Dissertations / Theses on the topic 'Foreign Econometric models'
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1
Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.
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According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.
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Hillman, Robert J. T. "Econometric modelling of nonlinearity and nonstationarity in the foreign exchange market." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264846.
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Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.
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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.
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Liu, Siyang, and 劉巳洋. "Essays on spillover effects from foreign direct investment in China and internal promotions in the government of Qing China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B39321368.
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Calver, Robin Barnaby. "Macroeconomic and Political Determinants of Foreign Direct Investment in the Middle East." PDXScholar, 2013. https://pdxscholar.library.pdx.edu/open_access_etds/1074.
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This study argues that governments with sustained GDP growth, open markets, low country risk, high levels and low standard deviation of government performance, and few or no occurrences of war, will see larger levels of foreign direct investment (FDI) over time. Scholarship on the determinants of FDI variously argues the influence of GDP growth, the openness of a country's economy, a government's level of political capacity, the level of country risk, and the negative effects of inter-, intra- and extrastate conflict. These studies on the various effects on FDI, while providing insightful and substantial statistical results, fail to capture the simultaneous effects of macroeconomic, government performance, country risk, and war variables. The present study attempts to resolve this gap in the literature on FDI by proposing a multi-dimensional model of the combined effects of un-weighted macroeconomic, political, country risk, and war variables on FDI flows over time. The empirical results confirm the expected multi-dimensional nature of FDI flows over time and provide insight into the macroeconomic and political effects on regional and country-level yearly flows of FDI, as well as yielding some unexpected and counter-intuitive results of the role war plays on FDI flows over time.
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Walter, Jason Michael. "Determinants of Bilateral Trade between the United States and Japan." Thesis, North Dakota State University, 2010. https://hdl.handle.net/10365/29311.
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The objective of this study is to evaluate the effects of macroeconomic policy variables on bilateral trade between the United States and Japan. An auto-regressive distributed lag model is developed to estimate the effects of government economic policies on four commodity groups: agriculture; materials and chemicals; machinery and transport equipment; and manufactured goods. Results indicate that monetary policy significantly affects U. S. and Japanese imports of manufactured goods and transport equipment. The results also show that changes in government expenditure have a significant long-run effect on U.S. imports of manufactured goods and Japanese imports of materials and chemicals, while the long-run
effects of income and exchange rates are significant for most commodity groups.
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李寶昇 and Po-sing Li. "The study of the combination of technical analysis and qualitative model in financial forecasting." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31269035.
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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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McDonald, Mark F. J. "An investigation into the dynamics of correlation networks in the foreign exchange market." Thesis, University of Oxford, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.670178.
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Keibah, M. S. "An econometric investigation of international labour migration in Libya : A comparison of equilibrium and disequilibrium models." Thesis, University of Leeds, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.379224.
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區寶樹 and Po-shu Au. "The evolution of multinational enterprises: afour-level hierarchy of needs model and econometric analysis ofdeterminants of the Hong Kong SAR as an international investmentlocation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242820.
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Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.
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Sichula, Mwembe. "Impact of the global financial crisis and its implications for the Zambian banking sector: an econometric study." Thesis, University Of Cape Town, 2018. http://hdl.handle.net/11427/29936.
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The research examines how the banking sector in Zambia faired in the wake of the global
financial crisis, and the ensuing global recession that followed. Even prior to the crisis,
weaknesses within the Zambian Banking sector were already identified by a World Bank/IMF financial sector assessment. The research therefore aims to gain a better understanding of the potential destabilizing factors to the Zambia Banking sector, and provide key players (Policymakers, Regulators and Banks) with knowledge on how best to manage and overcome these adverse effects, in times of a financial crisis. A Vector Error Correction Model (VECM) is estimated using commonly identified macroeconomic and banking sector indicators from selected Anglophonic African countries that were affected by the crisis at the time. The selected variables include, Return on Assets (ROA); Non-Performing Loans (NPL); Foreign Assets (FA); Interbank Lending Rate (IBLR); Liquidity (LQD); Credit to Private Sector (PRV); Foreign Exchange Rate (FOREX); Inflation (INFL); Copper Price (CU); and a ‘dummy’ variable (CRISIS). The direction of causality between the variables is further established using the VAR Granger Causality Test. Results of the model suggests that although the CRISIS was found to cause the ROA, it had no significant effect on its outcome, implying that overall the crisis had very little effect on the Zambian banking sector’s profitability. It was the liquidity (LQD) variable instead which was found to have a significant effect on the ROA. In times of a financial crisis, it is therefore recommended that policy makers and regulators apply more stringent regulatory and monetary policy instruments. This would counter the adverse effects on the liquidity and profitability of the Banking sector, and thus ensure its stability.
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Walker, Sébastien. "Essays in development macroeconomics." Thesis, University of Oxford, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712398.
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Tsu, Maria E. "Dynamic analysis of an open economy and foreign exchange risk management using path-dependent options." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-06112009-063829/.
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Mateus, Márcio Filipe Mendes. "Measuring what matters in foreign direct investment." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10099.
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Mestrado em Econometria Aplicada e PrevisãoGeralmente os investigadores centram a sua análise nos determinantes do Investimento Direto Estrangeiro (IDE) agregado. Não obstante, existe evidência que o setor de atividade ao qual o IDE se destina é um aspecto relevante e que o IDE direcionado ao setor dos bens não transacionáveis tende a agravar os desequilíbrios externos dos países recetores. Esta tese difere da generalidade dos estudos realizados focando-se apenas no IDE direcionado ao setor dos bens transacionáveis. Os resultados sugerem que países com um grande mercado interno, uma maior abertura económica ao exterior, um elevado nível de produtividade e boas instituições são mais propensos a receber IDE no setor dos bens transacionáveis. Os resultados sugerem também que a distância física não representa um obstáculo tão difícil de transpor para o IDE direcionado ao setor dos bens transacionáveis como parece representar para o IDE agregado. A partilha de uma fronteira comum entre dois países, nomeadamente, não parece ter qualquer impacto na atração de IDE para o sector dos bens transacionáveis, ainda que parece ter na atração do IDE agregado. Este trabalho utiliza um modelo de gravidade modificado para comparar diferentes métodos, especificações e variáveis, a fim de obter resultados robustos.
Researchers usually investigate the determinants of aggregated Foreign Direct Investment (FDI), although there is evidence that the sectoral distribution of FDI matters and that too much FDI in the non-tradable sector can exacerbate external imbalances. This thesis differs from most of existing studies on FDI determinants by focusing on tradable sector FDI. I show that countries with a large market size, a higher degree of economic openness, a higher productivity level and good institutions are more likely to receive FDI in the tradable sector. I also show that physical distance does not represent an obstacle so hard to transpose for tradable sector FDI as it seems to represent to aggregated FDI. In contrast with results of empirical studies on aggregated FDI, share a common border does not seem to have an impact on the attraction of FDI to the tradable sector. This thesis uses a modified gravity model to compare different methods, specifications and variables in order to obtain robust results.
