Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

Ces dernières décennies ont vu l'émergence des microsystèmes électromécaniques (MEMS) grâce notamment aux techniques de fabrication employées dans l'élaboration des transistors. L'utilisation de différentes propriétés physiques (électroniques, mécaniques, optiques par exemple) a permis la construction d'un large panel de capteurs miniaturisés. Résultant de la miniaturisation sub-micrométrique des MEMS, les nanosystèmes électromécaniques (NEMS) constituent un tout nouveau type d'objet permettant d'adresser des applications nécessitant un très haut niveau de sensibilité et de résolution, comme la détection de gaz, la spectrométrie de masse ou la reconnaissance de molécules faisant traditionnellement appel à des machines très volumineuses. L'utilisation de ces NEMS requiert cependant un circuit électronique CMOS afin de lire et d'exploiter le signal en sortie de résonateur et servant également à la mise en place d'une boucle oscillante (boucle à verrouillage de phase ou boucle auto oscillante par exemple), architecture idéale pour la détection de masse en temps réel. L'intégration du circuit CMOS avec les résonateurs NEMS constitue un aspect critique quant à la fabrication de capteurs de haute performance. La solution optimale consiste à intégrer de manière monolithique ces deux parties sur la même puce, permettant ainsi de réduire la dimension du capteur et d'améliorer la transmission du signal électrique entre les résonateurs et le circuit CMOS. Cette thèse propose dans un premier temps d'analyser l'intérêt de cette co-intégration du point de vue électrique. Dans un second temps, cette thèse portera sur le développement d'une approche originale visant à co-intégrer de manière monolithique les nano résonateurs au-dessus du circuit CMOS et des interconnexions. La dernière partie portera sur le design d'un détecteur de masse composé d'un réseau compact de NEMS co-intégré CMOS. / During these last decades, Very Large Scale Integration (VLSI) techniques, well developed for transistors, have been used for the Micro ElectroMechanical Systems (MEMS) devices. Thanks to the combination of different physical properties (such as electronic, mechanical, optical etc.) the fabrication of various kinds of miniaturized sensors has been made possible. The sub-µm downscaling of MEMS has allowed the emergence of a new kind of devices called NEMS (for Nano ElectroMechanical Systems) and the possible use of the electromechanical systems in specific applications in which a high level of sensitivity and resolution is necessary, such as gas sensing, mass spectrometry and molecules recognition, to replace traditional bulky machines. Nevertheless, the use of these NEMS requires a CMOS electronic to enhance NEMS resonators readout and to implement closed-loop oscillators (e.g. phase-locked loop or self-oscillating loop) that provide real-time mass measurements. The integration of the electronic circuit with the resonators is a critical aspect for the fabrication of high performance sensors. The best way consists in monolithically processing these two parts on the same die allowing a size reduction of the sensor and an optimal signal transmission between the NEMS resonators and the CMOS circuit. In a first time, this thesis proposes to analyze the interest of this co integration from an electrical point of view. In a second time, this thesis deals with the development of a 3D co integration in which the nano resonators are fabricated above the CMOS circuit and the interconnections. The final part is focused on the layout design considerations for the implementation of a compact mass sensor based on a NEMS array co integrated with a CMOS.

Os modelos ARFIMA de memória longa mostraram-se nesse trabalho mais versáteis à análise da persistência em séries temporais em comparação aos modelos ARIMA. As funções impulso-resposta dos modelos de integração fracionária indicam que essa classe de modelos capta mais adequadamente as informações contidas nas baixas freqüências das séries e, portanto, estes modelos são mais capacitados para avaliar como os choques econômicos são acomodados no médio e longo prazo. Os estudos simulatórios mostraram que os testes de raiz unitária aplicados a processos com memória longa possuem baixo poder, e que os estimadores por máxima verossimilhança e os baseados no espectro de ondaletas são eficientes para estimar o parâmetro de integração fracionária. Os estudos empíricos encontraram componentes altamente persistentes nas séries brasileiras do produto, desemprego e consumo. A análise de co-integração fracionária refutou os resultados do arcabouço I(1)-I(0) que sugerem a não co-integração entre as séries consumo das famílias e renda disponível. A variabilidade relativa dessas séries foi analisada por meio da análise em multiresolução de ondaletas. Concluiu-se que, nas baixas escalas, a variabilidade entre as séries varia em função da escala temporal envolvida. A doutrina da paridade do poder de compra com dados brasileiros foi revisitada por meio da análise de co-integração fracionária. / The long-memory ARFIMA models proved to be more versatile in this study to the analysis of endurance in time series compare to the ARIMA models. The impulse-response functions of the fractionally integrated models indicate that this class of models more adequately gathers the data enclosed in the low frequencies of the series and thus these models are more befitted to evaluate how economic shocks are settled in the medium and long terms. Simulation studies unveiled that the unit root tests applied to long-memory processes have low power, and that the maximum likelihood estimators as well as those based on wavelet spectrum are efficient in estimating the fractional difference parameter. Empirical studies have found highly persistent components in the Brazilian series of the product, unemployment and consumption. The fractional co-integration analysis rebutted the results of the I(1)-I(0) framework, which suggest the non co-integration between the series of families\' consumption and the disposable income. The relative variability of these series was investigated through a wavelet multiresolution analysis. It was concluded that, in small scales, the variability between the series changes according to the time scale involved. The Purchasing Power Parity doctrine with Brazilian data has been revisited through the fractional co-integration analysis.

