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Dissertations / Theses on the topic 'Macroeconomic analysis'
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Polito, Vito. "Vector autoregressive analysis of macroeconomic policy." Thesis, University of York, 2007. http://etheses.whiterose.ac.uk/11068/.
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Lee, Myong-hwal. "Computational analysis of optimal macroeconomic policy design /." Digital version accessible at:, 1998. http://wwwlib.umi.com/cr/utexas/main.
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Motto, Roberto. "Studies in monetary policy : macroeconomic and econometric analysis." Thesis, University of York, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533511.
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Rodriguez, Gabriel. "Unit root, outliers and cointegration analysis with macroeconomic applications." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0028/NQ48794.pdf.
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Cantelmo, A. "Essays on multi-sector macroeconomic models for policy analysis." Thesis, City, University of London, 2018. http://openaccess.city.ac.uk/19942/.
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This thesis studies multi-sector macroeconomic models suitable for policy analysis. The first and second chapters use a variety of empirical and theoretical macroeconomic models allowing for the consumption of goods with different durability, and analyze which modeling assumptions and features of the economy are crucial for the conduct of monetary policy. The third chapter focuses on the role of fiscal and monetary policies in the Euro Area, thus providing insights about the joint policy stance that have the potential to inform future policy choices. In the fi rst chapter, we challenge a crucial assumption made in the literature of Dynamic Stochastic General Equilibrium (DSGE) models with durable and nondurable goods about their relative price stickiness. We start with a thorough empirical analysis by estimating a Structural Vector Autoregressive model of the US economy, in which we find that the response of the relative price of durables to a monetary policy contraction is either flat or mildly positive. It signi cantly falls only if narrowly de ned as the ratio between new-house and nondurables prices. These findings are then rationalized via the estimation of two-sector New-Keynesian (NK) models. Durables prices are estimated to be as sticky as those of nondurables, leading to a flat relative price response to a monetary policy shock. Conversely, house prices are estimated to be almost flexible. Such results survive several robustness checks and a three-sector extension of the NK model. These findings have implications for building NK models with durable and nondurable goods, and for the conduct of monetary policy. This chapter is based on an article co-authored with Dr. Giovanni Melina (International Monetary Fund) and published in the Journal of Economic Dynamics and Control. The second chapter adds imperfect labor mobility to a two-sector New- Keynesian model with durable and nondurable goods and estimates it with Bayesian methods. We use the model to design optimal monetary policy and find that an inverse relationship between sectoral labor mobility and the optimal weight the central bank should attach to durables inflation arises. Moreover, we show that the combination of nominal wage stickiness and limited labor mobility leads to a nonzero optimal weight for durables inflation even if durables prices were fully flexible. These results survive alternative calibrations and interest-rate rules and point toward a non-negligible role of sectoral labor mobility for the conduct of monetary policy. This chapter is co-authored with Dr. Giovanni Melina (International Monetary Fund). The third chapter of the thesis focuses on the role of shocks and policies in the Euro Area business cycle. We consider the long-term structure of government debt and introduce a financial sector. These features allow the model to account for both the recent nancial and sovereign debt crises, and the effects of the unconventional monetary policy implemented by the European Central Bank. We then determine the joint fi scal and monetary policy stance in the Euro Area and find that it has been expansionary in the aftermath of the financial crisis but has turned to be contractionary after the sovereign debt crisis. The joint effect of the austerity measures taken by governments of European countries and the zero-lower-bound constraint on the monetary policy rate caused the reversion of the policy stance, which was prevented to be even more contractionary only by the quantitative easing implemented by the European Central Bank. This chapter is based on a paper co-authored with Dr. Nicoletta Batini (International Monetary Fund), Dr. Giovanni Melina (International Monetary Fund) and Dr. Stefania Villa (Bank of Italy).
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Barja, Gover. "Time Series Analysis of Macroeconomic Conditions in Open Economics." DigitalCommons@USU, 1995. https://digitalcommons.usu.edu/etd/3561.
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Three macroeconomic issues are examined in separate self-contained studies. The first study tests the business cycle theory with application of an enhanced Augmented Dickey-Fuller test on the U.S. time series of real gross national product. Unlike previous studies, the null hypothesis of a unit root is rejected. The second study tests for IS-LM conditions in the U.S. during the post-Bretton Woods era by combining the Johansen's approach to cointegration with bootstrap algorithms. The estimated model produces a dynamic version of the IS-LM that permits short-term evaluations of fiscal and monetary policies. The third study seeks to explain the observed persistence in the Bolivan dollarization process. It is found that dollarization is now an irreversible process, with the Bolivian economy in transition toward equalization with U.S. prices and interest rates.
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Li, Xiang. "Order flow analysis, technical analysis and macroeconomic news in the FX market." Thesis, University of York, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.495890.
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Wan, Dejun. "The Randomized Kaczmarz Method with Application on Making Macroeconomic Predictions." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1437.
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This paper will demonstrate the principles and important facts of the randomized Kaczmarz algorithm as well as its extended version proposed by Zouzias and Ferris. Through the analysis made by Strohmer and Vershynin as well as Needell, it can be shown that the randomized Kaczmarz method is theoretically applicable in solving over-determined linear systems with or without noise. The extension of the randomized Kaczmarz algorithm further applies to the linear systems with non-unique solutions. In the experiment section of this paper, we compare the accuracies of the algorithms discussed in the paper in terms of making real-world macroeconomic analyses and predictions. The extended randomized Kaczmarz method outperforms both the randomized Kaczmarz method and the randomized Gauss-Seidel method on our data sets.
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Singh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis." Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.