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Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.
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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domestic prices in Kenya. In addition, it takes into account the direction and size of changes in the exchange rates to determine whether the exchange rate fluctuations are symmetric or asymmetric. The thesis uses quarterly data ranging from 1993:Ql - 2008:Q4 as it takes into account the period when the process of liberalization occurred. The empirical estimation was done in two stages. The first stage was estimated using the Johansen (1991) and (1995) co integration techniques and a vector error correction model (VECM). The second stage entailed estimating the impulse response and variance decomposition functions as well as conducting block exogeneity Wald tests. In determining the asymmetric aspect of the analysis, the study followed Pollard and Coughlin (2004) and Webber (2000) frameworks in analysing asymmetry with respect to appreciation and depreciation and large and small changes in the exchange rate to import prices. The results obtained showed that ERPT to Kenya is incomplete but relatively low at about 36 percent in the long run. In terms of asymmetry, the results showed that ERPT is found to be higher in periods of appreciation than depreciation. This is in support of market share and binding quantity constraints theory. In relation to size changes, the results show that size changes have no significant impact on ERPT in Kenya.
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Chimhini, Joseline. "International portfolio diversification with special reference to emerging markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2001. https://ro.ecu.edu.au/theses/1076.
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This study evaluates the potential benefits that investors obtain from diversifying their portfolios into emerging markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing in these markets using cross section and time series data. An international capital asset pricing model (ICAPM) with time varying moments developed by Harvey (1991) is adopted. The conditional asset-pricing model, which takes into account prevailing world economic factors, was used. The Generalized Methods of Moments (GMM) is used to test the model. Results indicate that some markets have become more integrated to the world markets than they were in the 1980s and other which failed to open their economies fully have become more segmented. The thesis looks at regional markets of Latin America, Africa Sub-Sahara, Middle East and North Africa, East Europe and Asia. A number of authors have looked at the emerging markets of Asia and Latin America but little is known about the African, Middle East and East Europe markets. The innovation of this research is it looked at the behavior of assets in all regional global markets and sees if they behave differently.
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Malek, Mansour Jeoffrey H. G. "Three essays in international economics." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210878.
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This thesis consists in a collection of research works dealing with various aspects of International Economics. More precisely, we focus on three main themes: (i) the existence of a world business cycle and the implications thereof, (ii) the likelihood of asymmetric shocks in the Euro Zone resulting from fluctuations in the euro exchange rate because of differences in sector specialization patterns and some consequences of such shocks, and (iii) the relationship between trade openness and growth influence of the sector specialization structure on that relationship.Regarding the approach pursued to tackle these problems, we have chosen to strictly remain within the boundaries of empirical (macro)economics - that is, applied econometrics. Though we systematically provide theoretical models to back up our empirical approach, our only real concern is to look at the stories the data can (or cannot) tell us. As to the econometric methodology, we will restrict ourselves to the use of panel data analysis. The large spectrum of techniques available within the panel framework allows us to utilize, for each of the problems at hand, the most suitable approach (or what we think it is).
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished
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Senzangakhona, Phakama. "The impact of oil price volatility on unemployment: a case study of South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/1697.
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This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric results show that crude oil prices are positively related to unemployment in the long run while the opposite is true in the short run. Parameter estimates and variables are statistically significant; hence there are also policy recommendations which are related to both empirical and theoretical literature. Lastly, impulse response functions show that unemployment returns to equilibrium in the long run when crude oil price changes whereas real interest rates followed by crude oil prices explain most of unemployment changes compared to other variables in the long run.
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Fischer, Manfred M., Nico Pintar, and Benedikt Sargant. "Austrian Outbound Foreign Direct Investment in Europe: A spatial econometric study." The Romanian Regional Science Association, 2016. http://epub.wu.ac.at/5118/1/V1011.MMFischer.pdf.
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This paper focuses on Austrian outbound foreign direct investment (FDI, measured by sales of Austrian affiliates abroad) in Europe over the period 2009-2013, using a spatial Durbin panel data model specification with fixed effects, and a spatial weight matrix based on the first-order contiguity relationship of the countries and normalised by its largest eigenvalue. Third-country effects essentially enter the empirical analysis in two major ways: first, by the endogenous spatial lag on FDI (measured by FDI into markets nearby the host country), and, second, by including an exogenous market potential variable that measures the size of markets nearby the FDI host country in terms of gross domestic product. The question whether the empirical result is compatible with horizontal, vertical, export-platform or complex vertical FDI then depends on the sign and significance levels of both the coefficient of the spatial lag on FDI and the direct impact estimate of the market potential variable.
The paper yields robust results that provide significant empirical evidence for horizontal FDI as the main driver of Austrian outbound FDI in Europe. This result is strengthened by the indirect impact estimate of the mark
et potential variable indicating that spatial spillovers do not matter. (authors' abstract)
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Wolden, Bache Ida. "Econometrics of exchange rate pass-through /." Oslo : Unipub, 2007. http://www.gbv.de/dms/zbw/527973297.pdf.
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Ajagbe, Stephen Mayowa. "An analysis of the long run comovements between financial system development and mining production in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002689.
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This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in order to ensure that the developments within the financial systems impact appropriately on the mining sector, and ultimately on the economy. In addition to using the conventional proxies of financial system development, this study utilises the principal component analysis (PCA) to construct an index for the entire financial system. The multivariate cointegration approach as proposed by Johansen (1988) and Johansen and Juselius (1990) was then used to estimate the relationship between the development of the financial systems and the mining sector production for the period 1988-2008. The study reveals mixed results for different measures of financial system development. Those involving the banking system show that a negative relationship exists between total mining production and total credit extended to the private sector, while liquid liabilities has a positive relationship. Similarly, with the stock market system, mixed results are also obtained which reveal a negative relationship between total mining production and stock market capitalisation, while a positive relationship is found with secondary market turnover. Of all the financial system variables, only that of stock market capitalisation was found to be significant. The result with the financial development index reveals that a significant negative relationship exists between financial system development and total mining sector production. Results on the other variables controlled in the estimation show that positive and significant relationships exist between total mining production and both nominal exchange rate and political stability respectively. Increased mining production therefore takes place in periods of appreciating exchange rates, and similarly in the post-apartheid era. On the other hand, negative relationships were found for both trade openness and inflation control variables. The impulse response and variance decomposition analyses showed that total mining production explains the largest amount of shocks within itself. Overall, the study reveals that the mining sector might not have benefited much from the development in the South African financial system.
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Papadopoulos, Socrates l. "An economic analysis of foreign tourism to Greece. An examination of the growth and structure of foreign tourism to Greece 1960-84 with a planning model and marketing policy recommendations." Thesis, University of Bradford, 1985. http://hdl.handle.net/10454/4984.
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Tourism - in particular its determinants and effects - is an issue presently attracting
much attention worldwide.
