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SUN, FEI. "Analysis to China's Urban and Rural CPI Data." Thesis, Uppsala universitet, Statistiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-175796.
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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 same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.
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Melo, Ana Filipa Lopes de Almeida e. "Análise Empírica da Relação entre o Índice do Mercado Accionista Português e a Inflação." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3778.
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Mestrado em Finanças<br>Este estudo tem como finalidade investigar as relações dinâmicas entre o mercado accionista português e a taxa de inflação, através de diversas técnicas econométricas. Pretende-se analisar se o mercado accionista português é um hedge contra a inflação. A amostra é constituída por valores mensais do Portuguese Stock Index-20 e do Índice de Preços no Consumidor, durante o período compreendido entre Janeiro de 2000 a Dezembro de 2010. Primeiramente, na metodologia fez-se o estudo individual por variável e efectuou-se um modelo de regressão simples onde o índice PSI-20 é utilizado como proxy dos retornos do mercado accionista português. De seguida, estuda-se o comportamento de equilíbrio das duas variáveis através do método de Johansen e Juselius (1990). E numa última fase, analisa-se as relações de causalidade de Granger (1988). Foi possível concluir através da estacionaridade das séries que as variáveis tem ordem de integração um, I(1). Pela estimação da regressão linear os resultados sugerem um efeito negativo mas não significativo entre a inflação e o retorno no mercado accionista português. Através do método de Johansen e Juselius (1990) não se encontrou evidências de cointegração entre as variáveis a longo prazo. Por sua vez, para o teste de causalidade estatística constatou-se que existe independência entre as variáveis.<br>This study aims to research on the relationship between the Portuguese stock market and the inflation rate, through various econometric techniques. The goal is to analyse whether the Portuguese stock market is a hedge against inflation. The values used are monthly values of the Portuguese Stock Index and Consumer Price Index for the period from January 2000 to December 2010. Firstly, the methodology used was made by variable individual studies and the creation of a simple regression model where the PSI is used as a proxy for stock market returns. Next, we study the behaviour of equilibrium of the two variables by the method of Johansen and Juselius (1990). In the last phase, we analyse the causal relationships by Granger (1988). It could be concluded through the stationarity of the series that the variables have order of integration one, I(1). The estimation of linear regression results suggests a negative but not significant relationship between inflation and the Portuguese stock market returns. Through the method of Johansen and Juselius (1990), no evidence was found of co-integration between the variables in the long term. However, for the causality test statistic it was found that there is independence between the variables.
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Gerleman, Wendela. "The stock market and government debt : the impact of government debt changes on the stock market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-19323.
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This thesis investigates whether or not changes in a country’s government debt could affect its domestic stock market performance. The relationship is investigated by examining three different European countries, Germany, Portugal and Sweden, on the basis of two variables; (1) quarterly government debt changes as a percentage of gross domestic product and (2) the quarterly stock market changes over the time period2000:Q2 – 2011:Q2. The evidence is presented with help of Ordinary Least Square Method and Granger Causality test for each respective country. According to the Efficient Market Hypothesis, stock market prices should fully reflect all relevant information, e.g. government debt changes, as soon as they occur, without any delay, if the market is efficient. Past information should be insignificant and therefore not affect the stock market prices in an efficient market. In the cases of Sweden and Germany, the results proved to be ambiguous and thus do not allow for either rejection or acceptance of the Efficient Market Hypothesis with respect to government debt changes. However, some support was found in the case of Germany since the government debt changes and the stock market performance were instantaneously correlated. The empirical results presented in this thesis further allowed for the assumption that Portugal was not able to efficiently capture changes in the debt levels without any delay. This indicates that the Efficient Market Hypothesis can be rejected in regards for Portugal with respect to government debt changes. Furthermore, since the Portuguese stock market performance was not able to capture efficiently changes in the government debt level, it hence could possibly mislead the direction of the economy when looking into the stock prices to determine economic conditions. Moreover, the results imply that each country faces different relationships between the variables and that the relationships possibly could depend on the economic health of a country.
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Mamo, Fikirte. "Economic growth and Inflation : A panel data analysis." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-17463.
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One of the most important objectives for any countries is to sustain high economic growth. Even though there are main factors that affect economic growth, the concern of this paper is only about inflation. The relationship between economic growth and inflation is debatable. The first objective of this study is to investigate the relationship between inflation and economic growth. This study uses panel data which includes 13 SSA countries from 1969 to 2009. To analyze the data the model is formed by taking economic growth as dependent variable and four variables (i.e. inflation, investment, population and initial GDP) as independent variables. The result indicates that there is a negative relationship between economic growth and inflation. This study is also examined the causality relationship between economic growth and inflation by using panel Granger causality test. Panel granger causality test shows that inflation can be used in order to predict growth for all countries in the sample, while the opposite it is only true for Congo, Dep. Rep and Zimbabwe.
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Krasnovský, Pavol. "Alternatívne metódy odhadu potencionálného produktu a produkčnej medzery: odhad pre Česko." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-11500.
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The text discusses some used methods for estimating potential product and output gaps based on aggregated data for the Czech Republic. Though these methods exhibit some common features, an empirical comparison demonstrates that the various techniques differ substantially. In particular, the correlation of output gaps calculated with different methods is generally low , the methods imply different turning points. To conclude, the methods for estimating potential product a used have only limited information content for macroeconomics.
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Bodin, Oscar, and Jenny Nielsen. "Svenska aktiemarknaden : Hur påverkas den svenska aktiemarknaden av makroekonomiska variabler." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-27537.
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Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. Anledningen till att Sverige har valts som den geografiska punkten är att det är av intresse att se hur ett litet land som Sverige, som har en öppen ekonomi påverkas av de utvalda makroekonomiska variablerna. Syfte: Syftet med uppsatsen är att med hjälp av information samt analys, studera hur de olika makroekonomiska variablerna påverkar den inhemska aktiemarknaden. Olika faktorer som påverkar aktiemarknaden kommer att lyftas fram för att i sin tur även se till de olika branscherna. Metod: Då data enbart består av hämtning av tidigare information fokuseras det enbart på sekundärdata i form av historiska siffror samt historiska undersökningar. De statistiska tester som tillämpas är Granger Causality test, Johansens Cointegration test, Impulse Response Function test, ADF test, KPSS test, Mulitpel regression. Slutsats: Med de resultat som presenterades i denna studie, skulle vi nog inte kunna säga att vi har ett svar över vilka aktier en investerare ska införskaffa. Dock skulle vi kunna poängtera att den potentiella investeraren bör ha dessa variabler i beaktning vid beslut. Genom att studera dessa variabler kan man få en känsla om vilket håll variablerna kommer att röra sig och på så sätt säga att de kan påverka aktieindexen. Att bara kolla på de makroekonomiska variabler som denna studie belyser räcker inte för att förstå hur aktieindex kommer att se ut i framtiden, men det är en bit på vägen till att förstå aktiemarknadens rörelse.
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Eriksson, Victoria. "Interlinked Roundwood Markets in Sweden, Norway and Finland : An econometric study of roundwood assortment prices." Thesis, Luleå tekniska universitet, Institutionen för ekonomi, teknik och samhälle, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:ltu:diva-71390.
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Market integration is a frequently discussed topic. This study presents an econometric analysis of the interlinkages between the Swedish, Norwegian, and Finnish coniferous roundwood assortment markets by conducting the Johansen’s co-integration test. It also investigates the directional causality between markets concluded integrated. The data utilised consists of quarterly, nominal prices for pine, and spruce saw logs and pulpwood for each country. Because of issues regarding stationary price series, the co-integration test could only be tested on five markets; Swedish and Norwegian pine saw logs and Swedish, Norwegian and Finnish spruce pulpwood. Swedish and Norwegian pine saw log prices were found integrated according to the Johansen’s test, but no relationship was found when performing the Granger causality test, implying that the underlying assumption of non-stationary prices may not have been fulfilled. No linkages were found concerning the spruce pulpwood markets; neither for all three countries nor bi-variate.
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Křepelová, Marika. "Vývoj a vzájemné vlivy burzovních indexů." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17443.
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This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, BSI and PX in a time period from September 2004 till March 2010. Such an interrelationship has already been examined and a dominating position of American indices has been found. This influence was stronger during a financial crisis. Because the examined time period covers both financial crisis and the period before, the work studies their interrelationship in the whole period and at the end in the time period before financial crisis. The influence of one stock index on the other can be cause by several factors: (i) dominance of influencing stock index, (ii) efficient market and (iii) financial crisis. As the reaction of stock index is evoked from new information, the intention of this work is to take into account nonsychronous trading of stocks exchanges. Therefore I explored those exchange stocks closing earlier than the others start in two ways by respecting the time lag and by non-respecting the time lag. The interrelationship between the indices was modeled with help of VAR models and proved by Granger causality test.
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Lyu, Jiarui. "The Housing Bubble Situation in Third-level Cities in China : ACcase Study of Yangzhou." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-302989.