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Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabilisation tool, did not have a positive effect on real Gross Domestic Product (GDP) growth in the short term. Effects on GDP growth were positive over the long term but not statistically significant. Furthermore, expansionary fiscal policy caused inflationary pressures. Fiji has a fixed exchange rate regime, therefore, it was expected that the focus of monetary policy would be the maintenance of foreign reserves. It was, however, found that monetary expansion in the short term resulted in positive effects on real GDP growth and resulted in inflation. The long term effects of monetary policy on real GDP growth were negative, which are explained by the fixed exchange rate regime, endogenous determination of money supply by the central bank, an unsophisticated financial market and, perhaps, an incomplete transmission of the policy. Both merchandise trade and visitor arrivals growth were found to positively contribute to short term and long term economic growth. Political instability was found not to have significant direct effects on real GDP growth but caused a significant decline in visitor arrivals which then negatively affected economic growth in the short term.
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Kasimati, Evangelia. "Macroeconomic and financial analysis of mega-events : evidence from Greece." Thesis, University of Bath, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428353.
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Gascoigne, Jamie. "An econometric analysis of nonlinear dynamics in macroeconomic time series." Thesis, University of Sheffield, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.425625.
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Narayan, Padmini Venkat. "'Public sector pricing' : theoretical analysis in a dynamic macroeconomic model." Thesis, London School of Economics and Political Science (University of London), 1990. http://etheses.lse.ac.uk/2426/.
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This thesis examines the role of public policy, with specific reference to public sector pricing, in an economy where all markets do not necessarily clear. The discussion focuses on three non-Walrasian market situations termed, in the nomenclature of Malinvaud and others, as: Keynesian Unemployment, Classical Unemployment and Repressed Inflation. In chapter 1, there is a brief summary of the literature in this area. The framework of the model used, is described in some detail in chapter 2. In chapter 3, the role of the traditional instruments of taxation and public expenditures is analysed in the framework of the present model. The "non-traditional" instrument of public sector pricing throws up some interesting results. Among other things, my results indicate that public sector pricing can be designed to effectively influence the level of aggregate income and employment. The method of financing the government deficit is the subject of chapter 4. My results indicate that the bond-financed multiplier of Blinder and Solow or Tobin and Buiter is simply a special case of the multiplier in my model, when the public sector enterprise prices its output at marginal cost. Equally important, I establish that the Blinder-Solow result "the long-run multiplier for bond-financed deficit spending exceeds that for money-financed deficit spending" is not necessarily true. Furthermore, the stability and convergence properties of the system are shown to rest on the choice of public sector prices. The characterisation of optimal public sector prices is dealt with in chapters 5 and 6, viewed from a different perspective in each of the chapters. In chapter 5, optimal pricing rules are derived which are explicit and readily operational. Finally, in chapter 6, we characterise the dynamic time-path of optimal public sector prices.
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Lee, Jun Ho, and Noel Mattar. "Analysis of Macroeconomic Variables Affecting International Tourism Consumption in Sweden." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254280.
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There is an evident trend of growing tourism in the world. Tourism in Sweden is gaining more economic and social attention. The main purpose of this thesis is to discover what macroeconomic variables contribute to the annual international tourism income in Sweden. A multiple linear regression approach over a time period of 1978-2017 is used for the analysis. The final results show that GDP is the major macroeconomic factor that drives the annual international tourism income in Sweden across all time periods. NOK-SEK exchange rate seem to another relevant variable in the long term from 1978-2017, but not in shorter periods of time. USD-SEK exchange rate and unemployment rate hold no significant relevance to the international tourism consumption in Sweden for all time. The devaluation of Swedish krona in 1992 did not change the relationship between these variables and the response variable. However, these results can be unstable due to the limited number of observations used in the analysis, and therefore, we recommend other regression approaches, such as panel data regression, for this subject.There is an evident trend of growing tourism in the world. Tourism in Sweden is gaining more economic and social attention. The main purpose of this thesis is to discover what macroeconomic variables contribute to the annual international tourism income in Sweden. A multiple linear regression approach over a time period of 1978-2017 is used for the analysis. The final results show that GDP is the major macroeconomic factor that drives the annual international tourism income in Sweden across all time periods. NOK-SEK exchange rate seem to another relevant variable in the long term from 1978-2017, but not in shorter periods of time. USD-SEK exchange rate and unemployment rate hold no significant relevance to the international tourism consumption in Sweden for all time. The devaluation of Swedish krona in 1992 did not change the relationship between these variables and the response variable. However, these results can be unstable due to the limited number of observations used in the analysis, and therefore, we recommend other regression approaches, such as panel data regression, for this subject.<br>Det finns en märkbar trend av växande turism världen över. Turismen in i Sverige får allt mer ekonomisk och social uppmärksamhet. Syftet med detta arbete är att finna vilka makroekonomiska variabler som bidrar till de årliga intäkterna av internationell turism i Sverige. För analysen används multipel linjär regression över tidsperioden 1978-2017. Det slutgiltiga resultatet visar att BNP är den dominanta makroekonomiska faktorn som är drivande i de årliga intäkterna av internationell turism i Sverige, detta oavsett tidsperiod. Valutakursen NOK/SEK verkar vara signifikant i det långa loppet, från 1978-2017, men inte under de kortare tidsperioderna. Valutakursen USD/SEK och arbetslösheten är båda icke signifikanta variabler för internationell turism konsumtion i Sverige över alla tidsperioder. Devalveringen av den svenska kronan år 1992, förändrade inte relationen mellan de sistnämnda variablerna och y -variabeln. Dock kan dessa resultat vara ostabila på grund av de begränsade antalet observationer som använts i analysen och därför rekommenderar vi andra regressions modeller till detta ämne, såsom "panel data regression".