International tourism is considered to be the largest single item of the world's
foreign trade and for some countries it is the most important export industry and
earner of foreign exchange. In addition to its economic significance, tourism
contributes to the quality of life. It produces intangible benefits which are directly
related to the physical and psychological health of people, and the enjoyment of the
right to rest and free time. This applies with equal validity to both domestic and
international tourism; the latter establishing international economic, political and
socio-cultural links, as well as strengthening the domestic character of a nation. At
the individual level, tourism satisfies the need to travel in search for relief from the
stress of work and the routine of daily life in the big urban centres. At macro
(country) level, tourism is, therefore, a human and economic activity which concerns
most of us in many parts of the world, directly or indirectly.
One country for which foreign tourism is of considerable importance is Greece.
In order to identify likely supply constraints (e. g. tourist accommodation and basic
infrastructure) and to establish the major market segments of Greek tourism, the
growth and structure of foreign tourism in Greece between 1960 and 1984 is
examined. Special attention is given to the magnitude of tourism in Greece and its
economic effects on the national economy. The non-economic effects of tourism
are also considered. This is followed by the construction of a tourist profile so that
the types of foreign visitors that go to Greece are identified. Subsequently, an
econometric model is developed and empirical results provided to explain foreign
tourist arrivals in Greece and to assess the impact of promotional expenditure by
the Greek National Tourist Organisation in a number of foreign tourist generating
markets. Finally, a tourism marketing planning model is devised which highlights
the main variables affecting the international tourism marketing policies of the
Greek National Tourist Organisation and, in particular, empirical results are used in
conjunction with- a tourism market choice matrix for selecting market targeting
strategies.
The major conclusion emerging from the research is that as the tourist industry in
Greece is of vital importance, the adoption of a strategic, interdisciplinary and
integrated tourism planning process along with the establishment of a tactically
orientated task unit could provide important improvements in the effectiveness and
contribution of tourism in Greece.
A few proposals regarding future policies by the Greek authorities are made, such as
the establishment of a co-ordinating body orchestrating the efforts of the
appropriate groups relevant to the multifaceted nature of tourism.Economic and Social Research Council (ESRC)
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Wang, Bruce Chang-Ming. "Structural breaks and regime switching models : theoretical extensions and applications /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/7476.
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Papadopoulos, Socrates loamou. "An economic analysis of foreign tourism to Greece : an examination of the growth and structure of foreign tourism to Greece 1960-84 with a planning model and marketing policy recommendations." Thesis, University of Bradford, 1985. http://hdl.handle.net/10454/4984.
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Tourism - in particular its determinants and effects - is an issue presently attracting much attention worldwide. International tourism is considered to be the largest single item of the world's foreign trade and for some countries it is the most important export industry and earner of foreign exchange. In addition to its economic significance, tourism contributes to the quality of life. It produces intangible benefits which are directly related to the physical and psychological health of people, and the enjoyment of the right to rest and free time. This applies with equal validity to both domestic and international tourism; the latter establishing international economic, political and socio-cultural links, as well as strengthening the domestic character of a nation. At the individual level, tourism satisfies the need to travel in search for relief from the stress of work and the routine of daily life in the big urban centres. At macro (country) level, tourism is, therefore, a human and economic activity which concerns most of us in many parts of the world, directly or indirectly. One country for which foreign tourism is of considerable importance is Greece. In order to identify likely supply constraints (e. g. tourist accommodation and basic infrastructure) and to establish the major market segments of Greek tourism, the growth and structure of foreign tourism in Greece between 1960 and 1984 is examined. Special attention is given to the magnitude of tourism in Greece and its economic effects on the national economy. The non-economic effects of tourism are also considered. This is followed by the construction of a tourist profile so that the types of foreign visitors that go to Greece are identified. Subsequently, an econometric model is developed and empirical results provided to explain foreign tourist arrivals in Greece and to assess the impact of promotional expenditure by the Greek National Tourist Organisation in a number of foreign tourist generating markets. Finally, a tourism marketing planning model is devised which highlights the main variables affecting the international tourism marketing policies of the Greek National Tourist Organisation and, in particular, empirical results are used in conjunction with- a tourism market choice matrix for selecting market targeting strategies. The major conclusion emerging from the research is that as the tourist industry in Greece is of vital importance, the adoption of a strategic, interdisciplinary and integrated tourism planning process along with the establishment of a tactically orientated task unit could provide important improvements in the effectiveness and contribution of tourism in Greece. A few proposals regarding future policies by the Greek authorities are made, such as the establishment of a co-ordinating body orchestrating the efforts of the appropriate groups relevant to the multifaceted nature of tourism.
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Amer, Islam S. S. "Foreign Exchange Rate Transaction Exposure in Emerging Insurance Markets: A Model of the Egyptian Insurance Market." Thesis, University of Bradford, 2013. http://hdl.handle.net/10454/7333.
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Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets.
An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant?
Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.
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Au, Po-shu. "The evolution of multinational enterprises : a four-level hierarchy of needs model and econometric analysis of determinants of the Hong Kong SAR as an international investment location /." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?
Full text
30
Amer, Islam Samy Soliman. "Foreign exchange rate transaction exposure in emerging insurance markets : a model of the Egyptian insurance market." Thesis, University of Bradford, 2013. http://hdl.handle.net/10454/7333.
Full textAbstract:
Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets. An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant? Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.
31
Galgau, Olivia. "Essays in international economics and industrial organization." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210773.
Full textAbstract:
The aim of the thesis is to further explore the relationship between economic integration and firm mobility and investment, both from an empirical and a theoretical perspective, with the objective of drawing conclusions on how government policy can be used to strengthen the positive impact of integration on investment, which is crucial in moving and maintaining countries at the forefront of the technology frontier and accelerating economic growth in a world of rapid technical change and high mobility of ideas, goods, services, capital and labor.The first chapter aims to bring together the literature on economic integration, firm mobility and investment. It contains two sections: one dedicated to the literature on FDI and the second covering the literature on firm entry and exit, economic performance and economic and business regulation.
In the second chapter I examine the relationship between the Single Market and FDI both in an intra-EU context and from outside the EU. The empirical results show that the impact of the Single Market on FDI differs substantially from one country to another. This finding may be due to the functioning of institutions.
The third chapter studies the relationship between the level of external trade protection put into place by a Regional Integration Agreement(RIA)and the option of a firm from outside the RIA block to serve the RIA market through FDI rather than exports. I find that the level of external trade protection put in place by the RIA depends on the RIA country's capacity to benefit from FDI spillovers, the magnitude of set-up costs of building a plant in the RIA and on the amount of external trade protection erected by the country from outside the reigonal block with respect to the RIA.
The fourth chapter studies how the firm entry and exit process is affected by product market reforms and regulations and impact macroeconomic performance. The results show that an increase in deregulation will lead to a rise in firm entry and exit. This in turn will especially affect macroeconomic performance as measured by output growth and labor productivity growth. The analysis done at the sector level shows that results can differ substantially across industries, which implies that deregulation policies should be conducted at the sector level, rather than at the global macroeconomic level.
