Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / A presente tese à composta por trÃs ensaios que investigam os impactos da educaÃÃo sobre o crescimento econÃmico recente dos municÃpios e estados brasileiros. O primeiro ensaio lanÃa luzes sobre a efetividade dos investimentos federais em novas unidades de ensino superior ocorridos na Ãltima dÃcada. A abordagem empÃrica utilizada permitiu comparar diferentes perfis municipais e diferenciar os impactos de curto e longo prazo, a partir da construÃÃo de amostras pareadas de municÃpios. Os resultados mostram que o retorno social dos novos campi universitÃrios, em termos de crescimento sustentado da renda e da produtividade local, dependeu fundamentalmente do perfil econÃmico e populacional de municÃpio beneficiado. Em especial, apenas os municÃpios com economia e populaÃÃo relativamente maiores perceberam ganhos de longo prazo, relacionados ao aumento da produtividade local. No segundo ensaio, analisou-se a relaÃÃo entre a dotaÃÃo de capital humano, em suas diferentes composiÃÃes, e o crescimento da Produtividade Total dos Fatores - PTF - dos municÃpios brasileiros nas duas Ãltimas dÃcadas. Em particular, testou-se a hipÃtese de que o capital humano à fator crucial para permitir a adoÃÃo de tecnologias de fronteira. Os resultados indicam que, para a grande maioria dos municÃpios, a escolarizaÃÃo de nÃvel mÃdio foi mais relevante para o crescimento da PTF do que a escolarizaÃÃo de nÃvel superior, o contrÃrio sendo observado para os municÃpios com economias mais dinÃmicas. Finalmente, no Ãltimo ensaio, foram analisados os canais pelos quais a dotaÃÃo de capital humano afetou a PTF dos estados brasileiros nas Ãltimas dÃcadas. Os resultados sugerem que os estados mais pobres, todos da RegiÃo Nordeste, se beneficiaram bem menos das externalidades derivadas da acumulaÃÃo de capital humano, em especial, daquelas capazes de gerar progresso tÃcnico endÃgeno, quando comparados aos estados das regiÃes Sul, Sudeste e Centro-Oeste. Em seu conjunto, os resultados dos trÃs ensaios tÃm implicaÃÃes relevantes sobre as decisÃes pÃblicas de investimento em educaÃÃo, sobretudo as de cunho federal. Primeiramente, o aprofundamento do papel dos campi universitÃrios federais nos municÃpios mais populosos e de maior porte econÃmico pode trazer um retorno social bem superior ao atual. Por outro lado, outros investimentos estruturantes relevantes podem resultar em impactos bem mais amplos entre os municÃpios de menor porte econÃmico. Em segundo lugar, hà um largo espaÃo para se elevar a produtividade brasileira via educaÃÃo tÃcnica e de nÃvel mÃdio, mais direcionada para a absorÃÃo de tecnologias jà existentes, o que beneficiaria a grande maioria dos municÃpios, especialmente os mais pobres e com economias menos desenvolvidas. O foco no ensino tÃcnico-profissionalizante se aplica, sobretudo, Ãs unidades da federaÃÃo que apresentam estruturas econÃmicas e sociais menos avanÃadas, onde ganhos mais expressivos de produtividade dependerÃo, pelo menos em um primeiro momento, de polÃticas que viabilizem o catch-up tecnolÃgico nessas economias. / This thesis comprises three essays that investigate the impact of education on the recent economic growth of Brazilian cities and states. The first essay sheds light on the effectiveness of federal investments in new university campuses over the last decade. Starting from the construction of paired samples of municipalities, the empirical approach allowed us to compare different municipal profiles and differentiate the impacts of short and long term. The results show that the social return on new campuses, in terms of sustained income growth and local productivity, depended crucially on economic and demographic profile of the municipality. In particular, only the municipalities with relatively larger economy and population realized long-term gains, due to productivity gains. In the second essay, we analyzed the relationship between human capital endowments, and their different compositions, and the growth of Total Factor Productivity - TFP - in the last two decades. In particular, we tested the hypothesis that human capital is crucial to enable the adoption of frontier technologies. The results indicate that, for most municipalities, the secondary education was more relevant to TFP growth than the higher education, the opposite being observed for municipalities with more dynamic economies. Finally, in the last essay, we analyze the channels through which human capital endowments affected the TFP of the states in recent decades. The results suggest that poorer states, all of the Northeast Region, benefited far less from the externalities derived from the accumulation of human capital, in particular those that are able to generate endogenous technical progress. Taken together, the results of the three essays have significant implications for public investment decisions in education, especially those of federal nature. First, deepening the role of the federal university in the relatively larger municipalities can bring a higher social return. On the other hand, other relevant structural investments can result in much broader impacts on the smaller economies. Secondly, there is a great opportunity to raise Brazilian productivity via secondary-technical education, oriented to the absorption of existing technologies, which would benefit the vast majority of municipalities, especially the poorest and least developed economies. The focus on technical and vocational education is indicated mainly to the states with less advanced economic and social structures, where more significant productivity gains depend most of policies that support the technological catch-up in these economies.

