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Hedlin, My. "To what extent do expansions of infrastructure construct economic growth?" Thesis, KTH, Fastigheter och byggande, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147581.
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This thesis shows that the relationship between economic growth and expansions of telephone main lines and electricity generating capacity is two-way, when looking at the period of 1955 - 1995 and half of the world's countries. In other words, expansions of these two kinds of infrastructure seem to both initiate and be induced by economic growth, highlighting the problem of much previous research that does not account for a bi-directional relationship. Furthermore, this research suggests that the effect that these two kinds of infrastructure have on economic growth was during this period great enough to be of policy interest, and it is likely that it can explain part of the vast differences seen between countries in GDP per capita today. While the impact that these two kinds of infrastructure had during this specific time will surely not be the same in the future, the results still point to a potentially important role for infrastructure expansions in determining economic growth, even though the kinds of infrastructure that have most impact will vary with time and technological progress.
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Ryhage, Marcus. "Dynamics of U.S. House Prices : A VECM Approach." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172358.
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This paper aims to analyze the U.S. house price dynamics to estimate a long-term equilibrium price level for the U.S. housing market, using fundamental underlying macroeconomic factors. For this, in line with the empirical literature, a vector error-correction model is employed. The results find a cointegrating relationship between the housing prices and its long-run driving factors: Residential Investment Ratio (RIR), Personal Disposable Income (PDI), and Construction Cost (CC), implying that these factors have a decisive role in determining equilibrium level of U.S. house prices. The estimated long-run equilibrium level suggests that the U.S. housing market is currently underpriced, which can bring some skepticism to our model. However, our model does manage to predict future house prices about one year in advance of the actual house price movement. Further, the slow rate of adjustment towards equilibrium testifies of a rigid housing market in the U.S.
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Le, Quyet. "Analys av en dynamisk bostadsmarknad : En tillämpning av VECM." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-58417.
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Cachapa, Filipe Miguel de Mira Ferreira Marques. "Os determinantes do preço do petróleo crude e o papel da especulação financeira." Master's thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/26519.
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O preço do barril de petróleo crude representa uma série temporal de elevada volatilidade, que tem sido alvo de estudo por parte de diversos autores e investigadores.
O estudo presente nesta dissertação de mestrado tem como objetivos: encontrar variáveis económicas e financeiras que influenciem significativamente o preço do barril de petróleo e ajudem a explicar as variações observáveis nessa série temporal; explorar o papel da especulação financeira relativamente à commodity em questão.
Para tal, recorreu-se a técnicas de modelação financeira que permitiram analisar a influência de variáveis fundamentadas na literatura. Obteve-se um modelo VECM relativo às variáveis que revelaram poder ter uma relação de longo prazo com a variável dependente, e ainda um modelo ECM onde foram incluídas outras variáveis.
As variáveis que se revelaram significativas foram o Consumo de Gás, o Consumo de Carvão, o Consumo de Petróleo e os PIB’s dos EUA e China; Abstract:
The Determinants of Crude Oil Prices and the Role of Financial Speculation
The price of the crude oil barrel represents a timeseries of high volatility, which has been studied by many authors and investigators.
The research contained in this master’s dissertation has the following objectives: to reach economic and financial variables which significantly influence the oil barrel price and help explain that series’ observable variations; explore the role of financial speculation regarding the commodity in question.
In order to do that, financial modeling techniques that allowed to analyze the influence of literature-based variables were applied. A VECM model regarding the variables that seemed to present a long-term relation with the dependent variable was obtained, and also an ECM model where other variables were included.
The variables that showed a significant effect were the World Gas Consumption, the World Coal Consumption, the World Oil Consumption and the USA’s and China’s GDP’s.
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Carmona, Nuno Manuel Rosa Paias Silva de Oliveira. "Modelação econométrica da procura de electricidade em Portugal continental: uma aplicação empírica." Master's thesis, Instituto Superior de Economia e Gestão, 2006. http://hdl.handle.net/10400.5/777.
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Mestrado em Econometria Aplicada e PrevisãoA energia eléctrica é um recurso fundamental no funcionamento das sociedades modernas. A procura de electricidade, a identificação das suas principais condicionantes e a análise à forma como se relacionam com aquela têm sido alvo de estudos diversos. Com frequência, esses estudos visam igualmente a previsão da evolução da procura de electricidade. O presente trabalho partilha, em termos gerais, objectivos semelhantes, procurando concretizá-los para o caso português, recorrendo à utilização da metodologia econométrica para a análise de séries temporais e cointegração. Numa perspectiva agregada, a procura de electricidade encontra-se condicionada, nomeadamente, por factores tecnológicos, económicos, demográficos e climatéricos. Além disso, e porque a procura total de electricidade pode ser dividida por sectores relativamente homogéneos quanto à sua natureza, também aqui se exploram, à semelhança de outros estudos, análises da procura no âmbito sectorial, na esperança de obter um maior grau de compreensão do fenómeno. Assim, desenvolveram-se no presente estudo modelos econométricos, tendo por base funções de procura do tipo Cobb-Douglas, que pretendem explicar a evolução da procura de electricidade em Portugal Continental quer na sua totalidade, quer do ponto de vista sectorial, nomeadamente nos sectores Doméstico, Industrial e de Serviços. A análise incidiu sobre os dados anuais compreendidos entre 1957 e 2002. Foi encontrada evidência de cointegração em três casos: (i) entre o consumo total de electricidade no Continente e o PIB; (ii) entre o consumo no sector Doméstico e o Rendimento Disponível Bruto das Famílias; (iii) entre a procura industrial e o VAB da Indústria. Em termos de relações de equilíbrio de longo-prazo, as restantes variáveis analisadas revelaram-se incapazes de acrescentar poder explicativo adicional quer a nível sectorial, quer a nível global. Realizou-se uma análise comparativa da qualidade das previsões dos modelos seleccionados.
Electric power is an essential asset in modern societies. Electricity demand, the identification of its causal factors and the way they interact with it has been explored in many studies. Frequently, they concern the prediction of electricity demand evolution. This study shares similar goals and tries to achieve them by applying time series econometric methodology and cointegration. In an aggregate perspective, electricity demand is conditioned by technological, economical, demographic and climacteric factors, among others. Besides, regarding that global electricity demand can be divided in relatively homogenous sectors, we also explore, like many other studies, a sectoral approach hoping to achieve a higher degree of comprehension of demand. This paper develops econometric models, based on Cobb-Douglas demand functions, in order to explain electricity demand in mainland Portugal as a whole and also focusing in the Residential, Industrial and Commercial sectors. The time-series variables taken into consideration have annual periodicity and were observed between 1957 and 2002. Evidence was found supporting cointegration at three levels: (i) between total electricity demand and Portuguese GDP; (ii) between residential electricity demand and gross disposable income of families; (iii) between industrial electricity demand and industrial value added. In terms of long-term equilibrium, the remaining variables analyzed were unable to increase explanatory capacity either in the sectoral or global approach. A comparative analysis of the quality of the forecasting made through the selected models has been carried out.
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Soto, Paula Andrea. "Arbitragem estatística no mercado brasileiro de ações: uma abordagem por VECM." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16990.
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Ao modelar séries de preços de ativos financeiros, a prática usual é tomar a primeira diferença das séries, e trabalhar assim com retornos ou logretornos. Utilizando VECM (Vector Error Correction Models, em inglês), torna-se possível trabalhar diretamente com as séries sem diferenciar, o que possibilita o estudo de tendências comuns e cointegração. Este trabalho utiliza VECM para gerar estratégias de arbitragem estatística no mercado brasileiro de ações. Tendências comuns são identificadas por PCA (Principal Components Analysis, em inglês, ou análise de componentes principais, em português) e os resultados foram utilizados para definir portfólios cointegrados. Foram propostos dois métodos de geração de sinais para estratégias de trading do tipo longshort. Um total de cinco diferentes estratégias de trading foram simuladas e a existência de arbitragem estatística em cada caso foi testada pelo teste proposto em (JARROW et al., 2012). Conclui-se que, ao considerar séries de preços não diferenciadas, a metodologia abordada permite identificar e modelar candidatos de portfólios cointegrados. Quando bem calibradas, as estratégias testadas geram ganhos significativos em todos os portfólios.
Common practice for modelling stock prices is to use their differences in form of returns or logreturns. Using VECM (Vector Error Correction Models), it is possible to work with the series of prices without differentiation, which allows looking into common trends and cointegration. This work uses VECM to create trading strategies for the Brazilian stock market. Common trends are obtained using PCA (Principal Components Analysis) and prices are modelled using VECM. Five longshort-type trading strategies are simulated in diversified portfolios, and tested for statistical arbitrage using the test proposed by (JARROW et al., 2012). The methodology for identifying common trends and modelling prices allows for trading strategies with good results for all portfolios.
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Hu, Zhejin. "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/math_theses/60.
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This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.
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Carvalho, Gonçalo Nuno Brites de. "A relação entre as exportações e o crescimento económico : análise do caso português." Master's thesis, FEUC, 2015. http://hdl.handle.net/10316/28500.
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Trabalho de projeto do mestrado em Economia (Economia Financeira), apresentado à Faculdade de Economia da Universidade de Coimbra, sob a orientação de António Portugal Duarte.A hipótese Export-led-Growth defende que a promoção das exportações é fundamental para o reforço do crescimento económico. Contudo, nenhum consenso foi alcançado sobre a causalidade entre as duas variáveis. Este trabalho tem como objetivo reexaminar a hipótese Export-led-Growth em Portugal para o período 1970-2012, aplicando técnicas econométricas usuais para o estudo de séries temporais, como a análise de estacionaridade e cointegração das variáveis, bem como a estimação de um modelo de vetores de correção dos erros. O estudo revela a existência de uma relação de equilíbrio de longo- prazo entre as exportações e o PIB, e valida a hipótese Export-led-Growth para o caso Português. Com o objetivo de obter resultados mais detalhados, procurou-se ainda avaliar o impacto das exportações de produtos da indústria transformadora e não-transformadora no crescimento económico, utilizando dois modelos de vetores auto-regressivos bivariados. A estimação dos modelos revela um impacto positivo das exportações de produtos da indústria transformadora no PIB e um efeito “limitador” das exportações de produtos não transformados.
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Ripamonti, Alexandre. "Fórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retorno de ativos no Brasil." Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/782.
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Rational valuation formula and time varying cointegration are the main thesis´ concepts, under the Muth´s (MUTH, 1961) rational expectations and theory of price movements as underlying theory, and also testing the null of time invariant error correction mechanisms and another one of inequality of fundamental value and share´s price. The data were obtained from Brazilian listed companies for 1986 to 2010 and also from 1871 to 2010 US stock market. The Johansen´s maximum likelihood and trace models, combined to Chebyshev time polynomials, as proposed by Bierens and Martins (2010) were used in order to test the null. The finds have shown first null rejection and no rejection for the second null. These finds are consistent to Bierens e Martins (BIERENS e MARTINS, 2010) and non-consistent with Muth (MUTH, 1961)
A presente tese aborda os conceitos de fórmula de valoração racional e cointegração variante no tempo para, sob o referencial da teoria das expectativas racionais e de movimentação de preços de Muth (MUTH, 1961), supor a variabilidade das taxas de retorno de ativos no mercado brasileiro, no período de 1986 a 2010, testando as hipóteses nulas de mecanismos de correção de erros dos vetores de cointegração constantes no tempo e de desigualdade entre valor fundamental e preço da ação. Foram coletados dados de preços e dividendos de ações componentes da carteira teórica do IBOVESPA de janeiro de 1986 a outubro de 2010. Além disso, também aplicamos os modelos propostos aos dados norte-americanos de preço e dividendos de 1871 a 2010, disponibilizados por Shiller. Os dados foram analisados através das técnicas de séries temporais e os coeficientes estimados através da técnica de máxima verossimilhança, especificamente com os modelos de cointegração de Johansen combinados com os polinômios temporais de Chebyshev, como proposto por Bierens e Martins (2010). Os resultados indicam a rejeição da hipótese nula de constância dos vetores de cointegração e, ainda, a não rejeição da hipótese nula de desigualdade entre valor fundamental e preço da ação para todas as séries temporais analisadas. Tais resultados são consistentes com os obtidos por Bierens e Martins (BIERENS e MARTINS, 2010) e não consistentes com a teoria das expectativas racionais de Muth (MUTH, 1961).
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Silber, Frank. "Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM) : Untersuchungen an ausgewählten Arbeitsmärkten /." Frankfurt am Main: Lang, 2003. http://www.gbv.de/dms/zbw/362076561.pdf.
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Md, Nor Zarina, and zara_eizzaty@yahoo com au. "The Integration of ASEAN5 Equity Markets, GDP and Trade and their Relationships with Asset Pricing." RMIT University. Economics, Finance and Marketing, 2009. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20090407.120156.
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This thesis focuses on five of the founding nations of the Association of Southeast Asian Nations (ASEAN). The countries are Malaysia, Singapore, Thailand, Indonesia and the Philippines (ASEAN5). Asset pricing for the ASEAN5 equity markets is the main focus of this thesis, although we also develop vector error correction models (VECM) for GDP, trade and local equity market returns for the ASEAN5. While this allows further analysis of the robustness of asset pricing models, it also facilitates study of the fundamental links that exist within these economies. The traditional CAPM and the four factor-model that include market, size, value and momentum effects (Fama and French, 1993; Carhart, 1997) are employed in testing the variation in size/book-to-market equity (size-BTME) and industry portfolio returns for these markets for the period from January 1990 to March 2006. Three macro factors as well as world excess returns are then added to the basic four-factor asset pricing model. These macro factors include unexpected GDP, unexpected total trade and unexpected equity market returns, which are derived from VECM or VAR estimates for ASEAN5 GDP, total trade and equity market returns. This model is referred to as the macro-factor model. The results suggest that the explanatory power of the four-factor model consistently exceeds those of the one-factor CAPM in explaining size-BTME and industry portfolio returns. Further, the macro-factor model analysis suggests that collectively, this model does not substantially improve the explanatory power of the basic four-factor model, suggesting that the variation in portfolio returns is mostly captured by the four-factor model. There is some cross-country variation in these results. Regardless, these macro factors − taken as a group or individually − are statistically significant, particularly for Thailand and Malaysia. In addition, the cointegration test results document evidence of long-run linkages for the equity markets within the ASEAN5. This is also true for GDP within the ASEAN5. In both cases, closer links prevail in the post-crisis period. This is not the case for trade where there is little consistent evidence of close links between the countries. Mixed results are found for different ASEAN5 trade measures where the linkages for total trade, import and exports vary substantially according to the selected period of study, whether full period, pre-crisis or post-crisis period.
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Caldas, Bruno Breyer. "Teste de validação da hipótese de Fisher : uma análise por VECM para 40 países." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2011. http://hdl.handle.net/10183/29973.
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Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis.This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.
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Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.
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>Magister Scientiae - MScPurpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correction Model (VECM). Statistical arbitrage is investigated through the pairs trading technique.Findings:The five stock indices are found to be cointegrated. Analysis shows that the cointegration rank among the variables is significantly influenced by structural breaks. Two pairs of stock variables are also found to be cointegrated. This guaranteed the mean reversion property necessary for the successful execution of the pairs trading technique. Determining the optimal spread threshold also proved to be highly significant with respect to the success of this trading technique.Value:This research seeks to expand on the literature covering long-run co-movements of the volatile emerging market indices. Based on the cointegration relation shared by the BRICS, the research also seeks to encourage risk taking when investing. We achieve this by showing the potential rewards that can be realized through employing appropriate statistical arbitrage trading techniques in these markets.
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Kinene, Alan. "FORECASTING OF THE INFLATION RATES IN UGANDA: : A COMPARISON OF ARIMA, SARIMA AND VECM MODELS." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-49388.
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Heinlein, Reinhold. "On the international transmission of monetary policy : a parsimonious structural VECM approach for interdependent economies." Thesis, University of Kent, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633663.
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Effects of Monetary Policy on the $/£ Exchange Rate. Is There a 'Delayed Overshooting Puzzle'? (Review of International Economics, 20(3), 443-467, 2012, with H.-M. Krolzig) The determination of the $/£ exchange rate is studied in a small symmetric macro econometric model Including UK-US differentials in inflation, output gap, short and long-term interest rates for the four decades since the breakdown of Bretton Woods. The key question addressed is the possible presence of a 'delayed overshooting puzzle' in the dynamic reaction of the exchange rate to monetary policy shocks. In contrast to the existing literature, we follow a data-driven modelling approach combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii) an automatic general-to-specific approach for the selection of a congruent parsimonious structural vector equilibrium correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one stochastic trend, which is identified as the longterm interest rate differential and that appears to be driven by long-term inflation expectations as in the Fisher hypothesis. It cointegrates with the inflation differential to a stationary 'real' long-term rate differential and also drives the exchange rate. The short-run dynamics are characterized by a direct link from the short-term to the long-term interest rate differential. Jumps in the exchange rate after short-term interest rate variations are only significant at 10%. Overall, we find strong evidence for delayed overshooting and violations of UIP in response to monetary policy shocks.
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Tao, Juan. "A re-examination of the relationship between FTSE100 index and futures prices." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8071.
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This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.
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Kpondjo, Nadia. "Modélisation de la compétitivité industrielle." Thesis, Paris 10, 2016. http://www.theses.fr/2016PA100127.
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Cette thèse traite de la notion de compétitivité des unités industrielles par l’indicateur de l’efficience obtenu avec la méthode DEA. L’efficience des alumineries de l’industrie de l’aluminium primaire est analysée sur quatre années distinctes 2005, 2009, 2010 et 2012. Les résultats révèlent que ces unités sont globalement peu efficientes techniquement (inefficience de l’ordre de 1 à 5% selon la technologie utilisée et la région) ; leurs combinaisons productives semblent donc peu optimales. De plus, l’inefficience est davantage prononcée au niveau du coût et de l’allocation de leurs ressources en considérant les prix des inputs différents ou identiques d’une aluminerie à une autre. Tout ceci pourrait expliquer les fermetures enregistrées ces dernières années. Par ailleurs, nous avons montré que l’inefficience technique était expliquée par l’impact des variables explicatives âge, taille et le taux de change. Au travers d’un modèle VECM linéaire nous avons montré qu’il existe une relation de long terme entre la performance financière des grands constructeurs automobiles et le prix de l’aluminium allié. Ce résultat étant l’indicatif de l’interdépendance entre ces deux industriesThis thesis deals with the concept of competitiveness of industrial units by the efficiency indicator obtained by DEA approach. We use a cross section data over four different years around 2009. The results show that these units are generally technically inefficient (inefficiency of the order of 1 to 5% by technology and region); their productive combination thus seems less than optimal. In addition, the inefficiency is more pronounced in the cost and allocation of resources by considering the inputs prices of an aluminum smelter in another. All this may explain the closures of recent years. We analyze the assessment of how external factors such as exchange rate, vintage and scale affect the smelters efficiency. Through a linear VECM model we have shown a long-term relationship between the financial performance of major car manufacturers and the price of aluminum alloy. This result is indicative of the interdependence between the two industries
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Sun, Lixin. "Monetary transmission mechanisms and the macroeconomy in China : VAR/VECM approach and Bayesian DSGE model simulation." Thesis, University of Birmingham, 2011. http://etheses.bham.ac.uk//id/eprint/2900/.
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In this thesis, by employing VAR/VECM approach and Bayesian Dynamic Stochastic General Equilibrium (DSGE) Model we have studied and tested the transmission mechanisms of China’s monetary policy and measured the effects of the monetary policy shocks and other exogenous macro shocks on the real macro economy to uncover the attributes of China’s business cycle. On the basis of the specified VAR/VEC Models, a bank lending channel, an interest rate channel and an asset price channel have been identified by using the time series (monthly) data of banks balance sheet variables (deposits, loans, securitises) across bank categories (aggregate banks, state banks, non-state banks) and the macroeconomic variables (output, CPI inflation, exports, imports, foreign exchange reserves) from 1996 to 2006. We’ve estimated a benchmark Bayesian DSGE Model with Taylor’s Rule and a modified Smets-Wouters Model with money growth rule by using China’s quarterly data from 1996 to 2006 to simulate the business cycle. The estimated values of the parameters demonstrate many unique features of China’s economy and policies operations. We find that investment and preference shocks drive the forecasted GDP variance in the long run in Taylor’s rule model, but in the money growth rule model, the main contributions to the variations of the output are government expenditure, preference and productive shocks.
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Radkovský, Štěpán. "Kvantifikace účinků fiskální politiky v ČR pomocí modelu SVEC." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-134.
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Pinheiro, Daniel Nobre Martins. "Credit to the private sector and financial crisis: survey of the literature and evidences from the 2015-16 Brazilian crisis." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24917.
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O presente trabalho analisa a influência do crédito ao setor privado no ciclo de crédito experimentado pela economia brasileira entre 2003 e 2017. A motivação advém das mais recentes contribuições teóricas e empíricas publicadas após a crise financeira global sobre o papel dos aceleradores financeiros e mecanismos de transmissão em gerar fragilidades financeiras de caráter sistêmico. Conclusões em Adrian e Shin (2010) serão o ponto de partida, onde fatores que impactam o capital de intermediários financeiros operam como importantes canais de propagação de choques. A forte expansão do setor financeiro naquele período, junto a um crescimento sem precedentes do endividamento do setor privado, provém um cenário propício para testar este insight. Um modelo de Vetor de Correção de Erros (VECM) será estimado para identificar tendências comuns entre variáveis reais e financeiras, assim como identificar impactos decorrentes de choques e causalidade entre variáveis associadas a crédito, alavancagem, atividade, colaterais e oferta de fundos. Desta forma, a pesquisa espera contribuir à compressão daquele episódio, assim preenchendo um vácuo no debate polarizado entre aqueles que vêm o país como vítima de condições internacionais adversas, e outros que responsabilizam uma longa história de políticas econômicas equivocadas pela crise.
This monograph evaluates the role played by the credit to the private sector on the boom-bust cycle experienced by the Brazilian economy between 2003-2017. The study is motivated by recent theoretical and empirical contributions arriving after the Global Financial Crisis on the role played by financial accelerators and transmission channels in driving systemic financial fragility. It departs from a key insight from Adrian and Shin (2010) where factors affecting the equity base of financial intermediaries operate as a powerful transmission channel for shocks. The strong expansion of the financial activities during the period, coupled with the unprecedent growth of debt and leverage of the non-financial private sector, provide a promising scenario to test that insight. A Vector Error Correction Model (VECM) will be applied to identify common trends on financial and real variables to help to identify effects from shocks and causalities comprising variables related to debt, leverage, activity, collaterals, and funds supply. Thus, it aims at shedding new lights on the comprehension of that episode, so filling a gap on this debate polarized between those who see Brazil as a victim of a stressed global economy, and others who blame a long account of derailing economic policies in driving this fate.
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Silva, André Fernando Rodrigues Rocha da. "Assessing pension expenses determinants? The case of Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12757.
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Mestrado em Economia Monetária e FinanceiraA falta de estudos acerca do impacto de variáveis demográficas e económicas como o envelhecimento, produtividade e desemprego na despesa da Segurança Social Portuguesa promove o aparecimento de preocupações acerca da sua sustentabilidade financeira. Partindo de uma perspectiva teórica, a baixa fecundidade aumenta o índice de dependência de idosos e reduz o crescimento económico, com a agravante do desemprego que contrai a base contributiva e a produtividade (aumentando o peso da despesa com pensões na economia). No entanto, é crucial desenvolver um trabalho aplicado em Portugal nesta temática de modo a avaliar estas conclusões. Usando séries temporais de dados Portugueses de 1975 a 2014, foi encontrada evidência estatística de cointegração entre a população desempregada entre os 15 e os 64 anos de idade, produtividade aparente do trabalho e índice de dependência de idosos (variáveis explicativas) e despesa com pensões em percentagem do PIB (variável dependente), mas o sinal do coeficiente de longo prazo para a componente demográfica sofre alterações quando as variáveis dummy são excluídas , levantando dúvidas acerca do impacto do envelhecimento na despesa com pensões. As restantes variáveis explicativas apresentam um sinal positivo, influenciando positivamente a despesa com pensões em percentagem do PIB. Por ultimo, foi desenvolvido um modelo VECM com funções impulso-resposta e decomposição da variância, e os resultados evidenciam que, em Portugal, o envelhecimento tem um impacto quase insignificante no longo prazo, comparando com o desemprego e a produtividade.
The lack of studies about the impact of demographic and economic variables such as ageing, productivity and unemployment, on Portuguese Social Security expenditures, arises expected concerns on its financial sustainability. From a theoretical perspective, low fertility increases old-age dependence index and decreases economic growth, reinforced by unemployment which shrinks the contributory base and productivity (increasing the burden of pension expenditures on the overall economy). However, it is crucial to develop an applied work in this field in Portugal to assess these conclusions. Using Portuguese time-series data from 1975 to 2014, it was found statistical evidence of cointegration between unemployed people aged between 15 and 64 years old, apparent productivity of labour and old-age dependence index (explanatory variables) and pension expenditure as a share of GDP (dependent variable), but the sign of long-run coefficient for the demographic component differs when the dummy components are excluded, raising doubts about the impact of ageing on pension expenditures. The remaining explanatory variables present a positive sign, positively influencing the pension expenditure as a share of GDP. At last, it was developed a VECM model with impulse-response functions and variance decomposition, and the results showed that, in Portugal, ageing has an almost insignificant impact in the long-run, comparing with unemployment and productivity.
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Sax, Kaijser Per. "Tobin’s Q theory and regional housing investment : Empirical analysis on Swedish data." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226661.
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This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.
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Moabelo, Julith Tsebisi. "Analysing potato price volatility in South Africa." Thesis, University of Limpopo, 2019. http://hdl.handle.net/10386/3049.
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Thesis ( M.Sc.(Agricultural Economics)) --University of Limpopo, 2019.Potato is perceived as an excellent crop in the fight against hunger and poverty. The recent high potato price in South Africa has pushed the vegetable out of reach of the poorest of the poor. The study attempts to analyse potato price volatility in South Africa and furthermore assess how various factors were responsible for the recent potato price volatility. Quarterly data for potato price, number of hectares planted, rainfall and temperature levels from 2006q1 to 2017q4 was collected from various sources and were used for analysis. The total observation of 48. The volatility in the series was determined by performing ARCH/GARCH model. GARCH model indicates an evidence of GARCH effect in the series, meaning that GARCH model influences potato price volatility in South Africa. The Johansen cointegration used both trace and eigenvalue to test the existence of a long run relationship between potato price and various variables. The cointegration results were positive indicating that there exists long run relationship amongst variables. The study further used Johansen cointegration as well as standard error to determine the number of cointegrating variables in the long run. The results indicated that the number of hectares planted and rainfall level have significant relationship with potato price. Wald tests was used to check whether the past values of number of hectares planted and rainfall level influenced the current value of potato price. The Walt test results concluded that there is no evidence of short run causality running from number of hectares planted and rainfall level to potato price. In the study, ECM model was used to forecast the potato price fluctuation in South Africa. The study recommends that farmers need to engage in contract market so as to minimize the risk of potato price volatility. The Department of Agriculture should forecast agricultural commodities price volatility and make information accessible to the farmers so that they are able to adopt strategies that will assist them to overcome crisis.
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Korucu, Gumusoglu Nebile. "Modelling Nonlinearities In European Money Demand: An Application Of Threshold Cointegration Model." Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615635/index.pdf.
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The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This thesis employs both linear and nonlinear estimation methods to investigate the relationship between money demand, GDP, inflation and interest rates for the Euro Area over the period 1980-2010. The aim of this thesis is to compare the European money demand in linear and nonlinear framework. First a vector autoregression (VAR) model has been estimated. Then a threshold cointegration model has been employed and nonlinearity properties of the money demand relationship has been investigated. In contrast to the existing empirical literature, linear VEC model can find evidence of stability, however it has some conflicting results which can be explained by the nonlinearity of the model. Empirical results of MTAR type threshold cointegration specification verifies the nonlinearity in European money demand. The adjustment coefficient of lower regime suggests faster adjustment towards long run equilibrium compared to upper regime in nonlinear model. Moreover, the nonlinear model presents better fit to economic literature than linear model for European money demand.
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Labossiere, Eddy. "Monnaie et inflation dans les économies en développement : Emphase sur Haïti." Thesis, Antilles-Guyane, 2013. http://www.theses.fr/2013AGUY0701/document.
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A partir de 1996 pour combattre une inflation galopante, Haïti a mis en place une politique de ciblage de la masse monétaire avec un objectif d’inflation. La forte inflation a pris naissance dans l’accumulation du déficit budgétaire et le financement monétaire de celui-ci par le seigneuriage. Cette pratique du financement par l’impôt inflationniste engendre donc un problème de crédibilité, en dépit de la double circulation monétaire caractérisée par un niveau élevé de dollarisation de l’économie qui a atteint 50% dès 2004. La politique monétaire mise en œuvre vise à éviter le biais inflationniste et différentes approches pour améliorer la crédibilité ont été considérées. La crise économique commencée en 2007 dans les pays développés, est née de l’instabilité des marchés financiers et a obligé la mise en place de politique monétaire non conventionnelle afin d’éviter la trappe de liquidité. Cette crise a donné lieu à une accumulation de réserves internationales et un faible taux d’intérêt dans les économies des pays émergents et les économies des pays sous-développés. Il devenait évident que le fondement théorique de la stratégie de politique monétaire demeure la recherche à la fois de la stabilité monétaire et la stabilité des marchés financiers afin de conserver la crédibilité et l’efficacité de la politique monétaire des banques centrales. L’utilisation abusive faite par la FED aux USA de l’assouplissement quantitatif, fait craindre une crise de la dette souveraine des Etats, la création de bulle spéculative, et un retour à la récession. Avec le cas d’Haïti, les anticipations ne sont pas rationnelles à cause des erreurs de prévisions. Une analyse jointe des taux des banques, en utilisant un modèle VECM, ne nous a pas permis de trouver un taux d’équilibre de long terme entre eux. Le test de Seo conclu que les chocs ont affecté la dynamique de ces taux. Les accords avec le FMI ont permis une très faible amélioration de l’efficacité de la politique monétaire avec l’accumulation de réserves dans la foulée de la crise qui a démarré en 2007Since 1996 in order to fight inflation, Haiti put in place a monetary policy targeting money supply with inflation target. Inflation high gets started from budget deficit accumulation and monetary financing by seigniorage. This practice of financing by inflationary taxes implies a problem of credibility of monetary policy even with a double monetary circulation and a dollarization of the economy reaching 50% since 2004. The monetary policy implementation aims to avoid inflation bias and different approaches for improving credibility has been considered. The economic crisis started in 2007 created by the instability of the financial markets, forced the establishment of non-conventional monetary policy to avoid the liquidity trap. This crisis has resulted in an accumulation of international reserves and low interest rate in emerging economies and the economies of underdeveloped countries. It became more and more evident that the theoretical basis of the monetary policy strategy remains looking for both, monetary stability and the stability of the financial markets, in order to maintain the credibility and efficiency of the monetary policy of central banks. The misuse made by the FED in the USA of quantitative easing, rise concerns about a crisis of sovereign debt of the Sates, the creation of speculative bubble, and a possible return to the recession. With the case of Haiti, the expectations are not rationales because of forecast errors. A joint analysis of banks interests’ rates using a VECM model has not enabled us to find a long run equilibrium rate between them. The Seo test concluded that chocks affect the dynamic of both rates. The agreements with the IMF allowed improving weakly the monetary policy efficiency with the accumulation of international reserves in the wake of the crisis which started in 2007
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Kuzmenko, Elena. "Analýza výkonností Ruské ekonomiky s ohledem na konkurenceschopnost a fenomén proketí přírodních zdrojů." Doctoral thesis, Česká zemědělská univerzita v Praze, 2016. http://www.nusl.cz/ntk/nusl-259702.
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Recent years a lot of debates have been taking place around Russias dependence on natural resources, especially on crude oil and natural gas, and consequent necessity to escape from it through diversification of the Russian economy. The research problem of the present doctoral thesis therefore is to investigate whether Russia demonstrates any success in this process or not. The main goal of the thesis is to analyze Russian economic performance along with Russian producers (representing corresponding economic sectors) relative position towards foreign rivals in external and internal markets and via investigation of the real effective exchange rate of ruble and quality of Russian institutions shed some light on the presence of Natural resource curse phenomenon in the Russian economy. The analysis of Russian economic performance in the light of competitiveness was seen as justified since the results of that analysis may reveal the existence of perspective points of growth in the economy. In the final stage of the research the existence of a long-run interrelationship was checked among the structure of Russian export basket, GDP growth, price of crude oil and the real effective exchange rate of Russian ruble with the use of Johansen cointegration technique.
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Hadad, Junior Eli. "Um estudo econométrico do consumo e da renda agregados no Brasil." Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/534.
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Previous issue date: 2011-08-10The dissertation analyzes data of the Brazilian household consumption and income between the years 1947 and 2009. The study aims to evaluate to what extent the aggregate consumption of Brazilian household may approximate be a random walk. The dissertation uses Johansen's cointegration techniques (1988, 1991) and super exogeneity tests as proposed by Engle and Hendry et al. (1983). The dissertation attempts to evaluate whether interventions that affect consumption will impact the dynamics of aggregate income. These interventions can occur through credit policies and tax changes, among other macroeconomic shocks. Finally, a decomposition is made following the methodology proposed by Gonzalo-Granger (1995) and evaluating the importance of shocks in permanent and temporary changes in consumption.
A dissertação analisa os dados de consumo e renda das famílias brasileiras entre os anos de 1947 e 2009. O trabalho visa avaliar em que medida o consumo agregado das famílias brasileiras pode ser bem aproximando a partir de um passeio aleatório puro. O trabalho utiliza técnicas de cointegração de Johansen (1988, 1991) e testes de super exogeneidade na forma proposta por Hendry, Engle et al. (1983). A dissertação procura avaliar se intervenções que afetam o consumo das famílias geram impacto na dinâmica da renda agregada das mesmas. Tais intervenções podem ser por políticas de crédito, alterações tributárias, choque macroeconômicos entre outras. Por fim uma decomposição entre fatores permanentes e transitórios será feita pela metodologia proposta por Gonzalo-Granger (1995) com o objetivo de avaliar-se a importância dos choques permanentes e transitórios para as variações do consumo.
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Bvirindi, Tinashe. "Bank loan supply, quantitative easing and corporate bond issuance : evidence from the UK." Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/bank-loan-supply-quantitative-easing-and-corporate-bond-issuance-evidence-from-the-uk(efe7bf55-c80a-4ced-a822-0ac52e50a7ab).html.
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This thesis makes two main contributions to the literature. The first is to establish the existence of a capital supply channel, in particular a bank lending channel of monetary policy transmission in the UK using a clean measure of bank loan supply. In this study we exploit the revealed debt preferences of debt issuing firms by using the Becker and Ivashina (2014) fixed effects framework to isolate the impact of credit supply. By conditioning the sample on non-financial firms whose debt issuance is observed, we are able to eliminate the effects of credit demand and to isolate a clean measure for bank loan supply. In this thesis, we find that the tendency by unconstrained, non-financial firms to substitute corporate bonds for bank loans at different points of the financial cycle reflects changes in bank loan supply. We also find that the patterns of substitutability are consistent among more granular classifications of heterogeneous debt. Our results reveal that among unconstrained firms, the proportion of new bank loan issuance declines, while the proportions of corporate bonds and program debt issuance tend to increase, when faced with unfavourable credit market conditions. We then create a loan to bond substitution measure based on observed substitution behaviour of unconstrained firms. We find that this measure explains the out of sample bank loan issuance behaviour of constrained firms. As a result we conclude that the measure is able to cleanly capture changes in bank loan supply. We extend the study to examine the impact of bank loan supply on the financing, hiring and investment decisions of UK non-financial corporations. We find that bank loan supply disruptions significantly and disproportionately affect the hiring and inventory investment decisions of bank dependent firms relative to those of non-bank dependent firms. The propensity to invest or hire among bank dependent UK non-financial firms declines relative to non-bank dependent firms when bank loan supply deteriorates. Moreover, the fixed investment decisions of non-bank dependent firms tend to decline following adverse bank loan supply shocks. These results confirm the existence of a bank lending channel among UK non-financial firms, and the findings are in line with the narrow credit view of monetary policy transmission. Our second central contribution is to analyse the impact of orthogonal QE shocks, credit supply shocks, credit demand shocks, and monetary policy shocks on the aggregate debt issuance behaviour of UK non-financial firms. Using structural vector error correction models (SVECM), we show that QE shocks increase corporate bond issuance and compress term spreads, but have no effect on the policy rate. Moreover, we observe that unexpected increases in the monetary policy rate lead to a decline in corporate bonds in the short term. While credit supply shocks move aggregate bank lending and aggregate corporate bond issuance in the same direction, corporate bond issuance responds with a lag to fluctuation in credit supply. This implies that adverse credit supply shocks may produce amplified negative effects on capital supply as both corporate bonds and bank loan decline. We also establish a counterfactual for corporate bonds and bank loan issues based on our structural model. We find that the QE policies result in the Bank of England averting a decline in corporate bond issuance of between 3% and 10% during the QE period. Our findings in this thesis point towards the existence of a portfolio balance channel of QE that operates in the UK corporate bond markets during the QE period.
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Bohlandt, Florian Martin. "Single manager hedge funds - aspects of classification and diversification." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85859.
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Thesis (PhD)--Stellenbosch University, 2013.A persistent problem for hedge fund researchers presents itself in the form of inconsistent and diverse style classifications within and across database providers. For this paper, single-manager hedge funds from the Hedge Fund Research (HFR) and Hedgefund.Net (HFN) databases were classified on the basis of a common factor, extracted using the factor axis methodology. It was assumed that the returns of all sample hedge funds are attributable to a common factor that is shared across hedge funds within one classification, and a specific factor that is unique to a particular hedge fund. In contrast to earlier research and the application of principal component analysis, factor axis has sought to determine how much of the covariance in the dataset is due to common factors (communality). Factor axis largely ignores the diagonal elements of the covariance matrix and orthogonal factor rotation maximises the covariance between hedge fund return series. In an iterative framework, common factors were extracted until all return series were described by one common and one specific factor. Prior to factor extraction, the series was tested for autoregressive moving-average processes and the residuals of such models were used in further analysis to improve upon squared correlations as initial factor estimates. The methodology was applied to 120 ten-year rolling estimation windows in the July 1990 to June 2010 timeframe. The results indicate that the number of distinct style classifications is reduced in comparison to the arbitrary self-selected classifications of the databases. Single manager hedge funds were grouped in portfolios on the basis of the common factor they share. In contrast to other classification methodologies, these common factor portfolios (CFPs) assume that some unspecified individual component of the hedge fund constituents’ returns is diversified away and that single manager hedge funds should be classified according to their common return components. From the CFPs of single manager hedge funds, pure style indices were created to be entered in a multivariate autoregressive framework. For each style index, a Vector Error Correction model (VECM) was estimated to determine the short-term as well as co-integrating relationship of the hedge fund series with the index level series of a stock, bond and commodity proxy. It was postulated that a) in a well-diversified portfolio, the current level of the hedge fund index is independent of the lagged observations from the other asset indices; and b) if the assumptions of the Efficient Market Hypothesis (EMH) hold, it is expected that the predictive power of the model will be low. The analysis was conducted for the July 2000 - June 2010 period. Impulse response tests and variance decomposition revealed that changes in hedge fund index levels are partially induced by changes in the stock, bond and currency markets. Investors are therefore cautioned not to overemphasise the diversification benefits of hedge fund investments. Commodity trading advisors (CTAs) / managed futures, on the other hand, deliver diversification benefits when integrated with an existing portfolio. The results indicated that single manager hedge funds can be reliably classified using the principal factor axis methodology. Continuously re-balanced pure style index representations of these classifications could be used in further analysis. Extensive multivariate analysis revealed that CTAs and macro hedge funds offer superior diversification benefits in the context of existing portfolios. The empirical results are of interest not only to academic researchers, but also practitioners seeking to replicate the methodologies presented.
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Pinto, André Luiz Mofato, Ricardo de Oliveira Cavalcanti, Maurício Canêdo Pinheiro, and Rodrigo Leandro de Moura. "O impacto dos gastos com publicidade nas vendas das firmas: avaliação empírica." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11810.
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This study aims to estimate an empirical model to relate spending on advertising revenues of firms, in order to serve as a tool for decision making, for it will study a case of telecommunications industry. The communication industry (advertising) in Brazil, according to IBGE 2008, is responsible for 4% of GDP, generating revenues of 57.5 billion dollars. With 113,000 businesses that generate 711,000 jobs, 866,000 people occupy and pay 5.9 billion in wages and taxes. However, most marketing managers say they do not have tools to measure the impact of their actions on the results of companies. The empirical model is estimated on the basis of monthly data for domestic long distance of Embratel for the period January 2009 to December 2011. The information often not available could only be used due to confidentiality undertaking. From cointegration techniques, we calculated the long-run elasticity of income over spending on advertising and price, so with their speed of adjustment to short-term deviations. The results suggest that revenue responds positively to changes in advertising spending, although the percentage is relatively low. Through the Dorfman-Steiner theorem we’re able to indicate that the optimum relationship between advertising spending and revenue would be approximately 20%, subjected to limitations of the model.
Este trabalho tem por objetivo estimar um modelo empírico para relacionar os gastos em publicidade com a receita das firmas, de forma a servir como ferramenta de tomada de decisão, para isso vamos fazer um estudo de caso da indústria de telecomunicações. A Indústria de comunicação (publicidade) no Brasil, segundo dados do IBGE de 2008, é responsável por 4% do PIB, gerando receitas da ordem 115 bilhões de reais. Com 113 mil empresas que geram 711 mil empregos, ocupam 866 mil pessoas e pagam 11,8 bilhões em salários e encargos. No entanto, a maioria dos gestores de marketing declara não ter instrumentos para medir o impacto de suas ações no resultado das empresas. O modelo empírico será estimado tendo como base dados mensais dos serviços de ligações de longa distância nacional da Embratel para o período de janeiro de 2009 até dezembro de 2011. As informações quase sempre não disponíveis, só puderam ser usadas devido ao compromisso de confidencialidade. A partir de técnicas de cointegração, foi calculada a elasticidade de longo prazo da receita em relação aos gastos com publicidade e ao preço, assim com as respectivas velocidades de ajustamento aos desvios de curto prazo. Os resultados sugerem que a receita responde positivamente às variações dos gastos em publicidade, embora o percentual seja relativamente baixo, através do teorema de Dorfman-Steiner conseguimos indicar que o ponto ótimo da relação entre gastos com publicidade e a receita seria de aproximadamente 20%, respeitadas as limitações do modelo.
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Kirikkaleli, Dervis. "Foreign direct investment in the banking sector : empirical evidence from Turkey." Thesis, University of Stirling, 2013. http://hdl.handle.net/1893/19308.
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Multinational bank activities have gradually risen in developing countries since the beginning of the globalisation process. Rising foreign bank activities in developing countries have motivated researchers to investigate foreign banks, comprehensively. Turkey is a typical example of a developing country that achieved a tremendous growth rate in foreign bank asset, especially throughout the last decade. The aim of this thesis is to examine two-way linkage; (1) between foreign bank penetration (FBP) and banking variables; (2) between FBP and country risk and (3) between FBP, foreign direct investment (FDI) and foreign portfolio investment (FPI) in Turkey. Therefore, this thesis is constructed by three empirical sections. Moreover the pattern of FDI inflow and outflow in the world and in Turkey has been analysed, chronologically. In addition, the theory of FDI is taken into account and existing FDI theories has been criticised. In the first empirical work – Chapter 3 - the short run and long run relationship, if it exits, between FBP and determinants of bank performance (namely, domestic bank assets, domestic credit and banking profitability) in Turkey was investigated after controlling DGDP and 2001 financial crisis (DUM2001). The outcome of the Granger causality test indicates that there was unilateral causality which runs from DDB to DFBP . Moreover, I also found feedback causality between DFBP and DCREDIT . By employing impulse response functions, I found that there is positive relationship between DFBP and DCREDIT as I expected. Moreover, the response of DFBP to one standard deviation shock in domestic bank assets is initially statistically significant and positive. The reverse effect is statistically significant and positive. In the final model, the response of DFBP to one standard deviation shock in profitability (PRO) is significant and positive at 3rd quarter. The reverse effect is surprisingly positive but not statistically significant. Specifically, what has not been also investigated deeply in the empirical literature is the two-way linkage between foreign bank penetration and risk such as political, financial and economic. Thus, in chapter 4, linkage between FBP and country risk (namely, political risk, economic risk and financial risk) was examined in Turkey using quarterly data from 1994Q1 to 2009Q4. My finding indicated that I found one error correction term significant and positive in bivariate vector error correction in model 1 and 2, implying that in the long run, foreign bank penetration has contributed to economic and political risk. Moreover, short run causality based on VAR approach between DFBP and financial risk is investigated but I failed to find any significant causality in the VAR model after controlling DGDP and 2001 financial crisis, even at the 10% level. By analysing impulse response functions, I could not detect any significant relationship between DFBP and host country risk variables in the short run. This is because adding control variables (DGDP and DUM2001) make the relationship between host country risk variables and DFBP statistically insignificant. Finally, I investigated two-way linkage between FBP, FPI and FDI in Turkey after controlling DGDP and 2001 financial crisis. The finding from the VAR based block exogeneity wald test indicated that changes in DFBP significantly lead to changes in DFDI and there is also unilateral causality which runs from FPI to DFBP. Moreover, using the variance decomposition technique I found that DFDI and FPI have little explanatory power for the evolution of DFBP in Turkey. The contribution of DFBP to the variability of DFDI is more than that of FPI. The contribution of DFDI to FPI variability ranges between 0.000% and 9.122% throughout 12 quarter periods whilst the contribution of DFBP to FPI variability ranges between 0.000% and 7.611%.
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Schmidt, Florian. "Export-led growth? : The case of Brazil." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49258.
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With an ever-increasing globalising world, trade is of most importance for developing countries to not fall behind and be outcompeted. Export-led growth theory states that one of the key determinants for economic growth is exports. This thesis aims to analyse the causal effects of exports on economic growth in the case of Brazil. Annual data from the World Bank’s database for the years 1990-2018 has been used. The variables included are GDP, exports, gross capital formation, FDI and labour force. This study puts the export-led growth theory in a Vector Error Correction – Granger Causality framework. As opposed to previous scholars’ findings, neither export-led growth nor growth-led export could be determined for Brazil.
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Berkouch, Domar-Anas. "Une devise canadienne ou plusieurs? : la question de l'optimalité de la zone monétaire canadienne à travers l'étude de chocs exogènes dans un cadre VECM." Master's thesis, Université Laval, 2014. http://hdl.handle.net/20.500.11794/25188.
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L'objectif de cette étude est de savoir si la fédération des provinces du Canada forme aujourd’hui une zone monétaire optimale. Les travaux précédents ont suggéré que l’espace monétaire canadien soit divisé en deux espaces, l’un de l’Est et l’autre de l’Ouest. Notre méthodologie, qui intègre des données des Etats-Unis et du cours du pétrole WTI, fait ressortir l’existence de deux zones économiques pouvant se doter de leur propre devise. L’analyse par VECM montre l’existence d’une relation de long terme entre les provinces canadiennes, les États-Unis et le cours du pétrole. Une interprétation possible de nos résultats est que ceux-ci suggèrent que le Canada devrait avoir deux monnaies distinctes une pour la zone de l’Ouest (Alberta/Colombie-Britannique), une pour la zone de l’Est (Québec/Ontario/Nouveau-Brunswick).The aim of this study is to assess whether the federation of the provinces of Canada today form an optimal currency area. Previous work has sometimes suggested that the Canadian monetary zone be divided into two spaces, one in the East and the other in the West. Our methodology, which incorporate data from the United States and WTI oil prices, highlights the existence of two economic areas that could develop their own currency. VECM analysis shows the existence of a long-term relationship between the Canadian provinces, the United States and oil prices. The results can be interpreted as suggesting that Canada should have two separate currencies for an area of the West (Alberta / British Columbia), one for the area (Quebec/Ontario/New-Brunswick).
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Villela, Lucas Moreira. "Testando a condição descoberta de paridade de juros entre Brasil e Estados Unidos: uma modelagem por meio de GARCH multivariado e volatilidades realizadas." Universidade Presbiteriana Mackenzie, 2017. http://tede.mackenzie.br/jspui/handle/tede/3605.
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This study tests the uncovered interest rate parity between the Brazilian and American markets during the period of June 1986 to August 2016. The validation of the uncovered parity condition implies efficiency between markets. The condition is tested through the VECM methodology proposed in Engle and Granger (1987) utilizing the cointegrating vector testing the uncovered parity on the long term. The Multivariate GARCH model proposed by Bollerslev, Engle and Wooldridge (1988) is used, modeling not only the mean but the variance of the model’s variables, that way controlling the ARCH (autoregressive conditional heteroscedastic) effect in financial series. The variances of the variables are estimated through the Realized Variance estimator, first proposed in Andersen and Bollerslev (1998), in which the authors show it to be a consistent estimate of the integrated variance of a given process. The results validate the uncovered interest parity, showing it to be valid as a long-term equilibrium and that any deviation is corrected in the long term through the exchange rate between Brazil and the United States.
Este estudo propõe-se a testar a condição da paridade descoberta de juros, entre os mercados do Brasil e do Estados Unidos, para o período de Junho de 1986 a Agosto de 2016. A comprovação da condição descoberta implica em eficiência entre os mercados brasileiro e americano. A condição é testada por meio da metodologia de VECM proposta em Engle e Granger (1987) utilizando-se do vetor de cointegração para testar a condição no longo prazo. O modelo de GARCH Multivariado proposto por Bollerslev, Engle e Wooldridge (1988) é utilizado, modelando não só a média das variáveis em questão, mas, também sua variância para controlar o efeito ARCH (autoregressive conditional heteroscedastic) em series financeiras. As variâncias das series são estimadas por meio do estimador de Volatilidade Realizada, proposto em Andersen e Bollerslev (1998), que gera uma estimativa consistente da variância integrada de um processo. Os resultados do modelo comprovam a condição descoberta da paridade de juros, mostrando que essa é válida no longo prazo e que desequilíbrios na condição são corrigidos no longo prazo por meio do câmbio entre o Brasil e Estados Unidos.
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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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Bentivoglio, Deborah. "Analisi della Sostenibilità Socio-economica ed Ambientale dei Biocarburanti nel Contesto Europeo e Brasiliano." Doctoral thesis, Università Politecnica delle Marche, 2015. http://hdl.handle.net/11566/243058.
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Negli ultimi anni la produzione e il consumo dei biocarburanti sono aumentati a livello globale. Tale incremento è stato incentivato soprattutto grazie al supporto e agli incentivi adottati dai vari Paesi promotori finalizzati alla riduzione delle emissioni di gas serra e alla sicurezza energetica.
Ad oggi il mercato globale è dominato dall’etanolo (79%) e dal biodiesel (21%). In particolare, l'Unione Europea domina il mercato del biodiesel mentre il Brasile è il più grande produttore ed esportatore mondiale di zucchero, nonché il più grande produttore al mondo e consumatore di etanolo da canna da zucchero per il settore del trasporto.
Tuttavia, recentemente, sono state sollevate incertezze relative alla reale sostenibilità dei biocombustibili, sia dal punto di vista ambientale che socio-economico. Accanto ai dubbi relativi alle loro performance in termini di riduzione di emissioni di GHG rispetto ai combustibili fossili, sono emerse critiche relative all’impatto che tali biocarburanti hanno sull’utilizzo del suolo (ILUC), sulla perdita di biodiversità e sull’aumento dei prezzi dei mercati delle commodities agricole usate come materie prime per la loro produzione.
A tal proposito, la ricerca condotta si inserisce a pieno all’interno di tale dibattito e si pone l’obiettivo di valutare la sostenibilità ambientale e le implicazioni socio-economiche della produzione di biocombustibili nel contesto europeo che in quello brasiliano, soffermandosi in particolare sull’analisi econometrica dei prezzi delle commodities agricole utilizzate come materie prime di origine.
Al fine di valutare la sostenibilità ambientale è stata applicata un’analisi multicriteriale grazie all’applicazione di uno studio meta-analitico volto ad identificare i criteri ambientali per la stima dell’impatto della filiera biodiesel. Lo scopo è stata quello di individuare l’alternativa migliore tra le diverse tipologie di biomassa utilizzata per la produzione del biodiesel in Europa (olio di colza, di girasole, di palma e di soia).
La valutazione della sostenibilità socio-economica è stata invece effettuata tramite l’analisi delle serie storiche e la successiva applicazione di un modello a correzione di errore (VECM) al fine di verificare se i prezzi delle commodities agricole, (olio di colza nel contesto europeo e zucchero nel contesto brasiliano) siano influenzati dai prezzi dei biocombustibili di riferimento, quali biodiesel ed etanolo, e viceversa. Tale relazione è stata studiata anche in relazione al combustibile fossile di riferimento, ossia la benzina (o gasolina) per il Brasile e il diesel per l’Europa.
Sintetizzando i risultati, per quanto riguarda l’impatto ambientale, dall’applicazione multicriteria, si evince che nel caso in cui si considerino prioritari i criteri di sostenibilità ambientale, la soluzione migliore a livello europeo sarebbe quella del biodiesel da olio di girasole. Tale soluzione risulterebbe molto interessante per l’Europa e in particolar modo per l’Italia. Tuttavia la filiera del girasole risulta inaccessibile dal punto di vista economico aziendale. Va da sé che nell’ipotesi in cui si consideri prioritario il criterio economico, la produzione di biodiesel da olio di palma, di derivazione estera, risulterebbe la soluzione migliore, creando squilibri dal punto di vista ambientale e in particolare di cambiamento di uso del suolo (ILUC).
I risultati dello studio socio-economico tramite l’analisi delle serie storiche indica, ceteris paribus, che i prezzi dei biocarburanti sono influenzati soprattutto dai prezzi delle materie prime anche se emerge con chiarezza che le variazioni dei prezzi dei biocarburanti non influenzano in misura sostanziale i prezzi degli alimenti.The last decade has seen a rapid increase in the production and consumption of biofuels at global level. This development has been especially stimulated by policy as a means to promote energy security and to reduce the emissions of greenhouse gases. Nowadays, world biofuel markets are dominated by ethanol (79%) and biodiesel (21%). In particular, Biodiesel market is dominated by the European Union, at the same time Brazil is the world’s biggest sugar producer and exporter, as well as the world’s largest producer and consumer of sugarcane ethanol as a transportation fuel. However, several authors have recently raised concerns about the environmental benefits and social-economic implications of biofuels production such as underlying uncertainties over the life cycle emissions of greenhouse gas emissions (GHG), possible deforestation for feedstock production, degradation of soil (ILUC) and air quality, increased water consumption, possible loss of biodiversity, possible competition with food production, and other potential social imbalances. The aim of this work is to investigate the impacts of biofuels on the environmental aspects and food prices in the European and Brazilian context. In order to assess the environmental performance this work aims to identify environmental criteria in order to evaluate the impact of the entire biodiesel production chain thought an exploratory meta-analysis of international scientific research. The information from the meta-analysis enabled the design and implementation of a multi-criteria methodology to define the best alternative between different agricultural raw materials used for biodiesel production (rapeseed oil, sunflower oil and palm oil) according to the principles of sustainability expressed by current EU policy. In order to explore relationship between food commodity and biofuel prices a time series models is used. In particular, both the impact of EU biodiesel prices on diesel and rapeseed oil prices and Brazilian ethanol prices on sugar and gasoline prices are investigated using a vector error corrections model (VECM). The multi-criteria shows that from an environmental perspective the best solution at European level is biodiesel production based on sunflower oil. This solution would be very interesting for Europe and especially for Italy. However, the sunflower chain is not feasible from the economic point of view, especially for the biodiesel company. In fact, if the economic aspect is priority, the palm oil from Malaysia is the best alternative. Finally, the results from the time series analysis suggest that biofuels prices are mainly affected by feedstock prices, but there is no strong evidence that changes in biofuels prices affect food prices, for the market and time period considered.
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Dondassé, Auguste Apollinaire. "Ouverture commerciale et croissance économique dans la CEDEAO à la lumière de l'expérience des NPI asiatiques : une approche cliométrique à partir des modèles VAR et VECM." Montpellier 1, 2009. http://www.theses.fr/2009MON10022.
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Les institutions de Bretton Woods évoquent l’expérience des Nouveaux Pays Industrialisés (NPI) de l’Asie pour justifier les politiques libérales imposées aux pays de la Communauté Économique des États de l’Afrique de l’Ouest (CEDEAO). Toutefois, dans leur application, ils occultent le rôle qu’ont pu jouer les mesures de protection « stratégique » dans le succès à l’ouverture de ces pays. Dans le cadre de la mise en place du Tarif Extérieur Commun (TEC) CEDEAO, la question du rôle que peuvent jouer les mesures de protection dans l’insertion de cette zone au commerce mondial se pose avec acuité. Avec les modèles VAR et VECM et l’expérience des NPI de l’Asie, nous recourons à une approche cliométrique et montrons à partir de trois chapitres le rôle des mesures de protection dans le succès à l’ouverture desdits pays de l’Asie. Le premier chapitre montre que l’ouverture est un moteur de croissance et de convergence. Néanmoins, il révèle que les pays pauvres gagneraient à recourir à des mesures de protection « stratégique » dans leur insertion à l’économie mondiale. Le second chapitre montre que les NPI de l’Asie ont recouru énormément aux mesures de protection « stratégique ». Avec les économistes développementalistes, on note que cette présence de l’Etat ne peut pas être considérée comme neutre. Enfin, le troisième chapitre soutient à l’aide des données de la base CHELEM (Compte Harmonisé sur les Echanges et l’Economie Mondiale), que l’insertion réussie des NPI de l’Asie à l’économie mondiale s’expliquerait par leur recours aux mesures de protection « stratégique ». Le test de l’hypothèse ELG (Export Led Growth) à l’aide des modèles VAR et VECM montre l’intérêt à tenir compte des mesures de protection dans l’appréciation de la contribution de l’ouverture à la croissance. Sur la base de ces éléments, nous formulons une proposition de politique aux pays de la CEDEAO. Elle s’articule autour du rôle que ces pays doivent accorder aux mesures de protection « stratégique » dans la mise en œuvre de leur TEC, afin de s’ouvrir plus efficacement aux échangesThe Bretton Woods’s institutions evoke Asian Newly Industrialized countries’s (NIC) experiment to justify liberal policies lied down to the Economic Community of West African States (ECOWAS) countries. However, in their enforcement, they occult the part of « strategic » protection measures in the success of these countries opening. Within the framework of the setting up of ECOWAS’s Common External Tariff (CET), the question of the role of the protection measures in the insertion of this zone to the world trade arises with acuity. With VAR and VECM models and the Asian NIC’s experiment, we use a cliometric approach and show in three chapters the role of the protection measures in the success of the aforesaid Asia’s countries opening. The first chapter shows that opening is a driving force behind growth and convergence. Nevertheless, it reveals that the poor countries would gain to resort to « strategic » protection measures in their insertion to the world economy. The second chapter shows that the NIC of Asia resorted enormously to « strategic » protection measures. With the developpementalist economists, one notes that government’s presence cannot be regarded as neutral. Finally, the third chapter supports, with CHELEM’s data, that the successful insertion of the Asian’s NIC to the world economy would be explained by their resort to « strategic » protection measures. The test of ELG assumption with VAR and VECM models shows the interest to take account of protection measures in the appreciation of opening’s contribution to growth. On the basis of these elements, we formulate a proposal of policy to ECOWAS’s countries. It hinges on the role that these countries must grant to « strategic » protection measures in the setting up of their CET, in order to open up more effectively to exchanges
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LUO, PENGCHENG. "Money Supply Behavior in ‘BRICS’ Economies : - A Time Series Analysis on Money Supply Endogeneity and Exogeneity." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-23176.
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This thesis investigated money supply behaviors in the ‘BRICS’ group from 1982 to 2012. It empirically analyzed causality relationships between related monetary indicators by using quarterly data and time series econometric methods. In four countries: Brazil, China, Russia (the period of 2004-2012) and South Africa (1982-1993), this study found money supply endogeneity evidence (bank loans cause the money supply, or there is bidirectional between these two). Other countries, India and the 1982-2003 period of Russia, money supply was found to be exogenous, i.e. money supply cause bank loans. Nonetheless, traditional Monetarian view still holds across the five economies in the short run. The findings reflected discretionary monetary policies targeting monetary aggregates in the short term, despite a neutral role of most central banks in the long run.
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Ntsama, Etoundi Sabine Mireille. "Le commerce agricole entre le Cameroun et les pays de la CEMAC." Thesis, Clermont-Ferrand 1, 2014. http://www.theses.fr/2014CLF10442/document.
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Cette thèse est une contribution empirique à l’analyse du commerce des produits alimentaires entre le Cameroun et les pays voisins de la zone CEMAC et le Nigeria. La thèse utilise plusieurs outils économétriques permettant de mieux prendre en compte le niveau de désagrégation des données par produits et paires de marchés agricoles. Le premier chapitre, essentiellement descriptif, présente quelques faits stylisés sur le commerce intra-régional en zone CEMAC. Le deuxième chapitre analyse la contribution des chocs de rente pétrolière dans les pays limitrophes du Cameroun sur leur demande d’importations de produits alimentaires camerounais. En utilisant une variété d’estimateurs appropriés pour les modèles de gravité, les résultats indiquent que la croissance de la rente pétrolière dans la sous-région a favorisé de manière significative, l’expansion des exportationscamerounaises de produits alimentaires. Le troisième chapitre a pour objectif d’apprécier l’existence de ruptures structurelles et le degré d’asymétrie dans le niveau d’intégration des marchés agricoles au Cameroun. Les résultats des estimations des modèles à correction d’erreur avec rupture et asymétriques révèlent l’existence d’une instabilité temporelle récente dans l’intégration des marchés agricoles au Cameroun. De plus, les résultats indiquent que les chocs de prix de certains produits agricoles dans les marchés de consommation répondent de façon asymétrique aux variations des prix des marchés de production. Enfin, le quatrième chapitre utilise un modèle à deux pays pour quantifier le degré d’intégration entre les marchés camerounais et sous-régionaux (Gabon) au prisme d’une analyse de co-mouvement des prix des entre marchés. Les résultats économétriques obtenus à partir d’estimation de modèles vectoriels à correction d’erreur sur données de panel montrent qu’il existe une causalité bidirectionnelle et positive à court et long terme entre les marchés camerounais et gabonaisThis is an empirical contribution to the analysis of the regional integration of agricultural markets in central Africa. The thesis uses several econometric models aimed at taking advantage of the high disaggregation of the data by products and market dyads. The first chapter focuses on recent stylized facts on agricultural trade and food security in Cameroon and in the region. Chapter 2 examines the effect of oil discoveries in neighbor countries on Cameroonian exports of agricultural products within the region. Using a wide range of estimators designed for gravity data, econometric results uncover a positive and significant association between oil discoveries in neighbor regional countries on the demand for Cameroonian agricultural goods. The third chapter tests and discusses the existence of a temporal structural break and the asymmetry in agricultural markets within Cameroon. The econometric results obtained from error correction models allowing for structural break and the asymmetry of shocks show that Cameroonian agricultural markets have become less integrated recently, contributing to the asymmetry in the transmission of shocks from production to consumption markets. Chapter 4 uses a two-country model to provide an international evidence of the integration of agricultural markets in central Africa. The framework consists in estimating vector error correction models usingpanel data to test the causality between product prices between the two countries. The results highlight the existence of a bi-directional causality in both the short and long-run
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Gürbüz, Besek Zehra Yesim. "Crédibilité et efficacité de la politique de ciblage d'inflation en Turquie sur la période 2002-2006." Phd thesis, Université Rennes 2, 2008. http://tel.archives-ouvertes.fr/tel-00298438.
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La Turquie a adopté une politique de ciblage d'inflation d'abord implicite (entre 2002 et 2005), ensuite explicite à partir de 2006. L'objectif de ma thèse est d'étudier la crédibilité et l'efficacité de cette politique et de chercher à voir si elle a pu améliorer le degré de crédibilité de la Banque Centrale de Turquie. Cette politique fait ses preuves dans les premières années: effet du seigneuriage réduit de façon significative, taux d'inflation au-dessous de 10%, croissance supérieure à 6%. On montre théoriquement qu'il s'agit d'une politique monétaire qui évite le biais inflationniste et qui combine différentes mesures permettant d'amélioration la crédibilité. Celle-ci est mesurée à partir des anticipations d'inflation. L'analyse empirique des anticipations d'inflation, faite à partir des erreurs de prévisions, montre que les anticipations sont adaptatives et les agents privés font des erreurs de plus en plus petites dans le temps. Les courbes de rendement décroissantes attestent que les marchés financiers anticipent une désinflation entre 2002 et 2005, mais en 2006 la courbe des taux redevient croissante. Ces constats attestent qu'une certaine crédibilité est assurée, mais qu'elle est fragile. L'analyse économétrique par un VECM des processus joint du taux directeur de la Banque Centrale et de celui du second marché montre l'existence d'un taux d'équilibre à long terme défini par la Banque Centrale. Les tests de Seo concluent que les chocs géopolitiques défavorables n'ont pas affecté la dynamique des taux mais que l'ouverture des négociations sur l'adhésion de Turquie à l'UE a renforcé l'efficacité de la politique monétaire
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Lewin, Natasha Gaertner. "O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11812.
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Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. Dado o efeito da financeirização das commodities, DFM pode capturar efeitos dinâmicos comuns a todas as commodities. Além disso, os dados em painel são aplicados para usar toda a heterogeneidade entre as commodities durante o período de análise. Nossos resultados mostram que a taxa de juros, taxa efetiva do dólar americano e também os dados de consumo têm efeito permanente nos preços das commodities. Observa-se ainda a existência de um fator dinâmico comum significativo para a maioria dos preços das commodities metálicas, que tornou-se recentemente mais importante na evolução dos preços das commodities.
This study analyses the importance of common factors in metal prices movements for the period 1995-2013. For this purpose, cointegrated VAR models and also a Bayesian dynamic factor model are estimated. Given the effect of the financialization of commodities, DFM can capture dynamic effects common to all commodities. Furthermore, panel data is applied in order to use all heterogeneity between commodities over the period. Our estimation results show that interest rate, US dollar effective rate and also consumption data have permanent effect in the commodity prices. Also, there exists one common significant dynamic factor for most metal commodity prices and that this common factor has recently become increasingly important in driving commodity prices.
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.
Full textAbstract:
Tourism is currently the third largest industry within South Africa. Many African countries, including
South Africa, have the potential to achieve increased economic growth and development with the aid of
the tourism sector. As tourism is a great earner of foreign exchange and also creates employment
opportunities, especially low–skilled employment, it is identified as a sector that can aid developing
countries to increase economic growth and development. Accurate forecasting of tourism demand is
important due to the perishable nature of tourism products and services. Little research on forecasting
tourism demand in South Africa can be found. The aim of this study is to forecast tourism demand
(international tourist arrivals) to South Africa by making use of different causal models and to compare
the forecasting accuracy of the causal models used. Accurate forecasts of tourism demand may assist
policy–makers and business concerns with decisions regarding future investment and employment.
An overview of South African tourism trends indicates that although domestic arrivals surpass foreign
arrivals in terms of volume, foreign arrivals spend more in South Africa than domestic tourists. It was
also established that tourist arrivals from Africa (including the Middle East), form the largest market of
international tourist arrivals to South Africa. Africa is, however, not included in the empirical analysis
mainly due to data limitations. All the other markets namely Asia, Australasia, Europe, North America,
South America and the United Kingdom are included as origin markets for the empirical analysis and
this study therefore focuses on intercontinental tourism demand for South Africa.
A review of the literature identified several determinants of tourist arrivals, including income, relative
prices, transport cost, climate, supply–side factors, health risks, political stability as well as terrorism
and crime. Most researchers used tourist arrivals/departures or tourist spending/receipts as dependent
variables in empirical tourism demand studies.
The first approach used to forecast tourism demand is a single equation approach, more specifically an
Autoregressive Distributed Lag Model. This relationship between the explanatory variables and the
dependent variable was then used to ex post forecast tourism demand for South Africa from the six
markets identified earlier. Secondly, a system of equation approach, more specifically a Vector
Autoregressive Model and Vector Error Correction Model were estimated for each of the identified six
markets. An impulse response analysis was undertaken to determine the effect of shocks in the
explanatory variables on tourism demand using the Vector Error Correction Model. It was established that it takes on average three years for the effect on tourism demand to disappear. A variance
decomposition analysis was also done using the Vector Error Correction Model to determine how each
variable affects the percentage forecast variance of a certain variable. It was found that income plays an
important role in explaining the percentage forecast variance of almost every variable. The Vector
Autoregressive Model was used to estimate the short–run relationship between the variables and to ex
post forecast tourism demand to South Africa from the six identified markets.
The results showed that enhanced marketing can be done in origin markets with a growing GDP in
order to attract more arrivals from those areas due to the high elasticity of the real GDP per capita in the
long run and its positive impact on tourist arrivals. It is mainly up to the origin countries to increase
their income per capita. Focussing on infrastructure development and maintenance could contribute to
an increase in future tourist arrivals. It is evident that arrivals from Europe might have a negative
relationship with the number of hotel rooms available since tourists from this region might prefer
accommodation with a safari atmosphere such as bush lodges. Investment in such accommodation
facilities and the marketing of such facilities to Europeans may contribute to an increase in arrivals from
Europe. The real exchange rate also plays a role in the price competitiveness of the destination country.
Therefore, in order for South Africa to be more price competitive, inflation rate control can be a way to
increase price competitiveness rather than to have a fixed exchange rate.
Forecasting accuracy was tested by estimating the Mean Absolute Percentage Error, Root Mean Square
Error and Theil’s U of each model. A Seasonal Autoregressive Integrated Moving Average (SARIMA)
model was estimated for each origin market as a benchmark model to determine forecasting accuracy
against this univariate time series approach. The results showed that the Seasonal Autoregressive
Integrated Moving Average model achieved more accurate predictions whereas the Vector
Autoregressive model forecasts were more accurate than the Autoregressive Distributed Lag Model
forecasts. Policy–makers can use both the SARIMA and VAR model, which may generate more
accurate forecast results in order to provide better policy recommendations.Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.
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ADI, SAPUTRA PUTU MAHARDIKA. "Three essays on international trade." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2010. http://hdl.handle.net/2108/1169.
Full textAbstract:
This doctoral thesis consists of three independent chapters. However, those three chapters discuss a similar big issue, i.e. international trade. In depth, they talk about an empirical case of trade in Southeast Asian area (Chapter 1), and Indonesian manufacturing industries (Chapter 2 and 3). Chapter 1 will put its intention in the bilateral trade relationship among ASEAN (Association of Southeast Asian Nation) countries itself and between ASEAN and their major trading partners, Japan and the US. Chapter 2 will do an investigation on the level of efficiency of Indonesian manufacturing industries and study the determinants of export in Indonesian manufacturing. Finally, Chapter 3 observes the decision of doing export in a specific Indonesian manufacturing industry, i.e. textile and apparel firms. In fact, we specifically put our intention on the theme of export. The discussion of it unifies those 3 chapters. However, each chapter has different emphasizes on its export idea. We stress our analysis on the effect of change in real exchange rate, real domestic income, and real domestic cash balance on the real bilateral trade balance in the first chapter, while in the second chapter; we observe the influence of capital intensity, size, export diversification and technical efficiency on the export performance, then for the last but not the least, third chapter will study the decision to export of Indonesian textile apparel firms. Furthermore, efficiency also obtains our great concern, as we believe that efficiency is one of the important aspects that can positively affect country’s export performance (which is stated by self-selection hypothesis), thus country’s economy as well. When a firm or industry could achieve a higher level of efficiency, it should be able to enjoy a better export performance or a higher probability of becoming an exporter. More exports could be nearly related to more profit which can be collected by a firm, since export can be used by firm as a way for generating profit. Assuming firms will not do exports if they can not get any profit, then through the accumulation of the exporter’s profits, the country’s trade balance and economy will also positively flourish. Efficiency is measured by technical efficiency in the second chapter and by total factor productivity (and labor productivity) in the third chapter. To explain shortly the discussion of the thesis, a concise description about each chapter can be shown as follows.
The first chapter examines the short run and long run effects of real exchange rate, real domestic (foreign) income, and real domestic (foreign) cash balance on the real bilateral trade balance in ASEAN region. Based on quarterly data set 1980q1 to 2007q3, investigations are carried out using VECM method. However, the impulse response functions, the variance decompositions, as well as the OLS are analyzed in order to capture further the dynamic perspective of the research. Expanding our analysis, we do test and analysis for a possibility of the presence of structural break. The Chow test is applied when a structural break with a known break point is considered. While, Zivot and Andrews (1992) unit root test, Gregory and Hansen (1996) cointegration test, and two steps Engle-Granger method are performed when a structural break with an unknown break point is measured. Results show that in the long run: (i) income effect is found to be dominant in determining the change in trade balance, either when a structural break is omitted or allowed; (ii) the cash balance effect do influence the bilateral trade; (iii) the exchange rate effect significantly plays a role only in the period before the regime shift where it is absent in the post regime shift, indicating that the structural break carries a significant impact in removing the positive long run effect of exchange rate on trade balance. With respect to that, the small economy effects are suspected to be present in ASEAN region. Meanwhile, in the short run: (i) the cash balance effect relatively plays a major role in influencing the improvement of trade balance, either when a structural break is omitted or allowed, (ii) compared to cash balance effect, the income effect is present with slightly less difference in contribution; (iii) the exchange rate effect is always observed in all types of analysis and is more discernible when a structural break is omitted, while a J-curve phenomenon is present in minor cases. On the contrary, once a structural break is allowed, we provide lack of evidence for the presence of the phenomenon. The second chapter examines the technical efficiency of Indonesian manufacturing industry by estimating a stochastic production frontier (SPF) and the constant returns to scale (CRS) output-oriented DEA approach. In addition, this chapter also analyzes the determinants of export performance of the industries using panel analytical model. The results show that the estimated mean technical efficiency of Indonesian manufacturing industries which are found by those approaches are lower than 0.5. It indicates that there is substantial inefficiency problem in the industry. Comparing the scores obtained by SPF and DEA, we identify there are six relatively prominent industries in term of efficiency achievement, namely iron & steel, tobacco, transport equipment, food products, industrial chemicals, and machinery, electric. Our results which correspond to the technical efficiency indicate that the estimated mean technical efficiency in the DEA approach is larger than those obtained from the SPF. Utilizing Fixed Effect Model (FEM), we find that all export determinants, i.e. capital intensity (CAP), number of labor (SIZE), diversification (DIV) and technical efficiency (TE) shows the appropriate significant sign. The highest elasticity coefficient is provided by diversification (DIV) variable. With respect to the relationship between efficiency and export performance, we provide evidence for the presence of self-selection hypothesis. Then, the third chapter is devoted to the examination of factors which influence the decision to export of firms in Indonesian textile and apparel industry. Using a panel of firm-level data and a panel probit model, we test for the role of heterogeneous characteristics of firms in determining firms’ probability of exporting. We use two different definitions of firm productivity in our model, i.e. TFP and labour productivity. Besides executing the general estimation for whole observations, we execute as well the disaggregated specifications concerning the firm size (middle and large size). Mostly, the main findings in this study are in line with related previous works. In particular, we find that productivity increases the probability of exporting. Likewise, firm characteristics related to size and foreign ownership has a positive influence on the probability of exporting. On the other hand, variables accounting for capital intensity and Java region dummy affect negatively the decision to export. However, in the general estimation results, we find no significant effect of labor quality on our model. Concerning the estimation results of disaggregated specifications, a consistent finding with the general estimation results is basically provided, except for labor quality variable which is significantly negatively related with exporting in middle-size firms’ case. This condition seemingly reflects the actual state of the textile and apparel industry in the developing economy, such as Indonesia. In which, exporters are generally inclined to be more labor intensive, and ‘cheap’ labors are specifically dominant to be employed among middle firms. Besides, the reason of less competitive in the international market also should be taken into account. Although still showing positive signs, the coefficients of productivity lose their statistical significance when the models are applied for large-sized firms. However, in general, our findings corroborate the self-selection hypothesis.
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Mvita, Mpinda Freddy. "The impact of dividend policy on shareholders' wealth : evidence from the Vector Error Correction Model." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/31010.
Full textAbstract:
Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the cointegrated variables towards their equilibrium values in South Africa. This study attempts to explain the effect of dividend policy on the market price per share. A sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) was selected for the period 1995-2010. Three variables were used, namely the market price per share, the dividend per share and the earnings per share. The market price per share was used as a proxy in measuring shareholders’ wealth and the dividend per share was used as a proxy in measuring the dividend policy. Fixed and random effects models were applied to panel data to determine the relation between dividend policy and market price per share. The fixed effects method was used to control the stable characteristics of the companies over a fixed period. The random effects model was applied when the companies’ characteristics differed. Results for both models indicated that dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share. To test the strength of the long-run relationship, the VECM was applied. The coefficient for dividend per share in the co-integrating equation was positive, while the coefficient for earnings per share was negative. This confirms previous research findings. The results suggest that there is a long-run relationship between dividend per share and market price per share. The Granger causality test indicates there is bi-directional Granger causality between market price per share and dividend per share in South Africa. Therefore dividend policy does have a significant long-run impact on the share price and therefore provides a signal about the company’s financial success.Dissertation (MCom)--University of Pretoria, 2012.
Financial Management
Unrestricted
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Ribeiro, Laudelina Alves. "Indústria de transformação brasileira: uma análise do índice de expectativas dos empresários industriais, investimento privado e emprego (2003-2017)." Universidade Estadual do Oeste do Paraná, 2018. http://tede.unioeste.br/handle/tede/3987.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
The study of the Rational Expectations Hypotesis (REH) had its beginning after the 1960’s, setting the economic agents’ rationality as the theoretical base. The economic agents settle their expectations according to the current economic outlook; therefore, the economic environment becomes an important factor in shaping the entrepreneurs’ expectations, since great part of the decisions which entrepreneurs take occur in an economic scenario more uncertain. This dissertation aims to analyse the influence of the brazilian entrepreneurs’ expectations index in the transformation industry sector over the private investment, as well as the employment level in this industry. The period taken to be analysed is 2003-2017, and the data is monthly. The econometric model used to calculate the influence was estimated by the Vector Error Correction Model (VECM). The results show that the entrepreneurs’ expectations index in the processing industry sector had a considerable influence over the decisions of private investment and the level of employment in that sector in Brazil. Thus, a stable economic scenario leads to an increase in the level of confidence in the industry sector, which can stimulate the growth in the industrial sector output and in several other sectors throughout the country.
O estudo da Hipótese das Expectativas Racionais (HER) iniciou-se após os anos de 1960, tendo como princípio a racionalidade dos agentes. Os agentes econômicos formulam suas hipóteses e expectativas com base no contexto econômico atual; logo, o ambiente econômico torna-se um fator influente na formação das expectativas empresariais visto que, na maioria das vezes, a tomada de decisão dos empresários ocorre em um ambiente de incerteza. O presente estudo tem a finalidade de analisar a influência do índice de expectativas dos empresários brasileiros da indústria de transformação sobre o investimento privado e o emprego desta indústria. O período compreendido no estudo é de 2003 a 2017, com a base de dados mensal. Para avaliar os resultados, o método econométrico utilizado foi estimado pelo Modelo Vetor de Correção de Erros (VECM). Os resultados apontam que, no período estudado, o índice de expectativas dos empresários da indústria de transformação influenciou as decisões relacionadas com o investimento privado e com o emprego das indústrias de transformação do país. Sendo assim, um cenário econômico estável proporciona um aumento da confiança dos empresários industriais, fazendo crescer sua expectativa em relação a seus negócios futuros e à economia do país e proporcionando um aumento de seus investimentos industriais, que podem impulsionar o crescimento da atividade do setor industrial e das demais atividades econômicas do país.
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Yeh, Li-chun, and 葉俐君. "The dynamic association of crude oil price, exchange rate and interest rate -VECM and VECM-GARCH application." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/03722201212174867876.
Full textAbstract:
碩士國立中央大學
產業經濟研究所碩士在職專班
100
Depend on the VECM and VECM-GARCH model, the thesis probe into the dynamic relationship among four variables: exchange rate, interest rate, Brent crude oil price and West Texas Intermediate. According to the 2,416 daily data from FED and U.S. Department of Energy from Jan 4th 2000 to May 29th 2009, the VECM and VECM-GARCH model shows that all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially for exchange rate. By the way, the error correction results of all variables shows an minus trend during long term inspection. It means that once the relationship of all variables escapes the long-term equilibrium, all variables would go down simultaneously for rebalancing to such long-term equilibrium. In addition, the thesis modifies the problem of variation of variables by VECM and VECM-GARCH model which by means of equation under VECM-GRACH (1,1) model could eliminate the variational and self-related issue of residual error. Such problem is caused by long-term date and volatility clustering of variables. Depend on VECM-GRACH (1,1), all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially on exchange rate. Also, there are certain levels of two-way and cause-effect relationship between interest rate and crude oil price. Though the interest rate and crude oil price would influence each other, here in this case, interest rate appears to be more influential.
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Jen, Ming-hsuan, and 任明軒. "The Dynamic Association of Taiwan Stock Index Futures, Stock Index and Exchange Rate - VECM and VECM-GARCH Application." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/61680849574359002018.
Full textAbstract:
碩士國立中央大學
產業經濟研究所
96
This thesis focuses on the Taiwan stock index, stock index futures and the exchange rate as of variables, and the use of VECM VECM-GARCH to examine the correlation among the dynamic, and time is divided into three parts, the results showed that in VECM, the stock and futures in three part-time are affecting each other, and futures influence stock after 2003 has improved. Exchange rate in the first and third part had no significant impact on the stock and futures, and then the second part, the stock and futures are significantly affected. We can see the exchange rate in the long-term has no impact on the stock and futures, but in the short term while the influence larger. Then in VECM-GARCH, the results we found is keeping path with VECM model, which declare an interactive relationship between stock and futures both in short and long-term period, and the stock influence is larger. After 2003 and 2006, futures influenced the stock had improved. Under the long-term, exchange rate has no apparent impact on the stock and futures, but in the short term the influence has more pronounced impact. Based on the above, can be known stock appear to be the informational leading market, but the dominant role of futures becomes more significant after the government policy.
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Chen, Ming-szu, and 陳明賜. "The dynamic association of Taiwan stock market,exchange rate and crude oil price-VECM and VECM-GARCH application." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/52381457498007635441.
Full textAbstract:
碩士國立中央大學
產業經濟研究所
97
This paper attempts to shed light into the long-run and the short-run relationship among Taiwan stock market, exchange rate and crude oil price. Based on ADF unit root tests, all series become stable after first difference. Therefore, Johanson’s Co-integration method has been applied. The results obtained by using this method provided co-integrating relationship among Taiwan stock index, the exchange rate and crude oil price. Respectively adding Plastics Stock Index , Textiles Stock Index, Electrical and Mechanical Stock Index , methodology of co-integration also provides evidence of unique co-integrating vector. Results from VECM confirm that exchange rate movements and oil price movements both play important roles in affecting Taiwan stock market. In the short run , exchange rate movements have significant negative influence on the Taiwan Stock Index movements, Plastics Stock Index movements, Textiles stock index movements, and Electrical and Mechanical stock index movements. Also, crude oil price movements have the similar impacts on Taiwan stock market with exchange rate movements. Finally, we perform VECM-GARCH model . we find that the results from VECM-GARCH keep path with the results from VECM.
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Hsuan, Huang Yu, and 黃語軒. "Forecasting Taiwan weighted stock Index with VECM." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/47926946503142244152.
Full textAbstract:
碩士國立彰化師範大學
財務金融技術學系
102
Taking advantage of the unit root test, Johansen cointegration test, VECM, Granger causality test and the prediction of TAIEX, the study investigates the connections between TAIEX and macroeconomic variables that include TAIEX, composite index of coincident indicators, composite index of leading economic indicators, value of exports, Consumer Price Index, rates…etc. from 2007 to 2012 to carry out the empirical analysis. The findings are repectively shown as follows: 1. The cointegration exists in TAIEX and macroeconomic variables. 2. From VECM the postive stochastic trends exist in TAIEX and rates. 3. From Granger causality the feedback exists in TAIEX and composite index of leading economic indicators. Furthermore, the study indicates that TAIEX in the next 12 months will rise and decline in cycle.
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Claudina, Inês Fernandes. "Consumer credit analysis: a VAR/VECM methodology." Master's thesis, 2019. http://hdl.handle.net/10451/41504.
Full textAbstract:
Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2019O principal objectivo desta dissertação é apresentar uma análise empírica capaz de descrever o canal de crédito do sector privado em Portugal, com foco nas disparidades causadas pela crise de 2008. Para este propósito analisou-se um conjunto de quatro séries temporais, o Produto Interno Bruto (PIB), a taxa Euribor a 3 meses (Euribor), a taxa de inflação (IPC) e o crédito ao consumo do setor privado (CC) entre o primeiro trimestre de 2003 e o último trimestre de 2018. Os dados utilizados foram obtidos no site Pordata. Começa-se com o estudo da estacionaridade das séries temporais e a significância das mesmas, seguido pela implementação do modelo VEC para responder a várias questões. Posteriormente será feita uma análise da função Impulso-resposta para o modelo estimado mais apropriado para avaliar o efeito de um impulso (ou choque) na série temporal. O principal interesse no uso desses modelos é a possibilidade de separar os componentes endógenos e exógenas da política monetária para estudar a dinâmica das séries temporais a longo prazo e medir a resposta das variáveis a choques inesperados.
The main objective of this dissertation is to present an empirical analysis that is able to describe the credit channel for households in Portugal, focusing on the disparities caused by the 2008 crisis. For this purpose, it was analysed a set of four times series including GDP (GDP), 3 months Euribor rate (EURIBOR), Inflation Rate (CPI) and Households Consumer Credit (CC) between the first quarter of 2003 to the last quarter to 2018. The data used was taken from Pordata website. The subject in question begins with the study of the stationarity of the time series and the significance of the same followed by the implementation of the VEC model to answer several questions around this topic. It will be done an Impulse response function analysis for the most appropriate estimated model to assess the effect of an impulse (or shock) to the time series. The main interest in the use of these models is the possibility of separate the endogenous and exogenous components of monetary policy to study the dynamic of time series in the long-term and measuring the response of variables to unexpected shocks.