Despite considerable research on the monetary policy rules, little is known about internal relation between policy rules targets. Research approach frequently consists in estimating parameters or identifying variables to make the rule operate accurately. The overall image that emerges from the literature is that there is no contradiction in attaining the targets once set properly. Dissertation switches attention to mutual feasibility of incorporated targets. To contribute to this strikingly overlooked fact hypothesis is tested. Analyzed are variances of inflation and output representing policy rule targets. Time regression processed throughout OLS technique, gap analysis and calculation of variances are applied as principal analytical tools. Examined are data for 14 countries. Countries are divided into two groups according to size of their economy: small economies (Austria, Belgium, Czech Republic, Hungary, Ireland, The Nederlands and Slovak Republic); large economies (Euro zone, France, Germany, Italy, Spain, Sweden and USA). Results of the analysis show that once monetary authority follows policy rule with multiple targets it faces restriction. Rather than achieving both targets at one time it must respect trade off between them. According to data for selected countries hypothesis is accepted. Variances of output consistently proved to be higher than variances of inflation. Whence it follows that authority need to solve constrained optimization problem. It needs to pick out combination of differently large variances contrary to wining with all reaching low levels.

As computing becomes ubiquitous and intelligent, it is possible for systems to adapt their behavior based on information sensed from the situational context. However, determining the context space has been taken for granted in most ubiquitous applications, and so that context-adaptive systems often miss the situational factors that are most relevant to users. The mismatch between a system's computational model and users' mental model of the context may frustrate and disorient users. This thesis describes the CCM (cognitive context model)-based approach for eliciting individual cognitive views of a context-aware task and selecting an appropriate context space for context-aware computing. It captures the situational and cognitive context for each task, using a structural architecture in which individual participants use a context view to describe their situational perspective of the task. Clustering and optimization techniques are applied to analyze and integrate context views in CCM. Developers can use the optimization output to identify an appropriate context space, specify context-aware adaptation policies and resolve run-time policy conflicts. This approach simplifies the task of context elicitation, emphasizes individual variance in context-aware activity, and helps avoid user requirements misunderstanding.

As computing becomes ubiquitous and intelligent, it is possible for systems to adapt their behavior based on information sensed from the situational context. However, determining the context space has been taken for granted in most ubiquitous applications, and so that context-adaptive systems often miss the situational factors that are most relevant to users. The mismatch between a system's computational model and users' mental model of the context may frustrate and disorient users. This thesis describes the CCM (cognitive context model)-based approach for eliciting individual cognitive views of a context-aware task and selecting an appropriate context space for context-aware computing. It captures the situational and cognitive context for each task, using a structural architecture in which individual participants use a context view to describe their situational perspective of the task. Clustering and optimization techniques are applied to analyze and integrate context views in CCM. Developers can use the optimization output to identify an appropriate context space, specify context-aware adaptation policies and resolve run-time policy conflicts. This approach simplifies the task of context elicitation, emphasizes individual variance in context-aware activity, and helps avoid user requirements misunderstanding.

Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To this end, I incorporate a liquidity demand theory via a measure of the velocity of money into affine models. I find that this considerably reduces the statistical tension between matching the first and second moments of interest rates. In terms of forecasting yields, the models with the velocity of money outperform among the ATSMs examined, including those with inflation and real activity. My result is robust across maturities, forecasting horizons, risk price specifications, and the number of latent factors. Next, I incorporate latent macro factors and the spread factor between the short-term Treasury yield and the federal funds rate into an affine term structure model by imposing cross-equation restrictions from no-arbitrage using daily data. In doing so, I identify the highfrequency monetary policy rule that describes the central bank's reaction to expected inflation and real activity at daily frequency. I find that my affine model with macro factors and the spread factor shows better forecasting performance.

This paper shows how to obtain a short run aggregate supply curve when there are explicit orimplicit contracts. In the same way it is possible to obtain an expectation augmented Phillips curve. Then, a monetary policy is incorporated to the short run aggregate supply curve or to the Phillips curve in order to model the Central Bank reaction when the actual inflation deviates from the target inflation. Then a model with a Central Bank welfare lost function is developed in order to obtain an optimal monetary policy rule which modifies the synthetic version of the Taylor Rule. This model allows making short run comparative static analyses. / Este trabajo muestra que la existencia de contratos implícitos o explícitos, da lugar a desvíos de la producción respecto de su nivel de pleno empleo y, por lo tanto, a la configuración de una curva de oferta agregada de corto plazo con pendiente positiva. Estos desvíos pueden asimismo expresarse con una curva de Phillips. Definida la curva de Phillips, se integra una regla de política monetaria que permite modelar los efectos de la reacción del Banco Central ante los desvíos de la inflación respecto de la inflación meta. Se desarrolla un modelo con una función de pérdida del Banco Central para luego obtener una regla monetaria óptima que modifica la versión sintética de la Regla de Taylor. Este modelo permite realizar análisis de estática comparativa a corto plazo.