Made available in DSpace on 2016-03-15T19:31:14Z (GMT). No. of bitstreams: 1 Paulo Dutra Costantin.pdf: 1161497 bytes, checksum: 80c40c8fcef9308bff7d9389b7a7a3f0 (MD5) Previous issue date: 2007-11-09 / Instituto Presbiteriano Mackenzie / The current work aims to provide an inquiry into the causes of productivity increase observed in the Brazilian agricultural sector from the 1970s till the early years of the 2000s. Its working hypothesis is that gains in productivity are explained by factors like increased rural credit, research (technology), tractors, fertilizers and pesticides. More specifically, it analyses and estimates the impact of each of the foregoing variables on the trajectory of agriculture productivity increase in the period under study. In order to accomplish these tasks, we built up a database that gathered the relevant information for subsequent parametric (as well as non-parametric) estimation of the above specified explanatory variables. The first stage of the research consists of developing a conceptual analysis of the term productivity that fits well with neoclassical microeconomic theory and allows for a systematic explanation based on items like production function, cost function and technical progress. The second stage scrutinizes the properties of parametric and non-parametric research methods underlying the overall study. The third part specifies the selected techniques in tune with the available information. They refer to Data Envelopment Analysis (DEA), Cobb-Douglas Production Function, Translog Production Function and Model of Error Correction Vector. The DEA model suggests that there has been an improvement of technical efficiency as well as room for technological progress throughout the last three decades. Based on the Cobb Douglas model, we found out that the three main factors explaining productivity gains in the sector are harvest area, credit and investment. The Translog production function suggests neutrality of technical progress relative of factor employment over time and a positive effect on production. Additionally, it suggests that reduction of cultivated area,rural credit, pesticide and increase of employment of limestone (calcario)contributes to technical progress. Finally, the model of vector error correction identified that rural credit and R&D yield positive effects on agricultural productivity. / Esta tese constata que a agricultura brasileira apresentou ganhos de produtividade ao longo das décadas de 1970, 1980, 1990 e nos primeiros anos da década de 2000 em decorrência da utilização de fatores como crédito agrícola, pesquisa, maior número de tratores, fertilizantes, corretivos e defensivos agrícolas. Desse modo, procura-se analisar e mensurar a influência dessas variáveis sobre a produtividade agrícola. Para tanto, foi elaborado um banco de dados contendo as informações que serviram de base para a realização de estimativas paramétricas e não-paramétricas para buscar as evidências do impacto desses fatores sobre o aumento da produtividade agrícola. A primeira etapa do trabalho consistiu em definir o conceito de produtividade, em conformidade com a teoria microeconômica neoclássica, para instrumentalizar a explicação este fenômeno, a partir dos conceitos de função de produção, função custo e progresso técnico. A segunda etapa consistiu na avaliação das propriedades dos métodos paramétricos e não paramétricos a serem utilizados. A etapa seguinte implicou a definição das técnicas a serem empregadas, em função da disponibilidade de informações. Assim, foram selecionadas as seguintes técnicas: o Data Envelopment Analysis (DEA), a Função de Produção Cobb-Douglas, a Função de Produção Translog e o Modelo de Vetor de Correção de Erros. O modelo DEA indicou a existência, ao longo de um período de trinta anos, de melhora tanto da eficiência técnica quanto do progresso tecnológico. O modelo de Cobb-Douglas identificou como principais fatores que contribuíram para o aumento da produtividade neste período a área colhida e os créditos de custeio e investimento. A função de produção Translog identificou que o progresso técnico permaneceu neutro, no tempo, em relação ao emprego de fatores, tendo apresentado efeito positivo sobre a produção. Verificou, ainda, que as reduções da área colhida, do crédito agrícola e do uso de defensivos, assim como o aumento da quantidade empregada de calcário, contribuíram positivamente para o progresso técnico. Por fim, o Modelo de Vetor de Correção de Erros identificou nas variáveis crédito agrícola e pesquisa e desenvolvimento efeitos positivos para o aumento da produtividade agrícola.

