-through is higher when the the economy is booming, as well as the exchange rate depreciates above some threshold. And showed in this has conformed to the business cycle theory which Goldfajn and Werlang (2000) , Carneiro, Monteiro and Wu (2002) , Muinhos (2001) proposed.

The implication of credit rationing models states that the effect of monetary policy on output may be stronger when credit conditions are tight than when they are loose. Therefore, there may be a thresholde effect on the relation between real money supply and output. Existing empirical studies on testing threshold effects ignore the fact that the monetary policy and the credit conditions are endogenous, which are follow some optimal rules. Seeing that the past studies considering the endogenous monetary policy only cannot provide substantial evidence of the credit rationing theory, this article provides an extending test of threshold effects when monetary policy and the indicator of credit conditions are endogenous. Moreover, this study finds that the US aggregate data can still provide significant evidence of a threshold effect on the relation between money and output, comparing to the endogenous monetary policy partially considered.

nÃo hà / O trabalho tem como objetivo avaliar a dinÃmica da evoluÃÃo no valor das empresas, descrita pelas variÃveis Equity e Entreprise Value, das Companhias de capital aberto do setor de mineraÃÃo e siderurgia listadas na BOVESPA, entre janeiro de 2002 a dezembro de 2012, o qual contribui com a literatura ao utilizar como ferramenta de anÃlise um modelo autoregressivo com valor limite endÃgeno, e ajuda a captar se existe mudanÃa de padrÃo do valor das empresas ante as alteraÃÃes no cenÃrio e na polÃtica econÃmica, para prever um valor mais justo das empresas no futuro, uma vez que sua utilizaÃÃo à de extrema importÃncia para tomada de decisÃes empresariais e outras finalidades. Indicadores quantitativos para essas duas variÃveis foram calculados e a metodologia permitiu investigar, simultaneamente, a linearidade e estacionaridade de suas trajetÃrias. Os resultados mostraram, atravÃs das variÃveis selecionadas, ocorreram trÃs situaÃÃes diferentes entre as empresas: i) dinÃmicas lineares, nÃo estacionaridade para o Equity e Enterprise Value, atinge a Ferbasa e Equity a Vale; porÃm o Enterprise Value da Vale segue uma dinÃmica estacionÃria; ii) dinÃmicas nÃo lineares, o que segue uma mudanÃa de padrÃo nas variÃveis selecionadas, para Equity e o Enterprise Value, adicionalmente, nÃo estacionaridade nos dois regimes, para o Equity e Enterprise Value, atingem a Gerdau e Usiminas, e iii) dinÃmica nÃo linear para o Equity e dinÃmica linear para o Enterprise Value para a companhia SiderÃrgica Nacional, que adicionalmente, apresenta para o Equity com raiz unitÃria parcial e globalmente estacionÃria, e para o Enterprise Value apresenta nÃo estacionaridade. / The study aims to evaluate the dynamics of evolution of corporate value; described by the variables Equity and Enterprise Value, the publicly traded companies in the mining and steel sector listed on the BOVESPA, between January 2002 and December 2012, which contributes with to the literature to use as a tool to analyze an autoregressive model with endogenous threshold value, and helps to capture changes on the default value of the companies placed on our current scenario and economic policy, to provide a more fair value of companies in the future since their use is of utmost importance to business decision-making and other purposes. Quantitative indicators for these two variables were calculated and the methodology allowed to investigate both the linearity and stationarity of their trajectories. The results showed, through the selected variables, three different situations among the selected companies: i) linear dynamics, non-stationarity for Equity and Enterprise Value, reaches Ferbasa and Equity the Vale; but the Enterprise Value of the Vale follows a stationary dynamics;ii) non-linear dynamics, which follows a pattern change in selected variables for Equity and Enterprise Value additionally non-stationarity in the two regimes, for Equity and Enterprise Value reaches Gerdau and Usiminas; and iii) non-linear dynamic for Equity and linear for the Enterprise Value for the National Steel Company, which additionally presents for Equity partial and globally stationary unit root, dynamic and Enterprise Value presents non-stationarity.

