M.Com. (Economic Development and Policy Issues) / Monetary policy is not only the process by which the monetary authority of a country controls the supply of money, but is furthermore a sufficient tool to overcome the problem of economic growth and unemployment. This can take place when the policy instruments – interest rates (Repo) and money supply growth (M3) – have significant effects on these macroeconomic variables. However, the issue of the efficacy of monetary policy on GDP growth and employment creation is at the centre of debates among researchers. Some researchers are of the opinion that the objective of monetary policy in achieving and maintaining price stability is founded on the idea that inflation is not good for economic growth, employment creation and income equality but, instead, only secures macroeconomic environment. In South Africa, the efficiency of different monetary policy tools, inflation and money-supply targeting, on economic performance has been questioned. Moreover, the issue of the high level of unemployment remains controversial among scholars. Therefore, the structural vector-error correction model (VECM) methods was used with quarterly data in order to investigate the impact of aggregate money supply (M3), interest rate (Repo) and real exchange rate on CPIX (inflation) , economic growth (GDP volume rate) and unemployment (joblessness rate) in South Africa for the period 1986 to 2010. The results show that both monetary-policy regimes have positively impacted on economic growth, but the impact of the pre-inflation-targeting regime is higher. Moreover, a weak positive liaison between monetary policy and unemployment is observed, but the post-inflation-targeting regime shows a higher percentage decrease in unemployment than the pre-inflation targeting period. Beyond any doubt, the research approves the engagement of the SARB to monitor (target) CPIX (inflation) due to its ability to ensure price stability and create a stable economic environment favourable to economic performance.

Copulas functions are a flexible tool for modelling the dependence structure between variables. The joint and marginal distributions of Copulas are not constrained by the assumptions of normality. This study examines the dependence structure between the gold, platinum prices and the ZAR/U.S.D exchange rate using Copulas. The study found that marginal distributions of Copulas follows the ARMA (1, 1)-EGARCH (1, 1) and ARMA(1, 1)-APARCH (1, 1) models under different error terms including the normal, the student-t and the skew student-t error terms. It used the Normal, the Student-t, the Gumbel, the rotated Gumbel, the Clayton, the rotated Clayton, the Plackett, the Joe Clayton and the Normal time varying Copulas to analyse the dependence structure between returns prices of gold, platinum and ZAR/U.S.D exchange rate. The results showed evidence of a positive strong dependence between the returns prices of gold, platinum and returns on the Rand/U.S.D exchange rate for constant and time varying Copulas. The result also showed a co-movement of exchange rates and gold and platinum prices during a rise or declining prices of gold and platinum. The results imply that fluctuations in gold and platinum prices generate Rand/U.S.D exchange rate volatility. / Statistics / M. Sc. (Statistics)

由於時間序列在不同範疇的廣泛應用，許多實證結果已明白指出時間序列 資料普遍地存在非線性(nonlinearity)，使得非線型方法在最近幾年受到 極大的重視。然而，對於某些特定的非線型模式，縱然現在已有學者提出 模式選取之檢定方法，但是它們的模式階數確認問題至今卻仍無法有效率 地解決，更遑論得到最佳的模式配適與預測結果了。所以，我們試圖利用 一已於其他科學領域成功應用之新技術──神經網路，來解決非線型時間 序列之預測問題，而我們之所以利用神經網路的原因是其多層前輸網路是 泛函數的近似器(functional approximator)，對任意函數均有極佳之逼 近能力，使我們免除對時間序列資料之屬性(線性或非線性)作事先檢定或 假設的必要。在本篇論文中，我們首先建構15組雙線型時間序列資料，然 後對於這些數據分別以神經網路與自我迴歸整合移動平均(ARIMA) 模式配 適。藉著比較兩者間的配適與預測結果，我們發現神經網路對於預測非線 型時間序列是較具有穩健性。最後，我們以台幣對美元之即期匯率作為我 們的實證資料，結果亦證實了神經網路對於預測一般經濟時間序列亦較具 穩健性。 / With rapid development at the study of time series, the nonlinear approaches have attracted great attention in recent years. However, there are no efficient processes for the problem of identification to many specifically nonlinear models . Even if many testing methods have been proposed, we still can not find the best fitted model and obtain the best forecast performance. Hence, we try to solve the forecast problems by a new technique -- neurocomputing, which has been successfully applied in many scientific fields. The reason why we apply the neural networks is that the multilayer feedforward networks are functional approximators for the unknown function. In this paper, we will first construct several sets of bilinear time series and then fit these series by neural networks and ARIMA models. In this simulation study, we have found that the neural networks perform the robust forecast for some nonlinear time series. Finally, forecasting performance with favorable models will also be compared through the empirical realization of Taiwan.

Univ., Diss.--Zugl.: Oslo, 2007.

Wiss. Hochsch. für Unternehmensführung, Diss--Vallendar, 2006.

No description available.

