De acordo com a teoria de finanças, gestão de riscos financeiros pode gerar valor para o acionista, em função das imperfeições do mercado. Dessa forma, esta pesquisa examinou se existe relação entre a gestão de riscos financeiros e geração de valor ao acionista. Utilizou-se a base de dados Economática® e as notas explicativas de forma a obter informações das variáveis indicadas pela literatura internacional e nacional. Foram analisadas, manualmente, 1.681 notas explicativas e o Q de Tobin foi utilizado como proxy do valor da empresa. A amostra foi composta por empresas não financeiras no período de 2006 a 2014. Nesse período de análise, ocorreram dois eventos relevantes: crise subprime de 2008 e a adoção completa das IFRS em 2010. No total, foram 1.794 observações analisadas nesta pesquisa. Foram utilizadas cinco estratégias de estimação dos parâmetros: MQO, Efeitos Fixos e Efeitos Aleatórios, dados em painel com termos de erro AR(1) e GMM com objetivo de contornar os problemas encontrados nas estimações, tais como: heterocedasticidade, autocorrelação e endogeneidade. Dessa forma, após a análise das estimações econométricas, verificou-se que as empresas que utilizaram derivativos não agregaram valor nesse período de análise. Uma explicação para esse resultado é que, aparentemente, as empresas utilizam derivativos com objetivo de controlar o caixa e não o de criar valor. Esta pesquisa não encontrou evidências de que a decisão de fazer Hedge Accounting afeta o valor das empresas. Quanto aos impactos da crise, verificou-se que as empresas usuárias de derivativos foram afetadas positivamente pelas oscilações do Ibovespa. Porém, ao analisar os efeitos globais da crise, constatou-se que a crise impactou negativamente o valor de todas as empresas da amostra. Por fim, os resultados não mostraram consistência acerca dos efeitos da adoção de IFRS sobre o valor das empresas / According to the finance theory, financial risk management can create value for the shareholder, due to market imperfections. Thus, this research examined if there is a relationship between financial risk management and the generation of value for the shareholder. The Economática® database and the explanatory notes were used in order to obtain informations about the variables indicated by the international and national literature. 1,681 explanatory notes were manually analyzed and the Tobin\'s Q was used as proxy for the company\'s value. The sample was composed by non-financial companies during the period of 2006 to 2014 and two significant events happened during this period: the 2008 subprime crisis and the full adoption of IFRS in 2010. In total, 1,794 observations were analized in this research and five strategies adopted for the estimation of the parameters: OLS, Fixed and Random Effects, panel data with error terms of AR (1) and GMM in order to overcome estimation problems, such as heteroscedasticity, autocorrelation and endogeneity. Thus, from the econometrics estimations, it was found that the companies which used derivatives did not create value during the period analysed. Apparently, one explanation for this result is that most of the companies use derivatives in order to manage cash flow and not create value. Furthermore, this research found no evidence that hedge accounting affects the value of companies. Regarding to the impacts of the crisis, it was found that companies using derivatives were positively affected by the fluctuations in Ibovespa. However, when the overall effects of the crisis are considered, it was found that the crisis negatively impacted the value of all the companies studied. Finally, the results were not consistent about the effects of the adoption of the IFRS on the value of companies

De acordo com a teoria de finanças, gestão de riscos financeiros pode gerar valor para o acionista, em função das imperfeições do mercado. Dessa forma, esta pesquisa examinou se existe relação entre a gestão de riscos financeiros e geração de valor ao acionista. Utilizou-se a base de dados Economática® e as notas explicativas de forma a obter informações das variáveis indicadas pela literatura internacional e nacional. Foram analisadas, manualmente, 1.681 notas explicativas e o Q de Tobin foi utilizado como proxy do valor da empresa. A amostra foi composta por empresas não financeiras no período de 2006 a 2014. Nesse período de análise, ocorreram dois eventos relevantes: crise subprime de 2008 e a adoção completa das IFRS em 2010. No total, foram 1.794 