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Devilliers, Esther. "Modélisation micro-économétrique des choix de pratiques de production et des utilisations d'intrants chimiques des agriculteurs : une approche par les fonctions de production latentes." Thesis, Rennes, Agrocampus Ouest, 2021. http://www.theses.fr/2021NSARE058.
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La notion d’itinéraire technique est une notion agronomique qui nous permet d’appréhender l’imbrication entre les rendements objectifs et les niveaux d’utilisation d’intrants associés. Dès lors, on peut admettre qu’à différents types d’itinéraires techniques correspondent différentes fonctions de production. Modéliser ces différentes fonctions est une des clés pour mieux comprendre la dépendance de certaines pratiques culturales aux pesticides et de ce fait constitue un enjeu majeur pour concevoir les futures politiques publiques.Intégrer cette notion d’itinéraire technique nécessite de tenir compte de l’interdépendance entre les choix de ces pratiques, leur rendement et les utilisations associées. Pour ce faire, on considère des modèles de changement de régime endogène qui permettent de contrôler des biais de sélection. Lorsque ces pratiques sont inobservées, on définit la séquence de choix comme processus Markovien.Le modèle résultant nous permet de recouvrir les pratiques culturales, leurs niveaux de rendement et d’utilisation d’intrants ainsi que la dynamique de choix des dites pratiques. Lorsque ces pratiques sont observées, on décide de considérer un modèle primal afin de pouvoir vérifier le rôle différencié des pesticides et évaluer l’effet des politiques publiques conjointement sur les rendements et les niveaux d’utilisation d’intrants chimiques.En bref, cette thèse vise à donner des outils pour évaluer au mieux les effets des politiques agro-environnementales sur les utilisations de pesticides, les rendements et mes choix de pratiques culturales des agriculteursCropping management practices is an agronomic notion grasping the interdependence between targeted yield and input use levels. Subsequently, one can legitimately assume that different cropping management practices are associated to different production functions. To better understand pesticide dependence – a key point to encourage more sustainable practices – one have to consider modelling cropping management practices specific production functions.Because of the inherent interdependence between those practices and their associeted yield and input use levels, we need to consider endogenous regime switching models.When unobserved, the sequence of cropping management practices choices is considered as a Markovian process. From this modelling framework we can derive the cropping management choices, their dynamics, their associated yield and input use levels. When observed, we consider primal production functions to see how yield responds differently to input uses based on the different cropping management practices. Thus, we can assess jointly the effect of a public policy on input use and yield levels.In a nutshell, in this PhD we are aiming at giving some tools to evaluate the differentiated effect of agri-environmental public policies on production choies and on the associated yield and input use levels
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Koutchade, Obafèmi-Philippe. "Hétérogénéité inobservée et solutions en coin dans les modèles micro-économétriques de choix de production multiculture." Thesis, Rennes, Agrocampus Ouest, 2018. http://www.theses.fr/2018NSARE048/document.
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Dans cette thèse, nous nous intéressons aux questions de l’hétérogénéité inobservée et des solutions en coin dans les modèles de choix d’assolements. Pour répondre à ces questions, nous nous appuyons sur un modèle de choix de production multicultures avec choix d’assolement de forme NMNL, dont nous proposons des extensions. Ces extensions conduisent à des problèmes spécifiques d’estimation, auxquels nous apportons des solutions. La question de l’hétérogénéité inobservée est traitée en considérant une spécification à paramètres aléatoires. Ceci nous permet de tenir compte des effets de l’hétérogénéité inobservée sur l’ensemble des paramètres du modèle. Nous montrons que les versions stochastiques de l’algorithme EM sont particulièrement adaptées pour estimer ce type de modèle.Nos résultats d’estimation et de simulation montrent que les agriculteurs réagissent de façon hétérogène aux incitations économiques et que ne pas tenir compte de cette hétérogénéité peut conduire à des effets simulés de politiques publique biaisés.Pour tenir compte des solutions en coin dans les choix d’assolement, nous proposons une modélisation basée sur les modèles à changement de régime endogène avec coûts fixes associés aux régimes. Contrairement aux approches basées sur des systèmes de régression censurées, notre modèle est cohérent d’un point de vue micro-économique. Nos résultats montrent que les coûts fixes associés aux régimes jouent un rôle important dans le choix des agriculteurs de produire ou non certaines cultures et qu’ils constituent, à court terme, un déterminant important des cIn this thesis, we are interested in questions of unobserved heterogeneity and corner solutions in acreage choice models. To answer these questions, we rely on a NMNL acreage share multi-crop models, of which we propose extensions. These extensions lead to specific estimation problems, to which we provide solutions.The question of unobserved heterogeneity is dealt with by considering a random parameter specification. This allows us to take into account the effects of the unobserved heterogeneity on all the parameters of the model. We show that the stochastic versions of the EM algorithm are particularly suitable for estimating this type of modelOur estimation and simulation results show that farmers react heterogeneously to economic incentives and that ignoring this heterogeneity can lead to biased simulated effects of public policies.In order to take account of the corner solutions in acreage choices, we propose modelling based on endogenous regime switching models with regime fixed costs. Unlike approaches based on censored regression systems, our model is “fully” consistent from a micro-economic viewpoint. Our results show that the regime fixed costs play an important role in farmers’ choice to produce or not some crops and they are, in the short term, an important determinant of acreage choices
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Check, Adam. "REGIME SWITCHING AND THE MONETARY ECONOMY." Thesis, University of Oregon, 2016. http://hdl.handle.net/1794/20531.
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For the empirical macroeconomist, accounting for nonlinearities in data series by using regime switching techniques has a long history. Over the past 25 years, there have been tremendous advances in both the estimation of regime switching and the incorporation of regime switching into macroeconomic models. In this dissertation, I apply techniques from this literature to study two topics that are of particular relevance to the conduct of monetary policy: asset bubbles and the Federal Reserve’s policy reaction function. My first chapter utilizes a recently developed Markov-Switching model in order to test for asset bubbles in simulated data. I find that this flexible model is able to detect asset bubbles in about 75% of simulations. In my second and third chapters, I focus on the Federal Reserve’s policy reaction function. My second chapter advances the literature in two important directions. First, it uses meeting- based timing to more properly account for the target Federal Funds rate; second, it allows for the inclusion of up to 14 economic variables. I find that the long-run inflation response coefficient is larger than had been found in previous studies, and that increasing the number of economic variables that can enter the model improves both in-sample fit and out-of-sample forecasting ability. In my third chapter, I introduce a new econometric model that allows for Markov-Switching, but can also remove variables from the model, or enforce a restriction that there is no regime switching. My findings indicate that the majority of coefficients in the Federal Reserve’s policy reaction function have not changed over time.
