Cette thèse étudie les cycles économiques provinciaux chinois durant la période 1989-2009. Dans un premier temps, Nous utilisons une variété de techniques afin d'examiner la nature et le degré de comouvement entre les cycles de croissance provinciaux chinois. Nous détectons différentes propriétés des cycles de croissance provinciaux. En utilisant une méthodologie de classification basée sur un modèle, nous constatons que les provinces peuvent être classées parmi cinq classes en fonction des mesures standards des caractéristiques cycliques. Bien que la majorité des provinces a connu la récession qui a eu lieu autour de la crise asiatique, la nation dans son ensemble a connu une phase d'expansion. En outre, toutes les provinces, ont connu la récession liée à la crise financière internationale qui a eu lieu en 2007/2008 à l'exception du Jiangsu et Tianjin. Toutes les provinces côtières, sauf Hainan, sont significativement synchronisées avec le cycle national. En outre, nous constatons que les quatre principales récessions nationales sont bien diffusées dans tout le pays. Ensuite, nous analysons la co-cyclicité entre les provinces dans chacune des six régions définies par Groenewold et al. (2008). Nous nous basons sur la décomposition tendance-cycle en utilisant le modèle à composantes inobservables univarié et multivarié. Nous trouvons que La majorité des cycles provinciaux reflètent des chocs de la demande plutôt que des chocs de l'offre. En examinant si des cycles communs existent au sein de chaque région, nous pouvons formuler des conclusions sur la pertinence de la définition de ces régions. / This thesis deals with the Chinese provincial growth cycles over the period 1989-2009. First, we use a variety of techniques to examine the nature and degree of comovement among Chinese provincial growth cycles. We detect different properties of the provincial growth cycles. Using a model-based clustering methodology, we find that provinces can be classified among five major clusters as a function of standard measures of cyclical characteristics. Although the majority of provinces experienced the recession that occurred around the Asian crisis, the nation as whole experienced an expansionary phase. Moreover, all the provinces experienced the recession related to the subprime crisis that occurred in 2007/2008 except Jiangsu and Tianjing. However, All coastal provinces except Hainan are significantly synchronized with the national cycle. Furthermore, we find that the main four national recessions are well diffused across the country. Then, we analyse the co-cyclicality between provinces in each of the six regions defined by Groenewold et al. (2008). We rely on trend-cycle decomposition by using both univariate and multivariate unobserved component model. The majority of provincial cycles reflect demand rather than supply-side shocks. By examining the commonality of provincial growth cycles within each region, we ask whether the definition of these regions is supported by statistical analysis. We find mixed results. Finally, we use a Markov switching model that allow for the identification of business/seasonal cycle interaction.

This thesis examines inter-industry wage differentials in the Czech Republic, using the European Union - Statistics on Income and Living (EU-SILC 2009) survey as our primary data source. Findings show that even after controlling for large number of workers and jobs characteristics wage differences based on industry affiliation still persist. The variation of the inter-industry wage differentials amounts to approximately 5 percent with the maximum wage level difference of 25 percent between the financial sector and agriculture. By applying two distinct methodologies we tested the hypothesis that the inter-industry wage differentials are actually caused by higher concentration of workers with better unmeasured abilities in higher-paying industries. Neither of the two methods rejected the unobserved ability hypothesis. Finally, our analysis also shows that the inter-industry wage differentials can be to a certain extent attributed to rent-sharing and different labour turnover costs across sectors.

