Dissertations / Theses on the topic 'Structural Break Analysis'

This thesis investigates the short term and the long term cointegration relations between European and Chinese, European and Russian stock markets, with a goal to define international diversification benefits. Whereas Russia and China are considered as developing countries, Europe represents a developed market. The period of study is from 1997 to 2018, which considers the global 2007-2008 financial crisis as a shift in the equilibrium.The static cointegration long run findings demonstrate scope for diversification benefits for the all observing markets over the whole period. With regard to the sub periods (before and after the global financial crisis), the outcomes suggest increase in cointegration relations between Europe and China after the crisis, indicating a more diversified portfolio for investors before the crisis. European and Russian financial time series show no changing in cointegration linkages after the crisis, suggesting scope for diversification gains before and after the crisis in the long run.The dynamic cointegration results, however, demonstrate episodic cointegrating relations over the whole period for the all markets. These findings also clear illustrate growth in cointegration linkages during the first year of the crisis for all samples, suggesting a less diversified portfolio during this period (for the short horizon investors), and supporting the financial contagion effect in the short run.Looking at static and dynamic results, we recommend combining both methods in order to make a clear conclusion about benefits from international diversification.

One of the main reasons to why a membership in the European Union (EU) is so attractive for prospect countries are the free trade agreements the membership entails. The free trade agreements mean that the whole EU opens up as one big market, where tariffs and tolls are no longer an obstacle to trade for its members. Therefore, this thesis analyses whether EU membership actually yields a positive effect on member’s trade. The time series analysis is based on a three-country sample consisting of Poland, Romania, and Croatia during the time period from 2001 to 2018. By applying multiple and Chow’s breakpoint tests, and country-wise and a pooled cross-section analysis model, we examine if the accession to EU impacts each country’s trade volumes. The results indicate that becoming a member of the European Union does not necessarily have a significant effect on Poland’s, Romania’s, or Croatia’s trade even if it is positive.

Using 1,473 going private transactions completed between 1985 and 2007, I assess whether the increase in going private transactions that occurred after the passage of the Sarbanes-Oxley Act of 2002 (SOX) was driven by SOX, or whether this phenomenon continues an ongoing historical trend. To examine this issue, I initially used structural break tests and intervention analysis. From the initial techniques, I find support that the passage of SOX increased going private transactions for these categories. Secondarily, I use Granger causality tests and impulse response functions to examine the link between going private transactions and the public stock market. When I categorize going private transactions according to the type of acquirer, transaction size, and target industry, I find bi-directional Granger causality relationships between smaller-sized going private transactions and the S&P 500 Index (or Tobin's Q). I also find several unidirectional Granger causality relationships for some categories of going private transactions, based on the type of acquirer or the target industry, to the S&P 500 Index (or to Tobin's Q). The impulse response of going private transactions (or the public stock market) to a shock in the public stock market (or going private transactions) is not immediate, but is delayed two to three quarters. The link between going private transactions and the public stock market is an ongoing phenomenon, continuing a historical trend for going private transactions. For going private transactions with structural breaks, SOX affects the linkage but not for going private transactions with no structural break.

This thesis consists of three self-contained essays on non-stationary panel data. We propose novel approaches to both cointegration and unit root analysis in panel data models. The main contribution of this thesis is allowing for the presence of cross¬section dependence through the specification of an approximate common factor model. Early studies assumed that time series in the panel data were either indepen¬dent or that cross-section dependence could be controlled by including time effects. In macroeconomic, microeconomic and financial applications, cross-section depen¬dence is more a recurrent than a rare characteristic and it is usually caused by the presence of common shocks (oil price shocks or financial crises) or the existence of local productivity spillover effects. Ignoring these factors can lead to spurious statistical inference. More exactly, in the case of unit root testing, the unaccounted cross-section dependence might lead one to conclude that panel data is actually I(0) stationary when in fact it might be I(1) non-stationary. Similarly, the panel data cointegration test statistics might indicate than there are more cointegrating relations than there exist. Thus, recent studies proposed several alternatives to over¬come this limitation. One popular approach is the factor structure applied to the error process, an approach that we employ throughout this thesis. In the first essay we extend the univariate Carrion-i-Silvestre, Kim and Perron (2009) GLS-based unit root tests with multiple structural breaks to panel data. The proposed statistics are general enough that they allow for cross-section dependence and multiple structural breaks in both the level and the trend of the units of the panel. We evaluate the finite-sample properties of these statistics via Monte Carlo simulations. Our simulation study shows that the panel tests perform well, espe¬cially for the cases of known structural breaks. We apply these statistics to a panel of annual data covering the period 1870-2008 for 19 OECD countries. We find strong evidence in favor of I(0) stationarity when we apply the unit root tests to idiosyncratic component. However, the empirical analysis also shows that the I(1) non-stationarity of the real per capita GDP is captured by the common factor. In the second essay we propose a test statistic to determine the cointegration rank of VAR processes both in a unit-by-unit analysis and in a panel data frame¬work. The cross-section dependence is accounted for through the specification of a common factor model, which covers situations where there is cointegration among the cross-section dimension. We perform a Monte Carlo experiment in order to investigate the small-sample properties of the proposed panel statistic and the sim-ulation results indicate a good performance of the tests in terms of empirical size and power. We show that in some cases not accounting for common factors when they are present can lead to overestimating the cointegrating rank. We apply our proposed tests to two empirical applications using the variables involved in the money demand equation and the monetary exchange model. The money demand model detects two stochastic trends while the monetary exchange model detects three stochastic trends. In the third essay of this dissertation we investigate the cointegration relation between output, physical capital, human capital, public capital and labor for 17 Spanish regions observed over the period 1964-2000. The novelty of our approach is that we allow for cross-section dependence between the members of the panel using a common factor model. This is interesting because we allow the model specification to capture unobservable variables (technological progress, total factor productivity) to be proxied by the common factors, something that has not been widely addressed in the literature. To see if the variables are cointegrated or not, we employ two different techniques at the panel level. More exactly, we compare the statistics from the single-equation method of Westerlund (2008) and Banerjee and Carrion-i-Silvestre (2011, 2013) with those from the VAR framework of Carrion¬i-Silvestre and Surdeanu (2011). Moreover, using the VAR method, we identify at least one common cointegrating relation among output, physical capital, human capital, public capital and labor. Finally, we use several estimators to estimate the long-run relation between these variables.