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ANDREANI, MICHELE. "A medium-run macroeconomic analysis of real and financial cycles." Doctoral thesis, Università Politecnica delle Marche, 2022. http://hdl.handle.net/11566/299448.
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L’obiettivo della seguente tesi `e la redazione di un’analisi empirica riguardante il ciclo finanziario e le sue ripercussioni nell’economia di medio periodo. Il primo capitolo contiene una revisione estensiva della letteratura, mentre la sezione empirica interesserà i capitoli due e tre.
Recenti risultati nella macroeconomia empirica sottolineano la presenza di fluttuazioni cicliche di medio periodo in variabili finanziarie, quali credito bancario, debito e prezzi delle abitazioni. Tali fluttuazioni provocano importanti effetti sul ciclo reale, vale a dire sulle dinamiche del PIL.
Il capitolo due presenta un’analisi spettrale innovativa (metodologie Wavelet), al fine di individuare picchi nello spettro di diverse variabili macroeconomiche e analizzare la durata delle loro dinamiche cicliche nel tempo. Infine, il terzo capitolo propone un modello VAR strutturale, dove shock reali e finanziari sono identificati attraverso restrizioni di segno.
I risultati dell’analisi Wavelet confermano la presenza di relazioni ricorrenti fra PIL e variabili finanziarie, specialmente al di sopra della soglia dei 32 trimestri (8 anni). Infine, quel che si trae dal terzo capitolo `e una interpretazione approfondita degli shock finanziari e dei loro effetti nell’economia.<br>The aim of this doctoral thesis is to produce an extensive analysis of medium-run macroeconomics and its main related phenomenon, the financial cycle. The revision of overall literature is proposed in the first chapter, while new empirical results are presented in chapters two and three.
Modern macroeconomic research emphasised the presence of medium-term fluctuations in financial time series, which affect the business cycle. The cyclical behaviour of variables such as mortgages, private debt and house prices has a serious impact on real GDP dynamics. Then, in chapter two a new method for spectral analysis (Continuous Wavelet Transform) is introduced to inspect peaks in frequency and durations of macro cycles. Finally, chapter three proposes a structural VAR model, where real and financial shocks are identified through sign restrictions.
Results from spectral analysis confirm the presence of deep interconnections between real GDP and financial variables, especially at frequencies above the usual business cycle convention (i.e, above 32 quarters). Lastly, impulse responses and variance analysis from chapter three display advances in interpreting the nature of financial shocks and their effects.
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CARRARO, Carlo. "New Methods for Macroeconomic Policy Analysis. Ph.D. Dissertation, Princeton University." Doctoral thesis, University Microfilm International, 1985. http://hdl.handle.net/10278/3783.
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Nordström, Louise, and Sofie Karlssson. "The Swedish Real Estate Market and Macroeconomic Factors." Thesis, Jönköping University, JIBS, Economics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1201.
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<p>The real estate market has been of great interest since the rise in home foreclosures in</p><p>US, which started in the late 2006. The purpose of this thesis is to examine a possible</p><p>relationship between the factors presented in DiPasquale and Wheaton’s (1996) model</p><p>which explains the market linkages between the property market and asset market, and</p><p>the Swedish real estate companies listed on the Swedish stock market OMX. The real</p><p>estate stock market is, divided in to groups of 3, which represented the dependent</p><p>variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP</p><p>and a real estate price index are the explanatory variables. Stockholm Stock Market All-</p><p>Share Index (OMXSPI) is also included as a possible explanatory variable.</p><p>The main findings in most of the estimations for the groups and years, is that the</p><p>OMXSPI is of significance at the 10 percent level. The other variables did not show any</p><p>significant result based on the 10 percent significance level,</p><p>According to the results it seems like the volatility has increased over time in the real</p><p>estate stock market with respect to the OMXSPI. That is; the risk has increased</p><p>significantly from the period 1996-1999 to the later periods.</p>
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Ferreira-Lopes, Alexandra. "Essays on Macroeconomic Policy." Doctoral thesis, Instituto Superior de Economia e Gestão, 2007. http://hdl.handle.net/10400.5/732.
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Doutoramento em Economia<br>Doutoramento em Economia<br>Neste trabalho discute-se a política macroeconómica da União Europeia. Construiu-se um modelo estocástico dinâmico de equilíbrio geral com rigidez de preços. Introduziu-se uma nova regra de política monetária para o Banco Central Europeu. O modelo permite quantificar o Bem-Estar Social, relativamente à melhor escolha de regime monetário para os consumidores; ter um Banco Central autónomo ou pertencer à Zona Euro. O modelo foi calibrado para seis países que ainda não aderiram ao Euro, nomeadamente, Dinamarca, Hungria, Polónia, República Checa, Reino Unido e Suécia. Embora dois deles tenham uma cláusula de opt-out, as restantes economias terão que no futuro aderir ao Euro. Os resultados são conclusivos, e robustos a variações em parâmetros: todas as economias preferem manter a autonomia da política monetária. Analisam-se também outras uniões monetárias, tais como Alemanha, Canadá, Suíça e E.U.A., tirando-se inferências para a construção Europeia. São analisadas as correlações regionais de ciclos económicos, e testada a existência de regiões periféricas. As diferenças entre estas economias e a União Europeia são pouco significativas; a construção Europeia em termos das variáveis analisadas parece ser tão viável como a construção das referidas economias. Assim, a perda da autonomia da política monetária, não será um custo tão elevado a suportar.<br>In this work we discuss the European Union macroeconomic policy. We build a dynamic stochastic general equilibrium model with sticky prices. We introduce a new policy rule for the European Central Bank. The model allows us to quantify the welfare value, regarding the best choice of monetary regime for consumers; having an autonomous Central Bank or belonging to the Eurozone. The model was calibrated for six countries currently outside the Eurozone: Czech Republic, Denmark, Hungary, Poland, Sweden, and the United Kingdom. Although two of them have an opt-clause, the remaining economies will have to join the euro in the future. Results are clear and robust to parameter changes; all economies prefer to keep monetary policy autonomy. We analyze other monetary unions, such as Canada, Germany, Switzerland, and the United States and infer some results for the European Union. We analyze regional business cycles correlations and test the existence of periphery regions. The differences between these economies and the European Union aren't very significant. The European construc¬tion process, at least in terms of the analyzed variables, seems to be as viable as the referred economies. Hence, the loss of the monetary policy autonomy will not be such a heavy burden.