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Shami, Roland G. (Roland George) 1960. "Bayesian analysis of a structural model with regime switching." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9277.
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Sola, Martin. "Essays on speculative attacks on fixed exchange rate regimes, speculative bubbles and endogenous switching regime estimation." Thesis, University of Southampton, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.316309.
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Cheung, Ka-chun. "Optimal asset allocation problems under the discrete-time regime-switching model." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31311234.
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Yang, Zijian. "Application of Regime Switching Model to Equity Market and Portfolio Selection." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517406.
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Cheung, Ka-chun, and 張家俊. "Optimal asset allocation problems under the discrete-time regime-switching model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31311234.
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Grimm, Stefanie [Verfasser]. "An Interest-Rate Model with Regime-Switching Mean-Reversion Level / Stefanie Grimm." München : Verlag Dr. Hut, 2017. http://d-nb.info/1135596794/34.
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Stockel, Jakob, and Niklas Skantz. "Regime shifts in the Swedish housing market - A Markov-switching model analysis." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-190178.
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Problem statement: Accurate and reliable forecasts of trends in the housing market can be useful information for market participants as well as policy makers. This information may be useful to minimize risk related to market uncertainty. Since the burst of the housing bubble in the early 1990s the price level of single-family houses has risen sharply in Sweden. The Swedish housing market has experienced an unusually long period of high growth rates in transaction prices which has opened up for discussions about the risk of another housing bubble. Business and property cycles have shown to contain asymmetries, which linear models are unable to pick up and therefore inappropriate to analyze cycles. Approach: Therefore, this study uses non-linear models which are able to pick up the asymmetries. The estimated models are variations of the Markov-switching regression model, i.e. the Markov-switching autoregressive (MS-AR) model and the Markov-switching dynamic regression (MS-DR) model. Results: Our ndings show that the MS-AR(4) model allowing for varying variance across regimes estimated using the growth rate of FASTPI produce superior forecasts over other MSAR models as well as variations of the MS-DR model. The average expected duration to remain in a positive growth regime is between 6.3 and 7.3 years and the average expected duration to remain in a negative growth regime is between 1.2 to 2.5 years. Conclusion: The next regime shift in the Swedish housing market is projected to occur between 2018 and 2019, counting the contraction period in 2012 as the most recent negative regime. Our ndings support other studies ndings which indicate that the longer the market has remained in one state, the greater is the risk for a regime shift.Problemformulering: Noggranna och tillforlitliga prognoser om utvecklingen pa bostadsmarknaden kan vara anvandbar information for marknadsaktorer samt beslutsfattare. Denna information kan vara anvandbar for att minimera risken relaterad till osakerheten pa marknaden. Sen bostadsbubblan sprack i borjan av 1990-talet har prisnivan for smahus okat kraftigt i Sverige. Den svenska bostadsmarknaden har upplevt en ovanligt lang period av hog tillvaxt i transaktionspriser som har oppnat upp for diskussioner om risken for en ny bostadsbubbla. Konjunkturoch fastighetscykler har visat sig innehalla asymmetrier som linjara modeller inte kan uppfanga och darfor visat sig vara olampliga for att analysera cykler. Tillvagagangssatt: Darfor anvander den har studien icke-linjara modeller som kan uppfanga dessa asymmetrier. De skattade modellerna ar variationer av Hamiltons Markov-switchingmodell, dvs. en autoregressiv Markov-switchingmodell (MS-AR) och en dynamisk Markov-switchingmodell (MS-DR). Resultat: Resultatet visar att MS-AR(4)-modellen som tar hansyn till varierande varians over regimerna estimerad med tillvaxten av FASTPI producerar overlagsna prognoser jamfort med andra MS-AR-modeller samt variationer av MS-DR-modellen. Den genomsnittliga forvantade varaktigheten att benna sig i en positiv regim ar mellan 6,3 och 7,3 ar och den genomsnittliga forvantade varaktigheten att benna sig i en negativ regim ar mellan 1,2 till 2,5 ar. Slutsats: Nasta regimskifte pa den svenska bostadsmarknaden beraknas ske mellan 2018 och 2019, antaget att nedgangen under 2012 ar den senaste negativa regimen. Resultatet stodjer tidigare studier, som tyder pa att ju langre marknaden har varit i ett tillstand, desto storre ar risken for ett regimskifte.
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Blöchlinger, Lea. "Power Prices - A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3442.
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Spagnolo, Nicola. "Nonlinearity testing, model selection and forecasting in the prescence of Markov regime switching." Thesis, Birkbeck (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368914.
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Lee, Michael Shou-Cheng Banking & Finance Australian School of Business UNSW. "Pricing and hedging derivative securities in a regime-switching model with state-dependent jumps." Publisher:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/41509.
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In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps of various types. In particular, we consider a jump that is synchronous with a change in the regime state. Thus, for example, we can define a process such that the stock price moves to a high volatility state and simultaneously has a large downward jump in returns. This type of model is consistent with market experience. We derive the compensator for our synchronous jumps and price options on such a price process using Fourier transforms. We also test the model on S&P futures options and show that it performs significantly better than a jump diffusion model. Furthermore, we look at the problem of hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge portfolios using the risk-free asset, the underlying asset, and finitely many options. Our risk-free trading strategy is consistent with any equivalent martingale measure, and so does not in itself specify which measure should be used to price options.
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Wu, Nan. "Optimal liquidation in a finite time regime switching model with permanent and temporary liquidation impact." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/12635.
