Dissertations / Theses on the topic 'Demand for money Econometric models'
To see the other types of publications on this topic, follow the link: Demand for money Econometric models.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Demand for money Econometric models.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Leigh, Lamin. "Financial development, economic growth and the effect of financial innovation on the demand for money in an open economy : an econometric analysis for Singapore." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282018.
Full text
2
Adam, Christopher S. "The demand for money, asset substitution and the inflation tax in a liberalizing economy : an econometric analysis for Kenya." Thesis, University of Oxford, 1992. http://ora.ox.ac.uk/objects/uuid:037dcc1e-edff-4096-89cb-6d24a70742d8.
Full textAbstract:
This thesis develops empirical econometric models of the private sector aggregate demand for real and financial assets in Kenya over the period 1973 to 1990. Single-equation error-correction models of the demand for money are estimated using systems cointegration methods developed by Johansen (1988). The models are found to be statistically stable functions throughout the period, and are capable of encompassing existing studies. Across a range of monetary aggregates, including a Divisia index aggregate for broad money, the models describe demand for money functions in which inflation and illegal foreign currency substitution are significant determinants of money holdings, and where the private sector adjusts rapidly to deviations from its stable longrun equilibrium real money demand. The demand for money is then integrated within a neo-classical model of asset demands, which examines the behaviour of the aggregate private sector asset portfolio in response to changes in relative prices between assets and to external shocks to the economy, principally the 1976-77 coffee boom. A variant of the Almost Ideal Demand System model developed by Deaton and Muellbauer (1980) is estimated for a class of six assets: base money, banking system deposits, government securities, tradable capital, nontradable capital and inventories. The asset substitution model, which also takes an errorcorrection form, and which allows for credit rationing, generates results which are consistent with the earlier demand for money models, where private agents are also denied access to foreign-denominated assets. Using this model, the maintenance of policies of financial repression are shown to cause the private sector to offset inflationary shocks through the accumulation of real assets, principally in the form of non-tradable capital in the construction and property sectors. The evidence from the two models is used to analyze the fiscal effects of the inflation tax and financial repression measures. Policies of financial liberalization are shown to reduce the revenue maximizing rate of inflation (estimated to be 14% per annum) and the implicit tax on domestic holders of government liabilities. This dampens asset substitution in response to inflationary shocks and offsets the adverse effects of "construction-boom" investment on non-tradable capital prices.
3
Eliasson, Ann-Charlotte. "Smooth transitions in macroeconomic relationships." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 1999. http://www.hhs.se/efi/summary/516.htm.
Full text
4
Khadaroo, Ahmad Jameel. "An econometric analysis of UK money demand." Thesis, University of Bristol, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322656.
Full text
5
Hurst, Martin. "The econometric estimation of the demand for money." Thesis, University of Southampton, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.330129.
Full text
6
Henstridge, N. M. "Coffee and money in Uganda : an econometric analysis." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.319072.
Full text
7
Cain, Peter Matthew. "Portfolio models of sectoral money demand." Thesis, University of Nottingham, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.297745.
Full text
8
Mukherji, Nivedita. "Essays on the optimum quantity of money." Diss., Virginia Tech, 1992. http://hdl.handle.net/10919/39721.
Full text
9
Yap, Ghialy C. "An econometric analysis of Australian domestic tourism demand." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2010. https://ro.ecu.edu.au/theses/121.
Full textAbstract:
In 2007, the total spending by domestic visitors was AUD 43 billion, which was 1.5 times higher than the aggregate expenditure by international tourists in Australia. Moreover, domestic visitors consumed 73.7% of the Australian produced tourism goods and services whereas international tourists consumed 26.3%. Hence, this shows that domestic tourism is an important sector for the overall tourism industry in Australia. This present research determines the factors that influence domestic tourism demand in Australia and examines how changes in the economic environment in Australia could influence this demand. The main aim of this research is to achieve sustainability of domestic tourism businesses in Australia. In Chapters Two and Three, a review of the tourism demand literature is conducted. Most of the empirical papers argued that household income and travel prices are the main demand determinants. However, the literature has largely neglected other possible indicators, namely consumers‟ perceptions of the future economy, household debt and working hours, which may play an important role in influencing domestic tourism demand in Australia. The PhD thesis is divided into three parts. For the initial phase, a preliminary study is conducted using Johansen‟s cointegration analysis to examine the short- and long-run coefficients for the determinants of Australian domestic tourism demand. In the next section of this thesis, an alternative approach using panel data analysis to estimate the income and price elasticities of the demand is applied, as a panel data framework provides more information from the data and more degrees of freedom. In the final section, this thesis also investigates whether other factors (such as the consumer sentiment index, and measures of household debt and working hours) influence Australians‟ demand for domestic trips. This study reveals several distinct findings. First, the income elasticity for domestic visitors of friends and relatives (VFR) and interstate trips is negative, implying that Australian households will not choose to travel domestically when there is an increase in household income. In contrast, the study finds that the income variables are positively vi correlated with domestic business tourism demand, indicating that the demand is strongly responsive to changes in Australia‟s economic conditions. Second, an increase in the current prices of domestic travel can cause the demand for domestic trips to fall in the next one or two quarters ahead. Third, the coefficients for lagged dependent variables are negative, indicating perhaps, that trips are made on a periodic basis. Finally, to a certain extent, the consumer sentiment index, household debt and working hours have significant influences on domestic tourism demand. The current econometric analysis has significant implications for practitioners. A better understanding of income and travel cost impacts on Australian households‟ demand allows tourism companies to develop price strategies more effectively. Moreover, tourism researchers can use these indicators (such as measures of consumers‟ confidence about their future economy, household debt and working hours) to investigate how changes in these factors may have an impact on individual decisions to travel.
10
Tangen, Alyssa. "The Impacts of Expected Structural Changes in Demand for Agricultural Commodities in China and India on World Agriculture." Thesis, North Dakota State University, 2009. https://hdl.handle.net/10365/29866.