Nowadays remote sensing is a well-established method and technique of providing data. The current development shows the availability of systems with very high geometric resolution for the monitoring of vegetation. At the same time, however, the value of temporally high-resolution data is underestimated, particularly in applications focusing on the detection of short-term changes. These can be natural processes like natural disasters as well as changes caused by anthropogenic interventions. These include economic activities such as forestry, agriculture or mining but also processes which are intended to convert previously used areas into natural or near-natural surfaces. The Königsbrücker Heide is a former military training site located about 30 km north of the Saxon state capitol Dresden. After the withdrawal of the Soviet forces in 1992 and after nearly 100 years of military use this site was declared as nature reserve in 1996. The management of the whole protection area is implemented in three different management zone. Based on MODIS-NDVI time series between 2000 and 2016 different developments are apparent in the nature development zone and the zone of controlled succession. Nevertheless, the analyses also show that short-term changes, so called breaks in the vegetation development cannot be described using linear trend models. The complete understanding of vegetation trends is only given if discontinuities in vegetation development are considered. Structural breaks in the NDVI time series can be found simultaneously in the whole study area. Hence it can be assumed that these breaks have a more natural character, caused for example by climatic conditions like temperature or precipitation. Otherwise, especially in the zone of controlled succession structural breaks can be detected which cannot be traced back to natural conditions. Final analyses of the spatial distribution of breakpoints as well as their frequency depending on the respective protection zone allow a detailed view to vegetation development in the Köonigsbrüucker Heide.

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics
We write this paper with the main purpose of investigating whether or not political factors influence the structural changes in health expenditure. We are not concerned about shocks as most researchers do; but instead we search for significant structural break dates and try to find a correlation between them and political changes. We choose to study health expenditure due to its relevance in terms of share on GDP and share on public expenditure and because of the continuous growth it shows over the last decades. We use probit models for our empirical tests. Public health expenditure share on GDP is found to have a statistically significant higher probability of breaking in election years which is a clear indication of possible political effects. By opposition break dates on Private health expenditure share on GDP show no correlation with elections. In addition, the probability of occurrence of breaks in public current health expenditure significantly increases in election years and the coefficients are higher and more significant in this case than the case of total public health expenditure. However, this is not verified in investment expenditure which means that elections seem to have a higher impact on short term expenses. Majority governments show a lesser probability of inducing breaks during their term in office but a higher probability before elections. Although we sometimes found statistically significant differences depending on the ideology of the respective government (i.e. left or right) we failed to achieve consistent and coherent results to allow us to establish a clear conclusion. We based our study on a data set of 23 OECD countries between the years 1960 and 2006.

This thesis applies Atheoretical Regression Trees (ART) to the problem of locating changes in mean in a time series where the number and location of those changes are unknown. We undertook an extensive simulation study into ART's performance on a range of time series. We found ART to be a useful addition to currently established structural break methodologies such as the CUSUM and that due to Bai and Perron. ART was found to be useful in the analysis of long time series which are not practical to analyze with the optimal procedure of Bai and Perron. ART was applied to a long standing problem in the analysis of long memory time series. We propose two new methods based on ART for distinguishing between true long memory and spurious long memory due to structural breaks. These methods are fundamentally different from current tests and procedures intended to discriminate between the two sets of competing models. The methods were subjected to a simulation study and shown to be effective in discrimination between simple regime switching models and fractionally integrated processes. We applied the new methods to 16 realized volatility series and concluded they were not fractionally integrated series. All 16 series had mean shifts, some of which could be identified with historical events. We applied the new methods to a range of geophysical time series and concluded they were not fractional Gaussian noises. All of the series examined had mean shifts, some of which could be identified with known climatic changes. We conclude that our new methods are a significant advance in model discrimination in long memory series.

Wheat, flour, and bread prices fluctuate at all levels of the market. Accurate forecasts of these prices are valuable to buyers and sellers that trade in the cash and futures markets. Rational distributed lag models of monthly prices from June 1977 to May 1984 for Kansas City No. 1 Hard Red Winter Wheat, Minneapolis Dark Northern Spring Wheat, Portland No. 1 Soft White Wheat, Kansas City flour, and retail bread prices are made to evaluate the economic or structural factors influencing price. Multivariate autoregressive-integrated-moving average error (ARIMA) models are also used to compare with the structural models price forecasting ability. Rational lags are estimated using a nonlinear least squares algorithm, incorporating the specification of nonstochastic difference equations so that the disturbance process is divorced from the systematic portion of the difference equations. Certain economic factors are found to be significant in Influencing the prices of wheat, flour, and bread. Partial derivatives and price flexibilities are calculated to estimate the short, intermediate, and long-run adjustments of prices in the structural models. In the structural models total wheat stocks are the most Influential variable in determining wheat prices and the price of wheat was most influential in the flour price equation. Flour price is highly significant in influencing retail bread price, with the secular effects of income increasing over time. The price forecasting abilities of the structural and ARIMA are found to be relatively close when comparing the Root Mean Square Errors and the adjusted coefficients of determination.