observações analisadas nesta pesquisa. Foram utilizadas cinco estratégias de estimação dos parâmetros: MQO, Efeitos Fixos e Efeitos Aleatórios, dados em painel com termos de erro AR(1) e GMM com objetivo de contornar os problemas encontrados nas estimações, tais como: heterocedasticidade, autocorrelação e endogeneidade. Dessa forma, após a análise das estimações econométricas, verificou-se que as empresas que utilizaram derivativos não agregaram valor nesse período de análise. Uma explicação para esse resultado é que, aparentemente, as empresas utilizam derivativos com objetivo de controlar o caixa e não o de criar valor. Esta pesquisa não encontrou evidências de que a decisão de fazer Hedge Accounting afeta o valor das empresas. Quanto aos impactos da crise, verificou-se que as empresas usuárias de derivativos foram afetadas positivamente pelas oscilações do Ibovespa. Porém, ao analisar os efeitos globais da crise, constatou-se que a crise impactou negativamente o valor de todas as empresas da amostra. Por fim, os resultados não mostraram consistência acerca dos efeitos da adoção de IFRS sobre o valor das empresas / According to the finance theory, financial risk management can create value for the shareholder, due to market imperfections. Thus, this research examined if there is a relationship between financial risk management and the generation of value for the shareholder. The Economática® database and the explanatory notes were used in order to obtain informations about the variables indicated by the international and national literature. 1,681 explanatory notes were manually analyzed and the Tobin\'s Q was used as proxy for the company\'s value. The sample was composed by non-financial companies during the period of 2006 to 2014 and two significant events happened during this period: the 2008 subprime crisis and the full adoption of IFRS in 2010. In total, 1,794 observations were analized in this research and five strategies adopted for the estimation of the parameters: OLS, Fixed and Random Effects, panel data with error terms of AR (1) and GMM in order to overcome estimation problems, such as heteroscedasticity, autocorrelation and endogeneity. Thus, from the econometrics estimations, it was found that the companies which used derivatives did not create value during the period analysed. Apparently, one explanation for this result is that most of the companies use derivatives in order to manage cash flow and not create value. Furthermore, this research found no evidence that hedge accounting affects the value of companies. Regarding to the impacts of the crisis, it was found that companies using derivatives were positively affected by the fluctuations in Ibovespa. However, when the overall effects of the crisis are considered, it was found that the crisis negatively impacted the value of all the companies studied. Finally, the results were not consistent about the effects of the adoption of the IFRS on the value of companies

Made available in DSpace on 2016-03-15T19:26:27Z (GMT). No. of bitstreams: 1 ANTONIO CARBONARI FILHOprot.pdf: 7746403 bytes, checksum: 090ae54add5a18fe0bcdc981c3113846 (MD5) Previous issue date: 2015-08-05 / Over the past few years, banks have always been present at the epicenter of the biggest financial crises. Adopting policies that reduce the occurrence of banking crises is important to ensure peace and security for its depositors and investors. Thus, policymakers adopted the capital as regulatory measure, which required banks greater control in relation to its risk assets. The capital also plays a fundamental role in the soundness and credibility of banks. Another important aspect of bank capital is its relationship with profitability and risk. With the capital increase, banks become less vulnerable to risk, ultimately reducing the occurrence of problems in a bank. Thus, the impact on profitability is positive in the profitability of banks, as it reduces their cost of funding and improve its perception in the market. Several studies relate capital to risk or profitability. The aim of this study, however, was to simultaneously analyze the impact of capital on profitability and risk in the Brazilian financial system. Four dependent variables of profitability and risk were used, and other explanatory variables such as those specific to banks, a measure of bank concentration and macroeconomic variables were also used. The study was conducted with the 50 largest banks considering the asset volume