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Ibraimo, Yasfir Daudo. "The macroeconomic effects of public debt : an empirical analysis of Mozambique." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14577.
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Mestrado em Economia<br>A divida publica tem estado a crescer acentuadamente nos últimos anos, o que sugere um crescimento da despesa publica financiado pela emissão da divida publica em oposição ao uso da tributação. Não tem existido consenso relativamente as implicações económicas da emissão da divida publica para financiar a despesa publica. Esta dissertação investiga de forma empírica os efeitos macroeconómicos da divida publica para o caso de Moçambique para o período do primeiro trimestre de 2001 ao quarto trimestre de 2016. Modelo de Vector Autoregressivo são usados para avaliar os efeitos macroeconómicos da divida publica através da função impulso-resposta e a decomposição da variância. Esta dissertação conclui que variáveis ligadas ao serviço da divida tem efeitos negativos significativos nesta economia comparando com variáveis ligadas a divida publica. Variáveis de divida publica no período deste estudo não tiveram um impacto significativo no produto real e as variáveis do serviço da divida reduziram significativamente o produto real, aumentou o nível geral de preços e depreciou a moeda domestica.<br>Public debt has been rising markedly over the years, which suggests an increase in public expenditure financed by debt instead of taxation. There is no consensus on the economic implications of borrowing to finance public expenditure. This dissertation empirically investigates the macroeconomic effects of public debt for the case of Mozambique over the period of 2000Q1-2016Q4. Vector Autoregression (VAR) model are used to assess these effects through impulse response functions and variance decomposition. We conclude that debt service variables have much more negative effects on this economy than debt variables. Debt variables over the period of this study had no significant impact on the real output and the debt service component depressed the real output, increased the general price level and accounted for depreciation on the domestic currency.<br>info:eu-repo/semantics/publishedVersion
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Choi, Kyongwook. "Essays on the analysis of structural changes in macroeconomic time series /." Thesis, Connect to this title online; UW restricted, 2002. http://hdl.handle.net/1773/7456.
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Tkhir, Anna-Mariia [Verfasser]. "A Macroeconomic Analysis of Tax Evasion and Informality / Anna-Mariia Tkhir." Konstanz : KOPS Universität Konstanz, 2020. http://d-nb.info/121418054X/34.
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Brufatto, Verena <1989>. "Macroeconomic Factors and the U.S. Stock Market Index: A Cointegration Analysis." Master's Degree Thesis, Università Ca' Foscari Venezia, 2016. http://hdl.handle.net/10579/7688.
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This thesis is aimed at investigating the impact that changes and shocks in a set of selected macroeconomic variables have on the U.S. stock market returns. The existence of a long-run equilibrium relationship between fundamentals and the stock market index is inquired using the methodological framework of cointegration analysis and a vector error correction model. Moreover, the short-run dynamic dependencies between the variables are examined by performing an impulse response analysis and the empirical question of whether economic variables are useful indicators of future stock market returns is addressed. The empirical results of this study indicate that the U.S. stock market index establishes a cointegrating relationship with changes in the selected macroeconomic variables, showing that information about relevant economic indicators is reflected in stock returns and that changes in fundamentals are significantly priced in the stock market index. In addition, the impulse response analysis highlights the presence of meaningful short-run dynamic effects, on the grounds that innovations in the macroeconomic variables are seen to exert an impact on stock prices.
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Post, Erik. "Macroeconomic uncertainty and exchange rate policy /." Uppsala : Department of Economics, Uppsala universitet, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7808.
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Jorda, Oscar. "The econometrics of irregularly spaced time-series data in macroeconomic research /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9732718.
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Waheed, Abdul. "The behavior of public external debt in Pakistan : a financial macroeconomic analysis." Graduate School of International Development. Nagoya University, 2005. http://hdl.handle.net/2237/6229.
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Gajic, Ruzica. "Macroeconomic Shocks and Monetary Policy : Analysis of Sweden and the United Kingdom." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-184682.
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External economic shocks cause domestic macroeconomic aggregates to fluctuate. This may call for a macroeconomic policy intervention. Since the early 1990s an increasing number of countries have adopted an inflation targeting framework. In reality, inflation targeters do not have perfect information when determining the interest rate in order to maintain their goal of price stability and stable economic growth. Therefore it is relevant to understand how shocks affect the domestic macroeconomic aggregates theoretically and investigate whether the theoretical predictions hold empirically. I use the New Keynesian model by Clarida, Galí and Gertler from 1999 and investigate explicitly the theoretical effects of expected and unexpected supply and demand-side shocks on the monetary policy instrument and the two monetary policy target variables – the interest rate, output gap and inflation rate. By analysing the impulse-response functions of a structural VAR model applied to quarterly Swedish and British data from 1994 to 2011, I test empirically the theoretical predictions according to the New Keynesian model. I find that the empirical results are in line with the theoretical predictions.
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Monti, Francesca. "Combining structural and reduced-form models for macroeconomic forecasting and policy analysis." Doctoral thesis, Universite Libre de Bruxelles, 2011. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209970.
