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Master of Arts / Department of Economics / Lance J. Bachmeier / This thesis uses a structural VAR approach with a recursiveness assumption to examine the effects of an expansionary monetary policy shock on financial variables. We build this on the established research of the effects of monetary shocks on macro variables by measuring the expansionary shock as an increase in the money supply. We also investigate interest rate policy and test whether financial market variables matter for the determination of interest rate. We analyze four different cases in this paper using the innovations in the money supply, non-borrowed reserves, the interest rate and bond yield (including bonds with remaining maturity period close to 30- years) as a measurement for the expansionary monetary policy shock.

The principle aim of this thesis is to construct a consumption function for Turkey for policy analysis using the annual State Planning Organisation (SPO) time-series data. This study commences from 1962 and extends until the end of 1994, when a financial crisis occurred in Turkey. It attempts to analyse not only the decline in the private savings rate during the first half of the 1980s, but also the significant rise from 1986 onwards. The thesis starts with an introduction which explodes the main research objectives, considers the existing consumption theories and extentions, records the main data features to be explained, briefly overviews the modelling strategy and discusses the basic considerations of the research and gives the structure of thesis. A literature survey on the theory of consumption is given in Chapter 2. The LifeCycle/ Permanent-Income hypothesis is considered as central to the two mainstream approach. : the Euler approach and the solved-out approach. These approaches are further extended by considering uncertainty and precautionary saving, credit restrictions, saving and leisure. habit or costs of adjustments and the durability of goods, the role of assets and asset prices. financial liberalisation and demographic factors. Finally, comparisons between the two approaches arc made in the conclusion of that chapter. Theory can deliver concepts with permanent relationships in economics, but it should be supported by empirical findings, since theory alone is insufficient to determine the actual economic relationship. Hence, Chapter 3 focuses on theoretical and appl ied modelling issues to construct a theory-consistent, congruent and encompassing consumption function. Congruency implies that the empirical model matches the available evidence in al l measured attributes (i.e., it is consistent with the theory from which it was derived, has unexplained components that arc innovations against available information, has basic parameters that are constant, is data admissible, and where any conditioning variables are weakly exogenous for the parameters of interest). Encompassing denotes that the model of interest can account for the result of rival models of the same phenomena. I also define structure as the set of invariant features of the economic mechanism. A parameter can be structural only if it is invariant for an extension of the sample period (constant), is invariant with respect to changes elsewhere in the economy (regime shifts), and is invariant over extensions of the information set (adding more variables). Chapter 4 examines the small-sample properties of the statistical methods used by means of Monte Carlo simulations. The informativeness of the data is investigated in an unrestricted Vector Auto-regression (VAR) with small-samples of noisy data combined with a high real growth rate and nominal inflation. This is to see how the relative drift dominates in explaining the informativeness of the data. The Monte results are summarised by using response surfaces to relate the biases to sample size. The ratio of standard deviations to standard errors in each equation is also analysed. The strong impacts of the system error variances in these response surfaces indicate the importance of high variances in VA Rs. Furthermore, I found noise, and a function of the signal to noise ratio. and cross-equation correlation had a large impact, but less effect from the relative drift. Chapter 5 presents an overview of the Turkish Economy, particularly during the sample period. by pointing out the lessons to be drawn from the stabilisation experiments and their effect on the private sector saving decision in Turkey. The aim of Chapter 6 is to get nominal housing wealth and housing price data from the available data, such as the nominal private disposable income. nominal private investment in the housing sector and the consumer price index, since housing wealth is claimed to be a major determinant of private savings in Turkey. Chapter 7 aims to reveal the problems of Turkish data by analysing the history of the Turkish a1ional Accounts to construct a data-base for estimating a consumption function for Turkey. GDP by expenditure is constructed from five different sources. Turkish accounting residuals are allocated by applying the linear regression approach. The results show that GDP-by-output is more reliable than the GDP-by-expenditure measure for Turkey. Chapter 8 is devoted to the time series modelling and evidence. Previous findings on consumption for Turkey have been formulated using conventional econometric techniques with a static estimation methodology within the Permanent Income Hypothesis (PIH). I adopted the equilibrium correction model (ECM) solved-out consumption function approach and tried to incorporate the effects of age. precautionary behaviour in the case of uncertainty, credit constraints, habits or costs of adjustments. and the durability of goods for developing belier understanding of private sector savings behaviour in Turkey. The modelling is based on the dynamic econometric methodology that involves the estimation of a general unrestricted model (GUM). a co-integration and long-run analysis, and the simplification of the GUM to a parsimonious dynamic model that is deduced by applying a sequential testing procedure. The final model is congruent: It matches the available evidence in all measured attributes and forecasts well, has white noise errors and constant parameters, and encompasses the VAR model equation as well as other specifications in previous models. Moreover, the model has a structural interpretation. The results of the final model reveal strong positive effects of the real interest rate. inflation and inflation uncertainty, a strong negative effect of population aged 15-44, a positive effect after one lag period of the change in the average propensity to consume. which represents the effects of expectations, habits or adjustment costs, in addition to the significant effect of the inverse of per capita Private Disposable Income and the change in housing wealth to income ra1io on the private average propensity to consume in Turkey. These findings offer an explana1ion for the salient features of the Turkish consumption pattern observed from 1he lime series data. These results also provide some policy implications such that inOation control should be strengthened and improved for consumption stabilisation. Furthermore. interest rate policy also has an important role to play in the savings process in Turkey. The research on small-sample properties of 1hc statistical methods by means of Monte Carlo Simulations strengthens the results of the empirical model. These. confirm the poor determination of intercepts in I(I) VARs, and the corresponding advantages of an equilibrium correction model formulation. Furthermore. the insignificance the of irrelevant dynamics should encourage model builders to use a dynamic econometric methodology to develop parsimonious models, such as used for building a consumption model for Turkey in this thesis.