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Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. Based on the classification of cities, this research has selected Yangzhou as the main research sample to predict the overall situation of housing bubble in third-level cities in China. The paper integrates the relevant theories and methods of the housing bubble research mentioned in the literature, and seeks out a set of suitable real estate bubble research methods: using ADF test, EG cointegration analysis to see whether the indicators are suitable as variables in the Granger causality test and regression analysis, and then perform regression analysis on the appropriate variables and housing prices to judge the real estate bubble. Also, the result of Yangzhou is applied to compare with that of Beijing and Shanghai so as to get the difference of real estate markets between first- and third-level cities.<br>Bostadsbubblor kan ge allvarlig inverkan på ett lands ekonomi, särskilt för ett så stort land som Kina. Därför är det nödvändigt att utvärdera om eventuella bostadsbubblor förekommer i olika regioner. I detta arbete analyseras förekomsten av en bostadsbubbla i en av Kinas städer i den tredje storleksklassen enligt det kinesiska klassificeringssystemet. Studieobjektet som valts är Yangzhou. I uppsatsen diskuteras de relevanta teorier och metoder som förekommer i litteraturen för analys av bostadsbubblor och ett antal metoder tillämpas. ADF-test och Engel-Grainer-kointegration används för att avgöra vilka av de tillgängliga marknadsindikatorerna som är lämpliga att använda vid test av Granger-kausalitet och i regressionsanalyser. Regressioner med de utvalda variablerna görs sedan mot bostadspriser för att erhålla mått på förekomsten av en bostadsbubbla. De empiriska resultaten från studien jämförs också med resultat för Beijing and Shanghai för att påvisa skillnader mellan marknaderna i städer av första respektive tredje storleksklassen.
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Akram, Muhammad. "Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysis." Thesis, Högskolan Dalarna, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:du-10723.
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This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). Wald Granger causality test results show that only India’s economic growth is significantly affected when crude oil price decreases. Impact of crude oil price increase is insignificantly negative for all three countries during first year. In second year, impact is negative but smaller than first year for India, negative but larger for Bangladesh and positive for Pakistan.
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Říhová, Gabriela. "Zahraniční investice a růst regionů České republiky v letech 1998 - 2011." Doctoral thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-191808.
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The dissertation analyzes the impact of Foreign Direct Investment (FDI) on Economic Growth by extension and economic development of the regions of the Czech Republic (CZ) in 1998 -- 2011. Statistical data empirically study determined motivation of investors to locate in economically strong regions. Following the analysis of statistical data, available resources and a field survey, whose output includes three case studies of specific Foreign Investments in the Czech Republic, the analysis examines whether the arrival of a significant foreign direct investor in the region significantly influenced selected characteristics of economic performance, or other selected areas in region (social, environmental, transport etc.). Moreover, in the context of econometric analysis to test the tightness of the relationship between Foreign Direct Investment and Economic Growth using Pearson's coefficient and characteristics of variability. The causal effect of Foreign Direct Investment on Economic Growth (and vice versa) is analyzed using Granger causality test. The conclusion gives an assessment of the significance of Foreign Direct Investment in the regions of the Czech Republic together with the identification of significant effects brought by investments.
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Šimpach, Ondřej. "Analýza sezónnosti v českém stavebnictví." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73548.
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The output of the National economy of the Czech Republic is conditioned by a sum of important factors. There are sectors, which increased power during the last two decades, mainly due to expansion of modern technologies and knowledge workers. One of this is Construction. Construction is specific to its position in the economy and in particular is characterized by the greatest seasonality ever. However, this is not a problem for statistical analysis, rather a benefit. Modern approaches allow us to analyze seasonal fluctuations. From selected data we are able to construct evolutionary forecasts. The work will be performed for the most important indicators in the Czech Construction. The outcome of the paper will be conditional forecasts of these indicators. It will also make analyze of the relationship between these indicators and other variables that might affected it. The work is practical application of stochastic modeling approach by Box and Jenkins, augmented by more modern approaches, such as verification of Granger causality and co-integration and testing of seasonal unit roots by Hylleberg et al.
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Massaroppe, Lucas. "Estimação da causalidade de Granger no caso de interação não-linear." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/3/3142/tde-20122016-083110/.
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Esta tese examina o problema de detecção de conectividade entre séries temporais no sentido de Granger no caso em que a natureza não linear das interações não permite sua determinação por meio de modelos auto-regressivos lineares vetoriais. Mostra-se que é possível realizar esta detecção com auxílio dos chamados métodos de Kernel, que se tornaram populares em aprendizado por máquina (\'machine learning\') já que tais métodos permitem definir formas generalizadas de teste de Granger, coerência parcial direcionada e função de transferência direcionada. Usando simulações, mostram-se alguns exemplos de detecção nos quais fica também evidente que resultados assintóticos deduzidos originalmente para estimadores lineares podem ser generalizados de modo análogo, mostrando-se válidos no presente contexto kernelizado.<br>This work examines the connectivity detection problem between time series in the Granger sense when the nonlinear nature of interactions determination is impossible via linear vector autoregressive models, but is, nonetheless, feasible with the aid of the so-called Kernel methods that are popular in machine learning. The kernelization approach allows defining generalised versions for Granger tests, partial directed coherence and directed transfer function, which the simulation of some examples shows that the asymptotic detection results originally deducted for linear estimators, can also be employed under kernelization if suitably adapted.
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Chi, Nam Yau. "Economically justified equity investment strategies capable of withstanding growing interest rate environment." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18823.
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Mestrado em Economia Monetária e Financeira<br>This thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the investment portfolios under the growing interest rate environment, in particular, and for investment industry professionals.<br>info:eu-repo/semantics/publishedVersion
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Hou, Xiaofang, and Weirui Xu. "The Impact of Overseas Stock Markets on Chinese Stock Markets at the Background of Financial Crises : From the Perspective of Price Index." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-82853.
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Kolaříková, Jana. "Dopady finanční podpory ze strukturálních fondů na růst krajů České a Slovenské republik." Doctoral thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-264458.
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One of the goals of the economic, social and territorial cohesion is to reduce regional disparities between member states of the European Union. For this purpose the structural funds and the Cohesion Fund were established(among other things). The theoretical part of this thesis presents the issue of regional disparities and ways how to measure them. In view of the lack of consistent definition of this concept, there are number of measurement and evaluation methods. Furthermore, the work focuses on the implementation of cohesion policy and ways of measurement of their impact on development and growth of regions. The practical part of this thesis presents, evaluates and compares the regional disparities between the regions of the Czech Republic and the Slovak Republic via selected methods and assesses the impact of the financial support provided from the Structural Funds and the Cohesion Fund in the programming period 2007 - 2013 on economic growth of regions in the Czech and Slovak Republics. Following indicators are included: gross domestic product, unemployment rate, gross fixed capital formation and the rate of economic activity. The influence of the subsidy on the economic growth of regions is validated through the panel data analysis, namely a panel model with fixed effects, and Granger causality test. First, we investigated the impact of this support on the economic performance of regions where it is verified whether there is a relationship between economic performance of NUTS III regions in the Czech and Slovak Republics, characterized by gross domestic product and the unemployment rate, and the amount of the subsidy. Furthermore, it is verified whether the amount of subsidy depends on the level of regional gross domestic product. Dissertation contributes to the discussion about the impact of support from EU funds in the Czech and Slovak Republics, focusing on the regional level, and answers the question of reducing regional disparities using the Structural Funds and the Cohesion Fund.
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Kossaï, Mohamed. "Les Technologies de L’Information et des Communications (TIC), le capital humain, les changements organisationnels et la performance des PME manufacturières." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090035/document.
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Les TIC sont un facteur clé de performance dans les pays développés. Cette thèse s’intéresse à l’adoption des TIC et leur impact sur la performance des PME manufacturières d’un pays en développement. A la suite d’une première partie qui présente le cadre théorique et conceptuel, le reste de la thèse est organisé en trois études empiriques. La première étude propose une modélisation Probit afin d’identifier les déterminants d’adoption des TIC. Le capital humain est la variable explicative la plus significative. Se basant sur la régression linéaire à variables muettes, la causalité de Granger, le test de Kruskal-Wallis et le test de l’ANOVA de Welch, suivis des tests post-hoc correspondants, la deuxième étude met en évidence l’existence d’un fort lien statistique significatif entre le niveau d’adoption des TIC et la rentabilité. Dans une troisième étude, plusieurs modélisations Probit (simple, ordonné et multivarié) ont été testées sur différentes mesures de performance. Nous montrons, premièrement, que les TIC ont un impact positif sur la productivité, la rentabilité et la compétitivité. Deuxièmement, les TIC, le capital humain et la formation sont les déterminants de la performance globale. Enfin, la contribution des TIC à la performance globale est forte lorsqu’elles sont combinées au capital humain qualifié. En définitive, nos résultats empiriques ont montré un effet positif des TIC, du capital humain et du changement organisationnel sur la performance des PME<br>ICT is a key performance factor in developed countries. This PhD thesis focuses on the adoption of ICTs and their impact on the performance of manufacturing SMEs in a developing country. Following a first part covering the theoretical and conceptual framework, the rest of the thesis is organized in three empirical studies. The first study uses a Probit model in order to identify the determinants of ICT adoption. Human capital seems to be the most significant explanatory variable. Based on linear regression of dummy variables, Granger causality, Kruskal-Wallis test, ANOVA test of Welch, followed by corresponding post-hoc tests, the second study highlights the existence of a strong statistically significant relationship between the level of ICT adoption and profitability. In a third study, many Probit models (simple, ordered and multivariate) were tested on different measures of performance. Firstly, we show that ICT have a positive impact on productivity, profitability and competitiveness of SMEs. Secondly, ICT, human capital and training are determinants of firm overall performance. Thirdly, when combined together, ICT and highly skilled human resources have an important contribution to the global performance. In conclusion, our empirical results demonstrate a positive impact of ICT, human capital and organizational change on firm performance
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Samagaio, Antonio. "Essays on managing english football clubs." Doctoral thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/9106.