This study examines the effects of market concentration on firm-level productivity using data on Chinese above-scale industrial firms from 2001 to 2007. Productivity is identified as total factor productivity (TFP) and estimated using the Olley-Pakes three-step estimation in order to avoid simultaneity and selection biases. Using data on around 590,000 industrial firms, empirical results indicate that the less concentrated the market, the higher the productivity generally. However, a few industries are identified to have opposite direction; that is, the more concentrated, the more productive are the firms. In some industries, there is no significant relationship between market concentration and firm productivity.

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It is a sandwich Thesis. The first and the second essay are joint works with my Supervisor, Dr. Ronald Balvers. The third essay is joint work with Fangxing Liu, a Ph.D. candidate (Finance) at DeGroote School of Business, where we have equally shared the work responsibility. / First essay deals with Productivity shocks. Productivity shocks transmitted from productivity leaders to trailing sectors are systematic sources of risk. Global technology and knowledge diffusion leads to predictable patterns in productivity dynamics across countries and industries. Productivity gaps determine the level of exposure to the systematic leader productivity shocks. Firms in a country-industry with larger productivity gaps relative to the world leader are more dependent on the leader's innovations compared to their own productivity improvements. They thus have higher loadings on the leader productivity shocks and higher average stock returns. For OECD panel data, a country-industry's productivity gap significantly predicts the stock returns of the country-industry: holding the quintile of country- industry portfolios with the largest gaps and shorting the quintile with the smallest gaps generates annual returns of 9.8% (6.7% after risk adjustment with standard factors). A factor associated with the productivity gap explains country-industry portfolio returns substantially better than standard factor models. Loadings on leader-country-productivity shocks are found to have substantial correlation with productivity gaps, and leader productivity shocks are more important for stock returns than idiosyncratic productivity shocks. These findings suggest that the productivity gaps and associated higher average returns are indeed tied to systematic risk. The second essay deals with Technology shocks. Technology shocks from technological frontier economies are a critical determinant of productivity shocks. These shocks spill over, pervading all lagging economies and are true systematic shocks. A country's aggregate technology gap with the frontier determines the potential for the systematic innovation shocks to affect it, but the country's absorption capacity determines its effective sensitivity to these shocks. We find conforming evidence that the technology gap, R&D intensity, and absorption capacity can explain stock returns. For OECD panel data, a one standard deviation increase in the technology gap increases excess stock returns by 0.578 percent per month. A one standard deviation increase in R&D intensity increases the excess return by 0.637 percent per month. An increase in absorption capacity of one standard deviation increases the excess return by 0.275 percent per month. When global FF factors are included, the results are diluted, which suggests that the FF factors may alias for the three variables associated with the systematic risk arising from frontier technology shocks. The third essay deals with Political risk. We find that the differences in Hassan et al. (2019) political Risk proxy derived from text processing of analyst transcripts can price cross-sectional returns after controlling for standard factor risks. A mimicking factor for the political risk measure, when added to the standard Fama French 5 factor model or the Q5 model, explains the test asset returns better than these models. In our limited sample, the changes in PRisk measure captures more information about political risk than the traditional measures from Baker et al. (2016), which suggests that one can start using changes in PRisk characteristic as a political risk proxy. / Thesis / Doctor of Philosophy (PhD)