Travel demand forecasting is essential for many decisions, such as infrastructure investments and policy measures. Traditionally travel demand modelling has considered trip frequency, mode, destination and route choice. This thesis considers two other choice dimensions, hypothesised to have implications for travel demand forecasting. The first part investigates how the increased possibilities to overcome space that ICT (information and communication technology) provides, can be integrated in travel demand forecasting models. We find that possibilities of modelling substitution effects are limited, irrespective of data source and modelling approach. Telecommuting explains, however, a very small part of variation in work trip frequency. It is therefore not urgent to include effects from telecommuting in travel demand forecasting. The results indicate that telecommuting is a privilege for certain groups of employees, and we therefore expect that negative attitudes from management, job suitability and lack of equipment are important obstacles. We find also that company benefits can be obtained from telecommuting. No evidences that telecommuting gives rise to urban sprawl is, however, found. Hence, there is ground for promoting telecommuting from a societal, individual and company perspective. The second part develops a departure time choice model in a mixed logit framework. This model explains how travellers trade-off travel time, travel time variability, monetary and scheduling costs, when choosing departure time. We explicitly account for correlation in unobserved heterogeneity over repeated SP choices, which was fundamental for accurate estimation of the substitution pattern. Temporal constraints at destination are found to mainly restrict late arrival. Constraints at origin mainly restrict early departure. Sensitivity to travel time uncertainty depends on trip type and intended arrival time. Given appropriate input data and a calibrated dynamic assignment model, the model can be applied to forecast peak-spreading effects in congested networks. Combined stated preference (SP) and revealed preference (RP) data is used, which has provided an opportunity to compare observed and stated behaviour. Such analysis has previously not been carried out and indicates that there are systematic differences in RP and SP data. / QC 20100825

This thesis investigates the impact of fragmentation in the ownership of complementary patents or patent thickets on firms' market value. This question is motivated by the increase in the patent ownership fragmentation following the pro-patent shifts in the US since 1982. The first chapter uses panel data on patenting US manufacturing firms from 1979 to 1996, and estimates the impact of patent thickets on firms' market value. I find that patent thickets lower firms' market value, and firms with a large patent portfolio size experience a smaller negative effect from their thickets. Moreover, no systematic difference exists in the impact of patent thickets on firms' market value over time. The second chapter extends this analysis to account for the indirect impacts of patent thickets on firms' market value. These indirect effects arise through the effects of patent thickets on firms' R\&D and patenting activities. Using panel data on US manufacturing firms from 1979 to 1996, I estimate the impact of patent thickets on market value, R\&D, and patenting as well as the impacts of R\&D and patenting on market value. Employing these estimates, I determine the direct, indirect, and total impacts of patent thickets on market value. I find that patent thickets decrease firms' market value, while I hold the firms’ R\&D and patenting activities constant. I find no evidence of a change in R\&D due to patent thickets. However, there is evidence of defensive patenting (an increase in patenting attributed to thickets), which helps to reduce the direct negative impact of patent thickets on market value. The data sets used in Chapters 1 and 2 have a number of missing observations on regressors. The commonly used methods to manage missing observations are the listwise deletion (complete case) and the indicator methods. Studies on the statistical properties of these methods suggest a smaller bias using the listwise deletion method. Employing Monte Carlo simulations, Chapter 3 examines the properties of these methods, and finds that in some cases the listwise deletion estimates have larger biases than indicator estimates. This finding suggests that interpreting estimates arrived at with either approach requires caution.

This thesis investigates the impact of fragmentation in the ownership of complementary patents or patent thickets on firms' market value. This question is motivated by the increase in the patent ownership fragmentation following the pro-patent shifts in the US since 1982. The first chapter uses panel data on patenting US manufacturing firms from 1979 to 1996, and estimates the impact of patent thickets on firms' market value. I find that patent thickets lower firms' market value, and firms with a large patent portfolio size experience a smaller negative effect from their thickets. Moreover, no systematic difference exists in the impact of patent thickets on firms' market value over time. The second chapter extends this analysis to account for the indirect impacts of patent thickets on firms' market value. These indirect effects arise through the effects of patent thickets on firms' R\&D and patenting activities. Using panel data on US manufacturing firms from 1979 to 1996, I estimate the impact of patent thickets on market value, R\&D, and patenting as well as the impacts of R\&D and patenting on market value. Employing these estimates, I determine the direct, indirect, and total impacts of patent thickets on market value. I find that patent thickets decrease firms' market value, while I hold the firms’ R\&D and patenting activities constant. I find no evidence of a change in R\&D due to patent thickets. However, there is evidence of defensive patenting (an increase in patenting attributed to thickets), which helps to reduce the direct negative impact of patent thickets on market value. The data sets used in Chapters 1 and 2 have a number of missing observations on regressors. The commonly used methods to manage missing observations are the listwise deletion (complete case) and the indicator methods. Studies on the statistical properties of these methods suggest a smaller bias using the listwise deletion method. Employing Monte Carlo simulations, Chapter 3 examines the properties of these methods, and finds that in some cases the listwise deletion estimates have larger biases than indicator estimates. This finding suggests that interpreting estimates arrived at with either approach requires caution.

