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1
Kinene, Alan. "FORECASTING OF THE INFLATION RATES IN UGANDA: : A COMPARISON OF ARIMA, SARIMA AND VECM MODELS." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-49388.
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Kpondjo, Nadia. "Modélisation de la compétitivité industrielle." Thesis, Paris 10, 2016. http://www.theses.fr/2016PA100127.
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Cette thèse traite de la notion de compétitivité des unités industrielles par l’indicateur de l’efficience obtenu avec la méthode DEA. L’efficience des alumineries de l’industrie de l’aluminium primaire est analysée sur quatre années distinctes 2005, 2009, 2010 et 2012. Les résultats révèlent que ces unités sont globalement peu efficientes techniquement (inefficience de l’ordre de 1 à 5% selon la technologie utilisée et la région) ; leurs combinaisons productives semblent donc peu optimales. De plus, l’inefficience est davantage prononcée au niveau du coût et de l’allocation de leurs ressources en considérant les prix des inputs différents ou identiques d’une aluminerie à une autre. Tout ceci pourrait expliquer les fermetures enregistrées ces dernières années. Par ailleurs, nous avons montré que l’inefficience technique était expliquée par l’impact des variables explicatives âge, taille et le taux de change. Au travers d’un modèle VECM linéaire nous avons montré qu’il existe une relation de long terme entre la performance financière des grands constructeurs automobiles et le prix de l’aluminium allié. Ce résultat étant l’indicatif de l’interdépendance entre ces deux industriesThis thesis deals with the concept of competitiveness of industrial units by the efficiency indicator obtained by DEA approach. We use a cross section data over four different years around 2009. The results show that these units are generally technically inefficient (inefficiency of the order of 1 to 5% by technology and region); their productive combination thus seems less than optimal. In addition, the inefficiency is more pronounced in the cost and allocation of resources by considering the inputs prices of an aluminum smelter in another. All this may explain the closures of recent years. We analyze the assessment of how external factors such as exchange rate, vintage and scale affect the smelters efficiency. Through a linear VECM model we have shown a long-term relationship between the financial performance of major car manufacturers and the price of aluminum alloy. This result is indicative of the interdependence between the two industries
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Sichula, Mwembe. "Impact of the global financial crisis and its implications for the Zambian banking sector: an econometric study." Thesis, University Of Cape Town, 2018. http://hdl.handle.net/11427/29936.
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The research examines how the banking sector in Zambia faired in the wake of the global
financial crisis, and the ensuing global recession that followed. Even prior to the crisis,
weaknesses within the Zambian Banking sector were already identified by a World Bank/IMF financial sector assessment. The research therefore aims to gain a better understanding of the potential destabilizing factors to the Zambia Banking sector, and provide key players (Policymakers, Regulators and Banks) with knowledge on how best to manage and overcome these adverse effects, in times of a financial crisis. A Vector Error Correction Model (VECM) is estimated using commonly identified macroeconomic and banking sector indicators from selected Anglophonic African countries that were affected by the crisis at the time. The selected variables include, Return on Assets (ROA); Non-Performing Loans (NPL); Foreign Assets (FA); Interbank Lending Rate (IBLR); Liquidity (LQD); Credit to Private Sector (PRV); Foreign Exchange Rate (FOREX); Inflation (INFL); Copper Price (CU); and a ‘dummy’ variable (CRISIS). The direction of causality between the variables is further established using the VAR Granger Causality Test. Results of the model suggests that although the CRISIS was found to cause the ROA, it had no significant effect on its outcome, implying that overall the crisis had very little effect on the Zambian banking sector’s profitability. It was the liquidity (LQD) variable instead which was found to have a significant effect on the ROA. In times of a financial crisis, it is therefore recommended that policy makers and regulators apply more stringent regulatory and monetary policy instruments. This would counter the adverse effects on the liquidity and profitability of the Banking sector, and thus ensure its stability.
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Cachapa, Filipe Miguel de Mira Ferreira Marques. "Os determinantes do preço do petróleo crude e o papel da especulação financeira." Master's thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/26519.
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O preço do barril de petróleo crude representa uma série temporal de elevada volatilidade, que tem sido alvo de estudo por parte de diversos autores e investigadores.
O estudo presente nesta dissertação de mestrado tem como objetivos: encontrar variáveis económicas e financeiras que influenciem significativamente o preço do barril de petróleo e ajudem a explicar as variações observáveis nessa série temporal; explorar o papel da especulação financeira relativamente à commodity em questão.
Para tal, recorreu-se a técnicas de modelação financeira que permitiram analisar a influência de variáveis fundamentadas na literatura. Obteve-se um modelo VECM relativo às variáveis que revelaram poder ter uma relação de longo prazo com a variável dependente, e ainda um modelo ECM onde foram incluídas outras variáveis.
As variáveis que se revelaram significativas foram o Consumo de Gás, o Consumo de Carvão, o Consumo de Petróleo e os PIB’s dos EUA e China; Abstract:
The Determinants of Crude Oil Prices and the Role of Financial Speculation
The price of the crude oil barrel represents a timeseries of high volatility, which has been studied by many authors and investigators.
The research contained in this master’s dissertation has the following objectives: to reach economic and financial variables which significantly influence the oil barrel price and help explain that series’ observable variations; explore the role of financial speculation regarding the commodity in question.
In order to do that, financial modeling techniques that allowed to analyze the influence of literature-based variables were applied. A VECM model regarding the variables that seemed to present a long-term relation with the dependent variable was obtained, and also an ECM model where other variables were included.
The variables that showed a significant effect were the World Gas Consumption, the World Coal Consumption, the World Oil Consumption and the USA’s and China’s GDP’s.
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Hu, Zhejin. "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/math_theses/60.
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This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.
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Havrlant, David. "Analýza vývoje cenové konvergence ČR k EU." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-77050.
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The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tradable sector. Hence estimated models confirm the price level convergence of transition economies towards the reference economies. The analyses of price dynamics of the complementary field, i. e. of the tradables, follows, and the basic concept is represented by the rational bubble hypothesis. The stress is putted on the impact of the word prices on the price levels of the Czech Republic. After a cointegration analysis of the time series is carried out, the influence of the word prices of tradable commodities is estimated within a vector error correction model and regression analysis. This cost factors analysis is afterwards related to the export dynamics of the Czech Republic, and models suitable for quantitative analysis of export dynamics as well as its prediction based on vector error correction model and regression analysis are evaluated. Their forecasting ability is assessed within a simulation of ex-post forecasts and a root mean squared error. The aim is to consider the relationship between the price levels and the export dynamics, for the relation of both variables evaluated within the Granger causality seems to be less straightforward then the standard export equations suggest, and the estimated equations confirm significant influence of the export dynamics on the price level.
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Hauer, Mariana. "Os modelos VAR e VEC espaciais : uma abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12585.
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O objetivo deste trabalho é apresentar o Modelo Vetorial Autorregressivo (VAR) e uma das suas variações, o Modelo Vetorial de Correções de Erros (VEC), segundo uma abordagem Bayesiana, considerando componentes regionais, que serão inseridos nos modelos apresentados através de informações a priori que levam em consideração a localização dos dados. Para formar tais informações a priori são utilizados conceitos referentes à econometria espacial, como por exemplo, as relações de contigüidade e as implicações que estas trazem. Como exemplo ilustrativo, o modelo em questão será aplicado a um conjunto de dados regionais, coletados por estados brasileiros. Este conjunto de dados consiste em observações da variável produção industrial para oito estados, no período de janeiro de 1991 a setembro de 2006. Em função da escolha do modelo adequado, a questão central foi descobrir em que medida a incorporação destas informações a priori no modelo VEC Bayesiano é coerente quando estimamos modelos que consideram informações localizacionais.The main goal of this work is to present the Vector Autoregressive Model (VAR) and one of its variations, the Vector Error Correction Model (VEC), according to a Bayesian variant, considering regional components that will be inserted in the models presented through prior information, which takes in consideration the data localization. To form such prior information, spatial econometrics is used, as for example the contiguity relations and the implications that these bring to the modeling. As illustrative example, the model in question will be applied to a regional data set, collected for Brazilian states. This data set consists of industrial production for eight states, in the period between January 1991 and September 2006. The central question is to uncover whether the incorporation of these prior informations in the Bayesian VEC Model is coherent when we use models that consider contiguity information.
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Sbarai, Nathália. "Análise da questão ambiental no âmbito do comércio internacional brasileiro." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-03012018-175259/.
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Nas últimas décadas, identificou-se uma crescente preocupação com a sustentabilidade e com a qualidade ambiental, ao mesmo tempo em que se observou uma expansão do comércio internacional e uma procura por um maior grau de liberalização comercial. Nesse contexto, surgiram órgãos destinados a defender cada uma das questões, ambiental e comercial, e questionamentos e conflitos sobre os impactos que cada um deles estava causando ao outro. Diante desses questionamentos identificou-se, então, a importância da inter-relação entre as duas áreas, de forma que passou a buscar-se uma maior interação entre as discussões englobando comércio e meio ambiente. Contudo, muitas pesquisas ainda tendem a avaliar as questões ambientais e comerciais separadamente. Em virtude disso, este trabalho tem como objetivo analisar conjuntamente as duas questões, a fim de ampliar a discussão acerca de sua inter-relação; ao mesmo tempo, propõe-se um modelo para analisar a relação entre a liberalização comercial e a qualidade ambiental (representada aqui pelas emissões de CO2 equivalente) para o Brasil, estimado por meio de um Modelo de Autorregressão Vetorial estrutural com correção de erro (VAR-VEC). A análise abrangeu o período de 2003 a 2015, período que já incorpora a entrada da China no mercado internacional, ocorrida no ano de 2002, fato que usualmente tem bastante impacto sobre os fluxos comerciais e sua modelagem. As variáveis utilizadas no modelo foram o índice de abertura comercial, importações mundiais, como proxy de renda mundial, preços totais de commodities e emissões brasileiras de CO2 Equivalente. O modelo identificou que um aumento da abertura comercial brasileira contribui para a ampliação das emissões de CO2 do país, seguindo o esperado de acordo com a literatura.In the last decades, a concern about sustainability and environmental quality has grown, simultaneously to the process of the international trade expansion, pursuing also for greater degree of trade liberalization. In this context, international bodies were created to defend each of these issues, environmental and commercial, raising questions and conflicts about the impacts that each one was causing to the other. Thus, the importance of the interrelation between the two themes became evident, in a way to highlight the necessity to promote a greater interaction between debates encompassing trade and environment. However, many surveys still tend to analyze environmental and trade issues separately. As a result, this work aims to examine the two issues together, in order to broaden the discussion about their interrelationship. At the same time, a model has been proposed to quantify the relationship between trade liberalization and environmental quality (here represented by CO2 equivalent emissions) for Brazil, estimated by a VAR- VEC model. The analysis covered the period from 2003 to 2015, comprising the tie of China\'s entry into the international market in 2002, which is important once this event usually has a significant impact on international trade flows and their modelling. The variables used in the model are the index of trade liberalization for Brazil, the world imports as a proxy for the world income, total commodity prices and the Brazilian emissions of equivalent CO2. The model identified that an increase in Brazilian trade liberalization contributes to an increase in the country\'s CO2 emissions, following expectations from the reviewed literature.
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Junior, Marcos Matos Brito de Albuquerque. "Value creation: merger and consolidation in a company Consulting engineering. A case study with the Company Arcadis." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=12907.
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nÃo hÃO objeto dessa dissertaÃÃo à analisar a influÃncia da receita lÃquida, patrimÃnio lÃquido total e dÃvidas de longo prazo sobre a rentabilidade do valor das aÃÃes da ARCADIS, atravÃs da aplicaÃÃo de mÃtodos de sÃries de tempo, tais como, teste de raiz unitÃria, teste de cointegraÃÃo de Johansen, o modelo autorregressivo vetorial (VAR), vetor de correÃÃo de erros (VEC), funÃÃo impulso-resposta e decomposiÃÃo da variÃncia dos erros de previsÃo. A base de dados à quadrimestral no perÃodo de janeiro de 2000 a dezembro de 2012. De acordo com o teste de cointegraÃÃo de Johansen, os resultados indicam que as sÃries que apresentam raiz unitÃria sÃo todas integradas de ordem um em nÃvel e mostram uma relaÃÃo de longo prazo entre elas. Os coeficientes obtidos no modelo estimado se apresentaram de acordo com a literatura. Pode-se observar tambÃm que os testes demonstraram uma forte influÃncia da receita lÃquida sobre o valor da aÃÃo quando comparados com as outras variÃveis. A partir das avaliaÃÃes realizadas neste estudo, pode-se afirmar que as variÃveis sÃo relevantes para explicar as variaÃÃes ocorridas no decorrer do tempo, na variÃvel dependente valor da aÃÃo na bolsa de valores. O referido trabalho apresenta uma anÃlise da evoluÃÃo das empresas de engenharia consultiva e o crescente grau de internacionalizaÃÃo. Destaca-se a relevÃncia do estudo de comparaÃÃo com o propÃsito de entender o crescimento da empresa ARCADIS no segmento de engenharia consultiva e gerenciamento de projetos, alÃm de analisar como se ampliou sua competitividade no mercado.
