The overall purpose of this study is to estimate how the rise in grain prices (especially corn prices) induced by ethanol production impacts U.S. catfish industry. Using monthly data from January 1996 to December 2007, an ARDL model and bounds testing procedure were used. The existence of cointegration between the feed price and its regressors and between the farm price and its regressors was found. Results show that the short- and long-run feed price elasticity with respect to corn prices were 0.224 and 0.075, respectively. It was found that energy is more important to catfish feed production than to farm level catfish production, and is more important to processor level production than to farm level production. Results further showed that catfish farmers will lose net returns because the estimated farm price elasticity with respect to feed prices was smaller than the necessary change that would keep net returns the same. The overall purpose of this study is to estimate how the rise in grain prices (especially corn prices) induced by ethanol production impacts catfish feed prices and catfish prices at the farm level. Using monthly data from January 1996 to December 2007, an ARDL model and bounds testing procedure were used to test the existence of cointegration between the variables of interest. The existence of cointegration between the feed price and its regressors and between the farm prices and its regressors was found. Estimation results show that the short- and long-run feed price elasticity with respect to corn prices were 0.224 and 0.075, respectively. Feed and farm price elasticities with respect to energy prices were highlighted. The results show that energy is more important to catfish feed production than to catfish production at the farm level, and energy is more important to catfish production at the processor level than to production at the farm level.

This study examines the relationship between banks, stock market and economic development in Botswana using quarterly data from 1995 to 2016. To find out if there is a link between financial development and economic growth, the three measures of stock market development used are stock market capitalization, total value of shares traded and turnover. For bank-based financial development, the proxy is bank credit to private sector and the measure of economic growth is real gross domestic product (GDP) per capita. To analyse the long run and short run relationships among the variables of interest, this study implements the Autoregressive Distributed Lag (ARDL) cointegration technique and the Granger causality technique to find the direction of causality. The findings indicate that there is a positive short and long run relationship between stock market variables and economic growth when turnover and market capitalization are used as proxies and value traded is significant and negatively related to economic growth. The study found that bank credit to private sector is negatively related to economic growth both in the short and the long run. There is bidirectional causality between stock market financial development and economic growth and no causal relationship between banking financial development and economic growth in Botswana. This study recommends that there should be appropriate reforms to develop the financial sector in Botswana to help promote economic growth. Botswana should also have reforms to promote economic growth to foster stock market financial development. This study also offers a comprehensive and detailed overview of the state of the economy, banking system and the financial markets system of Botswana which can help foreign investors as well as individual and institutional investors in making sound investment decisions.

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 shadow banking and other informal finance institutions within the context of China in both the development and purchase of housing, in supporting productive economic activities in general, and that the housing market is in turn intricately connected to the health of the Chinese economy, being a key ‘barometer’. The second part of the research is the quantification of the determinants of the scale of shadow banking in China. The quantification is crucial since policy makers need to be aware of how sensitive shadow banking is to various factors. We develop a theoretical framework to explain the evolution of the scale of shadow banking in China. As part of this research, we investigate whether the real interest rate of household saving deposits, the required reserve ratio and bank loans to business and household are the main factors in explaining the evolution of China’s shadow banking. In the third part of research, we employ a credit risk and macroeconomic stress test to investigate the vulnerability of the commercial banks in China. Our originality here is the integration of both the role of shadow banking and housing market related loans in the commercial banks’ stress test scenarios at the macro level. Since a systematic analysis regarding the effect of changes in the macroeconomy and housing market on the credit risk of commercial banks in China is scarce, we use bank stress tests to analyse the credit risk in terms of the non-performing loans ratio of commercial banks in China; this is in response to changes in the macroeconomic factors and housing market. We address the role of the variation of the scale of shadow banking in China in terms of its contribution to the credit risk because of its uncertainty and close link with the commercial banks. Stress tests often focus on a single bank or financial institution yet we apply the same principles to examine the financial system as a whole in China, which would allow us to quantify the systemic risk in the entire Chinese financial system; and which variables, especially shadow banking contribute to the risks and by how much. This thesis contributes to the understanding of how China’s dual-channel housing finance system and shadow banking affect the evolution of house prices; and also, the main driving factors of the scale of China’s shadow banking and whether the housing market related loans and shadow banking pose risks to commercial banks. Possible research questions raised by the main findings of this thesis will enrich the debate on China’s housing market, shadow banking and regular banks, especially at a time when China is reforming its economic structure.