Diese Dissertation umfasst sowohl einen theoretisches als auch einen empirischen Beitrag zur Analyse der Messung der gesamten Faktorproduktivität (TFP). Das erste Kapitel inspiziert die bestehende Literatur über die häufigsten Techniken der TFP Messung und gibt einen Überblick über deren Limitierung. Das zweite Kapitel betrachtet Daten, die durch ein Real Business Cycle Modell generiert wurden und untersucht das quantifizierbare Ausmaß von Messfehlern des Solow Residuums als ein Maß für TFP Wachstum, wenn der Kapitalstock fehlerhaft gemessen wird und wenn Kapazitätsauslastung und Abschreibungen endogen sind. Das dritte Kapitel schlägt eine neue Methodologie in einem bayesianischen Zusammenhang vor, die auf Zustands- Raum-Modellen basiert. Das vierte Kapitel führt einen neuen Ansatz zur Bestimmung möglicher Spill-over Effekte auf Grund neuer Technologien auf die Produktivität ein und kombiniert eine kontrafaktische Zerlegung, die von den Hauptannahmen des Malquist Indexes abgeleitet wird mit ökonometrischen Methoden, die auf Machado and Mata (2005) zurückgehen. / This dissertation consists of theoretical and empirical contributions to the study on Total Factor Productivity (TFP) measurement. The first chapter surveys the literature on the most used techniques in measuring TFP and surveys the limits of these frameworks. The second chapter considers data generated from a Real Business Cycle model and studies the quantitative extent of measurement error for the Solow residual as a measure of TFP growth when the capital stock is measured with error and when capacity utilization and depreciation are endogenous. Furthermore, it proposes two alternative measurements of TFP growth which do not require capital stocks. The third chapter proposes a new methodology based on State-space models in a Bayesian framework. Applying the Kalman Filter to artificial data, it proposes a computation of the initial condition for productivity growth based on the properties of the Malmquist index. The fourth chapter introduces a new approach for identifying possible spillovers emanating from new technologies on productivity combining a counterfactual decomposition derived from the main properties of the Malmquist index and the econometric technique introduced by Machado and Mata (2005).

En esta tesis se estudia la producción agrícola y la productividad de los factores en la agricultura española (tierra, trabajo y simiente) desde 1752 hasta 1935. La tendencia a largo plazo de la producción agrícola se analiza desde una estimación directa (datos sobre cantidades), otra estimación indirecta (a través de los datos sobre precios). La productividad de los factores se estudia desde una doble perspectiva: la productividad simple de los factores y la productividad total de los factores. Para analizar la productividad simple de los principales factores de la agricultura se ha recurrido tanto a examinar la productividad media (vía de las cantidades) como la productividad marginal (vía de los precios, es decir, renta de la tierra y salarios agrícolas).Además de la utilización de nuevas fuentes en esta investigación (Cuadernos generales de la Riqueza, boletines oficíales provinciales, cartillas evaluatorias, etc.) y de la aplicación de la teoría económica para deducir cantidades a partir de la información disponible sobre precios, las principales conclusiones que se han alcanzado en esta tesis se centran en la constatación de un importante crecimiento de la producción agrícola (a una tasa anual acumulada entre 0,8 y el 1,5 por 100 desde 1799/1800 hasta 1900/05) y en el incremento de la productividad de la tierra, de la simiente y de la productividad total de los factores antes de finalizar el siglo XIX. / This thesis studies agricultural production and the productivity of factors for Spanish agriculture (land labour, and seed) from 1752 to 1935. The long-run trend of agricultural production is approached from direct estimates (information on quantities) and indirect estimates (information on prices). The productivity of factors is considered from a twofold viewpoint: the single productivity of factors and the total productivity of factors. In order to analyse the single productivity of the main agricultural factors, the thesis examines average productivity (quantities method) as well as marginal productivity (prices method), i.e. land rent and agricultural wages. To this goal, this research has extensively used new sources (Cuadernos de Riqueza, Boletines Oficiales Provinciales, cartillas evaluatorias) and has applied economic theory to deduce quantities from the available historical information on prices. The main conclusions obtained by this thesis deal with the existence of an important growth of agricultural production (annual rates accumulate between 0.8 and 1.5 per cent from 1799/1800 to 1900/1905) and an increase in land productivity, seed productivity and total factor productivity in Spain well before the end of the nineteenth century.