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished
32
Leibrecht, Markus, and Aleksandra Riedl. "Taxes and infrastructure as determinants of Foreign Direct Investment in Central and Eastern European Countries revisited: New evidence from a spatially augmented gravity model." WU Vienna University of Economics and Business, 2010. http://epub.wu.ac.at/2949/1/workingpaper42_leibrecht_online.pdf.
Full textAbstract:
A bulk of empirical literature has emerged that explores the role of various location factors as determinants of Foreign Direct Investment (FDI) in Central and Eastern European Countries (CEECs). A notable feature of these studies is that their empirical approaches abstract from third-country (spatial) effects in FDI across the home and host country dimensions. Neglecting these effects could bias
results concerning the role of location factors for attracting FDI. This in turn may lead to misguided economic policy conclusions. The current paper adds to the literature by applying the recently proposed spatial "origin-destinationow model" of LeSage and Pace (2008) to FDI ows from 7 Western OECD home countries to 8 CEE host countries. Controlling for country-pair and time effects our results indicate that (a) spatial interactions across the host country dimension matter for FDI revealing that vertical complex FDI ows dominate total FDI
ows to CEECs; (b) spatial autocorrelation in the home country dimension is absent; (c) results of previous studies remain valid as coefficient estimates on location factors change only slightly when spatial interdependencies are considered and (d) effective corporate income taxes and the endowment with production-related material infrastruc-
ture are statistically and economically signifficant determinants of FDI in CEECs. (author's abstract)Series: Discussion Papers SFB International Tax Coordination
33
"Exchange rate regime and monetary independence of four newly industrialized economies in East Asia." 2007. http://library.cuhk.edu.hk/record=b5893305.
Full textAbstract:
Lam, Lai Fong.Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.
Includes bibliographical references (p. 47-50).
Abstracts in English and Chinese.
ABSTRACT --- p.ii
ACKNOWLEDGEMENTS --- p.iv
LIST OF TABLES --- p.vi
LIST OF FIGURES --- p.vi
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- LITERATURE REVIEW --- p.6
Chapter III --- THE EXCHANGE RATE REGIMES OF THE FOUR NIES --- p.10
Review of the Exchange Rate Regimes of the Four NIEs
Frankel-Wei Regression
Chapter IV --- METHODOLOGY --- p.19
Measurement of the Monetary Independence
Specification of Model
Chapter V --- EMPIRICAL RESULTS --- p.2?
Unit Root Test
The Endogeneity Test
Cointegration Test and Error Correction Model
Chapter VI --- CONCLUSIONS --- p.37
APPENDICES --- p.41
BIBLIOGRAPHY --- p.47
TABLES --- p.51
FIGURES --- p.59
34
"Cointegration and model selection on foreign exchange markets." 1998. http://library.cuhk.edu.hk/record=b5889711.
Full textAbstract:
by Wai-Man Leung.Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 107-112).
Abstract also in Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Problems of Cointegration Analysis --- p.1
Chapter 1.2 --- Contributions of this Research --- p.2
Chapter 1.3 --- Applications of this Research --- p.3
Chapter 1.4 --- Organization of this Thesis --- p.3
Chapter 2 --- Foreign Exchange Features --- p.5
Chapter 2.1 --- Spot Exchange Rate Markets --- p.5
Chapter 2.2 --- Development of International Monetary System --- p.6
Chapter 2.3 --- Determinants of Foreign Exchange Rates --- p.7
Chapter 2.4 --- Description of Foreign Exchange Data --- p.9
Chapter 3 --- Literature Overview --- p.17
Chapter 3.1 --- Model Selection --- p.17
Chapter 3.2 --- Line and Curve Detection......................................................' --- p.20
Chapter 3.3 --- Concluding Remarks --- p.23
Chapter 4 --- Regression by Minor Component Analysis --- p.24
Chapter 4.1 --- Regression by Ordinary Least Squares --- p.24
Chapter 4.2 --- Regression by Total Least Squares --- p.27
Chapter 4.3 --- The comparison of PCA and MCA --- p.28
Chapter 4.4 --- Experiment 4A : Regression on Artifical Data --- p.29
Chapter 4.5 --- Experiment 4B : Regression on FX Data --- p.30
Chapter 4.6 --- Concluding Remarks --- p.32
Chapter 5 --- Cointegration Test by Minor Component Analysis --- p.33
Chapter 5.1 --- Concept of Cointegration --- p.33
Chapter 5.2 --- MCA Based Cointegration Test --- p.34
Chapter 5.3 --- Experiment 5B : Cointegration Test on FX Data --- p.36
Chapter 5.4 --- Concluding Remarks --- p.38
Chapter 6 --- Model Selection by Minor Component Analysis --- p.44
Chapter 6.1 --- Hypothesis Test on Minor Component Coefficients --- p.44
Chapter 6.2 --- Experiment 6B : Forward Selection on FX Data --- p.46
Chapter 6.3 --- Experiment 6B : Backward Elimination on FX Data --- p.50
Chapter 6.4 --- Experiment 6C : MCA Based Selection on FX Data --- p.53
Chapter 6.5 --- Concluding Remarks --- p.54
Chapter 7 --- Cointegration by Modular MCA --- p.55
Chapter 7.1 --- Ordinary Modular MCA Based Cointegration --- p.56
Chapter 7.2 --- Experiment 8A : OMMCA on Artificial Data --- p.58
Chapter 7.3 --- Experiment 8B : OMMCA on FX Data --- p.63
Chapter 7.4 --- Variable-Dependent Modular MCA Method --- p.71
Chapter 7.5 --- "Experiment 8C : VMMCA on Artificial Data," --- p.73
Chapter 7.6 --- Experiment 8D : VMMCA on FX Data --- p.80
Chapter 7.7 --- Adaptive Modular MCA Based Cointegration --- p.89
Chapter 7.8 --- Experiment 8E : AMMCA on Artificial Data --- p.90
Chapter 7.9 --- Experiment 8F : AMMCA on FX Data --- p.94
Chapter 7.10 --- Concluding Remarks --- p.103
Chapter 8 --- Conclusions and Future Works --- p.105
35
"Exchange rate pass-through: evidence from Hong Kong imports." 1997. http://library.cuhk.edu.hk/record=b5889223.
Full textAbstract:
by Ng Yiu Hong.Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (leaves 77-80).
