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Dissertations / Theses on the topic 'Vector error correction model (VECM)'

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Published: 4 June 2021
Last updated: 26 July 2025

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1

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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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 - MSc<br>Purpose: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 Correct
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3

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
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4

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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Made available in DSpace on 2016-03-15T19:25:37Z (GMT). No. of bitstreams: 1 Eli Hadad Junior.pdf: 290403 bytes, checksum: 413b010b2b66c535b71df800b9626c61 (MD5) Previous issue date: 2011-08-10<br>The 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
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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.<br>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
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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 foreca
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Bentivoglio, Deborah. "Analisi della Sostenibilità Socio-economica ed Ambientale dei Biocarburanti nel Contesto Europeo e Brasiliano." Doctoral thesis, Università Politecnica delle Marche, 2015. http://hdl.handle.net/11566/243058.

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Negli ultimi anni la produzione e il consumo dei biocarburanti sono aumentati a livello globale. Tale incremento è stato incentivato soprattutto grazie al supporto e agli incentivi adottati dai vari Paesi promotori finalizzati alla riduzione delle emissioni di gas serra e alla sicurezza energetica. Ad oggi il mercato globale è dominato dall’etanolo (79%) e dal biodiesel (21%). In particolare, l'Unione Europea domina il mercato del biodiesel mentre il Brasile è il più grande produttore ed esportatore mondiale di zucchero, nonché il più grande produttore al mondo e consumatore di etanolo da can
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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. O
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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 macroe
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10

Raksong, Saranya. "The stability of money demand and monetary transmission mechanism in Thailand." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/612.

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The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also
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Molin, Simon. "House Price Dynamics in Sweden : Vector error-correction model." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172367.

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Movements in house prices can have effects on individuals, financial markets, and the whole economy. After the rapid increase in house prices worldwide since the mid-1990s and after the financial crisis in 2008, many studies have investigated house price dynamics. Furthermore, real house prices in Sweden have increased by more than 200 % since the mid-1990s up until today. This study takes a closer look at the fundamental determinants of house prices to investigate both the long- and short-run dynamics of Swedish house prices. The method of use includes a vector error-correction model, which e
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Tunehed, Per. "Is the Swedish housing market overvalued? : An analysis using a Vector error correction model." Thesis, Umeå universitet, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185129.

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This thesis attempts to answer if a bubble is growing on the Swedish housing market. This is done by assessing the extent to which supply and demand – represented by fundamentals – can explain the rise on the Swedish housing market. Empirically, this is done by estimating a Vector error correction model using quarterly data stretching from Q1 2000 to Q4 2019. The model uses house prices as its dependent variable and disposable income, interest rate, construction costs, financial assets, and employment as independent variables. The study finds that there is a long-run relationship between house
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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
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Nastansky, Andreas, Alexander Mehnert, and Hans Gerhard Strohe. "A vector error correction model for the relationship between public debt and inflation in Germany." Universität Potsdam, 2014. http://opus.kobv.de/ubp/volltexte/2014/5024/.

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In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating natio
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15

Behar, Alberto. "Estimating elasticities of demand and supply for South African manufactured exports using a vector error correction model." Master's thesis, University of Cape Town, 2002. http://hdl.handle.net/11427/10118.

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Bibliography: leaves 82-83.<br>Elasticities of demand and supply for South African manufactured exports are estimated using the co-integrating vector autoregression / vector error correction model approach in order toaddress simultaneity and non-stationarity issues. Demand is highly price-elastic, ranging from-3 to -6. The price elasticity of supply is 1. Competitors' prices and world income are an important determinant of demand, but domestic capacity utilization is not an important determinant of export supply.
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16

Persson, Rickard. "The short and long-term interdependencies between stock prices and dividends: A panel vector error correction approach." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-255666.

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This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle &amp; Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock
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Calson-Öhman, Frida. "The effect of increased e-commerce on inflation." Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35495.