Hospitality and tourism environments are widely regarded as complex and dynamic in nature. This combined with the need for commercial organisations to improve performance places considerable emphasis on the need for approaches to understanding market and organisation dynamics. This research proposes an approach to analysing and understanding the dimensions of markets and the interface with organisations to allow optimum performance. It uses the commercial short holiday break (CSHB) market in Scotland as a contextual base, and reflects an industrial economics approach which encompasses identification of market structure, competitive strategies and company performance, to explore activity in the area and propose approaches to analysing dynamic and complex markets. Commercial short holiday breaks (CSHB) are widely recognised as a growth market for hotels. What is often not documented is that such growth is at the expense of other market sectors, fuelling mature market conditions and requiring increasingly sophisticated marketing strategies to gain and sustain market share and thus improve performance. To date, little has been published on how hotel companies compete in CSHB markets or what performance differences result as a consequence of different strategies and market conditions. Therefore through an extensive literature review (of the limited data available) and the construction of a database of hotel groups containing the 30 largest hotel groups operating in Scotland, an indication of the market structure was formed. To confirm initial findings and provide more detailed data on strategies adopted in the market, structured telephone interviews were conducted with key suppliers. The interviews revealed strategic groups with two main categories of strategy : predator strategies for gaining market share and secondly defender strategies for protecting market share. To establish how strategy affects corporate performance, further interviews were conducted at the corporate level and then in recognition of the multi-site nature of hotel operations, interviews were also conducted at unit level for six key short break providing companies. The findings indicate that there are bilateral "associations" between the market structure, the strategy adopted and the resulting performance. Having constructed a model based upon the findings, it appears to be the case that results hold true between both the corporate (industry) relationships and the unit (market) level relationships, making the model a significant contribution to knowledge.

Thesis (Ph. D.)--Chemistry and Biochemistry, Georgia Institute of Technology, 2007.
Committee Chair: Sheldon W. May ; Committee Members: Donald F. Doyle, Leslie T. Gelbaum, Stanley H. Pollock, and James Powers. Part of the SMARTech Electronic Thesis and Dissertation Collection.