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- HONG KONG'S IMPORT PERFORMANCE --- p.5
Chapter THREE --- REVIEW OF THE LITERATURE --- p.9
The Elasticity Approach
Market Structure and Product Characteristics
Long-Run Profit Maximization
Hysteresis Models
Multinational Corporations and Intra-Firm Trade
Non-Tariff Barriers
Other Explanations
Chapter FOUR --- THE ANALYTICAL FRAMEWORK --- p.19
Chapter FIVE --- DATA AND ECONOMETRIC ANALYSIS --- p.22
Data
Econometric Analysis
Chapter SIX --- EMPIRICAL RESULTS --- p.33
Chapter SEVEN --- CONCLUSION --- p.40
TABLES --- p.43
APPENDIX --- p.64
BIBLIOGRAPHY --- p.77
36
Buncic, Daniel Economics Australian School of Business UNSW. "An examination of some statistical and economic models involving exchange rates." 2007. http://handle.unsw.edu.au/1959.4/40577.
Full textAbstract:
This dissertation is concerned with the examination of some widely employed nonlinear exchange rate models. In particular, its aim is to assess how well non-linear statistical models accommodate the theoretical implications contained in economic models and how well they are able to capture the empirical properties of the data. Chapter 2 gives a brief background to the concept of PPP and discusses the role of transaction costs in economic models, making it necessary to model exchange rates within a non-linear framework. Parametric as well as non-parametric statistical techniques are applied to a long time-series data set to give an indication of the empirical validity of non-linearity in real exchange rates. Wide threshold bands are found to be a common characteristic of real exchange rate data. Chapter 3 studies the fitness of the ESTAR model for real exchange rate modelling. It is shown that wide threshold bands in the empirical data necessitate a small transition function parameter in the exponential regime weighting function, leading to difficulties in the meaningful interpretation of regimes. When this occurs, it is also shown that the ESTAR model is weakly identified over the range of the sample data that one generally works with. These results are illustrated on an empirical data set by replicating the often cited study of Taylor et al. (2001). In Chapter 4 and Chapter 5 a number of non-linear models are evaluated. Simulation experiments indicate that LM style tests that are commonly employed in the literature to test for ESTAR non-linearity have a very low probability of rejecting the false null hypothesis of linearity when the true data generating process is in fact the ESTAR model of Taylor et al. (2001). It is further shown that, contrary to the claims of the recent study by Rapach and Wohar (2006), long-horizon forecasts from the ESTAR model converge to the unconditional mean of the series, so that there is no gain in utilising the ESTAR model for long-horizon forecasts. Studying the Markov switching model of Bergman and Hansson (2005) reveals that the model does not generate any non-linearity as predicted from economic models.
37
"Models for major exchange rates: estimation and forecasting." 1999. http://library.cuhk.edu.hk/record=b5889900.
Full textAbstract:
by Hou Ka Chun.Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 89-95).
Abstracts in English and Chinese.
LIST OF TABLES --- p.vii
LIST OF ILLUSTRATIONS --- p.viii
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- REVIEW OF THE LITERATURE --- p.6
Monetary Models
Nominal Exchange Rate Prediction
Nonparametric Estimation Techniques
Chapter III --- METHODOLOGY --- p.17
Unit-Root Tests
Zivot-Andrews Test
Error Correction Model
Autoregressive Distributed Lag (ARDL) Approach to Cointegration
Local Polynomial Fitting
Chapter IV --- DATA --- p.36
Chapter V --- PARAMETRIC MODELING --- p.39
Estimation Procedure
Empirical Findings
Japan
Germany
Britain
Chapter VI --- NONPARAMETRIC MODELING --- p.50
Estimation Procedure
Empirical Findings
Chapter VII --- CONCLUSION --- p.54
TABLES --- p.56
ILLUSTRATIONS --- p.77
BIBLIOGRAPHY --- p.89
38
"The profitability of trading rules in international currency market." 2004. http://library.cuhk.edu.hk/record=b5892217.
Full textAbstract:
Chiang Lok Man Cally.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 29-31).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Literature Review --- p.4
Chapter 2.1 --- Studies against the trading rule profits --- p.4
Chapter 2.2 --- Studies for the trading rule profits --- p.5
Chapter 3 --- Data Descriptions and Methodology --- p.8
Chapter 4 --- Empirical Results --- p.14
Chapter 4.1 --- First trading rule --- p.14
Chapter 4.2 --- Second trading rule --- p.19
Chapter 4.3 --- Comparison between the two trading rules --- p.23
Chapter 5 --- Other Related Results --- p.25
Chapter 6 --- Conclusions --- p.27
Reference --- p.29
Figure 1 - 12 --- p.32
Table 1 - 14 --- p.44
39
Kangwanpornsiri, Kanjanee. "A macroeconomic model of differential growth effects of national sectoral saving and foreign borrowing : an application to Thai data." Thesis, 1985. http://hdl.handle.net/10125/9610.
Full text
40
Dang, Ngoc Tu. "Choice between exchange rate band and corner solutions with imperfect credibility." Phd thesis, 2008. http://hdl.handle.net/1885/151011.
Full text
41
"Forecasting exchange rates using extended Markov switching models." Chinese University of Hong Kong, 1995. http://library.cuhk.edu.hk/record=b5888468.
Full textAbstract:
by Hok-hoi Fung.Thesis (M.Phil.)--Chinese University of Hong Kong, 1995.
Includes bibliographical references (leaves 58-59).
LIST OF TABLES --- p.ii
LIST OF FIGURES --- p.iii
CHAPTER
Chapter 1. --- INTRODUCTION --- p.1
Chapter 2. --- LITERATURE REVIEW --- p.3
Chapter 3. --- METHODOLOGY --- p.6
Formulation of the TVTP Model --- p.6
Filtered and Smoothed Probabilities --- p.9
Maximization of the Expected Log-likelihood --- p.13
Chapter 4. --- EMPIRICAL RESULTS --- p.15
The Simple 2-state Markov Switching Model --- p.15
The TVTP Model --- p.17
The 3-state Markov Switching Model --- p.26
Chapter 5. --- OUT - OF- SAMPLE FORECASTING --- p.34
Chapter 6. --- CONCLUSION --- p.40
APPENDICES --- p.42
BIBLIOGRAPHY --- p.58
42
Tekle, Binyam Yemane. "Productivity bias hypothesis in purchasing power parity : a Swiss-South African case, 1994-2003." Thesis, 2005. http://hdl.handle.net/10413/6839.
Full textAbstract:
Professors Bela Balassa and Paul Samuelson (1964) have made a significant contribution to the theories of exchange rate by bringing a new thinking to the most popular exchange rate model, Purchasing Power Parity (PPP). They have elucidated the contribution of productivity
in the determination of PPP. Accordingly, the emphasis of this thesis is Balassa and Samuelson’s Productivity Bias Hypothesis (PBH) in Purchasing Power Parity (PPP) and the application thereof to South Africa and Switzerland for the period 1994Q1 -2003Q4.