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Can we fruitfully use the same macroeconomic model to forecast and to perform policy analysis? There is a tension between a model’s ability to forecast accurately and its ability to tell a theoretically consistent story. The aim of this dissertation is to propose ways to soothe this tension, combining structural and reduced-form models in order to have models that can effectively do both.<br>Doctorat en Sciences économiques et de gestion<br>info:eu-repo/semantics/nonPublished
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Nugumanova, Lyazzat [Verfasser]. "Analysis of macroeconomic policies in Kazakhstan : a general equilibrium approach / Lyazzat Nugumanova." Gießen : Universitätsbibliothek, 2018. http://d-nb.info/115438568X/34.
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Shahandashti, Seyed Mohsen. "Analysis of construction cost variations using macroeconomic, energy and construction market variables." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/52281.
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Recently, construction cost variations have been larger and less predictable. These variations are apparent in trends of indices such as Engineering News Record (ENR) Construction Cost Index (CCI) and National Highway Construction Cost Index (NHCCI). These variations are problematic for cost estimation, bid preparation and investment planning. Inaccurate cost estimation can result in bid loss or profit loss for contractors and hidden price contingencies, delayed or cancelled projects, inconsistency in budgets and unsteady flow of projects for owner organizations. Cost variation has become a major concern in all industry sectors, such as infrastructure, heavy industrial, light industrial, and building. The major problem is that construction cost is subject to significant variations that are difficult to forecast. The objectives of this dissertation are to identify the leading indicators of CCI and NHCCI from existing macroeconomic, energy and construction market variables and create appropriate models to use the information in past values of CCI and NHCCI and their leading indicators in order to forecast CCI and NHCCI more accurately than existing CCI and NHCCI forecasting models.
A statistical approach based on multivariate time series analysis is used as the main research approach. The first step is to identify leading indicators of construction cost variations. A pool of 16 candidate (potential) leading indicators is initially selected based on a comprehensive literature review about construction cost variations. Then, the leading indicators of CCI are identified from the pool of candidate leading indicators using empirical tests including correlation tests, unit root tests, and Granger causality tests. The identified leading indicators represent the macroeconomic and construction market context in which the construction cost is changing. Based on the results of statistical tests, several multivariate time series models are created and compared with existing models for forecasting CCI. These models take advantage of contextual information about macroeconomic condition, energy price and construction market for forecasting CCI accurately. These multivariate time series models are rigorously diagnosed using statistical tests including Breusch-Godfrey serial correlation Lagrange multiplier tests and Autoregressive conditional heteroskedasticity (ARCH) tests. They are also compared with each other and other existing models. Comparison is based on two typical error measures: out-of-sample mean absolute prediction error and out-of-sample mean squared error.
Based on the unit root tests and Granger causality tests, consumer price index, crude oil price, producer price index, housing starts and building permits are selected as leading indicators of CCI. In other words, past values of these variables contain information that is useful for forecasting CCI. Based on the results of cointegration tests, Vector Error Correction (VEC) models are created as proper multivariate time series models to forecast CCI. Our results show that the multivariate time series model including CCI and crude oil price pass diagnostic tests successfully. It is also more accurate than existing models for forecasting CCI in terms of out-of-sample mean absolute prediction error and out-of-sample mean square error.
The predictability of the multivariate time series modeling for forecasting CCI is also evaluated using stochastically simulated data (Simulated CCI and crude oil price). First, 50 paths of crude oil price are created using Geometric Brownian Motion (GBM). Then, 50 paths of CCI are created using Gaussian Process that is considering the relationship between CCI and crude oil price over time. Finally, 50 multivariate and univariate time series models are created using the simulated data and the predictability of univariate and multivariate time series models are compared. The results show that the multivariate modeling is more accurate than univariate modeling for forecasting simulated CCI. The sensitivity of the models to inputs is also examined by adding errors to the simulated data and conducting sensitivity analysis.
The proposed approach is also implemented for identifying the leading indicators of NHCCI from the pool of candidate leading indicators and creating appropriate multivariate forecasting models that use the information in past values of NHCCI and its leading indicators. Based on the unit root tests and Granger causality tests, crude oil price and average hourly earnings in the construction industry are selected as leading indicators of NHCCI. In other words, past values of these variables contain information that is useful for forecasting NHCCI. Based on the results of cointegration tests, Vector Error Correction (VEC) models are created as the proper multivariate time series models to forecast NHCCI. The results show that the VEC model including NHCCI and crude oil price, and the VEC model including NHCCI, crude oil price, and average hourly earnings pass diagnostic tests. These VEC models are also more accurate than the univariate models for forecasting NHCCI in terms of out-of-sample prediction error and out-of-sample mean square error.
The findings of this dissertation contribute to the body of knowledge in construction cost forecasting by rigorous identification of the leading indicators of construction cost variations and creation of multivariate time series models that are more accurate than the existing models for forecasting construction cost variations. It is expected that proposed forecasting models enhance the theory and practice of construction cost forecasting and help cost engineers and capital planners prepare more accurate bids, cost estimates and budgets for capital projects.
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Mthwecu, Sabatha. "Modelling and macroeconomic analysis of a Solar PV/diesel hybrid power plant." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/13729.
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This research thesis covers the latest research on renewable energy globally and focuses on the solar panel and biofuels market. A full macroeconomic analysis is done on the Chinese Taipei, and this results in some parameters which then become the basis of this research. The macroeconomic parameters are then put into a tabular form and applied to India, Turkey and Australia to see how much weight the analysis can hold and if there is enough data per country on the macroeconomic parameters chosen. This research thesis conducts a shorter, custom version of a macroeconomic analysis on a South African area, and considers the national Gross Domestic Product, pollution, length of transmission lines, weather factors such as sunlight and temperature and more. Following from this, a hybrid power system is developed under these circumstances and the information is compared with past research. A very informative discussion is then had as to what the model means on a macroeconomic scale and how it performs technically. The technical solution at this point has no economic barriers. Economics can be a tool and not a financial hurdle in the face of technological advancement.
