In this paper, we have employed the Kourtellos et al. (2007) threshold model to examine the relationship between inflation and relative price variability in Hong Kong, Argentina, Germany, Japan, Mexico and Philippines. Empirical results from Hong Kong, Japan and Mexico show that inflation are endogenous variables, and the relationship between these two variables appears to be a V shape for Hong Kong and Japan. However, the relationship appears to be positive for Mexico. Empirical results fail to reject the hypothesis of exogenous inflation for Argentina, Germany and Philippines, and the relationship between these two variables appears to be a V shape for Philippines and Argentina. There is no significant relationship between these two variables for Germany.

CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / A avaliaÃÃo dos efeitos da inflaÃÃo na Variabilidade de PreÃos Relativos (VPR) à uma fonte de subsÃdios aos formuladores de polÃtica econÃmica no que se refere à tomada de aÃÃes preventivas contra possÃveis pressÃes inflacionÃrias, minimizando os custos em termos de variaÃÃo do produto e do emprego. Dessa forma, este trabalho visa verificar empiricamente o impacto da adoÃÃo de metas para inflaÃÃo (MI) na relaÃÃo entre inflaÃÃo e VPR na economia brasileira, durante o perÃodo de 1995 a 2012. Seguindo evidÃncias da literatura, foram estimados modelos onde tal relaÃÃo assume a forma linear com quebras estruturais e a forma quadrÃtica a fim de testar qual deles melhor se ajusta aos dados brasileiros. Baseado em Bai e Perron (1998, 2003), os modelos de regressÃo foram estimados tratando as datas de quebras como variÃveis desconhecidas, obtidas endogenamente, em julho de 1998 e novembro de 2002. Para o perÃodo analisado os resultados nÃo corroboram as evidÃncias do formato de U da relaÃÃo entre inflaÃÃo e VPR, sendo que o efeito marginal da inflaÃÃo sobre a VPR à positivo, embora sua magnitude seja reduzida apÃs a adoÃÃo das metas e ainda mais apÃs o ganho de credibilidade referente ao cumprimento das mesmas. Adicionalmente observou-se que a relaÃÃo entre a inflaÃÃo esperada e a VPR se enfraqueceu apÃs a adoÃÃo das metas, enquanto a inflaÃÃo nÃo esperada somente se tornou significativa a partir da adoÃÃo desta polÃtica. / The assessment of the inflation effects on the Relative Price Variability (RPV) is a source of subsidies for economic policymakers when it comes to taking preventive measures against possible inflationary pressures, thus minimizing the costs in terms of product variation and employment. Once exposed that, this work aims to empirically investigate the effects of inflation targeting (IT) adoption on the relationship between inflation and RPV in the Brazilian economy from 1995 to 2012. Based on the literature, two models were estimated in order to test which one best fits in the Brazilian data. In the first one, the relationship takes the linear shape, while in the other it is U-shaped. Following Bai and Perron (1998, 2003), the regression models were estimated treating the dates of breaks as unknown variable, which were endogenously obtained in July of 1998 and November of 2002. In the period analyzed, the results do not corroborate the evidence of the U-shaped relation between inflation and RPV, once the marginal effect of inflation on the RPV is positive, although its magnitude is reduced after the adopting of IT and even more after the adoption of measures that gave credibility to comply with them. Additionally it was observed that the expected inflation had its effect reduced on RPV after the IT adoption, while the unexpected inflation only becomes significant after the adoption of this policy.

The relations between monetary policies, asset prices, and economic growth are important and fundamental questions in macroeconomics. To address these issues, several empirical works have been conducted to investigate these relations. However, few of them have documented whether these relations differ across regimes. In this context, the general motivation of this thesis is to use dependent regime models to examine these relations for the Canadian case. Chapter one empirically analyzes the interest rate behaviour of the Canadian monetary authorities by taking into account the asymmetry in the loss function. We employ a switching regime framework using two estimation strategies: First, we follow Caner and Hansen (2004) Threshold approach. Under this procedure we estimate the threshold values, using the Taylor empirical rules. Second, we estimate the asymmetric policy reaction function following Favero and Rovelli’s (2003) approach. The results reveal that the monetary authorities showed asymmetric preferences and that its reaction function can be better modeled with a nonlinear model. The main contribution of this chapter is to successfully interpret the parameters associated with the Bank of Canada preferences, something that Rodriguez (2008) could not do. Chapter two tries to estimate the interest rate behaviour of the Canadian monetary authorities by expanding the arguments of the loss function for fluctuations in asset prices. Using the same methodology as in the first chapter, our findings suggest that the augmented nonlinear reaction function is a good fit for the data and gives new relevant insights into the influence of asset prices on Canadian monetary policy. These findings about the role of asset prices in the reaction function of the Bank of Canada provide relevant insights regarding the opportunities and limitations of incorporating financial indicators in monetary policy decision making. They also provide financial market participants, such as analysts, bankers and traders, with a better understanding of the impact of stock market index prices on Bank of Canada policy. Stock market stabilization plays a larger role in the interest rate decisions of the Bank of Canada than it is willing to admit. Chapter three provides new evidence on the relation between inflation, relative price variability and economic growth to a panel of Canadian provinces over the period 1981-2008. We use the Bick and Nautz (2008) modified version of Hansen’s (1999) Panel Threshold Model. The evidence strongly supports the view that the relationship between inflation and economic growth is nonlinear. Further investigation suggests that relative price variability is one of the important channels through which inflation affects economic performance in Canadian provinces. When taking into account the cross-section dependence, we find that the critical threshold value slightly changes. It is desirable to keep the inflation rate in a moderate inflation regime because it may be helpful for the achievement of sustainable economic growth. The results seem to indicate that inflation that is too high or too low may have detrimental effects on economic growth.