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The purpose of this essay is to answer the following questions: Has the increased e-commerce had a negative impact on the inflation, and is the effect decreasing? and: Is there a long term and/or short term effect by the increased e-commerce on the inflation? To answer the first question a fixed effects regression model is applied, based on panel data for 28 European countries for the time period 2006-2017. The regression obtains results that support the hypothesis that the increased e-commerce has had a negative effect on inflation. Furthermore, the result indicates that the effect is decreas
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18

Lytsenko, M., Тетяна Олександрівна Маринич, Татьяна Александровна Маринич, and Tetiana Oleksandrivna Marynych. "Econometric modeling of nonstationary processes." Thesis, Karazin National University, 2015. http://essuir.sumdu.edu.ua/handle/123456789/68631.

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Econometric research of nonstationary time series on causality, cointegration relation and adequate simulation methods was conducted. VAR and VEC models were found to be the most appropriate ways to make reliable prediction and scenario analysis of macro financial data under unstable economic conditions. These econometric techniques were approbated on the financial indicators of Ukrainian economy.
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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 sim
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20

Bazarcheh, Shabestari Negin. "Energy Consumption, CO2 Emissions and Economic Growth : Sweden's case." Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35502.

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The main purpose of this study is to examine the causal relations between energy use, CO2 emissions and economic growth for Sweden. Vector Error Correction model with annual data from 1970 to 2016 has been used in order to determine potential causality between the variables. The empirical findings indicate that in the long-run, causality relationship between energy consumption, CO2 emissions and economic growth cannot be rejected and it is bidirectional. This means that energy is a determining factor for economic growth in Sweden and that applying policies in order to reduce the CO2 emissions
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Tasnim, Sumaya. "Renewable Energy Consumption and Foreign Direct Investment : Bangladesh's Case." Thesis, Södertörns högskola, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-43739.

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FDI investment is a vital factor for the developing countries economic growth. Apart from working as a catalyst of increasing total output level, FDI is a source of clean energy, technology transfer and energy efficiency. There have been very limited studies on the impact of FDI on renewable energy consumption in the context of Bangladesh. In fact, to my best knowledge there hasn’t been any studies on Bangladesh regarding this relationship with recent data available. Therefore, the aim of this paper is to reveal the relationship between FDI and renewable energy consumption in Bangladesh with a
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22

Frei, Lukas. "The Markov-switching vector error correction model: dynamics, bayesian inference, and application to the spot and forward Swiss Franc, US Dollar exchange rates." Berlin dissertation.de, 2007. http://d-nb.info/989281892/04.

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Frei, Lukas. "The Markov-switching vector error correction model : dynamics, Bayesian inference, and application to the spot and forward Swiss franc/US dollar exchange rates /." Berlin : dissertation.de, 2008. http://www.dissertation.de/buch.php3?buch=5540.

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Demeš, Jiří. "Ekonometrická analýza vývoje inflace v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4847.

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The degree work is focused on analysis of inflation with help of suitable econometric models. Inflation with it's forms and possibilities of measuring is described at the beginning of the paper. There is mentioned an importance of monitoring and analysing inflation in view of Czech national bank. Consequently there are described characteristics of time series, which are important from viewpoint of construction of econometric models. Next part of this paper is focused on characterization of econometrics models. At first there is vector autoregression model, in this connection there is discussed
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Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu
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Lackson, Daniel Mudenda. "Pollution, Electricity Consumption, and Income in the Context of Trade Openness in Zambia." Thesis, Umeå universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124715.

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This paper examines the Environmental Kuznets Curve (EKC) hypothesis and tests for causality using Dynamic Ordinary Least Squares (DOLS) and the Vector Error Correction Model (VECM). There is evidence of long-run relationships in the three models under consideration. The Dynamic Ordinary Least Squares (DOLS) finds no evidence to support the existence of an environmental Kuznets curve (EKC) hypothesis for Zambia in the long-run. The evidence from the long-run suggests an opposite of the Environmental Kuznets Curve (EKC), in that the results indicate a U-shaped curve relationship between income
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Oliveira, Jimmy Lima de. "Estimando o impacto do estoque de capital publico sobre o PIB per capita na presenÃa de mudanÃa estrutural." Universidade Federal do CearÃ, 2006. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1347.

