Dissertations / Theses on the topic 'Vector autoregression'
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Brännström, Tomas. "Bias approximation and reduction in vector autoregressive models /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1995. http://www.hhs.se/efi/summary/405.
Full textDutta, Bordoloi Suwodi. "Interdependence of US Industry Sectors Using Vector Autoregression." Digital WPI, 2009. https://digitalcommons.wpi.edu/etd-theses/1073.
Full textJeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.
Full textUnosson, Måns. "A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297406.
Full textZhang, Wei. "A sensitivity study on identification schemes of the structural vector autoregression /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025669.
Full textPetrov, Krassimir M. "Forecasting the dairy price complex : an application of Bayesian Vector autoregression modelling /." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1488193272066522.
Full textBrännström, Tomas. "Bias approximation and reduction in vector autoregressive models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 1995. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-878.
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Jordanov, Jordan V. "The size anomaly in the London Stock Exchange : an empirical investigation." Thesis, Loughborough University, 1998. https://dspace.lboro.ac.uk/2134/7067.
Full textWhite, Alexander B. "Pre- and post-retirement asset allocation: a simulation of retirement investment strategies for agricultural producers." Diss., Virginia Tech, 1995. http://hdl.handle.net/10919/38097.
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Brüggemann, Ralf. "Model reduction methods for vector autoregressive processes /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0818/2003067373-d.html.
Full textWong, Kin-man, and 黃健文. "A vector autoregression (VAR) model of housing starts and housing price in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/194603.
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Cheong, Onn Kee. "A Study of the Interdependence of Four Major Stock Markets Using a Vector Autoregression." Thesis, University of North Texas, 1989. https://digital.library.unt.edu/ark:/67531/metadc500682/.
Full textSharp, Gary David. "Lag length selection for vector error correction models." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002808.
Full textLee, Joo Young, and Youn Mi Lee. "Dynamic Impact of Aging on Income Inequality in the U.S. with Vector Autoregressive Model." Digital Commons @ East Tennessee State University, 2020. https://dc.etsu.edu/secfr-conf/2020/schedule/57.
Full textAfonso, Ana Catarina Leitão. "Bond fund runs: The financial crisis case." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11686.
Full textThis paper studies the monthly flows of bond fund geographically focused on Europe and on the United States in the period between 2002 and 2012, with special attention to the effect of the financial crisis of 2008. Through the usage of the panel quantile regression model, this study aims to identify which funds, in terms of their characteristics, are more likely to suffer a run. The main finding is that the impact of the characteristics of fund flows is not equal for all funds, varying with issuer entity, the state of the economy as well as the focus of the fund. During the financial crisis, runs were more pronounced, situation that still affects funds geographically focused on Europe.
Gilleran, Sean. "Online Regime Switching Vector Autoregression Incorporating Spatio-temporal Aspects for Short Term Wind Power Forecasting." Thesis, KTH, Elkraftteknik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-217117.
Full textI detta arbete undersöks och implementeras autoregressiva modeller för vindkraftprognoser för en kort tidshorisont. Metoden tar hänsyn till samvariationer i tid och rum mellan olika vindkraftanläggningar och använder regimer som baseras på väderförhållanden för att förbättra prognoserna. Vi föreslår nya autoregressiva regimer, implementerar modellerna i .NET och utvärderar dem. Vektor autoregressiva modeller utnyttjar korrelationen mellan olika anläggningar genom att ta med information i närtid från andra anläggningar i samma region i modellen och på så vis förbättra prognoserna. Regimerna skapas med en klustermetod för K-medelvärde som baseras på väderförhållandena. Alla föreslagna modeller anpassas till historiska data för 2015 för 24 vindkraftanläggningar i Sverige och Finland. Prognoser skapas för 2016 och används för att utvärdera modellerna för var och en av de 24 anläggningarna. De föreslagna modellerna har implementerats i .NET i miljön för Vitecs Aiolos Forecast Studio, vilket är ett program som används av många operatörer i norra och västra Europa för att göra vindkraftprognoser. Aiolos modell baseras på en rad olika numeriska väderprognosmodeller och adaptiva statistiska maskinlärningsalgoritmer. De föreslagna modellerna visar sig ha lägre fel jämfört med Aiolos modell och andra autoregressiva modeller som använts som riktmärken. De förbättrade kortsiktiga vindkraftsprognoserna kommer vara underlag för operativa och finansiella beslut för Vitecs kunder och innebära betydande minskningar av balanskostnader. Förbättringen uppskattas kunna minska kostnaderna för Vitecs kunder med så mycket som mellan 9.4 miljoner och 42.3 miljoner Euro. Att utnyttja korrelationer mellan olika vindkraftanläggningar visar sig ha fortsatt stor betydelse för att förbättra vindkraftprognoser.