through a Generalized Method of Moments technique (GMM) between the period 2006-2014. The hypotheses relating the effect of capital on risk and profitability of banks showed positive results. Banks are benefited when they increase their capital with a positive impact on profitability variables. Furthermore, from the moment banks increase their risk, there is an adjustment in the level of capital upwards. Considering the importance of this sector for any economy, the study confirms the ability of Brazilian banks to prove themselves solid and profitable and at the same time taking the capital as an important factor of these achievements. / Ao longo dos últimos anos, os bancos sempre estiveram presentes no epicentro das maiores crises financeiras. Adotar políticas que reduzam a ocorrência de crises bancárias é importante para garantir tranquilidade e segurança para seus depositantes e investidores. Assim, os formuladores de políticas adotaram o capital como medida regulatória, o que exigiu dos bancos maior controle na relação com seus ativos de riscos. O capital também exerce papel fundamental na solidez e credibilidade dos bancos. Outro importante ponto do capital dos bancos é a sua relação com rentabilidade e risco. Com aumento de capital, os bancos tornamse menos vulneráveis a risco, o que acaba reduzindo a ocorrência de um banco vir a apresentar problemas. Desta forma, o impacto na rentabilidade se mostra positivo nos bancos, pois reduz seus custos de captação e melhora sua percepção junto ao mercado. Vários estudos relacionam capital com o risco ou com a rentabilidade. O objetivo deste trabalho, porém, foi buscar estudar simultaneamente o impacto do capital na rentabilidade e risco no sistema financeiro brasileiro com quatro variáveis dependentes de rentabilidade e de risco. Algumas variáveis explicativas tais como as que são especificas para bancos, uma medida de concentração bancária e variáveis macroeconômicas. O estudo foi realizado com os 50 maiores bancos brasileiros considerando o volume de ativo, por meio de um modelo de método generalizado dos momentos sistêmicos (GMM) entre o período de 2006 a 2014. As hipóteses levantadas relacionando o efeito do capital no risco e com a rentabilidade dos bancos, apresentaram resultados favoráveis. Os bancos são beneficiados quando aumentam seu capital com impacto positivo nas variáveis de rentabilidade. Além disso, a partir do momento em que bancos aumentam seu risco, há um ajuste no nível de capital para cima. Considerando a importância desse setor para qualquer economia, o estudo confirma a capacidade de os bancos brasileiros se mostrarem sólidos e ao mesmo tempo lucrativos, tendo o capital como um importante fator dessas conquistas.

Made available in DSpace on 2015-05-08T14:44:45Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1952283 bytes, checksum: 5a9f80c58d2a69a976645012d5d1ff8e (MD5) Previous issue date: 2012-02-14 / Conselho Nacional de Desenvolvimento Científico e Tecnológico / This paper aims to explain the theme of public spending and its relationship with economic growth, bringing a literature review national, international and an analysis of the influence of certain expenditures by function on economic growth in municipalities from Paraiba. Such expenses would be with: Assistance and Social Welfare, Health and Sanitation, Education and Culture, Public Safety, Housing and Urban Development, Legislative, Administration and Planning. For this analysis, we used panel data from a sample of 212 of the 223 municipalities from Paraíba between 2000 and 2008, a dynamic approach by Generalized Method of Moments-System (System-GMM) proposed by Arellano and Bond (1991), Arellano and Bover (1995) and developed by Blundell and Bond (1998). And as a theoretical model, we adopted an extension of the production function of Barro (1990). The proxy for the stock of physical capital is the consumption of electricity for industrial and commercial city of Paraiba, whereas the stock of human capital was created by counting the number of people with eight years of study, plus the flow of conclusive primary education by municipality and also the number of people aged 12 or more of study, along with the flow conclusive school each year by the municipality from Paraíba. To achieve the proposed objective, the study tried to find out what is the relationship between public spending and economic growth of municipalities from Paraíba. Overall, the results corroborate the literature, the point