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Fonseca, Ramirez Alejandro. "Macroeconomic policy coordination between the US and Mexico, a control theory analysis." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.
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Murray, Christian Joseph. "Essays on the decompostion of macroeconomic time series into permanent and transitory components /." Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/7440.
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Akca, Ayse. "A Comparative Analysis Of The Eu And Turkey: Macroeconomic Convergence And Trade Similarity." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612458/index.pdf.
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The aim of this thesis is to evaluate the sufficiency of Turkey for joining the Economic and Monetary Union of the European Union (EMU) in terms of similarity and convergence. The study has been conducted in a comparative and descriptive way. First, the similarity and convergence of Turkey to some selected countries are examined with respect to her macroeconomic position. When taking EMU as a benchmark and comparing the convergence of Turkey with the convergence of some of the countries and country groups, it is found that the macroeconomic deficiencies of Turkey are not in an extent that characterizes Turkey as a totally insufficient candidate for EMU. Next, whether there are similarity and convergence in trade structures of Turkey and the European Union of 15 member states (EU15) for the period between 1995 and 2008 is inspected. The results indicated that Turkish export structure is clearly converging to the export structure of EU15 in the course of time. In general, findings of the thesis indicated that there is mostly a continuous convergence in all of the indicators considered but still Turkey does not meet all of the convergence criteria, perfectly. Therefore, as a result of the examinations, some suggestions have been made which would facilitate EMU membership of Turkey.
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Papanikos, Gregory Thomas. "The theory and practice of macroeconomic policy: An analysis of alternative government interventions." Thesis, University of Ottawa (Canada), 1988. http://hdl.handle.net/10393/5206.
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Hochrainer, Stefan. "Macroeconomic risk management against natural disasters : analysis focussed on governments in developing countries /." Wiesbaden : Dt. Univ.-Verl, 2006. http://www.gbv.de/dms/zbw/518353087.pdf.
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Destefanis, Sergio. "The macroeconomic analysis of wage indexation : a case study for Italy, 1963-84." Thesis, University of Cambridge, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.239730.
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Kastrinaki, Zafeira. "Macroeconomic and microeconomic approaches to the analysis of merger waves in the UK." Thesis, University of Warwick, 2006. http://wrap.warwick.ac.uk/50488/.
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This study attempts to improve our understanding of the nature of mergers and their timing. It is motivated by the inability of empirical evidence at the microlevel to provide strong statistical results for the motivation of mergers in different periods. At the macro-level, the apparently stronger results of some studies have been insufficient to form the basis for a widely accepted theory of merger timing. Although the predictions are closer to the observed procyclical and episodic behaviour of the process, the findings of the macro-literature have been limited, in most cases, to confirmation of what is evident by casual observation. This study purports to create a framework that encompasses both the macro- and micro-environment of a company which may enhance understanding of the dynamic behaviour of merger activity in the UK. At the macro-level, we use frequency domain techniques to empirically examine the existence of merger waves and their relation to economic fundamentals. The empirical approach taken allows the identification of merger waves with different duration, regularity, and power, and reports their relation to macro- and financial factors along these waves. Having identified the explanatory power of macro- and financial factors, as well as the timing pattern of aggregate mergers, we search for complementary driving forces of the process at the micro-level. At the micro-level, a theoretic-decision model is constructed to explain merger timing which incorporates the most prevalent theoretical and empirical explanations, suggested by industrial organization and finance literature, into a dynamic framework. The model exploits the dynamics of the merger process by assuming that motives change over time because of changes in firm-specific characteristics and in merger activity per se. The model stresses the endogenous character of mergers by explicitly incorporating past, current, and future mergers. The theoretical model is estimated, using merger data from the UK from 1990 to 2004. The empirical approach taken is survival analysis. Such an approach explicitly allows for dependency over time, in that it estimates the conditional probability of merger; that is, the probability of merger by time t, given that is has not occurred by time t-1. It is ideally suited to empirically examine the merger timing, since it allows us to investigate whether, given that a firm has survived up to a certain point in time, changes in firm-specific characteristics or changes in merger activity per se will lead to a change in the timing of a merger. Findings of the macro-level provide evidence that fairly regular long waves as well as a less regular, less powerful waves of mergers exist. Even though no two merger waves are identical, they usually have some important features in common. Their coherence with macro- and financial factors varies in strength over waves of different duration and regularity. The findings at the micro-level provide strong evidence of the endogenous character of mergers. A combination of a range of micro-forces is the driving force within a wave which keeps the bandwagon rolling at full speed. As a consequence, macro-factors may pave the way for the development of initial merger activity, while micro-forces fuel merger diffusion and build the dynamics within a wave.
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PIRES, EDUARDO BEVILAQUA. "COUNTRY ANALYSIS OF THE EFFECTS OF INTRODUCING MACROECONOMIC INFORMATION TO YIELD CURVE FORECASTS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15037@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>No Brasil e no mundo, grande parte das carteiras de investimento das
seguradoras e entidades de previdência complementar é composta por títulos
emitidos por governos. Sendo assim, os retornos destes papéis respondem por
parte relevante da rentabilidade destas carteiras. Este trabalho tem como
finalidade a análise do impacto da incorporação de informações econômicas (taxa
de juros, hiato do produto e taxa de inflação) na previsão da Estrutura a Termo de
Taxa de Juros de quatro países: EUA, Reino Unido, Brasil e Chile. Diferentes
modelos de vetores auto-regressivos (VAR) são testados e comparados com
outros modelos, como passeio aleatório e modelos auto-regressivos (AR), em
termos de performance de previsão out-of-sample.<br>In Brazil and the world, much of the investment portfolios of insurers and
complementary pension funds consists of securities issued by governments. Thus,
the returns of these papers account for the relevant part of the profitability of these
portfolios. This work aims at analyzing the impact of the incorporation of
economic data (interest rate, output gap and inflation rate) in the forecast of the
Term Structure of Interest Rates in four countries: USA, UK, Brazil and Chile.