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Doutoramento em Gestão<br>Esta dissertação visa estudar a performance corporativa dos clubes ingleses de futebol profissional, bem como os determinantes da performance dos clubes, com destaque para o efeito dos jogadores formados pelas Academias.
O estudo evidencia existir uma associação positiva e significativa entre a performance financeira e desportiva dos clubes ingleses ao longo das épocas de 1993/94 a 2010/11. Os testes de cointegração indicam a existência uma relação estrutural de longo-prazo entre as variáveis desportivas e financeiras. Este estudo proporciona suporte à corrente da literatura que refere a maximização da performance desportiva sujeita a uma restrição de sustentabilidade financeira de longo prazo, como os principais objectivos dos clubes de futebol. Os testes de causalidade de Granger mostram que existe relações causais diferenciadas entre clubes.
Os jogadores formados pelos próprios clubes tiveram um impacto negativo no desempenho desportivo e receitas, mas um efeito positivo na redução dos gastos salariais. A opção por jogadores formados por outros clubes ingleses teve uma influência negativa na performance desportiva, mas um efeito positivo na rendibilidade e despesas salariais dos clubes. Os resultados sugerem a necessidade de melhorar a produtividade do sistema de desenvolvimento de jovens jogadores em Inglaterra. Finalmente, observámos que os clubes ingleses são heterogéneos sinalizando a existência de peculiaridades em cada clube que são importantes para compreender o a performance alcançada e como desenvolvem as suas vantagens competitivas sustentáveis.<br>This dissertation examines the corporate performance of English professional football clubs and the determinants of clubs’ performance, with particular emphasis on homegrown locally-trained players.
The study shows that there is a positive and significant association between the financial and sporting performance of English clubs over the 1993/94 to 2010/11 seasons. Cointegration tests show that sporting performance and financial variables are linked by a set of long-run structural relationship. Our study lends supports to the theoretical stream that argues that the maximisation of sporting goals, subject to constraint of long- term financial sustainability, are the two main objectives of football clubs. Granger causality tests show that there are different causal relationships between clubs. Homegrown club-trained players had a negative impact on the sporting performance and revenue functions, yet they had a positive effect on reducing salary expenditure. Association-trained players option had a negative influence on the sporting performance function, but a positive effect on profitability and wage expenses for English football clubs. The results suggest that there is a need to improve the productivity of the system for developing young players in England.
Finally, we observed that English clubs are heterogeneous, which signals that idiosyncrasies exist in each club, which is important for understanding both performance and how to develop sustainable competitive advantages.
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Afridi, Muhammad Asim. "The effects of health aid on health outcomes : public versus private channels." Thesis, Aix-Marseille, 2013. http://www.theses.fr/2013AIXM1111.
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La réduction de la mortalité maternelle et infantile est universellement acceptée comme un objectif du millénaire pour le développement. L'aide étrangère est un des moyens utilisés pour l'atteindre. Cependant, malgré les succès, à l'échelle microéconomique, de certains programmes de santé financés par les aides étrangères, l'efficacité globale de ces aides demeure inconnue. Plusieurs travaux ont traité de l'efficacité de l'aides sur la croissance économique, mais peu d'entre eux concernent le secteur de la santé. Le but de cette thèse, est précisément d'évaluer l'efficacité des aides étrangères sur des indicateurs de santé à l'échelle macroéconomique. On va essayer d'explorer l'impact des aides étrangères octroyées par des bailleurs privés et publics sur l'état de santé telle que la mortalité infantile, maternelle et des adultes dans les pays en développement. La thèse examine l'affectation des aides étrangères au secteur de la santé, à travers trois documents de travail à soumettre à publication<br>The reduction of child and maternal mortality is universally accepted as a millennium development goal (MDG). Foreign aid for health is one of the means implemented to reach it. However, even if many successes of health aid activities have been underlined at the microeconomic level, the effectiveness of health aid in general remains unknown. In spite of many macroeconomic works on aid effectiveness on economic growth, only little deals with its effectiveness in health. The purpose of this thesis is precisely to assess the effectiveness of foreign aid in improving health measurements, at the macroeconomic level. I tried to explore the impact of health aid disbursed by the donors through the government and private sector on health outcomes like child, maternal and adult mortality rates in developing economies. The thesis examines the issue of foreign aid earmarked for health sector using a three-paper format. The three chapters of this thesis can be read independently
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Burda, Maike M. "Testing for causality with Wald tests under nonregular conditions." Doctoral thesis, [S.l.] : [s.n.], 2001. http://deposit.ddb.de/cgi-bin/dokserv?idn=968852432.
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Zámečník, Michal. "Rychlost vstupu do EMU z pohledu národohospodářských nákladů." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3906.
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The main aim of this thesis is to discover a suitable instant of time for the Czech Republic to join European Monetary Union. I am analyzing dependence between monetary policies of the Czech National Bank (CNB) and the European Central Bank (ECB) themselves as well as in relation to essential Czech macroeconomic indicators. My observation is focused on interest rate policies represented by operative interest rates, on monetary policies represented by indices of nominal effective exchange rates and on convergence monitoring. The analytical instruments I used in the thesis are correlation analyses, linear trends, the Granger causality test and the Impulse-Reaction test. Besides, my thesis examines fulfillment of the Convergence (Maastricht) criteria in the Czech Republic and other central European countries. This thesis also examines impact of the European monetary policy on some Eurozone member countries.
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Wolff, Laion. "RELAÇÃO ENTRE AS DEZ PRINCIPAIS BOLSAS DE VALORES DO MUNDO E SUAS CO-INTEGRAÇÕES." Universidade Federal de Santa Maria, 2011. http://repositorio.ufsm.br/handle/1/8207.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Globalization provoked in financial markets by means stock exchanges an
interchange among the markets over the world. The aim of this study was to examine
the relationship of the ten major main economic index of the world represented in
New York (DJIA, S&P500 e Nasdaq), Tokyo (NIKKEI 225), London (FSTE 100), São
Paulo (IBOV), Shanghai (SSE180), Paris (CAC-40), Frankfurt (DAX-30) and Buenos
Aires (Merval) and looking for its co-integration, to demonstrate the behavior of these
indexes and the long run equilibrium, from January of 2010 to March of 2011. To
investigate the equilibrium and the long rum behavior the error correction model was
used jointly with co-integration test and impulse response based on Cholesky
decomposition. The results of this study show that the index of stock markets has
long term equilibrium, and American markets, Argentina and English showed a strong
influence over other markets. With this research we can infer that a relationship
exists between the stock markets under study, confirming that the economy in a
country can influence the others. In this sense, the contribution of this study, given
this range of discussions involving the interconnection of economies with respect to
trades made on the stock exchanges, was to show the relationships and influences in
the world.<br>A internacionalização somada à abertura dos mercados financeiros transformou as
economias antes fechadas em economias abertas, provocou um intercâmbio entre
as economias mundiais por meio das bolsas de valores. O objetivo deste estudo é
examinar a relação entre os dez principais índices econômicos do mundo, sendo
eles: Nova York (DJIA, S&P500 e Nasdaq), Tóquio (Nikkei 225), Londres (FSTE
100), São Paulo (IBOV), Shangai (SSE180), Paris (CAC), Frankfurt (DAX-30) e
Bueno Aires (Merval), por meio da análise de co-integrações para demonstrar o
comportamento desses índices e seus equilíbrios no período de janeiro de 2010 a
março de 2011. Para investigar e verificar o comportamento em longo prazo, foi
utilizado o modelo de correção de erros e teste de impulso-resposta baseado na
decomposição de Cholesky. Os resultados deste estudo mostram que existe
equilíbrio em longo prazo entre os índices do mercado de ações. Os mercados
americano, argentino e inglês mostraram forte influência sobre os demais mercados.
Com esta pesquisa, verifica-se que existe uma relação entre os mercados de ações
estudados, confirmando que a economia de um país influencia as demais. A
contribuição deste estudo é verificar a assertiva das discussões atuais sobre a
dependência das economias mundiais com as negociações por meio da bolsa de
valores.
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Dakhil, Amel. "The contribution of the construction industry to economic development in Libya." Thesis, Liverpool John Moores University, 2013. http://researchonline.ljmu.ac.uk/4454/.