The object of this dissertation is to analyze the influence of net revenue, total shareholders' equity and long-term debt on the profitability of the value of the shares of ARCADIS, by applying methods of time series, such as unit root test, test Johansen cointegration, the vector autoregression model (VAR), vector error correction (VEC), impulse response and variance decomposition of forecast errors function. The database is quarterly from January 2000 to December 2012 According to the Johansen cointegration test, the results indicate that the series that have unit roots are all integrated of order one in level and show a relationship term between them. The coefficients in the estimated model is presented according to the literature; can also observe that the tests demonstrated a strong influence of net revenue on the share value when compared with the other variables. From the evaluations performed in this study, it can be stated that the variables are relevant to explain the variations over time in the dependent variable value of the share on the stock exchange. That paper presents an analysis of the evolution of consulting engineering companies and the increasing degree of internationalization. Highlights the relevance of the study compared with the purpose of understanding the growth of the company ARCADIS in consulting engineering and project management segment. And since expanded its market competitiveness.
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Radkovský, Štěpán. "Kvantifikace účinků fiskální politiky v ČR pomocí modelu SVEC." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-134.
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Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.
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>Magister Scientiae - MScPurpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correction Model (VECM). Statistical arbitrage is investigated through the pairs trading technique.Findings:The five stock indices are found to be cointegrated. Analysis shows that the cointegration rank among the variables is significantly influenced by structural breaks. Two pairs of stock variables are also found to be cointegrated. This guaranteed the mean reversion property necessary for the successful execution of the pairs trading technique. Determining the optimal spread threshold also proved to be highly significant with respect to the success of this trading technique.Value:This research seeks to expand on the literature covering long-run co-movements of the volatile emerging market indices. Based on the cointegration relation shared by the BRICS, the research also seeks to encourage risk taking when investing. We achieve this by showing the potential rewards that can be realized through employing appropriate statistical arbitrage trading techniques in these markets.
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Moabelo, Julith Tsebisi. "Analysing potato price volatility in South Africa." Thesis, University of Limpopo, 2019. http://hdl.handle.net/10386/3049.
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Thesis ( M.Sc.(Agricultural Economics)) --University of Limpopo, 2019.Potato is perceived as an excellent crop in the fight against hunger and poverty. The recent high potato price in South Africa has pushed the vegetable out of reach of the poorest of the poor. The study attempts to analyse potato price volatility in South Africa and furthermore assess how various factors were responsible for the recent potato price volatility. Quarterly data for potato price, number of hectares planted, rainfall and temperature levels from 2006q1 to 2017q4 was collected from various sources and were used for analysis. The total observation of 48. The volatility in the series was determined by performing ARCH/GARCH model. GARCH model indicates an evidence of GARCH effect in the series, meaning that GARCH model influences potato price volatility in South Africa. The Johansen cointegration used both trace and eigenvalue to test the existence of a long run relationship between potato price and various variables. The cointegration results were positive indicating that there exists long run relationship amongst variables. The study further used Johansen cointegration as well as standard error to determine the number of cointegrating variables in the long run. The results indicated that the number of hectares planted and rainfall level have significant relationship with potato price. Wald tests was used to check whether the past values of number of hectares planted and rainfall level influenced the current value of potato price. The Walt test results concluded that there is no evidence of short run causality running from number of hectares planted and rainfall level to potato price. In the study, ECM model was used to forecast the potato price fluctuation in South Africa. The study recommends that farmers need to engage in contract market so as to minimize the risk of potato price volatility. The Department of Agriculture should forecast agricultural commodities price volatility and make information accessible to the farmers so that they are able to adopt strategies that will assist them to overcome crisis.
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Silber, Frank. "Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM) : Untersuchungen an ausgewählten Arbeitsmärkten /." Frankfurt am Main: Lang, 2003. http://www.gbv.de/dms/zbw/362076561.pdf.
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Paixão, Michel Augusto Santana da. "O crescimento econômico da China e o consumo de carvão para geração de energia." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-04082017-142954/.
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Nas últimas décadas, a China obteve um crescimento econômico robusto. Dados mostram que o produto chinês, entre 1980 e 2010, teve uma média anual de crescimento de 9,5%. Esse aumento do produto permitiu que as condições de vida de milhões de pessoas melhorassem via incremento da renda e consumo. No entanto, esse crescimento também produziu desequilíbrios ambientais, uma vez que a consequente modernização se deu com base no elevado consumo de carvão. Atualmente a China consome quase 50% do carvão mundial, sendo a primeira em produção de energia elétrica e emissões absolutas de CO2, sendo que o carvão possui um papel preponderante em sua matriz energética. Frente a essa realidade, este trabalho propõe um modelo para analisar o papel do carvão como variável de energia no crescimento econômico chinês. A abordagem teórica baseou-se na função de produção do tipo Cobb-Douglas, que foi estimada por um modelo um VAR-VEC (Modelo de Autoregressão Vetorial com correção de Erro). O período de análise compreende 1980 a 2010. Busca-se relacionar o peso do carvão, capital e trabalho com o comportamento do PIB chinês. A variável capital foi testada de duas formas distintas. O primeiro modelo utilizou uma variável de capital construída, baseada em Conesa et al. (1999), enquanto que o segundo modelo utilizou a formação bruta de capital fixa, variável utilizada para representar o estoque de capital. Os resultados dos dois modelos apontam que carvão, capital e trabalho apresentaram um bom poder de explicação sobre o crescimento do PIB chinês em ambos os modelos. Porém, o modelo com a variável de capital construída mostrou melhores resultados para os coeficientes de relações contemporâneas e elasticidades impulso-resposta. Observou-se também que, em ambos os modelos, o carvão teve uma importância considerável na determinação do PIB chinês quando analisado pela função de impulso-resposta.In recent decades, China has achieved robust economic growth. Data show that the Chinese product between 1980 and 2010 had an average annual growth of 9,5%. This increase in output allowed the living conditions of millions of people would improve through increased income and consumption. However, this growth has also produced environmental disturbances, because the resulting modernization was made based on high coal consumption. Currently China consumes nearly 50% of world coal, the first production of electric power and absolute CO2 emissions, with coal has a major role in its energy matrix. Facing this reality, this work proposes a model to analyze the role of coal as an energy variable in Chinese economic growth. The theoretical approach was based on the production function of the Cobb-Douglas, which was estimated by a model a VAR-VEC (Model autoregression Vector with error correction). The analysis period covers 1980 to 2010. The aim is to relate the weight of coal, capital and work with the Chinese GDP behavior. The capital variable was tested in two ways. The first model employed a variable capital constructed based on Conesa et al. (1999), while the second model used the gross formation of fixed capital, variable this commonly used for capital stock. The results of both models indicate that coal, capital and labor had a good explanatory power of the Chinese GDP growth in both models. However, the model with the built capital variable showed better results for the contemporary relations coefficients and impulse response elasticities. It was also observed that in both models, coal had a considerable importance in determining the Chinese GDP when analyzed by the impulse response function.
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Albuquerque, Junior Marcos Matos Brito de. "Geração de valor: incorporação e fusão em uma empresa de engenharia consultiva. Um estudo de caso com a empresa ARCADIS." reponame:Repositório Institucional da UFC, 2014. http://www.repositorio.ufc.br/handle/riufc/15222.
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ALBUQUERQUE JUNIOR, Marcos Matos Brito de. Geração de valor: incorporação e fusão em uma empresa de engenharia consultiva. Um estudo de caso com a empresa ARCADIS. 2014. 93f. Dissertação (mestrado profissional) - Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza-Ce, 2014.Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2016-02-18T20:04:26Z No. of bitstreams: 1 2014_dissert_mmbalbuquerquejunior.pdf: 1564259 bytes, checksum: 80df7056ab046c33b07349dba461a0ea (MD5)
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The object of this dissertation is to analyze the influence of net revenue, total shareholders' equity and long-term debt on the profitability of the value of the shares of ARCADIS, by applying methods of time series, such as unit root test, test Johansen cointegration, the vector autoregression model (VAR), vector error correction (VEC), impulse response and variance decomposition of forecast errors function. The database is quarterly from January 2000 to December 2012 According to the Johansen cointegration test, the results indicate that the series that have unit roots are all integrated of order one in level and show a relationship term between them. The coefficients in the estimated model is presented according to the literature;can also observe that the tests demonstrated a strong influence of net revenue on the share value when compared with the other variables. From the evaluations performed in this study, it can be stated that the variables are relevant to explain the variations over time in the dependent variable value of the share on the stock exchange. That paper presents an analysis of the evolution of consulting engineering companies and the increasing degree of internationalization. Highlights the relevance of the study compared with the purpose of understanding the growth of the company ARCADIS in consulting engineering and project management segment. And since expanded its market competitiveness.
O objeto dessa dissertação é analisar a influência da receita líquida, patrimônio líquido total e dívidas de longo prazo sobre a rentabilidade do valor das ações da ARCADIS, através da aplicação de métodos de séries de tempo, tais como, teste de raiz unitária, teste de cointegração de Johansen, o modelo autorregressivo vetorial (VAR), vetor de correção de erros (VEC), função impulso-resposta e decomposição da variância dos erros de previsão. A base de dados é quadrimestral no período de janeiro de 2000 a dezembro de 2012. De acordo com o teste de cointegração de Johansen, os resultados indicam que as séries que apresentam raiz unitária são todas integradas de ordem um em nível e mostram uma relação de longo prazo entre elas. Os coeficientes obtidos no modelo estimado se apresentaram de acordo com a literatura. Pode-se observar também que os testes demonstraram uma forte influência da receita líquida sobre o valor da ação quando comparados com as outras variáveis. A partir das avaliações realizadas neste estudo, pode-se afirmar que as variáveis são relevantes para explicar as variações ocorridas no decorrer do tempo, na variável dependente valor da ação na bolsa de valores. O referido trabalho apresenta uma análise da evolução das empresas de engenharia consultiva e o crescente grau de internacionalização. Destaca-se a relevância do estudo de comparação com o propósito de entender o crescimento da empresa ARCADIS no segmento de engenharia consultiva e gerenciamento de projetos, além de analisar como se ampliou sua competitividade no mercado.
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Hadad, Junior Eli. "Um estudo econométrico do consumo e da renda agregados no Brasil." Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/534.
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Previous issue date: 2011-08-10The dissertation analyzes data of the Brazilian household consumption and income between the years 1947 and 2009. The study aims to evaluate to what extent the aggregate consumption of Brazilian household may approximate be a random walk. The dissertation uses Johansen's cointegration techniques (1988, 1991) and super exogeneity tests as proposed by Engle and Hendry et al. (1983). The dissertation attempts to evaluate whether interventions that affect consumption will impact the dynamics of aggregate income. These interventions can occur through credit policies and tax changes, among other macroeconomic shocks. Finally, a decomposition is made following the methodology proposed by Gonzalo-Granger (1995) and evaluating the importance of shocks in permanent and temporary changes in consumption.
A dissertação analisa os dados de consumo e renda das famílias brasileiras entre os anos de 1947 e 2009. O trabalho visa avaliar em que medida o consumo agregado das famílias brasileiras pode ser bem aproximando a partir de um passeio aleatório puro. O trabalho utiliza técnicas de cointegração de Johansen (1988, 1991) e testes de super exogeneidade na forma proposta por Hendry, Engle et al. (1983). A dissertação procura avaliar se intervenções que afetam o consumo das famílias geram impacto na dinâmica da renda agregada das mesmas. Tais intervenções podem ser por políticas de crédito, alterações tributárias, choque macroeconômicos entre outras. Por fim uma decomposição entre fatores permanentes e transitórios será feita pela metodologia proposta por Gonzalo-Granger (1995) com o objetivo de avaliar-se a importância dos choques permanentes e transitórios para as variações do consumo.
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MindÃllo, Marlene Guilherme. "O setor exportador cearense: uma anÃlise do impacto da taxa de cÃmbio e da renda mundial." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11980.