at which government spending influence the product formation and public investment in physical capital and human capital can raise the productivity of the economy. The results show that only the capital human measured by elementary school, was also relevant for the growth of municipalities from Paraíba and the impact is greater than this physical capital. Spending on Public Safety, Welfare and Pension Plan, Planning and Administration and bear no relation to the product. Legislative expenses had the highest elasticity product, while spending on Education and Culture, Health and Sanitation, and Housing and Urban Development have low elasticity products, thus influencing modest economic growth. / O presente trabalho tem o intuito de explanar o tema dos gastos públicos e sua relação com o crescimento econômico, trazendo uma revisão da literatura nacional, da internacional e uma análise da influência de algumas despesas por função sobre o crescimento econômico nos municípios paraibanos. Tais despesas seriam com: Assistência e Previdência Social, Saúde e Saneamento, Educação e Cultura, Segurança Pública, Urbanismo e Habitação, Legislativo, Administração e Planejamento. Para essa análise, foram utilizados dados em painel de uma amostra de 212 dos 223 municípios paraibanos no período de 2000 a 2008, em uma abordagem dinâmica por Método dos Momentos Generalizado-Sistema (System-GMM), proposto por Arellano e Bond (1991), Arellano e Bover (1995) e desenvolvido por Blundell e Bond (1998). E como modelo teórico, adotou-se uma extensão da função de produção de Barro (1990). A proxy utilizada para o estoque de capital físico é o consumo de energia elétrica industrial e comercial por município paraibano; já o estoque de capital humano foi criado a partir da contagem do número de pessoas com 8 anos de estudo, somado ao fluxo de concludentes do ensino fundamental por município, também, o número de pessoas com 12 anos ou mais de estudo, somado ao fluxo de concludentes do ensino médio a cada ano, por município paraibano. Para a consecução do objetivo proposto, no presente trabalho tentou-se encontrar para os municípios paraibanos, qual a relação entre as despesas públicas e o seu crescimento econômico (PIB per capita municipal). Em termos gerais, os resultados corroboram com a literatura, no ponto em que os gastos públicos influenciam na formação do produto, e investimentos públicos em Capital Físico e Capital Humano podem elevar a produtividade da economia. Os resultados mostram que, apenas o Capital Humano, medido pelo ensino fundamental, se mostrou relevante para o crescimento dos municípios paraibanos e que o impacto deste é maior do que o Capital Físico. Os gastos com Segurança Pública, Assistência e Previdência, e Administração e Planejamento não apresentam relação com o produto. As despesas com Legislativo apresentaram a maior elasticidade-produto, enquanto que os gastos com Educação e Cultura, Saúde e Saneamento, e Habitação e Urbanismo têm baixa elasticidade-produto, influenciando de forma modesta o crescimento econômico.

nÃo hà / O estudo analisa a dinÃmica recente da inflaÃÃo brasileira. Considerando ambientes distintos de expectativas, procura-se observar como um possÃvel comportamento discricionÃrio da autoridade monetÃria pode interferir nas expectativas forward-looking dos agentes e de que forma essa interferÃncia pode atuar sobre a resposta da inflaÃÃo Ãs oscilaÃÃes nos ciclos econÃmicos e nas expectativas backward-looking e forward-looking no arcabouÃo da CPNK. Para tal, faz-se uso de estimaÃÃes GMM-HAC da CPNK e de sua versÃo hÃbrida. Os resultados sugerem que, em um ambiente de maior incerteza, a inflaÃÃo tanto se mostra mais sensÃvel Ãs oscilaÃÃes nos ciclos econÃmicos como tem o seu componente inercial majorado. / This work analyzes the recent dynamics of Brazilian inflation expectations considering different environments to observe how a possible discretionary behavior of the monetary authority can interfere with forward-looking expectations of agents and how this interference can act on the response of inflation to fluctuations in economic cycles and the backward-looking and forward-looking expectations of agents in the NKPC framework. To do this, estimates of GMM-HAC and the NKPC, as well as its hybrid version, are used. The results suggest that in an environment of greate run certainty, inflation is shown to be much more sensitive to swings in economic cycles, as well as it shows an increase in its inertial component.