[ES] La inspección visual es un parámetro de calidad que describe tanto el aspecto externo como la estructura interna en los productos derivados de cereales. El análisis digital de imagen (ADI) es una herramienta ampliamente utilizada en diversos campos para procesar y analizar los objetos que observamos visualmente. Sin embargo, a pesar de su potencial, ha sido escasamente explotado en el ámbito de alimentos. La estructura de la miga de los productos derivados de cereales es uno de los parámetros característicos del pan y en este contexto es fundamental realizar el seguimiento de los cambios estructurales que se producen durante el proceso o debido a las modificaciones en la formulación. Por ello, el objetivo principal de la presente tesis doctoral fue definir la interrelación entre la estructura y parámetros de calidad de masas y productos horneados, así como extender la utilidad del ADI y su uso para optimizar los procesos y las formulaciones en productos horneados. Para ello, en primer lugar, se establecieron las condiciones óptimas de captura y se estudió la forma de mejorar la detección de bordes. Posteriormente se evaluó el potencial del análisis de imagen para cuantificar los cambios estructurales ocurridos en la formación de geles de almidón en un analizador rápido de fuerza. Seguidamente, se estudió el impacto en la estructura de la adición o sustitución de distintos ingredientes o aditivos en panes con y sin gluten. Y finalmente se investigaron las posibles correlaciones entre los resultados obtenidos de la caracterización tecnológica (perfil de textura, estructura de la miga, humedad) frente a la percepción sensorial (propiedades del bolo, masticación y deglución). El ADI permitió cuantificar las diferentes estructuras obtenidas con los distintos almidones. Además, el estudio reveló las diferencias en el tiempo necesario para formar una estructura homogénea y bien distribuida, que fue dependiente del origen del almidón. La modificación de la formulación de panes con o sin gluten requirió de la adaptación del proceso y permitió obtener diferentes estructuras atendiendo a los ingredientes /aditivos estudiados. El ADI resultó ser una herramienta eficaz para detectar y cuantificar los cambios originados a nivel estructural, en masa y producto final. Además, los cambios cuantificados mediante ADI obtuvieron correlaciones estadísticamente significativas con varios de los parámetros estudiados de percepción sensorial, como son la adhesividad del bolo y el tiempo total para masticar y deglutir una muestra. Por lo tanto, el ADI resultó una herramienta suficientemente específica y no destructiva, que permitió caracterizar el impacto del cambio de la formulación en la distribución alveolar de panes con y sin gluten. Existiendo relación entre este y los parámetros utilizados habitualmente en la caracterización de productos derivados de cereales, así como con la percepción sensorial.
[CA] La inspecció visual és un paràmetre de qualitat que descriu tant l'aspecte extern com l'estructura interna en els productes derivats de cereals. L'anàlisi digital d'imatge (ADI) és una eina àmpliament utilitzada en diversos camps per a processar i analitzar els objectes que observem visualment. No obstant això, malgrat el seu potencial, ha sigut escassament explotat en l'àmbit d'aliments. L'estructura de la molla dels productes derivats de cereals és un dels paràmetres característics del pa i en aquest context és fonamental realitzar el seguiment dels canvis estructurals que es produeixen durant el procés o a causa de les modificacions en la formulació. Per això, l'objectiu principal de la present tesi doctoral va ser definir la interrelació entre l'estructura i paràmetres de qualitat dels diferents tipus de masses i productes enfornats, així com estendre la utilitat de l'ADI i el seu ús per a optimitzar els processos i les formulacions en productes enfornats. Per a això, en primer lloc, es van establir les condicions òptimes de captura i es va estudiar la manera de millorar la detecció de les vores. Posteriorment es va avaluar el potencial de l'anàlisi d'imatge per a quantificar els canvis estructurals ocorreguts en la formació de gels de midó en un analitzador ràpid de força. Seguidament, es va estudiar l'impacte en l'estructura de l'addició o substitució de diferents ingredients o additius en pans amb glútens i sense glútens. I finalment es van investigar les possibles correlacions entre els resultats obtinguts de la caracterització tecnològica (perfil de textura, estructura de la molla, humitat) enfront de la percepció sensorial (propietats del bol, masticació i deglució). L'ADI va permetre quantificar les diferents estructures obtingudes amb els diferents midons. A més, l'estudi va revelar les diferències en el temps necessari per a formar una estructura homogènia i ben distribuïda, que fou dependent de l'origen del midó. La modificació de la formulació de pans amb gluten o sense va requerir de l'adaptació del procés i va permetre obtindre diferents estructures atesos els ingredients /additius estudiats. L'ADI va resultar ser una eina eficaç per a detectar i quantificar els canvis originats a l'entorn estructural, en massa i producte final. A més, els canvis quantificats mitjançant ADI van obtindre correlacions estadísticament significatives amb els diversos paràmetres estudiats de percepció sensorial, com són l'adhesivitat del bol i el temps total per a mastegar i deglutir una mostra. Per tant, l'ADI va resultar una eina prou específica i no destructiva, que va permetre caracteritzar l'impacte del canvi de la formulació en la distribució alveolar de pans amb glutens i sense. Tot i existint relació entre aquest i els paràmetres utilitzats habitualment en la caracterització de productes derivats de cereals, així com amb la percepció sensorial.
[EN] Visual inspection is a quality parameter that describes both the external appearance as the internal structure in cereal-based products. Digital image analysis (DIA) is a tool widely used in several fields to process and analyse objects visually observed by the human eye. However, despite of its potential, it has been barely explored for food analysis purposes. Crumb structure in cereal-derived products is one of the most characteristic parameters in bread. Due to this, following up the structural changes caused by the process or by the formulation changes, is of fundamental importance. For that reason, the main target of this thesis was the definition of the relationship between the structure and the quality parameters of dough and baked products. Moreover, extending the DIA utility and its use to improve process and mixes in baked products represented other main objective of this work. To do that, first, the optimal capture conditions were established and the way to improve the edge detection was studied. Afterwards, image analysis was evaluated to quantify the structural changes that happened during the starch gels formation in a fast force analyser. Then, the impact on the structure by adding or replacing different ingredients or additives in gluten-free breads was studied. Finally, the possible correlations between the results obtained from technological characterization (texture profile, crumb structure, moisture content) versus sensory perception (bolus properties, chewing and swallowing) were also investigated. DIA allowed the quantification of the different structures obtained from different starches. In addition, the study revealed the differences in time needed to form a homogeneous and well-distributed structure, which was dependent on the origin of the starch. Formulation modification in bread with or without gluten required a process adjustment that allowed to obtain different structures depending on the ingredients / additives studied. DIA has been proved to be an effective tool for detecting and quantify changes originated at the structural, dough and final product levels. In addition, the changes quantified by DIA obtained statistically significant correlations with several parameters studied for the sensory perception, such as bolus adhesion and total time to chew and swallow the sample. Therefore, DIA was a sufficiently specific and non-destructive tool, which allowed to characterize the impact of the formulation change on the bread cell distribution with and without gluten. There being a relationship between this, and the parameters usually used in cereal products characterization, as well as sensory perception.
Authors acknowledge the financial support of the Spanish Ministry of Economy and Competitiveness (Projects AGL2011-23802 and AGL2014-52928-C2-1-R), the European Regional Development Fund (FEDER) and Generalitat Valenciana (Projects Prometeo 2012/064 and Prometeo 2017/189), the Spanish Ministry of Science, Innovation and Universities (RTI2018-095919-B-C21), and the European Regional Development Fund. This work is based upon the work from COST Action 18101 SOURDOMICS – Sourdough biotechnology network towards novel, healthier and sustainable food and bioprocesses, the European Regional Development Fund and the joint project between research group from IATA-CSIC and the research groups of Nutriomics and CIDPRO from Tecnologico de Monterrey, Mexico.
Garzón Lloría, R. (2021). Análisis estructural de los productos derivados de cereales y su aplicación en la optimización de procesos y productos [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/166856
TESIS

