This thesis addresses the question, whether the impact of financial development on the relative and absolute indicators of poverty is dependent on the levels of the human capital present in an economy. To answer this question, first we develop a theoretical framework to explain the growth process in the context of financial development assuming that human capital is heterogeneous in terms of the skills and education people have. Then, by using the data sets based on five-year averages over 1960-2010 and 1980-2010, covering 107 developed and developing countries, we empirically investigate the extensions of the theoretical framework developed earlier. These extensions cover the relationships between: 1. Income inequality and economic growth 2. Financial development, human capital and income inequality, and 3. Financial development, human capital and poverty We provide empirical evidence using modern panel data techniques of dynamic and static GMM. The findings elucidate that income inequality and economic growth are inter-dependent on each other. There exists an inverse relationship between initial inequality and economic growth. The changes in income inequality follow the pattern identified by Kuznets (1955) known as Kuznets’ hypothesis. The results also show that financial development helps in reducing income inequalities and in alleviating poverty, only when there is a sufficient level of human capital available. On the basis of our findings we develop the term "effective financial development" which means that financial development is effective in accelerating growth levels, reducing income inequalities and alleviating poverty only if there is a sufficient level of human capital available. The empirical study covers multiple aspects of financial development like private credit extended by banks and other financial institutions, liquid liabilities and stock market capitalization. The results of the empirical investigations are robust to multiple data sets and various indicators of income inequality, financial development, poverty and human capital. The study also provides marginal analysis, which helps in understanding the impact of financial development on inequality and poverty at different levels of human capital. This research study of effective financial development can be a useful learning paradigm for the academics and researchers interested in growth economics and keen to learn how poverty and income inequality can be reduced effectively. This study can also be useful for the policy makers in the financial institutions, because it provides robust empirical evidence that shows that financial development cannot help in alleviating poverty and in reducing inequalities unless there is a sufficient level of human capital available. The findings can be useful for policy makers, particularly in the developing countries where high levels of income inequalities and poverty are big problems. This study explains the mechanism of how effective financial development can be used to reduce income inequalities and to alleviate poverty. It also explains the process of inter-linkages between financial development, human capital, inequality, economic growth and financial instability. The policy makers can also take advantage from the marginal analyses that illustrate the minimum levels of private credit and primary and secondary schooling above which the effects of financial development and human capital become significant in reducing inequalities and poverty.

Supply and demand in the World oil market are balanced through responses to price movement with considerable complexity in the evolution of underlying supply-demand expectation process. In order to be able to understand the price balancing process, it is important to know the economic forces and the behavior of energy commodity spot price processes. The relationship between the different energy sources and its utility together with uncertainty also play a role in many important energy issues. The qualitative and quantitative behavior of energy commodities in which the trend in price of one commodity coincides with the trend in price of other commodities, have always raised the questions regarding their interactions. Moreover, if there is any interaction, then one would like to know the extent of influence on each other. In this work, we undertake the study to shed a light on the above highlighted processes and issues. The presented study systematically deals with the development of stochastic dynamic models and mathematical, statistical and computational analysis