A crescente entrada de empresas asiáticas e a diminuição das barreiras de entrada vêm aumentando de maneira significativa a concorrência na indústria calçadista global, o que está colocando o setor calçadista nacional em situação difícil e, portanto, todas as mudanças que ocorrem na indústria passam a ter importância estratégica caso afetem a competitividade das empresas, obrigando estas avaliarem seu posicionamento estratégico no mercado. Até o fim de 2004, o setor de exportação de calçados foi privilegiado por uma soma de fatores favoráveis, principalmente a taxa de câmbio. Em 2005, com a valorização do real frente ao dólar, o mercado se retraiu e as vendas externas sofreram uma queda de 23 milhões de pares em comparação com o ano anterior. Nos primeiros meses de 2006, o cenário desfavorável manteve-se e as empresas exportadoras continuaram registrando perdas. Os produtores chineses que atuam no setor estão elevando sua participação pelo mundo de forma avassaladora. Neste cenário que envolve a indústria calçadista nacional, surgem questões fundamentais para que o setor mantenha um desempenho positivo e com possibilidade de elevar sua participação no comércio mundial de calçados. Estas questões passam fundamentalmente por dois aspectos: o primeiro é a perda de competitividade da indústria nacional frente aos competidores asiáticos, o segundo são as alternativas que o setor possui para se manter competitivo no mercado externo e sustentar um desempenho crescente. Algumas hipóteses para estas questões passam pela alta vulnerabilidade do setor frente à variação cambial, influência da concorrência chinesa, legislação tributária e trabalhista extremamente onerosa e ultrapassada. Assim, identificar as possíveis alternativas estratégicas para sustentar a competitividade das empresas exportadoras de calçados, torna-se o objetivo principal desta dissertação. Outros aspectos substanciais serão desenvolvidos no decorrer do estudo, tais como: a descrição do panorama das exportações brasileiras de calçados a partir de 1990; análise do posicionamento estratégico das empresas; avaliação do impacto da variação cambial ao setor calçadista; identificação de opções estratégicas para as empresas exportadoras. Os custo inerentes de se produzir no Brasil atualmente não permitem mais que as empresas concorram com estratégia de baixo custo. Por isto, para que a indústria calçadista nacional seja mantida, é essencial, contudo, que as empresas brasileiras mirem nichos de mercados inexplorados que fiquem fora da concorrência voltada para o baixo custo, sendo necessário que se faça um forte investimento em tecnologia, design e recursos humanos, além de apelo de marketing para o desenvolvimento da marca própria. / The increasing entrance of Asian companies and the reduction of the entrance barriers comes increasing in significant way the competition in the global foowear industry, what it is placing the national footwear’s sector in difficult situation, therefore, all the changes that occur in the industry start to have strategical importance in case of affect the competitiveness of the companies, forcing evaluate its strategic positioning in the market. Until the 2004 end, the sector of exportation of footwear was privileged for an addition of favorable factors, mainly the exchange rate. In 2005, with the valuation of the real front to the dollar, the external market if retracted and business had suffered a fall from 23 million pairs in comparison with the previous year. In the first months of 2006, the favorable scene was remained and the exporting companies had continued registering losses. The Chinese producers that act in the sector are raising its participation for the world of overwhelming form. In this scene that involves the national footwear industry, basic questions so that the sector keeps a positive performance and with possibility appear to raise its participation in the world-wide commerce of footwear. These questions pass basically for two aspects: the first one is the loss of competitiveness of the national industry front to the Asian competitors, as they are the alternatives that the sector possesss to remain itself competitive in the external market and to support a performance increasing. Some hypotheses for these questions pass for the high vulnerability of the sector front to the exchage variation, influence of the Chinese competition, legislation tax and member of labor party extremely onerous and exceeded. Thus, to identify the possible strategical alternatives to support the competitiveness of the exporting companies of footwear, becomes the main objective of this dissertation. Other substantial aspects will be developed during of the study, such as: the description of the view of the Brazilian exportations of footwear from 1990; analysis of the strategical positioning of the companies; evaluation of the impact of the exchange variation to the footwear’s sector; identification of strategical options for the exporting companies. The cost inherent of if producing in Brazil currently do not allow more than the companies concur with strategy of low cost. For this, so that the national industry is kept, it is essential, however, that the Brazilian companies look niches of unexplored markets that are outside of the competition directed toward the low cost, being necessary that if makes a strong investment in technology, design and human resources, beyond appeal marketing the development of the proper mark.

[pt] Teorias internacionais na área de economia e finanças acreditam em uma relação significante entre o mercado cambial futuro e o mercado cambial à vista. Se esta afirmação for verdadeira, isto significa que os valores negociados no mercado futuro seriam bons previsores dos valores que viriam a ser negociados no mercado à vista em uma data futura. No entanto, diversos estudos e dados empíricos revelam que este evento não se mostra fiel no mercado cambial brasileiro (Real/Dólar) bem como em outros mercados cambiais internacionais, em especial nos principais mercados europeus. A justificativa para tal, estaria na presença de prêmios de risco não observáveis. Desta forma, o objetivo deste presente estudo é avaliar o motivo da não ocorrência deste evento, recorrendo a estudos internacionais variados, de modo a testar e avaliar um grupo de variáveis que poderiam auxiliar no entendimento deste descasamento das taxas. As quatro variáveis selecionadas neste estudo são: diferença entre os valores de compra e venda da taxa à vista e a termo; a diferença da taxa a termo e à vista no mesmo período; e a diferença real e em módulo da taxa à vista e a taxa à vista carregada pelo modelo de paridade do poder de compra. Estas são analisadas em dois modelos de horizontes, de um mês e doze meses e a escolha por estas variáveis foi baseada na identificação de suas significâncias em estudos em diferentes mercados como, por exemplo, com a taxa libra/euro, bem como são aproximações dos prêmios de risco de liquidez, temporal e cambial. Os resultados apurados indicam que variáveis como a diferença entre os valores de compra e venda da taxa a termo e a diferença real da taxa à vista e a taxa à vista carregada pelo modelo de paridade do poder de compra, possuem relações significantes quando se busca entender o descasamento das taxas a termo e à vista. No entanto, testes de confiabilidade dos modelos, indicam certa restrição com relação aos resultados gerados. O estudo é finalizado indicando que as variáveis significantes podem auxiliar no entendimento do descasamento das taxas. Porém, a existência de eventos de stress de ordem política, monetária e jurídica entre outros (exemplos de risco país) inviabiliza determinar uma variável que ajude a explicar, com alto nível de significância, este evento. Além disso, caso a identificação de variáveis fosse trivial e com comportamento uniforme haveria a possibilidade de arbitragem no mercado cambial e, portanto, investidores poderiam auferir lucros sem exposição alguma à riscos. / [en] International theories in economy and finance areas expects a significant relation between forward and spot exchange markets where negotiations in forward market could predict the future of spot negotiations. However, this event is not noted at Brazilian exchange market (Brazilian real/dollar) as well at others international markets, especially at developed European markets. The reason would be in the presence of unobservable risk premiums. Therefore, the objective of that research is to evaluate the reason of that event does not run, utilizing some international researches, in order to test and to evaluate variables that could explain that rate s gap. The four variables selected for this study are: forward and spot bid-ask; the difference between forward and spot rates; and difference (real and absolute) between spot rate and spot rate built from purchase parity power condition. These variables are studied on one and twelve months horizons ans that selection has considered the presented significance in others international researches, for example libra/euro exchange rate, and because they are proxies of liquidity, time-varying and currency risk premium. The main results indicate that variables are significant despite the fact that some confiability tests show negative results. For instance, forward bid-ask and difference (real and absolute) between spot rate and spot rate built from purchase parity power condition presented a significance. The study is concluded affirming that some variables could help to explain that gap s rate. However, the existence of country risk does not allow the identification of a enough strong variable. Otherwise, it would enable investors to arbitrage and to profit without risk exposure.

Over the past few decades, many countries have experienced a marked decline in the volatility of output. However, there is still a significant difference between developed and developing countries in the level of output volatility. A proposed explanation for this phenomenon is the impact of economic policies on output volatility in developing countries. The empirical results reported in this study support this view. Trade openness and discretionary fiscal policy seem to increase volatility in developing countries, while the converse is true in developed countries. Furthermore, a flexible exchange rate regime is desirable to decrease volatility. However, many developing countries still use fixed rates for reasons such as a fear of floating, which contributes to volatility. The impact of monetary policy was found to be stabilising, but this could be the result of a favourable global economic environment. It should be noted, however, that uncontrollable factors such as financial systems and institutions play a vital role in all the above relationships. / Economics / M.Com. (Economics)

Foreign direct investment (FDI) is seen as a way to provide the needed capital inflow to stimulate growth in a domestic economy. FDI can also result in increased employment levels, managerial skills and increase in technology. In efforts to attract FDI, host countries have undertaken various policy incentives to attract foreign investors. This study analyses the trends and determinants of inward FDI to South Africa for the period 1975-2005. The study starts by reviewing FDI literature on its determinants and provides the macroeconomic background and FDI related policies undertaken in South Africa. The trend and sectoral analysis provides the actual nature of FDI flows to South Africa. An empirical model linking theoretical and empirical determinants of FDI is estimated using the Johansen cointegration and VECM framework. The study also augments the cointegration framework with impulse response and variance decomposition analyses to complement the long and short run determinants of FDI. Dummy variables are used in each of the estimated FDI models to take into account the possibility of structural breaks. Results show that relative to the size of the economy and to other developing countries, South Africa still receives low levels of inward FDI. Only are few years are exceptional i.e. 1997, 2001 and 2005. From the sectoral distribution, the financial sector is now the major recipient of FDI followed by the mining and manufacturing sectors. The emergence of the financial sector could suggest that FDI motives could have shifted from the natural resource seeking and market seeking to efficiency seeking FDI. The United Kingdom emerges as the major source of FDI to South Africa followed by United States of America and Germany. Empirical analysis indicated that openness, exchange rate and financial development are important long run determinants of FDI. Increased openness and financial development attract FDI while an increase (depreciation) in the exchange rate deters FDI to South Africa. Market size emerges as a short run determinant of FDI although it is declining in importance. Most of the impulse response analysis confirmed the VECM findings. Variance decomposition analysis showed that FDI itself, imports and exchange rate explain a significant amount of the forecast error variance. The influence of market size variable is small and declining over time.