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In this thesis, we discuss the optimal liquidation problem in a finite horizon model with permanent and temporary pricing impact. We use different model set-ups including a finite time Markov diffusion model and a regime switching model with exit time. The drift and diffusion terms of the asset price are general functions depending on the state variables as well as the control. There is also a non-linear transaction cost associated with the liquidation. We verify the continuity of the value function and show that it is the unique viscosity solution of the associated HJB equation. We also propose a perturbation method to approximate the viscosity solution through a series of classical solutions with the help of the stability property of viscosity solutions. We revise the definition of viscosity solutions for the regime switching model and show that the value function is a strong-form viscosity solution. Numerical results are presented at the end to show the relationship between the optimal selling rate and the state variables.
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Okumu, Emmanuel Latim. "Non-linear prediction in the presence of macroeconomic regimes." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222.
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This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. We perform recursive out-of-sample forecasting to study the predictive performance of the models. We also assess the in-sample dynamics correspondence to the forecast performance and find that there is not always a relationship. Furthermore, we seek to explore if these unrestricted models yield interpretable results regarding the regimes from an macroeconomic standpoint. We assess GDP-growth, the unemployment rate, and government bond yields and find evidence of Teräsvirta's claims that even when the data has non-linear dynamics, non-linear models might not improve the forecast performance of linear models when the forecast window is linear.
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Tillmann, Peter. "Uncertainty and the stability of financial markets in open economies : empirical evidence from regime-switching models /." Aachen : Shaker, 2003. http://www.gbv.de/dms/zbw/369153375.pdf.
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Athari, Mahtab. "Predictability of International Stock Returns with Sum of the Parts and Equity Premiums under Regime Shifts." ScholarWorks@UNO, 2015. http://scholarworks.uno.edu/td/2053.
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This research consists of two essays. The first essay entitled” Stock Return Forecasting with Sum-of-the-Parts Methodology: Evidence from Around the World”, examines forecasting ability of stock returns by employing the sum-of-the-parts (SOP) modeling technique introduced by Ferreira and Santa-Clara (2011).This approach decomposes return into three components of growth in price-earnings ratio, earnings growth, and dividend-price ratio. Each component is forecasted separately and fitted values are used in forecast model to predict stock return. We conduct a series of one-step ahead recursive forecasts for a wide range of developed and emerging markets over the period February 1995 through November 2014. Decomposed return components are forecasted separately using a list of financial variables and the fitted values from the best estimators are used according to out-of-sample performance. Our findings show that the SOP method with financial variables outperforms the historical sample mean for the majority of countries.
Second essay entitled,” Equity Premium Predictability under Regime Shifts: International Evidence”, utilizes the modified version of the dividend-price ratio that alleviates some econometric concerns in the literature regarding the non-stationary and persistent predictor when forecasting international equity premium across different regimes. We employ Markov switching technique to address the issue of non-linearity between the equity premium and the predictor. The results show different patterns of equity premium predictability over the regimes across countries by the modified ratio as predictor. In addition, transition probability analysis show the adverse effect of financial crisis on regime transition probabilities by increasing the probability of switching between regimes post-crisis 2007 implying higher risk perceived by investors as a result of uncertainty inherent in regime transitions.
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Rodrigues, Miguel João de Figueiredo. "Business Cycle Synchronization Between the Euro Area and The Central and Eastearn European Countries Member States of The Eu: A Markov switching Regime Model Approach." Dissertação, Faculdade de Economia da Universidade do Porto, 2008. http://hdl.handle.net/10216/49826.
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Rodrigues, Miguel João de Figueiredo. "Business Cycle Synchronization Between the Euro Area and The Central and Eastearn European Countries Member States of The Eu: A Markov switching Regime Model Approach." Master's thesis, Faculdade de Economia da Universidade do Porto, 2008. http://hdl.handle.net/10216/49826.
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Berberovic, Adnan, and Alexander Eriksson. "A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies." Thesis, Linköpings universitet, Produktionsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-143715.
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Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes.
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Kluaymai-Ngarm, Jumpon. "An empirical investigation of bubble and contagion effects in the Thai stock market." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/23127.
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This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.
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Perl, Robert. "Die Erwartungstheorie der Zinsstruktur : variable Zeitprämien, Regimeunsicherheit und Markov-Switching-Modelle ; eine empirischen Analyse für den deutschen Rentenmarkt /." Frankfurt am Main [u.a.] : Lang, 2003. http://www.gbv.de/dms/zbw/362547947.pdf.
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Rotta, Pedro Nielsen. "Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10402.
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Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, objetivo central do presente estudo é avaliar o fenômeno de contágio financeiro entre retornos de índices de Bolsas de Valores de diferentes países a partir de uma abordagem econométrica, apresentada originalmente em Pelletier (2006), sobre a denominação de Regime Switching Dynamic Correlation (RSDC). Tal metodologia envolve a combinação do Modelo de Correlação Condicional Constante (CCC) proposto por Bollerslev (1990) com o Modelo de Mudança de Regime de Markov sugerido por Hamilton e Susmel (1994). Foi feita uma modificação no modelo original RSDC, a introdução do modelo GJR-GARCH formulado em Glosten, Jagannathan e Runkle (1993), na equação das variâncias condicionais individuais das séries para permitir capturar os efeitos assimétricos na volatilidade. A base de dados foi construída com as séries diárias de fechamento dos índices das Bolsas de Valores dos Estados Unidos (SP500), Reino Unido (FTSE100), Brasil (IBOVESPA) e Coréia do Sul (KOSPI) para o período de 02/01/2003 até 20/09/2012. Ao longo do trabalho a metodologia utilizada foi confrontada com outras mais difundidos na literatura, e o modelo RSDC com dois regimes foi definido como o mais apropriado para a amostra selecionada. O conjunto de resultados encontrados fornecem evidências a favor da existência de contágio financeiro entre os mercados dos quatro países considerando a definição de contágio financeiro do Banco Mundial denominada de 'muito restritiva'. Tal conclusão deve ser avaliada com cautela considerando a extensa diversidade de definições de contágio existentes na literatura.