of energy commodity spot price and interaction processes. Below we list the main components of the research carried out in this dissertation. (1) Employing basic economic principles, interconnected deterministic and stochastic models of linear log-spot and expected log-spot price processes coupled with non-linear volatility process are initiated. (2) Closed form solutions of the models are analyzed. (3) Introducing a change of probability measure, a risk-neutral interconnected stochastic model is derived. (4) Furthermore, under the risk-neutral measure, expectation of the square of volatility is reduced to a continuous-time deterministic delay differential equation. (5) The by-product of this exhibits the hereditary effects on the mean-square volatility process. (6) Using a numerical scheme, a time-series model is developed and utilized to estimate the state and parameters of the dynamic model. In fact, the developed time-series model includes the extended GARCH model as special case. (7) Using the Henry Hub natural gas data set, the usefulness of the linear interconnected stochastic models is outlined. (8) Using natural and basic economic ideas, interconnected deterministic and stochastic models in (1) are extended to non-linear log-spot price, expected log-spot price and volatility processes. (9) The presented extended models are validated. (10) Closed form solution and risk-neutral models of (8) are outlined. (11) To exhibit the usefulness of the non-linear interconnected stochastic model, to increase the efficiency and to reduce the magnitude of error, it was essential to develop a modified version of extended Kalman filtering approach. The modified approach exhibits the reduction of magnitude of error. Furthermore, Henry Hub natural gas data set is used to show the advantages of the non-linear interconnected stochastic model. (12) Parameter and state estimation problems of continuous time non-linear stochastic dynamic process is motivated to initiate an alternative innovative approach. This led to introduce the concept of statistic processes, namely, local sample mean and sample variance. (13) Then it led to the development of an interconnected discrete-time dynamic system of local statistic processes and (14) its mathematical model. (15) This paved the way for developing an innovative approach referred as Local Lagged adapted Generalized Method of Moments (LLGMM). This approach exhibits the balance between model specification and model prescription of continuous time dynamic processes. (16) In addition, it motivated to initiate conceptual computational state and parameter estimation and simulation schemes that generates a mean square sub-optimal procedure. (17) The usefulness of this approach is illustrated by applying this technique to four energy commodity data sets, the U. S. Treasury Bill Yield Interest Rate and the U.S. Eurocurrency Exchange Rate data sets for state and parameter estimation problems. (18) Moreover, the forecasting and confidence-interval problems are also investigated. (19) The non-linear interconnected stochastic model (8) was further extended to multivariate interconnected energy commodities and sources with and without external random intervention processes. (20) Moreover, it was essential to extend the interconnected discrete-time dynamic system of local sample mean and variance processes to multivariate discrete-time dynamic system. (21) Extending the LLGMM approach in (15) to a multivariate interconnected stochastic dynamic model under intervention process, the parameters in the multivariate interconnected stochastic model are estimated. These estimated parameters help in analyzing the short term and long term relationship between the energy commodities. These developed results are applied to the Henry Hub natural gas, crude oil and coal data sets.

Submitted by Andre Salerno (a.salerno@uol.com.br) on 2015-01-16T15:57:20Z No. of bitstreams: 1 Dissertação André Salerno versão pos banca.pdf: 1673849 bytes, checksum: 0504a07bec49830f6e9e88dc0cd5d055 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-01-16T16:00:17Z (GMT) No. of bitstreams: 1 Dissertação André Salerno versão pos banca.pdf: 1673849 bytes, checksum: 0504a07bec49830f6e9e88dc0cd5d055 (MD5) / Made available in DSpace on 2015-01-16T17:04:03Z (GMT). No. of bitstreams: 1 Dissertação André Salerno versão pos banca.pdf: 1673849 bytes, checksum: 0504a07bec49830f6e9e88dc0cd5d055 (MD5) Previous issue date: 2014-12-18 / The main objective of this study is to evaluate some determinants of working capital needs commonly studied