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nÃo hÃEm um contexto no qual os mercados estÃo mais unificados entre os paÃses, a estabilidade na conjuntura econÃmica de uma naÃÃo torna-se um determinante para o desempenho do comÃrcio internacional, de onde as polÃticas econÃmicas adotadas pelos governos influenciam diretamente o desempenho das exportaÃÃes, ora retraindo, ora expandindo o seu desempenho. A taxa de cÃmbio e a renda mundial, como determinantes do desempenho da exportaÃÃo, tÃm sidos discutidos ao longo dos anos e vÃm merecendo bastante atenÃÃo por parte dos agentes econÃmicos, pois seu incremento pode significar maior geraÃÃo de renda e emprego. Diante disso, este trabalho propÃe-se caracterizar o perfil do setor de exportaÃÃo do Cearà e testar a possÃvel relaÃÃo de existÃncia no longo prazo, bem como o grau de influÃncia, das variÃveis taxa de cÃmbio e renda mundial sobre o desempenho das exportaÃÃes do estado do Cearà para o perÃodo de 2000 a 2012. A metodologia adotada consiste na utilizaÃÃo do modelo VAR mais completo denominado de vetor e correÃÃo de erros (VECM). Os resultados apontam que, no longo prazo, a taxa de cÃmbio e a renda mundial sÃo relevantes para explicar oscilaÃÃes ocorridas na variÃvel dependente exportaÃÃo. Por outro lado, no curto prazo, a anÃlise apresentou certa defasagem de tempo para que os desequilÃbrios ocorridos no curto prazo sejam corrigidos no longo prazo. Comportamento idÃntico se verificou na utilizaÃÃo da funÃÃo impulso resposta e na decomposiÃÃo da variÃncia do erro.
In a context where markets are more unified between countries, the stability of the economic situation of a nation becomes a crucial factor for the performance of international trade, where the economic policies adopted by governments directly influence the performance of exports, now retracting, now expanding its performance. The exchange rate and world income as determinants of export performance, solids have discussed over the years and deserve close attention on the part of economic agents, because its increase can mean greater income generation and employment. Thus, this study aims to characterize the profile of the export sector in Cearà and test the possible relationship of existence in the long term as well as the degree of influence of the variables exchange rate and world income on the export performance of the state Cearà for the period 2000-2012. The methodology of this study adopted the most comprehensive VAR model called vector and error correction (VEC). The results show that, in the long run, the exchange rate and world income are relevant to explain oscillations in export dependent variable. On the other hand, in the short term, the analysis showed some lag time for imbalances occurring in the short term will be corrected in the long run. Identical behavior was found in the use of impulse response functions and variance decomposition of the error.
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Soto, Paula Andrea. "Arbitragem estatística no mercado brasileiro de ações: uma abordagem por VECM." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16990.
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Ao modelar séries de preços de ativos financeiros, a prática usual é tomar a primeira diferença das séries, e trabalhar assim com retornos ou logretornos. Utilizando VECM (Vector Error Correction Models, em inglês), torna-se possível trabalhar diretamente com as séries sem diferenciar, o que possibilita o estudo de tendências comuns e cointegração. Este trabalho utiliza VECM para gerar estratégias de arbitragem estatística no mercado brasileiro de ações. Tendências comuns são identificadas por PCA (Principal Components Analysis, em inglês, ou análise de componentes principais, em português) e os resultados foram utilizados para definir portfólios cointegrados. Foram propostos dois métodos de geração de sinais para estratégias de trading do tipo longshort. Um total de cinco diferentes estratégias de trading foram simuladas e a existência de arbitragem estatística em cada caso foi testada pelo teste proposto em (JARROW et al., 2012). Conclui-se que, ao considerar séries de preços não diferenciadas, a metodologia abordada permite identificar e modelar candidatos de portfólios cointegrados. Quando bem calibradas, as estratégias testadas geram ganhos significativos em todos os portfólios.
Common practice for modelling stock prices is to use their differences in form of returns or logreturns. Using VECM (Vector Error Correction Models), it is possible to work with the series of prices without differentiation, which allows looking into common trends and cointegration. This work uses VECM to create trading strategies for the Brazilian stock market. Common trends are obtained using PCA (Principal Components Analysis) and prices are modelled using VECM. Five longshort-type trading strategies are simulated in diversified portfolios, and tested for statistical arbitrage using the test proposed by (JARROW et al., 2012). The methodology for identifying common trends and modelling prices allows for trading strategies with good results for all portfolios.
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Korucu, Gumusoglu Nebile. "Modelling Nonlinearities In European Money Demand: An Application Of Threshold Cointegration Model." Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615635/index.pdf.
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The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This thesis employs both linear and nonlinear estimation methods to investigate the relationship between money demand, GDP, inflation and interest rates for the Euro Area over the period 1980-2010. The aim of this thesis is to compare the European money demand in linear and nonlinear framework. First a vector autoregression (VAR) model has been estimated. Then a threshold cointegration model has been employed and nonlinearity properties of the money demand relationship has been investigated. In contrast to the existing empirical literature, linear VEC model can find evidence of stability, however it has some conflicting results which can be explained by the nonlinearity of the model. Empirical results of MTAR type threshold cointegration specification verifies the nonlinearity in European money demand. The adjustment coefficient of lower regime suggests faster adjustment towards long run equilibrium compared to upper regime in nonlinear model. Moreover, the nonlinear model presents better fit to economic literature than linear model for European money demand.
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Sax, Kaijser Per. "Tobin’s Q theory and regional housing investment : Empirical analysis on Swedish data." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226661.
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This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.
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Schmidt, Ludwig. "Monetary Policy Implications Through a VEC Model." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172820.
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This paper examines the effects of adjustments in the key policy rate, included as the interbank rate, on the Swedish household sector debt from the second quarter of 2000 to the third quarter of 2019. The effect is examined through a Vector Error-Correction (VEC) model to determine if it provides results that are aligned with the given theory. The research question is “Does an increase in the repo rate temporarily decrease the Swedish household sector debt?”. The theory suggests that an increase in the policy rate will have a short-run negative effect on household debt. To short-run effect the economy and the inflation is also the intention of the central bank of Sweden, called Riksbanken. With regards to the short-run dynamics, the previous researchers have constructed quite simple models of estimation and concluded contradictory results. The VECM distinguish from the previous models by a long-run equilibrium. The model concludes a short-run negative effect on debt for an increase in the policy rate, with an insignificant long-run equilibrium. By regard to this, the findings of this paper agree with the given theory. The ongoing increase in the policy rate conducted by Riksbanken can be justified by this paper.
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Tao, Juan. "A re-examination of the relationship between FTSE100 index and futures prices." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8071.
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This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.
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Sun, Lixin. "Monetary transmission mechanisms and the macroeconomy in China : VAR/VECM approach and Bayesian DSGE model simulation." Thesis, University of Birmingham, 2011. http://etheses.bham.ac.uk//id/eprint/2900/.
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In this thesis, by employing VAR/VECM approach and Bayesian Dynamic Stochastic General Equilibrium (DSGE) Model we have studied and tested the transmission mechanisms of China’s monetary policy and measured the effects of the monetary policy shocks and other exogenous macro shocks on the real macro economy to uncover the attributes of China’s business cycle. On the basis of the specified VAR/VEC Models, a bank lending channel, an interest rate channel and an asset price channel have been identified by using the time series (monthly) data of banks balance sheet variables (deposits, loans, securitises) across bank categories (aggregate banks, state banks, non-state banks) and the macroeconomic variables (output, CPI inflation, exports, imports, foreign exchange reserves) from 1996 to 2006. We’ve estimated a benchmark Bayesian DSGE Model with Taylor’s Rule and a modified Smets-Wouters Model with money growth rule by using China’s quarterly data from 1996 to 2006 to simulate the business cycle. The estimated values of the parameters demonstrate many unique features of China’s economy and policies operations. We find that investment and preference shocks drive the forecasted GDP variance in the long run in Taylor’s rule model, but in the money growth rule model, the main contributions to the variations of the output are government expenditure, preference and productive shocks.
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OLIVEIRA, A. B. "Modelo de Predição para análise comparativa de Técnicas Neuro-Fuzzy e de Regressão." Universidade Federal do Espírito Santo, 2010. http://repositorio.ufes.br/handle/10/4218.
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Previous issue date: 2010-02-12Os Modelos de Predição implementados pelos algoritmos de Aprendizagem de Máquina advindos como linha de pesquisa da Inteligência Computacional são resultantes de pesquisas e investigações empíricas em dados do mundo real. Neste contexto; estes modelos são extraídos para comparação de duas grandes técnicas de aprendizagem de máquina Redes Neuro-Fuzzy e de Regressão aplicadas no intuito de estimar um parâmetro de qualidade do produto em um ambiente industrial sob processo contínuo. Heuristicamente; esses Modelos de Predição são aplicados e comparados em um mesmo ambiente de simulação com intuito de mensurar os níveis de adequação dos mesmos, o poder de desempenho e generalização dos dados empíricos que compõem este cenário (ambiente industrial de mineração).
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Ellwanger, Kim. "Análise da eficiência do regime de metas de inflação: um estudo em países da América Latina." Universidade do Vale do Rio dos Sinos, 2016. http://www.repositorio.jesuita.org.br/handle/UNISINOS/6027.
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CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
O objetivo deste trabalho é investigar o desempenho da política monetária com o regime de metas de inflação em cinco países da América Latina, no período entre 2002 a 2014. Os países são Brasil, Chile, Colômbia, México e Peru. As taxas de inflação têm sido baixas e as variáveis econômicas reais, como o crescimento econômico e a taxa de desemprego, têm sido satisfatórias. Estima-se um modelo vetorial de correção de erros (VAR/VEC) para cada país, com a intensão de se analisar o impacto da taxa de juros nas demais variáveis. As evidências empíricas encontradas nesse estudo sugerem que para o Brasil e o Chile a taxa de câmbio é um importante canal de transmissão da política monetária. De acordo com a análise de decomposição da variância, os fatores que influenciam a taxa de inflação são diferentes para as cinco economias. A análise na taxa de inflação revela que a taxa de juros é importante para explicar a taxa de inflação no Brasil e no México; já no Chile, México e Peru a taxa de inflação está fortemente associada a sua própria dinâmica. A taxa de juros demonstrou ser mais eficaz no Chile, México e Peru para controlar e reduzir as pressões inflacionárias. No período, os países obtiveram ganhos expressivos no que se refere ao crescimento econômico e também na diminuição da taxa de desemprego, e a taxa de inflação tem sido controlada. Indicando que este regime monetário tem apresentado resultados positivos para as economias selecionadas.
The objective of this study is to investigate the monetary policy performance with inflation targeting regime in five Latin American countries, between 2002 and 2014. The countries are Brazil, Chile, Colombia, Mexico and Peru. Inflation rates have been low and real economic variables, such as economic growth and the unemployment rate, have been satisfactory. A vector error correction model (VAR / VEC) is estimated for each country, with the aim of analyzing the impact of the interest rate on the other variables. The empirical evidence in this study suggests that, for Brazil and Chile, the exchange rate is an important transmission channel for monetary policy. According to the analysis of variance decomposition, the factors that influence the inflation rate are different for the five economies. The analyses in the inflation rate reveals that the interest rate is important to explain the inflation rate in Brazil and Mexico; however, in Chile, Mexico and Peru inflation rate is strongly associated with its own dynamics. The interest rate has proven to be more effective in Chile, Mexico and Peru to control and reduce inflationary pressures. During the period, the countries obtained significant gains in terms of economic growth, reduction of the unemployment rate, and the inflation rate has been controlled it. Indicating that this monetary regime has presented positive results for the selected economies.
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Pinheiro, Daniel Nobre Martins. "Credit to the private sector and financial crisis: survey of the literature and evidences from the 2015-16 Brazilian crisis." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24917.
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O presente trabalho analisa a influência do crédito ao setor privado no ciclo de crédito experimentado pela economia brasileira entre 2003 e 2017. A motivação advém das mais recentes contribuições teóricas e empíricas publicadas após a crise financeira global sobre o papel dos aceleradores financeiros e mecanismos de transmissão em gerar fragilidades financeiras de caráter sistêmico. Conclusões em Adrian e Shin (2010) serão o ponto de partida, onde fatores que impactam o capital de intermediários financeiros operam como importantes canais de propagação de choques. A forte expansão do setor financeiro naquele período, junto a um crescimento sem precedentes do endividamento do setor privado, provém um cenário propício para testar este insight. Um modelo de Vetor de Correção de Erros (VECM) será estimado para identificar tendências comuns entre variáveis reais e financeiras, assim como identificar impactos decorrentes de choques e causalidade entre variáveis associadas a crédito, alavancagem, atividade, colaterais e oferta de fundos. Desta forma, a pesquisa espera contribuir à compressão daquele episódio, assim preenchendo um vácuo no debate polarizado entre aqueles que vêm o país como vítima de condições internacionais adversas, e outros que responsabilizam uma longa história de políticas econômicas equivocadas pela crise.