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It is widely recognised that the construction industry has a positive role to accelerate the wheel of economic growth in any country. This research is concerned with the Libyan construction industry (LCI). Libya is a developing country which suffered from a big loss in its infrastructures and its unemployment rate increased to 30% in the middle of 2013. Regarding the importance of the construction industry through the role it has in providing infrastructure and creating employment and the poor economic condition of Libya, the rationale of this research follows the example of other nations such as Turkey, Singapore, Malaysia , and Middle East countries where the construction industry was evolved with a target to further boost up the process of economic development. The case of Libya in this regard is valid for the financial stability in the country given its oil reserves and the capacity of the country to absorb migrated skilled labour. This situation is expected to follow the fall of Gaddafi’s regime. The approach of selecting construction as providing input to economic growth follows the strong evidence of the significant role that the construction industry plays in economic growth of the country. The construction industry contributes to economic growth from the demand side and in the traditional Keynesian economy, sustainable short-run economic growth is dependent on the increased demand. For example, in the UK, construction’s 2.5% growth in the third quarter of 2013 helped the overall economy grow by 0.8% over the same period. In comparison with the other industries that contribute to the economic growth of developing countries, the construction industry is more labour-intensive while the developing countries are mostly labour-abundant. The main aim of this research is to investigate the contribution of the construction industry to economic development in order to establish a comprehensive list of recommendations and a guideline for achieving an efficient construction industry to accelerate the process of economic growth. For this aim, the first objective is to examine the causal relationship between the construction industry and gross domestic product (GDP) as a measure of the economic growth and between the construction industry and other economic sectors. To achieve the aim of this research, Granger causality tests have been conducted. The financial data about the expenditure on the construction industry in Libya and its share in the GDP of the country and the share of the other economic sectors in the GDP during 1986-2009 was provided by an authority from the Libyan construction industry. First, The Augmented Dickey Fuller (ADF) and the Philip Perron (PP) unit root tests were conducted to confirm that the tested time series are stationary. After that, to determine the existence of the long-run causal relationship between the CI and GDP, Engle-Granger co-integration test was used and, finally, vector error correction (VER) model was employed to detect the direction of the causal relationship between the two variables. The study found that in Libya, like in other countries, the relationship between the construction industry and GDP is bi-directional: GDP produces a short-term impact on the investment in the construction industry while investment in the construction industry produces a long-term impact on GDP. However, except for trade, no economic sector was found to have a causal relationship with the construction industry. According to these findings, another objective was established in this research: to identify safety and total quality management (TQM) which can play an important role in growing the efficiency of the Libyan construction industry. To achieve this objective, telephone conversations were conducted with the officials of the largest construction company in the city of Benghazi. The findings indicated that the TQM does not exist in the construction company and, although the safety department does exist, it works via strict procedures. Thus, opportunity to increase the performance of the CI in order to increase its contribution to economic growth does exist through implementation of the safety and TQM implementation in Licccbyan construction companies. The previous studies used the causal relationship just to prove specific hypotheses. The novelty of this research is to obtain benefits from the existence of the causal relationship from the CI to GDP in the long term through suggesting major issues as safety and TQM implementation to raise the performance of the CI in the current period in order to increase its contribution to the economic growth in the future.
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Granell, Albin, and Filip Carlsson. "How Google Search Trends Can Be Used as Technical Indicators for the S&P500-Index : A Time Series Analysis Using Granger’s Causality Test." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-228740.
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This thesis studies whether Google search trends can be used as indicators for movements in the S&P500 index. Using Granger's causality test, the level of causality between movements in the S&P500 index and Google search volumes for certain keywords is analyzed. The result of the analysis is used to form an investment strategy entirely based on Google search volumes, which is then backtested over a five year period using historic data. The causality tests show that 8 of 30 words indicate causality at a 10% level of significance, where one word, mortgage, indicates causality at a 1% level of significance. Several investment strategies based on search volumes yield higher returns than the index itself over the considered five year period, where the best performing strategy beats the index with over 60 percentage units.<br>Denna uppsats studerar huruvida Google-söktrender kan användas som indikatorer för rörelser i S&P500-indexet. Genom Grangers kausalitetstest studeras kausalitetsnivån mellan rörelser i S&P500 och Google-sökvolymer för särskilt utvalda nyckelord. Resultaten i denna analys används i sin tur för att utforma en investeringsstrategi enbart baserad på Google-sökvolymer, som med hjälp av historisk data prövas över en femårsperiod. Resultaten av kausalitetstestet visar att 8 av 30 ord indikerar en kausalitet på en 10 % -ig signifikansnivå, varav ett av orden, mortgage, påvisar kausalitet på en 1 % -ig signifikansnivå. Flera investeringsstrategier baserade på sökvolymer genererar högre avkastning än indexet självt över den prövade femårsperioden, där den bästa strategin slår index med över 60 procentenheter.
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Mello, Eduardo Morato. "In search of exchange rate predictability: a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13308.
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Previous issue date: 2015-01-30<br>Este estudo investiga o poder preditivo fora da amostra, um mês à frente, de um modelo baseado na regra de Taylor para previsão de taxas de câmbio. Revisamos trabalhos relevantes que concluem que modelos macroeconômicos podem explicar a taxa de câmbio de curto prazo. Também apresentamos estudos que são céticos em relação à capacidade de variáveis macroeconômicas preverem as variações cambiais. Para contribuir com o tema, este trabalho apresenta sua própria evidência através da implementação do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o 'symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant'. Para isso, utilizamos uma amostra de 14 moedas em relação ao dólar norte-americano que permitiu a geração de previsões mensais fora da amostra de janeiro de 2000 até março de 2014. Assim como o critério adotado por Galimberti e Moura (2012), focamos em países que adotaram o regime de câmbio flutuante e metas de inflação, porém escolhemos moedas de países desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclusão da previsibilidade da taxa de câmbio depende do teste estatístico adotado, sendo necessária a adoção de testes robustos e rigorosos para adequada avaliação do modelo. Após constatar não ser possível afirmar que o modelo implementado provém previsões mais precisas do que as de um passeio aleatório, avaliamos se, pelo menos, o modelo é capaz de gerar previsões 'racionais', ou 'consistentes'. Para isso, usamos o arcabouço teórico e instrumental definido e implementado por Cheung e Chinn (1998) e concluímos que as previsões oriundas do modelo de regra de Taylor são 'inconsistentes'. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contemporâneos observados. Apuramos que o modelo fundamental é incapaz de antecipar os retornos realizados.<br>This study investigates whether a Taylor rule-based model provides short-term, one-month-ahead, out-of-sample exchange-rate predictability. We review important research that concludes that macroeconomic models are able to forecast exchange rates over short horizons. We also present studies that are skeptical about the forecast predictability of exchange rates with fundamental models. In order to provide our own evidence and contribution to the discussion, we implement the model that presents the strongest results in Molodtsova and Papell’s (2009) influential paper, the 'symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant.' We use a sample of 14 currencies vis-à-vis the US dollar to make out-of-sample monthly forecasts from January 2000 to March 2014. As with the work of Galimberti and Moura (2012), we focus on free-floating exchange rate and inflation-targeting economies, but we use a sample of both developed and developing countries. In line with Rogoff and Stavrakeva (2008), we find that the conclusion about a model’s out-of-sample exchange-rate forecast capability largely depends on the test statistics used: it is necessary to use stringent and robust test statistics to properly evaluate the model. After concluding that it is not possible to claim that the forecasts of the implemented model are more accurate than those of a random walk, we inquire as to whether the fundamental model is at least capable of providing 'rational,' or 'consistent,' predictions. To test this, we adopt the theoretical and procedural framework laid out by Cheung and Chinn (1998). We find that the implemented Taylor rule model’s forecasts do not meet the 'consistent' criteria. Finally, we implement Granger causality tests to verify whether lagged predicted returns are able to partially explain, or anticipate, the actual returns. Once again, the performance of the structural model disappoints, and we are unable to confirm that the lagged forecasted returns antedate the actual returns.
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Mellon, Richard. "Leading the Economy: Do both the banking sector and stock market development independently lead economic activity in South Africa? Evidence from South Africa using Granger-causality tests." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29548.
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This study investigates and concludes on thus the predictability of economic activity in South Africa through the use of share price indices and banking sector asset levels as leading indicators. This study investigates share price and banking sector information using both nominal and real quarterly and monthly time-series data for the period March 1998 to October 2017. For share prices analysis, it takes market segmentation on the JSE into account, and examines causality between the All-Share index, the Industrial index, the Resources index and the Financial index against GDP and the index of Industrial Production (IIP) using the test proposed by Granger (1969). For the banking sector development analysis, it takes the South African Reserve Bank’s disclosure of all banking institution assets and examines if changes in those asset levels Granger-cause the changes to GDP and IIP. This study builds on the work performed by previous studies, specifically on Sayed, Auret and Page (2017) and Har, Ee, and Tan (2009), which test the leading relationship of the stock market for economic activity. This study adopts a similar approach to these studies, while also making certain adjustments and additions to their methodology, aiming to produce more robust findings. This study not only tests for a new relationship between banking development and economic activity, but it also conducts several additional stationarity tests to provide more conclusive evidence of the data’s stationarity before Granger-causality testing is performed. The additional stationarity tests in this study establish that some time series data, which Sayed et al. (2017) concluded to be stationary, is in fact not stationary, and this contrary finding directly impacts the subsequent Granger-causality testing and results. This study also notes and corrects Sayed et al.'s(2017) methodology which fails to perform subsequent stationarity testing on its differenced time series data, and thus fails to prove that the transformed data is satisfactorily stationary and acceptable for Granger-causality testing. Another adjustment we make to the methodology is the interpretation of the Index for Industrial Production (IIP), which we view as a volume based index rather than a price based index that can be adjusted for inflation, which was the position of Sayed et al. (2017). The empirical investigation of this study reveals some positive evidence in favour of the JSE as a leading indicator of economic activity, where unidirectional causality is established between the four market segmentation proxies and the macroeconomic variables. This is however less conclusive than the findings of previous South African studies, which is explained. For the banking sector’s development analysis, the empirical tests produce inconsistent findings across monthly and quarterly data, leaving one unable to confirm a causal relationship existing between the banking sector’s development and economic activity.