Over the last decades, the analysis of the transmissions of international financial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the financial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modification was made in the original model RSDC, the introduction of the GJR-GARCH Glosten model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric effects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 20/09/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was defined as the most appropriate for the selected sample. The set of results provide evidence for the existence of financial contagion between markets of the four countries considering the definition of financial contagion from the World Bank called 'very restrictive'. Such a conclusion should be evaluated carefully considering the wide diversity of definitions of contagion in the literature.
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Elhouar, Mikael. "Essays on interest rate theory." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-451.
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Brannolte, Cord. "Nichtlineare Regimewechselmodelle : theoretische und empirische Evidenz am deutschen Kapitalmarkt /." Berlin : Pro Business, 2002. http://www.gbv.de/dms/zbw/357247493.pdf.
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Bredow, Sabrina Monique Schenato. "O ciclo de alta recente dos preços das commodities e o efeito na entrada de capitais externos no brasil." Universidade do Vale do Rio dos Sinos, 2016. http://www.repositorio.jesuita.org.br/handle/UNISINOS/5196.
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Este trabalho analisa a influência do recente ciclo de alta dos preços das commodities sobre a entrada de capital externo no Brasil. Para o alcance desse objetivo, foram utilizadas duas metodologias econométricas diferentes: Modelos de Mudanças de Regimes Markovianos e Modelo Vetorial de Correção de Erros (VAR/VEC). O primeiro modelo foi utilizado para delimitar o ciclo de alta dos preços das commodities e para verificar se este período é concomitante ao período de elevação da entrada de capital externo no Brasil. Os resultados apontam que o recente período de alta dos preços das commodities ocorre entre os anos de 2002 e 2014, que é o último ano da amostra utilizada nesta pesquisa. Ademais, os regimes de alta estimados para as exportações, Investimento Estrangeiro Direto (IED) e Investimento Estrangeiro em Carteira (IEC), que são os três principais agregados do Balanço de Pagamentos que representam o ingresso de capitais externos no país, ocorrem em períodos similares ao observado para a série dos preços das commodities. A partir destes resultados, a influência da alta dos preços das commodities sobre a entrada de capital externo no Brasil foi analisada através do emprego da metodologia VAR/VEC, para o período entre o ano de 2002 e 2014, a partir da estimação de três modelos diferentes, um para cada agregado do Balanço de Pagamentos brasileiro. Os resultados apontam que o ciclo de alta dos preços das commodities influenciou significativamente a entrada de dividas externas no Brasil, sendo que os efeitos mais expressivos ocorrem via comércio e entrada de capitais de curto prazo.
This study analyzes the influence of the recent cycle of high commodity prices on foreign capital inflows in Brazil. To achieve this goal, it was used two different econometric methodologies: Markov-Switching Model and Vector Error Correction Model (VAR/VEC). The first model was used to define the cycle of high commodity prices and to check if this period is concomitant to the raise period of foreign capital inflows in Brazil. The results show that the recent period of high commodity prices occurs between the years 2002 and 2014, which is the last year of the sample used in this research. Moreover, the estimated high regime for exports, Foreign Direct Investment and Foreign Portfolio Investment, which are the three main aggregates of the Balance of Payments representing the inflow of foreign capital in the country occur in similar periods to that observed for the series of commodity prices. From these results, the influence of higher commodity prices on foreign capital inflows in Brazil was analyzed through the use of VAR/VEC methodology for the period between 2002 and 2014, from the estimation of three different models, one for each aggregate of the Balance of Payments. The results show that the cycle of high commodity prices significantly influenced the foreign capital inflows in Brazil, with the most significant effects occur via trade and short-term capital inflows.
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Ben, Halima Bassem. "Préférences inter-temporelles et qualité de l’insertion professionnelle : trois applications microéconométriques." Thesis, Lyon 2, 2010. http://www.theses.fr/2010LYO22014/document.
Full textAbstract:
En opposant "la passion pour la jouissance présente" au "désir d’améliorer notre condition", Adam Smith soulignait dès 1776, l’importance capitale des préférences inter temporelles pour expliquer la richesse et la prospérité économique des nations. Au niveau microéconomique, la modélisation des choix inter temporels conduit à s’intéresser au taux d’intérêt psychologique que revendique un agent économique lorsqu’il doit arbitrer, entre une unité de consommation présente et une unité de consommation future. L’arbitrage inter temporel et les effets de l’impatience sont présents dans deux des principaux modèles comportementaux en économie du travail : la théorie du capital humain et la théorie de la recherche d’emploi. Toutefois, dans la plupart des modèles issus de ces deux théories, la prise en compte des préférences inter temporelles est confrontée à deux problèmes. Le premier problème est lié à la modélisation des préférences inter temporelles qui se limite à la simple introduction d’un facteur d’actualisation. Le deuxième problème est que les comportements de préférence pour le présent relèvent pour l’économètre du domaine des facteurs d’hétérogénéité inobservable. Lors de cette thèse, nous abordons une dimension particulière du rôle des préférences inter temporelles sur la qualité de l’insertion sur le marché du travail. Plus précisément, nous avons à mettre en lumière l’impact des préférences inter temporelles (impatience) sur le taux de sortie du chômage, sur l’hétérogénéité des issues lors de la transition du chômage à l’emploi et enfin sur la décision de suivre une formation professionnelle et ses conséquences sur le salaire dans l’emploiBy contrasting "the passion for present enjoyment" to "desire to improve our condition", Adam Smith pointed out in 1776, the importance of intertemporal preferences to explain the wealth and prosperity of nations. In the microeconomic, the intertemporal choices modelling leads to analyse of psychological interest rate expressed by the economic agent when he trades off between present consumption unit and future consumption unit. Intertemporal trade-off and impatience effects are present in two major behavioural models in labour economics: human capital theory and job search theory. However, in the most models of these theories, the intertemporal preference analysis presents two problems. The first problem is related to intertemporal preferences modelling, which is limited to only the introduction of a discount factor. The second problem is that the impatience behaviour is unobservable factor in the econometrics studies. In this thesis, we focus a particular aspect of intertemporal preferences role on the quality of labour market insertion. Specifically, we highlight the impact of intertemporal preferences (impatience) on the exit rate from unemployment, on the different destinations in the transition from unemployment to employment, and finally, on the decision to pursue vocational training and its impact on wages in employment
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Cergibozan, Raif. "La prévision des périodes de stress fiscal : le rôle des indicateurs fiscaux, financiers et de gouvernance." Thesis, Paris 10, 2018. http://www.theses.fr/2018PA100143/document.