This monograph evaluates the role played by the credit to the private sector on the boom-bust cycle experienced by the Brazilian economy between 2003-2017. The study is motivated by recent theoretical and empirical contributions arriving after the Global Financial Crisis on the role played by financial accelerators and transmission channels in driving systemic financial fragility. It departs from a key insight from Adrian and Shin (2010) where factors affecting the equity base of financial intermediaries operate as a powerful transmission channel for shocks. The strong expansion of the financial activities during the period, coupled with the unprecedent growth of debt and leverage of the non-financial private sector, provide a promising scenario to test that insight. A Vector Error Correction Model (VECM) will be applied to identify common trends on financial and real variables to help to identify effects from shocks and causalities comprising variables related to debt, leverage, activity, collaterals, and funds supply. Thus, it aims at shedding new lights on the comprehension of that episode, so filling a gap on this debate polarized between those who see Brazil as a victim of a stressed global economy, and others who blame a long account of derailing economic policies in driving this fate.
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Cardoso, Wilson Lira. "O BNDES é contracíclico? Uma análise da instituição no período de 1999 a 2012." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/96/96131/tde-18082014-105523/.
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A crise mundial de 2008 ressaltou um caráter importante desempenhado pelos Bancos Públicos de Desenvolvimento: a sua política anti-cíclica. Como previsto para instituições financeiras públicas na teoria keynesiana, esses orgãos passam a aumentar o número de empréstimos concedidos e injetar mais dinheiro em momentos de queda geral da atividade econômica. No caso do Brasil, uma parte dos autores defende que a atuação contra-cíclica do BNDES foi benéfica para a manutenção da liquidez na economia durante os períodos de turbulência econômica. Já outros autores defendem que a intervenção Estatal pelo BNDES provoca um efeito crowding-out sobre o crédito, inibindo a formação de um mercado de crédito privado de longo prazo. O Objetivo do trabalho é fazer uma análise objetiva da trajetória do BNDES de 1999 a 2012, procurando discernir se a sua atuação ao longo desse período pode ser efetivamente caracterizada, como defende o governo e a própria instituição, como contra-cíclica. Para efetuar esse trabalho usaremos métodos econométricos de séries temporais a partir de dados de série de variáveis macroeconômicas agregadas para uma análise quantitativa do comportamento do BNDES ao longo desse período. Juntamente com isso, será feita também uma analise qualitativa das séries históricas com o objetivo de qualificar e interpretar economicamente tanto os dados, quanto os resultados obtidos.The Global Financial Crisis of 2008 underscored an important characteristic played by Public Development Banks: its anti-cyclical policy. As regarded for Public Financial Institutions in Keynesian theory, those institutions increase their volume of loans and inject more money in periods of general economic downturn. In Brazil, some authors argue that the counter- cyclical role of BNDES was beneficial to maintain liquidity in the economy during periods of economic turmoil. On another hand, others authors stand that State intervention by BNDES causes a crowding-out effect on credit, inhibiting the formation of a private market for long-term credit. The goal of this dissertation is to write an objective analysis of the trajectory of BNDES from 1999 to 2012, seeking to discern whether its activity during this period can be effectively characterized, like the government and the institution itself arms, as countercyclical. In order to do that, we are going to use time series econometric methods based on data series of aggregate macroeconomic variables for a quantitative analysis of the BNDES\'s behavior over that period. Along with this, we also made a qualitative analysis of the time series in order to qualify and interpret both economic data and the obtained results.
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Pinto, André Luiz Mofato, Ricardo de Oliveira Cavalcanti, Maurício Canêdo Pinheiro, and Rodrigo Leandro de Moura. "O impacto dos gastos com publicidade nas vendas das firmas: avaliação empírica." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11810.
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This study aims to estimate an empirical model to relate spending on advertising revenues of firms, in order to serve as a tool for decision making, for it will study a case of telecommunications industry. The communication industry (advertising) in Brazil, according to IBGE 2008, is responsible for 4% of GDP, generating revenues of 57.5 billion dollars. With 113,000 businesses that generate 711,000 jobs, 866,000 people occupy and pay 5.9 billion in wages and taxes. However, most marketing managers say they do not have tools to measure the impact of their actions on the results of companies. The empirical model is estimated on the basis of monthly data for domestic long distance of Embratel for the period January 2009 to December 2011. The information often not available could only be used due to confidentiality undertaking. From cointegration techniques, we calculated the long-run elasticity of income over spending on advertising and price, so with their speed of adjustment to short-term deviations. The results suggest that revenue responds positively to changes in advertising spending, although the percentage is relatively low. Through the Dorfman-Steiner theorem we’re able to indicate that the optimum relationship between advertising spending and revenue would be approximately 20%, subjected to limitations of the model.
Este trabalho tem por objetivo estimar um modelo empírico para relacionar os gastos em publicidade com a receita das firmas, de forma a servir como ferramenta de tomada de decisão, para isso vamos fazer um estudo de caso da indústria de telecomunicações. A Indústria de comunicação (publicidade) no Brasil, segundo dados do IBGE de 2008, é responsável por 4% do PIB, gerando receitas da ordem 115 bilhões de reais. Com 113 mil empresas que geram 711 mil empregos, ocupam 866 mil pessoas e pagam 11,8 bilhões em salários e encargos. No entanto, a maioria dos gestores de marketing declara não ter instrumentos para medir o impacto de suas ações no resultado das empresas. O modelo empírico será estimado tendo como base dados mensais dos serviços de ligações de longa distância nacional da Embratel para o período de janeiro de 2009 até dezembro de 2011. As informações quase sempre não disponíveis, só puderam ser usadas devido ao compromisso de confidencialidade. A partir de técnicas de cointegração, foi calculada a elasticidade de longo prazo da receita em relação aos gastos com publicidade e ao preço, assim com as respectivas velocidades de ajustamento aos desvios de curto prazo. Os resultados sugerem que a receita responde positivamente às variações dos gastos em publicidade, embora o percentual seja relativamente baixo, através do teorema de Dorfman-Steiner conseguimos indicar que o ponto ótimo da relação entre gastos com publicidade e a receita seria de aproximadamente 20%, respeitadas as limitações do modelo.
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Ramanauskaitė, Giedrė. "Stress testing in credit risk analysis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080620_110415-38466.
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The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroeconomic conditions. For this reason, models that include macroeconomic impact were presented. Vector autoregression and vector error correction model were tested using the empirical data received from Swedish central bank, Swedish statistics and Eurostat. For financial stability it is worth using vector autoregression or vector error correction model as they describe the macroeconomic environment in the most suitable way and they are appropriate for shock analysis by showing how the impact of any factor can change the whole system. Structure: introduction, main part (credit risk, methods and empirical analysis), publication, conclusions, references. Thesis consists of: 50 p. text without appendices, 13 pictures, 11 tables, 26 bibliographical entries. Appendices included.Kredito įstaigų priežiūros institucijos nepateikia komerciniams bankams kokius metodus jie turėtų naudoti testavime nepalankiomis sąlygomis. Tiriamasis darbas buvo atliktas tuo tikslu, kad būtų išsiaiškinta kokie matematiniai ir statistiniai metodai yra ir gali būti naudojami kredito rizikos vertinime testuojant nepalankiomis sąlygomis. Kredito rizika yra viena iš didžiausių finansinių rizikų su kuria bankai susiduria. Testavimas nepalankiomis sąlygomis yra kredito rizikos vertinimo įrankis, padedantis nustatyti įvykių, kurių realizavimosi tikimybės yra mažos, tačiau jiems įvykus, bankai patirtų reikšmingus nuostolius, pasekmes. Šis tyrimas nustatė, jog labiausiai tikėtinas įvykis gali būti ypatingai nepalankios ekonominės sąlygos. Dėl šios priežasties darbe yra pristatyti metodai, kurie įvertina makroekonominių veiksnių įtaką. Vektorinė autoregresija ir vektorinis paklaidų korekcijos modelis buvo patikrinti naudojant Švedijos centrinio banko, Švedijos statistikos departamento ir Eurostat empirinius duomenis. Finansinio stabilumo įvertinimui vertėtų naudoti vektorinį autoregresijos ar vektorinį paklaidų korekcijos modelius, nes šie modeliai geriausiai aprašo ekonominę aplinką bei yra labai tinkami šokų analizei, kadangi įvertina bet kurio veiksnio įtaką visai sistemai. Struktūra: įvadas, pagrindinė dalis (kredito rizika, metodai ir empirinė analizė), publikacija, išvados, literatūros sąrašas. Tiriamasis darbas sudarytas iš: 50 psl. teksto be priedų, 13 paveikslų, 11... [toliau žr. visą tekstą]
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Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.
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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste.Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.
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Tourism is currently the third largest industry within South Africa. Many African countries, including
South Africa, have the potential to achieve increased economic growth and development with the aid of
the tourism sector. As tourism is a great earner of foreign exchange and also creates employment
opportunities, especially low–skilled employment, it is identified as a sector that can aid developing
countries to increase economic growth and development. Accurate forecasting of tourism demand is
important due to the perishable nature of tourism products and services. Little research on forecasting
tourism demand in South Africa can be found. The aim of this study is to forecast tourism demand
(international tourist arrivals) to South Africa by making use of different causal models and to compare
the forecasting accuracy of the causal models used. Accurate forecasts of tourism demand may assist
policy–makers and business concerns with decisions regarding future investment and employment.
An overview of South African tourism trends indicates that although domestic arrivals surpass foreign
arrivals in terms of volume, foreign arrivals spend more in South Africa than domestic tourists. It was
also established that tourist arrivals from Africa (including the Middle East), form the largest market of
international tourist arrivals to South Africa. Africa is, however, not included in the empirical analysis
mainly due to data limitations. All the other markets namely Asia, Australasia, Europe, North America,
South America and the United Kingdom are included as origin markets for the empirical analysis and
this study therefore focuses on intercontinental tourism demand for South Africa.
A review of the literature identified several determinants of tourist arrivals, including income, relative
prices, transport cost, climate, supply–side factors, health risks, political stability as well as terrorism
and crime. Most researchers used tourist arrivals/departures or tourist spending/receipts as dependent
variables in empirical tourism demand studies.
The first approach used to forecast tourism demand is a single equation approach, more specifically an
Autoregressive Distributed Lag Model. This relationship between the explanatory variables and the
dependent variable was then used to ex post forecast tourism demand for South Africa from the six
markets identified earlier. Secondly, a system of equation approach, more specifically a Vector
Autoregressive Model and Vector Error Correction Model were estimated for each of the identified six
markets. An impulse response analysis was undertaken to determine the effect of shocks in the
explanatory variables on tourism demand using the Vector Error Correction Model. It was established that it takes on average three years for the effect on tourism demand to disappear. A variance
decomposition analysis was also done using the Vector Error Correction Model to determine how each
variable affects the percentage forecast variance of a certain variable. It was found that income plays an
important role in explaining the percentage forecast variance of almost every variable. The Vector
Autoregressive Model was used to estimate the short–run relationship between the variables and to ex
post forecast tourism demand to South Africa from the six identified markets.
The results showed that enhanced marketing can be done in origin markets with a growing GDP in
order to attract more arrivals from those areas due to the high elasticity of the real GDP per capita in the
long run and its positive impact on tourist arrivals. It is mainly up to the origin countries to increase
their income per capita. Focussing on infrastructure development and maintenance could contribute to
an increase in future tourist arrivals. It is evident that arrivals from Europe might have a negative
relationship with the number of hotel rooms available since tourists from this region might prefer
accommodation with a safari atmosphere such as bush lodges. Investment in such accommodation
facilities and the marketing of such facilities to Europeans may contribute to an increase in arrivals from
Europe. The real exchange rate also plays a role in the price competitiveness of the destination country.
Therefore, in order for South Africa to be more price competitive, inflation rate control can be a way to
increase price competitiveness rather than to have a fixed exchange rate.