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Gil, Vera Carina Lopes Gonçalves. "Impacto do preço do petróleo no mercado accionista dos Estados Unidos, França, Holanda, Bélgica e Portugal : análise por sector de actividade." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10189.
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Mestrado em Finanças<br>A presente investigação que contribui para o conhecimento da relação entre o preço do petróleo e o retorno do mercado accionista norte-americano estruturando-se em torno das seguintes questões: (1) As variações do preço do petróleo têm impacto no retorno do mercado accionista?; (2) As variações do preço do petróleo têm impacto no retorno dos sectores?; (3) Quando existem efeitos estes são assimétricos?; e (4) Existe causalidade de Granger? Usando dados do DataSream Advance para o período de 1 de Janeiro de 2000 a 31 de Março de 2011 de dez sectores de actividade do índice S&P 500 e do preço do Petróleo (WTI) foi estimado o modelo de mercado (por sectores) e o modelo de preços de dois factores (mercado e petróleo). Testou-se a assimetria entre as variáveis, assim como a Causalidade de Granger. Conclui-se através do modelo de mercado que o índice S&P 500 explica as variações dos sectores. Quando introduzida a variável designada por a variação inesperada no preço do petróleo e aplicado o modelo de dois factores verifica-se a existência de relação entre as variações do preço do petróleo e alguns sectores. Os sectores que apresentam uma associação positiva são o da Energia e o dos Materiais e uma associação negativa os sectores da Saúde, Consumo Básico, Telecomunicações e Consumo Discricionário. Em relação à existência de efeitos assimétricos os testes efectuados permitem concluir pela existência de simetria entre o impacto das variações do preço petróleo e as rendibilidade sectoriais.<br>This research contributes to the knowledge of the relationship between oil prices and the return on U.S. stock market. The main research questions are: (1) Do changes in oil prices have an impact on overall stock market returns?; (2) Do changes in oil prices impact on sectorial stock market returns?; (3) When there are effects, are they asymmetrical?; and (4) Is there evidence for Granger causality? The research uses DataStream Advance 4.0 data for the period between the 1 January 2000 and 31 March 2011, for oil price (WTI) and ten activity sectors (S&P 500 index). Market models (by sector) and Two Factor ?market and oil? Princing Model are estimated. The asymmetry effects between the variables, as well as the Granger Causality are also studied. It is concluded through the market model that the S&P 500 index explains the variations of the sectors. A strong relation between the oil price variations and the returns on some sectors are found when an expected variation in oil price is considered and the Two Factors model is applied. Energy and Materials present a positive association while Health Care, Consumer Staples, Telecommunications and Consumer Discretionary present a negative association.
Regarding the existence of asymmetric effects, tests provide evidence that there is symmetry between the impact of oil price variations and the sector returns. Concerning the Granger Causality Test, the only significant relationship found between oil prices and the return on the sectors was for the Telecommunications sector and only from the eighth week on.
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Kau, Cha-lin, and 高嘉璘. "The Granger Causality Test between FDI and CO2." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/85295695561219170786.
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碩士<br>南華大學<br>管理經濟學系經濟學碩士班<br>97<br>In recent years, greenhouse gases caused global climate change issues have gradually become the focus of international attention. Global carbon dioxide emissions over is the main factors that cause the greenhouse effect. In particular, the Kyoto Protocol entered into force in 2005. Led all countries in the world directly or indirectly influenced by the reduction of greenhouse gas pressure. At this time, if able to master to have great influence on the greenhouse effect of carbon dioxide emissions, they will be in the relevant units to assist the development of appropriate countermeasures to prevent the continued accumulation of greenhouse gases on the
environment. Foreign direct investment will help the country''s economic development. Foreign direct investment and carbon dioxide emissions is affecting each other or not, and their causality relationship? It is the most important issues in this paper.
Globalization is the main trend on economic development and corporate investment in the world. This paper using the panel data of the carbon dioxide emissions and the amount of foreign direct investment in 1992-2005 years cross 200 countries to carry out empirical analysis. The countries were classified into two groups developed and developing to carry out Panel Data Granger causality test. Variable of Carbon dioxide emission measured by the calendar year emissions on the country selected from 1992-2005 year. Variables of foreign direct investment classified into inflow of foreign direct investment and outflow of foreign direct investment measured by the calendar year amount on the country selected from 1992-2005 year.
The results from the empirical analysis, in the developed countries found that have the existence of mutual influence two-way causal relationship between carbon dioxide emissions and the amount of foreign direct investment (inflow and outflow).The inflow and outflow foreign direct investment will help the country''s economic development. In the other hand, it will also impact on the environment. But in the developing countries found that Carbon dioxide emissions will affect the inflow of foreign direct investment, to the outflow of foreign direct investment are not. This also shows that the pollution haven hypothesis in developing countries has been verified.
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Chang, Mei-Hui, and 張美慧. "Fund Manager Sentiment and Performance Prediction-Bootstrap Panel Granger Causality Test." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/59219128957237272307.
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碩士<br>嶺東科技大學<br>企業管理系碩士班<br>103<br>Previous researches upon whether fund performance can be predicted mainly depends on analyzing fund managers’ external selectivity ability, timing ability and asset allocation policy, yet never were their inherent psychological aspects taken into evaluation. This study extracted 35 competitive Equity of Mutual Funds in Taiwan from year 2001 to 2013. Taking into the phenomenon of cross-sectional dependence and heterogeneity of variables, we applied Bootstrap Panel Granger Causality Test proposed by Kónya (2006) with every 5 years as a period to distinguish the four causalities of fund managers’ sentiment and fund performance - Optimism, Conservation, Feedback, and Neutrality for establishing four kinds of portfolios. To observe what the portfolio has a better future return. The empirical results show, regardless future rewards of 1 year or 3 year periods, the Feedback of causality which involves mutual effect between fund managers’ sentiment and fund performance is the best reward. On the contrary, the Conservation of causality where fund performance affects fund managers’ sentiment, is rather poor in reward. The result will contribute to the academia with a deeper understanding of professional investor’s psychological bias and will also serve as a supplementary criterion for future fund selections and ratings.
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Ma, Jeng-wen, and 馬正文. "GDP Growth and Energy Consumption Revisited-- Evidence from Nonlinear Granger Causality Test." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/ky463q.
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碩士<br>南華大學<br>經濟學研究所<br>95<br>Energy consumption and economic growth are constantly considered imperative issues in energy economy. However, previous studies had explored the relationship between them based on a linear assumption but ignore the nonlinear behavior which changes as a result of structural break. In this study, we not only applies linear causality test but also the nonlinear Granger causality test approach, proposed by Baek and Brock (1992), to examine the causal relationship between energy consumption and economic growth in Asian newly industrialized countries, including Taiwan, South Korea, Singapore, Hong Kong, Indonesia, Malaysia, Philippines, Thailand and the United States. The results based on linear causality test and nonlinear causality test indicate the non-existence of causality between energy consumption and economic growth across the United States, Thailand, and Korea which coheres with the neutrality hypothesis of energy consumption. The results also reveal that unidirectional causality running from economic growth to energy consumption in the Philippines and Singapore. Furthermore, this study also shows that the change of energy consumption may affect the economic growth in Taiwan, Hong Kong, Malaysia and Indonesia. Those results indicate that energy conservation policies should be designed deliberately in a way that utilization of such policies doesn''t have diminishing effects on economic development.
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Kao, Tze-chian, and 高慈謙. "A New Test for Granger Causality on Price-Volume Relation and its Application." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/01750454472997726268.
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碩士<br>國立臺灣大學<br>經濟學系<br>85<br>Because of the interest in the inter-relation between economic
variables,there are many studies in this topic.In the thesis,
the form of relationship under consideration isGranger
causality, which is directly related to the forecasting ability.
And the applied variables under consideration are the stock
price and volume.After we review and discuss the stock price-
volume relation in the previousstudies, we establish new
statistics to test the Granger causality.The new statistics are
like the wellknownmaximum and range CUSUM-tests.Under the
circumstance of covariance stationary,we can use our new
statistics to do the joint test for the all covarianceswe can
estimate presicely. Our test does not requireall the objective
filtering procedures, so it improves the existing tests
forGranger causality.According to our empirical result in
applying the data of Taiwanstock market, the change rate of the
Taiwan stock index and the change rateof the aggregate trading
volume have the relation of so-called "feedback": the former
causes the latter, and the latter causes the former;however, the
result from the S statistic used by Rogalski (1978) only
showsthe former causes the latter.Based on our result, we should
be able to use the information of thevolumes available nowadays
to improve our predicting abilityin the future price movement.