in literature and to analyze how companies are moving toward a goal (target) of NTC. Such study is unprecedented in Brazil, as far as we know. In fact, there is a lack of substantial theories on working capital in the finance area and very few studies can be found. Those who choose to study this subject may see that due to its current stage, it has been researched with the support of more consolidated theoretical bases, such as capital structure. These studies have widely used the concept of goal/target to determine the optimal capital structure and the speed this structure adjusts itself to in order to optimize its resources. The fact that such definitions and/or more established theories on the topic do not exist yet set this study in motion. It uses speed adjustment towards a working capital goal as well as the Partial Adjustment Model (PAM) and the Generalized Method of Moments (GMM) as techniques to support this goal. With this unprecedented combination in the Brazilian market when it comes to working capital, we hope to bring new contributions to the academic and business communities. In order to get the data for this quantitative study, we used existing information from Economatica® and BCB - Central Bank of Brazil. These databases use the quarterly financial statements between the periods of December 21st 2007 to June 30th 2014 (adjusted by inflation - IPCA) of companies listed on the BM&FBovespa which have at least 15 consecutive periods (quarters) of data. A total of 2,000 observations and 105 companies were studied. As for the method, the Dynamic Data Panel (unbalanced) was used as well as the following techniques in order to reach the main goal of the study ('What is the speed of adjustment in Working Capital Requirement?'): the Partial Adjustment Model technique for the analysis of determinants of working capital needs and movement towards a goal and the Generalized Method of Moments (GMM) technique to control possible effects of endogeneity (BLUNDELL and BOND, 1998) and to solve problems with residual autocorrelation (PIRES, ZANI e NAKAMURA, 2013, p. 19) / O presente estudo - até onde se sabe inédito no Brasil – possui como principal objetivo avaliar alguns determinantes das necessidades de capital de giro comumente estudados na literatura e analisar de que forma as empresas se movimentam em direção a uma meta (target) de Net Trade Cycle (similar ao Ciclo de Caixa - CCC). Sabemos que o tema capital de giro ainda carece de teorias mais robustas dentro da área de finanças, e poucos estudos ainda são encontrados na literatura. Aqueles que decidem estudá-lo, observam que dado o seu atual estágio, ele tem sido pesquisado com o suporte de bases teóricas mais consolidadas, como por exemplo estrutura de capitais. Esses estudos têm se utilizado muito do conceito de meta para determinar a estrutura ótima de capitais, e com qual velocidade de ajuste procura-se adequar essa estrutura como forma de otimizar seus recursos. O fato de ainda não existir definições e/ou teorias mais definidas sobre o tema foi o grande motivador para a realização desse estudo, que emprega a velocidade de ajuste em direção a uma meta de capital de giro, utilizando como técnica para suporte a esse objetivo o Modelo de Ajustamento Parcial (MAP) e o Generalized Method of Moments (GMM). Com essa combinação inédita no mercado brasileiro quando o assunto é capital de giro, esperamos trazer novas contribuições para as comunidades acadêmicas e empresariais. Para a obtenção dos dados que compõem esse estudo de caráter quantitativo, utilizamos informações existentes na Economatica® e BCB – Banco Central do Brasil. Nessas bases de dados utilizamos os demonstrativos financeiros trimestrais entre os períodos de 31/Dez./2007 a 30/Jun./2014 (ajustados por inflação – IPCA) das empresas listadas na BM&FBovespa que possuíssem pelos menos 15 períodos (trimestres) consecutivos de dados, com isso chegamos a um total de um pouco mais de 2 mil observações e 105 empresas. Quanto ao método, utilizamos Painel de Dados Dinâmico (desbalanceado) e as seguintes técnicas foram empregadas como forma de atender ao principal objetivo do estudo ('Qual é a velocidade de ajuste das Necessidades de Capital de Giro?'): Modelo de Ajustamento Parcial para a análise dos determinantes das necessidades de capital de giro e movimentação em direção a uma meta e; Generalized Method of Moments (GMM) como técnica de controle aos possíveis efeitos de endogeneidade (BLUNDELL e BOND, 1998) e solução para o problema de autocorrelação residual (PIRES, ZANI e NAKAMURA, 2013, p. 19).