No description available.

Esta tese é composta de três artigos relacionados à política monetária e inflação e possuem em comum a ênfase na importância das expectativas tanto para o desenho da política monetária como para a dinâmica inflacionária. No primeiro ensaio, contribuímos para o debate sobre a resposta apropriada de política monetária a flutuações de preços de ativos em um contexto de aprendizagem adaptativa. O modelo conta com dois tipos de regras de juros instrumentais como em Bullard e Mitra (2002), porém com um papel adicional para preços de ativos. Do ponto de vista da E-Estabilidade, conclui-se que uma resposta a preços de ativos não é desejável nem com a regra que utiliza expectativas futuras nem com a regra que responde a valores contemporâneos. Crenças heterogêneas a respeito da dinâmica das flutuações de preços de ativos, inflação e hiato do produto são introduzidas. Também é avaliada uma regra de política monetária ótima que inclui um peso para os preços de ativos. De forma geral, conclui-se que o princípio de Taylor é relevante para todas as regras de juros analisadas e que os bancos centrais devem agir com cautela ao considerar a introdução de preços de ativos na política monetária. No segundo ensaio, oferecemos estimativas recentes de persistência inflacionária no Brasil, com uma abordagem multivariada de componentes não-observados, na qual são consideradas as seguintes fontes que impactam na persistência da inflação: desvios das expectativas da meta real de inflação; persistência dos fatores que provocam inflação; e termos defasados da inflação. Dados de inflação, produto e taxas de juros são decompostos em componentes não-observados e, para simplificar a estimativa de um número grande de variáveis desconhecidas, utilizamos análise bayesiana, seguindo Dossche e Everaert (2005). Os resultados indicam que a persistência baseada em expectativas tem grande participação na persistência inflacionária no Brasil, que tem diminuído nos últimos anos. Tal resultado implica que apenas as tradicionais fricções no ajuste de preços usadas nos modelos macroeconômicos não são suficientes para representar a real persistência da inflação. No último capítulo estimamos diversas curvas de Phillips reduzidas com dados brasileiros recentes, numa abordagem de séries de tempo com componentes não-observados, que se apresenta como alternativa às tradicionais estimativas, baseadas em métodos GMM, de curvas de Phillips Novo-Keynesianas (NKPC), que raramente foram bem sucedidas empiricamente. A decomposição em tendência, sazonalidade e ciclo oferece, através do resultado gráfico, interpretação econômica direta. Diferentemente de Harvey (2011), incluímos expectativas de inflação nas estimações, assim como na NKPC habitual. A inflação no Brasil parece ter respondido cada vez menos às medidas de atividade econômica consideradas. Isso consiste em evidência de achatamento da curva de Phillips no Brasil, o que significa por um lado custos de desinflação mais altos, mas por outro lado menores pressões inflacionárias derivadas de crescimento do produto. / This thesis is composed of three essays on monetary policy and inflation that share particular emphasis on the importance of expectations for both monetary policy design and inflation dynamics. First we contribute to the debate on the appropriate response of monetary policy to asset price fluctuations in an adaptive learning context. Our model accounts for two types of instrumental rules in the spirit of Bullard and Mitra (2002), but with an additional role for asset prices. From the point of view of EStability, we find that a response to stock prices is not desirable under both a forward expectations policy rule and an interest rate rule responding to contemporaneous values. Heterogeneous beliefs about the dynamics of asset price fluctuations, inflation and the output gap are introduced. We also evaluate an optimal monetary policy rule including a weight on asset prices. Overall we find that the Taylor principle remain important over all interest rate rules analysed and that central banks should remain cautious when considering the introduction of stock prices in monetary policy. In the second essay, we provide recent estimates of inflation persistence in Brazil in a multivariate framework of unobserved components, whereby we account for the following sources affecting inflation persistence: First, deviations of expectations from the actual policy target; second, persistence of the factors driving inflation; and third, lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components and to simplify the estimation of a great number of unknown variables, we utilize bayesian analysis as in Dossche and Everaert (2005). Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil, which has experienced an overall decrease in the last few years. This finding implies that traditional price-setting frictions used in macroeconomic models are not enough to represent actual inflation persistence. In the last chapter we estimate alternative reduced-form Phillips curves with recent Brazilian data, using a framework of time series with unobserved components, as an alternative to traditional GMM estimations of the New Keynesian Phillips Curve (NKPC), which have seldom been empirically successful. The decomposition into trend, seasonal and cycle features offers, through the graphical output, straightforward economic interpretations. Differently from Harvey (2011), we allow for inflation expectations as in the usual NKPC. Inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, which means higher costs of disinflation on the one hand, but also lower inflationary pressures derived from output growth, on the other.

