O objetivo principal do trabalho é analisar a resposta da estrutura de capital agregada das firmas brasileiras às oscilações de variáveis macroeconômicas. A partir da teoria do “Tradeoff”, o escudo de tributos provenientes da despesa financeira e os custos de falência surgiram como fatores importantes para a determinação da estrutura de capital, que busca maximizar o valor da firma, a partir da incorporação do benefício líquido entre esses fatores ao seu valor. Baseado nesse entendimento e aliado a conclusões de trabalhos recentes sobre a influência de fatores macroeconômicos nessa decisão de estrutura ótima, o trabalho busca entender os efeitos, de oscilações na taxa real de juros, no crescimento do PIB, na taxa real de inflação, na taxa de câmbio, no volume de recursos de bancos de fomento e no mercado de ações, nas decisões sobre financiamento das atividades de empresas no Brasil. Foram encontrados resultados significativos para as todas as variáveis macroeconômicas e, para esses resultados, foram apresentadas interpretações a luz das teorias de estrutura de capital existentes na literatura contemporânea em finanças. / This paper intent to analyze the response of firm’s capital structure to fluctuations at macroeconomic variables, in the Brazilian market. The Tradeoff theory introduced the concept that the balance between the tax shield from financial expenses and bankruptcy costs are relevant factors in the determination of Firm’s capital structure. This theory predicts that firms to maximize its value should incorporate the net benefit between these factors to their value. The paper seeks to understand and measure the impacts of oscillations in interest rate, GDP growth, inflation rate, exchange rate, participation of development banks and stock market fluctuations in the decisions about capital structure. The paper presents significant results for all macroeconomic variables and provide interpretations for these findings, based on the current development of capital structure theories.

This paper explores the relationship between household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of inequality responses to a national uncertainty shock. The results suggest that income inequality decreases in most states, with a pronounced degree of heterogeneity in terms of the dynamic responses. By contrast, some few states, mostly located in the Midwest, display increasing levels of income inequality over time. Forecast error variance and historical decompositions highlight the importance of uncertainty shocks in explaining income inequality in most regions considered. Finally, we explain differences in the responses of income inequality by means of a simple regression analysis. These regressions reveal that the income composition as well as labor market fundamentals determine the directional pattern of the dynamic responses. / Series: Working Papers in Regional Science

The aim of this thesis is to show that news analytics data can be utilised to improve the predictive ability of existing models that have useful roles in a variety of financial applications. The modified models are computationally efficient and perform far better than the existing ones. The new modified models offer a reasonable compromise between increased model complexity and prediction accuracy. I have investigated the impact of news sentiment on volatility of stock returns. The GARCH model is one of the most common models used for predicting asset price volatility from the return time series. In this research, I have considered quantified news sentiment as a second source of information and its impact on the movement of asset prices, which is used together with the asset time series data to predict the volatility of asset price returns. Comprehensive numerical experiments demonstrate that the new proposed volatility models provide superior prediction than the "plain vanilla" GARCH, TGARCH and EGARCH models. This research presents evidence that including news sentiment term as an exogenous variable in the GARCH framework improves the prediction power of the model. The analysis of this study suggested that the use of an exponential decay function is good when the news flow is frequent, whereas the Hill decay function is good only when there are scheduled announcements. The numerical results vindicate some recent findings regarding the utility of news sentiment as a predictor of volatility, and also vindicate the utility of the new models combining the proxies for past news sentiments and the past asset price returns. The empirical analysis suggested that news augmented GARCH models can be very useful in estimating VaR and implementing risk management strategies. Another direction of my research is introducing a new approach to construct a commodity futures pricing model. This study proposed a new method of incorporating macroeconomic news into a predictive model for forecasting prices of crude oil futures contracts. Since these futures contracts are iii iv more liquid than the underlying commodity itself, accurate forecasting of their prices is of great value to multiple categories of market participants. The Kalman filtering framework for forecasting arbitrage-free (futures) prices was utilized, and it is assumed that the volatility of oil (futures) price is influenced by macroeconomic news. The impact of quantified news sentiment on the price volatility is modelled through a parametrized, nonlinear functional map. This approach is motivated by the successful use of a similar model structure in my earlier work, for predicting individual stock volatility using stock-specific news. Numerical experiments with real data illustrate that this new model performs better than the one factor model in terms of accuracy of predictive power as well as goodness of fit to the data. The proposed model structure for incorporating macroeconomic news together with historical (market) data is novel and improves the accuracy of price prediction quite significantly.

