Dissertationen zum Thema „Inflating gas“

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Conselho Nacional de Desenvolvimento Científico e Tecnológico
Durante o século XX, avanços teóricos e experimentais jogaramuma nova luz sobre o estudo da história e evolução do universo, a Cosmologia. A partir dos trabalhos de Edwin Hubble, a cosmologia moderna pôde ser vista como ciência. Mas foi nas últimas décadas, sobretudo, com o desenvolvimento da cosmologia de precisão e devido a uma melhor compreensão da natureza em seu nível mais fundamental, que a Cosmologia despertou maior interesse científico. Uma das fronteiras da área diz respeito ao universo muito jovem: modelos cosmológicos são baseados em uma teoria de gravitação; no entanto, o paradigma atual de teoria de gravitação, a Relatividade Geral de Einstein, quebra para regimes de energia acima da escala de Planck. Assim, para descrever o universo primitivo, quando a densidade de energia era muito alta, precisamos de uma nova teoria de gravitação. Uma teoria de gravitação capaz de lidar comos efeitos quânticos. Hoje nós temos uma candidata à tal teoria quântica de gravitação: Teoria de Cordas. Nesta dissertação, analisaremos um cenário cosmológico construído sobre Teoria de Cordas, o cenário cosmológico do gás de cordas, proposto originalmente por Robert Brandenberger e Cumrum Vafa. O cenário faz uso de simetrias e dualidades próprias de Teoria de Cordas e do fato de que um gás de cordas possui uma temperatura limitante para descrever o universo primordial e propôr respostas à questões abertas de cosmologia, como a formação da estrutura causal e a dimensionalidade do espaço-tempo. Uma das questões em aberto no cenário é a ocorrência ou não de inflação, uma era de crescimento exponencial do universo, que produz a estrutura causal observada experimentalmente e dilui relíquias produzidas no universo primordial para os níveis observados. Propondo uma interação entre as cordas do gás proporcional a seu acoplamento, estudamos a evolução resultante do universo e sob quais condições podemos ter umperíodo inflacionário

This diploma thesis is about thermomechanics of passenger car tires. The research part dealing with existing tire models is followed by the practical part. The practical part is based on the designs of thermomechanical models. The first model determines a dependence of temperature on the air pressure inside a tire when a temperature changes. The second thermomechanical model captures all the heat fluxes which affect a tire while a vehicle is in motion. The third thermomechanical model calculates temperatures of parts of the tire during driving tests. All models are programmed in MATLAB.

Inflationsmålets historia sträcker sig drygt 30 år tillbaka i tiden. En förutsägbar centralbank skapar möjligheter för marknadsaktörerna att sätta upp inflationsförväntningar i linje med det uppsatta målet som bidrar till att prisstegringstakten följer den önskade nivån. I dag har en stor majoritet av de mest ekonomiskt utvecklade länderna valt att införa ett inflationsmål som ett riktmärke för landets centralbank att rikta penningpolitiken mot. Samtidigt som inflationsnivåerna har sjunkit har också stora delar av länderna idag låga räntenivåer. Det innebär att centralbankens ammunition kan vara förbrukad ifall inflationen skulle behövas tryckas upp om inflationsnivån är under sitt mål. Syftet är att försöka förklara om inflationsmålet har haft någon betydelse avseende att minska inflationsvariansen samt om det även har haft en påverkan på BNP-gapet. För att undersöka inflationsmålets betydelse har vi undersökt flera ekonomiskt välutvecklade länder från inflationsmålets introduktion fram tills nu. Relevansen och legitimiteten i studien grundas på ett flertal tidigare studier. Studien ger en historisk överblick över inflationsnivån och dess stabilitet för länderna sedan 80-talet. Resultaten visar en stadig nedgång samt stabilisering på inflationen för samtliga länder. Däremot finner vi inga stöd för att det enbart skulle vara inflationsmålets förtjänst. Vi kan inte heller observera någon skillnad för BNP-gapet med eller utan inflationsmål. Även om vi inte kan hitta bevis på skillnader av att ha ett inflationsmål eller inte, så tror vi att det har haft en betydelse för de stabiliseringar som inflationen fått tack vare att aktörer lättare kan anpassa sina förväntningar mot målet.
The inflation target's history stretches back over 30 years. A predictable central bank creates opportunities for the market participants to set inflation expectations in line with what is set to be made at the price increase that follows the desired level. Today, a large majority of the most economically well-developed countries have chosen to introduce an inflation target as a benchmark for the country's central bank to target its monetary policy. At the same time as inflation levels have fallen, large proportion of the countries today also have low interest rates. This means that the central bank's ammunition can’t be used in case a rise of inflation is needed if the level of inflation is below its target. The purpose of the thesis is to explain whether the inflation target has had any significance in reducing the inflation variance and whether it has had an impact on the output-gap. To investigate the significance of the inflation target, we have examined several economically well-developed countries from the introduction of the inflation target until now. The relevance and legitimacy of the study is based on a number of previous studies in the field of inflation targeting. The study provides a historical overview of inflation levels and stability for countries since the 1980s. The results show a steady decline and stabilization of inflation for all countries. We find no support for it being solely the merit of the inflation target. Nor can we observe any difference for the GDP gap with or without inflation targets. Although we cannot find evidence of differences in having an inflation target or not, we believe that it has had an impact on the stabilizations that inflation has gained due to the fact that actors can more easily adjust their expectations to the target.