Different models of vector autoregression (VAR) are tested and compared with
other models such as random walk and autoregressive models (AR), in terms of
performance of out-of-sample forecasts.
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Kabajulizi, Judith. "Macroeconomic implications of healthcare financing reforms : a computable general equilibrium analysis of Uganda." Thesis, London School of Hygiene and Tropical Medicine (University of London), 2016. http://researchonline.lshtm.ac.uk/2545198/.
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There are a lot of health sector reforms across the spectrum of high to low income countries. There are underlying pressures for reform regarding the role and responsibility of different actors in relation to healthcare financing, production, consumption and regulation. The health sector itself is usually a very significant economic sector in its own right, and thus changes to it have direct impacts on the economy and indirectly through their effect on health, yet there is little consideration of these wider macro effects. The wider macro-economic effects refer to the general equilibrium outcomes of the economy’s transmission mechanisms through wages,rents, factor demand and supply, foreign exchange rates and sectoral shares in output, which in turn affect changes at the macro level (including GDP, private and public consumption, investment, imports and exports, and poverty levels). There is an ever increasing attention to the question of how to increase financial resources for healthcare, particularly by governments. This thesis sets out to evaluate the economy wide impacts of healthcare financing reform policies, taking Uganda as a case study. Using a recursive dynamic computable general equilibrium (CGE) model, calibrated from a health-focused Social Accounting Matrix (SAM), the impact of healthcare financing reform policies is assessed. Three sources of fiscal space for health – prioritisation of the health sector, earmarked taxes for health, and aid for health – are analysed. Results showed that increasing resources to the health sector from any of the three sources of fiscal space for health coupled with the envisaged improvements in the population health status leads to higher GDP growth rates and reduces poverty. The tax for health policy showed the highest GDP growth rates while the aid for health policy achieved the highest reduction in poverty. Therefore, government should increase resources to the health sector in order to achieve the aspirations of the Uganda Vision 2040.
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Alharaib, Mansour. "STOCK MARKET RETURNS AND VOLATILITY: MACROECONOMIC NEWS ANNOUNCEMENTS, INTERACTIONS, AND MARKET RISK ANALYSIS." OpenSIUC, 2018. https://opensiuc.lib.siu.edu/dissertations/1583.
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This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.
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Kani, Felix C. "Shocks, macroeconomic policy and economic growth performance in Zambia, 1964-90 : an econometric analysis." Thesis, University of Sussex, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318503.
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Public opinion tends to look at Zambia as some mythical land of promise, predestined to enjoy for years to come the same sort of economic bliss as during the copper price boom of 1964 -75. But there can be little doubt that one of the most striking facts of Zambia's economic history since 1964 has been poor macroeconomic performance. Since the mid 1970's Zambia's economy has experienced negative economic growth, high unemployment, rapid inflation and a weak balance of payments. This problem is crucial in the context of two-gap models. This thesis discusses the main facts about this worrying development and advances a line of argument which may well account for most of the observed facts. Prior to the Third Republic Zambian politicians tended to blame external forces for the current problems. My main contention is that that is wrong Economic difficulties arose from a combination of policy failures: growth of 'nonmarketable output', the government's politically induced tendency for crisis management, coupled with its well known propensity to delay taking corrective action, against a background of difficult initial conditions. However, since this is a thesis, both the scope and the method of investigation are limited by the time allowed for the study. What we do is to use historical data and use econometric analysis to shape my arguments, and to make them plausible. Inadequate domestic savings reflected in investment slumps, coupled with foreign exchange shortages, are shown to be the ultimate constraint on economic growth performance. The new government's liberal attitude and the fact that there is export potential in the economy offers some hope for success but the thesis draws attention to the structural rigidities which will remain a major constraint to export diversification in the short to medium term. In the long run, non-traditional exports would have to grow by some 30 percent annually if they were to become the new engine of growth. We stress that success will depend crucially on the government's macroeconomic policies being both conducive to the promotion of investment spending and supportive to the objective of restoring viability in the balance of payments.
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Ishiwata, Hiroaki. "Dynamic Stochastic Macroeconomic Analysis of Natural Hazards and Disaster Risk Reduction in Developing Countries." Kyoto University, 2018. http://hdl.handle.net/2433/232025.
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Akcelik, Yasin. "Three Essays on the Time-Series Analysis of Politics, Capital Flows and Macroeconomic Policymaking." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1306894830.
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TSAI, FENG-SHENG, and 蔡鳳生. "A Macroeconomic Analysis of Consumer Loans." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/41644465494620526358.
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碩士<br>國立高雄第一科技大學<br>金融研究所<br>102<br>This paper investigates the macroeconomic analysis of consumer loans from January 2005 to July 2013, using money supply, consumer price index, rate of unemployment, the non-performing loans ratio of bank and base lending rate as variables to analyze the impact of macroeconomic on consumer loans in Taiwan after the credit card and cash card crisis. We can find the results are:Consumer loans have greater influence by consumers and the rate of unemployment. money supply and consumer price index are inferiorities. The base lending rate and the non-performing loans ratio did not affect it.
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Lin, Pei-Chi, and 林珮琪. "A Macroeconomic Analysis of Consumer Finance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/16775492078364971417.
