Relevant bibliographies by topics / Cointegration models / Dissertations / Theses
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Dissertations / Theses on the topic 'Cointegration models'

Author: Grafiati
Published: 28 May 2022
Last updated: 18 July 2025

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1

Pashourtidou, Nicoletta. "Cointegration in misspecified models." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252324.

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2

Al-Balaa, Norah Rashid. "On the estimation of cointegration models." Thesis, Aberystwyth University, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271006.

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3

Silvestrini, Andrea. "Essays on aggregation and cointegration of econometric models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210304.

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This dissertation can be broadly divided into two independent parts. The first three chapters analyse issues related to temporal and contemporaneous aggregation of econometric models. The fourth chapter contains an application of Bayesian techniques to investigate whether the post transition fiscal policy of Poland is sustainable in the long run and consistent with an intertemporal budget constraint.<p><p><p>Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models. <p><p><p>A unified overview of temporal aggregatio
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4

Li, Hongyi. "Small sample inference in unit roots and cointegration models." Connect to resource, 1995. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1263403552.

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5

Abhayaratne, Anoma S. P. "Growth and international trade in developing countries : an empirical analysis." Thesis, University of Essex, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.242227.

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6

Lebo, Matthew Jonathan. "Fractional Integration and Political Modeling." Thesis, University of North Texas, 1999. https://digital.library.unt.edu/ark:/67531/metadc2229/.

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This dissertation investigates the consequences of fractional dynamics for political modeling. Using Monte Carlo analyses, Chapters II and III investigate the threats to statistical inference posed by including fractionally integrated variables in bivariate and multivariate regressions. Fractional differencing is the most appropriate tool to guard against spurious regressions and other threats to inference. Using fractional differencing, multivariate models of British politics are developed in Chapter IV to compare competing theories regarding which subjective measure of economic evaluations b
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7

Li, Dao. "Common Features in Vector Nonlinear Time Series Models." Doctoral thesis, Högskolan Dalarna, Statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:du-13253.

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This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecast
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8

Andersson, Michael K. "On testing and forecasting in fractionally integrated time series models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1998. http://www.hhs.se/efi/summary/467.htm.

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9

Brännström, 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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In the last few decades, vector autoregressive (VAR) models have gained tremendous popularity as an all-purpose tool in econometrics and other disciplines. Some of their most prominent uses are for forecasting, causality tests, tests of economic theories, hypothesis-seeking, data characterisation, innovation accounting, policy analysis, and cointegration analysis. Their popularity appears to be attributable to their flexibility relative to other models rather than to their virtues per se. In addition, analysts often use VAR models as benchmark models. VAR modeling has not gone uncriticised, th
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10

Custódio, Sandra Cristina Casquinha Gancho da Silva. "Curva de Phillips para Portugal : uma abordagem de cointegração." Master's thesis, Instituto Superior de Economia e Gestão, 1998. http://hdl.handle.net/10400.5/18802.

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Mestrado em Matemática Aplicada à Economia e à Gestão<br>A presente dissertação surge no âmbito da disciplina de Econometria I do curso de Mestrado em Matemática Aplicada à Economia e à Gestão, como proposta de um estudo de aplicação, e se possível desenvolvimento, de algumas técnicas econométricas leccionadas ao longo do curso. A este objectivo de carácter mais pedagógico juntou-se um genuíno interesse científico pelo tema: a cointegração é uma matéria "de ponta" no âmbito da econometria, tendo em si mesma um rigoroso suporte teórico em termos estatísticos, sendo naturalmente apli
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11

Silva, Bruno Gonçalves da. "Evolução do setor elétrico brasileiro no contexto econômico nacional: uma análise histórica e econométrica de longo prazo." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/86/86131/tde-12032012-091848/.

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A energia elétrica tem papel fundamental em todos os lugares do mundo e, no Brasil, a importância não poderia ser menor. Com sua implantação no país no final do século XIX, o setor passou por diversos períodos de crescimento com características distintas. A economia nacional, de forma similar ao setor elétrico, ao longo do mesmo período passou por fases de grande expansão e por fases de crise. Nesse contexto, o presente trabalho analisa a evolução da economia e do setor elétrico nacionais desde o final do século XIX até o ano de 2010 e, com isso, busca investigar de que forma se relacionaram o
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12

Golab, Anna. "An investigation into the volatility and cointegration of emerging European stock markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.

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This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability. The majority of prior studies on stock market comovements
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13

Verner, Jan. "Analýza konvergence vybraných finančních ukazatelů ČR a EU." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81859.