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Huang, Ya-Lin, and 黃雅琳. "Managerial overconfidence, R&D and firm’s financial performance—using Granger causality Wald test." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/pptjn5.
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碩士<br>國立東華大學<br>財務金融學系<br>105<br>This study examines the relationship between managerial overconfidence、research and development (R&D) expenditures and Tobin’s Q for the period from 2009 to 2016,using Granger causality test by panel VAR. The findings of this study could provide a reference for future study. The conclusions are follows:
1. R&D expenditures and Tobin’s Q have bilateral feedback relationships under the Granger causality test.
2. Managerial overconfidence and Tobin’s Q have bilateral feedback relationships under the Granger causality test.
3. There is no direct association between managerial overconfidence and R&D expenditures.
4. The impulse response function shows that, when interference strikes the three variables, its impulse response effects have maximum reaction in the first year and will disappear after 3 to 4 years later.
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Yang, Wen-Hui, and 楊文惠. "The Study on Granger Causality Test and VAR Model of Exchange Traded Funds Prices in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/64912203903704533346.
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碩士<br>國立高雄第一科技大學<br>金融研究所<br>103<br>This study focused on five exchange traded funds (ETFs) on the Taiwanese stock market (i.e., Taiwan Top50 Tracker Fund, Taiwan Mid-Cap 100 Tracker Fund, Yuanta/P-shares Taiwan Electronics Tech, Yuanta/P-shares MSCI Taiwan Financials, and Yuanta/P-Shares Taiwan Dividend Plus ETF) and daily closing prices on the Taiwan Capitalization Weighted Stock Index (TAIEX). The research period was between September 2011 and August 2014. The data were assessed using a unit root test, causality test, vector autoregression modeling, forecast error variance decomposition, and impulse response analysis. Vector autoregression modeling revealed that the TAIEX trend was positively influenced by the Taiwan Top 50 of the previous period. Forecast error variance decomposition showed that the self-explanatory power of the various ETFs were inferior to that of the TAIEX. A certain amount of connection existed between the TAIEX and the ETFs, and the return of investment of the ETFs were not inferior to that of the TAIEX.
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黃棃香. "Revisiting the Relationship between Stock Prices and Trading Volumes by Granger Causality Test based on Frequency Domain." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/8z6mgd.
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碩士<br>逢甲大學<br>金融碩士在職專班<br>104<br>The present study investigates the causal relationship between the stock prices and trading volume in Romania, using weekly data from October 6, 2006 to October 23, 2015. In this study, instead of applying conventional Granger causality test to investigate the relationship between stock prices and trading volume, Breitung and Candelon (2006) procedure based on Frequency domain has been applied for analyzing the data. Empirical results demonstrate that the causal relationship between returns and volume is almost nonexistent in conventional Granger causality test. However, the empirical results show one-way causality running from stock price to trading volume only in the short-term period (2.4 week to 3.3 week) when Breitung and Candelon (2006) procedure based on Frequency domain has been applied. This view emphasizes a vibration in prices can stimulate economic activity and influence the trading volume in Romania.
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廖隆麒. "The Link between Stock Market and Foreign Exchange Market of the Brazil--Granger Causality Test based on Frequency Domain." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/d6rne6.
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陳菁菁. "The Link between Stock Market and Real Estate Market of the U.S. - Granger Causality Test based on Frequency Domain." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/27kub2.
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賴巧惠. "The Study of the linkage between Taiwan and U.S. Stock Price Indexes-Granger Causality Test based on Frequency Domain." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/93160338515063042612.
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碩士<br>逢甲大學<br>金融碩士在職專班<br>103<br>This study investigates causal dynamic linkage between Taiwan stock price and three stock price indexes (D&J, NASQ, and S&P 500) of the United States over 2006/1/6 to 2014/12/26 using Granger causality test based on Frequency domain, proposed by Breitung and Candelon (2006). Empirical results indicate that D&J stock price and Taiwan stock price exist a feedback in both short- and long-run. Furthermore, we find that both NASQ and S&P 500 price indexes also interact with Taiwan stock price movement in both mid- and long-term.
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YANG, FU-CHENG, and 楊富丞. "Causal Relationship between Oil Price and Gold Price before and after Financial Crisis: A Nonlinear Granger Causality Test Approach." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/96443439854098191230.
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碩士<br>大葉大學<br>國際企業管理學系碩士班<br>104<br>This article examine the causal relationship between crude oil and gold spot prices before and after the recent financial crisis. Weekly data from December 1994 to December 2014 is used. In the pre-crisis period, causality is linear and unidirectional, running from oil to gold price. Causality is nonlinear and unidirectional, running from gold to oil price. In the post-crisis period, a bidirectional linear causality relationship. Causality is nonlinear and unidirectional, running from gold to oil price. This findings imply that investors use the gold market as a hedge against inflation.
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Chen, Chih-Ju, and 陳治儒. "The Relationship of Economic Growth, Financial Development and Export trade in Taiwan and China-Application of the Granger Causality Test." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/79428464458680483317.
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碩士<br>淡江大學<br>中國大陸研究所碩士班<br>96<br>This present paper is to Cointegration test, Vector Error Correction Model, and Granger Causality test to analyse the economical and financial growth, as well as export trading relations between Taiwan and China, and E-Views software are used for validation purposes.This research is utilising GDP and Industrial production as agent''s parameter. M2 proportional to GDP and Stock Turnover as financial growth of agent''s parameter, The quarterly total export is known as the agent''s parameter of export trading. Based on the Cointegration test analysis, the economical and financial growth, as well as of export trading between these two countries are stable under long term period. Whereas, according to the analysis of Vector Error Correction Model and Granger Causality test, the results had shown that the increase of exporting is directly proportional to the economical growth between these two countries,The financial changes will have positive impact on the economical growth in China but not in Taiwan, Stock market development will have no impact on China’s economical growth,As for Taiwan, changes of stock market will have short term impact on the economical growth, The financially changes had shown to have positive impact on the export trading.
The analytical results had shown that, the increase of export trading in Taiwan and China are positively affecting the global economical growth. Due to the impacts of bad fiduciary loan and financial reformation happened in Taiwan for the past few years, The financial development in recent years is not benefiting the economic in Taiwan; In china, as a result of increasing in financial needs, financial market opening and etc, the financial development is consider as one of the main factors for economical growth; As the international trading getting more complex, the financial demand will be increased as well, Therefore, the export trading and financial changes for both countries are positively affecting each other, but the effects for Taiwan are only short term and for China, the effects will be long term.
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Ho, Chi-Cheng, and 何基正. "A Study on the Relationships between Behavioral Finance Bias and Stock Returns in Taiwan Market by Using Granger Causality Test." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/q4h52k.
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碩士<br>中原大學<br>工業工程研究所<br>102<br>Abstract
Efficient Market Hypothesis assumes that most of the investors in the market are rational, and that the market information can quickly be reflected in the market price. Many stock return phenomenons like the January Effect are observed which can’t be explained by Efficient Market Hypothesis. Such phenomenons possibly occur due to some irrational investments. In Behavioral Finance, psychology is used to study the investor mentality. A common mentality among investors is that they may be influenced by psychological biases when they invest in the market leading to an irrational investment. The most common psychological biases in the stock market are representativeness heuristic, underreaction, overreaction, overconfidence, herd behavior, and the size effect.
In this study, we purpose to find those common psychological biases whether or not exist in the market. First we define which indexs to estimate those psychological biases in the stock market, and then we use the Granger Causality Test and correlation analysis to study the association of psychological biases and returns of 40 companies during different company trends. We find that representativeness heuristic, underreaction, overreaction, and herd behavior exist in the market, but overconfidence didn’t exist in the market. Herd behavior exists in the small company. The investors can use the psychological biases to estimate that the future stock price might be up or down.
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Costa, Ana Sofia Casimiro da. "O efeito de contágio (spill-over) entre os mercados bolsistas." Master's thesis, 2009. http://hdl.handle.net/10071/1833.
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Códigos de Classificação JEL: G15, C32<br>Ao longo dos últimos tempos tem se vindo a confirmar que existe uma crescente
integração das economias a nível internacional, fazendo com que os mercados
financeiros estejam mais expostos a influências externas.
Neste contexto o tema objecto de dissertação, procura analisar o fenómeno
causa/efeito entre os principais mercados.
Estão seleccionados 3 índices representativos do mercado norte-americano (DJ
Industrial Average, S&P500 e Nasdaq Composite), 5 europeus (CAC40, FTSE100,
DAX30, IBEX35 e PSI20), 5 asiáticos (NIKKEI225, Shangai Composite, BSES India,
PSI das Filipinas, KS11 - Coreia do Sul), 3 sul-americanos (Brasil, México e
Argentina).
Sendo assim, pretende-se com este estudo responder a algumas questões:
- Existe/ou não efeito de contágio entre os vários mercados mundiais?
- Será esse efeito, a existir, igual ou diferente?