Forecasting accuracy was tested by estimating the Mean Absolute Percentage Error, Root Mean Square
Error and Theil’s U of each model. A Seasonal Autoregressive Integrated Moving Average (SARIMA)
model was estimated for each origin market as a benchmark model to determine forecasting accuracy
against this univariate time series approach. The results showed that the Seasonal Autoregressive
Integrated Moving Average model achieved more accurate predictions whereas the Vector
Autoregressive model forecasts were more accurate than the Autoregressive Distributed Lag Model
forecasts. Policy–makers can use both the SARIMA and VAR model, which may generate more
accurate forecast results in order to provide better policy recommendations.Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.
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Bohlandt, Florian Martin. "Single manager hedge funds - aspects of classification and diversification." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85859.
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Thesis (PhD)--Stellenbosch University, 2013.A persistent problem for hedge fund researchers presents itself in the form of inconsistent and diverse style classifications within and across database providers. For this paper, single-manager hedge funds from the Hedge Fund Research (HFR) and Hedgefund.Net (HFN) databases were classified on the basis of a common factor, extracted using the factor axis methodology. It was assumed that the returns of all sample hedge funds are attributable to a common factor that is shared across hedge funds within one classification, and a specific factor that is unique to a particular hedge fund. In contrast to earlier research and the application of principal component analysis, factor axis has sought to determine how much of the covariance in the dataset is due to common factors (communality). Factor axis largely ignores the diagonal elements of the covariance matrix and orthogonal factor rotation maximises the covariance between hedge fund return series. In an iterative framework, common factors were extracted until all return series were described by one common and one specific factor. Prior to factor extraction, the series was tested for autoregressive moving-average processes and the residuals of such models were used in further analysis to improve upon squared correlations as initial factor estimates. The methodology was applied to 120 ten-year rolling estimation windows in the July 1990 to June 2010 timeframe. The results indicate that the number of distinct style classifications is reduced in comparison to the arbitrary self-selected classifications of the databases. Single manager hedge funds were grouped in portfolios on the basis of the common factor they share. In contrast to other classification methodologies, these common factor portfolios (CFPs) assume that some unspecified individual component of the hedge fund constituents’ returns is diversified away and that single manager hedge funds should be classified according to their common return components. From the CFPs of single manager hedge funds, pure style indices were created to be entered in a multivariate autoregressive framework. For each style index, a Vector Error Correction model (VECM) was estimated to determine the short-term as well as co-integrating relationship of the hedge fund series with the index level series of a stock, bond and commodity proxy. It was postulated that a) in a well-diversified portfolio, the current level of the hedge fund index is independent of the lagged observations from the other asset indices; and b) if the assumptions of the Efficient Market Hypothesis (EMH) hold, it is expected that the predictive power of the model will be low. The analysis was conducted for the July 2000 - June 2010 period. Impulse response tests and variance decomposition revealed that changes in hedge fund index levels are partially induced by changes in the stock, bond and currency markets. Investors are therefore cautioned not to overemphasise the diversification benefits of hedge fund investments. Commodity trading advisors (CTAs) / managed futures, on the other hand, deliver diversification benefits when integrated with an existing portfolio. The results indicated that single manager hedge funds can be reliably classified using the principal factor axis methodology. Continuously re-balanced pure style index representations of these classifications could be used in further analysis. Extensive multivariate analysis revealed that CTAs and macro hedge funds offer superior diversification benefits in the context of existing portfolios. The empirical results are of interest not only to academic researchers, but also practitioners seeking to replicate the methodologies presented.
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JÃnior, Manoel Pedro da Costa. "tÃtulo âIntegraÃÃo Espacial dos Mercados Brasileiros Exportadores de Mel Natural no Brasil: abordagem utilizando cointegraÃÃo com threshold." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7558.
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FundaÃÃo de Amparo à Pesquisa do Estado do CearÃA pesquisa objetivou investigar o processo de cointegraÃÃo espacial entre os principais mercados brasileiros exportadores de mel natural: Rio Grande do Sul, Santa Catarina, PiauÃ, Cearà e SÃo Paulo. Foram utilizados dados secundÃrios obtidos diretamente da base de dados do MinistÃrio de Desenvolvimento, IndÃstria e ComÃrcio Exterior, compreendendo a sÃrie de tempo entre janeiro de 2002 a julho de 2011. Para investigar as relaÃÃes entre os mercados supracitados, fez-se uso de metodologia baseada nas premissas da Lei do PreÃo Ãnico â LPU e modelagem que considera a presenÃa de custos de transaÃÃo. Os resultados indicam que, apesar da confirmaÃÃo da existÃncia de cointegraÃÃo entre os mercados brasileiros exportadores de mel natural, a LPU nÃo foi totalmente confirmada, uma vez que se rejeitou a hipÃtese nula de perfeita integraÃÃo espacial entre os mercados. O teste de exogeneidade fraca indica que o mercado de mel natural do Rio Grande do Sul atua como mercado central na formaÃÃo de preÃos. Hà a presenÃa de custos de transaÃÃo entre quase todos os mercados espacialmente separados, pois, segundo os resultados oriundos da modelagem threshold, rejeitou-se a hipÃtese nula de ajuste linear e simÃtrico entre os mercados investigados.
This study investigated the process of cointegration space between the main markets Brazilian exporters of natural honey Rio Grande do Sul, Santa Catarina, PiauÃ, Cearà and SÃo Paulo. Secondary data obtained directly from the database of the MinistÃrio de Desenvolvimento, IndÃstria e ComÃrcio Exterior, comprising the time series between January 2002 and July 2011. To investigate the relationship between the markets mentioned above, was made use of a methodology based on the premises of the Law of One Price- LPU and modeling that considers the presence of transaction costs. The results indicate that despite the confirmation of the existence of markets cointegration Brazilian exporting natural honey, the LPU has not been fully confirmed, since it is rejecting the null hypothesis of perfect integration space between the markets. The weak exogeneity test indicates that the market for natural honey of Rio Grande do Sul acts asthe central market pricing. There is the presence of transaction costs between almost allspatially separated markets, because, according to the results from the modelingthreshold, rejected the null hypothesis of linear and symmetric adjustment between markets investigated.
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Marklund, Therese. "Vem är chefen och vem är medarbetaren i tillitsbaserad styrning och ledning? : En analys av offentliga organisationers styrfilosofi." Thesis, Umeå universitet, Pedagogiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173194.
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I den här dokumentanalysen har offentliga verksamheters medarbetar- och ledarpolicys analyserats i syfte att genom en kvalitativ innehållsanalys undersöka hur tillit och styrning uttrycks i policy. Utifrån syftet togs två forskningsfrågor fram: 1) Om och i så fall på vilket sätt är tillit synligt i dessa policys? 2) Vem är chefen och vem är medarbetaren i dessa dokument? För att besvara syftet analyserades 15 policys från kommuner, regioner och statliga verksamheter. Resultatet visar att tillit är synligt genom att verksamheterna utgår från kärnverksamheterna och att medarbetarens kompetenser lyfts fram som viktiga verktyg för att nå nöjda kunder och leverera en bra välfärd. Enlig policyerna är medarbetarna professionella genom att vara en ansvarstagande medskapare som är rak och tydlig med sina medarbetare och har kunden i centrum. Ledaren i verksamheterna är lyhörda genom tydlighet i sin kommunikation, de är måluppfyllare och möjliggörare samtidigt som de agerar som förebilder för sina medarbetare och har tillit till deras förmågor.In this document analysis, public sector employees and management policies have been analyzed in order to investigate how trust and leadership are expressed in policy through a qualitative content analysis. Based on the purpose, two research questions were raised: 1) If and if so, in what way is thrustbased leadership visible in these policies? 2) Who is the manager and who is the co-worker in these documents? To answer the purpose, 15 different policies from municipalities, regions and government agencies were analyzed. The result shows that trust is visible through the fact that the operations are based on the core operations and the co-workers skills are highlighted as important tools for reaching satisfied customers and delivering good welfare. In accordance with the policies, the co-workers are professional by being a responsible co-creator who is straightforward and clear with their coworkers and has the customer at the center. The leaders are responsive in the operations and clear in their communication, they are goal fulfillers and enablers while at the same time acting as role models for their employees and having confidence in their abilities.
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Mvita, Mpinda Freddy. "The impact of dividend policy on shareholders' wealth : evidence from the Vector Error Correction Model." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/31010.
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Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the cointegrated variables towards their equilibrium values in South Africa. This study attempts to explain the effect of dividend policy on the market price per share. A sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) was selected for the period 1995-2010. Three variables were used, namely the market price per share, the dividend per share and the earnings per share. The market price per share was used as a proxy in measuring shareholders’ wealth and the dividend per share was used as a proxy in measuring the dividend policy. Fixed and random effects models were applied to panel data to determine the relation between dividend policy and market price per share. The fixed effects method was used to control the stable characteristics of the companies over a fixed period. The random effects model was applied when the companies’ characteristics differed. Results for both models indicated that dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share. To test the strength of the long-run relationship, the VECM was applied. The coefficient for dividend per share in the co-integrating equation was positive, while the coefficient for earnings per share was negative. This confirms previous research findings. The results suggest that there is a long-run relationship between dividend per share and market price per share. The Granger causality test indicates there is bi-directional Granger causality between market price per share and dividend per share in South Africa. Therefore dividend policy does have a significant long-run impact on the share price and therefore provides a signal about the company’s financial success.Dissertation (MCom)--University of Pretoria, 2012.
Financial Management
Unrestricted
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Mocelin, Douglas Martins. "Avaliação do comportamento à fadiga de misturas asfálticas quentes e mornas através do modelo de dano contínuo viscoelástico." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/181261.
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A fadiga é reconhecida historicamente como um dos principais mecanismos de degradação de pavimentos flexíveis, originando-se nas cargas repetidas de tráfego que geram tensões de tração na camada de concreto asfáltico, culminando na falha sucessiva das fibras. Estas tensões fazem com que, inicialmente, surjam microfissuras na zona inferior da camada, que evoluem para trincas e se propagam até que atinjam a superfície do revestimento, caracterizando a falha mecânica da estrutura. Apesar de no Brasil o dimensionamento oficial ainda não contemplar uma análise da fadiga destas camadas no dimensionamento de pavimentos novos, há um esforço de várias instituições na direção de compor um novo método mecanístico-empírico que o faça. Tradicionalmente os ensaios para avaliação da fadiga são feitos por compressão diametral, que reconhecidamente apresentam limitações no estado de tensões desenvolvido. O uso dos ensaios de tração direta associados à modelagem de dano se mostram como uma sólida ferramenta para avaliação dos parâmetros viscoelásticos, além de serem consideravelmente mais simples de realização do que, por exemplo, os ensaios de flexão. Desta forma, o presente trabalho teve por objetivo a implementação do protocolo de ensaios e análises para caracterização do dano de misturas asfálticas através do modelo Simplified-Viscoelastic Continuum Damage (S-VECD) Foram caracterizadas misturas asfálticas quentes e mornas com ligante convencional, modificado por polímero e com borracha. Após a modelagem do dano, foram geradas curvas de Wöhler e simuladas as diferentes misturas em uma estrutura de pavimento, com o software FLEXPave, utilizando dois critérios de ruptura, e . O critério baseado no apresentou uma melhor capacidade de previsão do comportamento das misturas deste trabalho. A mistura quente com polímero apresentou o melhor desempenho à fadiga, seguida da mistura quente com borracha e posteriormente da mistura morna com polímero. A mistura morna com ligante convencional apresentou melhor desempenho que a morna com asfalto borracha, enquanto a mistura quente com ligante convencional apresentou a menor vida de fadiga. O emprego do aditivo surfactante gerou efeito benéfico para a mistura com ligante convencional, enquanto para as misturas com ligantes modificados a vida de fadiga resultou em breve diminuição.Fatigue cracking is admittedly one of the key modes of distress in flexible pavements; its genesis relies on the repeated tensile stretches due to the continuous load application yielding to successive failure of the material’s fibers. Such ruptures combined create microcracks that grows into macrocracks and propagate to the pavement surface, characterizing the mechanic failure of the structure. Despite the current design method for new pavements in Brazil neglects fatigue analysis, there is a national effort of various institutions to draw a new mechanistic-empirical design method to tackle the problem. Traditionally, fatigue tests are carried out using diametral compression apparatus, even though they feature acknowledged limitations in its stress state distribution. Direct tension tests combined with damage modeling have proven to be a solid tool to viscoelastic parameters assessment, not to mention its rather simple test protocol when compared to other tests, such as flexural tests. Hence, this dissertation aims to implement the protocol for testing and analysis of damage characterization through Simplified Viscoelastic Continuum Damage (S-VECD) model Hot and warm mixtures with different binders were characterized. With the calibrated damage models, pavement simulations using FLEXPave software with two different failure criteria, and , can be performed. The failure criteria demonstrate a better prediction capability than the , for the analysed asphalt mixtures. The correlation of number of cycles to failure and the strain level (Wöhler curves) could also be assessed. The material and pavement level simulations show that the hot mixture with polymer-modified binder have better fatigue performance, followed by the hot mixture with rubber asphalt and the warm mixture with polymer-modified binder. The warm mixture with conventional binder have better performance than warm mixture with rubber asphalt, while the hot mixture with conventional binder have the worse fatigue performance. The surfactant additive for the warm mixes results in positive effects for fatigue performance on the mixture with conventional binder, while for the mixtures with modified binders the fatigue life decreases.