nÃo hà / A partir de dados trimestrais para o valor de mercado do Equity (capital prÃprio) e o Enterprise Value (valor de mercado da empresa) de empresas de capital aberto do setor de alimentos e bebidas listadas na Bovespa, o presente trabalho avalia como a instabilidade econÃmica do perÃodo 2002-2012 impactou o valor de empresas selecionadas. Em particular, foi selecionada uma amostra de 4 (quatro) empresas: AMBEV, BRFoods, PÃo de AÃÃcar e Rasip Agro, no referido perÃodo e Ãs duas variÃveis supracitadas foi aplicado um modelo autoregressivo com valor limite endÃgeno com o objetivo de captar mudanÃas de regime na dinÃmica descrita pelo valor dessas empresas, bem como de descrever o processo estocÃstico descrito pelas variÃveis selecionadas no perÃodo acima mencionado. Os indicadores quantitativos para essas variÃveis foram entÃo calculados e a metodologia permitiu investigar a linearidade e estacionaridade de suas trajetÃrias, produzindo resultados que revelaram situaÃÃes diferentes para as empresas em suas duas variÃveis: i) Capital prÃprio e valor da empresa de Ambev e BRFoods apresentaram dinÃmicas lineares com tendÃncias explosivas; ii) O valor de PÃo de AÃÃcar apresentou uma dinÃmica nÃo-linear e raiz unitÃria com tendÃncia explosiva, porÃm o Equity apresentou dinÃmica nÃo-linear e raiz unitÃria parcial com valor limite endÃgeno estimado de 5,89; iii) Rasip Agro apresentou dinÃmica nÃo-linear e raiz unitÃria parcial, com estacionaridade acima do limiar estimado. Em conjunto, tais constataÃÃes sugerem que muito embora se tratem de empresas de setores de bens essenciais, a instabilidade econÃmica impactou de forma diferenciada no valor das empresas: o tamanho econÃmico de Ambev e BRfoods se mostra como causa natural da nÃo mudanÃa de regime na dinÃmica de seu valor, alÃm do fato de estas empresas estarem menos sujeitas a choques idiossincrÃticos. / From quarterly data for the market value of equity ( equity ) and Enterprise Value ( market value of the company ) of publicly traded companies in the food and beverage sector listed on the Bovespa, this paper examines how the economic instability period 2002-2012 impacted the value of selected companies. Specifically, we selected a sample of four (4) companies: AMBEV, BRFoods, Bread-cane group and Agro Rasip during that period to these two variables, an autoregressive model was applied with endogenous threshold value in order to capture changes of regime in dynamics described by the value of these companies as well as to describe the stochastic process described by for variables selected in period abovementioned. Quantitative indicators for these variables were then calculated and the methodology allowed to investigate the linearity and stationarity of their trajectories, producing results that revealed different situations for companies in its two variables: i) value of equity and enterprise value of AmBev and BRFoods showed linear dynamic with explosive tendencies; ii) the value of Bread-cane group presented a nonlinear dynamic and explosive unit root trend, but the value of Equity presented nonlinear dynamics and partial unit root with endogenous estimated value threshold of 5.89; iii) The Rasip Agro introduced nonlinear dynamics and partial unit roots with stationary above the estimated threshold. Together, these findings suggest that although be they of essential goods sector enterprises, economic instability impacted differently on the value of firms. The economic size of AmBev and BRFoods is natural cause of no regime change in dynamic of its value, and the fact that these companies are less subject to idiosyncratic shocks.

Submitted by Viviane Seda Bittencourt (viviane.bittencourt@fgv.br) on 2011-08-18T14:38:47Z No. of bitstreams: 1 Dissertação Final_Viviane Seda Bittencourt.pdf: 1184289 bytes, checksum: d29df7b21fc17e4818ecc2e0d98b2646 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2011-08-18T17:25:44Z (GMT) No. of bitstreams: 1 Dissertação Final_Viviane Seda Bittencourt.pdf: 1184289 bytes, checksum: d29df7b21fc17e4818ecc2e0d98b2646 (MD5) / Made available in DSpace on 2011-09-20T20:45:24Z (GMT). No. of bitstreams: 1 Dissertação Final_Viviane Seda Bittencourt.pdf: 1184289 bytes, checksum: d29df7b21fc17e4818ecc2e0d98b2646 (MD5) Previous issue date: 2011-05-27 / O trabalho avalia a dinâmica descrita pelo consumo de bens duráveis e poupança dos consumidores brasileiros entre setembro de 2005 e abril de 2011 e contribui com a literatura ao utilizar como ferramenta de análise um modelo autoregressivo com valor limite endógeno e dados qualitativos da pesquisa Sondagem de Expectativas do Consumidor Brasileiro, da FGV. Indicadores qualitativos para essas duas variáveis foram calculados e a metodologia proposta permitiu investigar, simultaneamente, a linearidade e estacionaridade de suas trajetórias. Os resultados sugerem, em ambos os casos, uma dinâmica não-linear com raiz unitária parcial. Adicionalmente, a estacionaridade constatada a partir de um valor limite estimado de 3,3 pontos percentuais para o Indicador de Compras de Bens Duráveis e de 3,6 pontos percentuais para o Indicador de Poupança permitem classificar seus históricos com indícios de saturação da capacidade de poupança e consumo dos indivíduos. / This paper evaluates the dynamics described by the Brazilian consumer’s savings and consumption of durables between September 2005 and April 2011, and contributes to the literature applying qualitative data from FGV Consumer Survey to an endogenous threshold autoregressive model. Qualitative indicators for these two variables were developed and the methodology allowed us to investigate, simultaneously, the stationarity and linearity of their behaviors. The results suggest a non-linear dynamic with partial unit root for these two indicators. In addition, the stationarity observed from an estimated threshold of 3.3 bp for the indicator of purchases of durables and 3.6 bp to the indicator of savings show evidences of saturation of savings and consumption individual capacities.