- Haverá ainda particularidades entre alguns mercados?
- Será que a crise subprime e financeira (2007/2009) alterou o quadro geral?
Como base de estudo será utilizado o período de Janeiro de 1996 a Junho de 2009,
dividido em 4 períodos.
Para verificar a existência de contágio utilizaram-se as metodologias:
- Testes de Causalidade à Granger;
- Kolmogorov-Smirnov;
- Análise de Correlação;<br>Over the past years has been confirmed that there is an increasing integration of
internationally economies, that financial markets are more exposed to external
influences.
In this context the theme of the dissertation, is analyze the phenomenon of cause and
effect between the main markets.
There are selected 3 indexes representative of the U.S. market (DJ Industrial
Average, S&P 500 and NASDAQ Composite), 5 European (CAC40, FTSE100,
DAX30, IBEX35 and PSI 20), 5 Asian (Nikkei225, Shanghai Composite, BSES India,
PSI of the Philippines KS11 - South Korea), 3 South America (Brazil, Mexico and
Argentina).
Therefore, the aim of this study was to answer some questions:
- There is contagion effect between the various global markets?
- Is this effect, if any, equal or different?
- There will be features of some markets?
- Will the subprime crisis and financial (2007/2009) changed the scenario?
As a basis for study, uses the period January 1996 to June 2009, divided into 4
periods.
To verify the existence of contagion using the methodologies below:
- Tests for Granger Causality;
- Kolmogorov-Smirnov;
- Correlation Analysis
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LI, YI-KUANG, and 李檥廣. "Analysis of the relationships between Bitcoin price and exchange rate, Gold Price and Major Country Stock Index by Granger Causality test." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/raxtsa.
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碩士<br>僑光科技大學<br>財務金融研究所<br>107<br>Bitcoin is by far the most innovative and most widely accepted digital currency in the market. Since its inception in 2008, it has undergone ups and downs, especially since 2017. It is even fierce, even in early 2018. It is a breakthrough price of 20,000 US dollars that has attracted the attention of investors around the world. In order to understand the factors that affect Bitcoin's volatility, this study tried to use a Unit Root Test and Cointegration Test and Granger causality test to check the price of Bitcoin from 2011 to November 30, 2018 and the price of gold and the United States, China, India, Japan、Korea、Taiwan、Turkey、Argentina、Italy、Netherlands、United Kingdom、Switzerland and other countries. Whether the currency and Stock index have a common change relationship.
The results of the study show that the Dow Jones、Nasdaq、Nikkei225、KOSPI、ISE National-100 index、FTSE、Swiss Stock Index、SENSEX-30、TAIEX、FMIB、AEX、MERVAL Index。 has a total integration relationship. Shows a long-term equilibrium relationship between Bitcoin prices and economic variables. Therefore, this study finds that Granger causality shows that Dow Jones、KOSPI、AEX will affect the price of Bitcoin. while the Nasdaq、Nikkei225、SENSEX-30、MERVAL Index will be affected by bitcoin prices. Then the ISE National-100 index, the FTSE, the Swiss Stock Index, the TAIEX and Bitcoin have an interaction. As for the FMIB, there is no causal relationship with Bitcoin.
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CHIEN-WEN, TSENG, and 曾見文. "The Study on Granger Causality Test and VAR model of ETF prices– An empirical evidence of American and Asian stock markets." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/09226440577901496159.
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碩士<br>開南大學<br>財務金融系碩士班<br>95<br>After TTT listed on the Taiwan Stock Exchange at 2003/06/30, we propose to find the lead-lag relationship among the different stock markets’ ETF prices as reference for the investors. We use 8 prices in American and Asian stock markets, during the period from 2004/10/08 to 2006/05/24, with total 422 daily transaction data. The international financial markets’ ETF prices analyzed by time serial methods, such as Unit Root Test, Cointegration Test, Granger Causality Test, Vector Auto-Regression Model, Impulse Response Analysis and Forcast Error Variance Decomposition analysis. The conlusions are as follow:
1. According to the Unit Root Test, all the serials of prices by the 1st-differ are the stationary serials of . This could prove that the consequence would not lead to the spurious regression as Granger and Newhold ( 1974 ) stated.
2. According to the Cointegration Test, it shows that there is not a long-term interrelationship among TTT, QQQQ, SPDR, EWH, EWJ, EWS, EWY, FXI.
3. According to the Granger Causality Test, we find except for there is a unidirectional relationship among TTT prices to others, QQQQ prices to EWJ prices and FXI prices to e EWH prices, there is an independency relationship among all other ETF prices.
4. According to the Impulse Response Analysis, except SPDR prices have negative implication with TTT prices at the primary stage, and FXI prices have no implication with TTT prices, all other ETF prices have positive and continuing implication with TTT prices, especially TTT prices have stronger implication with itself.
5. According to the Forcast Error Variance Decomposition analysis, TTT , evidence is found that the dalily ETF prices is not affected by all other ETF prices at the primary stage, but observe over a long period of time, TTT prices is mainly affectad by QQQQ, EWH, SPDR, EWS, EWY prices , especially QQQQ.
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De, Villiers Johannes Joubert. "The relationship between exchange rate volatility and portfolio inflow in South Africa / Johannes Joubert de Villiers." Thesis, 2015. http://hdl.handle.net/10394/15175.
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South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth.
The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility.
The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also
revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa.<br>MCom (Risk Management), North-West University, Potchefstroom Campus, 2015
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Σαλαμαλίκη, Παρασκευή. "Μελέτες στην εφαρμοσμένη μακροοικονομετρία : Αιτιότητα κατά Granger σε πολλαπλούς ορίζοντες και μη-γραμμικές τάσεις σε μακροοικονομικές χρονολογικές σειρές". Thesis, 2013. http://hdl.handle.net/10889/6542.
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Η παρούσα διατριβή ασχολείται με δύο ιδιαιτέρως σημαντικά και διαχρονικά επίκαιρα ζητήματα στην ανάλυση χρονολογικών σειρών, τα οποία εντάσσονται, υπό ευρεία έννοια, στο πεδίο της Μακροοικονομετρίας. Ειδικότερα, μελετώνται θέματα και μεθοδολογίες ή τεχνικές ιδιαίτερα χρήσιμες για εκείνους τους ερευνητές, οι οποίοι επικεντρώνονται στην ανάλυση της συμπεριφοράς των συναθροιστικών (aggregate) μεγεθών της οικονομίας, βασιζόμενοι στη χρήση δεδομένων χρονοσειρών ή πιο απλά χρονοσειρές (time series).
Το πρώτο ζήτημα αφορά στη μελέτη της δυναμικής αλληλεξάρτησης ανάμεσα σε μακροοικονομικές μεταβλητές κάτω από την υιοθέτηση ενός πολλαπλού πλαισίου ανάλυσης χρονοσειρών. Το ενδιαφέρον εστιάζεται κυρίως στην γενικευμένη ή εκτεταμένη έννοια της αιτιότητας κατά Granger, δηλαδή στην επέκταση της τυπικής έννοιας της αιτιότητας κατά Granger σε μεγαλύτερους του ενός ή σε πολλαπλούς ορίζοντες πρόβλεψης. Το δεύτερο ζήτημα αφορά στην παρουσία μη-γραμμικών χαρακτηριστικών σε μακροοικονομικές χρονοσειρές, καθώς και την υποδειγματοποίηση της μη-γραμμικότητας με τη χρήση μη-γραμμικών οικονομετρικών μοντέλων. Επικεντρώνεται δε ιδιαίτερα στον έλεγχο μοναδιαίας ρίζας κάτω από την εναλλακτική υπόθεση της στασιμότητας γύρω από μη-γραμμικές τάσεις της μορφής τάσεων ομαλής μετάβασης (smooth transition trends) στις μακροοικονομικές χρονοσειρές.
Ουσιαστικά, η διατριβή διακρίνεται σε δύο κεφάλαια. Στο Κεφάλαιο 1 παρουσιάζεται η τυπική έννοια της αιτιότητας κατά Granger, καθώς και η γενικευμένη ή εκτεταμένη έννοια της αιτιότητας ή η αιτιότητα σε πολλαπλούς ορίζοντες (multi-horizon causality), στο πλαίσιο των διανυσματικών αυτοπαλίνδρομων υποδειγμάτων (VAR). Η τυπική έννοια της αιτιότητας κατά Granger περιορίζεται στη βελτίωση της προβλεψιμότητας σε ορίζοντα πρόβλεψης μίας περιόδου (one-step ahead), ενώ λαμβάνει υπ'όψιν μόνο τις άμεσες ροές πληροφόρησης μεταξύ των μεταβλητών ενδιαφέροντος (direct causality). Ωστόσο, σε υποδείγματα VAR με περισσότερες από δύο μεταβλητές η τυπική έννοια της αιτιότητας μπορεί να επεκταθεί με την μελέτη της βελτίωσης της προβλεψιμότητας σε μεγαλύτερους του ενός ορίζοντες πρόβλεψης. Σε μία περίπτωση όπως η τελευταία, πλην της άμεσης αιτιότητας, δύνανται να μελετηθούν και οι έμμεσες σχέσεις αιτιότητας (indirect causality) που ενδέχεται να προκύψουν μέσω των πρόσθετων μεταβλητών του συστήματος.