The productivity bias hypothesis that explains real exchange rate movements in terms of sectoral productivities rests on two components: firstly, it implies that the relative price of non-traded goods in each country should reflect the relative productivity of labour in the traded and non-traded goods sectors. Secondly, it assumes that purchasing power parity holds for traded goods. The deviation of PPP from the equilibrium exchange rate or the real exchange rate is directly related to the ratio of productivity in a counter country over that of the base country. With inter-country productivity differences believed to be smaller in the service sector than in the sectors producing goods and with the prices of traded goods equalised through arbitrage, the relative prices of non-traded goods (services) would be directly correlated with productivity levels in individual countries. The thesis employs stationarity and cointegration tests in order to determine the presence of long-term, equilibrium, relationship between PPP and productivity variables of the above-mentioned two countries.
The overall finding of this thesis is supportive of the productivity bias hypothesis in purchasing power parity concerning the two countries, South Africa and Switzerland. Accordingly, it has been found out that the deviation from equilibrium exchange rate can be explained by differences in productivity. Though currently being challenged by the service sector, South Africa’s manufacturing sector is assuming an important place in the economy. Given the need for improved competitiveness in the manufacturing sector, it is imperative that policy analysis and formulation render increased emphasis on efficiency and costeffectiveness. Such an integrated approach may aid not only in raising productivity but also in managing the intertwined socio-economic challenges of unemployment, poverty and inequality.Thesis (M.A.)-University of KwaZulu-Natal, Pietermaritzburg, 2005.
43
"Study on forward premium puzzle." Thesis, 2007. http://library.cuhk.edu.hk/record=b6074212.
Full textAbstract:
Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate, which is considered to defy economic intuition and possibly violate market efficiency. Rational explanations include non-stationary risk premia and econometric misspecifications, and the puzzle as a guide to profitable trading. Actually, the puzzle consists of three aspects of anomalies: volatility, persistence, and unbiasedness. The puzzle has not yet solved fully thus far.In the latter part of the thesis, we try to explore the behavioral aspects of the investors in the foreign currency markets (spot and forward markets). We discuss asset prices in an economy where investors derive direct utility from their consumption and adjust their utility based on the concept of habit formation and "catching up with Joneses", therefore explaining thus far the formidable unbiasedness anomaly to a certain extent. Simulation results exhibit properties similar to what has been observed in historical data.
This thesis suggests firstly that there may be no real puzzle. A simple model fits the data. Starting from examining the relations between the excess return of speculation in foreign currency forward markets and the change rates of the return rate on equity (stock) portfolio and the change rate of futures price on stock index as well as foreign currencies where the stock markets and futures market are active, publicly traded, and highly transparent markets, the source of the risk premia in the future change in spot rate has been analyzed in detail. We believe that the panel data analysis is in place for the puzzle based on its nature. In this thesis we find that the future change in spot foreign exchange rate correlate with both forward premium and especially the change rate in stock index or the change rate of futures settlement price on the stock index or on the currencies, which implies that the investors compare and employ the profitable opportunities across financial markets not just act in only one market such as just foreign exchange forward market, thus maximizing the utility or efficiency of their funds. In addition, the change rate of futures price has rather impacts on the excess return of speculation in forward currency markets, thus establishing the relation between OTC markets and publicly traded markets of foreign exchange.
Tan Yue.
"January 2007."
Adviser: Jia He.
Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4006.
Thesis (Ph.D.)--Chinese University of Hong Kong, 2007.
Includes bibliographical references.
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Abstract in English and Chinese.
School code: 1307.
44
"An endogenous growth model with students studying abroad." 2008. http://library.cuhk.edu.hk/record=b5893652.
Full textAbstract:
Chan, Sheung Tat.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 61-63).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Literature review --- p.5
Chapter 3 --- The model --- p.14
Chapter 3.1 --- The maximization problem --- p.14
Chapter 3.2 --- Steady state and balanced growth path --- p.19
Chapter 4 --- The analysis of the migration patterns and growth --- p.25
Chapter 4.1 --- Case when education efficiency is proportional to the technological effi- ciency --- p.29
Chapter 4.2 --- Case when foreign country has sufficiently large comparative advantage in technology --- p.34
Chapter 4.3 --- Case when bilateral migration occurs --- p.40
Chapter 5 --- Effect of the exogenous factors --- p.43
Chapter 6 --- Conclusion --- p.49
Chapter A --- Appendix: solving the endogenous growth model --- p.52
Chapter A.l --- Solving the endogenous growth model in general form --- p.52
Chapter A.2 --- Decision of the agents in the model --- p.54
Chapter A.3 --- Properties of the general form --- p.55
Chapter B --- Appendix: the steady state and balanced growth path --- p.57
List of Tables
Chapter 1 --- Pattern of migration --- p.64
Chapter 2 --- "The initial parameters for the first, second and third simulations" --- p.65
Chapter 3 --- Comparative statics for proposition 12 --- p.65
Chapter 4 --- Comparative statics for proposition 13 --- p.66
List of Figures
Chapter 1 --- Four migration patterns --- p.64
Chapter 2 --- Variables in the simulations --- p.66
Chapter 3 --- The home country in first simulation --- p.67
Chapter 4 --- The foreign country in first simulation --- p.68
Chapter 5 --- The growth analysis in first simulation --- p.69
Chapter 6 --- The home country in second simulation --- p.70
Chapter 7 --- The foreign country in second simulation --- p.71
Chapter 8 --- The growth analysis in second simulation --- p.72
Chapter 9 --- The home country in third simulation --- p.73
Chapter 10 --- The foreign country in third simulation --- p.74
Chapter 11 --- The growth analysis in third simulation --- p.75
45
Raguragavan, Jananee. "Foreign direct investment and its impact on the New Zealand economy : cointegration and error correction modelling techniques : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Economics at Massey University, New Zealand." 2004. http://hdl.handle.net/10179/1644.
Full textAbstract:
Ongoing globalisation has resulted in more liberalisation, integration, and competition among countries. An upshot of this has been higher levels of cross-border investment. Foreign direct investment (FDI), long considered an engine of growth, has led to widespread probe with its recent rapid spread. Nevertheless, while research on the contribution of FDI to host countries has concentrated heavily on the developed and developing economies, there has been a marked neglect of small, developed economies. This study proposes to focus on New Zealand, a country that falls within the latter category. The study seeks to verify econometrically the impact of FDI on the country through causality links with growth, trade, domestic investment and labour productivity. The analysis is based upon time-series data, the econometric techniques of single, autoregressive distributed lag (ARDL), and the multiple equations approach, vector error correction method (VECM). The study found that there have been substantial gains to the New Zealand economy. A positive effect of FDI on the variables mentioned above led to an improvement of the balance of payments through an increase in exports rather than in imports. Economic growth has mainly been achieved through FDI's impact on exports and domestic private investment. The dynamic innovation techniques indicated a bi-directional causality between FDI and the variables. The long-run causality, however, runs mainly from growth and labour productivity to FDI rather than in the opposite direction. Another noticeable feature is that New Zealand's regional agreement with Australia, Closer Economic Relations, has brought the country significant gains in terms of growth and development through FDI. Both the ARDL and VECM approaches suggest that for a small, developed country qualitative impacts are greater than quantitative ones. The policy implication is that maintaining sustainable economic growth with a positive domestic investment environment is vital for attracting foreign investors. New Zealand, while continuing to encourage inward FDI, should aim to channel it into 'innovative' tradable sectors. The challenge lies in providing the right kind of policy mix for this purpose.
