Dissertations / Theses on the topic 'Forecast error variance decomposition'
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Agbenyegah, Benjamin K. "An econometric approach to measuring productivity: Australia as a case study." Thesis, Curtin University, 2007. http://hdl.handle.net/20.500.11937/219.
Full textRafiq, Shuddhasattwa. "Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/693.
Full textAgbenyegah, Benjamin Komla. "An econometric approach to measuring productivity : Australia as a case study /." Curtin University of Technology, School of Economics and Finance, 2007. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=17375.
Full textThis study finds that Australia experienced productivity growth in the 1950s, a slow down in the mid 1960s, a very strong productivity growth in the mid 1990s and another slowdown from 2000 onwards. The study finds evidence that human capital, FDI and ICT are very strong determinants of long-run GDP and productivity growth in Australia. The study finds that the three, four and the five factor models are likely to give better measures of productivity performance in Australia as these models recognise human capital, FDI and ICT and include them as separate factors in the production function, This study finds evidence that the previous studies on the Australia’s productivity puzzle have made a very significant omission by not considering human capital, FDI and ICT as additional exogenous variables and by excluding them from the production function for productivity analysis.
Lanagan, Gareth Daniel Edward. "Weather forecast error decomposition using rearrangements of functions." Thesis, Aberystwyth University, 2012. http://hdl.handle.net/2160/b489892f-7607-4125-90fb-46d8376edf8f.
Full textWolff, Laion. "RELAÇÃO ENTRE AS DEZ PRINCIPAIS BOLSAS DE VALORES DO MUNDO E SUAS CO-INTEGRAÇÕES." Universidade Federal de Santa Maria, 2011. http://repositorio.ufsm.br/handle/1/8207.
Full textGlobalization provoked in financial markets by means stock exchanges an interchange among the markets over the world. The aim of this study was to examine the relationship of the ten major main economic index of the world represented in New York (DJIA, S&P500 e Nasdaq), Tokyo (NIKKEI 225), London (FSTE 100), São Paulo (IBOV), Shanghai (SSE180), Paris (CAC-40), Frankfurt (DAX-30) and Buenos Aires (Merval) and looking for its co-integration, to demonstrate the behavior of these indexes and the long run equilibrium, from January of 2010 to March of 2011. To investigate the equilibrium and the long rum behavior the error correction model was used jointly with co-integration test and impulse response based on Cholesky decomposition. The results of this study show that the index of stock markets has long term equilibrium, and American markets, Argentina and English showed a strong influence over other markets. With this research we can infer that a relationship exists between the stock markets under study, confirming that the economy in a country can influence the others. In this sense, the contribution of this study, given this range of discussions involving the interconnection of economies with respect to trades made on the stock exchanges, was to show the relationships and influences in the world.
A internacionalização somada à abertura dos mercados financeiros transformou as economias antes fechadas em economias abertas, provocou um intercâmbio entre as economias mundiais por meio das bolsas de valores. O objetivo deste estudo é examinar a relação entre os dez principais índices econômicos do mundo, sendo eles: Nova York (DJIA, S&P500 e Nasdaq), Tóquio (Nikkei 225), Londres (FSTE 100), São Paulo (IBOV), Shangai (SSE180), Paris (CAC), Frankfurt (DAX-30) e Bueno Aires (Merval), por meio da análise de co-integrações para demonstrar o comportamento desses índices e seus equilíbrios no período de janeiro de 2010 a março de 2011. Para investigar e verificar o comportamento em longo prazo, foi utilizado o modelo de correção de erros e teste de impulso-resposta baseado na decomposição de Cholesky. Os resultados deste estudo mostram que existe equilíbrio em longo prazo entre os índices do mercado de ações. Os mercados americano, argentino e inglês mostraram forte influência sobre os demais mercados. Com esta pesquisa, verifica-se que existe uma relação entre os mercados de ações estudados, confirmando que a economia de um país influencia as demais. A contribuição deste estudo é verificar a assertiva das discussões atuais sobre a dependência das economias mundiais com as negociações por meio da bolsa de valores.