Full textAbstract:
The objective of this study is to evaluate the changes in import and export demand in China and India on the United States and global agriculture in 2018. A spatial equilibrium model is developed to optimize production and trade in China, India, and other major importing and exporting regions in the world. This research focuses on four primary crops: wheat, com, rice and soybeans. In the model China and India are divided into 31 and 14 producing and consuming regions, respectively. The model also includes five exporting countries and ten importing countries/regions. The results indicate that India will be able to stay largely self-sufficient in 2018 and China will increase its soybean and com imports to meet rising domestic demand. The research also gives perspectives on production and trade in the United States and other major exporting and importing countries.
11
Chambers, Marcus James. "Durability and consumers' demand : Gaussian estimation and some continuous time models." Thesis, University of Essex, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.238563.
Full text
12
Vega, Diego Javier Gonzales. "A Methodology to forecast air transportation demand with alternative econometric models." Instituto Tecnológico de Aeronáutica, 2012. http://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2092.
Full textAbstract:
This thesis presents a methodology using a portfolio of time-series models, from conventional ARMA to a regime-changing framework. The objective is to develop an air transportation demand modeling to inspect potential structural breaks in the Brazilian market, due to solve underlying issues of new demand creation. Out-of-sample forecasting is used to generate comparative metrics aiming at both selection and validation of what we call a "champion model". Results indicate better performance of more complex models such as the fractionally integrated and the Markov-switching models. Ex ante knowledge of the interaction of structural breaks and unit root can prove useful in the modeling analysis. The demand forecast of the champion model is in line with the recent accelerated growth of the Brazilian air transportation market, roughly 7% per year.
13
Rushton, Michael. "Two models of dynamic input demand : estimates with Canadian manufacturing data." Thesis, University of British Columbia, 1990. http://hdl.handle.net/2429/30844.
Full textAbstract:
Over the past decade there has been a number of innovations in the estimation of input demand equations. In particular, ways of incorporating the hypothesis of rational expectations into empirical models of the firm have been developed and improved upon.
This research agenda was perhaps inspired by the Lucas critique of econometric policy evaluation, which suggested that econometric models which did not explicitly take account of how expectations of the future affect current behaviour would give misleading results regarding the possible effects of various government policies. Lucas specifically directed part of his critique at empirical models of business investment, which had been used previously in the assessment of tax policies designed to affect investment.
This thesis has a dual purpose. First, two distinct models of input demand are estimated with Canadian manufacturing data. Each of the models incorporates to some degree the hypothesis of rational expectations, but the specifications of technology differ. Neither of these models, to our knowledge, has been estimated with Canadian data. We are interested in whether either model explains well the behaviour of the Canadian manufacturing sector, and in how the results compare with the (few) U.S. applications of this type of model.
The second purpose is to use the results of these models in simulations to assess the effect of changes to the after-tax
rental rate of capital on investment and employment in manufacturing. While there have been studies in Canada (and elsewhere) that attempt to calculate the effects of various tax policies on investment, most studies were done prior to the innovation of techniques in estimating models with rational expectations. This thesis is able to examine the effects of a particular change while remaining immune to the Lucas critique. If the modelling of expectations is correct, this could not only improve the reliability of the estimates, but also give some indication of the empirical importance of the Lucas critique.
The results can be summarized as follows. The two models give very different estimates of price elasticities of demand for capital and labour, even though they are similar in many respects and are estimated with a common data set. It is also the case that their estimates of the effects of temporary and permanent changes to the rental rate are different. Adjusting the reduced form parameters of the input demand equations to account for changes in tax policy regimes alters the results to a significant degree, suggesting that the explicit modelling of expectations matters in an empirically relevant sense. However, these effects are in opposite directions for the two models considered here. All this suggests that more research is required into the relationship between expectations of future policy and investment behaviour.Arts, Faculty of
Vancouver School of Economics
Graduate
14
Vashi, Vidyut H. "The effect of price, advertising, and income on consumer demand : an almost ideal demand system investigation /." Diss., This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-06062008-165751/.
Full text
15
Fahs, Faysal Habib. "Essays in the estimation of systems of limited dependent variables with application to demand systems." Online access for everyone, 2008. http://www.dissertations.wsu.edu/Dissertations/Summer2008/F_Fahs_072508.pdf.
Full text
16
Fu, Qiang, and 傅強. "An analysis of housing demand and tenure choice in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31241670.
Full text
17
Zajicek, Edward K. "Valuation of quality determinants in consumer demand for automobile : a hedonic price approach /." Diss., This resource online, 1990. http://scholar.lib.vt.edu/theses/available/etd-08232007-112211/.
Full text
18
Riley, June E. "An investigation into the lag structure of the demand for money in Canada /." Thesis, McGill University, 1986. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=65481.
Full text
19
Ansic, David. "Theory and tests of two asset models of the individual's demand for money." Thesis, University of York, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.306412.
Full text
20
Tan, Eu Chye. "Money demand, bank credit and real exchange rates in a small open developing economy : an econometric analysis for Malaysia." Thesis, University of Warwick, 1995. http://wrap.warwick.ac.uk/36148/.