The relations between monetary policies, asset prices, and economic growth are important and fundamental questions in macroeconomics. To address these issues, several empirical works have been conducted to investigate these relations. However, few of them have documented whether these relations differ across regimes. In this context, the general motivation of this thesis is to use dependent regime models to examine these relations for the Canadian case. Chapter one empirically analyzes the interest rate behaviour of the Canadian monetary authorities by taking into account the asymmetry in the loss function. We employ a switching regime framework using two estimation strategies: First, we follow Caner and Hansen (2004) Threshold approach. Under this procedure we estimate the threshold values, using the Taylor empirical rules. Second, we estimate the asymmetric policy reaction function following Favero and Rovelli’s (2003) approach. The results reveal that the monetary authorities showed asymmetric preferences and that its reaction function can be better modeled with a nonlinear model. The main contribution of this chapter is to successfully interpret the parameters associated with the Bank of Canada preferences, something that Rodriguez (2008) could not do. Chapter two tries to estimate the interest rate behaviour of the Canadian monetary authorities by expanding the arguments of the loss function for fluctuations in asset prices. Using the same methodology as in the first chapter, our findings suggest that the augmented nonlinear reaction function is a good fit for the data and gives new relevant insights into the influence of asset prices on Canadian monetary policy. These findings about the role of asset prices in the reaction function of the Bank of Canada provide relevant insights regarding the opportunities and limitations of incorporating financial indicators in monetary policy decision making. They also provide financial market participants, such as analysts, bankers and traders, with a better understanding of the impact of stock market index prices on Bank of Canada policy. Stock market stabilization plays a larger role in the interest rate decisions of the Bank of Canada than it is willing to admit. Chapter three provides new evidence on the relation between inflation, relative price variability and economic growth to a panel of Canadian provinces over the period 1981-2008. We use the Bick and Nautz (2008) modified version of Hansen’s (1999) Panel Threshold Model. The evidence strongly supports the view that the relationship between inflation and economic growth is nonlinear. Further investigation suggests that relative price variability is one of the important channels through which inflation affects economic performance in Canadian provinces. When taking into account the cross-section dependence, we find that the critical threshold value slightly changes. It is desirable to keep the inflation rate in a moderate inflation regime because it may be helpful for the achievement of sustainable economic growth. The results seem to indicate that inflation that is too high or too low may have detrimental effects on economic growth.

The relations between monetary policies, asset prices, and economic growth are important and fundamental questions in macroeconomics. To address these issues, several empirical works have been conducted to investigate these relations. However, few of them have documented whether these relations differ across regimes. In this context, the general motivation of this thesis is to use dependent regime models to examine these relations for the Canadian case. Chapter one empirically analyzes the interest rate behaviour of the Canadian monetary authorities by taking into account the asymmetry in the loss function. We employ a switching regime framework using two estimation strategies: First, we follow Caner and Hansen (2004) Threshold approach. Under this procedure we estimate the threshold values, using the Taylor empirical rules. Second, we estimate the asymmetric policy reaction function following Favero and Rovelli’s (2003) approach. The results reveal that the monetary authorities showed asymmetric preferences and that its reaction function can be better modeled with a nonlinear model. The main contribution of this chapter is to successfully interpret the parameters associated with the Bank of Canada preferences, something that Rodriguez (2008) could not do. Chapter two tries to estimate the interest rate behaviour of the Canadian monetary authorities by expanding the arguments of the loss function for fluctuations in asset prices. Using the same methodology as in the first chapter, our findings suggest that the augmented nonlinear reaction function is a good fit for the data and gives new relevant insights into the influence of asset prices on Canadian monetary policy. These findings about the role of asset prices in the reaction function of the Bank of Canada provide relevant insights regarding the opportunities and limitations of incorporating financial indicators in monetary policy decision making. They also provide financial market participants, such as analysts, bankers and traders, with a better understanding of the impact of stock market index prices on Bank of Canada policy. Stock market stabilization plays a larger role in the interest rate decisions of the Bank of Canada than it is willing to admit. Chapter three provides new evidence on the relation between inflation, relative price variability and economic growth to a panel of Canadian provinces over the period 1981-2008. We use the Bick and Nautz (2008) modified version of Hansen’s (1999) Panel Threshold Model. The evidence strongly supports the view that the relationship between inflation and economic growth is nonlinear. Further investigation suggests that relative price variability is one of the important channels through which inflation affects economic performance in Canadian provinces. When taking into account the cross-section dependence, we find that the critical threshold value slightly changes. It is desirable to keep the inflation rate in a moderate inflation regime because it may be helpful for the achievement of sustainable economic growth. The results seem to indicate that inflation that is too high or too low may have detrimental effects on economic growth.