Este trabalho estima, utilizando dados trimestrais de 1999 a 2011, o impacto dinâmico de um estímulo fiscal no Brasil sobre as principais variáveis macroeconômicas Brasileiras. Na estimativa dos impactos permitiu-se que as expectativas dos agentes econômicas fossem afetadas pela existência e probabilidade de alternância de regimes (foram detectados dois regimes) na política monetária do país. Os parâmetros da regra da política monetária, nos dois regimes detectados, foram estimados através de um modelo - composto apenas pela equação da regra da política monetária - que permite uma mudança de regime Markoviana. Os parâmetros do único regime encontrado para a política fiscal foram estimados por um modelo Vetorial de Correção de Erros (Vector Error Correction Model - VEC), composto apenas pelas variáveis pertencentes à regra da política fiscal. Os parâmetros estimados, para os diversos regimes das políticas monetária e fiscal, foram utilizados como auxiliares na calibragem de um modelo de equilíbrio geral estocástico dinâmico (MEGED), com mudanças de regime, com rigidez nominal de preços e concorrência monopolística (como em Davig e Leeper (2011)). Após a calibragem do MEGED os impactos dinâmicos de um estímulo fiscal foram obtidos através de uma rotina numérica (desenvolvida por Davig e Leeper (2006)) que permite obter o equilíbrio dinâmico do modelo resolvendo um sistema de equações de diferenças de primeira ordem expectacionais dinâmicas não lineares. Obtivemos que a política fiscal foi passiva durante todo o período analisado e que a política monetária foi sempre ativa, porém sendo em determinados momentos menos ativa. Em geral, em ambas as combinações de regimes, um choque não antecipado dos gastos do governo leva ao aumento do hiato do produto, aumento dos juros reais, redução do consumo privado e (em contradição com o resultado convencional) redução da taxa de inflação. / This paper estimates, using quarterly data from 1999 to 2011, the dynamic impacts of a fiscal stimulus in Brazil on key Brazilian macroeconomic variables. The estimates take into account the effects of the existence and of the probabilities of occurrence of the switching monetary policy regimes (two regimes were detected) on agents expectations formation. The monetary policy rules parameters, in the two detected regimes, were estimated through a Markov regime-switching model composed only by the monetary policy rule equation. The fiscal rules parameters of the unique detected fiscal policy regime were estimated through a Vector Error Correction (VEC) model composed only by the variables pertained to the fiscal policy rule. The monetary and fiscal policy rules parameters were auxiliary in the calibration of a Dynamic Stochastic General Equilibrium (DSGE) model with regime-switching, nominal price rigidity and monopolistic competition (as in Davig and Leeper (2011)). After the DSGEs calibration the fiscal stimuluss impacts were obtained through a numerical routine (developed by Davig and Leeper (2006)) that solves a set of nonlinear expectational first-order difference equations and gives the dynamic equilibrium of the model. Our results suggest that fiscal policy was passive during the whole period and that monetary policy was always active, but they were more active at certain times and in others, less active. Overall, in both combinations of regimes, a government spending shock induces an increase in the output gap, increases in real interest rates, a reduction in private consumption and (contrary to the conventional wisdom) a reduction in inflation.