Full textAbstract:
This is essentially a three-part thesis on money demand, bank credit and real exchange rates in Malaysia. Long and short run real money demand functions with money variously defined as MO, M1 and M2 have been estimated using the Johansen cointegration technique and the error correction approach respectively. While liberalisation and innovation in the Malaysian financial system have not ruled out the existence of stable long run money demand relationships as attested to by the presence of cointegrating vectors, they have rendered short run relationships unstable. This called for a reestimation of short run dynamics over more recent periods and all the revised estimates could withstand a battery of diagnostic tests akin to original full sample estimates. The estimated short run functions appear to track the direction of actual changes in the demand for money reasonably well. The second part of the thesis is basically concerned with the possible practice of equilibrium credit rationing (a la Stiglitz & Weiss, 1981 & 1983) amongst commercial banks in Malaysia and the significance of commercial bank credit vis-a-vis other monetary variables in the determination of economic activity in Malaysia. Two of the major implications of equilibrium credit rationing are the irresponsiveness of lending rates to changes in the factors determining loan demand and supply and the presence of a 'ceiling' on the lending rate. Via an application of cointegration and error correction techniques, the lending rate is found to be insensitive to determinants of loan demand while only nominally sensitive to loan supply determinants. This is corroborated by an evidence derived from an application of Sims' VAR technique that shows a lack of responsiveness of the lending rate to changes in the inter bank rate used as a proxy for the cost of financial market funds. With regard to the ceiling on the lending rate arising from equilibrium credit rationing, its effect on the volume of deposits and hence loanable funds mobilised by banks and the interest rate payable on them may depend on the interest elasticity of their flows. Two separate cases can be considered namely the case of zero elasticity and the case of non zero elasticity. In the former case, if it is against the banks' interests to impose a high lending rate owing to possible adverse selection effects, banks may suppress the deposit rate instead. In the latter case however, the higher is the interest elasticity of deposits, the greater will be the amount of loanable funds derived and the interest rate paid on them. In our empirical analysis involving the application of cointegration and error correction techniques, commercial bank deposits in Malaysia are found to have a zero elasticity in the short run. Hence the extent of excess demand arising from an any practice of equilibrium credit rationing may be relatively limited. By applying the Sims' VAR technique, commercial bank credit has been found to exert a greater influence than MI, M2 and the lending rate on the Malaysian GDP. The final part of the thesis pertains to exchange rates. In an adaptation of Dornbusch's (1976) model, it appears that any policy measure aimed at alleviating the asymmetric information problem in the domestic banking system could lead to a depreciation in the long run equilibrium exchange rate and a rise in the long run equilibrium price level. The impact effects are a weaker domestic currency and a higher output level. However the magnitude of the long run and impact effects would vary directly with the interest elasticity of money demand. The cointegration and error correction techniques have also been relied upon for estimating the long run equilibrium real effective and bilateral exchange rates of Malaysia and the short run dynamics of these rates a la Edwards (1988a, 1988b & 1989). The estimates suggest that there has been no sustained overvaluation or undervaluation of the Malaysian real exchange rates. By implication then, the question of a real exchange rate misalignment does not arise and that Malaysia's success in economic development so far has not been due to any deliberate undervaluation policy. Moreover the analysis of causal relationships amongst real exchange rate movements on one hand and exports and GDP on the other has highlighted no significant relationships existing between them. Finally, the results from modelling the short run dynamics of real effective exchange rates indicate that excess domestic credit could induce their depreciation instead of an appreciation, contrary to popular belief.
21
Adiati, Frida. "Econometric models of Western Canada crop acreage demand and yield response under risk and uncertainty." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq23192.pdf.
Full text
22
Andriamanjay, Eric. "An econometric analysis of the consumer demand for dairy products in Canada 1968-1982 /." Thesis, McGill University, 1988. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=61840.
Full text
23
Morton, Trent Alan. "A duplication and replication of two econometric demand models explaining the effects of promotion on mill-level demand of U.S. upland cotton." Auburn, Ala., 2005. http://repo.lib.auburn.edu/2005%20Summer/master's/MORTON_TRENT_8.pdf.
Full text
24
Staudigel, Matthias [Verfasser]. "Obesity, food demand, and models of rational consumer behaviour : econometric analyses and challenges to theory / Matthias Staudigel." Gießen : Universitätsbibliothek, 2014. http://d-nb.info/1068591528/34.
Full text
25
Devaraj, Srikant. "Specification and estimation of the price responsiveness of alcohol demand| A policy analytic perspective." Thesis, Indiana University - Purdue University Indianapolis, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10032406.
Full textAbstract:
Accurate estimation of alcohol price elasticity is important for policy analysis – e.g.., determining optimal taxes and projecting revenues generated from proposed tax changes. Several approaches to specifying and estimating the price elasticity of demand for alcohol can be found in the literature. There are two keys to policy-relevant specification and estimation of alcohol price elasticity. First, the underlying demand model should take account of alcohol consumption decisions at the extensive margin – i.e., individuals’ decisions to drink or not – because the price of alcohol may impact the drinking initiation decision and one’s decision to drink is likely to be structurally different from how much they drink if they decide to do so (the intensive margin). Secondly, the modeling of alcohol demand elasticity should yield both theoretical and empirical results that are causally interpretable. The elasticity estimates obtained from the existing two-part model takes into account the extensive margin, but are not causally interpretable.
The elasticity estimates obtained using aggregate-level models, however, are causally interpretable, but do not explicitly take into account the extensive margin. There currently exists no specification and estimation method for alcohol price elasticity that both accommodates the extensive margin and is causally interpretable. I explore additional sources of bias in the extant approaches to elasticity specification and estimation: 1) the use of logged (vs. nominal) alcohol prices; and 2) implementation of unnecessarily restrictive assumptions underlying the conventional two-part model. I propose a new approach to elasticity specification and estimation that covers the two key requirements for policy relevance and remedies all such biases. I find evidence of substantial divergence between the new and extant methods using both simulated and the real data. Such differences are profound when placed in the context of alcohol tax revenue generation.
26
Li, Gang. "Modelling and forecasting UK tourism demand in Western Europe : illustrations of TVP-LAIDS models' superiority over other econometric approaches." Thesis, University of Surrey, 2004. http://epubs.surrey.ac.uk/2100/.
Full text
27
Oganezov, Karen N. "Inventory models for production systems with constant/linear demand, time value of money, and perishable/non-perishable items." Morgantown, W. Va. : [West Virginia University Libraries], 2006. https://eidr.wvu.edu/etd/documentdata.eTD?documentid=4822.
Full textAbstract:
Thesis (Ph. D.)--West Virginia University, 2006.Title from document title page. Document formatted into pages; contains xii, 152 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 127-129).
28
Fadiran, Gideon Oluwatobi. "South African money market volatility, asymmetry and retail interest pass-through." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002728.
Full textAbstract:
The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM-EGARCH (1, 1), negative volatility impact and leverage effect are present and influential only in the deposit interest rate adjustment process in South Africa.
29
Altin, Mehmet. "Economic Sentiment Indicator as a Demand Determinant in Tourism: A Case of Turkey." Thesis, Virginia Tech, 2011. http://hdl.handle.net/10919/42577.