Singh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis." Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.
Full textGolab, Anna. "An investigation into the volatility and cointegration of emerging European stock markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.
Full textAkpan, Nkereuwem I. "The Impact of External Shocks on Nigeria’s GDP Performance within the Context of the Global Financial Crisis." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17454.
Full textGonçalves, Daniel Fernandes. "Business cycle dynamics across Europe: a cluster analysis." Master's thesis, 2016. http://hdl.handle.net/10071/13216.
Full textThis dissertation aims to analyze the dynamics of business cycles across European countries between 1960Q1 and 2016Q1. For such purpose we identify country-groups of national deviation cycles through Hierarchical Agglomerative Clustering with the Ward’s method. The clustering technique suggests the existence of three country-groups, which include, aside from other countries, France and Spain in Cluster 1, United Kingdom and Denmark in Cluster 2 and Germany and Italy in Cluster 3. We execute an extensive analysis on business cycle stylized facts, synchronization and turning points detection over the clusters’ deviation cycles. Further on, we analyze the propagation of economic shocks through a VAR model, over which we study Granger-causalities, Impulse Response Functions and Forecast Error Variance Decomposition. Our results show that both Cluster 1 and Cluster 2 share similar cyclical characteristics when compared to Cluster 3. Nevertheless, Cluster 1 and Cluster 3 appear to be the most synchronous pair, and simultaneously verify the largest proportion of time spent in the same cyclical phase. We show that there has been an increasing business cycle synchronization in Europe since the beginning of the 90’s. The structural analysis shows that Cluster 1 and Cluster 2 have the strongest permanent cumulative shocks, whereas Cluster 3 induces not only the weakest impulses but also explains the smallest fraction of the counterparts’ forecast error variance decomposition. These conclusions question the "German Dominance" hypothesis and allow the identification of alternative major economic propellers in Europe.
A presente tese pretende analisar as dinâmicas dos ciclos económicos na Europa no período compreendido entre 1960Q1 e 2016Q1. Como tal, procedemos à identificação de grupos de ciclos económicos nacionais através de Clusterização Hierárquica Aglomerativa com o método de Ward. A Clusterização sugere a existência de três grupos que incluem, além de outros países, França e Espanha no Cluster 1, Reino Unido e Dinamarca no Cluster 2, e Alemanha e Itália no Cluster 3. Analisamos as principais características, sincronização e cronologia de pontos de inflexão dos ciclos económicos dos clusters. Estudamos ainda a propagação de choques económicos com um modelo VAR, sobre o qual concluímos sobre causalidade à Granger, funções de impulso-resposta e decomposição de variância. Os resultados mostram que o Cluster 1 e Cluster 2 apresentam maiores semelhanças nas características dos seus ciclos quando comparados ao Cluster 3. Simultaneamente, o Cluster 1 e Cluster 3 apresentam quer o maior nível de sincronização quer a maior fração de tempo partilhada na mesma fase cíclica. Concluímos também que o nível de sincronização dos ciclos económicos na Europa apresenta uma tendência crescente, especialmente após os anos 90. A análise estrutural conclui que o Cluster 1 e Cluster 2 produzem os choques permanentes mais fortes, enquanto que o Cluster 3 induz os impulsos mais fracos, além de explicar a menor parte da decomposição de variância do erro de previsão dos restantes. As presentes conclusões questionam a hipótese de "Domínio Alemão" e permitem a identificação de outros propulsores económicos na Europa.
Xu, Jin. "Essays in Financial Econometric Investigations of Farmland Valuations." Thesis, 2013. http://hdl.handle.net/1969.1/150974.
Full textAlfaro, Leonel Murillo. "Automated time series demand forecast for luxury fashion online retail company." Master's thesis, 2020. http://hdl.handle.net/10362/93779.