All over the world, the level of poverty is increasing. In South Africa it is mainly concentrated in rural areas and differs significantly from whether considering race, sex, provinces or community areas. This dissertation studies the relationship between poverty and inflation in Sharpeville by determining the impact of rising prices on the poor households in Sharpeville. The study focuses on three areas, namely the theoretical background of poverty and inflation, the impact of rising prices in expenditure patterns and the relationship to poverty. There are different approaches in defining poverty. Poverty can either be absolute or relative. For the purpose of this study, poverty is defined as absolute. Thus the study defines individuals as poor due to their inability to attain a minimum material standard of living. This minimal standard of living is normally referred to as the poverty line. Inflation may be defined in different ways. For the purpose of this dissertation, inflation is defined as the rise in the general price levels over a specific period of time. Changes in expenditure patterns are caused by an increase in inflation. This study uses the regression model to determine the impact of inflation on poverty in Sharpeville. According to the macroeconomic theory’s implication, the same level of inflation on the same basket of commodities has a different level of effect on each household. Accordingly, in this study, all households are assumed to be faced with the same inflation rate. Household size is positively related to poverty gap squared. This means that the more members there were in a household in Sharpeville the poorer they were. Households with the highest number of members were poorer than those with few members. Statistically, the null hypothesis that there is no relationship between household size and poverty gap is rejected, even at the 1% level of significance. EXPINFL is negatively related to poverty gap. The correlation matrix confirms the results in the regression analysis. The correlation coefficient between The relationship between poverty and inflation in Sharpeville Page EXPINFL and PGAP is -0.34467. Although it is relatively weak, the fact that there is a negative correlation confirms that inflation negatively affects poverty. Finally, the study recommends that government provides more job opportunities for the individuals without any source of income in Sharpeville. The government could also provide business funding to the unemployed individuals to enable them to start their own businesses. This would enable those individuals to create additional employment. In addition, measures should be introduced to determine the effect of inflation on those households who are not employed (that is, not receiving any form of income, not even through any form of grant), but do benefit from some form of feeding scheme administered by either government or non-profit organisations.
MCom, Economics, North-West University, Vaal Triangle Campus, 2012

Output gap belongs to standard indicators of inflationary pressures used in central banks. The aim of this paper is to find the answer to the question, whether we can consider output gap as a suitable indicator of inflation for the Czech economy. First hypothesis, which we analysed is that we can estimate output gap only with uncertainty. For confirmation or refutation of this hypothesis we used ten models of estimation of output gap. The second hypothesis is that output gap can be used as suitable indicator of inflation. For testing of this hypothesis we chose gap model from Coe, McDetmott (1997) -- with the level of output gap and the change (difference) of output gap. All tests confirmed, that central bank can use inflation as a useful indicator of inflation.

The purpose of this paper is to examine how a current-looking Taylor rule explains the setting of the repo rate by the Riksbank between 1995-2018 vis-à-vis a forward-looking Taylor rule. Furthermore, we investigate whether the explanatory power of these rules change after the financial crisis. The implied Taylor rates are calculated using our own estimates of the natural rate of interest. These rates are then plotted on a graph creating a span of uncertainty in which the repo rate can be set between. Finally, we regress the repo rate on the Taylor rates. In this way, we examine which rule is more in line with the repo rate. The results showed that a forward-looking Taylor rule based on a varying real interest rate is more in line with the repo rate than the current-looking rule, both for the period as a whole and after 2008. The explanatory power of both rules decreases in the period following 2008.