Full textAbstract:
Tourism is one of the fastest growing industries in the world, employing approximately 220 million people and generating over 9.4% of the world's GDP. The growing contribution of tourism is accompanied by an increased interest in understanding the major factors which influence visitation levels to those countries. Therefore, finding the right variables to understand and estimate tourism demand becomes very important and challenging in policy formulations. The purpose of this study is to introduce Economic Sentiment Indicator (ESI) to the field of tourism demand studies. Using ESI in demand analysis, this study will assist in the ability to tap into individuals' hopes and/or worries for the present and future.
The study developed a demand model in which the number of tourist arrivals to Turkey from select EU countries is used as the dependent variable. ESI along with more traditional variables such as Interest Rate, Relative Price, and Relative Exchange Rate were brought into the model as the independent demand determinants. The study utilized such econometric models as ARIMA for seasonality adjustment and ARDL Bound test approach to cointegration for the long and short-run elasticities. ESI was statistically significant in 8 countries out of 13, three of those countries had a negative coefficient and five had a positive sign as proposed by the study.
The study posits that ESI is a good indicator to gauge and monitor tourism demand and adding the visitors' state of mind into the demand equation could reduce errors and increase variance in arrivals. Policy makers should monitor ESI as it fluctuates over time. Since we do not have direct influence on travelers' demand for tourism, it is imperative that we use indirect approaches such as price adjustment and creating new packages or promotional expenditures in order to influence or induce demand. Using this information generated from the study, government officials and tourism suppliers could adjust their promotional activities and expenditures in origin countries accordingly.Master of Science
30
Nyiranshuti, Claudette. "Monetary policy transmission mechanism in Rwanda: review of the bank lending channel post 1994." Thesis, Nelson Mandela Metropolitan University, 2014. http://hdl.handle.net/10948/3923.
Full textAbstract:
This research attempts to empirically examine the bank-lending channel in monetary policy transmission in Rwanda, using quarterly data for the period 1996Q1 to 2011Q4. The responses of the loans supply, real output, prices, and deposits to monetary policy innovations were investigated in this research, using impulse response functions and variance decompositions obtained from a Vector Autoregressive model (VAR). Estimation results revealed that the bank lending channel in Rwanda is less effective. The findings suggest that although monetary policies working through interest rates have a significant effect on bank loans, loans appear to not influence the real output level. As in other developing economies, the financial sector in Rwanda is still weak. As a result of the absence of long- term investment, bank customers bear the risk associated with the poor quality of loans in addition to the risk associated with high and variable inflation. These are likely to hamper the monetary policy transmission mechanism.
31
Liu, Yang. "Structural Econometric Models of Unemployment, Immigration, and Job-Worker Matching in Urban China: from the Supply and Demand Approach to the Search-Theoretic Approach." Kyoto University, 2012. http://hdl.handle.net/2433/157501.
Full text
32
Baldwin, Elizabeth. "Modelling preferences in economics." Thesis, University of Oxford, 2014. https://ora.ox.ac.uk/objects/uuid:8abebfd3-58df-4223-83b8-ce2f43b5dc90.
Full textAbstract:
This thesis considers the economics of preferences in two different contexts. First it examines damages from climate change. I argue that our ignorance of the welfare implications of higher levels of warming, as well as scientific uncertainty in precisely what might trigger these scenarios, imply that our tastes and beliefs are incomplete (in the sense of Galaabaatar and Karni, 2013). That is, there are many 'plausible' ways to evaluate a given scenario. In Chapter 1, then, I develop this theory, and use it to formally separate climate impacts into three sorts: those understood well, those understood badly, and those representing the worst possible scenario. I provide a generalisation of the 'dismal theorem' of Weitzman (2009a), and address the question of policy choice: prices versus quantities (cf. Weitzman, 1974). Chapter 2 is an example of the analysis propounded in Chapter 1. I explore the sensitivity of the social cost of carbon to assumed damages from 4C warming, to the assumed extent of CO2 emissions, and to the modelling of the climate and carbon cycles. The analysis shows that differing prior assumptions can alter our evaluation of policy by orders of magnitude. The second part of this thesis regards preferences for indivisible goods. In Chapter 3, which is joint work with Paul Klemperer, I introduce to this field the 'tropical hypersurface', being those prices at which an agent's demand changes. Simple geometric features of this set tell us the precise trade-offs that interest the agent. Thus we develop a new taxonomy of valuations, `demand types'; familiar notions such as substitutes and complements are examples. Finally, we provide a necessary and sufficient condition on these `demand types' for existence of competitive equilibrium, which implies several existing results, as well as new and quite different examples.
33
Tringides, Constantinos A. "Alternative formulations of joint model systems of departure time choice and mode choice for non-work trips." [Tampa, Fla.] : University of South Florida, 2004. http://purl.fcla.edu/fcla/etd/SFE0000240.
Full text
34
KRIDEL, DONALD JACK. "AN ANALYSIS OF THE RESIDENTIAL DEMAND FOR ACCESS TO THE TELEPHONE NETWORK (ECONOMETRICS)." Diss., The University of Arizona, 1987. http://hdl.handle.net/10150/184006.
Full textAbstract:
Universal service is the focal point of the economic dilemma faced by the telecommunications industry. The advent of competition spurred by several regulatory rulings is forcing rates towards economic costs. It is feared that this movement or the erosion of the toll-to-local subsidy with concomitant increases in local prices severely threatens the concept of universal service. To adequately address these fears, accurate elasticity of demand estimates for telephone access are required. This thesis develops estimates of these demand elasticities for access. These estimates are derived consistently from an underlying theory of demand for access. Furthermore, the simultaneous access and class-of-service choice problems are addressed similarly. This consistent development facilitates model usage and interpretation. For example, the model provides the best available estimate for the size of the network externality. Taking into account the underlying demand theory and acknowledging the problems associated with the aggregated nature of the data set (census tract data from 1980 Census), a modified probit technique is developed to estimate the demand model. The estimation methodology is implemented using an iterative least square procedure. To analyze the reasonableness of the algorithm and procedure, a Monte Carlo study is performed. In addition, a jackknife technique is employed to estimate variances of coefficients when the standard measures are unavailable. The model results are used to analyze the effect of current policy decisions. For example, for a proposed doubling of access prices the demand for access elasticity is found to be quite small, about -.04. A welfare analysis is performed to discuss the costs and benefits associated with moving to cost-based rates. This analysis also provides the basis for rate recommendations to facilitate the transition to competition while attempting to preserve the concept of universal service.