Barassi, Marco Raffaele. "Identifying causal structures of cointegrated vector autoregression with an application to the G7 interest rates." Thesis, Imperial College London, 2001. http://hdl.handle.net/10044/1/8719.
Full textSingh, Isha. "Reinforcement Learning For Multiple Time Series." University of Cincinnati / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1573223551346074.
Full textAndersson, Sebastian. "On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives." Thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.
Full textAbdul-Hadi, Ahmad Ibrahim Malawi. "The impact of monetary policy on consumer durable goods : empirical study by using vector autoregression (VAR) models /." free to MU campus, to others for purchase, 1999. http://wwwlib.umi.com/cr/mo/fullcit?p9953841.
Full textLytsenko, M., Тетяна Олександрівна Маринич, Татьяна Александровна Маринич, and Tetiana Oleksandrivna Marynych. "Econometric modeling of nonstationary processes." Thesis, Karazin National University, 2015. http://essuir.sumdu.edu.ua/handle/123456789/68631.
Full textCrawford, Claudia. "The Sectoral Impact of Monetary Policy in Australia: A Structural VAR Approach." Thesis, Discipline of Economics, 2008. http://hdl.handle.net/2123/2293.
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Modin, Johan. "An Interest Rate Benumbed : Evidence from a structural VAR; can a structural break be found in recent monetary policy transmission?" Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-376792.
Full textKalmár, Marcus, and Joel Nilsson. "The art of forecasting – an analysis of predictive precision of machine learning models." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-280675.
Full textSumner, Steven W. "Bank equity and the monetary transmission mechanism /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2003. http://wwwlib.umi.com/cr/ucsd/fullcit?p3099930.
Full textRibeiro, Teresinha Pontes. "Analysis of monetary policy on the collection of VAT in the state of Ceara using the model of vector autoregression." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4773.
Full textThis research aims to analyze quantitatively the impact of monetary policy promoted by the Central Bank of Brazil on the behavior of the tax revenue of ICMS in CearÃ. Thus, we considered information on the collection of industrial, retail and electric, beyond the rate of open unemployment in Fortaleza, and how the transmission mechanism of monetary policy used the Selic interest rate. The model used here is composed of vector autoregression and arguments based on Toda and Yamamoto (1995), and impulse response functions and variance decomposition. The results suggest that a positive shock in monetary policy has negative impact on the tax revenue of ICMS of industry and trade, while the effect on revenues in the electricity sector is positive. And the positive impact of interest rate on the unemployment rate in Cearà is positive, so increases in interest rates tends to increase unemployment in CearÃ.