This thesis will deal with a current issue - euro adoption in the Czech Republic. The three neighboring countries of the Czech Republic have already adopted the euro. The Czech Republic lie under an obligation to adopt the euro and solve the arguments for and against early entry to the Euroarea at this time. The issue will be solved from the perspective of euro adoption in Slovakia. Both of the republics had the "same" default position seventeen years ago. Why is Slovakia the member of the Euroarea and why not the Czech Republic? Advantages and disadvantages of euro adoption in Slovakia will be the basis for the argumentation of the acceptance or rejection of the euro in the Czech Republic. The purpose of the thesis is to demonstrate the Czech readiness to adopt the euro from a purely economic point of view, even though this is a political decision. The adopted methods will be analysis and comparison of macroeconomic indicators, called the magic rectangle (GDP, inflation, balance of payments, unemployment rate). The thesis will evaluate the progress of these indicators in the key periods of the republics. These periods had an impact on the state of both economies and led to euro adoption in Slovakia and the postponement of euro adoption in the Czech Republic indefinitely (separation of both republics, preparations and entry into the European Union, preparations for euro adoption, the advent of financial crises, etc.). The main aim of this thesis is to answer the question "Why is Slovakia adopted the euro earlier than the Czech Republic?" and to confirm or to disprove hypothesis of Czech readiness to adopt the euro according to experience of Slovakia.

The aim of the thesis is analysing and evaluating the situation in each region through macroeconomical factors. First chapter is focused on Europe. The most interesting part of this chapter is the fiscal policy. Second chapter provides insight to fascinating Asia and its huge rise in recent past. Third chapter provides analysis of development of interesting economical values in America. Last fourth chapter includes econometrical analysis of relationships between time series of macroeconomical values and stock prices of representative bank shares from all regions enriched by equations for forecasting of future stock prices.

Les pays émergents d’Europe PEE déclenchèrent simultanément, il y a déjà 25 ans, une transformation de leurs économies la plus grande dans l’histoire économique contemporaine. Bien que l’idée de l’économie du marché l’ait emporté sur celle de l’économie planifiée en formant des expectations élevées de la convergence rapide, les PEE toujours peinent à aller de pair avec l’environnement global plain de bouleversements économiques. Cette étude vise à éliminer partiellement une lacune théorique en matière des politiques économiques en révisant des conclusions théoriques existantes dans le cadre de l’économie de la transition. Le but de telle révision était simple : il était nécessaire de comprendre toutes les contraintes inhérentes aux ces pays qui peuvent perturber les effets des politiques économiques bien que celles-ci se soient montrées très efficaces dans les pays développés. La crise financière de 2007/08 révéla l’existence des défauts importants des PEE en mettant en défi la sagesse populaire de l’implémentation universelle des politiques favorables au marché dans différents pays. C’est la raison pour laquelle cette œuvre est désignée de mettre en relief toutes les obstacles qui empêchent des politiques macroéconomiques – politique budgétaire et politique monétaire - d’être mises en œuvre. En outre, il est montré que les politiques structurelles favorables au marché ne sont pas suffisantes de compenser ses contraintes. Cette thèse, en s’appuyant sur la théorie de la croissance économique et la théorie de la transition économique, encourage l’idée de l’inclusion des politiques industrielles en tant que le factor qui a manqué dans la stratégie de réforme dans les PEE. / Emerging Europe Countries (EEC) triggered the greatest simultaneous economic transformation in the economic history 25 years ago. Although, the idea of market economy prevailed over planned economy building expectation about the speed of convergence process, EEC are still struggling to keep pace with the turbulent global economic environment. This study aims to partially fulfil the gap in economic theory in terms of economic policies reviewing existing theoretical conclusions within economics of transition. The purpose of this overview is simple: we needed to understand every possible limitation inherent in these economies that can distort the effects of economic policies even they showed high effectiveness in developed countries. The 2007/08 financial crises shed light on the existence of important weaknesses that these economises suffer from and challenged the conventional wisdom about unified implementation of market friendly policies over diversified countries. This analysis emphasises all constraints of macroeconomic policies – fiscal and monetary – to be fully deployed in EEC as well as insufficiency of market friendly structural policies to compensate these limitations. Relaying on the theory of economic growth and the theory of economic transition this study is encouraging the idea of the consideration of industrial policies as the missing element of reform strategy of EEC.

This thesis assesses the usefulness of confidence indicators for short term forecasting of the economic activity in the Czech Republic. The predictive power of both the business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn defined as a discrete event using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation and to anticipate economic downturn one quarter ahead. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on a model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. This result was indirectly confirmed by OECD as the Czech customer confidence indicator has been included as a new component in the OECD domestic composite leading indicator since April 2012.