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L’Europe a subi la crise la plus sévère de sa récente histoire à la suite de la crise financière globale de 2008. C’est pourquoi cette thèse a l’objectif d’identifier de façon empirique les déterminants de cette crise dans le cadre de 15 principaux membres de l’UE. Dans ce sens, nous développons d’abord un index de pression fiscale continu, contrairement aux travaux empiriques précédents, afin d’identifier des périodes de crise dans les pays UE-15 de 2003 à 2015. Ensuite, nous utilisons trois différentes techniques d’estimation, à savoir Cartes auto-organisatrices, Logit et Markov. Nos résultats d’estimation démontrent que notre indicateur de crise identifie le timing et la durée de la crise de dette dans chacun des pays de UE-15. Résultats empiriques indiquent également que l’occurrence de la crise de dette dans l’UE-15 est la conséquence de la détérioration de balances macroéconomiques et financières sachant que les variables comme le ratio des prêts non-performants sur les crédits totaux du secteur bancaire, la croissance du PIB, chômage, balance primaire / PIB, le solde ajusté du cycle PIB. De plus, variables démontrant la qualité de gouvernance tel que participation et responsabilisation, qualité de la réglementation, et de l'efficacité gouvernementale, jouent également un rôle important dans l’occurrence et sur la durée de la crise de dette dans le cadre de l’UE-15. Étant donne que les résultats économétriques indiquent l’importance de la détérioration fiscale dans l’occurrence de la crise de dette européenne, nous testons la convergence fiscale des pays membre de l’UE. Les résultats montrent que Portugal, Irlande, Italie, Grèce et Espagne diverge des autres pays de l’UE-15 en termes de dette publique / PIB alors qu’ils convergent, à part la Grèce, avec les autres pays membres de l’UE-15 en termes de déficit budgétaires / PIBEurope went through the most severe economic crisis of its recent history following the global financial crisis of 2008. Hence, this thesis aims to empirically identify the determinants of this crisis within the framework of 15 core EU member countries (EU-15). To do so, the study develops a continuous fiscal stress index, contrary to previous empirical studies that tend to use event-based crisis indicators, which identifies the debt crises in the EU-15 and the study employs three different estimation techniques, namely Self-Organizing Map, Multivariate Logit and Panel Markov Regime Switching models. Our estimation results show first that the study identifies correctly the time and the length of the debt crisis in each EU-15-member country by developing a fiscal stress index. Empirical results also indicate, via three different models, that the debt crisis in the EU-15 is the consequence of deterioration of both financial and macroeconomic variables such as nonperforming loans over total loans, GDP growth, unemployment rates, primary balance over GDP, and cyclically adjusted balance over GDP. Besides, variables measuring governance quality, such as voice and accountability, regulatory quality, and government effectiveness, also play a significant role in the emergence and the duration of the debt crisis in the EU-15. As the econometric results clearly indicate the importance of fiscal deterioration on the occurrence of the European debt crisis, this study also aims to test the fiscal convergence among the EU member countries. The results indicate that Portugal, Ireland, Italy, Greece, and Spain diverge from other EU-15 countries in terms of public debt-to-GDP ratio. In addition, results also show that all PIIGS countries except for Greece converge to EU-10 in terms of budget deficit-to-GDP ratio
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Chang, Hsiu-Ju, and 張秀如. "Inflation, Endogenous Growth and Regime Switching the Monetary Policy." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/90046695492123368599.
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碩士嶺東科技大學
財務金融研究所
98
This research explains that the policy of fixed money growth rate implemented by monetary authorities could not cope with the increased in inflation rate due to supply chain interference. Hence, they adopt fixed inflation rate to overcome this economy downturn. This research applies the regime reform analysis tool on the monetary endogenous growth model developed by Lai, Chen and Shaw (2005) to investigate the effect of implementation of fixed inflation rate to current economy situation. The study reveals that the inflation rate has dropped and production growth rate has improved after the countermeasure action. Hence, fixed inflation rate policy is effective to stabilize the economy in this situation.
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Jeon, Yoontae. "High Frequency Trading in a Regime-switching Model." Thesis, 2010. http://hdl.handle.net/1807/25636.
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One of the most famous problem of finding optimal weight to maximize an agent's expected terminal utility in finance literature is Merton's optimal portfolio problem. Classic solution to this problem is given by stochastic Hamilton-Jacobi-Bellman Equation where we briefly review it in chapter 1. Similar idea has found many applications in other finance literatures and we will focus on its application to the high-frequency trading using limit orders in this thesis. In [1], major analysis using the constant volatility arithmetic Brownian motion stock price model with exponential utility function is described. We re-analyze the solution of HJB equation in this case using different asymptotic expansion. And then, we extend the model to the regime-switching volatility model to capture the status of market more accurately.
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Hsu, Yi-Fan, and 許一凡. "A regime-switching model of Taiwan stock market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/11070840095257543067.
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Yu, Shu-Ting, and 喻書庭. "Option Pricing Forecasting under Regime-Switching GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/57063419804727017083.
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碩士東海大學
經濟系
98
In this article we will present an empirical analysis by comparing different implied volatility results forecast under GARCH Model. For dealing with the structural changes occurring in Taiwan financial market, we apply Taiwan Weighted Stock Index-Option (TXO) to parameter regimes of different probability levels. In addition, Innovation Outliers Model is also considered for reason that the presence of breaking events always impacts market participants’ investment performance. The conclusion of this study is that the Regime-Switching GARCH Option Pricing Model having incorporated Innovation Outliers Model can improve forecast effectiveness and give better results.
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Ma, Zongming Jr. "An Option Pricing Model with Regime-Switching Economic Indicators." 2013. http://hdl.handle.net/10222/36253.