Το θεωρητικό πλαίσιο της γενικευμένης έννοιας της αιτιότητας που παρουσιάζει η παρούσα διατριβή έχει αναπτυχθεί από τους Dufour and Renault (1998). Παράλληλα, δίνεται ιδιαίτερη βαρύτητα σε δύο πρόσφατες μεθόδους στατιστικής επαγωγής αιτιωδών σχέσεων κατά Granger σε πολλαπλούς ορίζοντες, οι οποίες παρέχουν πρόσθετη πληροφόρηση σχετικά με τη δυναμική αλληλεξάρτηση οικονομικών χρονοσειρών, και πιο συγκεκριμένα σχετικά με τον άμεσο ή έμμεσο χαρακτήρα των αιτιωδών σχέσεων, το διαχωρισμό μεταξύ βραχυχρόνιας και μακροχρόνιας (μη)-αιτιότητας, καθώς και τις πιθανές χρονικές υστερήσεις της αιτιότητας. Τέλος, στα πλαίσια του Κεφαλαίου 1, ερευνάται η δυνατότητα εφαρμογής των μεθόδων αυτών μέσω εμπειρικών εφαρμογών πάνω σε δύο διαχρονικά ζητήματα αιτιωδών σχέσεων ανάμεσα σε οικονομικές μεταβλητές.
Στο Κεφάλαιο 2 παρουσιάζονται υποδείγματα ομαλής μετάβασης, καθώς και έλεγχοι μοναδιαίας ρίζας οι οποίοι επιτρέπουν την στασιμότητα γύρω από ομαλές ή βαθμιαίες μεταβάσεις κάτω από την εναλλακτική υπόθεση. Κύριο χαρακτηριστικό των υποδειγμάτων ομαλής μετάβασης είναι η παρουσία μη-γραμμικών τάσεων στη διαχρονική εξέλιξη των χρονοσειρών. Κεντρικό ρόλο στα υποδείγματα αυτά κατέχουν οι διαρθρωτικές μεταβολές (structural changes) στην προσδιοριστική τάση, οι οποίες, δεδομένου ότι αντιπροσωπεύουν μεταβολές της συναθροιστικής συμπεριφοράς, υποδειγματοποιούνται με τη χρήση ενός προσδιοριστικού στοιχείου το οποίο επιτρέπει την βαθμιαία αντί της στιγμιαίας προσαρμογής.
Οι έλεγχοι μοναδιαίας ρίζας, οι οποίοι επιτρέπουν περισσότερη ευελιξία στην συνάρτηση της τάσης σε σχέση με την γραμμική εξειδίκευση της προσδιοριστικής τάσης που χρησιμοποιούν οι τυπικοί έλεγχοι μοναδιαίας ρίζας, αποτελούν το επίκεντρο μελέτης του Κεφαλαίου 2 της διατριβής. Η αναγκαιότητα υιοθέτησης πρόσθετων ελέγχων μοναδιαίας ρίζας, όπως οι έλεγχοι μοναδιαίας ρίζας οι οποίοι επιτρέπουν στασιμότητα γύρω από ομαλές μεταβάσεις κάτω από την εναλλακτική υπόθεση, ισχυροποιείται από τα αποτελέσματα της εφαρμογής των ελέγχων αυτών σε ένα σύνολο οικονομικών χρονοσειρών.<br>This thesis discusses two central research topics in applied time series econometrics that generally belong in the field of Macroeconometrics. In particular, we investigate issues and methods which are of interest to those researchers who want to analyze economic problems or economic aggregates by means of time series data.
The first topic deals with the dynamic interrelationships between sets of theory related variables in a multiple time series context. Research interest is primarily focused on the generalized or extended notion of Granger causality, that is the extension of the standard Granger causality concept to higher forecast horizons. The second topic deals with nonlinear behavior of macroeconomic time series, as well as the modelling of nonlinearities in economic time series using nonlinear econometric models. Specific attention is paid to unit root tests that allow stationarity around nonlinear trends in the form of smooth transitions under the alternative.
The dissertation consists of two chapters. The first chapter presents the standard concept of Granger causality, along with the generalized or extended notion of causality, also known as multiple-horizon causality, in the vector autoregressive (VAR) framework. The standard notion of Granger causality restricts prediction improvement to a forecast horizon of one period, while it considers only direct flows of information between the variables of interest. However, in VAR models with more than two variables, the concept of standard Granger causality can be extended by studying prediction improvement at forecast horizons greater than one. If this is the case, then, except for direct causality, indirect flows of information might be revealed through the additional variables of the system.
The theoretical framework of the extended concept of causality which is presented in the present dissertation has been developed by Dufour and Renault (1998). In addition, special attention is paid to two recent methods for testing hypothesis of non-causality at various horizons which can provide further information on the dynamic interaction of time series, and more specifically on the direct or indirect nature of causal effects, the distinction between short-run and long-run (non)-causality, as wells as the possibility of causal delays. Finally, the potential implementation of these methods is examined through empirical applications on causality relations among different sets of economic variables.
Chapter 2 presents smooth transition (STR) trend models, as well as unit root tests that allow stationarity around smooth transitions under the alternative. Smooth transition regression models presume the presence of nonlinear trends in the long-run evolution of time series. A key feature of these models is the presence of structural changes in the deterministic trend which, given that they represent changes in aggregate behavior (economic aggregates), are modelled through a deterministic component that permits gradual rather than instantaneous adjustment between regimes.
Unit root tests that permit a more versatile trend function in the unit root procedure, rather than the standard linear trends, are the main concern of Chapter 2. The necessity of employing additional unit root tests, such as unit root tests that allow stationarity around smooth transitions under the alternative, becomes evident through the unit root test results that are observed in an application in a set of economic time series.
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Poštulková, Jitka. "Makro-fundamentální analýza CEE & SEE trhů." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352624.
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The aim of this thesis is to verify and analyse presumed relations between selected macro-fundamentals, namely USD exchange rate, production index, interbank offered rate, inflation, money supply and two exogenous indices ( Standard & Poor's 500 and EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE (Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from December 1995 to December 2015. In order to test the long-run cointegration relationships between studied markets and the set of macroeconomic variables, the Engle-Granger and Johansen tests are applied. The vector error correction model is used to confirm the long-run equilibrium interlinkages and the results show similar trend tendencies between stock indices and some of the macro-fundamentals in Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run causal linkages, the Granger causality test is employed. Based on retrieved findings, the efficiency of studied markets with respect to Efficient Market Theory is reviewed. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. The only indicator which does not impact any stock market is the interbank offered rate. Moreover, according to our results, all CEE&SEE stock...
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Γεωργίου, Παναγιώτης. "Οικονομετρική διερεύνηση της σχέσης συναλλαγών θεσμικών επενδυτών και χρηματιστηριακών αποδόσεων". Thesis, 2008. http://nemertes.lis.upatras.gr/jspui/handle/10889/1217.
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Η παρούσα διπλωματική εργασία ερευνά την σχέση μεταξύ των συναλλαγών των μετοχικών αμοιβαίων κεφαλαίων και των χρηματιστηριακών αποδόσεων για την περίπτωση του Ελληνικού Χρηματιστηρίου για την χρονική περίοδο 1994-2002. Με την χρησιμοποίηση ποικίλων οικονομετρικών μεθόδων γίνεται έλεγχος για την ύπαρξη σχέσης συνολοκλήρωσης καθώς και κάποιας βραχυχρόνιας σχέσης μεταξύ αυτών των δύο παραγόντων, ενώ γίνεται προσπάθεια εντοπισμού κάποιας σχέσης αιτιότητας μεταξύ αυτών με βάση τον έλεγχο αιτιότητας του Granger.<br>This diplomatic thesis investigates the relationship between the trading of mutual funds and stock returns in the case of the Greek Stock Exchange Market, for the period 1994 - 2002. A variety of econometric methods was used to check the existence of a cointegration relationship and a kind of a short-run relationship between these two factors. Finally an attempt was made to identify causal relationships between them using the Granger causality test.
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CHANG, WEN-SHUO, and 張文碩. "Analyze the Long and Short Run Relationships among Prices of Gold and Oil to Taiwan Stock Market, Applying the VECM, Engle and Granger Causality Tests, and Threshold GARCH Model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/18134459702105910160.
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碩士<br>東海大學<br>經濟系<br>101<br>This paper discusses the correlations of macroeconomic variables of Taiwan over the past two decades, using the VECM and TGARCH model to identify the long run relationships. We explore common factors among the prices of gold, oil, and stock market, and examine their possible causal relationships. The co-integration relationships show a one-way causality from prices of oil and gold to the Taiwan stock market. In addition, this article shows that the price of gold and oil are mutual influenced, and the golden price to stock price is positive while oil’s impact is negative. This article provides a platform to investigate and analyze the factors that affect the Taiwan stock market.
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Taamouti, Abderrahim. "Problèmes d'économétrie en macroéconomie et en finance : mesures de causalité, asymétrie de la volatilité et risque financier." Thèse, 2007. http://hdl.handle.net/1866/1507.
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