Le modèle cosmologique standard possède plusieurs lacunes pour une description pertinente de l'évolution de notre univers et de ses constituants. Tout d'abord, il laisse en suspens l'explication de l'origine de la matière noire et de l'énergie sombre. Ces composants, introduits ad hoc afin de satisfaire aux observations, représentent ensemble environ 95% du contenu en énergie de l'univers. Un second problème concerne l'indépendance d'échelle du modèle : quel que soit l'échelle du système considéré, il est attendu une dynamique et une géométrie identiques. Il est possible de se détourner du modèle standard et de s'intéresser à des cosmologies inhomogènes et à leur évolution moyenne. Selon ce formalisme, les inhomogénéités au sein d'une échelle influencent globalement la dynamique de cette dernière par un effet dit de rétroaction. Cette démarche très riche propose également une explication élégante au problème des constituants sombres : tous deux apparaissent comme une manifestation effective des inhomogénéités de distributions de matière et de géométrie. Cette thèse s'intéresse aux propriétés des modèles inhomogènes moyennés en relativité générale. Nous proposons dans un premier temps de décrire le comportement global des inhomogénéités selon une évolution de Chaplygin, et selon une évolution de Ginzburg-Landau. Nous montrons également l'instabilité gravitationnelle globale des solutions de Friedmann-Lemaître-Robertson-Walker. Cette classe de solutions est connue comme étant localement instable sous l'introduction de perturbations ; ici nous montrons qualitativement qu'elle ne fournit pas, en général, une approximation correcte en tant que fond physique. Nous présentons finalement une nouvelle théorie relativiste perturbative, pour laquelle les inhomogénéités scalaires évoluent autour d'un fond général, et non plus autour d'un fond de Friedmann-Lemaître-Robertson-Walker pré-défini. Cette nouvelle étude étend l'applicabilité des cosmologies inhomogènes, et pourrait éventuellement expliquer la formation des grandes structures sans recours à l'énergie noire

Inflationen har i många länder varit låg sedan finanskrisen 2008. I försök öka inflationstakten har centralbanker sänkt sina räntor till rekordlåga nivåer. I Danmark, Schweiz och Sverige har styrräntorna varit negativa. John B Taylor föreslog 1993 en makroekonomisk regel med syfte att kunna ge en prognos för styrräntan. Enligt Taylorregeln kan styrräntan förklaras av tidigare perioders inflationstakt och bruttonationalprodukt. Denna uppsats syftar till att undersöka Taylorregelns empiriska relevans i Danmark, Schweiz och Sverige under perioden 2000 till 2018. Två tester genomförs. Det första är att, med en linjär regressionsmodell, undersöka sambandet mellan styrränta, inflationsgap och BNP-gap. Det andra är ett Granger-kausalitetstest för att se om den implicerade kausaliteten i Taylorregeln stämmer. Granger-testet bygger på resultaten från en vektor autoregression. Resultaten i denna uppsats visar att det finns ett samband mellan inflationstakt och styrränta, men inte mellan BNP-gap och styrränta i de valda länderna under undersökningsperioden. Vidare visar resultaten att kausaliteten går från inflationsgap och BNP-gap mot styrränta, som Taylorregeln föreslår. Resultatet lyckas inte påvisa att negativa styrräntor skulle påverka Taylorregelns relevans.
The rate of inflation has been low in many countries since the financial crisis in 2008. In attempts to increase the inflation rate, central banks have lowered their interest rates to historically low levels. In Denmark, Switzerland and Sweden, the central banks key interest rates have been negative. In 1993, John B Taylor proposed a macroeconomic rule with the aim of providing a forecast for the key interest rate. According to the Taylor rule, the policy rate can be explained by the inflation rate and gross domestic product of previous periods. This paper aims to investigate the empirical relevance of the Taylor rule in Denmark, Switzerland and Sweden during the period 2000 to 2018. To do this, two tests are performed. The first is that, with a linear regression model, investigate the relationship between the key interest rate, the inflation gap and the GDP gap. The second is a Granger causality test to see if the implicit causality of the Taylor rule is correct. The Granger test is based on the results of a vector autoregression. The results of this paper show that there is a correlation between the rate of inflation and the key interest rate, but not between the GDP gap and the key interest rate in the selected countries during the investigation period. Furthermore, the results show that causality goes from the inflation gap and the GDP gap towards the key interest rate, as the Taylor rule suggests. The result does not suggest that negative key interest rates would affect the relevance of the Taylor rule.