Esta pesquisa se propÃe a analisar de maneira quantitativa os impactos da polÃtica monetÃria promovida pelo Banco Central do Brasil (BACEN) sobre o comportamento da arrecadaÃÃo setorial de ICMS no CearÃ. Para isso, foram consideradas informaÃÃes sobre a arrecadaÃÃo dos setores industrial, comÃrcio varejista e elÃtrico, alÃm da taxa de desemprego aberta de Fortaleza, e como mecanismo de transmissÃo da polÃtica monetÃria utilizou-se a taxa de juros SELIC. O modelo empregado aqui à composto por vetores autorregressivos e baseados nos argumentos de Toda e Yamamoto (1995), alÃm de funÃÃes impulso resposta e decomposiÃÃo da variÃncia. Os resultados sugerem que um choque positivo na polÃtica monetÃria exerce impacto negativo sobre as arrecadaÃÃes de ICMS da indÃstria e do comÃrcio varejista, enquanto que o efeito sobre arrecadaÃÃo do setor elÃtrico à positivo. E os choques positivos da taxa de juros sobre a taxa de desemprego cearense à positivo, sendo assim, aumentos na taxa de juros tende a aumentar o desemprego no CearÃ.
Pilström, Patrick, and Sebastian Pohl. "Forecasting GDP Growth : The Case of The Baltic States." Thesis, Jönköping University, JIBS, Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-9776.
Full textThe purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables.
The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with those of several other actors. It is reasonable to assume that some of the forecasts for t+16 have reliable results. The Lithuanian forecast show a fall in GDP with 12.51 per cent in 2009 and a GDP growth of 4.23 per cent in 2010. The forecast for Estonia show that the GDP will decrease with 1.49 per cent in 2009 and 12.72 per cent in 2010. Finally the forecast for Latvia show a fall in GDP of 3.1 per cent in 2009 and 18 per cent in 2010. From the findings it is possible to conclude that the model provided reliable estimates of future levels of GDP for the Baltic States and the benchmark countries. This indicates that the model should be applicable on other countries of interest.
Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.
Full textAn, Lian. "THREE ESSAYS ON EXCHANGE RATE AND MONETARY POLICY." UKnowledge, 2006. http://uknowledge.uky.edu/gradschool_diss/491.
Full textLennman, Oscar. "The Fiscal Spending Multiplier in a Panel of OECD Countries." Thesis, Umeå universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-129233.
Full textDong, Juntao. "Reinforcement Learning for Multiple Time Series: Forex Trading Application." University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1613745680121778.
Full textSålder, Christofer. "In search of a smoking gun : The repo rate’s effect on household debt-to-income ratio." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-217562.
Full textGudmundsson, Gudmundur Stefan. "Essays in network modelling." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/663096.
Full textAquesta tesi consisteix en dos capítols sobre models de dades de sèries temporals. El primer capítol introdueix una classe de models de vector autoregressius (VAR) amb una estructura de comunitat per panels de dades de sèries temporals. En el model, les sèries es parteixen en grups latents de tal manera que els spillover són ées forts dins de grups que entre ells. Llavors proposem un algoritme que utilitza el vector d’eigen d’una funció de les matrius autoregressives estimades per recuperar les comunitats. Estudiem les propietats del procediment i establim la seva consistència. L’algoritme ens motiva a suggerir un estimador regulat del VAR, el qual actua favorablement en relació a un nombre d’alternatives en una exercici d’ estimació. La metodologia s’aplica per estudiar el clustering en la producció industrial per un conjunt d’economies importants. El segon capítol introdueix una classe de models de xarxa de correlació parcials amb una estructura de comunitat. La èerie forma grups desconeguts, on la correlació és més alta dins de grups que altrament. Proposem un algoritme que detecta consistentment les comunitats que utilitzen els vectors d’eigen de la matriu de mostra de covariáncia. El procediment s’utilitza per analitzar el clustering en l’activitat real en els EUA i Europa.
Hallberg, David, and Erik Renström. "PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?" Thesis, KTH, Optimeringslära och systemteori, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252557.