In the thesis, we examine the bank lending channel and the effect of banking market structure on the transmission of monetary policy in Georgia, Armenia, and Azerbaijan. We employ bank-level data for the period of 2011-2017 to detect if banks with different characteristics react differently to monetary policy shocks. Banking market structure is proxied by three measures-CR5, HHI, and Lerner Index. We estimate two types of models: dynamic (with system GMM) and static (with FE) models. We also consider the effect of dollarization on bank loan supply as well as on monetary policy. We do not find consistent evidence that banks react differently to monetary policy shocks depending on bank characteristics (size, capitalization, and liquidity). Hence the existence of the lending channel is not conclusive. Nevertheless, the results show that monetary policy is less effective in more concentrated markets. This finding is robust in all specifications with both types of models. In this sense, competition is not significant. The results also suggest that dollarization weakens the effect of domestic monetary policy. Keywords bank lending channel, CR5, HHI, Lerner Index, system GMM, dollarization Author's e-mail t.jvarize@yahoo.com Supervisor's e-mail janxmares@gmail.com

Ce mémoire de thèse concerne l’identification des facteurs de risque d’une maladie spécifique présentant une hétérogénéité spatiale au sein d’une région donnée. Plus particulièrement,nous nous sommes intéressés aux cancers des voies aéro-digestives supérieures(VADS) dans la région Nord-Pas-de-Calais (NPDC) en France. Pour cela, une étude cas témoins a d’abord été réalisée à partir de la création d’un échantillon d’individus sains qui n’étaient pas affectés par des tumeurs cancéreuses (les témoins) et d’un échantillon d’individus atteints du cancer (les cas - ou patients), recrutés dans les centres de soins dans le cadre des projets de recherche DEREDIA et NOFARIS. Concernant la méthodologie,des modèles binaires spatiaux répondant à l’objectif ont été développés à partir de travaux issus des domaines de recherche en statistique/économétrie des comportements(analyse des décisions) ainsi qu’en statistique spatiale. Un des apports méthodologiques de la thèse repose sur la combinaison de techniques provenant de ces deux champs de recherche. Dans une première partie, nous avons utilisé un modèle spatial binaire paramétrique contenant une variable spatiale latente de choix dans le cadre d’un échantillonnage des données. Ce problème est connu sous le nom de "Choice-Based Sampling" (CBS) dans les modèles discrets. Contrairement à l’échantillon aléatoire où tous les éléments de la population ont la même probabilité d’être choisi, l’échantillonnage CBS dans le modèle discret est un type d’échantillonnage dans lequel la classification de la population est faite sous forme de sous-ensembles (strates) basés sur des choix alternatifs. Dans ce contexte,l’utilisation de la procédure d’estimation par maximum de vraisemblance standard (MLE)dans le CBS pourrait mener à des estimations incohérentes (asymptotiquement biaisées).Nous avons adopté ainsi le principe du maximum de vraisemblance auprès de l’étude de scas-témoins spatiaux. Nous avons également fourni un estimateur des moments généralisés(GMM), basé sur les résidus généralisés. Dans une seconde partie, un modèle spatial binaire semi-paramétrique a été considéré. Nous présentons dans ces parties, une simulation de Monte Carlo pour étudier la performance des méthodes d’estimation au sein d’un échantillon final, que nous avons ensuite appliqué aux données du cancer VADS dans la région Nord-Pas-de-Calais. La troisième partie est consacrée à l’étude d’une fonction de risque spatiale en présence de données entachées d’erreurs. En effet, dans le cadre des données cas-témoins considérées, nous supposons que certaines données de type déclarative ne soient pas correctes. Une application de cette méthode à la cartographie du risque de développer un cancer VADS dans la région Nord-Pas-de-Calais a été étudiée. La dernière partie est consacrée à un modèle de durée spatial et son application aux données considérées. / This thesis concerns the identification of risk factors for a certain type of diseasepresenting a certain spatial heterogeneity in a given region.. More specifically, we are interested in cancers of the upper aerodigestive tract (UADT) cancers in the Nord-Pasde-Calais region (NPDC), France. For this, a case-control study was first carried out bycreating a sample of healthy individuals who