A adoção de uma moeda única por diferentes países muda significativamente a política econômica desses países. O objetivo desta dissertação, elaborada em forma de artigo, é estudar os efeitos da adoção do euro sobre a competitividade internacional dos países-membros da União Monetária Europeia (UME) com base no arcabouço teórico da teoria das áreas monetárias ótimas. A análise econométrica irá compreender um painel dinâmico com 12 países da UME nos períodos de 2002 a 2013 para inferir se a entrada de capitais teve impacto negativo na competitividade externa dos países periféricos da UME e como que os diferentes tipos de capitais interferiram sobre a taxa de câmbio real efetiva dos países da Zona do Euro. Conclui-se assim que não só a crise é capaz de permitir ganhos de competitividade entre os países da UME, como outros fatores mais desejáveis também, tal como a entrada de outros investimentos da conta financeira do balanço de pagamentos, a abertura comercial e os gastos do governo. Além disso, constata-se que o impacto da mobilidade de capital na competitividade é influenciado não só pelo tipo de capital como também pelo país que recebe esse fluxo. / Adopting a single currency in different countries changes significantly the economic policy of these countries. The objective of this dissertation, prepared in the form of an article is to study the effects of the adoption of the euro on the external competitiveness of member countries of the European Monetary Union (EMU) based on the theoretical framework of the theory of optimum currency areas. The econometric analysis will comprise a dynamic panel with 12 countries of the EMU in the period 2002-2013 to infer if the capital inflow had a negative impact on the external competitiveness of the peripheral countries of the EMU and how different types of capital flows interfered on the real effective exchange rate of the countries of the euro zone. It is therefore concluded that not only the crisis can allow gains in competitiveness between countries in the EMU, as more desirable factors as well, like the inflow of other investments of the financial account of the balance of payments, trade liberalization and government expenditures. In addition, it appears that the capital flows impact on competitiveness is influenced not only by the type of capital but also by the country that receives the flow.

A adoção de uma moeda única por diferentes países muda significativamente a política econômica desses países. O objetivo desta dissertação, elaborada em forma de artigo, é estudar os efeitos da adoção do euro sobre a competitividade internacional dos países-membros da União Monetária Europeia (UME) com base no arcabouço teórico da teoria das áreas monetárias ótimas. A análise econométrica irá compreender um painel dinâmico com 12 países da UME nos períodos de 2002 a 2013 para inferir se a entrada de capitais teve impacto negativo na competitividade externa dos países periféricos da UME e como que os diferentes tipos de capitais interferiram sobre a taxa de câmbio real efetiva dos países da Zona do Euro. Conclui-se assim que não só a crise é capaz de permitir ganhos de competitividade entre os países da UME, como outros fatores mais desejáveis também, tal como a entrada de outros investimentos da conta financeira do balanço de pagamentos, a abertura comercial e os gastos do governo. Além disso, constata-se que o impacto da mobilidade de capital na competitividade é influenciado não só pelo tipo de capital como também pelo país que recebe esse fluxo. / Adopting a single currency in different countries changes significantly the economic policy of these countries. The objective of this dissertation, prepared in the form of an article is to study the effects of the adoption of the euro on the external competitiveness of member countries of the European Monetary Union (EMU) based on the theoretical framework of the theory of optimum currency areas. The econometric analysis will comprise a dynamic panel with 12 countries of the EMU in the period 2002-2013 to infer if the capital inflow had a negative impact on the external competitiveness of the peripheral countries of the EMU and how different types of capital flows interfered on the real effective exchange rate of the countries of the euro zone. It is therefore concluded that not only the crisis can allow gains in competitiveness between countries in the EMU, as more desirable factors as well, like the inflow of other investments of the financial account of the balance of payments, trade liberalization and government expenditures. In addition, it appears that the capital flows impact on competitiveness is influenced not only by the type of capital but also by the country that receives the flow.