46
Pham, Van Ha. "Essays on productivity and exchange rate dynamics : numerical methods and error-in-variable analysis." Phd thesis, 2006. http://hdl.handle.net/1885/151120.
Full text
47
Mynbaev, Kairat T. "Two essays in microeconomic theory and econometrics." Thesis, 1995. http://hdl.handle.net/1957/35191.
Full textAbstract:
The thesis contains two chapters which address questions important both for
the economic theory and applications.
In Chapter I we show that inequalities are an important tool in the theory of
production functions. Various notions of internal economies of scale can be
equivalently expressed in terms of upper or lower bounds on production functions. In
the problem of aggregation of efficiently allocated goods, if one is concerned with
two-sided bounds as opposed to exact expressions, the aggregate production function
can be derived from some general assumptions about production units subject to
aggregation. The approach used does not require smoothness or convexity properties.
In Chapter II we introduce a new forecasting techniques essential parts of
which include using average high-order polynomial estimators for in-sample fit and
low-order polynomial extension for out-of-sample fit. We provide some statements
following the Gauss-Markov theorem format. The empirical part shows that algebraic
polynomials treated in a proper way can perform very well in one-step-ahead
prediction, especially in prediction of the direction of exchange rate movements.Graduation date: 1995
48
"Legal determinants of the entry modes of foreign direct investment: a study of US outward FDI." 2005. http://library.cuhk.edu.hk/record=b5892594.
Full textAbstract:
Law Wing Fai.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves [151]-156).
Abstracts in English and Chinese.
ABSTRACT --- p.I
摘要 --- p.II
ACKNOWLEDGEMENT --- p.III
TABLE OF CONTENTS --- p.IV
Chapter CHAPTER ONE --- INTRODUCTION --- p.1
Background --- p.1
Purpose --- p.3
Organization --- p.4
Chapter CHAPTER TWO --- REVIEW OF THEORIES AND LITERATURE --- p.5
The Literature on Foreign Direct Investment --- p.5
The Literature on Legal Issues --- p.10
Chapter CHAPTER THREE --- METHODOLOGY --- p.17
Data Collection --- p.17
Control Variables in Detail --- p.20
Design of Regression Models --- p.26
Methodology --- p.28
Chapter CHAPTER FOUR --- THE EFFECTS OF LEGAL FACTORS ON INVESTMENT MODE SELECTION --- p.29
Rationale for the Study --- p.29
Fundamental Differences between Partial Acquisition and JV --- p.30
Importance of Legal Institutions in the Choice of M&A and JV --- p.33
Hypothesis on the Effects of Legal Factors on Investment Mode Selection --- p.34
Hypothesis on Legal Origin --- p.34
Hypothesis on Shareholder Protection --- p.36
Hypothesis on the Government Enforcement Efficiency --- p.39
Hypothesis on Securities Regulation --- p.42
Hypothesis on Accounting Standard and Corporate Transparency --- p.42
Hypothesis on Other Legal Issues --- p.43
Empirical Evidence for the Effects of Legal Factors on Investment Mode Selection --- p.45
Legal Origin --- p.45
Shareholder Protection --- p.48
Government Enforcement Efficiency --- p.50
"Securities Regulation, Accounting Standard and Corporate Transparency" --- p.52
Other Legal Issues --- p.54
Chapter CHAPTER FIVE --- THE EFFECTS OF LEGAL FACTORS ON OWNERSHIP PROPORTION DECISION --- p.57
Rationale for the Study --- p.57
Hypothesis on the Effects of Legal Factors on Ownership Proportion Decision --- p.57
Hypothesis on Legal Origin --- p.59
Hypothesis on Shareholder Protection --- p.59
Hypothesis on Government Enforcement Efficiency --- p.59
Hypothesis on Securities Regulation --- p.60
Hypothesis on Accounting Standard and Corporate Transparency --- p.60
Hypothesis on Legal Origin --- p.60
Hypothesis on Shareholder Protection --- p.60
Hypothesis on Government Enforcement Efficiency --- p.61
Hypothesis on Securities Regulation --- p.61
Hypothesis on Accounting Standard and Corporate Transparency --- p.61
Hypothesis on Other Legal Issues --- p.61
Empirical Evidence for the Effects of Legal Factors on Ownership Proportion Decision --- p.63
Legal Origin --- p.63
Shareholder Protection --- p.65
Government Enforcement Efficiency --- p.66
"Securities Regulation, Accounting Standard and Corporate Transparency" --- p.67
Other Legal Issues --- p.68
Chapter CHAPTER SIX --- DISCUSSION AND CONCLUSION --- p.70
TABLE --- p.73
Table 1: The Variables --- p.73
Table 2: Shareholder protection around the world --- p.82
Table 3: Government enforcement efficiency around the world --- p.85
"Table 4: Accounting standard, corporate transparency, securities regulation, mandatory bid rule and cross-border regulation around the world" --- p.88
Table 5A: Effect of legal origin on investment mode selection --- p.91
Table 5B: Effect of shareholder protection on investment mode selection --- p.93
Table 5C: Effect of government enforcement efficiency on investment mode selection --- p.95
"Table 5D: Effect of securities regulation, accounting standard and corporate transparency on investment mode selection" --- p.97
Table 5E: Effect of other legal issues on investment mode selection --- p.99
Table 6A: Effect of legal origin on investment mode selection (controlling the ex-post ownership proportion) --- p.101
Table 6B: Effect of shareholder protection on investment mode selection (controlling the ex-post ownership proportion) --- p.103
Table 6C: Effect of government enforcement efficiency on investment mode selection (controlling the ex-post ownership proportion) --- p.105
"Table 6D: Effect of securities regulation, accounting standard and corporate transparency on investment mode selection (controlling the ex-post ownership proportion)" --- p.107
Table 6E: Effect of other legal issues on investment mode selection (controlling the ex-post ownership proportion) --- p.109
Table 7A: Effect of legal origin on investment mode selection (Majority ownership sample) --- p.111
Table 7b: Effect of shareholder protection on investment mode selection (Majority ownership sample) --- p.113
Table 7C: Effect of government enforcement efficiency on investment mode selection (majority ownership sample) --- p.115
"Table 7D: Effect of shareholder protection, accounting standard and corporate transparency on investment mode selection (majority ownership sample)" --- p.117
Table 7E: Effect of other legal issues on investment mode selection (Majority ownership sample) --- p.119
Table 8 A: Effect of legal origin on investment mode selection (Minority ownership sample) --- p.121
Table 8B: Effect of shareholder protection on investment mode selection (Minority ownership sample) --- p.123
Table 8C: Effect of government enforcement efficiency on investment mode selection (minority ownership sample) --- p.125
Table 8D: Effect of legal origin on investment mode selection (Minority ownership sample) --- p.127