Mestrado em Finanças
O principal objetivo desta dissertação de final de mestrado é aferir se os Exchange Traded Funds (ETF) Energéticos são eficientes na forma fraca. Para o período compreendido entre 2008 e 2012 selecionámos todos os ETFs energéticos que são negociados no mercado de capitais dos Estados Unidos, com uma data de emissão anterior a 2008. A amostra selecionada é composta por 26 ETFs e foram usados os dados históricos dos preços diários para aplicar vários testes: testes de autocorrelação, testes de runs, testes de raízes unitárias admitindo quebras estruturais, análise de raízes unitárias em painel e testes de rácio de variância. Estes testes permitiram-nos concluir que a variação dos preços dos ETFs Energéticos seguem um passeio aleatório e que a hipótese de eficiência fraca não é rejeitada.
The main purpose of this final master dissertation is to assess the weak-form efficiency of Equity Energy Exchange Traded Funds (ETF). For the period of 2008-2012 we selected all equity energy ETFs traded in the U.S. stock market with inception date before 2008. The sample selected, is composed by 26 ETFs and we make use of full daily historical data and apply various tests: autocorrelation tests, runs test, unit roots structural breaks tests, panel unit roots analysis and variance ratio tests. These tests allow us to conclude that equity energy ETFs price changes follow a random walk, and so the weak-form efficiency hypothesis is not rejected.

Cette thèse propose une contribution empirique à l'analyse des dynamiques monétaires en Amérique latine. Les deux principaux champs dans lesquels elle s'inscrit sont la macroéconomie monétaire et la macroéconométrie. Elle comprend quatre chapitres. Dans le premier chapitre, j'étudie les dynamiques de long-terme de la demande de monnaie en Argentine entre 1900 et 2006. L'introduction de breaks structurels, estimés à partir d'une procédure séquentielle, permet d'estimer des équations de long-terme stables et de reproduire les variations de court-terme observées. Dans le deuxième chapitre, j'analyse le coût en bien-être de l'inflation au Brésil entre 1960 et 2009. J'estime des relations de long-terme, incluant des breaks structurels, et j'utilise l'élasticité du taux d'intérêt et la structure déterministe du modèle empirique pour calculer le coût théorique de la politique monétaire brésilienne au cours des derniers 50 ans. Dans le troisième chapitre, j'étudie les performances d'un groupe de tests de cointégration basés sur les résidus avec breaks structurels déterministes multiples. Les résultats montrent l'existence d'un trade-off entre taille et puissance des tests en présence de breaks structurels multiples. Dans le quatrième chapitre, j'étudie les fonctions de réponse de quatre Banque centrales latino-américaines (Brésil, Chili, Colombie et Mexique). L'analyse empirique porte sur la modélisation des règles de Taylor dans un cadre de cointégration non-linéaire, où la non-linéarité est décrite par des fonctions ESTAR. Les résultats montrent l'existence de non-linéarités dans les fonctions de réponse, qui dépendent des dynamiques de l'inflation et du taux de change
This thesis is a contribution to the empirical analysis of monetary dynamics in Latin America. The main two fields of application of the thesis are monetary economics and macroeconometrics. The thesis is composed of four chapters. In the first one, I analyze long-run dynamics of the demand for money in Argentina between 1900 and 2006. The inclusion of structural breaks, estimated through a sequential procedure, allowed me to estimate stable long-run equations and to fit actual short-run variations of the monetary aggregate. In the second chapter, I analyze the welfare cost of inflation in Brazil between 1960 and 2009. I estimate long-run relationships, also including structural breaks, and I use the estimated elasticity for the interest rate and the deterministic structure of the model to compute the theoretical cost of Brazilian monetary policy during the past 50 years. In the third chapter, I analyze the performance of a group of residual-based test of cointegration with multiple deterministic structural breaks. Results show the existence of a trade-off between size and power of these tests in presence of multiple breaks. In the fourth chapter, I analyze the reaction functions of four Latin American Central Banks (Brazil, Chile, Colombia and Mexico). The empirical analysis focuses on the econometric modeling of the Taylor rule under a non-linear cointegration framework, where the non-linearity takes the form of an exponential STAR model (ÉSTAR). Results show the existence of non-linear reaction functions for three out of four Central Banks, where the non-linearity depends on inflation and exchange rate dynamics

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Universidade Presbiteriana Mackenzie
This work consists of a systematic review of legislation regulating and structure the innovation theme, presenting the concept, characteristics, types, principles, scope, system adopted and how they are interpreted and applied by the various standards bodies that oversee this subject in the country. Deepening of the subject, it was observed that innovation transcends technological issue and reflects aspects involving the political and economic rights such as legal certainty, state intervention, economic domain, culture aspects and social values. Thus, when confronted with the concept of innovation to Article 17 of Law no 11.196/2005. This is not possible to study it without reflecting on legal certainty, the same is repeated when studying the Brazilian System of Innovation that relies on the principle of effectiveness of Article 37, caput, of the Constitution of the Federative Republic of Brazil of 1988 and the guiding principles of innovation, Articles 218 and 219 of the same legislative instrument, especially when compared with other countries, in the view of interventionist government actions and economic dominance the issue of industrial privileges and incentives. In the economic field there are questions about intervention, economic structuralism, economic dominance through innovation, industrial privileges and tax breaks are presented, which always supported by reviews of their subjects, whose perspective involves literature review, research with official sites, administrative and judicial decisions.
Este trabalho apresenta uma análise sistemática da estrutura e da legislação que regulamenta o tema inovação no país. Na pesquisa, denota-se que a inovação é um tema transversal e reflete questões políticas, jurídicas, econômicas e sociais como democracia, domínio econômico, intervenção estatal, segurança jurídica, tecnologia, cultura e valores sociais, sendo todos devidamente trabalhados de maneira aprofundada e entrelaçada nos capítulos do presente estudo. Ao se defrontar, por exemplo, com o conceito de inovação do artigo 17, da Lei no 11.196/2005, estuda-se a sua indeterminação, o que traz à baila reflexões pontuais e inéditas sobre sua segurança jurídica. Outrossim, quando se retrata os resultados atuais das políticas e estruturas adotadas no país para o assunto, exige-se um aprofundamento sociológico da cultura de inovação existente e do papel dos agentes da inovação como Governo, Universidades, Centros de Pesquisas, Empresas e Movimentos Sociais em sua disseminação. Também são retratados neste ponto, os artigos 218 e 219 da Constituição da República Federativa do Brasil de 1988; princípio da eficiência do artigo 37°, caput, do mesmo diploma normativo, com método comparativo com outros países; e, princípio democrático inspirando as políticas e decisões dos órgãos de inovação do país. No campo econômico são apresentadas questões sobre intervenção, estruturalismo econômico, domínio econômico pela inovação, privilégios industriais e incentivos fiscais, cuja ótica envolve revisão bibliográfica, consulta a sítios oficiais de pesquisa, decisões administrativas e judiciais inerentes.