By monetary policy decisions, central banks use output gap to keep macroeconomic variables at their natural levels. A substantial disadvantage of this variable is the fact that it is an unobservable variable which is very problematic to measure, although it is possible to estimate it with various methods of estimation. This thesis aims to find the most suitable method of estimation for Czech economy. Thirteen methods have been chosen for this aim: linear trend, quadratic trend, HP filter, band-pass filters, robust trend, univariate unobserved component model, two types of production function, two SVAR models, multivariate HP filter and multivariate unobserved component model. Own estimations have shown that estimated trajectories of unobservable states were not identical. For own selection of the most suitable method of estimation, quantitative (ability to forecast inflation ,a growth of product and data revisions by selected national and international organisations) and qualitative criterions (qualities of methods of estimation, transparency and easy application) have been selected, where emphasis was put on quantitative criterions. Results of this thesis will show that the most suitable method of estimation output gap for Czech economy is multivariate unobserved component model.

We study skill- and income-related differences in the access to health care as drivers of longevity inequality from a theoretical life-cycle as well as from a macroeconomic perspective. To do so, we develop an overlapping generations model populated by heterogeneous agents subject to endogenous mortality. We model two groups of individuals for whom differences in skills translate into differences in income and in the ability to use medical technology effectively in curbing mortality. We derive the skill- and age-specific individual demand for health care based on the value of life, the level of medical technology and the market prices. Calibrating the model to the development of the US economy and the longevity gap between the skilled and unskilled, we study the impact of rising effectiveness of medical care in improving individual health and examine how disparities in health care utilisation and mortality emerge as a consequence. In so doing, we explore the role of skill-biased earnings growth, skill-bias in the ability to access state-of-the art health care and to use it effectively, and skill-related differences in health insurance coverage. We pay attention to the macroeconomic feedback, especially to medical price inflation. Our findings indicate that skill-bias related to the effectiveness of health care explains a large part of the increase in the longevity with earnings-related differences in the utilisation of health care taking second place. Both channels tend to be reinforced by medical progress.

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This thesis is composed of 3 empirical studies on macroeconomics. The first essay studies the persistence of inflation in Brazil. The second essay studies the concepts and measures of potential output and neutral interest rate, two fundamental pillars in the conduct of monetary policy. The third essay studies the parity of local and foreign interest rates. The first essay measures the neutral real interest rate for Brazil during 1997-2012 using different methodologies. The results show some difference in the estimates of the natural interest rate in Brazil depending on the specification of the IS curve and its explanatory variables. Measurement of the output gap is not a source of divergence among our estimation of natural rate as different methodologies yields similar values for the output gap. Joint estimation of the inflation and output cycles leads only to small difference in the output gap estimates and hence on natural interest rate. Finally, our results indicate that the impact of monetary policy on output gap increased during the last years. The second essay analyzes inflation persistence in Brazil. Both aggregate and disaggregated inflation persistence are computed. We also compare inflation persistence in Brazil with estimates for other emerging countries with a long history of high inflation. The results indicate that inflation persistence in Brazil is higher than in other emerging markets. Core inflation presents more inflation persistence than headline inflation, particularly due to the exclusion of the low persistence food items. Despite the large persistence in Brazilian inflation, disaggregated data are more sensible to expected inflation than lagged inflation and thus indicates a major role for forward looking behavior. The third essay studies the difference between interest rates in Brazil and other countries, particularly US, and evidence of arbitrage investments aiming at exploring this difference. Our results indicate that there is important evidence of foreign investment inflows to Brazil but the impact of these flows are not sufficient to reduce local interest rates substantially. Both country and currency risk are important determinants of the interest rate difference between Brazil and other countries but exchange rate risk, particularly exchange rate volatility, plays a major role in avoiding full interest rate convergence. Despite the large BRL volatility, a simple strategy of going long BRL + local rate (similar to buy BRL forward contracts) would have generated large Sharpe ratios, closer or higher than Sharpe ratios generated from more complex strategies involving long position on high yield currencies and short position on low yield currencies.
Esta tese é composta por 3 estudos empíricos sobre macroeconomia. O primeiro ensaio discute a persistência da inflação no Brasil. O segundo estudo analisa o produto potencial e, principalmente, a questão taxa neutra de juros no Brasil, tema fundamental para a condução da política monetária. O último trabalho discute a questão da paridade entre os juros no Brasil e no exterior. O primeiro ensaio desta tese estima a taxa real de juros de equilíbrio no Brasil durante o período 1997-2012 usando diversas metodologias. Os resultados mostram alguma diferença nas estimativas da taxa de juros de equilíbrio dependendo da especificação utilizada, principalmente na modelagem da Curva IS. A mensuração do hiato do produto não é o principal responsável pelos resultados encontrados para a taxa de juros de equilíbrio. A estimação conjunta do PIB potencial e taxa neutra de juros não leva a resultados muito diferentes dos obtidos estimando a taxa neutra isoladamente. Independente do modelo utilizado, os resultados indicam redução na taxa de equilíbrio no Brasil nos últimos anos. O segundo ensaio estima a persistência da inflação no Brasil tanto em termos agregados quanto desagregados. O trabalho ainda compara a persistência da inflação no Brasil com a persistência em outros países emergentes. Os resultados indicam que a persistência da inflação no Brasil é maior do que em outros países, mas este resultado não é obtido para todos os métodos de estimação utilizados. A persistência no núcleo da inflação é maior do que na 'inflação cheia'. Apesar da persistência elevada, nossos resultados indicam que a expectativa de inflação é uma variável mais importante na determinação da inflação corrente do que a inflação passada. O terceiro ensaio analisa a diferença entre as taxas de juros no Brasil e no exterior, particularmente nos EUA, e evidências de fluxos de investimentos locais ou estrangeiros para explorar o diferencial de juros. Os resultados indicam que os fluxos de investimento estrangeiro tiveram pouco impacto nas taxas de juros no Brasil. Medidas de risco-país e risco cambial são importantes para explicar o diferencial de juros sendo que as medidas de risco-país parecem ter sido mais importante no início de nossa amostra enquanto as medidas de risco cambial foram mais importantes nos últimos anos. Medidas de risco cambial, particularmente a volatilidade do câmbio ajudam a explicar a falta de convergência dos juros no Brasil com os juros praticados no exterior. Apesar da elevada volatilidade da taxa de cambio, uma simples estratégia de comprar Real (BRL) e investidor no mercado local de juros (estratégia similar a aplicar no contrato futuro de Real) teria gerado um índice de Sharpe tão elevado ou maior do que o observado em estratégias mais sofisticadas envolvendo diversas moedas.