Full textDemand forecasting for a retail company in luxury fashion is a challenging process due to the highly complex and demanding customer profile. As the company keep growing, more and more partners are demanding the expected volume of orders for better operational capacity planning and to justify the return of their investment. This project aims to create an automatic and scalable forecasting process to ensure customer experience and partnership profitability. By studying decomposition time series forecasting taking in consideration the customer behavior, a machine learning process can be applied for parameters tuning depending on customer clusters based on geolocation and marketing events. The proposed process has shown forecast accuracy number up to 90% for non-sale season and 84% for sale season periods, reducing the forecasting time in 88% versus the previous forecast process and increasing the partner coverage from 20% to 100%. Acknowledging that this forecast process is a continuous learning process, the foundation of a robust supply chain planning was created building trust in the organization and adding value to the partners.
Meniago, Christelle. "Financial crisis and household indebtedness in South Africa : an econometric analysis / Christelle Meniago." Thesis, 2012. http://hdl.handle.net/10394/16193.
Full textThesis (M.Com.( Economics) North-West University, Mafikeng Campus, 2012
Wu, Hui Ying, and 吳蕙瑛. "Greek Credit Crisis on the Causal Relationship Change between the Exchange Rate, the Gold Price, the Oil Price, the Interest Rate and the Price Level and to Study the Forcast Error Variance Decomposition of the Impulse Response - VAR Model Application." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/72393131891752701622.
Full text僑光科技大學
企業管理研究所
100
This research is to explore the Greek debt crisis to the causal relationship change between the exchange rate, the gold price, the oil price, the interest rate and the price level, and to study the forcast error variance decomposition of the impulse response. After the Chow forecast test, the partition cointegration test and VECM model and VAR model, we find: From January, 2001 to November, 2009, the cointegration relationship between the exchange rate, the gold price, the oil price and the interest rate,the price level. From December, 2009 to November, 2011, the cointegration relationship between the exchange rate, the gold price, the oil price and the interest rate and the price level don’t exist. The Greek debt crisis enables the exchange rate no longer to affect the price level, instead it is influenced by the interest rate. The gold price doesn’t longer be affected by the oil price and price level, instead it is influenced by the interest rate. The oil price no longer affects the exchange rate, the gold price and the interest rate, instead it will be influenced by interest rate. The interest rate doesn’t longer be affected by the oil price, but it affects the exchange rate, gold price and oil price. The price level no longer affects the gold price, and it will not be affect by other variables. As for the Greek debt crisis creates the non-anticipated impact variation of the exchanger rate will cause the explanatory ability of oil price, the interest rate and price level raising , the explanatory ability of the exchange rate and the gold price declining. And for the non-anticipated impact variation of the gold price, the explanatory ability of the exchange rate, the oil price, the interest rate and the price level will raise, the explanatory ability of the gold price weaken. And for the non-anticipated impact variation of the oil price, the explanatory ability of the exchange rate, the interest rate and price level will raise, the explanatory ability of the gold price weaken, and the first falling then rising for the explanatory ability of the oil price. And for the non-anticipated impact variation of the interest rate, the explanatory ability of the exchange rate, the oil price will raise, the explanatory ability of the gold price, interest rate and the price level weaken. And for the non-anticipated impact variation of the price level, the explanatory ability of the exchange rate, the gold price the oil price and interest rate will raise, the explanatory ability of the price level weaken.
Booysen, Chris. "Credit growth, asset prices and financial stability in South Africa :|ba policy perspective / Chris Booysen." Thesis, 2013. http://hdl.handle.net/10394/10502.
Full textMCom (Economics), North-West University, Potchefstroom Campus, 2013
Nchoe, Kgomotso Charlotte. "Effect of foreign direct investment inflows on economic growth : sectoral analysis of South Africa." Diss., 2016. http://hdl.handle.net/10500/21691.
Full textEconomics
M. Com. (Economics)