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This thesis deals with the nominal and real convergence for Czech Republic and the Euro zone. It also includes analysis of synchronization of economic development in Czech and European economies for identifying potential risks associated with introducing the euro in the CR. The thesis describes different types of convergence and the relevant indicators with their historical evolution and hypothesis about future trends. The empirical part of the paper analyzes some selected indicators using econometric VAR models and linear and non-linear models of conditional heteroskedasticity. A suitable mod
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14

Бардадим, Т. О., Ю. П. Лаптін, J. F. Emmenegger та В. М. Домрачев. "Моделі коінтегрування як засіб розробки ринкових стратегій". Thesis, Українська академія банківської справи Національного банку України, 2008. http://essuir.sumdu.edu.ua/handle/123456789/61458.

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Сучасна світова фінансова криза вимагає розробки антикризових заходів, основою яких повинна бути стратегія протидії зовнішнім чинникам, які негативно впливають на українську економіку. Розробці моделей виявлення таких чинників присвячена запропонована робота.
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15

Yang, Kai. "Essays on Multivariate and Simultaneous Equations Spatial Autoregressive Models." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461277549.

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16

Starkey, Randall Ashley. "Financial system development and economic growth in selected African countries: evidence from a panel cointegration analysis." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002713.

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Financial systems (i.e. banking systems and stock markets) can influence economic growth by performing the five key financial functions, namely: mobilising savings, allocating capital, easing of exchange, monitoring and exerting corporate governance, as well as ameliorating risk. The level of development of the financial system is a key determinant of how effectively and efficiently these functions are performed. This study examines the short-run and long-run relationships between financial system development and economic growth for a panel of seven African countries (namely: Egypt, Ivory Coas
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17

Dias, Gustavo Fruet. "Uma estimativa da taxa de câmbio real com mudança de regime markoviano : uma análise para o Brasil 1994 a 2005." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2006. http://hdl.handle.net/10183/8785.

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A presente dissertação de conclusão de mestrado tem por objetivo contribuir com a literatura existente que versa acerca da estimação da Taxa de Câmbio Real (RER) através de fundamentos econômicos. O objetivo deste trabalho é utilizar o instrumental teórico de modelos com mudança de regime (Markov Switching) aplicado sobre os fundamentos que determinam a RER em um modelo de Cointegração. O modelo teórico utilizado para a estimação foi o proposto por Montiel (1999), modelo este que é mais indicado para países em desenvolvimento, para o período de 1994 até 2005. Os resultados obtidos na estimação
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18

Nahhas, Abdulkader. "Essays in international finance and banking." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13160.

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In this thesis financial movements are considered in terms of foreign direct investment (FDI) and a related way to international banking. In Chapter 2 FDI is analysed in terms of the major G7 economies. Then this is further handled in Chapter 3 in terms of bilateral FDI (BFDI) data related to a broader group of economies and a main mode of analysis the Gravity model. Gravity models are then used in Chapter 4 to analyse bilateral cross border lending in a similar way. While the exchange rate effect is handled in terms of volatility and measured using models of conditional variance. The analysis
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19

Tonguc, Ozlem. "Wheat Price Dynamics In Turkey: A Nonlinear Analysis." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612357/index.pdf.

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Wheat is an extremely important agricultural commodity, due to its crucial role in everyday nutrition, food security, and in terms of incomes of a large body of farmers worldwide. This study examines the dynamics of wheat prices in Turkey in a framework that allows for regime switching. Due to their simplicity, threshold autoregressive (TAR) models are used to capture the effects of factors such as transaction costs and other institutional arrangements that generate discontinuous adjustment to equilibrium price level. The results are compared with standard linear model estimations. Results ind
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20

Obešlo, František. "Exportní a importní funkce (empirická analýza na příkladě České republiky)." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201093.

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This work focuses on import and export of goods of the Czech Republic. The Czech Republic is very open country in European Union. Ratio of import and export of goods and services to GDP is above European Union average. The goal is to find explaining variables, which has an influence on import and export of goods and to create robust and economically interpretable models. Models are created by cointegration analysis. The advantage of cointegration analysis and error correction models is avoiding spurious regression and differentiation of short-term and long-term relations. There will be used tw
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21

Díaz, Vela Carlos. "Contrastes de no invertibilidad y cointegración en modelos VARIMA." Doctoral thesis, Universidad de Cantabria, 2012. http://hdl.handle.net/10803/80195.