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Although the Black-Scholes (BS) model and its alternatives have been widely applied
in finance, their flaws have drawn the attention of many investors and risk managers.
The Black-Scholes (BS) model fails to explain the volatility smile. Its alternatives,
such as the BS model with a Poisson jump process, fail to explain the volatility
clustering. Based on the literature, a novel dynamic regime-switching option-pricing
model is developed in this thesis, to overcome the flaws of the traditional option pricing
models. Five macroeconomic indicators are identified as the drivers of economic
states over time. Two regimes are selected among all likely numbers of regimes under
the Bayes Information Criterion (BIC). Both in-sample and out-of-sample tests are
constructed to examine the prediction of the model. Empirical results show that the
two-state regime-switching option-pricing model exhibits significant prediction power.
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Chen, Yi Huei, and 陳怡慧. "Target Redemption Forward Price in Markov Regime Switching Model." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/73630581398051236735.
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碩士國立清華大學
計量財務金融學系
104
Our research focus on Target Redemption Forward in Exotic. We use Markov regime switching model to simulate the exchange price, and compare whether static price is reasonable or not. We assume that there are two regimes(regime0, regime1), and fix one regime and variate the other regime in different probability to find the present price. We also find the price changes in different maturity.
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Chang, Jingzhi. "A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS." Thesis, 2013. http://hdl.handle.net/10222/42696.
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This thesis studies a dynamic Select Sector SPDRs ETFs portfolio optimization problem. The objective of the optimization model is to maximize the risk-adjusted expected return of a portfolio similar to a logarithmic utility maximization. The conditional value-at-risk measure is chosen to be an additional risk exposure constraint. The vector auto-regression (1) regime-switching economic factor model estimated with the expectation-maximization algorithm is employed to identify different market regimes over time. The expected ETFs returns and their variance-covariance matrix used in the objective function of the optimization model are generated by a regime-switching asset pricing model. Both regime-switching models have proven to be superior to respective single-regime models due to their greater predictive ability. The optimized portfolio performance evaluated by Sharpe ratio, Treynor ratio and Jensen’s alpha are all statistically significant compared to those of the equally weighted ETFs portfolio and S&P 500 stock index. This illustrates that incorporating the regime-switching technique, the portfolio optimization model is effective and successful under both bull and bear market conditions.
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Yuan, Jun. "A MULTIFACTOR REGIME SWITCHING MODEL FOR COUNTRY EXCHANGE-TRADED FUNDS." 2011. http://hdl.handle.net/10222/14235.
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This thesis explores the returns of country exchange-traded funds (ETFs) with regime switching risk factors. Using the Bayesian information criterion, I select the model with six risk factors and three states among other models.The estimation results show that both the returns of country ETFs and their sensitivities to risk factors are highly regime dependent.Firstly, the U.S. size and value factors are significant in explaining all selected ETFs across regimes. More specifically, small capitalization is associated with lower returns for seven ETFs in some regimes. High book-to-market ratio generates higher returns for all ETFs in most regimes.
Secondly, the global stock market has a positive impact on all selected country ETFs. Thirdly, all ETFs returns are negatively correlated to market volatility in bull and bear markets. Fourthly, stronger U.S. dollar generates a higher return for US ETF and lower returns for other seven ETFs across regimes. Finally, the returns of Australia, Canada and UK ETFs, which invest heavily in materials, are positively affected by commodity prices while other ETF returns are negatively influenced by them across regimes.
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Chang, Wei-Chih, and 張維之. "Regime-Switching Model with Demand Process in Electricity Price Forecasting." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/69769911052735569060.
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碩士國立中央大學
統計研究所
100
Modeling the electricity price has become a popular issue in energy market due to the rise of electricity derivatives. Regime-switching model have been introduced to electricity market in Huisman and Mahieu (2003) , And has been confirmed its outperformance by comparing to other models in many studies. Under the regime-switching model, prices become hard to forecast due to the unknown current states in the future. In this paper we involve the demand process to improve the forecasting performance under different model assumptions. We collect one-year day-ahead prices in PJM market and compare the forecasting result with two different regime assumption models.
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Chen, Lu Yen, and 陳律延. "Markov Regime-Switching Asymmetric GARCH model and Evaluation of TXO." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/00878642324285446502.
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碩士長庚大學
企業管理研究所
97
In this paper we compare the classic Generalized Autoregressive Conditional Heteroscedasticity models with the ones linked Markov Regime switching model together in terms of their goodness of fit of TAIEX and forecastability of price of TXO by B-S model. Not only normal but also fat-tailed leptokurtic conditional distributions for the innovations are assumed, and the degrees of freedom can switch between the different regimes to draw time-varying kurtosis. The goodness of fit of the competing models are evaluated with the value of maximum likelihood function, AIC, and SBC. However, the forecasting performances of them are measured by the statistical loss functions. To obtain an official outcome on statistic, we apply nonparametric Wilcoxon signed rank test to ensure some model is significantly better than the others. The empirical result demonstrates that MRS-GARCH family do overall outperform GARCH family in fitting TAIEX, forecasting volatility, and reducing the inaccuracy of the evaluation of TXO in B-S option pricing model.
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Wei, Yang Tsung, and 楊宗瑋. "The discussion of regime switching model and optimal hedge ratios." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/12548088372396583329.
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碩士南台科技大學
財務金融系
94
This research primarily uses Markov Regime Switching model to investigate the optimal hedge ratio between Taiwan Stock Index and Taiwan Future Exchange (TAIFEX). In the past researches, when it comes to hedge ratio between spot and future markets, Bivariate-GARCH model is often used. This is because that Bivariate-GARCH model is able to catch the interaction between these two markets.On the other hand, Alizadeh and Nomikos（2004）claimed that there may be different regimes in the interaction between stock index and index future. Therefore, hedge ratios may depend on different regimes. Also, Sarno and Valente（2000）found Regime Switching Model outperforms OLS when investigating the relationship between stock index and index futures price. Thus, this research examines the optimal hedge ration in TAIFEX with Markov Regime Switching model.This research also takes Random Coefficient Autoregressive model (RCAR) and other models into consideration, such as Bivariate GARCH model, OLS, and Naïve, to compare the hedge efficiency between all models. Finally, the empirical result shows: RCAR outperforms other models in-sample, and MRS model is next to it; asymmetric Bivariate GARCH has better out-of-sample performance than other models, and RCAR Model is only second to it. Therefore, this research suggests that investors will be able to enhance efficiency in hedge strategy if they could take account of different regimes.