The Gambia, a small open economy, implements a managed floating exchange rate regime. The central bank (CBG) has the mandate to design and implement monetary policy with the primary aim of achieving price and exchange stability in the economy. In spite of interventions by the CBG, the country continues to experience fluctuations in its exchange rate with several instances of major spikes in recent years. This thesis proposes a solution, through a change of policy regime, to control the long time and disturbing depreciation of the domestic currency. In a vector auto regressive framework, the study investigates sources of the exchange rate variability using quarterly data from 1998:Q1 to 2012:Q4. Furthermore, the OCA theory and the pre- conditions of inflation targeting are used to make a choice between a common currency and inflation targeting for the Gambia. The findings from the Johansen test of cointegration suggest that the selected key macroeconomic variables are cointegrated, meaning, they have long run equilibrium. The results of the VECM reveal that error correction mechanism can be achieved in some of the variables. This indicates that there exists the convergence process. In addition, the results from the impulse response analysis put forward that the macroeconomic variables have effect on...

A quantificação da evapotranspiração é uma tarefa essencial para a determinação do balanço hídrico em uma bacia hidrográfica e para o estabelecimento do déficit hídrico de uma cultura. Nesse sentido, o presente trabalho aborda a análise da evapotranspiração de referência (ETo) para a região de Jaboticabal-SP. O comportamento do fenômeno na região foi estudado a partir da interpretação de dados de uma bateria de 12 lisímetros de drenagem (EToLis) e estimativas teóricas por 10 equações diferentes disponíveis na literatura. A análise estatística de correlação indica que as estimativas da ETo por equações teóricas comparadas à EToLis medida em lisímetro de drenagem não apresentaram bons índices de comparação e erro. Admitindo que a operação dos lisímetros não permitiu a determinação da ETo com boa confiabilidade, propôs-se um ajuste local das demais metodologias de estimativa da ETo, através de auto-regressão (AR) dos ruídos destas equações em comparação com uma média anual estimada pela equação de Penman-Monteith (EToPM), tomada como padrão, em períodos quinzenal e mensal. O ajuste através de regressão linear simples também foi analisado. Os resultados obtidos indicam que a radiação efetiva é a variável climática de maior importância para o estabelecimento da ETo na região. A estimativa pela equação de Penman-Monteith apresentou excelente concordância com as equações de Makkink (1957) e do balanço de energia. Os ajustes locais propostos apresentaram excelentes resultados para a maioria das equações testadas, dando-se destaque às equações da radiação solar FAO-24, de Makkink (1957), de Jensen-Haise (1963), de Camargo (1971), do balanço de radiação, de Turc (1961) e de Thornthwaite (1948). O ajuste por regressão linear simples é de mais fácil execução e apresentou excelentes resultados. / The quantification of the evapotranspiration is an essential task for the determination of the water balance in a watershed and for the establishment of the culture´s water deficit. Therefore, the present work describes the analysis of the reference evapotranspiration (ETo) for the region of Jaboticabal-SP. The phenomenon behavior in the region was studied based on the interpretation of 12 drainage lysimeters data (EToLis) and on theoretical estimates for 10 different equations available in the Literature. An statistical analysis indicated that the theoretical ETo estimates compared with the EToLis did not present good indices of comparison and error. Admitting that the lysimeters operation did not allow a reliable ETo determination, a local adjustment of the theoretical methodologies for ETo estimate was considered. An auto-regression (AR) of the noises of these equations in comparison with the annual average estimate for the Penman-Monteith equation (EToPM), taken as standard, has been performed in fortnightly and monthly periods. The adjustment through simple linear regression has also been analyzed. The obtained results indicate that the effective radiation is the most important climatic variable for the establishment of the ETo in the region. The Penman-Monteith estimate presented excellent correlation to the estimates by Makkink (1957) equation and the energy balance. The local adjustments presented excellent results for the majority of the tested equations, specially for the solar radiation FAO-24, Makkink (1957), Jensen-Haise (1963), Camargo (1971), radiation balance, Turc (1961) and Thornthwaite (1948) equations. The adjustment by simple linear regression is of easier execution and also presented excellent results.

