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Este estudo teve como objetivo analisar a interação entre preços internos e externos do algodão para determinar se a abertura comercial ocorrida na década de noventa representou efetivamente um aumento da influência dos preços externos sobre os preços internos da pluma no país. A escolha do algodão deve-se à sua trajetória recente, marcada pela rápida transição de um produto de exportação (ou potencialmente exportável) para um produto de importação durante boa parte da década de noventa. Esta transição foi causada basicamente pela abertura comercial e desregulamentação do mercado ocorridas no início da década que causaram uma maciça entrada do produto estrangeiro no país. A metodologia escolhida foi a análise de co-integração, especificamente o Procedimento de Johansen. A análise de co-integração é recomendável quando são utilizadas variáveis não-estacionárias, o que inviabiliza o uso do modelo de regressão simples para estabelecer a relação entre as variáveis. A não-estacionariedade das variáveis num contexto de regressão linear simples invalida as inferências baseadas nos testes t e F e impede o correto estabelecimento de relações de equilíbrio entre elas. Caso as variáveis sejam co-integradas, entretanto, é possível estabelecer tais relações e analisar o comportamento de curto e longo prazo entre as variáveis. Desta forma, foram escolhidas quatro séries de preços para representarem os preços internos e externos. O preço interno foi representado pela série CONAB e o preço externo pelas séries Cotlook A, Cotlook B e Nova York. Utilizando preços referentes ao período de janeiro de 1982 a setembro de 2001, o mercado brasileiro e o norte-americano, representados pelos índices CONAB e Nova York, foram considerados integrados, ou seja, choques ocorridos em um mercado foram transmitidos ao outro mercado no longo prazo. Testando o grau de integração entre estes mercados, concluímos que eles podem ser considerados perfeitamente integrados neste período, ou seja, a variação no preço de um mercado foi transmitida de maneira completa ao outro mercado no longo prazo. Os resultados referentes à década de oitenta mostraram que o mercado brasileiro de algodão em pluma pode ser considerado como um mercado fechado neste período, pois os preços internos representados pelo índice CONAB não participaram do equilíbrio de longo prazo com os demais preços. Este resultado deve-se à grande intervenção governamental no mercado de algodão observada no período, que impedia que grandes quedas ou aumentos de preços internacionais fossem incorporados aos preços internos. Em relação à década de noventa, os resultados indicam que o mercado brasileiro pode ser considerado integrado aos mercados internacionais. De forma geral, os resultados demonstram empiricamente a modificação ocorrida no mercado brasileiro de algodão na década de noventa, demonstrando que este mercado é significativamente mais integrado às variáveis internacionais do que na década de oitenta. / This study had as objective to analyze the interaction among internal and external prices of cotton to determine if the commercial liberalization occurred in the nineties represented an influence increase of external prices on internal prices of cotton feather in Brazil. The choice of cotton is due to its recent trajectory, marked by fast transition of an export product (or potentially exportable) for an import product during most part of the nineties. This transition was caused basically by the commercial liberalization and market deregulation occurred in the beginning of the decade, which caused a massive entrance of the foreign product in Brazil. The chosen methodology was cointegration analysis, specifically the Johansen Procedure. The cointegration analysis is advisable when nonstationary variables are used, which makes unfeasible to use the simple regression model to establish the relationship among the variables. The nonstationarity of the variables in a context of simple linear regression invalidates the inferences based on the t- and F-tests and it impedes correct establishment of equilibrium relationships among them. If the variables are cointegrated, however, it is possible to establish such relationships and to analyze short and long-term behavior among variables. In this manner, four series were chosen to represent the internal and external prices. The internal price was represented by the CONAB series and the external prices by the series: Cotlook A, Cotlook B and New York. Analyzing the period of January, 1982 to September, 2001, Brazilian and North American market, represented by the series CONAB and New York, were considered integrated, that means, shocks happened in a market were transmitted to the other market in the long-term. Testing the integration degree among these markets, we concluded that they could be considered perfectly integrated in this period, which means, price variation in a market was transmitted to the other market in a complete way in the long-term. The results concerning the eighties showed that cotton Brazilian market can be considered as a closed market in this period, because the internal prices represented by the series CONAB didn't participate of long-term equilibrium with other prices. This result is due to great government intervention in cotton market observed in this period, which impeded that great falls or increases of international prices were incorporate to internal prices. The results concerning the nineties indicate that Brazilian market can be considered integrated to international markets. In a general way, the results demonstrate empirically the modification occurred in cotton Brazilian market in the nineties, demonstrating that this market is significantly more integrated to international variables than in the eighties.