Table 8E: Effect of other legal issues on investment mode selection (Minority ownership sample) --- p.129
Table 9A: Effect of legal origin on ownership proportion selection (M&A sample) --- p.131
Table 9b: Effect of shareholder protection on ownership proportion selection (M&A sample) --- p.133
Table 9C: Effect of government enforcement efficiency on ownership proportion selection (M&A sample) --- p.135
"Table 9D: Effect of securities regulation, accounting standard and corporate transparency on ownership proportion selection (m&a sample)" --- p.137
Table 9E: Effect of other legal issues on ownership proportion selection (M&A sample) --- p.139
Table 10A: Effect of legal origin on ownership proportion selection (JV sample) --- p.141
Table 10B: Effect of shareholder protection on ownership proportion selection (JV sample) --- p.143
Table 10C: Effect of government enforcement efficiency on ownership proportion selection (jv sample) --- p.145
"Table 10D: Effect of securities regulation, accounting standard and corporate transparency on ownership proportion selection (jv sample)" --- p.147
Table 10E: Effect of other legal issues on ownership proportion selection (jv sample) --- p.149
BIBLIOGRAPHY --- p.151
APPENDIX --- p.157
Appendix 1: Summary statistics of the variables used in investigation of investment mode selection --- p.157
Appendix 2: Summary statistics of the variables used in investigation of ownership proportion selection (m&a sample) --- p.159
Appendix 3: Summary statistics of the variables used in investigation of ownership proportion selection (JV sample) --- p.161
"Appendix 4: Correlations of Shareholder Protection, Corporate Transparency, Securities Regulation and other legal issues" --- p.163
"Appendix 5: Correlations of Shareholder Protection, Government Enforcement Efficiency, Corporate Transparency, Securities Regulation and other legal issues" --- p.164
"Appendix 6: Correlations of Shareholder Protection, Government Enforcement Efficiency and other legal issues" --- p.165
Appendix 7: Correlations of firm-level and country-level control variables --- p.166
49
"Export elasticity to real exchange rate and urban-rural income inequality in China." 2012. http://library.cuhk.edu.hk/record=b5549098.
Full textAbstract:
本文主要研究實際匯率出口彈性對中國貧富懸殊的影響。我們使用了二十八個省份從1995年至2008年的數據。結果顯示實際匯率出口彈性愈高的省份其城鄉收入差距就會愈廣。另外，我們使用了各省的加工出口比例作為實際匯率出口彈性的工具變量。本文主要的貢獻在於分別地考慮出口數量和出口的商品種類來研究開放度對貧富懸殊的關係。在分開了出口數量和出口商品的種類對貧富懸殊的影響後，我們發現數據中呈現的中國對外開放度和貧富懸殊的正向關係，是基於出口商品的種類改變，而非如以前的文獻所說，是基於出口量的增長。因此，要決定一個省份的城鄉收入差距，該省份生產甚麼比其生產數量更重要。
This paper investigates the effect of export elasticity to real exchange rate and on urban-rural income disparity in China. We use annual data from 28 provinces from 1995 to 2008. The main finding is that provinces producing more elastic exported goods would have a higher urban-rural income inequality. We also construct the processing export ratio as an instrumental variable for the elasticity terms.
One main contribution of this paper is to consider separately the effect of export value and the composition of exports when we examine the relationship between openness and income inequality. After separating the effect of export value and the composition of exports, we find that the positive relationship between openness and income inequality mentioned in previous literature is caused by a change in export composition, rather than in export value. Hence, what the provinces produce matters much more than how much they produce when we determine urban-rural income inequality.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Chan, Ying Tung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2012.
Includes bibliographical references (leaves 32-34).
Abstracts also in Chinese.
ABSTRACT --- p.II
摘要 --- p.III
ACKNOWLEDGMENTS --- p.IV
Chapter 1 --- INTRODUCTION --- p.1
Chapter 1.1 --- OPENNESS AND INEQUALITY --- p.1
Chapter 1.2 --- COMPOSITION OF INCOME INEQUALITY IN CHINA --- p.2
Chapter 2 --- LITERATURE REVIEWS --- p.4
Chapter 2.1 --- LITERATURE ON THE CAUSE OF INCOME INEQUALITY IN CHINA --- p.4
Chapter 2.2 --- LITERATURE ON THE EFFECT OF OPENNESS ON INCOME INEQUALITY IN CHINA --- p.6
Chapter 2.3 --- LITERATURE ON THE COMPOSITION OF EXPORTS AND ECONOMIC GROWTH IN CHINA --- p.9
Chapter 3 --- DATA --- p.11
Chapter 4 --- REGRESSION MODEL --- p.12
Chapter 4.1 --- REGRESSION RESULT (WITHOUT THE ELASTICITY TERM) --- p.15
Chapter 4.2 --- ROLLING REGRESSION FOR ESTIMATING THE ELASTICITY TERMS --- p.17
Chapter 4.3 --- REGRESSION RESULT OF REGRESSION (1) --- p.19
Chapter 4.4 --- INSTRUMENTAL VARIABLE FOR THE ELASTICITY TERM --- p.20
Chapter 4.5 --- REGRESSION RESULT AFTER USING TWO-STAGE LEAST SQUARE (2SLS) --- p.23
Chapter 5 --- DISCUSSION --- p.24
Chapter 6 --- CONCLUSION --- p.29
REFERENCES --- p.32
50
Mahembe, Edmore. "Foreign direct investment inflows and economic growth in SADC countries : a panel data approach." Diss., 2014. http://hdl.handle.net/10500/14232.
Full textAbstract:
This dissertation examines the causal relationship between inward foreign direct investment (FDI)
and economic growth (GDP) in SADC countries. The study investigates, within a panel data
context, whether causation is short-term, long-term or both; and explores whether the causal
relationship between the two variables differs according to income level. The study covered a
panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal
relationship between FDI inflows and economic growth is dependent on the level of income, the
study divided the SADC countries into two groups, namely, the low-income and the middleincome
countries. The study used the recently developed panel data analysis methods to examine
this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel
cointegration and Granger causality to examine the dynamic causal relationship between the two
variables. Panel unit root results show that both variables in the two SADC country groups were
integrated of order one. Panel cointegration tests showed that the variables for low-income
country group were not cointegrated, while the variables for the middle-income countries were
cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome
country group were conducted within an ECM framework. Panel Granger causality results
for the low-income countries showed no evidence of causality in either direction. However, for
the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP
to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis
does not apply to SADC countries. The results imply that the recent high economic growth rates
recorded in the SADC region, especially middle-income countries, have been attracting FDI. In
other words, it is economic growth that drives FDI inflows into the SADC region, and not vice
versa. These findings have profound policy implications for the SADC region at large and
individual countries.Economics
MCOM (Economics)