The present study is an attempt to analyze the impact of changing policy regime during the liberalization era on the behaviour of 81 sample firms in Indian electronics industry in terms of factor productivities. We categorise a period of 12 years (1993-2004) as the two phases of liberalisation: - Period/ Phase 1: 1993-1998 and Period/ Phase 2: 1999-2004. The 81 sample firms are segregated into four primary sub-sectors of electronics industry based on their use pattern: communication equipments, computer hardware, consumer electronics and other electronics. The objective is to trace the growth of output in the four sub-sectors in Indian electronics industry over two phases of liberalisation and to determine the relative contributions of Input Growth (IG) and Total Factor Productivity Growth (TFPG) to Output Growth (OG). Further, the study focuses on determining the relative contributions of Technological Progress (TP) and Technical Efficiency Change (TEC) to TFPG and establishes the influence of firm specific managerial decision making and management efficiency variables on TEC and TP. The methodology follows a three-step approach in order to achieve the above objectives. The first step is to determine a potential stochastic production function using stochastic frontier production function model and measure firm-wise technical inefficiency levels. The second step is to measure the growth of TFP over two phases and to derive the components TEC and TP. The third step measures the influence of management decision variables on TEC and TP using a frontier approach model on a panel data. The contribution of labour to output was found to be higher than the contribution of capital in all four sub-sectors. However, capital contribution improved in phase 2 relative to phase 1 for computer hardware and other electronics sub-sectors. Computer hardware was the only sub-sector that experienced an improvement in returns to scale from constant returns to scale in phase 1 to increasing returns to scale in phase 2 of liberalisation. The Technological Progress (TP) and Technical Efficiency Change (TEC) that contributed to TFPG exhibited a contrasting relationship for all the four sub-sectors in the electronics industry: TEC declined when there was high TP while it improved when there was a decline in TP. This could be because Indian electronics firms generally focus on either technology imports/ develop indigenous technology to achieve TP or to assimilate the imported/ indigenous technology for better use. The lag in assimilation of imported/ developed technology could be a reason for the negative relation between TEC and TP. The communication equipment sub-sector had a balanced growth in terms of TEC and TP among the four sub-sectors. The computer hardware and the other electronics sub-sectors were worse performers in terms of TEC in period 2 relative to period 1 and so had been the electronics industry as a whole. The computer hardware sub-sector had the highest average OG in period 2 relative to period 1 among all the sub-sectors due to relatively high contribution of IG. Other electronics sub-sector had the highest average TP that compensated for the negative average TEC. On an average, percentage contribution of TP to TFPG was high for the electronics industry and its sub-sectors in period 2 relative to period 1. This is an indication that the sub-sectors of Indian electronics industry have strived and achieved steady technological progress in the period of economic liberalisation to cope with the intensifying competition internally as well as externally. The sample firms in the electronics industry were in favour of towards external acquisition of sophisticated technology, which explains the relatively high contribution of TP to the TFPG of the industry. However, this was not followed up with adequate in-house R&D in order to develop indigenous technology or to absorb imported technology as a result of which TEC for the sub-sectors and the whole industry suffered. Growth in Operating Margin (OMG) and Growth in Returns on Capital Employed (ROCEG) generate additional revenue that could be ploughed back into the firm for improvement of its existing indigenous technology or absorption of imported technology thereby leading to improvement in TE and TP. The positive influence of OMG as well as ROCEG on TEC and TP for all the sub-sectors is an indication of efficient management in these sub-sectors in utilizing assets and profits to generate earnings. However, the trend of operating margin and returns on capital employed had been declining for all the sub-sectors. Inventory management proved to be costly for TP as financial resources diverted to maintain inventory had an undesirable effect on their indigenious technology. Most of the sample firms in the electronics industry were found to have incurred R&D expenditure to derive tax incentives. As a result the resources got diverted away from other creative operational or skill improvement efforts to unproductive and wasteful R&D activities. Thus, R&D did not have the desirable influence on the components of TFPG. The present study showed that unplanned and ad hoc technology imports or even raw material imports was not conducive to the growth of both the components of TFPG. Older firms need to develop their technology or adequately import better and more sophisticated technology. This would enable older (more experienced) electronic firms to overcome the negative influence of age, reflected in our analysis. This is, however, applicable to only those segments of the electronics industry where firms preferred to serve lower end of the market as well as lower end of the technological spectrum (eg. Computer hardware and other electronics sub-sectors). Electronics industry like any other capital goods industry offers scope for vertical integration. Management of the firms in electronics industry should emphasize on vertical integration, expansion of scale of operations and should initiate R&D investments to build up R&D base, among others to improve TEC and TP. This would also help to check the decline in operating margin and returns from invested capital among the firms. Thus, improved managerial effectiveness and decision making do help in the form of generating thereby surpluses facilitating to achieve higher TP and even TEC. Regional and State governments should provide adequate policy support and appropriate industrial infrastructure to electronic firms which would in turn improve their managerial effectiveness and TFPG.