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Silva, Pedro Perfeito da. "Os efeitos da liberalização financeira externa sobre o desempenho macroeconômico brasileiro entre 1995 e 2014 : um estudo a partir dos modelos MS-VAR e VEC." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2016. http://hdl.handle.net/10183/147380.
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O presente trabalho busca avaliar os efeitos da liberalização financeira externa da economia brasileira sobre variáveis macroeconômicas como oferta de crédito ao setor privado, produto nominal, reservas internacionais, risco-país, taxa de juros e volatilidade cambial, no decorrer do período que vai de 1995 a 2014, por meio da estimação de dois modelos econométricos assentados em Vetores Autorregressivos: o primeiro com Mudanças Markovianas de Regime (MS-VAR), e o segundo com correção de erros vetorial (VEC). Além disso, realiza revisão da literatura teórica e empírica acerca da liberalização financeira externa e seus desdobramentos; apresenta os indicadores de abertura (ICC) - presente nos trabalhos de Cardoso e Goldfajn (1998), Soihet (2002), Laan (2007) e Cunha e Laan (2013), dentre outros - e de integração financeira (IIF); e expõe a história do processo brasileiro de liberalização financeira. No que tange aos resultados, ambas as metodologias econométricas apontam que: uma reversão do ciclo financeiro global impacta negativamente as duas dimensões da liberalização financeira externa da economia brasileira; um avanço da desregulamentação não gera efeitos significativos, o que contrasta com a posição favorável à plena conversibilidade da conta capital e financeira, defendida por Arida (2003a, 2003b, 2004); um aumento no grau de integração financeira engendra desdobramentos macroeconômicos problemáticos. No que tange ao modelo MS-VAR, sublinha-se que as consequências de um choque liberalizante são mais profundas em momentos de reversão do ciclo financeiro global, bem como que a endogeneidade dos controles, nos termos de Cardoso e Goldfajn (1998), é contingente à fase vigente do ciclo financeiro global. Quanto ao modelo VEC, destaca-se a precedência, no sentido de Granger, da variação da volatilidade financeira internacional frente à variação grau de integração financeira da economia brasileira, e deste frente à variação do risco-país. Conclui que, se não é possível descartar os benefícios da abertura financeira, há que se redobrar a atenção frente a seus riscos, considerando também as consequências negativas em termos de grau de integração financeira e a influência do ciclo financeiro global.This study aims to evaluate the external financial liberalization of the Brazilian economy on macroeconomic variables such as country risk, credit supply to the private sector, exchange rate volatility, interest rate, international reserves and nominal product, during the period from 1995 to 2014, by estimating two Vectors Autoregressive econometric models: the first with Markov-Switching (MS-VAR), and the second with Vector Error-Correction (VEC). In addition, this study aimed to: conduct a review of theoretical and empirical literature about external financial liberalization and its consequences; present financial opening index (ICC) - present in the work of Cardoso and Goldfajn (1998), Soihet (2002), Laan (2007) and Cunha and Laan (2013), among others - and financial integration index (IIF); and exposing the history of Brazilian process of financial liberalization. With respect to the results, both econometric methodologies show that: a reversal of the global financial cycle adversely impacts the two dimensions of external financial liberalization of the Brazilian economy; an advance of deregulation does not generate significant effects, in contrast to the position in favor of capital account full convertibility, advocated by Arida (2003a, 2003b, 2004); an increase in financial integration creates problematic macroeconomic developments. Regarding the MS-VAR model, it points out that the consequences of a liberalizing shock are deeper in times of reversal of global financial cycle and that the endogeneity of capital controls, from Cardoso and Goldfajn (1998), is contingent on current phase of the global financial cycle. Regarding the VEC model, there is precedence, in Granger terms, of the international financial volatility variation over the Brazilian economy financial degree variation, and from it to country risk variation. It is concluded that if it cannot be dismissed the benefits of financial openness, we must exercise caution against its risks, also considering the negative consequences in terms of financial integration degree and the influence of global financial cycle.
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Wahlund, Mathilda. "Vem är du? Vem är jag? – Charader i dagens medierade värld. En studie av identitetskonstruktionen på Facebook." Thesis, Uppsala University, Media and Communication, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9160.
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Abstract
Title: Who are you? Who am I? – Charades in the mediated world of today. A study of the construction of identity at Facebook.
(Vem är du? Vem är jag? – Charader i dagens medierade värld. En studie av identitetskonstruktionen på Facebook.)
Number of pages: 58 (66 including enclosures.)
Author: Mathilda Wahlund
Tutor: Ylva Ekström
Course: Media and Communication Studies C
Period: Fall 2007
University: Division of Media and Communication, Department of Information Science, Uppsala University.
Purpose/Aim: The aim is to study how people construct their own identities today. I want to understand and study how such a central thing as identity is being constructed, in a place which offers members to freely present themselves, the community Facebook.
Material/Method: Through Internet based interviews and observations I approach the inner worlds of my informants. Using semiotics I can detect underlying meanings. My theoretical base consists of modernist and postmodernist perspectives among others. Gidden’s theory of the self narrative, Butler’s queer theory, the theory of articulation represented by Stuart Hall, Gauntlett’s model of objects and intersectionality represented by Nina Lykke among others.
Main results: The main result is that people do not actively construct identity in one way on the Internet. They do it in several ways, deliberately and non deliberately. Identity construction today is very fragmented, like the world we live in. People choose their own ways to present themselves, and the ways they do it vary. But people are often aware of the fact that they do present themselves, they’ve just not been reflecting over who they present.
Key words: Identity, the self, the subject, construction of identity, modernity, postmodernity, Facebook, Giddens, Butler, queer theory, articulation, the model of objects, intersectionality, interviews, observation, semiotics.
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Daradic, Sandra. "Vem ska ha kontroll över Bosnien-Hercegovina? En historisk djupdykning i 1900-talets konflikter." Thesis, Halmstad University, School of Teacher Education (LUT), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-866.
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Föreliggande uppsats syftar till att undersöka hur fördelningen av och kontrollen över territorier i
Bosnien-Hercegovina har yttrat sig under valda tidsperioder. Fokus ligger dels på konfliktparterna
och dels på de externa aktörernas roll. Galtungs modell fungerar som verktyg då problematiken med
territoriell kontroll och oförenliga mål undersöks. Materialet till uppsatsen utgörs främst av
undersökningar gjorda av såväl historiker, statsvetare som konfliktforskare och sociologer, vilket
bidrar till att en helhetsbild erhålles. Uppsatsens undersökning börjar med en undersökning av
Daytonavtalets konflikthantering och sedan går den över till 1914-1918, perioden då det första
sydslaviska riket uppstår. Därefter sker undersökningen i kronologisk ordning och avslutas i Dayton
1995, där trådarna knyts ihop. Resultaten visar att konflikter mellan de tre etniska grupperna i
Bosnien-Hercegovina funnits under samtliga tidsperioder och att de demonstrerats med vapen tre
gånger mellan 1914-1995. De externa aktörer som figurerat under de väpnade konflikterna har
påverkat konfliktparterna på olika sätt. Slutsatsen är att de externa aktörerna av olika anledningar
tenderar att ge sitt stöd åt den konfliktpart de har historiska band till.
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Lewin, Natasha Gaertner. "O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11812.
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Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. Dado o efeito da financeirização das commodities, DFM pode capturar efeitos dinâmicos comuns a todas as commodities. Além disso, os dados em painel são aplicados para usar toda a heterogeneidade entre as commodities durante o período de análise. Nossos resultados mostram que a taxa de juros, taxa efetiva do dólar americano e também os dados de consumo têm efeito permanente nos preços das commodities. Observa-se ainda a existência de um fator dinâmico comum significativo para a maioria dos preços das commodities metálicas, que tornou-se recentemente mais importante na evolução dos preços das commodities.
This study analyses the importance of common factors in metal prices movements for the period 1995-2013. For this purpose, cointegrated VAR models and also a Bayesian dynamic factor model are estimated. Given the effect of the financialization of commodities, DFM can capture dynamic effects common to all commodities. Furthermore, panel data is applied in order to use all heterogeneity between commodities over the period. Our estimation results show that interest rate, US dollar effective rate and also consumption data have permanent effect in the commodity prices. Also, there exists one common significant dynamic factor for most metal commodity prices and that this common factor has recently become increasingly important in driving commodity prices.
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Carlsson, Theres. "Vem ska få chansen att använda biogasen? : En studie utifrån en ekologisk-ekonomisk modell." Thesis, Linköping University, Department of Thematic Studies, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-4372.
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Det här är en studie om bland annat behandlar vilka konsekvenser som kan uppstå för biogasägare och användare av biogas om efterfrågan på biogas överstiger tillgången. Studien bygger på intervjuer som gjorts med tolv utvalda kommuner vilka alla har en biogasanläggning som tar emot avfall utifrån och dessutom levererar biogas till fordon. Studie består av två typer av frågeområden. Det första som undersökts är varför de svenska biogasanläggningarna byggt där de har och av vilken anledning det inte finns fler anläggningar. Syftet med studien är att uppmärksamma ett troligt framtida problem vilket grundar sig på ett tänkbart scenario om att oljan antigen stiger i pris eller sinar. Den problematik som uppmärksammats är om efterfrågan på biogas, på grund utav scenariot med oljan, överstiger tillgången och hur kommunerna skulle förhålla sig till en sådan situation. Frågeställningarna har analyserats utifrån ekonomisk teori med inriktning på begreppen utbud, efterfrågan, äganderätter och styrmedel. Dessutom har en ekologisk-ekonomisk modell använts för lättare se sambanden mellan de olika ingående delar i studien. Orsaken till att kommunerna har en biogasanläggning skiljer sig relativt mycket åt. De orsaker som nämndes var att vissa hade ett avfall att ta hade om medan en annan kommun hade en efterfrågan på biogasen. Vidare kunde biogastillverkningen motverka dels övergödning och dels föroreningsproblem orsakade av trafiken i innerstaden. Att inte fler kommuner har biogastillverkning tros enligt de undersökta kommunerna bland annat bero på att det dels kan vara svårt att räkna hem en anläggning idag och dels rädsla för luktproblem. Vidare anses det vara en otrygg marknad på grund utav oklara spelregler och dessutom krävs mycket i form av kunskap med mera av de kommuner som vill uppföra en anläggning. Troliga lösningar på det framtida scenariot som uppges av kommunerna är att komplettera med naturgas eller utvidga produktionen av biogasen. Det var endast en kommun som haft någon fundering på scenariot tidigare. Ett par kommuner ansåg dock att det var en viktig fråga att fundera vidare på. Flertalet av kommunerna är emellertid inte oroade över det givna scenariot. Andra tänkbara lösningar på problemet är att antingen privatisera biogasen eller att upprätta avtal mellan biogasanvändare och biogasägare.
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Momal, Raphaëlle. "Network inference from incomplete abundance data Accounting for missing actors in interaction network inference from abundance data Tree‐based inference of species interaction networks from abundance data." Thesis, université Paris-Saclay, 2020. http://www.theses.fr/2020UPASM017.