Full textDetta examensarbete undersöker den statistiska och ekonomiska prestationen i att modellera och prognostisera aktieindexavkastning via applikation av flertalet statistiska modeller på en datamängd bestående av makroekonomiska och finansiella variabler. Genom att kombinera linjär huvudkomponentsregression (principal component analysis), vektorautoregression och den återkopplande neurala nätverksmodellen LSTM finner författarna att även om majoriteten av modellerna påvisar hög statistisk signifikans så överpresterar praktiskt taget ingen av dem mot klassisk portföljteori på effektiva marknader, sett till riskjusterad avkastning. Flera implikationer diskuteras också baserat på resultaten
Lundberg, Otto. "GDP forecasting and nowcasting : Utilizing a system for averaging models to improve GDP predictions for six countries around the world." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-131718.
Full textDen här studien beställdes av Swedbank eftersom de ville förbättra sin BNP-prediktionsförmåga. Ett dataprogram utvecklades och testades på sex länder; USA, Sverige, Tyskland, Storbritannien, Brasilien och Norge. I den här rapporten undersöker jag om jag kan minska felmarginalen för BNP-utvecklingsprognoser genom att ta ett smart genomsnitt från flera olika modeller jämfört med både den bästa individuella modellen och en random walk. Jag kombinerar prognoser från fyra modellgrupper: Vektor autoregression, principalkomponentanalys, maskininlärning och random walk. Det smarta genomsnittet skapas genom att ge mer vikt till de modeller som har lägst historiskt felmarginal. Olika viktningsscheman utforskas; hur långt bak i tiden ska vi mäta? Hur hårt ska dåliga prediktioner bestraffas? Jag visar att för de sex länderna i studien presterar det smarta genomsnittet bättre än den enskilt bästa modellen och fem av de sex länderna slår en random walk med mer än 25%.
Hassanzadeh, Mohammadtaghi. "A New State Transition Model for Forecasting-Aided State Estimation for the Grid of the Future." Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/64407.
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Wang, Ruolin. "Essays on the information flow between equity and credit markets: Before, during and after the financial crisis." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/200152/1/Ruolin_Wang_Thesis.pdf.
Full textFernandes, Pedro Manuel Ribeiro. "The role of banks in economic growth : an empirical application to Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19408.
Full textEsta dissertação avalia o contributo dos bancos para o crescimento económico em Portugal desde a adopção do Euro, usando testes de cointegração e causalidade, bem como funções de resposta a impulsos. Usando rácios de passivos líquidos (depósitos) dos bancos e empréstimos em percentagem do PIB nominal como medidas do desenvolvimento financeiro, encontramos forte evidência de que o crescimento económico exerce um impacto positivo no desenvolvimento financeiro, de acordo com Demetriades e Hussein (1996). Concluiu-se também que os empréstimos bancários não aumentam o produto real no longo e no curto prazo, também de acordo com Demetriades e Hussein (1996). Ao invés disso, estes têm um efeito negativo no PIB real per capita. Esses resultados corroboram a visão defendida por Robinson (1952), como citado em King e Levine (1993a) e Lucas (1988), de que o financiamento apenas evolui em resposta aos desenvolvimentos da economia.
This dissertation evaluates the role of banks in economic growth in Portugal since the adoption of the Euro, using cointegration and causality tests, as well as impulse response functions. Using ratios of banks? liquid liabilities (deposits) and loans to nominal GDP as a measure of financial development, we find strong evidence of economic growth exerting a positive impact on financial development, in line with Demetriades and Hussein (1996). It was also concluded that bank lending does not boost real output both in the long-run and in the short-run, also in line with Demetriades and Hussein (1996). Instead, it has a negative effect on real per capita GDP. These results support the view championed by Robinson (1952), as cited in King and Levine (1993a), and Lucas (1988), that finance only evolves in response to developments in the economy.
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Duong, Thithuy Nga. "Ciblage de l'inflation et politique monétaire au Vietnam." Thesis, Lyon 2, 2012. http://www.theses.fr/2012LYO22020.