Aunque las diferencias entre países en la productividad total de los factores (TFP) sectorial está en el corazón de la teoría Ricardiana de comercio y en el de muchos modelos de crecimiento y desarrollo, muy poco se sabe acerca de su forma y tamaño. Los dos primeros artículos intentan rellenar esta brecha utilizando un modelo de comercio híbrido de Ricardo-Heckscher-Ohlin y datos bilaterales de comercio sectorial. Se brinda un conjunto comparable de productividades para sectores industriales en más de sesenta países en todas las etapas de desarrollo, y las estimaciones se aplican para probar teorías de desarrollo que tienen implicancias sobre el patrón de productividades sectoriales entre países. El tercer artículo se enfoca en los efectos de la liberalización comercial sobre la estructura productiva de los países. Se estiman matrices de transición que describen la dinámica de especialización en economías liberalizadas. La sección final del artículo relaciona empíricamente la especialización sectorial con la dotación e intensidad de factores

This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to deepen the analysis of important economic phenomena such as the effects of economic policy uncertainty on financial markets, and convergence between emerging market economies and advanced economies on these markets. The third chapter of the thesis, which is co-authored with Hafedh Bouakez, contributes to the literature on the identification of news shocks about future productivity. In the first chapter, I study the effect of monetary and fiscal policy uncertainty on nominal U.S. government bond yields and premiums. I use a New-Keynesian Dynamic Stochastic General Equilibrium model featuring recursive preferences, and both real and nominal rigidities. Policy uncertainty in the DSGE model is defined as a mean-preserving spread of the policy shock distributions. My results show that: (i) When the economy is subject to unpredictable shocks to the volatility of policy instruments, the level of the median yield curve is lower, its slope increases and risk premiums decrease relative to an economy with no stochastic volatility. This negative effect on the level of yields and premiums is due to the asymmetric impact of positive versus negative shocks; (ii) A typical policy risk shock increases yields at all maturities. This is because the fall in yields triggered by higher demand for bonds by households, in order to hedge against higher predicted consumption volatility, is outweighed by the increase in yields due to higher inflation risk premiums. Finally, I use several empirical measures economic policy uncertainty in a structural VAR model to show that the above effects of policy risk shocks on yields are consistent empirical evidence. Chapter 2 looks at the market for government bonds in 12 advanced economies and 8 emerging market economies, during the period 1999-2012, and consider the question of whether or not there has been any convergence of risk between emerging market and advanced economies. I distinguish between default risk and other types of risk, such as inflation, liquidity and exchange rate risk. I make the theoretical case that forward risk premium differentials can be used to distinguish default risk and other risks. I then construct forward risk premium differentials and use these to make the empirical case that there has been little convergence associated with the other types of risk. I also show that differences in countries' macroeconomic fundamentals and political risk play an important role in explaining the large "non-default" risk differentials observed between emerging and advanced economies. Chapter 3 proposes a novel strategy to identify anticipated and unanticipated technology shocks, which leads to results that are consistent with the predictions of conventional new-Keynesian models. It shows that the failure of many empirical studies to generate consistent responses to these shocks is due to impurities in the available TFP series, which lead to an incorrect identification of unanticipated technology shocks---whose estimated effects are inconsistent with the interpretation of these disturbances as supply shocks. This, in turn, contaminates the identification of news shocks. My co-author, Hafedh Bouakez, and I propose an agnostic identification strategy that allows TFP to be affected by both technological and non-technological shocks, and identifies unanticipated technology shocks via sign restrictions on the response of inflation. The results show that the effects of both surprise TFP shocks and news shocks are generally consistent with the predictions of standard new-Keynesian models. In particular, the inflation puzzle documented in previous studies vanishes under the novel empirical strategy. / Cette thèse présente de nouveaux résultats