La présente thèse analyse l’impact de l’inflation sur la croissance économique et ses différents déterminants. Dansun premier temps, notre étude s’intéresse à deux aspects de la relation entre l’inflation et la croissance économique.Ainsi, nous examinons tout d’abord la non-linéarité du lien entre l’inflation et la croissance économique et identifionsplusieurs seuils pour l'échantillon global ainsi que pour les différents sous-échantillons définis selon le niveau durevenu. Ensuite, nous procédons à l’identification de certaines caractéristiques macroéconomiques au niveau despays qui influencent cette non-linéarité. Nos résultats empiriques corroborent les deux éléments d’analyse précédentset montrent que la non-linéarité de la relation entre l'inflation et la croissance dépend de l’ouverture commerciale dupays, de son accumulation de capital et du niveau de ses dépenses publiques (chapitre 2). Puis, dans un secondtemps, nous nous intéressons à l’explication de la non-linéarité de la relation entre l’inflation et la croissance entestant l’effet Tobin de l’inflation sur le capital physique et sur l’effet de substitution entre le travail et l’éducationpour le capital humain. Nous montrons que l’impact positif des taux d’inflation modérés résulte de l’effet Tobin surle capital physique, tandis que la réduction de l'impact de l'accélération de l'inflation provient d’une meilleureaccumulation du capital humain. Nous confirmons tous ces effets et mettons en évidence le rôle du développementfinancier pour l'ensemble de ces mécanismes (chapitre 3). Enfin, nous abordons la question du manque de cohérenceentre la vision macroéconomique fondée sur la détermination d’un seuil optimal d'inflation et les préférences réellesdes banques centrales à travers le monde. Nous remarquons que les banques centrales utilisent des modèlesmicroéconomiques néo-keynésiens qui définissent le taux d'inflation optimal comme celui minimisant les dispersionsdans les marchés des produits et des facteurs de production. Nous testons alors l'effet de l'inflation sur la variabilitédes prix relatifs et de la croissance ; nos résultats montrent que seul un faible taux d’inflation positif réduit cesincertitudes et cela quel que soit le niveau de revenu du pays. Concernant les pays émergents de notre échantillon, lechoix du régime de politique monétaire affecte également cette variabilité (chapitre 4). / This thesis is concerned with the effects of inflation on output growth and on its determinants. In the first step, ourstudy analyzes two aspects of the inflation–growth relationship. First, it examines the nonlinearity of the relationshipbetween inflation and output growth and identifies several thresholds for the global sample and for various incomespecificsub-samples. Secondly, it identifies some country-based macroeconomic features that influence thisnonlinearity. Our empirical results substantiate both views and validate the fact that the inflation–growth nonlinearityis sensitive to a country’s trade openness capital accumulation, and government expenditures (chapter 2). After that,we explain this inflation–growth nonlinearity by testing a Tobin effect of inflation on physical capital and asubstitution effect – from work to education – for human capital. We find that the positive effects of moderateinflation rate are due to the Tobin effect on physical capital whereas a weak negative effect of high inflation ratestems from a better human capital accumulation. We identify a strong role of well developed financial systems in allthese mechanisms (chapter 3). Lastly, we address a lack of coherence between the macro based optimal inflationthresholds for output growth and the actual preferences of central banks around the world. We notice that centralbanks use micro based New-Keynesian models and their optimal inflation rate is the one that minimizes dispersionsin factors and product markets. We test the effect of inflation on relative price variability and output growthvariability and, for all income groups, the results support a slight positive inflation rate to minimize theseuncertainties. For our selected emerging economies, monetary policy regimes also affect these dispersions (chapter4).