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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico<br>O presente trabalho estima a elasticidade produto-gasto pÃblico para economia brasileira, no perÃodo de 1950 a 2003, utilizando um modelo vetorial de correÃÃo de erro (VECM) para controlar possÃveis mudanÃas estruturais nas sÃries. Quando existem mudanÃas estruturais, os vÃrios testes estatÃsticos de Dickey-Fuller sÃo viesados em direÃÃo da nÃo rejeiÃÃo de uma raiz unitÃria. Este viÃs significa que o teste de Dickey-Fuller à viesado em direÃÃo da hipÃtese nula de uma raiz unitÃria, mesmo se a sÃrie à estacionÃria dentro de cada s
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Jia, Mo (Maggie). "Housing market, banking sector and macroeconomy in China." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/279056.

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This thesis contains three main parts. In the first part, we adapt a model developed for the US economy to the unique Chinese economic and institutional context. The uniqueness is mainly from two perspectives: the dual-channel housing financing system in China and the existence of the shadow banking sector (which differs from the shadow banking in developed economies) in China’s housing market. It would be difficult to obtain a clear picture of the Chinese housing market and macroeconomy without a thorough understanding of these two characteristics. This is due to the crucial role played by sh
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Kilic, Esen. "An Empirical Analysis Of The Relationship Between Financial Deepening And Economic Growth: The Case Of Turkey." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609913/index.pdf.

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This study aims to investigate the direction of the relationship between financial deepening and economic growth after the completion of financial liberalization in Turkey. In order to do this, an unbalanced panel data set of 49 OECD and emerging countries for 1953-2005 period is examined with Granger causality and panel data estimation techniques. In the light of panel data analysis results, quarterly Turkish time series data for 1987-2006 period is examined by using Granger causality, cointegration and Vector Error Correction Model (VECM) procedures. Although the unbalanced panel data analys
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Fonseca, Mateus Ramalho Ribeiro da. "Política monetária em um contexto de metas de inflação, câmbio flexível e mobilidade de capitais : uma investigação teórica, histórica e empírica." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/183071.

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A presente tese tenta avaliar a política monetária sob o Regime de Metas de Inflação (RMI), num contexto de flexibilidade cambial e integração financeira. No campo teórico, este trabalho avalia no primeiro ensaio, os aspectos teóricos do RMI e também do Novo Consenso Macroeconômico (NCM), assim como a crítica pós-keynesiana ao NCM. Na sequência, avalia-se a evolução do debate acerca da política monetária após a Crise Financeira Internacional, assim como os aspectos teóricos da integração financeira global e dos Ciclos Financeiros Globais, e suas consequências para a condução da política monetá
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Fernandes, Pedro Manuel Ribeiro. "The role of banks in economic growth : an empirical application to Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19408.

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Mestrado em Economia Monetária e Financeira<br>Esta dissertação avalia o contributo dos bancos para o crescimento económico em Portugal desde a adopção do Euro, usando testes de cointegração e causalidade, bem como funções de resposta a impulsos. Usando rácios de passivos líquidos (depósitos) dos bancos e empréstimos em percentagem do PIB nominal como medidas do desenvolvimento financeiro, encontramos forte evidência de que o crescimento económico exerce um impacto positivo no desenvolvimento financeiro, de acordo com Demetriades e Hussein (1996). Concluiu-se também que os empréstimos bancário
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Kučera, Lukáš. "Investice v transmisním mechanismu cílování inflace." Doctoral thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-264703.

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The dissertation thesis is devoted to the topic of investment with emphasis on their position within the transmission mechanism of inflation targeting. It discusses starting-points of inflation targeting regime, individual transmission channels of monetary policy including their connections, and routes through which the central bank may influence the investment. There are analyzed selected investment theories and other theoretical models that are associated with the investment. Factors, whose changes may induce changes in investment, are derived using the intersection of these two analyzed asp
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MICHELE, ANELLI. "The price discovery process of the sovereign and bank credit risk in a high-volatility framework." Doctoral thesis, Università di Siena, 2020. http://hdl.handle.net/11365/1095780.

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This research study presents three distinct and separate (but logically linked) essays focused on the price discovery process of credit risk. The aim of the first essay (working paper n. 1) is to analyse the long lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), by focusing particularly on the sovereign credit risk, in order to evaluate the lead-lag markets in the price discovery process against the backdrop of a deep crisis. The focus of this study concerns the case of Italy, one of the major countries subject to internation
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Akin, Serdar. "Do Riksbanken produce unbiased forecast of the inflation rate? : and can it be improved?" Thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-58708.

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The focus of this paper is to evaluate if forecast produced by the Central Bank of Sweden (Riksbanken) for the 12 month change in the consumer price index is unbiased? Results shows that for shorter horizons (h &lt; 12) the mean forecast error is unbiased but for longer horizons its negatively biased when inference is done by Maximum entropy bootstrap technique. Can the unbiasedness be improved by strict ap- pliance to econometric methodology? Forecasting with a linear univariate model (seasonal ARIMA) and a multivariate model Vector Error Correction model (VECM) shows that when controlling fo
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Subramaniam, Vijayaratnam. "AGRICULTURAL INTERSECTORAL LINKAGES AND THEIR CONTRIBUTION TO ECONOMIC DEVELOPMENT." UKnowledge, 2010. http://uknowledge.uky.edu/gradschool_diss/771.

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The transition from communism to capitalism at the end of the last century was one of the most significant events in the world economy since industrialization. During the latter part of the 1980s, people the Central and Eastern European countries and former Soviet Republics opted for a change from highly distorted command economic system to a market driven economic system. Privatization and liberalization policies led to major changes in the commodity mix and volume of agricultural production, consumption and trade. However, the changes and the impacts varied among countries as they followed d
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Sayin, Ipek. "Modelling Electricity Demand In Turkey For 1998-2011." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615515/index.pdf.

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This thesis estimates the quarterly electricity demand of Turkey. First of all proper seasonal time series model are found for the variables: electricity demand, temperature, gross domestic product and electricity price. After the right seasonal time series model are found Hylleberg, Engle, Granger and Yoo (1990) test is applied to each variable. The results of the test show that seasonal unit roots exist for the electricity price even it cannot be seen at the graph. The other variables have no seasonal unit roots when the proper seasonal time series model is chosen. Later, the cointegration i
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Nastansky, Andreas, and Hans Gerhard Strohe. "Konsumausgaben und Aktienmarktentwicklung in Deutschland : ein kointegriertes vektorautoregressives Modell." Universität Potsdam, 2011. http://opus.kobv.de/ubp/volltexte/2011/5377/.

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Vektorfehlerkorrekturmodelle (VECM) erlauben es, Abhängigkeiten zwischen den Veränderungen mehrerer potenziell endogener Variablen simultan zu modellieren. Die Idee, ein langfristiges Gleichgewicht gleichzeitig mit kurzfristigen Veränderungen zu modellieren, lässt sich vom Eingleichungsansatz des Fehlerkorrekturmodells (ECM) zu einem Mehrgleichungsansatz für Variablenvektoren (VECM) verallgemeinern. Die Anzahl der kointegrierenden Beziehungen und die Koeffizientenmatrizen werden mit dem Johansen-Verfahren geschätzt. An einer einfachen Verallgemeinerung einer Konsumfunktion wird die Schä
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Mehnert, Alexander, and Andreas Nastansky. "Staatsverschuldung und Inflation : eine empirische Analyse für Deutschland." Universität Potsdam, 2012. http://opus.kobv.de/ubp/volltexte/2012/5918/.

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In der vorliegenden Arbeit soll der Zusammenhang zwischen Staatsverschuldung und Inflation untersucht werden. Es werden theoretische Übertragungswege von der Staatsverschuldung über die Geldmenge und die langfristigen Zinsen hin zur Inflation gezeigt. Aufbauend auf diesen theoretischen Überlegungen werden die Variablen Staatsverschuldung, Verbraucherpreisindex, Geldmenge M3 und langfristige Zinsen im Rahmen eines Vektor-Fehlerkorrekturmodells untersucht. In der empirischen Analyse werden die Variablen für Deutschland in dem Zeitraum vom 1. Quartal 1991 bis zum 4. Quartal 2010 betrachtet. In ei
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Král, Ondřej. "Phillipsova křivka z pohledu analýzy časových řad v České republice a Německu." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360701.

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Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the t
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40

Delfino, Denísio Augusto Liberato. "Ensaios em dívida soberana." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/9900.

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Submitted by Denísio Liberato (denisioliberato@bb.com.br) on 2012-07-23T15:29:29Z No. of bitstreams: 1 TESE_versão_final_23072012.pdf: 1132720 bytes, checksum: 866d5e254e7f90dedcaaf1e8e4ac25ab (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2012-07-23T15:38:45Z (GMT) No. of bitstreams: 1 TESE_versão_final_23072012.pdf: 1132720 bytes, checksum: 866d5e254e7f90dedcaaf1e8e4ac25ab (MD5)<br>Made available in DSpace on 2012-07-23T15:45:40Z (GMT). No. of bitstreams: 1 TESE_versão_final_23072012.pdf: 1132720 bytes, checksum: 866d5e254e7f90dedcaaf1e
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Prettner, Catherine, and Klaus Prettner. "After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?" WU Vienna University of Economics and Business, 2012. http://epub.wu.ac.at/3493/1/wp138.pdf.

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This article investigates the interrelations between the initial members of the Euro area and five important Central and Eastern European economies. We set up a theoretical open economy model to derive the Purchasing Power Parity, the Interest Rate Parity, the Fisher Inflation Parity, and an output gap relation. After taking convergence into account, they are used as restrictions on the cointegration space of a structural vector error correction model. We then employ generalized impulse response analysis to assess the dynamic effects of shocks in output and interest rates on the respective oth
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42

Brockwell, Erik. "State and industrial actions to influence consumer behavior." Doctoral thesis, Umeå universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-93334.

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This thesis consists of an introductory part and three papers. Paper [I] examines how taxes affect consumption of commodities that are detrimental to health and the environment. Specifically, this paper examines if a tax increase leads to a significantly larger change in consumption than a producer price change, which is referred to as the signaling effect from taxation. The analysis uses aggregated cross-sectional time series data and information on major legislation introductions in Sweden, Denmark and the United Kingdom from 1970 to 2009. We find the main result to be that the signaling eff
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43

Fidalgo, Cristina Patrícia Gouveia Dias. "Teoria generalizada da paridade do poder de compra : uma aplicação às economias da Europa Central." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21111.

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Mestrado em Econometria Aplicada e Previsão<br>No presente estudo pretende-se analisar se os três países da Europa Central em vias de aderir à União Económica Monetária - Hungria, Polónia e República Checa - constituem, de facto, uma Zona Monetária Ótima no espírito de Mundell (1961) com os países da Zona Euro vis-à-vis a economia da Alemanha, colocando, assim, um fim à fase de transição dos últimos 16 anos. Para tal, recorre-se à teoria Generalizada da Paridade do Poder de Compra, inicialmente proposta por Enders e Hurn (1994), empiricamente testável com recurso ao modelo vetorial de correção
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44

Kang, Shin-jae. "Korea's export performance : three empirical essays." Diss., Manhattan, Kan. : Kansas State University, 2008. http://hdl.handle.net/2097/767.

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45

Петрова, К. В. "Моделювання трансмісії системного фінансового ризику на реальний сектор економіки країни". Master's thesis, Сумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81571.

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У роботі досліджено передумови утворення системних ризиків, існуючі підходи щодо моделювання трансмісії системних ризиків на реальний сектор економіки країни. В ході проведення дослідження розроблено векторну модель коригування помилки впливу системних ризиків на індикатори реального сектору економіки країни.<br>The paper examines the prerequisites for the formation of systemic risks, existing approaches to modeling the transmission of systemic risks to the real sector of the economy. In the course of the research, a vector model of error correction of the impact of systemic risks on indicator
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46

Costantin, Paulo Dutra. "Fatores condicionantes da produtividade agrícola no Brasil no período de 1970 a 2005: uma abordagem neoclássica." Universidade Presbiteriana Mackenzie, 2007. http://tede.mackenzie.br/jspui/handle/tede/839.

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Made available in DSpace on 2016-03-15T19:31:14Z (GMT). No. of bitstreams: 1 Paulo Dutra Costantin.pdf: 1161497 bytes, checksum: 80c40c8fcef9308bff7d9389b7a7a3f0 (MD5) Previous issue date: 2007-11-09<br>Instituto Presbiteriano Mackenzie<br>The current work aims to provide an inquiry into the causes of productivity increase observed in the Brazilian agricultural sector from the 1970s till the early years of the 2000s. Its working hypothesis is that gains in productivity are explained by factors like increased rural credit, research (technology), tractors, fertilizers and pesticides. More spec
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47

Lu, Chien-Cheng, and 呂建徵. "The Study of Relationship between Stock Market and Business Cycle：The Application of Markov-Switching Vector Error Correction Model (MS-VECM)." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/sbb7qc.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>92<br>This paper discusses the long term equilibrium and short term dynamics between stock market returns and business cycles. Most researches apply macroeconomic variables such as Industrial Production Index or GDP to predict business cycles. This paper uses the Leading Index, Coincident Index and unemployment rate to stand for macroeconomic conditions. We attempt to apply Markov-Switching Vector Error Correction Model (MS-VECM) to discover the long term and short term relations between stock market returns and Leading Index, Coincident Index and unemployment rate r
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48

Νταλιάνη, Ευθυμία. "Εμπειρική ανάλυση της σχέσης τιμών ζωοτροφών και παραγωγού καταναλωτή κρέατος : Μοσχάρι, χοιρινό, κοτόπουλο και αρνί". Thesis, 2014. http://hdl.handle.net/10889/8234.

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Η παρούσα μελέτη εξετάζει τη δυναμική σχέση μεταξύ των τιμών των ζωοτροφών και παραγωγού, καταναλωτή για τέσσερα είδη κρέατος: μοσχάρι, χοιρινό, αρνί και κοτόπουλο. Η σχετική βιβλιογραφία δείχνει ότι πολλοί παράγοντες επιδρούν στις τιμές των αγροτικών προϊόντων αλλά οι τιμές των ζωοτροφών είναι ο κυριότερος. Αυτό συμβαίνει γιατί οι ζωοτροφές αποτελούν πρώτη ύλη για την παραγωγή κρέατος και κατ΄επέκταση θα επηρέασουν τις τιμές παραγωγού και καταναλωτή. Τα δεδομένα αποτελούνται από 279 μηνιαίες τιμές που εκτείνονται από τον Ιανουάριο 1990 έως τον Ιανουάριο 2013. Χρησιμοποιώντας Johansen cointeg
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49

Freitas, Carlos Jorge Pereira. "Avaliação do Impacto do Mercado de Carbono nos Mercados Elétricos de Portugal e Espanha." Doctoral thesis, 2016. http://hdl.handle.net/10316/30979.

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Tese de doutoramento em Gestão de Empresas, na especialidade de Finanças, apresentada à Faculdade de Economia da Universidade de Coimbra<br>O Sistema de Comércio Europeu de Licenças de Emissão (CELE) constitui um dos instrumentos centrais da estratégia da União Europeia para o combate às alterações climáticas, sendo uma ferramenta chave para o desenho de uma solução custo-eficiente na redução das emissões de gases com efeito estufa. O objetivo do nosso trabalho consiste em estudar o impacto da participação dos setores elétricos Ibéricos no CELE nomeadamente pela avaliação da ligação entre os p
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50

Dvořák, Martin. "Monetární transmisní mechanizmus: pohled do černé skříňky." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-338190.

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The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of
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