35
AYIVOR, EDWARD CARLOS KOFI. "AN ECONOMETRIC STUDY OF THE DECISION TO SEEK MEDICAL CARE IN WEST AFRICA: A CASE STUDY OF THE GHANA DANFA HEALTH PROJECT USING DISCRETE CHOICE MODELS (DEMAND, LOGIT)." Diss., The University of Arizona, 1985. http://hdl.handle.net/10150/187923.
Full textAbstract:
A theoretical and an empirical investigation using Logit Analysis, Discriminant Analysis, (Hierarchical) Log-Linear models with factor interactions and Goodman's measures of optimal prediction and uncertainty within the framework of consumer choice theory to explain the usage of health-care facilities and the behavior of individual consumers and different population segments seeking medical care within the Danfa Community in Ghana, West Africa. Based upon the household objective of utility maximization and the set of constraints--income, wealth, time, information and health, the demand for medical care is estimated as a function of individual and system characteristics, i.e. those characteristics describing in broad terms the factors of the household's needs, perception, willingness to secure care, and ability to secure care (e.g. age, sex, education, ethnicity, type of disease, literacy, health condition, occupation and costs of medication, travel and consultation. The sources of treatment or the providers of medical care were classified into five categories: self, family, drug seller, herbalist, and clinic. Our empirical results indicate that an individual's decision to seek or purchase medical care is more likely to be based on individual characteristics such as the number of unhealthy days rather than on system characteristics such as prices or costs of medication, travel, etc. This study has also revealed that some segments of the Danfa population in Ghana are more likely to exhibit an increasing preference or avoidance for certain health care facilities than others or use health-care facilities in different ways by either purchasing more or less medical care than other consumer groups. In assessing the effects of changes in the levels of particular factors on health-care decisions, our empirical results indicate that there is a reduction in total medical outlays for some consumers if there is a rise in the number of unhealthy days or an increase in the cost indices of medication, travel, and consultation. Policy measures for improvement in the future, including the reduction of the number of unhealthy days and household medical care expenditures through preventive health care education, community-based health insurance schemes for various occupational groups, and improvement of access capabilities or income earning capabilities through the encouragement of proper organization of economic activities within the rural community have been recommended in this study.
36
Villela, Bernardo Antunes Maciel. "Demanda por veículos novos no Brasil: uma análise robusta a quebras estruturais." reponame:Repositório Institucional do BNDES, 2014. https://web.bndes.gov.br/bib/jspui/handle/1408/7108.
Full textAbstract:
O setor automotivo é bastante representativo na economia nacional, o que motivou a realização deste estudo sobre a demanda por veículos novos no Brasil. No presente trabalho, é abordado um modelo econométrico que permite calcular as elasticidades do preço, da renda e do crédito em relação à demanda por veículos, sob a luz da teoria da cointegração. Analisando-se o período de junho de 2000 a janeiro de 2014, verifica-se a ocorrência de três quebras estruturais. Estas quebras dividem o intervalo de tempo analisado em quatro subperíodos, cada um com uma dinâmica própria. A constatação deste fato, muitas vezes negligenciado na literatura científica prévia, é um dos principais resultados deste trabalho: afinal, conclusões bastante distintas seriam obtidas ao se considerar o período todo sem quebras. Vale também destacar que o crédito se mostrou relevante para a demanda em todos os subperíodos: acredita-se, portanto, ser efetiva a implementação de uma política de estímulo ao setor, por meio do incentivo ao crédito. Por último, comenta-se que, no passado recente, a cada 1% de redução no preço do automóvel, a demanda aumentou numa proporção 30% maior. Este resultado corrobora com a percepção de que a redução de impostos pode alavancar a venda de veículos.The automotive sector is fairly representative in the national economy, which motivated this study on the demand for new vehicles in Brazil. The present work discusses an econometric model which allows the calculation of the price, income and credit elasticities on the demand for vehicles in the light of the cointegration theory. Analyzing the period from June 2000 to January 2014, it is possible to observe three structural breaks. These breaks divide the time interval analyzed in four sub-periods, each with its own dynamics. The perception of this fact often overlooked in previous literature is one of the main findings of this work. In fact, very different conclusions would be obtained by considering the entire period without breaks. It is also worth noting that credit has been relevant to the demand in all sub-periods. Therefore, it seems to be effective to implement a policy to boost the automotive sector by encouraging credit. Finally, it is said that in recent history for each 1% reduction in car price, demand has increased in a 30% higher rate. This result corroborates the perception that tax cuts may boost the sale of vehicles.
Dissertação (mestrado) - Fundação Getulio Vargas, Escola de Pós-Graduação em Economia, Rio de Janeiro, 2014.
Bibliografia: p. 54-56
37
"Spatial competition, product characteristics, and demand uncertainty." 2009. http://library.cuhk.edu.hk/record=b5894037.
Full textAbstract:
Wong, Ching Chuen.Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 45-46).
Abstract also in Chinese.
Spatial Competition in Two-Dimensional Product Space --- p.1
Chapter 1.1 --- Introduction --- p.1
Chapter 1.2 --- First model: Ordinal characteristics --- p.5
Chapter 1.3 --- Second model: Categorical characteristics --- p.14
Chapter 1.4 --- Conclusion --- p.18
Spatial Competition with Demand Uncertainty --- p.21
Chapter 2.1 --- Introduction --- p.21
Chapter 2.2 --- Model --- p.26
Chapter 2.3 --- Revelation of market density before transportation --- p.29
Chapter 2.4 --- Revelation of market density after transportation --- p.36
Chapter 2.5 --- Perfectly informed consumers --- p.38
Chapter 2.6 --- Application: Negative externality --- p.40
Chapter 2.7 --- Conclusion --- p.42
References --- p.45
38
Jones, Timothy Gordon 1978. "Essays on money, inflation and asset prices." 2008. http://hdl.handle.net/2152/17968.