sur différentes branches de la littérature en macro-finance, économie internationale et macro-économétrie. Les deux premiers chapitres combinent des modèles théoriques et des techniques empiriques pour approfondir l’étude de phénomènes économiques importants tels que les effets de l’incertitude liée aux politiques économiques sur les marchés financiers et la convergence entre les pays émergents et les pays avancés sur ces marchés. Le troisième chapitre, qui est le fruit d’une collaboration avec Hafedh Bouakez, contribue à la littérature sur l’identification des chocs anticipés sur la productivité future. Dans le premier chapitre, j’étudie l’effet de l’incertitude relative aux politiques monétaire et fiscale sur les rendements et les primes de risque associés aux actifs nominaux du gouvernement des États-Unis. J’utilise un modèle d’équilibre stochastique et dynamique de type néo-Keynesien prenant en compte des préférences récursives des agents et des rigidités réelles et nominales. En utilisant un modèle VAR structurel. L’incertitude relative aux politiques économiques est définie comme étant une expansion de la distribution des chocs de politique, expansion au cours de laquelle la moyenne de la distribution reste inchangée. Mes résultats montrent que : (i) Lorsque l’économie est sujette à des chocs imprévisibles sur la volatilité des instruments de politique, le niveau médian de la courbe des rendements baisse de 8,56 points de base, sa pente s’accroît de 13,5 points de base et les primes de risque baissent en moyenne de 0.21 point de base. Cet effet négatif sur le niveau de rendements et les primes de risque est dû à l’impact asymétrique des chocs de signes opposés mais de même amplitude; (ii) Un choc positif à la volatilité des politiques économiques entraîne une hausse des rendements pour toutes les durées de maturité. Cet effet s’explique par le comportement des ménages qui, à la suite du choc, augmentent leur demande de bons dans le but de se prémunir contre les fortes fluctuations espérées au niveau de la consommation, ce qui entraîne des pressions à la baisse sur les rendements. De façon simultanée, ces ménages requièrent une hausse des taux d’intérêt en raison d’une espérance d’inflation future plus grande. Les analyses montrent que le premier effet est dominant, entraînant donc la hausse des rendements observée. Enfin, j’utilise plusieurs mesures empiriques d’incertitude de politiques économiques et un modèle VAR structurel pour montrer les résultats ci-dessus sont conformes avec les faits empiriques. Le Chapitre 2 explore le marché des bons du gouvernement de 12 pays avancés et 8 pays émergents, pendant la période 1999-2012, et analyses la question de savoir s’il y a eu une quelconque convergence du risque associé à ces actifs entre les deux catégories de pays. Je fais une distinction entre risque de défaut et autres types de risque, comme ceux liés au risque d’inflation, de liquidité ou de change. Je commence par montrer théoriquement que le différentiel au niveau des primes de risque « forward » entre les deux pays peut être utilisé pour faire la distinction entre le risque « forward » et les utilise pour montrer qu’il est difficile de conclure que ces autres types de risque dans les pays émergents ont convergé vers les niveaux différents de risque politique, jouent un rôle important dans l’explication des différences de primes de risque – autres que celles associées au risque de défaut– entre les pays émergents et les pays avancés. Le Chapitre 3 propose une nouvelle stratégie d’identification des chocs technologiques anticipés et non-anticipés, qui conduit à des résultats similaires aux prédictions des modèles néo-Keynésiens conventionnels. Il montre que l’incapacité de plusieurs méthodes empiriques à générer des résultats rejoignant la théorie est due à l’impureté des données existences sur la productivité totale des facteurs (TFP), conduisant à mauvaise identification des chocs technologiques non-anticipés-dont les effets estimés ne concordent pas avec l’interprétation de tels chocs comme des chocs d’offre. Ce problème, à son tour, contamine l’identification des chocs technologiques anticipés. Mon co-auteur, Hafedh Bouakez, et moi proposons une stratégie d’identification agnostique qui permet à la TFP d’être affectée de façon contemporaine par deux chocs surprises (technologique et non technologique), le premier étant identifié en faisant recours aux restrictions de signe sur la réponse de l’inflation. Les résultats montrent que les effets des chocs technologiques anticipés et non-anticipés concordent avec les prédictions des modèles néo-Keynésiens standards. En particulier, le puzzle rencontré dans les travaux précédents concernant les effets d’un choc non-anticipé sur l’inflation disparaît lorsque notre nouvelle stratégie est employée.