Depuis 1990, bon nombres de pays industrialisés et émergents ont adopté la politique de ciblage d’inflation. Ce régime monétaire a été adopté sans théorie adjacente dans la mesure où il a démarré comme une solution alternative à la recherche sans fin d’un système d’ancrage nominal suite aux échecs répétés des politiques antérieurs. Ce retard théorique fait naître de nombreux débats économiques sur la conduite de ce régime monétaire dont les plus importants feront l’objet d’une discussion approfondie au sein de cette thèse. Dans un premier chapitre, nous définissons la politique de ciblage d’inflation. Dans un second chapitre nous abordons la question de la conduite optimale de ce régime d’un point de vue théorique et empirique. Nous montrons que la règle optimale est une règle à la Taylor de type Forward-Looking dont elle peut avoir un comportement asymétrique. Dans un troisième chapitre, nous abordons la question de l’efficacité de la politique de ciblage d’inflation. Pour ce faire, nous avons étudié l’effet d’intervention de ce régime sur la dynamique d’inflation. Nous avons recours à la théorie spectrale évolutive afin de modéliser la série de l’inflation dans le but de tester son évolution. Les résultats sont en faveur de l’efficacité de ciblage d’inflation. Le dernier axe de cette thèse s’intéresse à la question de la performance économique de ce régime monétaire. Pour ce faire nous développons une méthodologie originale évaluée selon une approche économétrique originale. En effet, nous qualifions le ciblage d’inflation comme économiquement performant s’il génère une stabilité de l’environnement de la politique monétaire. Le fondement de cette idée fera l’objet du quatrième chapitre. Quant au chapitre cinq, il développera l’approche économétrique basée sur la théorie co-spectrale pour mesure le degré de stabilité de cet environnement. Les résultats montrent que le ciblage d’inflation est économiquement performant
The inflation targeting policy (ITP) was born after the failure of many monetary policies. However, the ITP was adopted without inherent theory which raised many discussions. In this dissertation, we study the most important debates. In the first chapter, we defined the ITP. Then, we treat the question of the optimal rule conduct. We show that the optimal monetary rule is a type Taylor rule under a Forward-Looking version and which can be linear or nonlinear. In the third chapter, we focus on the discussion about the relevance of the inflation targeting policy. To study this point we use the evolutionary spectral analysis to model the inflation series and we test then, if the ITP cause a structural break. Our results show the relevance of the ITP. The last discussion in this work is to check the macroeconomic performance of the ITP. The main idea is to consider the ITP as economically efficient when it generates a stable monetary environment. The latter is considered as stable when a long-run equilibrium exists to which the paths of economic variables (inflation rate, interest rate and GDP growth) converge. The convergence of the variables’ paths implies that these variables are more predictable and implies a less uncertainty in the economic environment. To measure the degree of convergence between economic variables, we propose, in this paper, a dynamic time-varying variable presented in the frequency approach named cohesion. This variable is estimated from the evolutionary co-spectral theory. The results show that the ITP is a relevance policy and generate a good performance

The COVID-19 pandemic could led to one of the worst crises in history (Barro, 2020). It would be the second crisis in the 21st century the Portuguese economy encounters but it is still unknown if its effects would be structural (permanent and related to the supply side) or cyclical (transitory and related to business cycle fluctuations and the demand side). To test for structural change, a linear regression model is used and the Chow test and Chow test for predictive failure are applied. The model uses quarterly data from various sources, ranging from the first quarter of 1998 to the third quarter of 2020, and is estimated in seasonal differences. It considers as dependent variable the natural logarithm of output per worker and as explanatory variables the natural logarithm of physical capital per worker, a time trend, and other variables on the supply and demand side as controls. A Chow test was first applied to the 2008 Global Financial Crisis, to rule out any interferences from this period. A structural break was found in the fourth quarter of 2010. Applying a Chow test for predictive failure to a subsample from the first quarter of 2011 to the third quarter of 2020, the null hypothesis of the pandemic not causing a structural break was rejected. T-tests were used to confirm the location of the breaks. The null hypothesis that a break did not occur was rejected for all the coefficients of the regression variables, pointing for the existence of supply side permanent effects.
A pandemia de COVID-19 poderá causar uma das piores crises de que há memória (Barro et al., 2020). Será a segunda crise que a economia portuguesa enfrenta no século XXI e ainda é incerto se os seus efeitos serão estruturais (permanentes e ligados ao funcionamento do lado da oferta) ou cíclicos (transitórios e ligados a flutuações do ciclo económico e ao lado da procura).Para testar quebras estruturais, é usada uma regressão linear e aplicados o teste de Chow e o teste de Chow para falha preditiva. O modelo usa dados trimestrais de várias fontes, desde o primeiro trimestre de 1998 ao terceiro trimestre de 2020 e é estimado em diferenças sazonais. Considera como variável dependente o produto por trabalhador efetivo e como variáveis explicativas o stock de capital físico por trabalhador efetivo, uma trend temporal e outras variáveis do lado da procura como controlos. Foi aplicado um teste de Chow ao período da Crise Financeira Global de 2008 e uma quebra estrutural foi encontrada no quarto trimestre de 2010. Foi, depois, aplicado um teste de Chow para falha preditiva a uma subamostra do primeiro trimestre de 2011 ao terceiro trimestre de 2020 e a hipótese nula de a pandemia não causar quebra estrutural foi rejeitada. Foram ainda usados testes t para confirmar a origem da quebra. A hipótese nula foi rejeitada para todos os coeficientes da regressão, apontando para a existência de efeitos permanentes no lado da oferta.