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Huang, Chien-Chung, and 黃建中. "Volatility and Efficient Frontier under Hidden Markovian Regime Switching Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/77qk4m.
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碩士國立交通大學
統計學研究所
106
Portfolio theory and market trend play important roles in economics. In this thesis, our research can be divided into two parts. First, we use the data about US S&P 500 index and the Weighted Price Index of the Taiwan Stock Exchange to predict the bear and bull stock market and estimate the appreciation rates and volatilities for them . Second, we discuss the constructor of Markowitz efficienct frontier under regime switching model and hidden Markovian regime switching model. Ling Zhang suggests that the volatilities should be consistent with hidden regime switching. Thus, we conduct some simulations to examine the performance of Markowitz efficient frontier under the different volatilities.
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Xie, Shuichang. "A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS." 2012. http://hdl.handle.net/10222/15424.
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In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the regime-dependent correlations between stock and bond returns. Specifically, I start with a comprehensive asset pricing model, i.e., a regime-switching multifactor model, and then investigate the regime-dependent correlations between stock and bond returns. Based on the BIC, the number of regimes in the regime-switching model is optimally determined to be two. For the two regimes, the directions of the regime-dependent correlations appear to be significantly different. Also, the magnitudes of the regime-dependent correlations are substantially larger in these two regimes than the correlation in the single regime.
With my findings in the regime-dependent correlations, I then examine the performance of portfolio strategies. Throughout the in-sample and out-of-sample tests, I find that the two portfolio strategies, regime inferred portfolio and probability implied portfolio, can outperform the benchmark, S&P 500.
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An-Chieh, Lee, and 李安傑. "Asset Allocation of Using Economic Indicators and Markov-Regime Switching Model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/05600966398288940353.
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碩士國立臺北商業技術學院
財務金融研究所
101
This research builds two models—vector autoregression and Markov-regime switching—to discuss the effect of economic indicators on Taiwan’s stock market and asset allocation of bull and bear markets. The first model, vector autoregression(VAR), is applied to research how economic indicators affect Taiwan’s stock market. With forecast error variance decomposition of VAR model, the next month’s trend of stock market will be forecasted by decomposed weights of economic indicators. Moreover, by backtesting the signal of forecast error variance decomposition, the cumulative return is better than the return of buy-and-hold strategy. Under the situation of knowing the next month’s trend of stock market, the second model, Markov-regime switching model, is utilized to estimate the parameters and residuals of market model. Additionally, by using residual model and Markowitz’s mean-variance model, the portfolio of Taiwan’s eight sectors in bull market and bear market will be constructed as expecting the return of portfolio is superior to the return of market. In conclusion, all of the cumulative return, Sharpe ratio, and Treynor ratio cannot be superior to the return of market.
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Lin, Shih-Shan, and 林詩珊. "VIX Volatility Wavelet-CEV Model-----Using Regime Switching and Wavelet Analysis." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/98824892123640019643.
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碩士國立交通大學
財務金融研究所
93
The purpose of this research is to model the volatility index, VIX, formulated by CBOE using the concept of Regime Switching and piecewise linear structure. I adopt the Wavelet analysis to inspect the properties of CEV parameters in the stochastic volatility model. Generally speaking, volatility is relatively high in the bear market and low in the bull market. The converging rate on average is higher in the bull market than that in the bear market. Wavelet analysis which can deal with the unusual structure change in the market enables the parameter estimation to be correctly specified.
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Banerjee, Tamal. "Analyzing Credit Risk Models In A Regime Switching Market." Thesis, 2012. http://etd.iisc.ernet.in/handle/2005/2517.
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Recently, the financial world witnessed a series of major defaults by several institutions and investment banks. Therefore, it is not at all surprising that credit risk analysis have turned out to be one of the most important aspect among the finance community. As credit derivatives are long term instruments, it is affected by the changes in the market conditions. Thus, it is a appropriate to take into consideration the effects of the market economy. This thesis addresses some of the important issues in credit risk analysis in a regime switching market. The main contribution in this thesis are the followings:
(1) We determine the price of default able bonds in a regime switching market for structural models with European type payoff. We use the method of quadratic hedging and minimal martingale measure to determine the defaultble bond prices. We also obtain hedging strategies and the corresponding residual risks in these models. The defaultable bond prices are obtained as solution to a system of PDEs (partial differential equations) with appropriate terminal and boundary conditions. We show the existence and uniqueness of the system of PDEs on an appropriate domain.
(2) We carry out a similar analysis in a regime switching market for the reduced form models. We extend some of the existing models in the literature for correlated default timings. We price single-name and multi-name credit derivatives using our regime switching models. The prices are obtained as solution to a system of ODEs(ordinary differential equations) with appropriate terminal conditions.
(3) The price of the credit derivatives in our regime switching models are obtained as solutions to a system of ODEs/PDEs subject to appropriate terminal and boundary conditions. We solve these ODEs/PDEs numerically and compare the relative behavior of the credit derivative prices with and without regime switching. We observe higher spread in our regime switching models. This resolves the low spread discrepancy that were prevalent in the classical structural models. We show further applications of our model by capturing important phenomena that arises frequently in the financial market. For instance, we model the business cycle, tight liquidity situations and the effects of firm restructuring. We indicate how our models may be extended to price various other credit derivatives.
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Chao, Chaio-Kuang, and 趙皎光. "Analysis of Real Interest Rates and Inflation Rate Under Regime Switching Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/92493185263051093099.
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Lin, Yi-xian, and 林宜嫻. "Comparisons between the Markov Regime-Switching Model and the Black-Scholes Model: Evidence from TGO." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/90693101123514524698.