Esta tese é composta de três artigos relacionados à política monetária e inflação e possuem em comum a ênfase na importância das expectativas tanto para o desenho da política monetária como para a dinâmica inflacionária. No primeiro ensaio, contribuímos para o debate sobre a resposta apropriada de política monetária a flutuações de preços de ativos em um contexto de aprendizagem adaptativa. O modelo conta com dois tipos de regras de juros instrumentais como em Bullard e Mitra (2002), porém com um papel adicional para preços de ativos. Do ponto de vista da E-Estabilidade, conclui-se que uma resposta a preços de ativos não é desejável nem com a regra que utiliza expectativas futuras nem com a regra que responde a valores contemporâneos. Crenças heterogêneas a respeito da dinâmica das flutuações de preços de ativos, inflação e hiato do produto são introduzidas. Também é avaliada uma regra de política monetária ótima que inclui um peso para os preços de ativos. De forma geral, conclui-se que o princípio de Taylor é relevante para todas as regras de juros analisadas e que os bancos centrais devem agir com cautela ao considerar a introdução de preços de ativos na política monetária. No segundo ensaio, oferecemos estimativas recentes de persistência inflacionária no Brasil, com uma abordagem multivariada de componentes não-observados, na qual são consideradas as seguintes fontes que impactam na persistência da inflação: desvios das expectativas da meta real de inflação; persistência dos fatores que provocam inflação; e termos defasados da inflação. Dados de inflação, produto e taxas de juros são decompostos em componentes não-observados e, para simplificar a estimativa de um número grande de variáveis desconhecidas, utilizamos análise bayesiana, seguindo Dossche e Everaert (2005). Os resultados indicam que a persistência baseada em expectativas tem grande participação na persistência inflacionária no Brasil, que tem diminuído nos últimos anos. Tal resultado implica que apenas as tradicionais fricções no ajuste de preços usadas nos modelos macroeconômicos não são suficientes para representar a real persistência da inflação. No último capítulo estimamos diversas curvas de Phillips reduzidas com dados brasileiros recentes, numa abordagem de séries de tempo com componentes não-observados, que se apresenta como alternativa às tradicionais estimativas, baseadas em métodos GMM, de curvas de Phillips Novo-Keynesianas (NKPC), que raramente foram bem sucedidas empiricamente. A decomposição em tendência, sazonalidade e ciclo oferece, através do resultado gráfico, interpretação econômica direta. Diferentemente de Harvey (2011), incluímos expectativas de inflação nas estimações, assim como na NKPC habitual. A inflação no Brasil parece ter respondido cada vez menos às medidas de atividade econômica consideradas. Isso consiste em evidência de achatamento da curva de Phillips no Brasil, o que significa por um lado custos de desinflação mais altos, mas por outro lado menores pressões inflacionárias derivadas de crescimento do produto. / This thesis is composed of three essays on monetary policy and inflation that share particular emphasis on the importance of expectations for both monetary policy design and inflation dynamics. First we contribute to the debate on the appropriate response of monetary policy to asset price fluctuations in an adaptive learning context. Our model accounts for two types of instrumental rules in the spirit of Bullard and Mitra (2002), but with an additional role for asset prices. From the point of view of EStability, we find that a response to stock prices is not desirable under both a forward expectations policy rule and an interest rate rule responding to contemporaneous values. Heterogeneous beliefs about the dynamics of asset price fluctuations, inflation and the output gap are introduced. We also evaluate an optimal monetary policy rule including a weight on asset prices. Overall we find that the Taylor principle remain important over all interest rate rules analysed and that central banks should remain cautious when considering the introduction of stock prices in monetary policy. In the second essay, we provide recent estimates of inflation persistence in Brazil in a multivariate framework of unobserved components, whereby we account for the following sources affecting inflation persistence: First, deviations of expectations from the actual policy target; second, persistence of the factors driving inflation; and third, lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components and to simplify the estimation of a great number of unknown variables, we utilize bayesian analysis as in Dossche and Everaert (2005). Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil, which has experienced an overall decrease in the last few years. This finding implies that traditional price-setting frictions used in macroeconomic models are not enough to represent actual inflation persistence. In the last chapter we estimate alternative reduced-form Phillips curves with recent Brazilian data, using a framework of time series with unobserved components, as an alternative to traditional GMM estimations of the New Keynesian Phillips Curve (NKPC), which have seldom been empirically successful. The decomposition into trend, seasonal and cycle features offers, through the graphical output, straightforward economic interpretations. Differently from Harvey (2011), we allow for inflation expectations as in the usual NKPC. Inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, which means higher costs of disinflation on the one hand, but also lower inflationary pressures derived from output growth, on the other.

Esta tese é composta de três artigos relacionados à política monetária e inflação e possuem em comum a ênfase na importância das expectativas tanto para o desenho da política monetária como para a dinâmica inflacionária. No primeiro ensaio, contribuímos para o debate sobre a resposta apropriada de política monetária a flutuações de preços de ativos em um contexto de aprendizagem adaptativa. O modelo conta com dois tipos de regras de juros instrumentais como em Bullard e Mitra (2002), porém com um papel adicional para preços de ativos. Do ponto de vista da E-Estabilidade, conclui-se que uma resposta a preços de ativos não é desejável nem com a regra que utiliza expectativas futuras nem com a regra que responde a valores contemporâneos. Crenças heterogêneas a respeito da dinâmica das flutuações de preços de ativos, inflação e hiato do produto são introduzidas. Também é avaliada uma regra de política monetária ótima que inclui um peso para os preços de ativos. De forma geral, conclui-se que o princípio de Taylor é relevante para todas as regras de juros analisadas e que os bancos centrais devem agir com cautela ao considerar a introdução de preços de ativos na política monetária. No segundo ensaio, oferecemos estimativas recentes de persistência inflacionária no Brasil, com uma abordagem multivariada de componentes não-observados, na qual são consideradas as seguintes fontes que impactam na persistência da inflação: desvios das expectativas da meta real de inflação; persistência dos fatores que provocam inflação; e termos defasados da inflação. Dados de inflação, produto e taxas de juros são decompostos em componentes não-observados e, para simplificar a estimativa de um número grande de variáveis desconhecidas, utilizamos análise bayesiana, seguindo Dossche e Everaert (2005). Os resultados indicam que a persistência baseada em expectativas tem grande participação na persistência inflacionária no Brasil, que tem diminuído nos últimos anos. Tal resultado implica que apenas as tradicionais fricções no ajuste de preços usadas nos modelos macroeconômicos não são suficientes para representar a real persistência da inflação. No último capítulo estimamos diversas curvas de Phillips reduzidas com dados brasileiros recentes, numa abordagem de séries de tempo com componentes não-observados, que se apresenta como alternativa às tradicionais estimativas, baseadas em métodos GMM, de curvas de Phillips Novo-Keynesianas (NKPC), que raramente foram bem sucedidas empiricamente. A decomposição em tendência, sazonalidade e ciclo oferece, através do resultado gráfico, interpretação econômica direta. Diferentemente de Harvey (2011), incluímos expectativas de inflação nas estimações, assim como na NKPC habitual. A inflação no Brasil parece ter respondido cada vez menos às medidas de atividade econômica consideradas. Isso consiste em evidência de achatamento da curva de Phillips no Brasil, o que significa por um lado custos de desinflação mais altos, mas por outro lado menores pressões inflacionárias derivadas de crescimento do produto. / This thesis is composed of three essays on monetary policy and inflation that share particular emphasis on the importance of expectations for both monetary policy design and inflation dynamics. First we contribute to the debate on the appropriate response of monetary policy to asset price fluctuations in an adaptive learning context. Our model accounts for two types of instrumental rules in the spirit of