This study develops a panel data analysis over 27 transition and post transition economies for the period 2003-2010. Its intent is to investigate empirically the true effect of seven variables into foreign flows and takes later on the advantage of observed findings to conduct a comparative analysis between Kosovo and regional countries such: Albania, Bosnia and Herzegovina, Macedonia, Montenegro and Serbia. As the breakdown period (2008-2010) was included in the data set used to modelling the behaviour of FDI, both Chow test and the time dummies technique suggest the presence of structural break. Ultimately, empirical results show that FDI is positively related with one year lagged effect of real GDP growth, trade openness, labour force, low level of wages proxied by remittances, real interest rate and the low level of corruption. Besides, the corporate income tax is found to be significant and inversely related with foreign flows. The comparative analysis referring the growth rate of real GDP shows that Kosovo has the most stable macroeconomic environment in the region, but still it is continuously confronted by the high deficit of trade balance and high rate of unemployment. Appart, the key obstacle that has abolished efforts for foreign investment attraction is found to be the trade blockade of...

Kong, Cheuk Kwan.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.
Includes bibliographical references (leaves 42-44).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Modelling Piecewise AR model --- p.4
Chapter 2.1 --- Background --- p.4
Chapter 2.2 --- Introduction to Auto-FARM --- p.5
Chapter 2.3 --- Minimum Description Length --- p.6
Chapter 2.4 --- Genetic Algorithm --- p.9
Chapter 2.5 --- Reproduction Rules --- p.10
Chapter 3 --- Bayesian-SCAD Approach --- p.14
Chapter 3.1 --- Estimation via Penalty Function --- p.15
Chapter 3.2 --- Introduction to SCAD --- p.17
Chapter 3.3 --- Local Quadratic Approximation of SCAD --- p.20
Chapter 3.4 --- Bayesian Formulation and GA Implementation --- p.22
Chapter 4 --- Simulation Study --- p.25
Chapter 4.1 --- Piecewise AR Process from Davis et al. (2006) --- p.25
Chapter 4.2 --- Piecewise Seasonal AR Process --- p.29
Chapter 5 --- Real Data Analysis --- p.33
Chapter 5.1 --- Description and Source of Data --- p.33
Chapter 5.2 --- Model Fitting --- p.36
Chapter 5.3 --- Prediction Results --- p.39
Chapter 6 --- Conclusion --- p.40
Bibliography --- p.42

碩士
國立高雄應用科技大學
金融資訊研究所
101
The paper has three main empirical study purposes. First, we test if the fiscal sustainability exists for the 13 countries in APEC organization, allowing for an unknown break in the co-integration analysis. Second, we test if thirteen countries’ fiscal is strong sustainability when a country’s fiscal is sustainable. Finally, after we find out a structural break year, we want to know a short term causality of a country government’s revenue and expense for thirteen countries. Empirical results have four points. First, all of countries have one structural break in the co-integration relationship. Second, most of countries match fiscal sustainability. Third, only some counties match strong sustainability when some counties’ fiscal is sustainable. Fourth, all of ten countries’ short term fiscal revenue and expense have one way causality relationship by Granger causality test.

The first chapter considers the asymptotic validity of bootstrap methods in a linear trend model with a change in slope at an unknown time. Perron and Zhu (2005) analyzed the consistency, rate of convergence, and limiting distributions of the parameter estimates in this model. I provide theoretical results for the asymptotic validity of bootstrap methods related to forming confidence intervals for the break date. I consider two bootstrap schemes, the residual (for white noise errors) and the sieve bootstrap (for correlated errors). Simulation experiments confirm that confidence intervals obtained using bootstrap methods perform well in terms of exact coverage rate. The second chapter extends Perron and Zhu's (2005) analysis to cover more general fractionally integrated errors with memory parameter d in the interval (-0.5,1.5). My theoretical results uncover some interesting features. For example, with a concurrent level shift allowed, the rate of convergence of the estimate of the break date is the same for all values of d in the interval (-0.5,0.5), a feature linked to the contamination induced by allowing a level shift. In all other cases, the rate of convergence is decreasing as d increases. I also provide results about the spurious break issue. The third chapter considers constructing confidence intervals for the break date in linear regressions. I compare the performance of various procedures in terms of the exact coverage rates and lengths: Bai's (1997) based on the asymptotic distribution with shrinking shifts, Elliott and Müller's (EM) (2007) based on inverting a test locally invariant to the magnitude of the change, Eo and Morley's (2013) based on inverting a likelihood ratio test, and various bootstrap procedures. In terms of coverage rates, EM's approach is the best but with a high cost in terms of length. With serially correlated errors and a change in intercept or in the coefficient of a regressor with a high signal-to-noise ratio, or when a lagged dependent variable is present, the length approaches the whole sample as the magnitude of the change increases. This drawback is not present for the other methods. Theoretical results are provided to explain the drawbacks of EM's method.