Full textInflation targeting (hereafter IT) is the newest monetary policy framework in the world. The practice of IT has been chosen by both advanced countries and emerging countries. However, two main issues are still under debate particularly in emerging and developing countries. They are the benefits of IT and preconditions to success adoption. Empirically, we showed that IT is considered as a successful monetary policy framework for emerging countries. In addition, it is not necessary for emerging markets to satisfy all stringent preconditions to successfully adopt IT. In practice, the fiscal situation and the central bank independence play a more important role than other conditions and need to be prepared first.Basing on Structural Vector Autoregression (SVAR), the thesis concludes that Vietnamese monetary policy currently does not effectively control the inflation rate. Inflation targeting framework would be a solution to this. Nonetheless, this thesis concludes that at this moment in time Vietnam is not able to adopt the IT framework, as it still must prepare some of the preconditions required before official adoption. The recommendations of hardening the budget constraint and increase central bank independence in relationship with government are suggested before implementing IT strategy
Perez, Tomas Rene. "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument." Miami University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786.
Full textAchsani, Noer Azam, and Hans Gerhard Strohe. "Dynamische Zusammenhänge zwischen den Kapitalmärkten der Region Pazifisches Becken vor und nach der Asiatischen Krise 1997." Universität Potsdam, 2002. http://opus.kobv.de/ubp/volltexte/2007/1214/.
Full textInternational capital markets linkages have been studied since the early 90-es. Most of these studies have focused on the US and other developed markets. There are only few researches on this topic in the emerging markets. This paper examines the dynamic linkages between Pacific-Basin stock markets before and after the Asian Crisis 1997, using the vector autoregressive (VAR) approach. Our study shows that all Asia-Pacific stock markets are integrated with each other,except China. Following Asian Crisis 1997, the markets became more integrated. The Asian crisis had a global effect on all stock markets in Pacific-Basin region. The linkages between stock markets after the crisis are stronger than those before the crisis. Markets that are geographically and economically closer to each other tend to have a stronger correlation The result shows that the US market is not the only dominant market in the region. The study notes that the other developed markets such as New Zealand, Australia, Hongkong and Singapore are further comparatively dominant markets besides US market. A shock in one market is rapidly transmitted to other markets. Shocks in the emerging markets are also swiftly passed to other markets, but without having such a big effect compared to those in the developed markets.
Dahlberg, Magnus, and Gombrii Anders. "Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-439138.
Full textIn recent years, the Riksbank has been criticized for their underperforming forecasts of Swedish exchange rates. This thesis examines whether the random walk (RW) is the most successful forecasting model when forecasting the exchange rate (SEK / USD) or whether alternative economic forecasting models (AR, VAR and VECM) can estimate future exchange rates more accurately. Both in the short and medium term, one respectively four quarters ahead. In these forecast models, five Swedish macroeconomic variables are treated as endogenous; CPI, GDP, unemployment, three-month Treasury-bonds (T-Bonds), and an exogenous variable, US GDP. The data used is quarterly data from the first quarter of 1993 to the second quarter of 2020 for each variable. Results from the study show that RW is more accurate than the multivariate models (VAR and VECM) in both the short and medium term. The residuals are evaluated by looking at root mean square error (RMSE) from the respective forecast.
naz, saima. "Forecasting daily maximum temperature of Umeå." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-112404.
Full textAkpan, Nkereuwem I. "The Impact of External Shocks on Nigeria’s GDP Performance within the Context of the Global Financial Crisis." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17454.
Full textKim, Gil. "THREE ESSAYS ON EXCHANGE RATE ECONOMICS." UKnowledge, 2009. http://uknowledge.uky.edu/gradschool_diss/752.
Full textWichmann, Roberta Moreira. "Ensaios econométricos sobre política fiscal no Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2012. http://hdl.handle.net/10183/54598.
