With financial liberalization and economic globalization, international trade and capital transactions result in larger exchange rate fluctuations than in the past. Besides, it can¡¦t be ignored that the change of exchange rate influences the economics and real exchange rate which be regarded as the indicator of external competitiveness becomes more important than before, so my paper aims to know not only whether there is stochastic segmented trend in their fluctuation but also the factors which are closely related to regime switches. As we all know that it is significant to forecast the volatility of exchange rate in the global society. A number of previous studies discussed the relationship between exchange rate and fundamentals under the monetary models, however many people found that these models are handicapped in out-of sample forecasting. Therefore, I compare the forecasting performance of the real interest differential monetary (RID) model of Frankel (1979) with the models which I built in the paper. By using the market share of the top ten currencies in 2010 which is published by Bank for International Settlements (BIS) and the fundamentals. The empirical results indicate that fundamentals do not only matter for real exchange rate, but are also related to the switches between the regimes. Besides, the real exchange rates are highly persistent in each regime and the effect of fundamentals is different in different countries. At last, my result suggest that the models which I built in the paper provide better forecast in the yen, pound sterling and New Zealand dollar than the RID model.

This study mainly concentrates on the exchange rate problems between Taiwan and China, so cross-strait economic and the evolution of exchange rate regulation regime would be the first work so as to provide some policy suggestions about the cross-strait trading settlement .The empirical work has two parts. The first part is examining the Currency Substitution(CS) of Taiwan, then uses Cointergration and Vector Estimate Correction Model for the short and long run condition. Currency Substitution would cause the volatility of exchange rate, and the next procedure is using the Markov Regime Switch Model to analyze the exchange rate of two countries from 03 January,1994 to 30 April,2012. The main purpose of this study is examining whether the two markets have a significant regime switch or not, then the empirical result finds that both markets have regime switch .Considering the difference of exchange rate regime in two countries, the decision of the cross rate becomes more prudent because China authority may underestimate the exchange to disturb the export of Taiwan.

This paper focuses on stock markets, including Portugal¡BItaly¡BIreland¡BGreece and Spain, and these are named PIGS by economists. Furthermore, we add the other three countries, U.S.A.¡BU.K. and Germany in this paper for investigating the dependence structure in the stock markets between these countries during the period 2001-2011. We implement a regime-switching copula model based on Gaussian copula, which uses a GARCH specification for the marginal distributions and the Gaussian copula for the joint distribution. Our method combines copulas and regime-switching models to demonstrate dependence sructures in stock markets between these countries. Based on this paper, we have two reports for international investors. First, if the dependency changes over time, the returns of portfolio diversification may be prone to diversification disasters, and the international investors' degrees of diversification can cause higher systemic risk in the period of financial crisis. Second, the phonomenon of the asymmetric dependence exists in financial markets, and we conclude that non-diversification may be better than diversification in the period of financial crisis.

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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Esse estudo se propÃe estimar a demanda por energia elÃtrica para as classes residencial, comercial e industrial na regiÃo Nordeste do Brasil, no perÃodo de 1970 a 2003. Utilizando as metodologias desenvolvidas por Stock e Watson (1993) e Gregory e Hansen (1996), respectivamente, DOLS e MudanÃa de Regime para obter as elasticidades-preÃo e renda de longo prazo. A partir dos vetores de cointegraÃÃo sÃo estimados os Modelos de CorreÃÃes de Erros, os quais fornecem a base para se fazer previsÃes de longo prazo, no perÃodo de 2004 a 2010. A partir dos resultados apresentados por este estudo, sÃo feitas comparaÃÃes das elasticidades-preÃo e renda de curto e longo prazo com demais estudos para o Brasil, bem como para as previsÃes feitas pela EletrobrÃs e por Siqueira, Cordeiro Jr. e Castelar (2006). As metodologias utilizadas nesse estudo, apresentam previsÃes mais acuradas do que os demais estudos para os anos de 2004 a 2006. / The objective of this research is to estimate the residential, commercial and industrial demand for electric energy in the Northeast region of Brazil during the period of 1970 2003. Two different methodologies were used to compute the price and income elasticity of demand: i) DOLS, proposed by Stock and Watson (1993); and ii) Regime Switching by Gregory and Hansen (1996). Error Correction Models are estimated from the cointegration vectors. These models are used to perform long-run forecasts of the electricity demand for the period 2004- 2010. The results are then compared to those from other researches about Brazilianâs price and income elasticity of demand for electric energy. Furthermore, the computed forecasts are compared to those from EletrobrÃs and from Siqueira, Cordeiro Jr. e Castelar (2006). The methodologies used in this work present forecasts that are more accurate than those ones from nother works for the period 2004-2006.