are not affected by cancerous tumors (thecontrols) and a sample of individuals with cancer (Cases or patients), recruited in healthcenters as part of DEREDIA and NOFARIS research projects. From a methodologicalpoint of view, spatial binary models which meet the objective have been developed onthe basis of studies in statistical/behavioral econometrics (decision analysis) and spatialstatistics. One of the methodological contributions of the thesis on this plan is the combinationof techniques from these two fields of research.In the first part, we used a spatial binary parametric models containing spatial latentchoice variable in a context of sampling data. This problem is known as Choice-BasedSampling (CBS) in discrete choice model. Unlike the random sample where all items in the population have the same probability of being chosen, the Choice-Based Sampling indiscrete choice model is a type of sampling where the classification of the population intosubsets to be sampled is based on the choices or outcomes. In this context, the use ofstandard Maximum likelihood estimation (MLE) procedure in CBS could lead to an inconsistent(asymptotically biased) estimation. Thus, we adapt the principle of maximumlikelihood in our context of spatial case-control studies. We also provide a GMM estimatorbased on the generalized residuals.In the second part, a spatial semi-parametric binary model was considered. We present inthese parts a Monte Carlo experiment to investigate the finite sample performance of theseestimation methods, then we apply to the (UADT) cancer data in the Nord-Pas-de-Calaisregion.The third part is devoted to the study of a spatial risk function in the presence of datacontaminated by measurement errors. Indeed, in the context of the considered case-controlstudy, it is very likely that certain data transmitted by the patients is not correct. Anapplication of this method to the mapping of the risk of having UADT cancer in the Nord-Pas-de-Calais region was studied. The last part is devoted to a spatial duration modeland its application to the real data was considered.

The aim of this thesis is to examine clustering based outlier detection algorithms on their ability to detect abnormal events in flight traffic. A nominal model is trained on a data-set containing only flights which are labeled as normal. A detection scoring function based on the nominal model is used to decide if a new and in forehand unseen data-point behaves like the nominal model or not. Due to the unknown structure of the data-set three different clustering algorithms are examined for training the nominal model, K-means, Gaussian Mixture Model and Spectral Clustering. Depending on the nominal model different methods to obtain a detection scoring is used, such as metric distance, probability and OneClass Support Vector Machine. This thesis concludes that a clustering based outlier detection algorithm is feasible for detecting abnormal events in flight traffic. The best performance was obtained by using Spectral Clustering combined with a Oneclass Support Vector Machine. The accuracy on the test data-set was 95.8%. The algorithm managed to correctly classify 89.4% of the datapoints labeled as abnormal and correctly classified 96.2% of the datapoints labeled as normal. / Syftet med detta arbete är att undersöka huruvida klusterbaserad anomalidetektering kan upptäcka onormala händelser inom flygtrafik. En normalmodell är anpassad till data som endast innehåller flygturer som är märkta som normala. Givet denna normalmodell så anpassas en anomalidetekteringsfunktion så att data-punkter som är lika normalmodellen klassificeras som normala och data-punkter som är avvikande som anomalier. På grund av att strukturen av nomraldatan är okänd så är tre olika klustermetoder testade, K-means, Gaussian Mixture Model och Spektralklustering. Beroende på hur normalmodellen är modellerad så har olika metoder för anpassa en detekteringsfunktion används, så som baserat på avstånd, sannolikhet och slutligen genom One-class Support Vector Machine. Detta arbete kan dra slutsatsen att det är möjligt att detektera anomalier med hjälp av en klusterbaserad anomalidetektering. Den algoritm som presterade bäst var den som kombinerade spektralklustring med One-class Support Vector Machine. På test-datan så klassificerade algoritmen $95.8\%$ av all data korrekt. Av alla data-punkter som var märka som anomalier så klassificerade denna algoritm 89.4% rätt, och på de data-punkter som var märka som normala så klassificerade algoritmen 96.2% rätt.

