In this paper, we use the Bai and Perron (1988, 2003) methodology to test for multiple structural breaks in the real exchange rate for 8 countries within Asia Pacific. We find extensive evidence of structural breaks in the real exchange rates. The Bai and Perron (1998, 2003) consider the estimation of multiple structural shifts in a linear model estimated by least-squares. They propose some tests for structural changes for the case with no trending regressors and a selection procedure based on a sequence of tests to estimate consistently the number of changes and break date. Also this paper apply Elliott and Müller (2003) method in order to test for stability of the estimated regression parameters with structural breaks. When comparing two test results, we find that the test conclusions is with little difference . Within those 8 countries including Japan, Singapore, Thailand, Indonesia, Korea, Malaysia, Philippines, Taiwan , The processing result with Bai and Perron test with structural breaks, we find that real exchange rates of 4 countries have three structural breaks, 2 countries have two structural breaks, and other two countries has one structural break. Also we apply Elliott and Müller test , the result we got is that has a structural break of real exchange rate exist within 7 countries. Only one country has no structural break. According to the results which we applied those tests, There do exist some structural break under the impacts of some financial crisis and important events which , such as The Second Oil Chsis ( 1979), Plaza Accord (1985), Asia Financial Crisis (1997).

In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets¡¦ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market¡¦s sensitivity to shocks from the U.S. return rates is related to its degree of openness.

Submitted by Maike Costa (maiksebas@gmail.com) on 2016-04-12T13:00:18Z No. of bitstreams: 1 arquivo total.pdf: 1701778 bytes, checksum: 4e6e0ca5635cf810784f97567b64095f (MD5) / Made available in DSpace on 2016-04-12T13:00:18Z (GMT). No. of bitstreams: 1 arquivo total.pdf: 1701778 bytes, checksum: 4e6e0ca5635cf810784f97567b64095f (MD5) Previous issue date: 2014-03-10 / This paper conducts tests for structural breaks in the reaction function of the Central Bank of Brazil to evaluate possible changes in the conduct of monetary policy in Brazil, taking into account the reaction function of the regressors are potentially endogenous variables. For this, we uses the methodology developed by Hall et al. (2012) who, using an extension of the framework developed by Bai and Perron (1998), develops a method capable of identifying multiple structural breaks at unknown periods. The main results indicate presence of structural breaks in the three reaction functions studied. Furthermore, the actions of monetary policy through interest rate Selic seem to suffer greater influence of deviations of inflation around its target, compared to changes in the output gap and the exchange rate. / Este estudo realiza testes de quebra estrutural na função de reação do Banco Central do Brasil para avaliar possíveis mudanças na condução da política monetária doméstica, levando-se em conta que os regressores da função de reação são potencialmente variáveis endógenas. Para isto, é utilizada a metodologia desenvolvida por Hall et al. (2012) que, utilizando uma extensão da estrutura desenvolvida por Bai e Perron (1998), elaboram um método capaz de identificar múltiplas quebras estruturais em períodos desconhecidos. Os principais resultados apontam para a presença de quebras estruturais nas três funções de reação estudadas. Além disso, as ações da política monetária, por meio da taxa de juros Selic, parecem sofrer maior influência dos desvios da inflação em torno de sua meta, comparativamente a variações no hiato do produto e na taxa de câmbio.