This study aims to estimate the ratio of non-performing loans to total loans (NPL ratio), its determinants and its response to different macroeconomic shocks. As the last financial crises had negative impact on the economy of many countries of the world, we have to strive for preventive measures that would help us to fully or at least partly avoid future crises. It should be achieved by sound risk management practices of all financial institutions. Important part of these risk management practices shall be - among others - stress tests that would test the health of the institution under severe conditions and negative shocks. For this study the vector autoregression model (VAR methodology) is used to see the response of credit risk (in terms of NPL ratio) to macroeconomic shocks in the Czech Republic. The variables used for this study are quarterly time series data of the period from 2002 to 2011 (GDP, inflation rate, unemployment rate, koruna exchange rate (CZK/USD), and interest rate). For each of these variables the impulse response function was created, to show the impact of macroeconomic shocks and the speed of adjustment of NPL ratio to these shocks. Keywords: Financial Crises, Credit Risk Management, Non-performing loans, Macroeconomic Shocks, Czech Republic, VARs

El presente trabajo de investigación tiene como propósito analizar una propuesta de indicadores macroeconómicos y financieros para un sistema de alerta temprana en la tasa de morosidad de las Cajas Municipales de Ahorro y Crédito del sistema financiero peruano, durante el periodo 2006-2017. El objetivo principal de este estudio es demostrar la influencia de las variables seleccionadas con respecto a la tasa de morosidad y determinar el efecto producido por cada una sobre la variable dependiente como un sistema de alerta o prevención. Las variables escogidas para el análisis son PBI sector comercio, tasa de desempleo, ratio de solvencia, ratio de liquidez, número de agencias, créditos directos y créditos directos por empleado. Para este caso, la información estadística se analizará a través del modelo econométrico vector autorregresivo (VAR) para determinar los efectos que presentan las variables sobre la tasa de morosidad y el modelo vector autorregresivo estructural (VARS) para analizarlo de forma estructural de largo plazo. Así mismo, se determina los efectos dinámicos de las variables macroeconómicas y financieras con respecto a la tasa de morosidad. Dentro de los resultados obtenidos tenemos que las variables macroeconómicas y financieras estudiadas sí influyen en la tasa de morosidad, lo cual corroboran nuestras hipótesis y funcionan como un sistema de alerta temprana para las Cajas Municipales. Con respecto al efecto de las variables, se observa que el efecto de cada una varía o se mantiene en la fase corta y en la fase permanente. / The purpose of this research is to analyze a proposal of macroeconomic and financial factors for an early warning system for the default rate of Municipal Savings and Credit of the Peruvian financial system, during the period 2006-2017. The objective of this study is to demonstrate the influence of selected variables on the default rate and also, as a complement, know the effect produced by each one as a prevention system. The variables chosen for the analysis are GDP trade sector, unemployment rate, solvency rate, liquidity, number of agencies, direct credits and direct credits per employee. For this, the statistical information will be analyzed through the autoregressive vector (VAR), an econometric model that determine the effects of the variables on the default rate and the structural autoregressive vector model (VARS) to analyze it in a long-term structural manner. Additionally, the dynamic effects of the macroeconomic and financial variables are determined in relation to the default rate. The results of this study are that macroeconomic and financial factors have an influence in the default rate, which are in order with our hypotheses and it works as an early warning for Municipal Savings. About the effect of each variable, there are cases that it changes or remains in the short term and long term. / Tesis

This paper provides empirical study of whether there was a misalignment of the real exchange rate (RER) in the Bangladesh economy during 1976-1991. The time series of multilateral and bilateral RER indexes were computed for the period 1976-1991. The computed series of RER were indexed to a base year of when the RER attained its highest level and thereby appeared to be closer to the actual long-run equilibrium RER. In the empirical part of this thesis, five different RER indexes were computed: multilateral real exchange rate index 1 (MRER1), multilateral real exchange rate index 2 (MRER2), bilateral real exchange index 1 (BRER1), bilateral real exchange rate index 2 (BRER2), and black market bilateral exchange rate index 1 (BMRER1). Computation of the multilateral and bilateral RER indexes involved data on trade weights and wholesale and consumer price indexes of the domestic economy and its trading partners, besides their nominal official exchange rates. As a result, the study period was not large enough due to the unavailability of data on all variables involved. Misalignment of RER refers to the sustained deviation of the observed RER from its long-run equilibrium level. Three different measures of RER misalignment were constructed: purchasing power parity (RERMISPP), instability (RERMISINSTA), and black market (RERMISBLK). The MRER1, BRER2, and BMRER1 indexes were used respectively, in contrasting RERMISPP, RERMISINSTA, and RERMISBLK measures of RER misalignment. All of these measures demonstrated RER misalignment in Bangladesh during 1976-1991. In order to compute the long-run equilibrium RER, a multivariate regression was executed with respect to the RER fundamental real variables. Later, a time series of three different measures of RER misalignment index was regressed on the time series of the growth rate of real GDP (gross domestic product), exports, imports, savings, and investment for 1976-1991 to bring about the effects of RER misalignment on the macroeconomic performance of Bangladesh. It was found that RER misalignment adversely affected the macroeconomic performance of Bangladesh. An effectiveness index of nominal devaluation as a preventive policy eroded in later years. Consequently, a cross episode regression was executed to appraise the efficacy of 10 nominal devaluation episodes. It was found that when supplementary macroeconomic policies, such as the growth rate of domestic credit, growth rate of domestic credit to the public sector, and the growth rate in the ratio of public sector to total domestic credit were taken into consideration, nominal devaluation became more effective in bringing about the real devaluation.