This work analyses industry level Foreign Direct Investment (FDI) inflows in order to find out if their determinants are the same for all industries or if they differ and how. The second important question is if various qualitative variables as labour market or product market liberalization or taxation determines flows to individual industries. I analyse seven industries by System GMM model for period from 1994 till 2009. The results suggests that inflows to each industry are driven by distinct set of determinants. While there are nearly non-significant determinants for agriculture among explanatory variables I used, there is many of them significant for services. Concerning qualitative variables, labour market liberalization influence FDI inflows to manufacturing and mining, product market liberalization influence inflows to transportation and electricity, gas and water industry. The level of taxation seem to be significant determinant of FDI inflows to manufacturing. Keywords FDI, Foreign direct investment by industry, Structural reforms, Labour Market, Lib- eralization, GMM, taxation 4

Cette thèse s’articule autour de trois essais consacrés à l’analyse de la surliquidité bancaire dans les pays de la CEMAC. Le premier essai a cherché à identifier les déterminants de la surliquidité des pays membres de la CEMAC sur la période de 1985 à 2002. L’estimation GMM utilisé a permis de montrer que la surliquidité en Afrique Centrale dérive à la fois du comportement de précaution des banques commerciales et des facteurs exogènes. La grande prudence des banques peut s’expliquer par l’expérience de la crise financière des années 1980, la restructuration du système bancaire, l’instabilité des dépôts et un contexte économique très risqué. L’embellie du cours du pétrole alimente les réserves excédentaires due à la faible capacité d’absorption des pays de la zone. Dans le deuxième essai, il a été question d’identifier les canaux de transmission les plus opérationnels en Afrique Centrale. La modélisation VAR a permis de montrer que le taux d’intérêt est le canal le plus faible. C’est précisément la carence d’un marché financier qui ne permet pas d’assurer le rôle de recyclage de la liquidité bancaire et de la transmission de la politique monétaire. Dans le troisième essai, a été élaboré un modèle de prévision d’inflation dans un des pays membres de la CEMAC à savoir le Tchad. Les modèles BVAR se sont révélés en Afrique Centrale être plus efficaces que les outils traditionnels (AR, ARIMA, VAR).L’analyse de sensibilité entreprise par l’approche bayesienne indique que la surliquidité exercerait des tensions inflationnistes dans la zone. / This thesis is based on three essays focused on analysis of the excess liquidity in the CEMAC countries. The first one identifies the determinants of excess liquidity in developing countries by studying the case of CEMAC member countries from 1985 to 2002. The GMM estimator used has shown that the excess liquidity in Central Africa derived from both the prudence of commercial banks and exogenous factors. The precaution of Commercial Banks can be explained by the financial crisis in 1980s, the restructuring of the banking system, the instability of deposits and a very risky economic environment. The increasing in oil prices fueling excess reserves due to the low absorption capacity of countries in the region. In the second essay, it was discussed the transmission channels in Central Africa. The VAR model used has shown that the interest rate channel is the lowest. This is exactly the lack of a financial market that does not allow ensuring the function of the recycling of liquidity and the transmission of mone ary policy. At the last essay, it was developed a forecasting model of inflation in Chad which is member of CEMAC countries. BVAR models have been shown in Chad to be more effective than traditional tools (AR, ARIMA and VAR). A sensitivity analysis undertaken by the Bayesian approach indicates that the excess liquidity would exert inflationary pressures.