Este estudo teve como objetivo analisar a interação entre preços internos e externos do algodão para determinar se a abertura comercial ocorrida na década de noventa representou efetivamente um aumento da influência dos preços externos sobre os preços internos da pluma no país. A escolha do algodão deve-se à sua trajetória recente, marcada pela rápida transição de um produto de exportação (ou potencialmente exportável) para um produto de importação durante boa parte da década de noventa. Esta transição foi causada basicamente pela abertura comercial e desregulamentação do mercado ocorridas no início da década que causaram uma maciça entrada do produto estrangeiro no país. A metodologia escolhida foi a análise de co-integração, especificamente o Procedimento de Johansen. A análise de co-integração é recomendável quando são utilizadas variáveis não-estacionárias, o que inviabiliza o uso do modelo de regressão simples para estabelecer a relação entre as variáveis. A não-estacionariedade das variáveis num contexto de regressão linear simples invalida as inferências baseadas nos testes t e F e impede o correto estabelecimento de relações de equilíbrio entre elas. Caso as variáveis sejam co-integradas, entretanto, é possível estabelecer tais relações e analisar o comportamento de curto e longo prazo entre as variáveis. Desta forma, foram escolhidas quatro séries de preços para representarem os preços internos e externos. O preço interno foi representado pela série CONAB e o preço externo pelas séries Cotlook A, Cotlook B e Nova York. Utilizando preços referentes ao período de janeiro de 1982 a setembro de 2001, o mercado brasileiro e o norte-americano, representados pelos índices CONAB e Nova York, foram considerados integrados, ou seja, choques ocorridos em um mercado foram transmitidos ao outro mercado no longo prazo. Testando o grau de integração entre estes mercados, concluímos que eles podem ser considerados perfeitamente integrados neste período, ou seja, a variação no preço de um mercado foi transmitida de maneira completa ao outro mercado no longo prazo. Os resultados referentes à década de oitenta mostraram que o mercado brasileiro de algodão em pluma pode ser considerado como um mercado fechado neste período, pois os preços internos representados pelo índice CONAB não participaram do equilíbrio de longo prazo com os demais preços. Este resultado deve-se à grande intervenção governamental no mercado de algodão observada no período, que impedia que grandes quedas ou aumentos de preços internacionais fossem incorporados aos preços internos. Em relação à década de noventa, os resultados indicam que o mercado brasileiro pode ser considerado integrado aos mercados internacionais. De forma geral, os resultados demonstram empiricamente a modificação ocorrida no mercado brasileiro de algodão na década de noventa, demonstrando que este mercado é significativamente mais integrado às variáveis internacionais do que na década de oitenta. / This study had as objective to analyze the interaction among internal and external prices of cotton to determine if the commercial liberalization occurred in the nineties represented an influence increase of external prices on internal prices of cotton feather in Brazil. The choice of cotton is due to its recent trajectory, marked by fast transition of an export product (or potentially exportable) for an import product during most part of the nineties. This transition was caused basically by the commercial liberalization and market deregulation occurred in the beginning of the decade, which caused a massive entrance of the foreign product in Brazil. The chosen methodology was cointegration analysis, specifically the Johansen Procedure. The cointegration analysis is advisable when nonstationary variables are used, which makes unfeasible to use the simple regression model to establish the relationship among the variables. The nonstationarity of the variables in a context of simple linear regression invalidates the inferences based on the t- and F-tests and it impedes correct establishment of equilibrium relationships among them. If the variables are cointegrated, however, it is possible to establish such relationships and to analyze short and long-term behavior among variables. In this manner, four series were chosen to represent the internal and external prices. The internal price was represented by the CONAB series and the external prices by the series: Cotlook A, Cotlook B and New York. Analyzing the period of January, 1982 to September, 2001, Brazilian and North American market, represented by the series CONAB and New York, were considered integrated, that means, shocks happened in a market were transmitted to the other market in the long-term. Testing the integration degree among these markets, we concluded that they could be considered perfectly integrated in this period, which means, price variation in a market was transmitted to the other market in a complete way in the long-term. The results concerning the eighties showed that cotton Brazilian market can be considered as a closed market in this period, because the internal prices represented by the series CONAB didn't participate of long-term equilibrium with other prices. This result is due to great government intervention in cotton market observed in this period, which impeded that great falls or increases of international prices were incorporate to internal prices. The results concerning the nineties indicate that Brazilian market can be considered integrated to international markets. In a general way, the results demonstrate empirically the modification occurred in cotton Brazilian market in the nineties, demonstrating that this market is significantly more integrated to international variables than in the eighties.