Submitted by Gabriel Leal de barros (gabrielf32@yahoo.com.br) on 2018-03-29T12:47:29Z No. of bitstreams: 1 Dissertacao_Resultado_Fiscal_Estrutural_GLBarros.pdf: 1412105 bytes, checksum: 72b536ef29ccda5d7e8e272f96056101 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-04-12T12:29:33Z (GMT) No. of bitstreams: 1 Dissertacao_Resultado_Fiscal_Estrutural_GLBarros.pdf: 1412105 bytes, checksum: 72b536ef29ccda5d7e8e272f96056101 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2018-04-12T12:47:42Z (GMT) No. of bitstreams: 1 Dissertacao_Resultado_Fiscal_Estrutural_GLBarros.pdf: 1412105 bytes, checksum: 72b536ef29ccda5d7e8e272f96056101 (MD5) / Made available in DSpace on 2018-04-12T12:48:01Z (GMT). No. of bitstreams: 1 Dissertacao_Resultado_Fiscal_Estrutural_GLBarros.pdf: 1412105 bytes, checksum: 72b536ef29ccda5d7e8e272f96056101 (MD5) Previous issue date: 2018-01-22 / After the beginning of the economic stabilization process, initiated just before and established by the Real Plan in 1994, there was a notable advance in 2000 with the introduction of the Fiscal Responsibility Law (LRF). The commitment fiscal policy rule in later years, through raising and sustaining the primary result, produced, complement to significant reductions of indebtedness, relative solace with the design of the country's fiscal institutions. With the outbreak of the international crisis in 2008, a period in which fiscal policy was use as a countercyclical instrument much has changed. The conventional fiscal statistics gradually lost relative importance due to a series of accounting issues that had an impact on public accounts. Non-recurring events grew both in quantity and in volume, affecting the economic agents perception regarding the effective fiscal position. The deceleration of post-crisis growth and the deep economic recession experienced in 2016 and 2017 expanded the magnitude of the worsening and deepened the fiscal imbalance of the country. During this period, several economic studies and international research were develop in order to improve the evaluation of the impact of fiscal policy, at which time the calculation of the fiscal result adjusted by the economic cycle gained more spotlight. Despite the different methodologies available for its measurement, empirical results point out that it can make more or less sense to adopt it as a modern rule of fiscal policy. From this perspective, its feasibility depends on a series of preconditions that reflect, in a sense, the degree of accountability, transparency, maturity and consensus of economic institutions and agents. From the point of view of the usefulness to estimate the fiscal impulse on the aggregate demand and inflation and, therefore, of the relation between the fiscal and monetary policies, its application is valuable. / Após o início do processo de estabilização econômica, iniciado pouco antes e consagrado com o Plano Real em 1994, houve notável avanço em 2000 com a edição da Lei de Responsabilidade Fiscal (LRF). A consagração da regra de política fiscal nos anos posteriores, através da elevação e sustentação do resultado primário, produziu além de reduções importantes nos níveis de endividamento, relativo conforto com o design da institucionalidade fiscal do país. Com a eclosão da crise internacional em 2008, período onde a política fiscal passou a ser utilizada como instrumento anticíclico, muita coisa mudou. As estatísticas fiscais tradicionais perderam, gradativamente, importância relativa em função de uma série de questões contábeis que passaram a impactar as contas públicas. Os eventos não recorrentes cresceram tanto em quantidade quanto em volume, afetando a percepção dos agentes econômicos a respeito da efetiva posição fiscal. A desaceleração do crescimento no pós-crise e a profunda recessão econômica vivida em 2015 e 2016, potencializou a magnitude da piora e aprofundou o desequilíbrio fiscal estrutural do país. Durante esse período, diversos estudos econômicos e pesquisas internacionais foram desenvolvidos no sentido de aperfeiçoar a avaliação de impacto da política fiscal, momento em que o cálculo do resultado fiscal ajustado pelo ciclo econômico ganhou maior destaque. Não obstante as diversas metodologias disponíveis para sua mensuração, resultados empíricos apontam que pode fazer mais ou menos sentido adotá-lo como regra mais moderna de política fiscal. Sob essa perspectiva, sua viabilidade depende de uma série de pré-condições que reflitam em certo sentido, o grau de accountability, transparência, maturidade e consenso das instituições e agentes econômicos. Do ponto de vista da utilidade para estimar o impulso fiscal sobre a demanda agregada e inflação e, portanto, da relação entre as políticas fiscal e monetária, sua aplicação é valiosa.

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.