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The main issue studied in this work concerns the measurements required in the application of interest rates, due to their sensitivity, front to output and inflation gaps. The results show significant differences in the presence of shocks, both with the expected effects in the control of output and inflation, as well as amplifying these effects, acting in a manner contrary to the usually expected. To obtain these results were estimated neutral interest rate of BRICS and a VAR model defining the determinants of the rate of interest for each of these countries. These results were compared to actual rates in order to identify the goals to be pursued. After it we used the function impulse-response to measure the effects of a shock of interest in output and inflation gaps showing how the sensitivity of the interest rate affects the control of inflation rates and the promotion of economic growth and that high dosages are required when the sensitivity of the interest rate is low and reduced dosages when this sensitivity is high
A principal questão estudada neste trabalho diz respeito as dosagens exigidas na aplicação das taxas de juros, função de sua sensibilidade, frente aos hiatos de produto e inflação. Os resultados encontrados demonstram diferenças significativas na presença de choques, ora com os efeitos esperados no controle de produto e inflação, ora amplificando estes efeitos, atuando de forma contrária ao usualmente esperado. Para a obtenção destes resultados foram estimadas as taxas neutras dos BRICS e também um modelo VAR definindo os determinantes da taxa de juros de cada um destes países. Estes resultados foram comparados às taxas reais de forma a identificar os objetivos a serem perseguidos. Posteriormente é utilizada a função impulso-resposta para medir os efeitos de um choque de juros nos hiatos de produto e inflação mostrando como a sensibilidade da taxa de juros afeta o controle das taxas de inflação e a promoção do crescimento econômico e que dosagens elevadas são exigidas quando a sensibilidade da taxa de juros é baixa e dosagens reduzidas quando esta sensibilidade é elevada

The thesis evaluates the ECB's monetary policy during the past decade by using policy rules and compares the suitability to particular members of the Eurozone. It examines the central bank's reaction function regarding the output and inflation. The work is divided into two main parts. First, gives the theoretical introduction of monetary policy and evaluation of the Eurozone regarding the theory of optimal currency area. In the second part it provides the econometric models and estimates. As a conclusion the results of two different OLS models show that, we cannot precisely decide to which variable the ECB reacted, as obtained two statistically significant models but with different results. For two models is used different variables GDP gap and IPI gap. The results have also shown that the ECB's monetary policy mostly suits to biggest economies within the Eurozone.