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碩士國立高雄第一科技大學
金融研究所
100
Black-Scholes model is famous for pricing , but there are many unrealistic assumptions in this model, such as: the volatility is a constant ,the stock price is a lognormal distribution, and its return is a normal distribution. But in real world, the volatility is not a constant and the return is not a normally distribution, it always has many phenomenon, such as skewed, fat-tail and leptokurtic. Hamilton(1989) proposed the Markov Regime - Switching Model can solve these problems as skewed, fat-tail and leptokurtic effectively. And Hardy (2001) proposed that the two states Markov Regime-Switching Model is better than three states Markov Regime - Switching Model. So we use the two states Markov Regime-Switching Model in this paper. After the parameters in Markov Regime-Switching Model be found by maximum likelihood method, then compare the difference between the TGO settlement price and the price of the Black-Scholes model and the Markov Regime-Switching model, and evidence from TGO . If we compare that mean sum of square and mean absolute value, then the results showed that the Black-Scholes model is better than the Markov Regime-Switching Model; but just compare the difference between the settlement price and the theoretical price of each data , Markov Regime-Switching Model is better than the Black-Scholes model.
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謝以軒. "The Impact of Family Patterns on Household Expenditure—An Application of Endogenous Switching Regression Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/32444061660391350844.
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碩士佛光大學
經濟學系
98
This study is to improve inferential biases caused by estimation of each parameter of the family expenditure function of nuclear and non-nuclear families with the Ordinary Least Squares (OLS). Because every family can evaluate its family expenditure in two different situations by itself to see which one has more comparison benefit, then decide if changing family status. We adapt Endogenous Switching Regression Model, and use the data “Taiwan Social Change Survey 2007, Phase 5, Wave 3” from the Institute of Sociology, Academia Sinica. The importance of the endogenous switching regression model is to endogenize family type, which is the extraneous variable of effecting family expenditure. Why choose family type as endogenous variables, rather than general variable such as age, sex and level of education? It is because of that family type not only will directly influence the family expenditure, but more also may effect working situation, and then influence family expenditure. Through the endogenous switching regression model, we get the related coefficient of the nuclear family and non-nuclear family’s working situation. It shows that both family types are different symbols relations. The nuclear family whose occupation is self-runner has higher family expends. The possible reason could be that himself/herself is the owner, has higher incomes and more flexible time to arrange recreational activity. On the contrary, the opposite has no time to do recreational activity and therefore effects family expends. Regarding to the nuclear family which has saving behavior, because both parties of couple are easier to carry out the family financial managing plans and they also have plans on family expends, therefore they have more expend ability and family expends. As a result, if different family types have high income and well family financial managing plans, it is positive help for family fortune. This essay manifests the differences of family expends between nuclear and non-nuclear families. Therefore, while planning family financial management, every family type should consider the relativity and characteristic between nuclear and non-nuclear family types.
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Shyu, Ming-Kuang, and 徐明洸. "The Impact of Retirement on Household Leisure Expenditures - Application with the Endogenous Switching Regression Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/u2vs6u.
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碩士佛光大學
經濟學系
96
We derived the endogenous switching regression model (ESRM) to solve the independent variables which sample selection lead to a biased inference about we estimated the retired household of the leisure expenditure equation and near retired household of the leisure expenditure equation with the OLS, because of the household heads would have been evaluated between the differences of the retired or unretired situation on leisure expenditures. We used the data from the Academia Sinica Research Program Center Databases Resources one of the 2006 Survey of Family Income and Expenditure Consumer Expenditure. The empirical result shows that household head had been transferred to be a retiree which was decided by the criterion function and didn’t relate to education which was to be the symbol the social, but reference with the family income, characteristic family, home ownership, physical situation, the presence of a social security system, the effect of alternative policies on retirement behavior, the expected to lifetime etc. After the household heads retired which impacted on the leisure activities, have been differed from the unretired household, so they had to cut down the leisure expenditures. On the other hand, if the household heads doesn’t retire and still work in the job market, so they will spend more money on leisure expenditures for taking a vacation or going abroad. The household heads compared with the conditional of retired and near-retired who were to be a retiree and choice to engage in leisure activities and consume recreational goods, those will get the utility above the average level of expectation. The household heads transferred to be a retiree and will spend more money on leisure expenditures or be accomplished the planning of travel round the world who retired have above-average expected object from retirement. Alternatively, the near-retired household heads who have held the home ownership, unworried about their living, who could arrange the journey to take a vacation who unretired have above-average expected object from unretirement. This study provides the independent of the self-selection and the differentiate between the retired household and near-retired household, also provides information to researchers, policy makers, financial counselors, and business managers who focus on the leisure expenditures of retired and near-retired households.
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Busch, Michael [Verfasser]. "Optimal investment for a large investor in a regime-switching model / Michael Busch." 2011. http://d-nb.info/1011156199/34.
Full text
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Donnelly, Catherine. "Convex duality in constrained mean-variance portfolio optimization under a regime-switching model." Thesis, 2008. http://hdl.handle.net/10012/4004.
Full textAbstract:
In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal wealth, subject to a terminal wealth constraint and convex portfolio constraints. The regime-switching is modeled using a finite state space, continuous-time Markov chain and the market parameters are allowed to be random processes. The solution to this problem is of interest to investors in financial markets, such as pension funds, insurance companies and individuals.
We establish the existence and characterization of the solution to the given problem using a convex duality method. We encode the constraints on the given problem as static penalty functions in order to derive the primal problem. Next, we synthesize the dual problem from the primal problem using convex conjugate functions. We show that the solution to the dual problem exists. From the construction of the dual problem, we find a set of necessary and sufficient conditions for the primal and dual problems to each have a solution. Using these conditions, we can show the existence of the solution to the given problem and characterize it in terms of the market parameters and the solution to the dual problem.
The results of the thesis lay the foundation to find an actual solution to the given problem, by looking at specific examples. If we can find the solution to the dual problem for a specific example, then, using the characterization of the solution to the given problem, we may be able to find the actual solution to the specific example.
In order to use the convex duality method, we have to prove a martingale representation theorem for processes which are locally square-integrable martingales with respect to the filtration generated by a Brownian motion and a finite state space, continuous-time Markov chain. This result may be of interest in problems involving regime-switching models which require a martingale representation theorem.