nÃo hà / A preocupaÃÃo central deste trabalho à analisar a relaÃÃo entre a arrecadaÃÃo de ICMS pelos estados nordestinos e a taxa de cambio. O ICMS à um imposto que incide sobre as importaÃÃes e estas sÃo influenciadas, em parte, por variaÃÃes na taxa de cambio, de forma que uma desvalorizaÃÃo cambial espera-se que reduza a arrecadaÃÃo de ICMS ao desincentivar as importaÃÃes. Para tanto, foi realizada uma anÃlise de longo prazo, atravÃs da abordagem de cointegraÃÃo de Johansen e uma anÃlise de curto prazo, por meio de funÃÃes impulso resposta. Dos resultados, constata-se que existe um efeito resultante de alteraÃÃes na taxa de cÃmbio sobre a arrecadaÃÃo de ICMS nordestina, como esperado no curto prazo. Entretanto, a abordagem de cointegraÃÃo nÃo identificou um relacionamento de longo prazo. / The aim of this work is analyzed the relationship between the ICMS revenue by Northeast Brazilian states and the exchange rate. The ICMS is a tax that is applied under imports and these are affect by exchange rate changes. If the Marshall-Lerner condition is accepted, a devaluation in the exchange rate reduces the imports. To investigate whether this channel is important to determine the ICMS revenue we used two methodologies: short run methodology based on impulse response function obtained from a VEC estimation; long run methodology based on Johansenâs cointegration tests. The results showed that the short run effect of exchange rate under the ICMS revenue was expected, at the period from 2002 to 2011. That is, a depreciation of the exchange rate reduces the ICMS imports. However, the long run effects could not be confirmed.

Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2013-11-22T22:02:18Z No. of bitstreams: 1 Dissertação_André_Mofato.pdf: 699893 bytes, checksum: 089e487b592f974c16590b5754d35a3d (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: André, O arquivo não esta dentro dos padrões. A falta ficha catalográfica e a folha de assinatura na versão eletrônica (PDF). on 2013-12-03T12:49:34Z (GMT) / Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2013-12-05T19:25:56Z No. of bitstreams: 1 Dissertação_André_Mofato.pdf: 735715 bytes, checksum: 89bfe864faa36b095467a9c39d8586c7 (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: Falta a folha de assinatura. on 2014-05-28T20:07:39Z (GMT) / Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2014-05-28T20:11:30Z No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-05-28T20:12:59Z (GMT) No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) / Made available in DSpace on 2014-06-02T13:50:44Z (GMT). No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) Previous issue date: 2013 / This study aims to estimate an empirical model to relate spending on advertising revenues of firms, in order to serve as a tool for decision making, for it will study a case of telecommunications industry. The communication industry (advertising) in Brazil, according to IBGE 2008, is responsible for 4% of GDP, generating revenues of 57.5 billion dollars. With 113,000 businesses that generate 711,000 jobs, 866,000 people occupy and pay 5.9 billion in wages and taxes. However, most marketing managers say they do not have tools to measure the impact of their actions on the results of companies. The empirical model is estimated on the basis of monthly data for domestic long distance of Embratel for the period January 2009 to December 2011. The information often not available could only be used due to confidentiality undertaking. From cointegration techniques, we calculated the long-run elasticity of income over spending on advertising and price, so with their speed of adjustment to short-term deviations. The results suggest that revenue responds positively to changes in advertising spending, although the percentage is relatively low. Through the Dorfman-Steiner theorem we’re able to indicate that the optimum relationship between advertising spending and revenue would be approximately 20%, subjected to limitations of the model. / Este trabalho tem por objetivo estimar um modelo empírico para relacionar os gastos em publicidade com a receita das firmas, de forma a servir como ferramenta de tomada de decisão, para isso vamos fazer um estudo de caso da indústria de telecomunicações. A Indústria de comunicação (publicidade) no Brasil, segundo dados do IBGE de 2008, é responsável por 4% do PIB, gerando receitas da ordem 115 bilhões de reais. Com 113 mil empresas que geram 711 mil empregos, ocupam 866 mil pessoas e pagam 11,8 bilhões em salários e encargos. No entanto, a maioria dos gestores de marketing declara não ter instrumentos para medir o impacto de suas ações no resultado das empresas. O modelo empírico será estimado tendo como base dados mensais dos serviços de ligações de longa distância nacional da Embratel para o período de janeiro de 2009 até dezembro de 2011. As informações quase sempre não disponíveis, só puderam ser usadas devido ao compromisso de confidencialidade. A partir de técnicas de cointegração, foi calculada a elasticidade de longo prazo da receita em relação aos gastos com publicidade e ao preço, assim com as respectivas velocidades de ajustamento aos desvios de curto prazo. Os resultados sugerem que a receita responde positivamente às variações dos gastos em publicidade, embora o percentual seja relativamente baixo, através do teorema de Dorfman-Steiner conseguimos indicar que o ponto ótimo da relação entre gastos com publicidade e a receita seria de aproximadamente 20%, respeitadas as limitações do modelo.