Full textThis article presents an econometric study of the Brazilian fiscal policy with the objective of evaluating, in the period extending from 2001 to 2010, using monthly data, how the different components of fiscal policy respond to the dynamics of the product. Firstly, the identification and analysis of the components of the policy are made: fiscal impulse and fiscal rule following the guidance of different methodologies (OECD, IMF, Dutch method and Kalman filter). Thus, it is possible to assess whether the policy is timely and responsive, to observe how big the impact of each component of the response to negative shocks is in the product and, lastly, compare the fiscal results with the results also found for monetary policy. For this purpose it used the technique of vector autoregression. The estimation results indicate that the fiscal rule is presented in a timely manner and react more quickly, in general terms, to reduce the gap when compared to interest rates and fiscal stimulus. In relation to fiscal impulse the estimation results were not as homogeneous. Monetary policy has slightly differing results when it comes to the speed of adoption of countercyclical measures. The analysis of fiscal police via the Kalman filter seems to be most suitable.
Chung, Joonho. "Empirical study on the effects of monetary policy on the exchange rates : the role of uncertainty in monetary policy /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901229.
Full textLiu, Guangling. "Forecasting with DSGE models : the case of South Africa." Thesis, University of Pretoria, 2008. http://hdl.handle.net/2263/25396.
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Karl, Velander, and Callerud Karin. "The development of the financialsystem and economic growth in Sweden : A Granger causality analysis." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78703.
Full textSemião, Patrícia Margarida Floro. "Efeitos macroeconómicos do investimento público central e local: uma comparação internacional." Master's thesis, ISEG, 2008. http://hdl.handle.net/10400.5/21971.
Full textO investimento público tem sido alvo de interesse por parte das investigações económicas mais recentes, enquanto uma variável que pode fomentar o crescimento económico. Através da observação dos seus impactos na economia, consegue-se compreender se os esforços empreendidos no investimento público são eventualmente produtivos. Este estudo pretende analisar essa produtividade, medindo os efeitos do investimento público no PIB, no investimento privado e no emprego, no longo prazo. A especificidade do exposto neste trabalho consiste numa desagregação diferente do investimento público, ao analisar em separado os efeitos do investimento feito pela administração central, pela administração local e pela administração estadual, quando aplicável. É efectuado para sete países da União Europeia, a saber; Alemanha, Bélgica, Finlândia, França, Holanda, Itália e Portugal, permitindo assim uma comparação a nível internacional. A abordagem metodológica baseia-se em modelos de vectores autoregressivos - modelos VAR. Com base nas funções acumuladas de resposta a um impulso por tipo de investimento público, são calculadas as elasticidades, as produtividades marginais parciais e totais do PIB e do investimento privado, bem como as taxas de rendibilidade parciais e totais do PIB. É ainda calculado o número marginal de empregos criados. Conclui-se que, de modo geral, o investimento público por subsector é produtivo, apresentando efeitos positivos no PIB, no investimento privado e no emprego. Por tipo de investimento público, o investimento local tem sempre efeitos positivos no PIB, apresenta impactos positivos no investimento privado para um maior número de países e, no emprego, embora as elasticidades de longo prazo sejam superiores, os empregos criados são menores do que para o investimento central.
Public investment has been a target of many economical investigations in the recent years, because of its potential to promote economic growth. Through the observation of its impacts in the economy, one can understand if the efforts of public investment are productive. The aim of this study is to analyse that productivity, through the measurement of the public investment effects in the long run in GDP, private investment and employment. The specificity of this work, is the different disaggregation of public investment, that analyse separately the effects of public investment made by the central administration, local administration and state administration, when exists. It is made to seven European Union countries: Germany, Belgium, Finland, France, Netheriands, Italy and Portugal, allowing an intemational comparison. The methodological approach is a model of vector autoregression - a VAR model. With theaccumulated impulse response functions for different t ypes of public investment, elasticities, partial and total marginal productivities and, partial and total rates of retum are calculated for GDP. The number of marginal jobs is also calculated. One can conclude that, generally, public investment is productive, with positive effects in GDP, in private investment and in employment. For a analyse through different types of public investment, the local one hasalways positive effects in GDP, has positive effects in private investment for most countries and, in employment, although the elasticities are greater, the job creation are less than for the central investment.
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