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Les réseaux sont utilisés comme outils en microbiologie et en écologie pour représenter des relations entre espèces. Les modèles graphiques gaussiens sont le cadre mathématique dédié à l'inférence des réseaux de dépendances conditionnelles, qui permettent une séparation claires des effets directs et indirects. Cependant, les données observées sont souvent des comptages discrèts qui ne permettent pas l'utilisation de ce modèle. Cette thèse développe une méthodologie pour l'inférence de réseaux à partir de données d'abondance d'espèces. La méthode repose sur une exploration efficace et exhaustive de l'espace des arbres couvrants dans un espace latent des comptages observés, rendue possible par les propriétés algébriques de ces structures.Par ailleurs, il est probable que les comptages observés dépendent d'acteurs non mesurés (espèces ou covariable). Ce phénomène produit des arêtes supplémentaires dans le réseau marginal entre les espèces liées à l'acteur manquant dans le réseau complet, ce qui fausse la suite des analyses. Le second objectif de ce travail est de prendre en compte les acteurs manquants lors de l'inférence de réseau. Les paramètres du modèle proposé sont estimés par une approche variationnelle, qui fournit des éléments d'information pertinents à propos des données non observéesNetworks are tools used to represent species relationships in microbiology and ecology. Gaussian Graphical Models provide with a mathematical framework for the inference of conditional dependency networks, which allow for a clear separation of direct and indirect effects. However observed data are often discrete counts and the inference cannot be directly performed with this model. This work develops a methodology for network inference from species observed abundances. The method relies on specific algebraic properties of spanning tree structures to perform an efficient and complete exploration of the space of spanning trees. The inference takes place in a latent space of the observed counts.Then, observed abundances are likely to depend on unmeasured actors (e.g. species or covariate). This results in spurious edges in the marginal network between the species linked to the latter in the complete network, causing inaccurate further analysis. The second objective of this work is to account for missing actors during network inference. To do so we adopt a variational approach yielding valuable insights about the missing actors
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Berglund, Malin, and Rasmus Sjöberg. "Vem väljer att konsumeraekologiska produkter i Sverige?" Thesis, Linköpings universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-130348.
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På livsmedelsmarknaden finns det olika produkter som konsumenten kan välja mellan. Valensom görs inom dagligvaruhandeln kan påverka individen och samhället på olika sätt, dåprodukter har olika näringsinnehåll och de har producerats under olika förutsättningar. För attkonsumenten ska veta hur olika produkter påverkar individen och samhället finns det olikamärkningar såsom Fairtrade och KRAV. Ekologiska produkter marknadsförs som hälsosammasamtidigt som de ska vara bättre för miljön än icke ekologiska produkter. Den ekologiskamarknaden har ökat de senaste 5 åren. Av den anledningen finner vi det intressant att analyseravem som väljer att konsumera ekologiska produkter och varför.Syftet med studien är att analysera vilka faktorer som påverkar konsumenternas val attkonsumera ekologiska produkter. För att kunna analysera de olika faktorerna användskvantitativa ansatser. Data samlas in genom en enkätundersökning och analyseras medekonometriska tekniker. Resultatet analyseras även med hjälp av ekonomiska teorier.Enkätundersökningen genomförs på den svenska marknaden, i de två kommunerna Norrköpingoch Ockelbo.Studiens resultat indikerar att utbildning, kön, upplevd kunskap om ekologiska märkningar,upplevd mediepåverkan, härkomst och kommun är signifikanta variabler för att förklaraekologisk konsumtion. Resultatet indikerar även att de två viktigaste argumenten för attkonsumera ekologiska produkter är ur hälso- och miljösynpunkt.The consumer can choose between different products at the market of groceries. These choicescan affect the human being and society in different ways, because products do not have thesame nutritional value and they may not have been produced in the same way. Therefore, it isimportant for the consumer to have knowledge about brands like Fairtrade and KRAV. InSweden, the products that are marketed as healthy and environmentally friendly alternatives arecalled ecological products. In the last 5 years, the market of ecological products has increased,because the market shows that the demand of ecological alternatives has increased. For thisreason, we think it is interesting to analyze who the typical consumer of ecological products isand why.The purpose of this study is to analyze which factors that affects the consumer’s choice ofecological products. To analyze the different factors the study is using quantitative methods.The data will be collected from surveys and then analyzed by using econometrical techniques,and the results will be analyzed and examined using economic theories. The survey is beingperformed on the Swedish market, where the municipalities Norrköping and Ockelbo has beenchosen. Norrköping has a substantially larger population than Ockelbo, which we consider is abenefit for the study.The results of the study shows us that education, gender, perceived knowledge about ecologicalbrands, experienced influence from media, a Nordic heritage and municipality are significantvariables to explain ecological consumption. The results also indicate the two most importantarguments for consuming ecological products are those of health and environmentalperspectives.
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Eckardt, Sanna, and Johanna Knief. "Vem tar hand om barnet? : En studie av mäns uttag av ersättning för vård av sjukt barn." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7015.
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Ett av målen för svensk familjepolitik är att utjämna den sneda fördelningen i uttaget av familjeförsäkringen. Inom familjeförsäkringen hittas segmentet för den tillfälliga föräldrapenningen och i denna, ersättningen för vård av sjukt barn. Två modeller, med olika antal variabler, används för att åskådliggöra sambandet mellan andel barn som bor i traditionell kärnfamilj och andel nettodagar män tar ut för vård av sjukt barn. Resultatet påvisar att uttaget av nettodagar könen emellan är jämnare fördelat inom gruppen traditionell kärnfamilj än för den totala gruppen föräldrar. I Sverige lever idag omkring 78 procent av barn i åldern ett till elva år inom den traditionella kärnfamiljen.
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Delfino, Denísio Augusto Liberato. "Ensaios em dívida soberana." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/9900.
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O objetivo central desta tese é colaborar com a literatura de finanças internacionais, abordando a discussão sobre os limites 'toleráveis' de endividamento aos quais os governos estão submetidos, bem como, sobre os fatores que afetam a forma como os países denominam suas dívidas no mercado internacional. A análise dos limites de endividamento é baseada num modelo onde crises de dívida auto-realizáveis podem ocorrer quando o nível de endividamento encontra-se em determinado intervalo. Uma vez nesta região, a dívida pode (ou não) ser rolada e, caso os credores não concedam novos empréstimos, a crise torna-se, de fato, uma profecia auto-realizável. Os resultados encontrados indicam que o limite de endividamento, além de bastante persistente, é muito dependente da razão dívida/PIB, bem como, dos históricos de inflação, crises bancárias e de defaults (ou reestruturações) de dívida soberana. Posteriormente, é feita uma aplicação do modelo estimado aos países da periferia do euro, na qual os resultados sugerem que países como Portugal e Grécia, mesmo após a adoção da moeda única, apresentam dificuldades em administrar os seus níveis de endividamento. Em conjunto, os resultados apresentados sugerem que quanto pior o histórico macroeconômico, menor será a capacidade do país 'tolerar' dívidas. Em relação à denominação da dívida, o estudo procura identificar em que medida a volatilidade da taxa de câmbio real efetiva, controlada por diversos fatores, impacta a forma como países se endividam no mercado internacional. Os resultados indicam que a baixa volatilidade cambial é condição fundamental para que a moeda doméstica seja utilizada em transações internacionais. Além disso, porte econômico, estabilidade de regras, respeito aos contratos e ampla liquidez dos mercados financeiros domésticos, são fatores que contribuem para a aceitação de uma moeda nos contratos de dívida internacional. Evidências adicionais do estudo sugerem que a ampla liquidez internacional, observada principalmente nos anos 2000, foi incapaz de ampliar de maneira significativa o número de moedas utilizadas no mercado internacional de dívidas. Ainda em relação a este tema, a tese analisa os primeiros passos da economia brasileira no sentido de alongar o perfil da dívida pública interna, por intermédio da emissão de títulos denominados em reais no mercado internacional.
The aim of this dissertation is to collaborate with the international finance literature, addressing the debate on the "acceptable" sovereign debt limits debt, as well as addressing on debt denomination in the international market. The analysis of debt limits is based on a model in which self-fulfilling debt crises can occur when the debt level reaches a certain range. Once this range is reached, the debt may (or may not) be rolled over and, if creditors do not grant new loans, the crisis becomes, in fact, a self-fulfilling prophecy. The results indicate that the indebtedness limit, besides being persistent, depends highly on the debt/GDP ratio, as well as on historical inflation, banking crises and default (or restructuring) of sovereign debt. Subsequently, an application of the estimated model is made to peripheral countries of the Euro Zone. The results suggest that countries like Portugal and Greece, even after the adoption of the single currency, have difficulties in managing their debt levels. The results also suggest that the worse the macroeconomic history, the lower the country's ability "to tolerate" debt. In relation to debt denomination, the study seeks to identify to what extent the volatility of real effective exchange rate, controlled by several factors, have an influence on how countries gain access to the international bond market. The results indicate that low exchange rate volatility is a fundamental condition for debt denominated in local currency in international markets. Moreover, the size of the economy, stability of regulations, enforcement of contracts and ample liquidity in domestic financial markets are factors that contribute to the acceptance of a currency in international debt contracts. Additional evidence of the study suggests that the broad international liquidity, mainly observed in the 2000s, was unable to expand significantly the number of currencies used in international debts. Still regarding this issue, the dissertation analyzes the first steps of the Brazilian economy in order to extend the profile of its public debt through the issuance of bonds denominated in Reais in the international market.
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Dahlberg, Magnus, and Gombrii Anders. "Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-439138.
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Riksbanken har under senaste åren blivit kritiserade för deras bristande prognoser av svenska valutakurser. I denna uppsats undersöks det om slumpvandring (RW) är den mest framgångsrika prognosmodellen eller om alternativa ekonometriska prognosmodeller (AR, VAR och VECM) kan estimera framtida växelkurser mer korrekt på kort sikt, ett kvartal fram, och medellång sikt, fyra kvartal fram. I dessa prognosmodeller behandlas fem Svenska makroekonomiska variabler som endogena; KPI, BNP, arbetslöshet, 3 månaders statsobligationer (T-bonds), samt en exogen variabel, Amerikansk-BNP. Den data som används är kvartalsdata från första kvartalet 1993 till andra kvartalet 2020 för respektive variabel. Resultaten från studie visar på att RW är mer ackurat än de multivariata modellerna (VAR och VECM) på både kort sikt och medellång sikt. Residualerna utvärderas genom att kolla på rotmedelkvadratfel (RMSE) från respektive prognos.In recent years, the Riksbank has been criticized for their underperforming forecasts of Swedish exchange rates. This thesis examines whether the random walk (RW) is the most successful forecasting model when forecasting the exchange rate (SEK / USD) or whether alternative economic forecasting models (AR, VAR and VECM) can estimate future exchange rates more accurately. Both in the short and medium term, one respectively four quarters ahead. In these forecast models, five Swedish macroeconomic variables are treated as endogenous; CPI, GDP, unemployment, three-month Treasury-bonds (T-Bonds), and an exogenous variable, US GDP. The data used is quarterly data from the first quarter of 1993 to the second quarter of 2020 for each variable. Results from the study show that RW is more accurate than the multivariate models (VAR and VECM) in both the short and medium term. The residuals are evaluated by looking at root mean square error (RMSE) from the respective forecast.
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Zanin, Vanclei. "Ensaios sobre a orizicultura brasileira." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-24082017-135947/.