A adoção de uma moeda única por diferentes países muda significativamente a política econômica desses países. O objetivo desta dissertação, elaborada em forma de artigo, é estudar os efeitos da adoção do euro sobre a competitividade internacional dos países-membros da União Monetária Europeia (UME) com base no arcabouço teórico da teoria das áreas monetárias ótimas. A análise econométrica irá compreender um painel dinâmico com 12 países da UME nos períodos de 2002 a 2013 para inferir se a entrada de capitais teve impacto negativo na competitividade externa dos países periféricos da UME e como que os diferentes tipos de capitais interferiram sobre a taxa de câmbio real efetiva dos países da Zona do Euro. Conclui-se assim que não só a crise é capaz de permitir ganhos de competitividade entre os países da UME, como outros fatores mais desejáveis também, tal como a entrada de outros investimentos da conta financeira do balanço de pagamentos, a abertura comercial e os gastos do governo. Além disso, constata-se que o impacto da mobilidade de capital na competitividade é influenciado não só pelo tipo de capital como também pelo país que recebe esse fluxo. / Adopting a single currency in different countries changes significantly the economic policy of these countries. The objective of this dissertation, prepared in the form of an article is to study the effects of the adoption of the euro on the external competitiveness of member countries of the European Monetary Union (EMU) based on the theoretical framework of the theory of optimum currency areas. The econometric analysis will comprise a dynamic panel with 12 countries of the EMU in the period 2002-2013 to infer if the capital inflow had a negative impact on the external competitiveness of the peripheral countries of the EMU and how different types of capital flows interfered on the real effective exchange rate of the countries of the euro zone. It is therefore concluded that not only the crisis can allow gains in competitiveness between countries in the EMU, as more desirable factors as well, like the inflow of other investments of the financial account of the balance of payments, trade liberalization and government expenditures. In addition, it appears that the capital flows impact on competitiveness is influenced not only by the type of capital but also by the country that receives the flow.

V předložené práci se zabýváme problematikou stochastického modelování úro- kových sazeb. Jedním z nejobvyklejších postup· je modelovat dynamiku úroko- vých sazeb pomocí stochastické diferenciální rovnice difúze, jejímiž základními kameny jsou funkce driftu a funkce difúze. Od 70. let 20. století byla navržena celá řada model· tohoto typu, a ačkoli se tyto modely neustále zdokonalují, vyvstává přirozená otázka, zda se historicky pozorované úrokové sazby skutečně takovými difúzními rovnicemi řídily. V této práci budeme právě uvedenou hypo- tézu testovat pro několik nejběžnějších jednofaktorových model· úrokové sazby první generace. Z historických dat odhadneme obecnou momentovou metodou a metodou maximální věrohodnosti parametry jednotlivých difúzních rovnic a následně provedeme statistické testy dobré shody proložení těchto rovnic pozo- rovanými daty. 1

La présente thèse contribue à la littérature sur trois principaux axes de recherche relatifs à la structure du capital: les déterminants de la structure du capital, la profitabilité et la demande de travail. (i) Le fondement théorique des déterminants de la structure du capital montre qu’il existe trois modèles qui peuvent expliquer la structure du capital: la théorie de ratio optimal d’endettement, la théorie hiérarchique de financement et récemment la théorie de market timing. De plus, l’évaluation empirique montre un effet positif des coûts d’ajustement et de la garantie. Par contre, l’opportunité de croissance, l’impôt non lié à la dette et la rentabilité sont corrélés de façon négative avec l’endettement. (ii) L’impact de la structure du capital sur la profitabilité peut être expliqué par trois théories essentielles: la théorie du signal, l’influence de la fiscalité et la théorie de l’agence. L’analyse empirique a permis de distinguer trois groupes différents de secteurs: pour le premier groupe, la structure du capital n’a aucune incidence sur la profitabilité. Le deuxième, c’est le groupe où l’endettement affecte négativement la profitabilité de manière linéaire. Le dernier groupe se caractérise par la présence d’un effet négatif de façon linéaire et non linéaire (iii) Théoriquement, un impact négatif de la structure du capital sur la demande de travail est prévu. L’application empirique montre une hétérogénéité des comportements entre les secteurs en ce qui concerne l’effet de l’endettement sur la demande de travail, donc, il existe aussi trois groupes différents de secteurs (pas d’effet, effet négatif linéaire et effet négatif linéaire et non linéaire). De plus, la magnitude de l’effet de l’endettement sur la demande de travail et sur la profitabilité dépend, non seulement du secteur, mais aussi de la taille d’entreprise. / This thesis contributes to the literature in three main areas of research about capital structure: the determinants of capital structure, the profitability and the labour demand. (i) The theoretical basis of the determinants of capital structure shows that there are three models that explains the capital structure: Trade-Off theory, Pecking Order theory and Market Timing theory. Further, the empirical evaluation shows a positive effect of the adjustment costs and the tangibility. On the other hand, growth opportunity, non-debt tax shield and profitability are negatively correlated with debt. (ii) The impact of capital structure on profitability can be explained by three essential theories: signal theory, tax theory and the agency costs theory. The empirical analysis allowed to distinguish three different groups of sectors: for the first group, the capital structure has no impact on profitability. The second, it is the group where the debt affects negatively the profitability in a linear way. The last group is characterized by the presence of a negative effect in a linear and nonlinear way. (iii) Theoretically, a negative impact of the capital structure on labour demand is expected. The empirical application shows heterogeneity of behavior between sectors regarding the impact of debt on the demand for labor; therefore, there are three different groups of sectors (i.e. no effect, negative linear effect, and linear and non linear negative effect). Furthermore, the magnitude of the effect of debt on the labour demand and on the profitability depends not only of the sector, but also of the size of company.

