<p>This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.</p>

During the last two decades, the European Union (EU) has experienced closer market integration through the removal of trade barriers, the establishment of a single market, and the reduction of exchange rate volatility. In addition, there have been several structural reforms in product markets designed to increase competition, monitor cross-country price differences and increase transparency. One anticipated effect of market integration is price convergence, because of the reduced potential for price discrimination across the EU. This dissertation explores market integration and price convergence in the European pharmaceutical market, which is the fifth largest industry in the EU. Since 1985, many EU directives have been adopted to achieve a single EU-wide pharmaceutical market, with the aim of enhancing the quality of life for European citizens and the European pharmaceutical industry's competitiveness and research and development capability. Using annual 1994--2003 data from five EU countries on prices of drugs used to treat cardiovascular disease, this dissertation explains how the integration process has affected cross-country drug price dispersion in the EU. The results show strong evidence of price convergence in the pharmaceutical market, with long term price differences arising from country fixed effects.

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The thesis consists of four papers that address likelihood-based unit root tests for panel data with cross-sectional dependence arising from common factors. In the first three papers, we derive Lagrange multiplier (LM)-type tests for common and idiosyncratic unit roots in the exact factor models based on the likelihood function of the differenced data. Also derived are the asymptotic distributions of these test statistics. The finite sample properties of these tests are compared by simulation with other commonly used unit root tests. The results show that our LM-type tests have better size and local power properties. In the fourth paper, we estimate the spaces spanned by the common factors and the spaces spanned by the idiosyncratic components of the static factor model by using the quasi-maximum likelihood (ML) method and compare it with the widely used method of principal components (PC). Next, by simulation, we compare the size and power properties of established tests for idiosyncratic unit roots, using both the ML and PC methods. Simulation results show that the idiosyncratic unit root tests based on the likelihood-based residuals generally have better size and higher size-adjusted power, especially when the cross-sectional dimension is small and the time series dimension is large.

Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.

This research paper investigates the causality issue between economic growth rate (GDP) and Information and Communication Technology (ICT) investment in Sweden by applying modern time series techniques. It mainly covers time series analyses of 30 years of Sweden data (1980-2009). During that period, development in Information and communication technology (ICT) infrastructure of Sweden was an evolutionary process based on innovation and technological knowledge. Telecommunication revolution which occurred and developed on the basic idea that economic change can be explained as co-evolution of technologies, institutions and development blocks (such as investment). The other way of describing it as an analysis of a long wave based on telecommunication technological revolution and key factor involved the share of investment in it. Standard tests of Unit roots, Cointegration and Granger Causality tests are presented. The main reason of such study is the assessment of ICT investment influence directly on economic growth. The results provide an interesting aspect that ICT investment share can possibly be a contributing factor to telecommunications infrastructure development but it cannot be as a whole sufficient enough for stimulating economic growth (GDP).It is found that one way causality running from ICT investment to economic growth (GDP) but only at one year lagged values not at other higher lagged values. The lack of long run relationship may be due to the inadequacy in reflecting the full effect of ICT investment in other complementary segments. The other complementary factors of ICT 's infrastructure are quite essential as well in describing economic growth and development level.