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O presente trabalho é composto de dois artigos que versam sobre temas pouco explorados na orizicultura nacional. Especificamente, objetiva-se investigar aspectos relacionados à procura pelo cereal no mercado doméstico e à sua inserção externa. Para tanto, após uma introdução geral, o trabalho apresenta um artigo sobre a demanda domiciliar de alimentos com destaque para o consumo de arroz e um segundo ensaio que investiga a oferta brasileira de exportação de arroz. O primeiro artigo (segundo capítulo) apresenta as estimativas da demanda domiciliar alimentar brasileira obtidas por meio de um modelo Quadratic Almost Ideal Demand System (QUAIDS) ajustado para o problema do consumo censurado e da endogeneidade das despesas. A base de dados utilizada foi a POF 2008-2009, sendo os produtos selecionados devido à relação de complementariedade e substitutibilidade esperada com o arroz. Os resultados indicam comportamento inelástico da demanda do arroz em relação à renda e ao dispêndio com alimentos no domicílio. Observa-se que as regiões Centro-Oeste, Sudeste e Nordeste apresentam maior sensibilidade da demanda a aumentos da renda (dispêndio). A elasticidade-preço própria da demanda não compensada indicou que a variação no preço do arroz impacta mais que proporcionalmente a sua demanda. As elasticidades-preço cruzadas apontam o pão e a farinha de mandioca como importantes substitutos do arroz e o feijão um bem complementar, considerando a demanda domiciliar. Os resultados decompostos em dez estratos de renda per capita familiar indicam maior sensibilidade das famílias de menor renda a variações do preço do cereal e o aumento da relação de substituição com os outros bens à medida que a renda se eleva. O segundo artigo (terceiro capítulo) trata da investigação dos condicionantes das exportações brasileiras de arroz por meio de VAR estrutural baseado em um modelo econômico de excesso de oferta, no período pós 2009. Os resultados das relações contemporâneas mostram considerável efeito negativo do crescimento interno (PIB) sobre as exportações. A taxa de câmbio real efetiva apresentou forte impacto imediato positivo sobre as exportações. O preço de exportação também teve efeito positivo, e pouco maior do que um, sobre a quantidade exportada. O preço ao produtor apresentou impacto imediato positivo sobre as vendas externas. A função impulso-resposta confirma o papel do consumo interno (PIB) como concorrente das vendas externas ao longo do tempo. Por outro lado, o efeito acumulado de um choque não antecipado de 1% na taxa de câmbio efetiva real muda de trajetória e se torna negativo a partir do terceiro período, o que pode ser reflexo do encarecimento das importações de arroz - componente ainda importante no abastecimento interno. No caso do preço das exportações, o efeito positivo se dissipa a partir do terceiro período. Por último, o preço ao produtor mantém, no acumulado, impacto positivo sobre as exportações. No geral, o modelo de excesso de oferta se mostrou adequado, mas a grande importância das importações e dos estoques nesse mercado parece afetar os resultados e merece ser melhor investigada.This work is organized in two papers that deal with some topics that are little explored in the Brazilian rice growth literature. Specifically, it aims to investigate aspects related to the demand for rice in the domestic market and its external insertion. For that, after a general introduction, we present an article on household demand for food, with emphasis on rice consumption and a second paper investigating the rice export supply. The first article, in the second chapter, presents estimates of the Brazilian household food demand through a Quadratic Almost Ideal Demand System (QUAIDS) adjusted for censored consumption and endogeneity of total expenditures. Microdata from Household Budget Survey (POF) 2008-2009 with products selected due to the expected relationship of complementarity and/or substitutability with rice. The results indicate an inelastic behavior of rice demand in relation to income and food expenditure at home. It is observed that the Center-West, Southeast and Northeast regions show greater sensitivity of demand to increases in income (expenditure). The price elasticity of demand indicated that the variation in rice\'s price affects more than proportionally its demand. The cross-price elasticities point to bread and manioc flour as important substitutes for rice and beans as a complement in household demand. The results for ten strata of family per capita income indicate higher sensitivity of lower income families to changes in cereal prices and an increase in the substitution ratio with other goods as income rises. The second article, in the third chapter, deal with investigation of the determinants of Brazilian rice exportations through structural VAR based on a model of excess supply in the post-2009 period. The results of contemporary relations show a considerable negative effect of GDP growth on exports. The effective real exchange rate had a strong immediate positive impact on exports. The export price also had a positive and elastic effect on the quantity exported. The producer price had an immediate positive impact on foreign sales. The impulse-response function confirms the role of domestic consumption (GDP) as a competitor to external sales, over time. On the other hand, the effect of an unanticipated shock on the real exchange rate changes trajectory and becomes negative from the third period, which may be a reflection that rice\'s imports are more expensive- imports still are important component in domestic supply. In the case of export prices, the positive effect dissipates from the third period. Finally, the producer price keeps an accumulated positive impact on exportations. In general, the excess supply model is adequate, but the high importance of imports and stocks in this market seems to affect the results and deserve further investigation.
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Oliveira, Ana Cláudia Sampaio de. "Análise dos efeitos das taxas de câmbio, de juros e da renda mundial sobre as exportações brasileiras de mel natural." Universidade Federal do Ceará, 2013. http://www.repositorio.ufc.br/handle/riufc/6268.
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OLIVEIRA, Ana Cláudia Sampaio de. Análise dos efeitos das taxas de câmbio, de juros e da renda mundial sobre as exportações brasileiras de mel natural. 2013. 106f. : Dissertação (Mestrado em Economia Rural) – Universidade Federal do Ceará, Centro de Ciências Agrárias, Departamento de Economia Agrícola, Programa de Pós-Graduação em Economia Rural, Fortaleza, 2013Submitted by Evilanny da Silva (eawusikagl@hotmail.com) on 2013-10-17T13:04:36Z No. of bitstreams: 1 2013_dis_acsoliveira.pdf: 2313831 bytes, checksum: 0d2a05811d14938a6f30db60940a7b4e (MD5)
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The exchange rate, interest rate and world income are some of the most important variables of an economy, because in addition to mediate commercial and financial relations of a country with the rest of the world, can serve as an incentive for investment in the productive sector generating direct impact on exports. Thus, the present study proposes to test the possible existence of a long-term relationship, and the degree of influence of variables exchange rate, interest rate and world income on the export performance of Brazilian honey in the period the years 2000 and 2011. The empirical strategy adopted in this time series analysis was the use of a VAR model more complete model called vector error correction (VECM). This model is of economic significance, considering that, given the common dynamic in their data components have short term and long term. The results showed, from the analysis of long-term relationship, the variables exchange rate, interest rate and world income are extremely relevant to explain the oscillations occurred over time in the dependent variable export of honey. As for short-term analysis demonstrated that there is some lag time for imbalances occurring in the short term will be corrected in the long run. The same results also could be seen from the graphs of the impulse response functions and the reports generated in the decomposition process of the error variance. The relevance of factors that could cause structural breaks in the model, it was found that only the shock on the exchange rate, after the uncertainties of the electoral process in Brazil in 2002, and not the shock on income from the global economic and financial crisis in 2008/2009, was significant justifying the inclusion of a dummy in the model analysis. This model is of economic significance, considering that, given the common dynamic in their data components have short term and long term.
A taxa de câmbio, a taxa de juros e a renda mundial são algumas das variáveis mais importantes de uma economia, pois, além de intermediarem as relações comerciais e financeiras de um país com o resto do mundo, podem servir como incentivo de investimento no setor produtivo, gerando impacto direto sobre as exportações. Com efeito, este trabalho propõe-se testar a possível existência de uma relação de longo prazo, bem como o grau de influência das variáveis taxa de câmbio, taxa de juros e renda mundial sobre o desempenho das exportações do mel natural brasileiro no período compreendido entre os anos 2000 e 2011. A estratégia empírica adotada nesta análise de séries temporais foi o uso de um modelo VAR mais completo, denominado modelo vetor de correção de erros (VECM). Esse modelo reveste-se de significação econômica, porquanto, em razão da dinâmica comum em seus dados, apresentam componentes de curto e longo prazo. Os resultados mostraram, com suporte na análise da relação de longo prazo, que as variáveis taxa de câmbio, taxa de juros e renda mundial são deveras relevantes para explicar as oscilações ocorridas ao longo do tempo na variável dependente exportação de mel. Já a análise de curto prazo demonstrou que existe certa defasagem de tempo para que os desequilíbrios ocorridos no curto prazo sejam corrigidos no longo prazo. Os mesmos resultados também puderam ser comprovados consoantes os gráficos das funções de impulso-resposta e dos relatórios gerados no processo de decomposição da variância do erro. Quanto à relevância de fatores que poderiam causar quebras estruturais no modelo, constatou-se que apenas o choque na taxa de câmbio, decorrido das incertezas do processo eleitoral no Brasil em 2002, e não o choque sobre a renda mundial proveniente da crise econômico-financeira em 2008/2009 se mostrou significativo, justificando a inclusão de uma dummy no modelo em análise.
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Valério, Tatiana Alves de Melo. "“O filho adotivo não vem de fora, vem de dentro” : um estudo sobre trajetórias de vidas e a construção de significados sobre a decisão de adotar na perspectiva da psicologia cultural semiótica." Universidade Federal de Pernambuco, 2013. https://repositorio.ufpe.br/handle/123456789/10244.
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DISSERTAÇÃO Tatiana Valerio.pdf: 4430105 bytes, checksum: beeb10b2c736fb75cf85fe1e56374a01 (MD5)Made available in DSpace on 2015-03-03T19:58:32Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO Tatiana Valerio.pdf: 4430105 bytes, checksum: beeb10b2c736fb75cf85fe1e56374a01 (MD5) Previous issue date: 2013
No ciclo da vida, uma das transições mais esperadas na vida familiar adulta é a chegada dos filhos. No entanto, eventos disruptivos – não conseguir gerar uma criança, por exemplo – marcam a trajetória de vida de muitas famílias, levando-os à construção de significados sobre ter filhos e a adoção passa a configurar-se como uma das opções entre a gama de possibilidades de significados a serem construídos para o enfrentamento dessa ruptura. O presente estudo buscou explorar o processo semiótico de construção de significados sobre adotar em pretendentes à adoção, inscritos no Cadastro Nacional de Adoção (CNA). Tal processo foi investigado a partir da perspectiva da Psicologia Cultural Semiótica, proposta por Valsiner, que conceitua a construção de significados de experiências de vida pelas pessoas como ocorrendo em contexto social e histórico, através de um processo de natureza semiótica que se dá em um tempo irreversível. O ser humano é considerado como um sistema aberto numa constante relação interdependente com o meio social e cultural. Esse estudo filia-se a uma nova proposta teórico-metodológica para compreender trajetórias de vida que integra um método teórico de estudo de casos individuais, baseado nas histórias do curso de vida – Amostragem Estruturada Historicamente (Historically Structured Sampling – HSS) o Modelo de Equifinalidade de Trajetórias (Trajectory Equifinality Model – TEM). Os eventos marcantes da vida das pessoas são analisados como pontos de bifurcação até atingirem um ponto comum temporário – o ponto de equifinalidade. O TEM é um novo caminho para descrever o desenvolvimento humano a partir da abordagem histórico-cultural, considerando a irreversibilidade do tempo. Os conceitos de mediação e regulação semióticas e signo hipergeneralizado mostraram-se relevantes para dar conta da experiência vivida dos participantes, permitindo abordar a dinâmica desenvolvimental presente na construção de significados para a decisão de adotar. Foram realizados dois estudos de caso - dois casais heterossexuais. Um casal com uma filha biológica e o segundo casal sem filhos. Três entrevistas foram realizadas com cada casal: a primeira foi aberta e os participantes narraram livremente sobre sua decisão em adotar. As duas últimas foram semiestruturadas e foram iniciadas sempre com a trajetória traçada a partir da entrevista prévia. A análise foi feita em duas dimensões: a primeira visou traçar as trajetórias de vida que organizaram, no tempo irreversível, a sequência das experiências dos pretendentes, destacando os diversos pontos de passagem que os participantes atravessaram de um ponto inicial até o ponto de equifinalidade, isto é, a condição presente e comum aos participantes (decidir adotar legalmente, sendo pretendente à adoção). A segunda identificou o processo de construção dos significados da decisão de adotar por pretendentes, a partir das concepções advindas da Psicologia Cultural Semiótica. Entre as principais conclusões do estudo, ressalta-se que a decisão em adotar uma criança decorre de uma rede complexa de construção de significados, construída em uma constante tensão entre a cultura pessoal e a cultura coletiva. Nesta tensão, as trajetórias de vida dos casais são construídas, sobretudo, a partir do sentimento (campos afetivos), entendido como signo hipergeneralizado, que funciona como signo promotor na decisão de adotar.
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Clemente, Leonel Toshio. "Análise econométrica da taxa de lucro dos Estados Unidos entre 1963 e 2008 : aplicações de modelos VEC." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/79046.
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O objetivo geral desta dissertação é compreender como as variações da Taxa de Lucro dos EUA foram determinadas entre 1963 e 2008. Por isso faz-se necessário identificar as variáveis que afetam a Taxa de Lucro, buscar dados de variáveis proxy e especificar e estimar modelos econométricos. Por constatar-se causalidade mútua entre a Taxa de Lucro e as variáveis que a afetam, optou-se por estimar modelos VEC, os quais permitiram analisar os coeficientes de curto e longo prazo, o tempo necessário para ajuste completo das variáveis e as funções impulso-resposta para compreender as relações da Taxa de Lucro com as variáveis que a afetam. Os resultados do modelo VEC são novos em relação a Basu (2010), Shaikh (1991, 2010), Cockshott, Cottrell e Taraddinov (2009), e Duménil e Lévy (1993, 2002).The overall objective of this dissertation is to understand the determinants of variations in the U.S. economy Rate of Profit between 1963 and 2008. Therefore, it is necessary to identify the variables that affect the rate of profit, select appropriate proxies, and specify and estimate suitable econometric models. Due to mutual causality between the profit rate and the variables that affect it, VEC models were estimated. This allowed analyzing the short and long term coefficients, the time required for full adjustment of the variables, and functions impulse-response in order to understand the relationships involving the Profit Rate and the variables that influence it. With basis on VEC models, some conclusions were inferred about the variations in the rate of profit, and these results were compared with known authors. In general, the results of VEC are new compared to Basu (2010), Shaikh (1991, 2010), Cockshott, Cottrell and Taraddinov (2009), and Duménil and Lévy (1993, 2002).