Full textAbstract:
This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm’s financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy.text
39
Garcia-Martinez, Salvador. "Demand and profitability for albacore products : a multi-attribute analysis." Thesis, 1996. http://hdl.handle.net/1957/34370.
Full textAbstract:
The main purpose of this research is to provide the
commercial seafood industry of the Pacific Northwest
information on preferences of restaurateurs, retailers, and
wholesalers for whole albacore, low-value added albacore
products (chunks, medallions, and steaks), albacore loins,
and high-value added albacore products (hot smoked and lox).
All of these products were categorized as non-traditional
market forms of albacore products, except whole albacore.
The empirical analysis was based on self explicated and
conjoint analysis. The demand models for albacore products
were estimated using weighted least squares. Profitability
equations for albacore products were estimated using a two-limit Tobit model. From the self explicated section, it was
found that the attributes of price, flavor, blood
spots/bruising, and bleeding of whole albacore were
considered highly important by respondents. From the
conjoint analysis section, it was found that, as expected a
priori, price had a statistical significant effect on the
demand and profitability models for all albacore products.
Other variables, such as location of the firm, type of firm,
experience with tuna species, and ranking of albacore had
statistical significant effects on the demand and
profitability equations. Wholesalers, restaurateurs, and
retailers agreed that quality is a major concern and will
influence their preferences when purchasing albacore
can products. Overall, the findings from this research
provide guidance to the commercial seafood industry of the
Pacific Northwest to enhance the markets for albacore
products.Graduation date: 1997
40
"Demand for electricity in Hong Kong." Chinese University of Hong Kong, 1995. http://library.cuhk.edu.hk/record=b5888583.
Full textAbstract:
by Lee King Pak.Thesis (M.Phil.)--Chinese University of Hong Kong, 1995.
Includes bibliographical references (leaves 141-144).
LIST OF TABLES
LIST OF FIGURES
Chapter CHAPTER 1 --- INTRODUCTION --- p.1
Chapter 1.1 --- Aim of Study --- p.2
Chapter 1.2 --- Scope of Study --- p.7
Chapter 1.3 --- Organization of the Thesis --- p.8
Chapter CHAPTER 2 --- REVIEW OF THE LITERATURE --- p.10
Chapter 2.1 --- Short-Run and Long-Run Demand for Electricity --- p.10
Chapter 2.2 --- Decreasing Block Pricing --- p.20
Chapter CHAPTER 3 --- THE ELECTRIC POWER INDUSTRY IN HONG KONG --- p.38
Chapter 3.1 --- The Growth of Electricity Consumption --- p.38
Chapter 3.2 --- The Two Electricity Suppliers --- p.39
Chapter CHAPTER 4 --- PREVIOUS STUDIES ON DEMAND FOR ELECTRICITY IN HONG KONG --- p.52
Chapter 4.1 --- Studies using Aggregate-Level Data --- p.52
Chapter 4.2 --- Studies using Micro-Level Data --- p.60
Chapter CHAPTER 5 --- HOUSEHOLD DEMAND FOR ELECTRICITY --- p.65
Chapter 5.1 --- Introduction --- p.65
Chapter 5.2 --- Methodology --- p.66
Chapter 5.3 --- Data --- p.74
Chapter 5.4 --- Results and Analysis --- p.77
Chapter 5.5 --- Conclusion --- p.88
Chapter CHAPTER 6 --- AGGREGATE DEMAND FOR ELECTRICITY --- p.100
Chapter 6.1 --- Introduction --- p.100
Chapter 6.2 --- Methodology --- p.101
Chapter 6.3 --- Data --- p.108
Chapter 6.4 --- Results and Analysis --- p.112
Chapter 6.5 --- Conclusion --- p.122
Chapter CHAPTER 7 --- CONCLUSION --- p.134
Chapter 7.1 --- Summary and Discussions --- p.134
Chapter 7.2 --- Suggestions for Further Studies --- p.139
BIBLIOGRAPHY --- p.141
APPENDICES --- p.145
Chapter A. 1 --- The Use of Average Price in Demand Equation --- p.145
Chapter A.2 --- Residential Price Schedules --- p.147
41
Niyimbanira, Ferdinand. "An econometric analysis of the real demand for money in South Africa : 1990-2007." Thesis, 2009. http://hdl.handle.net/10413/1249.
Full textAbstract:
A stable money demand function plays a vital role in the analysis of macroeconomics, especially in the planning and implementation of monetary policy. With the use of cointegration and error correction model estimates, this study examines the existence of a stable long-run relationship between real money demand (RM2) and its explanatory variables, in South Africa, for the period 1990-2007. The explanatory variables this study uses are selected on the basis of different monetary theories, including the Keynesian, Classical and Friedman‟s modern quantity theory of money. Based on these theories, the explanatory variables this thesis uses are real income, an interest rate, the inflation rate and the exchange rate. All variables have the correct signs, as expected from economic theory, except the inflation rate. Thus real income and inflation have positive coefficients, while the interest rate and exchange rate coefficients are negative. The results from unit root tests suggest that real income, interest rate and the inflation rate are found to be stationary, while RM2 and the exchange rate are non-stationary. Results from the Engle-Granger test suggest that RM2 and its all explanatory variables are cointegrated. Hence, we find a long-run equilibrium relationship between the real quantity of money demanded and four broadly defined macroeconomic components: real income, an interest rate, the inflation rate and the exchange rate in South Africa. Overall, the study finds that the coefficient of the equilibrium error term is negative, as expected, and significantly different from zero, implying that 0.20 of the discrepancy between money demand and its explanatory variables is eliminated in the following quarter. This evidence suggests that the speed of adjustment for money demand implies the money market in South Africa needs about four quarters to re-adjust to equilibrium. This observation agrees with the public statements of the South African Reserve Bank. Whether this will hold after November 2009 is the obvious subject of future research.Thesis (M.Comm.) - University of KwaZulu-Natal, Pietermaritzburg, 2009.