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En esta tesis doctoral se deriva un procedimiento de contraste localmente óptimo para la hipótesis nula de cointegración en modelos ARIMA multivariantes. Si existen combinaciones lineales estacionarias entre las variables integradas que componen el sistema objeto de análisis, la diferenciación simultánea de las mismas introduce una estructura MA(1) adicional no invertible en el modelo VARIMA que sigue el vector de series. El procedimiento de análisis que se propone en esta tesis, por tanto, consiste en ajustar un modelo VARIMA al vector de series y detectar la presencia de cointegración contra
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22

Suwardi, Eko. "Exploring the relationship between market values and accounting numbers of firms listed in an emerging market." Thesis, Queensland University of Technology, 2004. https://eprints.qut.edu.au/15986/1/Eko_Suwardi_Thesis.pdf.

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Studies of the relationship between market values and accounting numbers have long been a part of an established theme in capital markets research (CMR). These studies have taken various forms, most being conducted on a cross sectional basis, tied closely with the assumptions of equilibrium behaviour and efficient markets. Explanatory variables for market value have been dominated by firm-specific variables without incorporating macroeconomic variables. Recently, however, some studies have employed macroeconomic variables and dynamic specification in assessing the relationship between market
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23

Suwardi, Eko. "Exploring the relationship between market values and accounting numbers of firms listed in an emerging market." Queensland University of Technology, 2004. http://eprints.qut.edu.au/15986/.

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Studies of the relationship between market values and accounting numbers have long been a part of an established theme in capital markets research (CMR). These studies have taken various forms, most being conducted on a cross sectional basis, tied closely with the assumptions of equilibrium behaviour and efficient markets. Explanatory variables for market value have been dominated by firm-specific variables without incorporating macroeconomic variables. Recently, however, some studies have employed macroeconomic variables and dynamic specification in assessing the relationship between market
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24

FLORO, DANIELA. "Emerging issues in the european electricity market." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/14123.

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We assess the impact of the European reform in the electricity market focusing on the effects of the First (96/92/EC) and the Second Directive (2003/54/EC). The contribution of the thesis is threefold. Firstly, we study the progress towards a single integrated EU market examining wholesale electricity price convergence in the main EU power exchanges. The key idea is if the underlying national markets are integrated, then there is evidence of a real integrated market. Thus, over the long run wholesale electricity prices should follow the same pattern. To establish wholesale price convergence we
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25

Csereklyei, Zsuzsanna, and Stefan Humer. "Modelling Primary Energy Consumption under Model Uncertainty." WU Vienna University of Economics and Business, 2012. http://epub.wu.ac.at/3706/1/wp147.pdf.

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This paper examines the long-term relationship between primary energy consumption and other key macroeconomic variables, including real GDP, labour force, capital stock and technology, using a panel dataset for 64 countries over the period 1965-2009. Deploying panel error correction models, we find that there is a positive relationship running from physical capital, GDP, and population to primary energy consumption. We observe however a negative relationship between total factor productivity and primary energy usage. Significant differences arise in the magnitude of the cointegration coeffici
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26

Yanik, Yeliz. "The Twin Deficits Hypothesis: An Empirical Investigation." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/12608286/index.pdf.

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This study investigates the validity of the twin deficits hypothesis for the Turkish quarterly data over the 1988:1-2005:2 periods. To this end, we consider a VAR variable space containing budget deficits, current account deficits, real output, real interest rates and real exchange rates and employ cointegration, equilibrium/error correction mechanism techniques along with Granger-non-causality tests and impulse response analyses. The empirical results from decompositions of the budget and current account deficits into their cyclical and structural components suggest that both CAD and BD are c
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27

Caiado, Aníbal Jorge Da Costa Cristóvão. "Taxas de juro e inflação em Portugal : testes e modelos de previsão." Master's thesis, Instituto Superior de Economia e Gestão, 1997. http://hdl.handle.net/10400.5/16213.

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Mestrado em Matemática Aplicada à Economia e à Gestão<br>O propósito do presente trabalho é modelizar quatro sucessões cronológicas de taxas de juro activas e passivas das instituições bancárias em Portugal para os meses de Junho de 1987 a Junho de 1996, e analisar as suas relações de causalidade com a taxa de inflação. A ocorrência de determinados acontecimentos que interferiram com o comportamento das taxas de juro nominais, como por exemplo, a supressão dos preços máximos e mínimos fixados administrativamente para as operações de empréstimos e depósitos bancários, ou o estabelecimento da li
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28

Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.