This dissertation describes the relationship between inflation and unemployment with the concept of the natural rate of unemployment at which inflation remains unchanged. By comparing NAIRU, as defined in this manner, with the actual unemployment rate, we obtain the gap in unemployment. In connection with the analysed substitution between inflation and unemployment, there can be found a decrease in the importance of the PC in the 1970s, a very popular New Keynesian PC in the 1990s, and doubts over the robustness of the estimates. On the other hand, the concept of the PC and the NAIRU had previously been developed in accordance with the real data. There is a broad consensus on the impact of monetary policy on nominal variables (inflation) and real variables (unemployment). Methods are also being combined and continuously improved This dissertation is seeking to prove or disprove the hypothesis of the NAIRU concept's usability in estimating the economic cycle on the labor market. This hypothesis has helped in the acceptance of: the support for the concept and estimating PC and NAIRU in the literature; the application of measures to refine the estimate of the NAIRU and PC in the empirical analysis of the dissertation; the dissertation conclusion's compliance with the latest international research, with the local authors and with the own research. The contribution of the dissertation can be identified thusly: distribution methods depend upon the different time periods, their treatment and the best methods for the conditions of the countries in the Visegrad Group; the specification of an unstable environment and its impact upon the estimation of the NAIRU and the economic cycle; the calculation of the unemployment rate of the sectors, age categories and their use in estimating the NAIRU and cycle on the meso-level; to determine the effect of different pricing structure indicators in order to estimate the NAIRU and the economic cycle on the labor market and the topicality of their estimates.

