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Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro- individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods? This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis extends the model by introducing share prices and exchange rates to investigate the role of these two important to the monetary transmission mechanism, concluding that business confidence plays a strong role in interest rate transmission and a weaker role in the transmission of asset prices and exchange rates. Subsequently, in order to...

This diploma thesis is devoted to the linkages among stock, bond and foreign exchange markets in the Czech Republic, Austria, Germany and Poland during the period from the beginning of the year 2007 to the end of the year 2014. In order to complexly describe the interconnections among the markets, we utilized two kinds of spillover indices (from the generalized and structural VAR model), dynamic correlation coefficients obtained from the multivariate GARCH model and contemporaneous coefficients from the structural VAR model that was identified through heteroskedasticity in structural shocks. These methods enabled us to describe the linkages among the markets from different angles, to capture their time evolution and to obtain a notion about the transmission mechanism among these markets in Central Europe. The results, inter alia, indicate an intensifying interconnection among the markets during crisis periods, lowering impact of stock markets, increasing influence of bonds and a dominant role of German bonds and Austrian stocks. At the same time, we were able to capture the influence of the European sovereign debt crisis on the spillovers and on the intensity of linkages among the markets. We showed that the intensity of linkages among bond markets relented, probably as a result of higher emphasis on the...

<p>The purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables.</p><p>The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with those of several other actors. It is reasonable to assume that some of the forecasts for t+16 have reliable results. The Lithuanian forecast show a fall in GDP with 12.51 per cent in 2009 and a GDP growth of 4.23 per cent in 2010. The forecast for Estonia show that the GDP will decrease with 1.49 per cent in 2009 and 12.72 per cent in 2010. Finally the forecast for Latvia show a fall in GDP of 3.1 per cent in 2009 and 18 per cent in 2010. From the findings it is possible to conclude that the model provided reliable estimates of future levels of GDP for the Baltic States and the benchmark countries. This indicates that the model should be applicable on other countries of interest.</p>

In practice, we often meet data in the form of observations of several variables at various points in time. These data are called time series. We present various approaches in time series analysis; graphical models, vector autoregres- sive models and vector moving-average models. We try to get information about mutual relationship of the variables and then to model their behavior. The used techniques are illustrated on log returns of monthly average exchange rates. The programs are processed in the software Mathematica 7 and can be found on the CD. 1

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.

This thesis explores the relationship between interest rates, house prices and main macroeconomic variables. In particular, I examine how monetary policy affects house prices in the Czech Republic. The hypotheses assume that an increase in the interest rate that tends to decrease house prices also reduces output and inflation simultaneously. Therefore, the latter would imply that the monetary authority faces a trade-off between macroeconomic and financial stability. The empirical analysis is based on a vector autoregression model and the monetary policy shock is retrieved by the Cholesky decomposition. As for the results, the findings of the thesis conclude that there is a costly trade-off between macroeconomic and financial stability within the Czech economy.

The purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables. The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with those of several other actors. It is reasonable to assume that some of the forecasts for t+16 have reliable results. The Lithuanian forecast show a fall in GDP with 12.51 per cent in 2009 and a GDP growth of 4.23 per cent in 2010. The forecast for Estonia show that the GDP will decrease with 1.49 per cent in 2009 and 12.72 per cent in 2010. Finally the forecast for Latvia show a fall in GDP of 3.1 per cent in 2009 and 18 per cent in 2010. From the findings it is possible to conclude that the model provided reliable estimates of future levels of GDP for the Baltic States and the benchmark countries. This indicates that the model should be applicable on other countries of interest.

In this study, time series analysis and factor analysis of multivariate analysis were applied to surface water quality monitoring data sets. In order to gain a better understanding on water pollution situations and sources of different river basin, we have done some statistical analysis according to the water quality monitoring data from the database of Environmental Protection Administration Executive Yuan in the years from 2004 to 2008. The statistical analysis is based on the aforementioned contents to find the common latent factors of the water pollution and try to explain the main sources of water pollution of river basins. Specifically the water quality monitoring data of the Tamsui River and the Kao-Ping River basin are analyzed. In seriously polluted areas, from the time series results they reveal that the water quality monitoring data has significant serial correlations. Therefore we firstly use vector autoregression (VAR) model to eliminate the dynamic dependencies of data, and later perform the factor analysis for the residuals. With this analysis procedure, the resulting models and factor variables from the factor analysis, sufficiently explained water quality variables with the potential relationship between environmental pollution in the region.

The subject of this study is to examine the determinants of the real exchange rate in Taiwan. The sample period is from the first quarter of 1982 to the second quarter of 2011, and the variables include the real exchange rate, terms of trade, productivity differential, the real oil price, reserve differential, real interest rate differential, and the net foreign assets of Taiwan and America. The empirical results show that there is no cointegration between the real exchange rate and independent variables. Using a VAR model, this study finds that although the central bank of Taiwan would intervenes the real exchange rate, the variable related to the economic growth is still significant. At 5% significance level, an increase in the productivity differential leads the real exchange rate to depreciate. In addition, from the result of the granger causality test, this study finds that there exists unidirectional causality from the productivity differential and central bank intervention respectively to the real exchange rate. The effect of central bank intervention on the real exchange rate only persists one period, and the effect of the productivity differential persists two more periods. Therefore, it can be concluded that when estimating the future real exchange rate, it may be useful to take the productivity differential into account.