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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos sim
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29

Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.

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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domes
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30

Senzangakhona, Phakama. "The impact of oil price volatility on unemployment: a case study of South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/1697.

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This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric
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31

Tshipinare, Katso. "Purchasing power parity between Botswana and South Africa: a cointegration analysis." Thesis, University of the Western Cape, 2006. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_1984_1184669340.

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<p>This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices.</p>
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32

Juselius, Mikael. "A cointegration approach to topics in empirical macroeconomics /." Helsingfors : Svenska Handelshögskolan, 2007. http://www.gbv.de/dms/zbw/555519236.pdf.

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33

Chang, Jaechul. "Real exchange rate and relative real wage : the Balassa-Samuelson model revisited /." Thesis, Connect to this title online; UW restricted, 2002. http://hdl.handle.net/1773/7430.

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Jovanović, Mario. "Welche Bedeutung hat die Theorie für die Praxis? : Schätzung ökonometrischer Mehrgleichungsmodelle unter Cointegration /." Frankfurt am Main [u.a.] : Lang, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015591756&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.

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35

Korucu, Gumusoglu Nebile. "Modelling Nonlinearities In European Money Demand: An Application Of Threshold Cointegration Model." Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615635/index.pdf.

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The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This thesis employs both linear and nonlinear estimation methods to investigate the relations
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36

Hu, Zhejin. "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/math_theses/60.

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This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationshi
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Guo, Yuanxiang. "Chinese wheat price analysis - with application of cointegration and Granger causality test." Thesis, Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/52978.

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Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the sa
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Oliach, Güell Mª José. "Mesura de la influència dels determinants de la salut en l'evolució de la tuberculosi." Doctoral thesis, Universitat Rovira i Virgili, 2015. http://hdl.handle.net/10803/385740.

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Antecedents: la malaltia tuberculosa està relacionada tant amb factors biològics com amb altres determinants de la salut. A Espanya durant els darrers anys es produeixen canvis a l’entorn econòmic, social i sanitari que poden afectar a l’evolució de la malaltia tuberculosa. Objectiu de la tesi: establir com els determinants poden explicar els canvis en el comportament epidemiològic de la tuberculosi i quina ha estat la importància relativa de cadascun. Plantegem una visió holística de la malaltia, en la qual la seva evolució es relaciona amb múltiples factors, molts d’ells no sanitaris.
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Havrlant, David. "Analýza vývoje cenové konvergence ČR k EU." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-77050.

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The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tr
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40

He, Wei. "Model selection for cointegrated relationships in small samples." Thesis, Nelson Mandela Metropolitan University, 2008. http://hdl.handle.net/10948/971.

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Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.
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41

Bonilla, Bolanos Andrea. "A step further in the theory of regional economic integration : a look at the Unasur's integration strategy." Thesis, Lyon 2, 2015. http://www.theses.fr/2015LYO22009.

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La nouvelle stratégie d'intégration adoptée en 2000 par les pays Sud-Américains, après trois décennies d'instabilité économique et de crises récurrentes, est un jalon de l'histoire économique de la région. En effet, la volatilité du cycle économique de ces pays s'est réduite significativement à partir de cette date, atteignant son niveau le plus bas depuis 1950. L'analyse d'un tel phénomène est particulièrement intéressante en particulier lorsque l'on se place dans le contexte de turbulences et de crises des années 2000, à savoir, la crise financière mondiale (2008-2009) et, dans son sillage,
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42

Darpeix, Pierre-Emmanuel. "Three essays in applied economics with panel data." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLEH099/document.

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Cette thèse se compose de trois articles empiriques appliquant à divers sujets des techniques d'économétrie sur données de panel. L'article principal étudie l'évolution de la transmission des prix des trois principales céréales (blé, maïs, riz) des marchés internationaux vers les producteurs domestiques pour 52 pays sur la période 1970-2013, et cherche à identifier les principaux facteurs expliquant l'hétérogénéité des pass-through. Le second article mesure l'élasticité du trafic aérien au produit intérieur brut dans le monde et met en évidence la grande stabilité de la relation tant dans le t
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43

Ajagbe, Stephen Mayowa. "An analysis of the long run comovements between financial system development and mining production in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002689.

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This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in
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clements, john s. III. "Agricultural Commodity Futures and Farmland Investment: A Regional Analysis." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/real_estate_diss/8.