Esta tese apresenta três ensaios sobre previsão de inflação e análise de dados em tempo real no Brasil. Utilizando uma curva de Phillips, o primeiro ensaio propõe um “modelo evolucionário” para prever inflação no Brasil. O modelo evolucionário consiste em uma combinação de um modelo não-linear (que é formado pela combinação de três redes neurais artificiais – RNAs) e de um modelo linear (que também é a referência para propósitos de comparação). Alguns parâmetros do modelo evolucionário, incluindo os pesos das combinações, evoluem ao longo do tempo segundo ajustes definidos por três algoritmos que avaliam os erros fora-da-amostra. As RNAs foram estimadas através de uma abordagem híbrida baseada em um algoritmo genético (AG) e em um algoritmo simplex de Nelder-Mead. Em um experimento de previsão fora-da-amostra para 3, 6, 9 e 12 passos à frente, o desempenho do modelo evolucionário foi comparado ao do modelo linear de referência, segundo os critérios de raiz do erro quadrático médio (REQM) e de erro absoluto médio (EAM). O desempenho do modelo evolucionário foi superior ao desempenho do modelo linear para todos os passos de previsão analisados, segundo ambos os critérios. O segundo ensaio é motivado pela recente literatura sobre análise de dados em tempo real, que tem mostrado que diversas medidas de atividade econômica passam por importantes revisões de dados ao longo do tempo, implicando importantes limitações para o uso dessas medidas. Elaboramos um conjunto de dados de PIB em tempo real para o Brasil e avaliamos a extensão na qual as séries de crescimento do PIB e de hiato do produto são revisadas ao longo do tempo. Mostramos que as revisões de crescimento do PIB (trimestre/trimestre anterior) são economicamente relevantes, embora as revisões de crescimento do PIB percam parte da importância à medida que o período de agregação aumenta (por exemplo, crescimento em quatro trimestres). Para analisar as revisões do hiato do produto, utilizamos quatro métodos de extração de tendência: o filtro de Hodrick-Prescott, a tendência linear, a tendência quadrática, e o modelo de Harvey-Clark de componentes não-observáveis. Todos os métodos apresentaram revisões de magnitudes economicamente relevantes. Em geral, tanto a revisão de dados do PIB como a baixa precisão das estimativas de final-de-amostra da tendência do produto mostraram-se fontes relevantes das revisões de hiato do produto. O terceiro ensaio é também um estudo de dados em tempo real, mas que analisa os dados de produção industrial (PI) e as estimativas de hiato da produção industrial. Mostramos que as revisões de crescimento da PI (mês/mês anterior) e da média móvel trimestral são economicamente relevantes, embora as revisões de crescimento da PI tornem-se menos importantes à medida que o período de agregação aumenta (por exemplo, crescimento em doze meses). Para analisar as revisões do hiato da PI, utilizamos três métodos de extração de tendência: o filtro de Hodrick-Prescott, a tendência linear e a tendência quadrática. Todos os métodos apresentaram revisões de magnitudes economicamente relevantes. Em geral, tanto a revisão de dados da PI como a baixa precisão das estimativas de final-de-amostra da tendência da PI mostraram-se fontes relevantes das revisões de hiato da PI, embora os resultados sugiram certa predominância das revisões provenientes da baixa precisão de final-de-amostra.
This thesis presents three essays on inflation forecasting and real-time data analysis in Brazil. By using a Phillips curve, the first essay presents an “evolutionary model” to forecast Brazilian inflation. The evolutionary model consists in a combination of a non-linear model (that is formed by a combination of three artificial neural networks - ANNs) and a linear model (that is also a benchmark for comparison purposes). Some parameters of the evolutionary model, including the combination weight, evolve throughout time according to adjustments defined by three algorithms that evaluate the out-of-sample errors. The ANNs were estimated by using a hybrid approach based on a genetic algorithm (GA) and on a Nelder-Mead simplex algorithm. In a 3, 6, 9 and 12 steps ahead out-of-sample forecasting experiment, the performance of the evolutionary model was compared to the performance of the benchmark linear model, according to root mean squared errors (RMSE) and to mean absolute error (MAE) criteria. The evolutionary model performed better than the linear model for all forecasting steps that were analyzed, according to both criteria. The second essay is motivated by recent literature on real-time data analysis, which has shown that several measures of economic activities go through important data revisions throughout time, implying important limitations to the use of these measures. We developed a GDP real-time data set to Brazilian economy and we analyzed the extent to which GDP growth and output gap series are revised over time. We showed that revisions to GDP growth (quarter-onquarter) are economic relevant, although the GDP growth revisions lose part of their importance as aggregation period increases (for example, four-quarter growth). To analyze the output gap revisions, we applied four detrending methods: the Hodrick-Prescott filter, the linear trend, the quadratic trend, and the Harvey-Clark model of unobservable components. It was shown that all methods had economically relevant magnitude of revisions. In a general way, both GDP data revisions and the low accuracy of end-of-sample output trend estimates were relevant sources of output gap revisions. The third essay is also a study about real-time data, but focused on industrial production (IP) data and on industrial production gap estimates. We showed that revisions to IP growth (month-on-month) and to IP quarterly moving average growth are economic relevant, although the IP growth revisions become less important as aggregation period increases (for example, twelve-month growth). To analyze the output gap revisions, we applied three detrending methods: the Hodrick-Prescott filter, the linear trend, and the quadratic trend. It was shown that all methods had economically relevant magnitude of revisions. In general, both IP data revisions and low accuracy of end-of-sample IP trend estimates were relevant sources of IP gap revisions, although the results suggest some prevalence of revisions originated from low accuracy of end-of-sample estimates.

L'objectiu d'aquesta tesi és analitzar com s'han de concebre les polítiques fiscals i monetàries en un context en què els polítics tenen problemes de credibilitat. Es desenvolupen metodologies i aplicacions per mostrar com diferents graus de credibilitat de les institucions polítiques afecten la determinació d'impostos, deute públic, instruments monetaris i, en general, els resultats econòmics.

En el primer capítol - Loose commitment (Compromís Dèbil) -, s'introdueix una nova metodologia per resoldre problemes de política òptima tenint en compte que els polítics podrien no complir les seves promeses, i analitza els efectes de la credibilitat sobre la imposició sobre el capital i sobre el treball. El segon capítol - Political Disagreement Lack of Commitment and the Level of Debt (Desacord Polític, Falta de Compromís i el Nivell de Deute) - considera un cas en què la credibilitat es limitada per el fet d'haver-hi alternança entre polítics amb objectius diferents. En particular, es mostra com l'alternança política i la falta de compromís afecten el nivell de deute públic. Finalment, el tercer capítol - The Macroeconomic Effects of Unstable Monetary Policy Objectives (Els Efectes Macroeconòmics de la Inestabilitat dels Objectius de Política Monetària) - analitza com la possibilitat de canvis en els objectius influeixen en les decisions de política monetària.
El objetivo de esta tesis es analizar cómo se deben concebir las políticas fiscales y monetarias en un contexto en que los políticos tienen problemas de credibilidad. Se desarrollan metodologías y aplicaciones para mostrar cómo diferentes grados de credibilidad de las instituciones políticas afectan la determinación de impuestos, deuda pública, instrumentos monetarios y, en general, los resultados económicos.