42
Chiang, Li-Wen, and 江麗文. "Econometric Models for Forecasting Visitor Arrival Demand in Taiwan Area." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/12780449010360454999.
Full text
43
Mikysková, Ivana. "Poptávka po penězích v ČR." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-91634.
Full text
44
"Essays in monetary theory and finance." 2004. http://library.cuhk.edu.hk/record=b5891997.
Full textAbstract:
Cheung Ho Sang.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 185-187).
Abstracts in English and Chinese.
Curriculum Vitae --- p.ii
Acknowledgments --- p.iii
Abstract --- p.v
Table of Contents --- p.viii
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- The behavior of income velocity of money --- p.3
Chapter 2.1 --- Introduction --- p.3
Chapter 2.2 --- Literature Review --- p.4
Chapter 2.3 --- Data Description --- p.9
Chapter 2.4 --- Methodology --- p.9
Chapter 2.5 --- Empirical Result --- p.16
Chapter 2.6 --- Conclusion --- p.26
Chapter Chapter 3. --- The behavior of equity premium --- p.106
Chapter 3.1 --- Introduction --- p.106
Chapter 3.1 --- Literature Review --- p.106
Chapter 3.2 --- Data Description --- p.112
Chapter 3.3 --- Methodology --- p.112
Chapter 3.4 --- Empirical Result --- p.120
Chapter 3.5 --- Conclusion --- p.130
Data Appendices --- p.182
Bibliography --- p.185
45
"Stability of money demand and monetary policy in a small developing economy - Uganda : an econometric investigation into some basic issues." Thesis, 2004. http://hdl.handle.net/10413/2601.
Full textAbstract:
A stable money demand function is the essence of planning and implementing monetary policy. This thesis explores the stability of the M2 money demand function in Uganda for the period 1980-2002. We estimate and interpret the elasticities of the determinants of the money demand
function. After analyzing the dynamics of money demand determinants, the variables crucial to money demand estimation in this thesis were established as being: real income, the nominal rate of interest on Treasury bills, the actual rate of inflation and the change in the exchange rate. All variables had the correct signs as required by economic theory, where real income was found to be positive whilst the nominal rates of interest on Treasury bills, the actual rate of inflation and the change in the exchange rate all have negative signs. We estimate the money demand function for Uganda, using cointegration analysis and an error correction mechanism (ECM) on quarterly data over the sample period 1980-2002. The results from the Johansen and Juselius (1990) cointegration test suggest that real income, the nominal interest rates on Treasury bills and real M2, are cointegrated. The results of the error correction mechanism suggest that in spite of major policy reforms in the years 1987 and 1993 such as the introduction of new financial
instruments, and liberalization of the financial system, the estimated money demand function for Uganda is stable only in one time period 1994-2002 that is after major policy reforms. The results of the study show that M2 is a viable monetary policy tool that could be used as an intermediate target to stimulate economic activity in Uganda. We also conclude that the feasible approach for conducting monetary policy in Uganda is to adopt an inflationary targeting regime. However, monetary policy might continue to benefit from other economic indicators by monitoring the impacts of changes in interest rates and the change in exchange rates on real money demand in Uganda.Thesis (M.A.)-University of KwaZulu-Natal, Pietermaritzburg, 2004.
46
Niami, Farhad. "An econometric analysis of the Japanese import demand for U.S. forest products." Thesis, 1987. http://hdl.handle.net/1957/26850.
Full textAbstract:
Japan is the largest market for U.S. forest products.
Therefore, export of wood products to this country is
critical to the economic life of the forest industry in
the U.S. and particularly for the Pacific Northwest.
Hence, economic conditions and developments in Japan may
significantly affect the volume of trade for the products
of concern and, in turn, the well-being of the U.S. lumber
and log production-consumption system. Few studies have
addressed forest product trade between the U.S. and Japan.
This study is designed to determine the effect of
several selected market factors on the Japanese import
demand for U.S. softwood lumber and logs and to estimate
the influence of these factors on Japan's future trade. A
numerical model was developed incorporating these
selective factors, thought to be relevant, to determine
their effects on the Japanese market for the U.S. forest
products. The evaluation considers the effects of
variations in: Japanese income, domestic production of
softwood logs in Japan, domestic prices of the products of
concern, petroleum purchased by Japan, nominal interest
rates in Japan, the exchange rates, and finally a weighted
average of prices of the products from the Pacific
Northwest (Oregon and Washington, only). Given the
available resources, two empirical time series models for
each commodity were estimated by OLS technique using
annual data from 1961 through 1985.
The results indicate that the Japanese import demands
for both products are inelastic. This finding, along with
other evidence, suggests the distortion of the Japanese
import demand for U.S. forest products by factors other
than economic, mainly politics involved in trade restraint
between the two countries.
The study shows that GNP per capita, housing starts,
and the interest rates in Japan, significantly affect the
Japanese import demand for lumber from the U.S. Housing
starts is the only significant factor in the case of the
Japanese import demand for U.S. logs. In the latter case,
the exchange rates and log export prices to Japan
(deflated by Japan's wholesale price index), are
significant only when the log linear model has been
applied.Graduation date: 1988
47
Lowe, Scott Elliot. "Recreational demand for fishing in the Yellowstone National Park Area : a travel cost model." Thesis, 1997. http://hdl.handle.net/1957/33967.