nÃo hà / Este trabalho tem por objetivo investigar a relaÃÃo entre a polÃtica econÃmica do estado do Cearà vis à vis os demais estados do Nordeste, em funÃÃo da evoluÃÃo da arrecadaÃÃo do Imposto sobre CirculaÃÃo de Mercadorias e ServiÃos de Transporte Interestadual e Intermunicipal e de ComunicaÃÃo (ICMS). Os dados das arrecadaÃÃes estaduais foram obtidos no site do Conselho Nacional de PolÃtica FazendÃria (CONFAZ), no perÃodo de Janeiro/2005 a Dezembro/2013. A anÃlise inicial das correlaÃÃes entre as arrecadaÃÃes do Estado do Cearà e as arrecadaÃÃes dos demais estados do Nordeste demonstrou uma associaÃÃo em torno de 95%, sugerindo a ocorrÃncia de um crescimento conjunto de toda regiÃo Nordeste. Por fim, comparou-se a evoluÃÃo da arrecadaÃÃo do Cearà à mÃdia da arrecadaÃÃo dos estados nordestinos e foram realizados os testes de raiz unitÃria ADF e KPSS para investigar a sua tendÃncia de longo prazo. Os resultados indicaram a possibilidade de cointegraÃÃo entre as evoluÃÃes da arrecadaÃÃo do ICMS do Estado do Cearà com a maioria dos estados do Nordeste, com exceÃÃo dos estados do PiauÃ, Rio Grande do Norte e Alagoas. AlÃm disso, observa-se um crescimento do ICMS cearense de Janeiro/2009 a Janeiro/2010 acima da mÃdia regional e um aparente arrefecimento desse crescimento a partir dessa data. / This study aims to investigate the relationship between the state economic policy of Cearà vis à vis the other states of the Northeast, in line with developments of the collection of the Tax on Circulation of Goods and Interstate and Intermunicipal Transportation and Communication Services (ICMS). Data from state collections were obtained from the website of the National Council for Financial Policy (CONFAZ), from January/2005 to December/2013. The initial analysis of the correlations between the collections of the State of Cearà and the collections of other states of the Northeast showed an association around 95%, suggesting the occurrence of a set growth throughout the Northeast. Finally, he compared the evolution of the collection of Cearà the average collection of the northeastern states and unit root tests were performed ADF and KPSS to investigate its long-term trend. The results indicated the possibility of cointegration between the evolutions of Cearà State ICMS collection with most Northeastern states except the states of PiauÃ, Rio Grande do Norte and Alagoas. In addition, there is an increase in Cearà ICMS January/2009 to January/2010 above the regional average and an apparent cooling of this growth thereafter.

nÃo hà / Baseado na literatura e em trabalhos que investigam a hipÃtese de eficiÃncia dos mercados de aÃÃes atravÃs de testes de raiz unitÃria em painel, o objetivo deste trabalho à estender esta metodologia para o mercado de fundos de investimento em aÃÃes. Para tanto, aplicaram-se testes de eficiÃncia para este tipo de mercado para uma amostra nÃo aleatÃria de 20 fundos de investimentos baseados em aÃÃes do mercado brasileiro, utilizando testes que corrijam a caracterÃstica de dados em painel conhecida como dependÃncia transversal, fato este que visa dar validade aos resultados obtidos. Este trabalho faz emprego dos testes Levi, Lin, Shun e In, Pesaran, Chin, que acomodam interdependÃncia entre as unidades cross-action do painel. O resultado principal a ser alcanÃado à mostrar a presenÃa de raiz unitÃria como caracterÃstica na dinÃmica dos Ãndices nesses fundos de investimento em aÃÃes, consistente, assim, com a hipÃtese da eficiÃncia verificando, tambÃm, se os resultados estÃo de acordo com a literatura nacional e internacional, revisitando os trabalhos que empregaram testes em painel que nÃo levam em consideraÃÃo a questÃo da dependÃncia transversal. / Based on the literature and papers that investigate the hypothesis of efficiency of stock markets through the unit root tests in panel, the aim of this paper is to extend this methodology to the investment fund market in stocks, applying efficiency tests for this type of market for a non-random sample of 20 investment funds based on shares of the Brazilian market, using for this purpose, tests that correct feature panel data known as cross dependence, a fact which aims to give validity to the results. This work makes use of the Levi, Lin, Shun and In, Pesaran, Chin tests, accommodating interdependence between units crossaction of the panel. The main result to be achieved is to show the presence of a unit root in the dynamic characteristic of the indices in these investment funds in stocks, consistent, and with the efficiency hypothesis also checking if the results are consistent with national and international literature, revisiting the works that have employed panel tests that do not take into consideration the issue of cross-dependence.

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