"It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket."                     - Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes Saavedra [1547-1616]     This research aimed to investigate whether it is possible for investors to diversify their investment and reduce the risk of investment by investing in the selected European countries.  Stock market cointegration and international diversification is a widely accepted topic among the scholars and academics in recent years.  This current study is motivated from the significant amount of interesting studies in this field. A combination of not perfectly positively correlated instruments gives the investor an opportunity to gain from portfolio diversification.  Similarly, Investors can attain diversification benefit if one country’s stock market is not cointegrated with other country’s stock market.  Six European countries and a time frame of ten years (January, 2001 to December, 2010) have been taken into consideration for the purpose of this research.  The countries are UK, Denmark, Germany, Spain, Poland, and Czech Republic.  The time period of the study is divided into two sub period to observe the recent crisis effect on these selected countries. A quantitative approach is adopted in the research.  We used an econometric model for this research which is Johansen and Juselius multivariate cointegration approach.  The evidence from the study suggest that although cointegration exists among the selected countries in some extent, investors can still get some diversification opportunity by investing in the emerging countries (Czech Republic and Poland).  This study is unique in the sense that in our research, we wanted to fill the research gap by combining new and old EU member countries with the latest time period of study and also considered the recent crisis effect.   This study has a number of implications on portfolio managers, policy makers, and academic scholars.

Jorda (2005) proposed the new method to estimate impulse response functions by local projection. The new method, local projection, can avoid the misspecification problem. That is, local projections are robust to misspecification of the data generating process (DGP). Wu, Lee, and Wang (2008) extended the Jorda¡¦s local projection from stationary time series I(0) to non-stationary time series I(1). It makes the local projection be a more generally applicative method for the Macroeconomic. In the article, I relax the cointegration vector which assumed to be known in the Wu, Lee, and Wang (2008) and Lee(2010). From the inference of Johansen (1995) I can get the property of super-consistent between £] and ˆ £] in the cointegration vector. I use the above condition and OLS to estimate impulse response functions, and in the asymptotic theorem, the cointegration vectors which assumed to be known or estimated by Johansen MLE are both get the consistent coefficients of impulse responses.

The motivation of capitalism society keeping to make progress is basis on innovation. The text is established in extended type of Cobb-Douglas production function to discuss if the relationship of long term balance existed between R&D capital stock and gross domestic production. First, Dickey and Fuller mentioned Augmented Dickey Fuller test (ADF test) to examine if all the variables possess unit root particularity. If they do, we can test them by Johansen¡¦s Maximum Likelihood Estimation (MLE) to make cointegration relation numbers and cointegration vectors. According them to describe the long term balance relationships between R&D capital stock and gross domestic production. Conclusion of the text , by ADF test to examine the macroeconomic variables of R&D capital stock and gross domestic production are time series. Johansen¡¦s MLE test examined there¡¦s one cointegration vector existed. Apparently the long term balance relationship existed between the R&D capital stock and the gross domestic production. And we can take the normalized cointegrating coefficients back to the Cobb-Douglas production function to recognize the R&D capital stock will be the positive function of the gross domestic production. Thus we can get in R&D expenses to make the economic growth.

In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. The tests that are evaluated is the Johansen trace test, nonparametric bootstrap test and two different types of wild bootstrap tests. The wild bootstrap test is a resampling method that attempts to mimic the GARCH model by multiplying each residual by a stochastic variable with an expected value of zero and unit variance. The wild bootstrap tests proved to be superior to the other tests, but not as good as earlier indicated. The more the error terms differs from white noise, the worse these tests are doing. Although the wild bootstrap tests did not do a very bad job, the focus of further investigation should be to derive tests that does an even better job than the wild bootstrap tests examined here.

本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。 / This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.