Full textAbstract:
Potential policy decisions regarding fly fishing in the Yellowstone National Park Area
could severely impact the enjoyment possibilities of many of its users. In order to
determine the magnitude of the impact, this paper applies a form of the basic travel cost
model developed by Bell and Leeworthy [JEEM. 18,189-205 (1990)] to fishing sites in
the Yellowstone National Park Area. Bell and Leeworthy have argued that consumer
demand for the time spent at a recreation site is inversely related to on-site cost per day,
and may be positively related to travel cost per trip. The paper discusses relevant
literature on the method, presents background information on the site, and generates a
demand curve for users of the resource. A consumer surplus measurement is then derived
from the resulting demand data, which gives an estimate for the value of the resource; the
consumer surplus is determined to be roughly $751.88 per day spent at the site. The
assumptions of the model are then discussed, and an assessment is made of the potential
policy implications.Graduation date: 1998
48
Macario, Margarita Cosme. "An econometric analysis of consumer demand for fresh papayas in the Los Angeles metropolitan area." Thesis, 1985. http://hdl.handle.net/10125/9207.
Full text
49
He, Pu. "Essays on Demand Estimation, Financial Economics and Machine Learning." Thesis, 2019. https://doi.org/10.7916/d8-gz54-hj94.
Full textAbstract:
In this era of big data, we often rely on techniques ranging from simple linear regression, structural estimation, and state-of-the-art machine learning algorithms to make operational and financial decisions based on data. This calls for a deep understanding of practical and theoretical aspects of methods and models from statistics, econometrics, and computer science, combined with relevant domain knowledge. In this thesis, we study several practical, data-related problems in the particular domains of sharing economy and financial economics/financial engineering, using appropriate approaches from an arsenal of data-analysis tools. On the methodological front, we propose a new estimator for classic demand estimation problem in economics, which is important for pricing and revenue management.
In the first part of this thesis, we study customer preference for the bike share system in London, in order to provide policy recommendations on bike share system design and expansion. We estimate a structural demand model on the station network to learn the preference parameters, and use the estimated model to provide insights on the design and expansion of the system. We highlight the importance of network effects in understanding customer demand and evaluating expansion strategies of transportation networks. In the particular example of the London bike share system, we find that allocating resources to some areas of the station network can be 10 times more beneficial than others in terms of system usage, and that currently implemented station density rule is far from optimal. We develop a new method to deal with the endogeneity problem of the choice set in estimating demand for network products. Our method can be applied to other settings, in which the available set of products or services depends on demand.
In the second part of this thesis, we study demand estimation methodology when data has a long-tail pattern, that is, when a significant portion of products have zero or very few sales. Long-tail distributions in sales or market share data have long been an issue in empirical studies in areas such as economics, operations, and marketing, and it is increasingly common nowadays with more detailed levels of data available and many more products being offered in places like online retailers and platforms. The classic demand estimation framework cannot deal with zero sales, which yields inconsistent estimates. More importantly, biased demand estimates, if used as an input to subsequent tasks such as pricing, lead to managerial decisions that are far from optimal. We introduce two new two-stage estimators to solve the problem: our solutions apply machine learning algorithms to estimate market shares in the first stage, and in the second stage, we utilize the first-stage results to correct for the selection bias in demand estimates. We find that our approach works better than traditional methods using simulations.
In the third part of this thesis, we study how to extract a signal from option pricing models to form a profitable stock trading strategy. Recent work has documented roughness in the time series of stock market volatility and investigated its implications for option pricing. We study a strategy for trading stocks based on measures of their implied and realized roughness. A strategy that goes long the roughest-volatility stocks and short the smoothest-volatility stocks earns statistically significant excess annual returns of 6% or more, depending on the time period and strategy details. Standard factors do not explain the profitability of the strategy. We compare alternative measures of roughness in volatility and find that the profitability of the strategy is greater when we sort stocks based on implied rather than realized roughness. We interpret the profitability of the strategy as compensation for near-term idiosyncratic event risk.
Lastly, we apply a heterogeneous treatment effect (HTE) estimator from statistics and machine learning to financial asset pricing. Recent progress in the interdisciplinary area of causal inference and machine learning has proposed various promising estimators for HTE. We take the R-learner algorithm by [73] and adapt it to empirical asset pricing. We study characteristics associated with standard factors, size, value and momentum through the lens of HTE. Our goal is to identify sub-universes of stocks, ``characteristic responders", in which size, value or momentum trading strategies perform best, compared with the performance had they been applied to the entire universe. On the other hand, we identify subsets of ``characteristic traps" in which the strategies perform the worst. In our test period, the differences in average monthly returns between long-short strategies restricted to ``characteristic responders" and ``characteristic traps" range from 0.77% to 1.54% depending on treatment characteristics. The differences are statistically significant and cannot be explained by standard factors: a long-short of long-short strategy generates alpha of significant magnitude from 0.98% to 1.80% monthly, with respect to standard Fama-French plus momentum factors. Simple interaction terms between standard factors and ex-post important features do not explain the alphas either. We also characterize and interpret the characteristic traps and responders identified by our algorithm. Our study can be viewed as a systematic, data-driven way to investigate interaction effects between features and treatment characteristic, and to identify characteristic traps and responders.
50
Mundang, Atikarn. "Econometric models of Manitoba crop acreage demand and yield response under risk and uncertainty." 1996. http://hdl.handle.net/1993/7379.
Full textAbstract:
The purpose of this research is to estimate econometric models of crop supply response for Manitoba using data aggregated at the provincial level for 1960-1987. In contrast to most other studies, this research (a) decomposes crop supply response to price into the acreage and yield components which are estmimated separately and (b) estimates duality models incorporated risk aversion. First, ad hoc static and distriubted lag models of crop yield response to expected price and price variance for crops were estimated. In static models expected price was insignificant and price variance was often significant. In contrast a distributed lag in expected prices was often significant in risk-neutral models, and distributed lags in expected prices and price variance were generally significant. Second, static duality models of crop acreage allocations were estimated. Models with yields (or the distribution of yields) predetermined relative to acreage decisions were emphaized. Results generally indicated that both mean and variance of revenues per acre (or of crop prices) were significant allowing for risk aversion and uncertainty of either (but not both) crop prices or crop yields. Third, dynamic duality models of crop yields were formulated assuming adjustment costs for crop yields as well as for capital investment, nonstatic expectations for prices and crop acreages, risk aversion and price uncertainty (risk is modelled as timeless rather than as temporal). Preliminary results indicate that price variance and lags in adjustment are significant in crop yield equations, as in the earlier ad hoc distributed lag models.