Bullard and Mitra (2002), but with an additional role for asset prices. From the point of view of EStability, we find that a response to stock prices is not desirable under both a forward expectations policy rule and an interest rate rule responding to contemporaneous values. Heterogeneous beliefs about the dynamics of asset price fluctuations, inflation and the output gap are introduced. We also evaluate an optimal monetary policy rule including a weight on asset prices. Overall we find that the Taylor principle remain important over all interest rate rules analysed and that central banks should remain cautious when considering the introduction of stock prices in monetary policy. In the second essay, we provide recent estimates of inflation persistence in Brazil in a multivariate framework of unobserved components, whereby we account for the following sources affecting inflation persistence: First, deviations of expectations from the actual policy target; second, persistence of the factors driving inflation; and third, lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components and to simplify the estimation of a great number of unknown variables, we utilize bayesian analysis as in Dossche and Everaert (2005). Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil, which has experienced an overall decrease in the last few years. This finding implies that traditional price-setting frictions used in macroeconomic models are not enough to represent actual inflation persistence. In the last chapter we estimate alternative reduced-form Phillips curves with recent Brazilian data, using a framework of time series with unobserved components, as an alternative to traditional GMM estimations of the New Keynesian Phillips Curve (NKPC), which have seldom been empirically successful. The decomposition into trend, seasonal and cycle features offers, through the graphical output, straightforward economic interpretations. Differently from Harvey (2011), we allow for inflation expectations as in the usual NKPC. Inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, which means higher costs of disinflation on the one hand, but also lower inflationary pressures derived from output growth, on the other.

Travel demand forecasting is essential for many decisions, such as infrastructure investments and policy measures. Traditionally travel demand modelling has considered trip frequency, mode, destination and route choice. This thesis considers two other choice dimensions, hypothesised to have implications for travel demand forecasting. The first part investigates how the increased possibilities to overcome space that ICT (information and communication technology) provides, can be integrated in travel demand forecasting models. We find that possibilities of modelling substitution effects are limited, irrespective of data source and modelling approach. Telecommuting explains, however, a very small part of variation in work trip frequency. It is therefore not urgent to include effects from telecommuting in travel demand forecasting. The results indicate that telecommuting is a privilege for certain groups of employees, and we therefore expect that negative attitudes from management, job suitability and lack of equipment are important obstacles. We find also that company benefits can be obtained from telecommuting. No evidences that telecommuting gives rise to urban sprawl is, however, found. Hence, there is ground for promoting telecommuting from a societal, individual and company perspective. The second part develops a departure time choice model in a mixed logit framework. This model explains how travellers trade-off travel time, travel time variability, monetary and scheduling costs, when choosing departure time. We explicitly account for correlation in unobserved heterogeneity over repeated SP choices, which was fundamental for accurate estimation of the substitution pattern. Temporal constraints at destination are found to mainly restrict late arrival. Constraints at origin mainly restrict early departure. Sensitivity to travel time uncertainty depends on trip type and intended arrival time. Given appropriate input data and a calibrated dynamic assignment model, the model can be applied to forecast peak-spreading effects in congested networks. Combined stated preference (SP) and revealed preference (RP) data is used, which has provided an opportunity to compare observed and stated behaviour. Such analysis has previously not been carried out and indicates that there are systematic differences in RP and SP data. / QC 20100825