The addition of pea fibre to wheat bread supports the growing trend of improving health through diet. Various evaluation tools (bread scoring, C-cell, texture profile analysis, and ultrasound) were used to monitor the sensory and mechanical quality of air bubbles in bread. Different pea fibre particle sizes (250, 125, 180, 90 μm) were added at 0, 2, 4, 6, 8 g/serving into a bread formulation. Improvements in specific loaf volume were observed when water absorption was optimized. Adequate water absorption mitigated the high dough viscosity effect of pea fibre. The 1,1-diphenyl-2-picrylhydrazyl (DPPH) scavenging assay was used to measure antioxidant activity of pea fibre. All particle sizes of pea fibres had substantially greater antioxidant scavenging ability compared to wheat flour. The DPPH scavenging activity of pea fibre approached that of ascorbic acid by the end of the assay. Fibre-enriched bread had higher antioxidant activity compared to that of the control bread.

The visual (cellular structure) and physical (mechanical properties) texture of bread crumb are quality attributes that were anticipated to be interrelated. This study was undertaken to evaluate the influence of bread crumb cellular structure on its mechanical properties. Crumb structural properties were characterised by density and six crumb grain features measured using a digital image analysis (DIA) system. These grain features included crumb brightness, mean cell wall thickness (CWT), void fraction (VF), mean cell-area (MCA), crumb fineness (number of cells/cm2), and a measure of crumb uniformity--SLCC (small-to-large cell count ratio). The mechanical properties were determined by tensile testing of bone-shaped specimens cut from the same bread samples used for DIA. Tensile parameters included Young's modulus, fracture stress, fracture strain, and fracture energy. Variation in bread formulation and processing conditions are known to have a great impact on the quality of bread. The effects of flour type,water absorption (WA), sheeting passes (SP) and proof time (PT) on density, grain features, and mechanical properties of bread crumb were assessed. (Abstract shortened by UMI.)

碩士
國立高雄應用科技大學
企業管理系
98
In recent years, it has been deeply concerned the issue about to implement the Asian currency unit (ACU).From Optimal Currency Areas Theory and the Maastricht Treaty, we can find the common and important characteristic that is the consistency of important overall economic model within the economic areas. Also, there are many important overall economic models, such as Purchasing Power Parity(PPP)、Real Interest Rate Parity(RIRP), and so on; this research focuses on the real interest rate parity in Asian financial integration can rally work, and the Asian regional economic structure is consistent; moreover, the possibility of driving ACU- the optimum currency , if RIRP theory is proved. First of all, we use three kinds of traditional unit root tests to exmine the real interest rate differential. After that, we use structural break unit root test, such as considering a structural break in Zivot and Andrews (ZA, 1992) and consider the two structural breaks Lee and Strazicich (LS, 2003). Finally, we compared the traditional unit root test with consider structural break unit root test to analyse the differences. Empirical results indicate that no Asian country results in a convergence of their real interest rate differential under the three traditional unit root tests.However, by using two structural breaks unit root test, we find the real interest rate differential of all Asian countries is in stationary series, which means the real interest rate parity holds, and indirectly prove the consistency of economic factors in Asian countries. As a result, it seems to contribute to feasibility of the optimal currency-ACU.

The objective of this research is to investigate the existence of structural changes in unsecured lending time series data and analyse the impact thereof on trends in consumer demand for unsecured credit spanning the years from 2008 to 2015. This is achieved by identifying dates when structural changes occurred over this period. The identified structural break date is linked to an influential economic event or monetary policy change that took place in South Africa of which the impact on three unsecured credit categories are analysed. Unsecured credit growth in South Africa has been subjected to intensive scrutiny since the inception of the National Credit Act (Act No. 34 of 2005) by various regulatory bodies. In 2012 the National Credit Regulator (NCR) commissioned a research study into examining the impact that the National Credit Act (Act No. 34 of 2005) has had on the consumer credit market. The empirical part of this study involved the gathering of time series data on unsecured loans approved, unsecured credit granted per income category and unsecured credit granted from the National Credit Regulator (NCR) database and performing descriptive and econometric analysis. The Zivot-Andrews (1992) and augmented Dickey-Fuller tests determined the break dates which were linked to a significant economic event while the one sample t-test of means compared average loan values before and after the break date. Results of the study indicate that the break dates determined coincided with economic events and monetary policy changes in South Africa, such as the collapse of African Bank, the implementation of the National Credit Amendment Act, prime interest rate movements and the introduction of a debt counselling program by the government. These events, coupled with stricter lending criteria and no further loans being granted to customers already more than three months in arrears, restrained the uptake of unsecured loans to lower and middle income groups. The introduction of new affordability criteria and increasing interest rates in 2014 further negatively impacted demand for unsecured loans. However, higher income earners had the advantage of being able to apply for higher loan amounts. Findings could be used by monetary policymakers and financial institutions to constantly monitor credit trends, improve credit assessment techniques and review lending criteria.
Business Management
M. Com. (Financial Management)