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碩士<br>國立臺北大學<br>經濟學系<br>101<br>It is generally considered that credit card sales and credit card revolving balance are affected by banks’ decisions. This thesis sets up a model to investigate such a mechanism, and to study how credit card sales and credit card revolving balance are affected by monetary policies conducted by the central bank. In order to address the relationship between credit card sales and macro-economic issues, a macro model that consists of consumers, banking sector, reserve market, and the monetary authority is needed. In this thesis, we extend Chen (2013) in the sense that consumption through credit cards is incorporated into Chen (2013) framework that includes a banking sector, reserve market, and open market operation conducted by the central bank. We then study the effects of private banks’ revolving interest rate and target inflation rate on credit card sales and credit card revolving balance.
Comparative static analyses are conducted in this thesis to study how endogenous variables of our model are affected by various exogenous variables such as private banks’ revolving interest rate and target inflation rate. For analytical solutions that we are not able to determine signs and magnitudes of certain exogenous changes, we conduct numerical simulations. To avoid potential problems of drawing conclusions based on parameters chosen in the simulation of the baseline model, various sensitivity analyses are also conducted to check robustness of our model.
The main results of this thesis are as follow. 1. The equilibrium credit card sales rise with the portion of repaid that banks set for credit card consumers. 2. The equilibrium credit card sales rise with private banks revolving interest rate. However, such effects dampen as credit card sales increase. 3. The equilibrium credit card sales rise with the required reserve ratio. 4. The equilibrium credit card sales rise with the target inflation rate set by the central bank.
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Kola, Katlego Violet. "Macroeconomic risks and REITs : a comparative analysis." Thesis, 2016. https://hdl.handle.net/10539/23850.
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Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016<br>Purpose - The paper provides an investigation of the relationship of macroeconomic risk factors and REITs. The study considers the conditional volatilities of macroeconomic variables on the excess returns and conditional variance of excess returns in developing and developed markets and provides a comparison thereof.
Methodology approach - The study employs three-step approach estimation in the methodology (Principal Component Analysis, GARCH (1,1) and GMM) to estimate the asset pricing model. The preliminary study indicated that there are only two developing economies (Bulgaria and South Africa), as defined by National Association of Real Estate Investment Trust (NAREIT), with REIT indices. We additionally included the United States as the developed economy.
Findings – Our results indicate that the real economy and business cycles (proxied by GDP growth rate and industrial production index), price stability (proxied by the GDP deflator), exchange rates and interest rates do not explain developing country REIT returns represented by Bulgaria and South Africa, as well as in developed markets, represented by the US. However unlike the developing markets, changes in industrial production and inflation are important variables that affect the conditional variance of REIT returns in the US.<br>GR2018
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Naughton, Barry John. "Saving and investment in China a macroeconomic analysis /." 1986. http://catalog.hathitrust.org/api/volumes/oclc/15986349.html.
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LIAO, HONG-YU, and 廖紅羽. "The Analysis of Macroeconomic Determinants on Sports Demand." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/ev2faw.
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碩士<br>國立臺灣體育運動大學<br>運動事業管理學系碩士班<br>105<br>The purpose of this study was to investigate the determinant which has effect on sports demand from macroeconomic. Due to sustained economic growth, social progress, advance of the living standard and national income constant rise, leisure time has significantly increase. It furthers people’s interest and participation on sports interiorly. This study collects official statistics data from 2001 to 2015 in our country, and analysis the most critical factor on sports demand.
This study attempts to build a multi variable regression model to predict the sports demand in Taiwan using key macroeconomic indicators. The result shows that national income, unemployment rate, gasoline price and exchange rate have significant influence. Government institution could take this result as a reference with making policy and make some adjustment, in order to enhance the demand of sports.
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Abe, Bruno Jordan Orfei. "Brazilian equity risk premium analysis: a macroeconomic approach." Master's thesis, 2015. http://hdl.handle.net/10362/15112.
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Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics<br>This research studies the role of fluctuations in the aggregate consumption-wealth ratio 𝑐𝑎𝑦 proposed by Lettau and Ludvigson (2001) as a predictor of stock returns in the Brazilian economy. Using quarterly data, evidence for predictability of asset growth was found with an 𝑅̅2 of over 45% and a highly significant coefficient as expected, in contrast to absence of statistical evidence for predictability of stock returns or excess returns. Regressions containing those fluctuations also resulted in worse 𝑅̅2. For the data used, dividend yield was not capable of showing predictive power also. The predictability of the returns on the Brazilian economy is not rejected but data fails to show the expected results. Finding macroeconomic data that represent the same agent was a big obstacle. After testing many different datasets and different model specifications, data still failed to show any explanatory power over returns or excess returns.<br>NSBE - UNL
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Altieri, Marcelo. "Macroeconomic analysis of public transport competitiveness in megacities." Master's thesis, 2016. https://repositorio-aberto.up.pt/handle/10216/85540.
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Huang, Hsien-Cheng, and 黃獻正. "An analysis of overdue loans and macroeconomic variables." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/84429236415028427692.
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碩士<br>國立高雄第一科技大學<br>金融研究所<br>101<br>This paper study, from January 2005 to January 2013 the money supply, the industrial production index, the consumer price index, the unemployment rate, TAIEX index variables and the overdue loans the correlation between. Through the research method the Unit root test, the Vector Auto Regression, the Granger Causality, the Forecast Error Variance Decomposition, the Impulse Response Function. Discovered by the causality indicates the bidirectional feedback causality between the consumer price index and overdue loans. The overdue loans have a one-way leading relationship with the unemployment rate. The forecast error variance decomposition results suggest that it is better to use the consumer price index to explain the current overdue loans changing effects.