Made available in DSpace on 2015-05-08T14:44:50Z (GMT). No. of bitstreams: 1 Arquivototal.pdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2012-08-13 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This paper estimates a reaction function with forward-looking time-varying parameters for changes in the Brazilian monetary policy under inflation targeting regime. As the policy rule has endogenous regressors, the conventional Kalman filter can t be applied. Thus, a two-step procedure of the type Heckman (1976) is used to estimate the hyperparameters consistent model. The results show that: i) there is strong empirical evidence of endogeneity of the regressors of monetary policy rule, ii) the expected interest rate was above 10% throughout the analysis period to an average of 11%; iii) response the Selic rate to inflation varies considerably throughout the period and has shown a declining trend, iv) the response of interest rates relative to inflation deviation from the target with the principle of Taylor; v) the coefficient of smoothing rate interest has been constant throughout the period; vi) that the BCB had in much of the period analyzed an aversion recession by allowing inflation above target. / Este trabalho estima uma função de reação forward-looking com parâmetros variando no tempo para verificar mudanças na condução da política monetária brasileira sob o regime de metas de inflação. Como a regra de política apresenta regressores endógenos, o filtro de Kalman convencional não pode ser aplicado. Diante disso, um procedimento em dois passos do tipo de Heckman (1976) é utilizado para estimação consistente dos hiperparâmetros do modelo. Os resultados mostram que: i) há forte evidência empírica de endogeneidade dos regressores da regra de política monetária; ii) que a taxa de juros esperada esteve acima de 10% durante todo o período analisado, tendo uma média de 11%; iii) a resposta da taxa Selic à inflação varia consideravelmente ao longo do período e tem mostrado uma tendência decrescente; iv) a resposta da taxa de juros em relação ao desvio da inflação a meta respeita o princípio de Taylor; v) o coeficiente de suavização da taxa de juros foi constante durante todo o período analisado; vi) que o BCB teve em boa parte do período analisado uma aversão recessão, permitindo uma inflação acima da meta.

Este trabalho estima, utilizando dados trimestrais de 1999 a 2011, o impacto dinâmico de um estímulo fiscal no Brasil sobre as principais variáveis macroeconômicas Brasileiras. Na estimativa dos impactos permitiu-se que as expectativas dos agentes econômicas fossem afetadas pela existência e probabilidade de alternância de regimes (foram detectados dois regimes) na política monetária do país. Os parâmetros da regra da política monetária, nos dois regimes detectados, foram estimados através de um modelo - composto apenas pela equação da regra da política monetária - que permite uma mudança de regime Markoviana. Os parâmetros do único regime encontrado para a política fiscal foram estimados por um modelo Vetorial de Correção de Erros (Vector Error Correction Model - VEC), composto apenas pelas variáveis pertencentes à regra da política fiscal. Os parâmetros estimados, para os diversos regimes das políticas monetária e fiscal, foram utilizados como auxiliares na calibragem de um modelo de equilíbrio geral estocástico dinâmico (MEGED), com mudanças de regime, com rigidez nominal de preços e concorrência monopolística (como em Davig e Leeper (2011)). Após a calibragem do MEGED os impactos dinâmicos de um estímulo fiscal foram obtidos através de uma rotina numérica (desenvolvida por Davig e Leeper (2006)) que permite obter o equilíbrio dinâmico do modelo resolvendo um sistema de equações de diferenças de primeira ordem expectacionais dinâmicas não lineares. Obtivemos que a política fiscal foi passiva durante todo o período analisado e que a política monetária foi sempre ativa, porém sendo em determinados momentos menos ativa. Em geral, em ambas as combinações de regimes, um choque não antecipado dos gastos do governo leva ao aumento do hiato do produto, aumento dos juros reais, redução do consumo privado e (em contradição com o resultado convencional) redução da taxa de inflação. / This paper estimates, using quarterly data from 1999 to 2011, the dynamic impacts of a fiscal stimulus in Brazil on key Brazilian macroeconomic variables. The estimates take into account the effects of the existence and of the probabilities of occurrence of the switching monetary policy regimes (two regimes were detected) on agents expectations formation. The monetary policy rules parameters, in the two detected regimes, were estimated through a Markov regime-switching model composed only by the monetary policy rule equation. The fiscal rules parameters of the unique detected fiscal policy regime were estimated through a Vector Error Correction (VEC) model composed only by the variables pertained to the fiscal policy rule. The monetary and fiscal policy rules parameters were auxiliary in the calibration of a Dynamic Stochastic General Equilibrium (DSGE) model with regime-switching, nominal price rigidity and monopolistic competition (as in Davig and Leeper (2011)). After the DSGEs calibration the fiscal stimuluss impacts were obtained through a numerical routine (developed by Davig and Leeper (2006)) that solves a set of nonlinear expectational first-order difference equations and gives the dynamic equilibrium of the model. Our results suggest that fiscal policy was passive during the whole period and that monetary policy was always active, but they were more active at certain times and in others, less active. Overall, in both combinations of regimes, a government spending shock induces an increase in the output gap, increases in real interest rates, a reduction in private consumption and (contrary to the conventional wisdom) a reduction in inflation.