自1970年代以來有許多研究指出，能源價格衝擊對於一個國家的總體經濟表現有顯著的影響。但對於能源價格究竟是以何種形式，以及透過什麼管道對總體經濟產生影響，卻沒有一致的看法。同時，經濟決策者對於能源價格變動的反應，經常因為有不確定性的存在而有延後反映的現象。本文利用台灣1981年到2009年的能源價格，建構數種對稱與不對稱之能源價格變動設定，以Granger因果關係檢定探討能源價格變動與台灣其他相關的總體經濟變數資料間的關係；並透過自我迴歸分配落後模型 (Autoregressive Distributed Lag Model, ARDL) 模型估計能源價格與台灣產出的長期關係。我們的實證結果顯示：能源價格，相較於台灣的總體經濟體系，具有外生性。能源價格成長率對產出與失業率沒有顯著的影響；但能源價格的波動程度對台灣產出成長率卻有顯著的負面影響。能源價格波動率與台灣實質產出具有長期均衡關係，而且能源價格波動將對台灣實質產出有負面影響。 / Since the 1970s, numerous studies have demonstrated that energy price impact can have a significant influence on a country’s macroeconomy. However, there is no consensus regarding in what form, or by which channel can energy price changes affect the macroeconomy. In addition, economic decision makers often respond to energy price changes with a time lag due to the existence of uncertainty. This paper constructs several indicators of symmetric and asymmetric energy price changes based on the energy prices in Taiwan for the period from 1981 to 2009. We employ the Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the autoregressive distributed lag model (ARDL) to estimate the long-run relationship between energy price volatility and Taiwan’s real GDP. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; the energy price growth rate does not have significant impact on output and unemployment rate, while the energy price volatility has negative impact on Taiwan’s macroeconomy. There is long-run relationship between the energy price volatility and Taiwan’s real GDP. Furthermore, the energy price volatility do have negative impact on Taiwan’s real GDP.

傳統財務理論中均假設市場為效率市場，然而不動產市場並非效率市場，投資者對於市場資訊之反應並非完全理性。若投資者忽視自身擁有之資訊，選擇追隨其他人的投資決策，將使投資人間存在相互牽制之行為，因而產生行為財務學中之「從眾行為」，其決策結果將無法完全反應市場資訊，並造成投資人集體買進、賣出之行為，使市場價格與交易量存在不正常之波動。由於台灣不動產市場長期以來存在有價格漲幅波動超越合理範圍之現象，因此本研究探討台灣不動產市場是否存有從眾行為，使得投資人具有非理性的投資傾向。 有鑑於過去關於從眾行為之研究仍以股票市場中報酬率或交易量驗證為主，對於台灣運用交易量進行不動產市場之從眾行為驗證則付之闕如，而從眾行為對於不動產市場之影響，首先將反映於交易量之波動，因此本研究運用自我迴歸分配落遲模型對於台灣不動產市場是否存在從眾行為進行驗證，並比較不動產報酬率波動不同之交易市場，其從眾行為存在情形之異同。 模型結果顯示台灣三大都會區（臺北市、臺中市與高雄市）與臺北市分區（分為市中心、郊區與郊外）中，僅臺北市整體與臺北市分區之住宅市場明顯存在從眾行為現象。結果顯示當該住宅市場存在從眾行為時，當期交易量將受到當期持有成本與前期市場報酬率之影響。此外，交易量除受從眾行為之影響外，尚受到經濟成長率、營建類股股價指數、物價指數租金年增率、營造工程物價指數等之正向影響，而購屋貸款利率與通貨膨脹則和交易量呈反向變動現象。 本研究以探討從眾行為、交易量與總體經濟因素之關連性，進一步釐清影響住宅市場交易量波動之因素，使購屋者於決策時參考前期市場交易情形能更加理性，避免盲目跟隨下的從眾行為產生。 / Base on the Efficient Market Hypothesis, the traditional financial theory assumes the market is efficient. However, the real estate market is not. For this reason, investors could not react to market information entirely. If investors ignore their own information, they may choose to follow other peoples’ investment decisions. Therefore, this situation will lead to herding behavior of behavioral finance that may cause price volatility and unusual transactions. On account of the real estate market exists unreasonable price fluctuations for a long time in Taiwan, this thesis examines whether the herding behavior exists in Taiwan real estate market or not. Although many researchers study the herding behavior in the stock market by using the transactions and the returns on investment, few attempts have been made to discuss the herding behavior in Taiwan housing market by using the housing transactions. Hence, this study examines the herding behavior in Taiwan housing market by establishing the Auto-regressive Distributed Lag (ARDL) model with housing transaction data. Results found the herding behavior of real estate market do exist in the whole Taipei city and the three region of Taipei city (downtown, suburb and outskirt). And it shows the transactions in the housing market with herding behavior may be affected by user cost of housing and pre-market returns. Furthermore, the study finds some macroeconomic factors affecting the housing transactions positivity, such as economic growth rate, construction stocks index, consumer price index of house renting and consumer price index of construction engineering. On the contrary, loan interest rate of housing and consumer price index has negative influence. To conclude, this study aims to examine the influential factors on the volatility of housing transactions though clarifying the relationship between the herding behavior, the transactions in housing market and the macroeconomic factors. It may help investors follow other peoples’ investment decisions more reasonable, and avoid blind herding behavior in real estate markets.