<p>By using AR/ARX-models on data generated by a nonlinear differential equation system representing a model for the cell-cycle control system in budding yeast, the interactions among proteins and thereby also to some extent the genes, are sought. A method consisting of graphical analysis of differences between estimates from two local linear models seems to make it possible to separate a set of linear equations from the nonlinear system. By comparing the properties of the estimations in the linear equations a set of approximate equations corresponding well to the real ones are found. </p><p>A NARX model is tested on the same system to see whether it is possible to find the dependencies in one of the nonlinear differential equations. This approach did, for the choice of model, not work.</p>

By using AR/ARX-models on data generated by a nonlinear differential equation system representing a model for the cell-cycle control system in budding yeast, the interactions among proteins and thereby also to some extent the genes, are sought. A method consisting of graphical analysis of differences between estimates from two local linear models seems to make it possible to separate a set of linear equations from the nonlinear system. By comparing the properties of the estimations in the linear equations a set of approximate equations corresponding well to the real ones are found. A NARX model is tested on the same system to see whether it is possible to find the dependencies in one of the nonlinear differential equations. This approach did, for the choice of model, not work.

In this thesis, sustainability of the Turkish domestic debt is analyzed within the &ldquo / sustainability indicators&rdquo / perspective. The fiscal targets of Maastricht Treaty (1992) are imposed on the Turkish fiscal policy and it is investigated whether these targets are the indicators for sustainability in the medium term. Uctum and Wickens&rsquo / (2000) methodology is followed in assessing the sustainability of the current fiscal policy and the efficiency of the Maastricht Treaty (1992) targets. Moreover, the vector auto regression (VAR) approach of Garcia and Rigobon (2004) is utilized in deriving the econometric model for the debt dynamics of Turkey. The results suggest that domestic debt of Turkey has been unsustainable within 1994-2008. Furthermore, the Maastricht Treaty (1992) fiscal targets are binding for Turkey and gaining more significance in the recent years.

A quantificação da evapotranspiração é uma tarefa essencial para a determinação do balanço hídrico em uma bacia hidrográfica e para o estabelecimento do déficit hídrico de uma cultura. Nesse sentido, o presente trabalho aborda a análise da evapotranspiração de referência (ETo) para a região de Jaboticabal-SP. O comportamento do fenômeno na região foi estudado a partir da interpretação de dados de uma bateria de 12 lisímetros de drenagem (EToLis) e estimativas teóricas por 10 equações diferentes disponíveis na literatura. A análise estatística de correlação indica que as estimativas da ETo por equações teóricas comparadas à EToLis medida em lisímetro de drenagem não apresentaram bons índices de comparação e erro. Admitindo que a operação dos lisímetros não permitiu a determinação da ETo com boa confiabilidade, propôs-se um ajuste local das demais metodologias de estimativa da ETo, através de auto-regressão (AR) dos ruídos destas equações em comparação com uma média anual estimada pela equação de Penman-Monteith (EToPM), tomada como padrão, em períodos quinzenal e mensal. O ajuste através de regressão linear simples também foi analisado. Os resultados obtidos indicam que a radiação efetiva é a variável climática de maior importância para o estabelecimento da ETo na região. A estimativa pela equação de Penman-Monteith apresentou excelente concordância com as equações de Makkink (1957) e do balanço de energia. Os ajustes locais propostos apresentaram excelentes resultados para a maioria das equações testadas, dando-se destaque às equações da radiação solar FAO-24, de Makkink (1957), de Jensen-Haise (1963), de Camargo (1971), do balanço de radiação, de Turc (1961) e de Thornthwaite (1948). O ajuste por regressão linear simples é de mais fácil execução e apresentou excelentes resultados. / The quantification of the evapotranspiration is an essential task for the determination of the water balance in a watershed and for the establishment of the culture´s water deficit. Therefore, the present work describes the analysis of the reference evapotranspiration (ETo) for the region of Jaboticabal-SP. The phenomenon behavior in the region was studied based on the interpretation of 12 drainage lysimeters data (EToLis) and on theoretical estimates for 10 different equations available in the Literature. An statistical analysis indicated that the theoretical ETo estimates compared with the EToLis did not present good indices of comparison and error. Admitting that the lysimeters operation did not allow a reliable ETo determination, a local adjustment of the theoretical methodologies for ETo estimate was considered. An auto-regression (AR) of the noises of these equations in comparison with the annual average estimate for the Penman-Monteith equation (EToPM), taken as standard, has been performed in fortnightly and monthly periods. The adjustment through simple linear regression has also been analyzed. The obtained results indicate that the effective radiation is the most important climatic variable for the establishment of the ETo in the region. The Penman-Monteith estimate presented excellent correlation to the estimates by Makkink (1957) equation and the energy balance. The local adjustments presented excellent results for the majority of the tested equations, specially for the solar radiation FAO-24, Makkink (1957), Jensen-Haise (1963), Camargo (1971), radiation balance, Turc (1961) and Thornthwaite (1948) equations. The adjustment by simple linear regression is of easier execution and also presented excellent results.