La thèse s’intéresse à l’étude du fonctionnement d’un système industriel. Il s’agit de proposer et de développer un nouveau modèle pour modéliser la dégradation accumulative d’un système. Le processus gamma standard est fréquemment utilisé pour étudier l’évolution de la détérioration d’un système. Toutefois, ce processus peut s’avérer inadapté pour décrire le phénomène de dégradation car le rapport variance sur moyenne est constant dans le temps, ce qui est relativement restrictif en pratique. Afin de surmonter cette restriction, nous proposons d’utiliser un processus gamma étendu introduit par Cinlar (1980), qui ne souffre plus de cette restriction. Mais ce dernier présente quelques difficultés techniques. A titre d’exemple, la loi d’un processus gamma étendu n’est pas connue sous une forme explicite. Ces difficultés techniques ont conduit Guida et al. (2012) à utiliser une version discrète d’un processus gamma étendu. Nous travaillons ici avec la version originale d’un processus gamma étendu en temps continu. Le but de ce mémoire est de développer des méthodes numériques permettant de quantifier les quantités fiabilistes associées et de développer des méthodes statistiques d’estimation des paramètres du modèle. Aussi, une autre partie de ce travail consiste à proposer une politique de maintenance dans le contexte d’un processus gamma étendu. / This thesis is dedicated to study the functioning of an industrial system. It is about proposing and developing a new model for modelling the accumulative degradation of a system. The standard gamma process is widely used to model the evolution of the system degradation. A notable restriction of a standard gamma process is that its variance-to-mean ratio is constant over time. This may be restrictive within an applicative context. To overcome this drawback, we propose to use an extended gamma process, which was introduced by Cinlar (1980). However, there is a cost and the use of an extended gamma process presents some technical difficulties. For example, there is no explicit formula for the probability distribution of an extended gamma process. These technical difficulties have lead Guida et al. (2012) to use a discrete version of an extended gamma process. We here propose to deal with the original continuous time version. The aim of this work is to develop numerical methods in order to compute the related reliability function and to develop statistical methods to estimate the parameters of the model. Also, another part of this work consists of proposing a maintenance policy within the context of an extended gamma process.

Empirical trade economists have found that shocks on foreign direct investment (FDI) of some parent country in a host country affect the same parent country´s FDI in other hosts (interdependent hosts). Independent of this, there is evidence that shocks on a parent country´s FDI in some host economy affect other parent countries´ FDI in the same host (interdependent parents). In general equilibrium, shocks on FDI between any country pair will affect all country-pairs´ FDI in the world, including anyone of the two countries in a pair as well as third countries (interdependent third countries). No attempt has been made so far to allow simultaneously for all three modes of interdependence of FDI. Using cross-sectional data on FDI among 22 OECD countries in 2000, we employ a spatial feasible generalized two-stage least squares and generalized moments estimation framework to allow for all three modes of interdependence across all parent and host countries, thereby distinguishing between market-size-related and remainder interdependence. Our results highlight the complexity of multinational enterprises´ investment strategies and the interconnectedness of the world investment system (authors' abstract). / Series: Department of Economics Working Paper Series