En el primer capítulo - Loose commitment (Compromiso Débil)-, se introduce una nueva metodología para resolver problemas de política óptima tomando en cuenta que los políticos podrían no cumplir con sus promesas, y analiza los efectos de la credibilidad sobre la imposición sobre el capital y el trabajo. El segundo capítulo - Political Disagreement Lack of Commitment and the Level of Debt (Desacuerdo Político, Falta de Compromiso y el Nivel de Deuda) - considera un caso en que la credibilidad está limitada por el hecho de que hay alternancia entre políticos con distintos objetivos. En particular, se muestra cómo la alternancia política y la falta de compromiso afectan el nivel de deuda pública. Por último, el tercer capítulo - The Macroeconomic Effects of Unstable Monetary Policy Objectives (Los Efectos Macroeconómicos de la Inestabilidad de los Objetivos de Política Monetaria) - analiza cómo la posibilidad de cambios en los objetivos influye en las decisiones de política monetaria.
The purpose of this thesis is to analyze how fiscal and monetary policies should be designed in a context where policymakers have credibility problems. Methodologies and applications are developed to show how different degrees of policymakers' credibility affect the determination of policy choices, such as taxes or monetary instruments, and more generally the economic outcomes.

The first chapter - Loose Commitment -, introduces a new methodology to solve optimal policy problems taking into account that policymakers may not fulfill their promises, and analyzes the effects of policymakers' commitment on capital and labor taxation. The second chapter - Political Disagreement, Lack of Commitment and the Level of Debt - considers a case where commitment is limited by the fact that policymakers with different objectives alternate in office. In particular, it is shown how lack of commitment and political turnover affect the level of public debt. Finally, the third chapter - The Macroeconomic Effects of Unstable Monetary Policy Objectives - analyzes how the possibility of changes in policy objectives influences monetary policy choices.

碩士
國立臺灣大學
物理研究所
101
We present a simple toy model corresponding to a network of frustrated topological defects of domain walls or cosmic strings that exist previous to the standard slow-roll inflationary era of the universe. Such a network (i) can produce a slower inflationary era than that of the standard scenario if it corresponds to a network of frustrated domain walls or (ii) can induce a vanishing universal acceleration; i.e., the universe would expand at a constant speed, if it corresponds to a network of frustrated cosmic strings. Those features are phenomenologically modeled by a Chaplygin gas that can interpolate between a network of frustrated topological defects and a de Sitter-like or a power-law inflationary era. We show that this scenario can alleviate the quadruple anomaly of the cosmic microwave background spectrum. Using the method of the Bogoliubov coefficients, we obtain the spectrum of the gravitational waves as would be measured today for the whole range of frequencies. We comment on the possible detection of this spectrum by the planned detectors like BBO and DECIGO.

碩士
淡江大學
財務金融學系
85
An important focus of modern business cycle research has been centered oninvestigating the systematic relationship between changes in the rate of inflationand the level of capacity utilization in the economy. Capacity utilization canbe measured in a variety of different way. However, a theoretically appealingapproach is to take the output gap--the gap between actual and potential output--as the appropriate measure of capacity utilization. The objective of this thesis is to estimate Taiwan's output gap and to studyits relation to the behavior of inflation. The thesis consists of two main parts:(1) the estimation of potential output, and (2)empirical tests of the relation ofthe output gap to the rate of inflation. To accomplish the first part of the thesis, an estimation methed employed byAdams and Coe(1990) is used to estimate potential output in Taiwan. The systemconsists of equations on prices, unemployment,wages, and production function.Estimation is carried out using three stage least square. In the secend part, analyses employing both a Lucas supply function and a IS- LMbased gap model are carried out. These analyses use OLS and VAR metheds to investigateinflation's connection with the output gap. Theoretically, we would expect to find apositive, direct relation between the output gap and the rate of inflation. Moreover,we would expect that causality would run from the gap to the inflation rate, but notvice versa. The conclusions can be summarized as follows: (1)The study finds that the output gap has a significant influence on the inflation rate. That is, increases in the output gap tend to increase inflatioin, even after taking into account the autocorrelative structure of inflaton. (2)The impluse response from the gap shows that positive, gap-oriented shocks induce increases in the future course of inflation, but not vice versa, as we would expect.

Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables.