Dissertations / Theses on the topic 'VECM'
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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.
Full textRyhage, 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.
Full textLe, 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.
Full textCachapa, 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.
Full textCarmona, 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.
Full textA 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.
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.
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.
Full textCarvalho, 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.
Full textA 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.
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.
Full textFundo Mackenzie de Pesquisa
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).
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.
Full textMd, 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.
Full textCaldas, 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.
Full textThis 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.
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.
Full textPurpose: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.
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.
Full textHeinlein, 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.
Full textTao, Juan. "A re-examination of the relationship between FTSE100 index and futures prices." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8071.
Full textKpondjo, Nadia. "Modélisation de la compétitivité industrielle." Thesis, Paris 10, 2016. http://www.theses.fr/2016PA100127.
Full textThis 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
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/.
Full textRadkovský, 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.
Full textPinheiro, 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.
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.
Full textA 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.
Full textMoabelo, Julith Tsebisi. "Analysing potato price volatility in South Africa." Thesis, University of Limpopo, 2019. http://hdl.handle.net/10386/3049.
Full textPotato 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.
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.
Full textLabossiere, Eddy. "Monnaie et inflation dans les économies en développement : Emphase sur Haïti." Thesis, Antilles-Guyane, 2013. http://www.theses.fr/2013AGUY0701/document.
Full textSince 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
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.
Full textHadad, 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.
Full textThe 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.
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.
Full textBohlandt, Florian Martin. "Single manager hedge funds - aspects of classification and diversification." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85859.
Full textA 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.
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.
Kirikkaleli, Dervis. "Foreign direct investment in the banking sector : empirical evidence from Turkey." Thesis, University of Stirling, 2013. http://hdl.handle.net/1893/19308.
Full textSchmidt, 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.
Full textBerkouch, 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.
Full textThe 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).
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.
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.
Full textBentivoglio, 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.
Full textThe 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.
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.
Full textThe 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
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.
Full textNtsama, 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.
Full textThis 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
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.
Full textLewin, 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.
Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.
Full textThesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.
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 textMvita, 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 textDissertation (MCom)--University of Pretoria, 2012.
Financial Management
Unrestricted
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.
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 text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.
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 text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.
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 text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.
Hsuan, Huang Yu, and 黃語軒. "Forecasting Taiwan weighted stock Index with VECM." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/47926946503142244152.
Full text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.
Claudina, Inês Fernandes. "Consumer credit analysis: a VAR/VECM methodology." Master's thesis, 2019. http://hdl.handle.net/10451/41504.
Full textO 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.