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Using seventeen years of data from 1991 to 2008, I derive a pricing model for farmland values. This valuation model is the first using agricultural commodity futures as a proxy for “ex ante” income projections for the crops grown or livestock grazed on United States farmland. While not all inclusive, the model is tested regionally including the Corn Belt, Delta States, Lake States, Mountain, Pacific Northwest, Pacific West and Southeast Regions. Additionally, I test whether interest rate futures contracts have a relationship with farmland values as interest rates have been proven to be a re
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Asfaha, S. G. "Exchange rate misalignment and international trade competitiveness : A cointegration analysis for South Africa." University of the Western Cape, 2002. http://hdl.handle.net/11394/7772.

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Magister Commercii - MCom<br>Issues pertaining to the misalignment of exchange rate have become central in the analysis of open economy macroeconomics for developing countries. This is at least due to two reasons: first persistent overvaluation of currency is seen as a powerful early warning of potential currency crisis and second protracted periods of exchange rate misalignment are highly associated with poor economic performance in a number of developing countries. Owing to this fact, economists are in concession that aligning real exchange rates towards their equilibrium values is an import
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Hlongwane, Tshembhani Mackson. "The effect of South African public debt on economic growth: An ARDL cointegration approach from 1961-2017." University of Western Cape, 2019. http://hdl.handle.net/11394/7927.

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Magister Commercii - MCom<br>This study investigates the effect of public debt on economic growth in South Africa since 1961-2017. Public debt stock is disaggregated into external debt and domestic debt in order to determine the effect of each on economic growth independently. The study employed the ARDL bound test to estimate the long and short run relationship among several macroeconomic variables - real economic growth, domestic debt, external debt, budget deficit, inflation rate and investment. An error correction model was used to analyses the short-run disequilibrium. The results show th
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47

"Cointegration pairs trading strategy on derivatives." 2013. http://library.cuhk.edu.hk/record=b5549271.

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在現今的社會，協整技術已被廣泛應用於金融和計量經濟領域，特別用於構建股票市場的統計套利策略。在這一篇論文中，我們主要考察在衍生品市場中，基於協整技術的套利交易策略，這一策略的主要研究對象是隱含波動率。利用隱性波動率的線性組合的均值回歸的特性，通過配對兩隻帶有正利差(如theta) 的短期平價歐式跨式期權來獲利。同時，構建實際波動率的模型和預測未來實際波動率的模型將會用於補充這一交易策略的不足，隱性一實際條件和Gamma-Vega條件被引入來提高交易策略的效率。這一策略的績效分析是基於三年的歷史外匯期權數據。從實證數據中，基於協整技術的策略能賺取利潤，而且Vega在利潤中起著重要的作用，並且無論是隱性一實際條件還是Gamma-Vega條件都是有效的。<br>The notion of cointegration has been widely used in finance and econometrics, in particular in constructing statistical arbitrage strategies in the stock market. In this thesis, an arbitrage trading strategy for derivatives based on cointegration is studied to account
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48

Ssekuma, Rajab. "A study of cointegration models with applications." Thesis, 2011. http://hdl.handle.net/10500/4821.

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This study estimates cointegration models by applying the Engle-Granger (1989) two-step es- timation procedure, the Phillip-Ouliaris (1990) residual-based test and Johansen's multivariate technique. The cointegration techniques are tested on the Raotbl3 data set, the World Economic Indicators data set and the UKpppuip data set using statistical software R. In the Raotbl3 data set, we test for cointegration between the consumption expenditure, and income and wealth vari- ables. In the world economic indicators data set, we test for cointegration in three of Australia's key economic indica
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"Longevity risk management with continuous-time cointegration models." 2014. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291794.

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Wong, Tat Wing.<br>Thesis Ph.D. Chinese University of Hong Kong 2014.<br>Includes bibliographical references (leaves 100-106).<br>Abstracts also in Chinese.<br>Title from PDF title page (viewed on 14, November, 2016).
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"Cointegration and model selection on foreign exchange markets." 1998. http://library.cuhk.edu.hk/record=b5889711.

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by Wai-Man Leung.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 107-112).<br>Abstract also in Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Problems of Cointegration Analysis --- p.1<br>Chapter 1.2 --- Contributions of this Research --- p.2<br>Chapter 1.3 --- Applications of this Research --- p.3<br>Chapter 1.4 --- Organization of this Thesis --- p.3<br>Chapter 2 --- Foreign Exchange Features --- p.5<br>Chapter 2.1 --- Spot Exchange Rate Markets --- p.5<br>Chapter 2.2 --- Development of International Moneta
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