Made available in DSpace on 2016-03-15T19:30:44Z (GMT). No. of bitstreams: 1 Andre Wakamatsu.pdf: 3217691 bytes, checksum: 1c24d8cfb446c335c1b83266a22241de (MD5) Previous issue date: 2011-02-17 / Fundo Mackenzie de Pesquisa / The competitive strategy of a firm is defined by choosing one alternative over the rivals, from differentiated activities set to deliver a product or service (strategic positioning). If firms cooperate or collude with each other, they don t have choices conflict and the strategy would not be necessary. To verify if several firms in the same market are in collusion, the responsible economic defense agencies considers the hypothesis that firms are in monopolistic competition (known as the hypothetical monopolist approach). Coe, Krause (2008) made an empirical study with the methods commonly used to evaluate the price-based approaches using synthetic data obtained from a market simulation with differentiated products. However,the authors consider a market structure where firms try to maximize profit without the constraint that, in long run, economic profit is zero. The aim of this work was to generate synthetic data considering the monopolistic competition and analyze if two econometric tests,Augmented Dickey-Fuller (ADF) and co-integration, can be used to delimitate this market structure. Since it was considered that the market consists of firms that have products with substitutes, the trends of the firms prices was stationary over time and therefore the price series should be correlated and co-integrated. In addition, it was analyzed what would happen to the equilibrium prices when an importing company, for example, a product that would be considered a substitute by the consumers, but had no problems related to the increased cost of production in the domestic market. It was observed that the importing firms, when its price was lower than that the other firms in the domestic market, tend to slow the increase of the firms price. / A estratégia competitiva de uma empresa significa escolher uma alternativa em relação aos concorrentes, a partir de um conjunto diferenciado de atividades, para a entrega de um produto ou serviço de valor único (posicionamento estratégico). Se as empresas não tivessem conflito de escolhas, a estratégia não seria necessária. Uma forma delas não terem conflito de escolha é ter uma conduta de cooperação ou conluio. Para se verificar se diversas empresas em um mesmo mercado estão em colusão, os órgãos responsáveis pela defesa econômica considera a hipótese de que as empresas estão em concorrência monopolística (conhecida como abordagem do monopolista hipotético). Coe; Krause (2008) fizeram um estudo empírico com relação aos métodos comumente utilizados para avaliar as abordagens baseadas em preço por meio do uso de dados sintéticos obtidos de uma simulação de um mercado com produtos diferenciados. Entretanto, os autores consideraram uma estrutura de mercado em que as empresas tentam maximizar o lucro, sem a restrição de manter o lucro econômico igual a zero. Neste trabalho, a proposta foi gerar dados sintéticos considerando que as empresas estão em competição monopolística e analisar se dois testes econométricos, Dickey-Fuller ampliado (ADF) e co-integração, servem para delimitar este tipo de estrutura. Uma vez que foi considerado que o mercado é composto de empresas que tem produtos substitutos próximos, a evolução dos preços exercidos pelas empresas foi estacionária ao longo do tempo e, portanto, as séries dos preços eram correlacionadas e co-integradas. Além disso, também foi analisado o que ocorreria com os preços de equilíbrio quando uma empresa importadora, por exemplo,importasse um produto que seria considerado um substituto direto pelos consumidores, mas não tivesse os problemas relacionados ao aumento do custo de produção no mercado nacional.Foi observado que uma empresa importadora, quando exerce um preço menor do que o exercido pelas empresas do mercado nacional, tende a diminuir o ritmo de aumento do preço das outras empresas, disciplinando-as.

The relationship between inflation and unemployment, called the Phillips curve was used by several economies since 1960 as a key theoretical tool for the development of economic policies. The pioneering study by AW Phillips developed an empirical analysis with data on unemployment and change in wages in the UK, found a tradeoff between the variables, which enabled the economic policy makers choose between a low unemployment with high inflation and high unemployment with low inflation. However, in the 1970s, the theory of the Phillips Curve was put in check because of stagflation, the presence of high rates of inflation and unemployment. The changes in the economic scenario caused changes in the generation of socioeconomic data. Thus, the Phillips theory underwent theoretical changes over the years in order to further pursue its explanatory power. Given the above, the question arises whether the applicability of the Phillips curve is still appropriate for today's economies. This study estimated a Phillips curve for the Brazilian economy in the 2002-2013 period, using an econometric approach. The analysis consisted in the use of time series, by means of co-integration technique for data on inflation, unemployment in that period. The results, considering the variables applied, show that it was not possible to verify an inverse relationship between inflation and unemployment in Brazil during the study period. It is intended in future work to add more variables to the model in order to get Phillips curve estimates for Brazil more significant. / A relação entre inflação e desemprego, denominada curva de Phillips foi utilizada por diversas economias a partir de 1960 como uma ferramenta teórica fundamental na elaboração de políticas econômicas. O estudo pioneiro de A. W. Phillips que elaborou uma análise empírica com dados sobre desemprego e variação dos salários no Reino Unido, constatou um trade off entre as variáveis, que possibilitou aos formuladores de políticas econômicas escolher entre um baixo desemprego com alta inflação ou alto desemprego com baixa inflação. Porém, na década de 1970, a teoria da Curva de Phillips foi colocada em cheque em decorrência da estagflação, presença de altas taxas de inflação e de desemprego. As mudanças no cenário econômico provocavam alterações na geração dos dados socioeconômicos. Deste modo, a teoria de Phillips passou por transformações teóricas com o passar dos anos a fim de continuar válido o seu poder explicativo. Diante do exposto, surge a questão se a aplicabilidade da curva de Phillips continua adequada para as economias atuais. O presente estudo estimou uma curva de Phillips para economia brasileira no período de 2002 a 2013, utilizando uma abordagem econométrica. A análise consistiu na utilização de séries temporais, por meio da técnica de co-integração para os dados sobre inflação e desemprego no período citado. Os resultados obtidos, considerando as variáveis aplicadas, demonstram que não foi possível verificar uma relação inversa entre inflação e desemprego no Brasil durante o período analisado. Pretende-se em trabalho futuro acrescentar mais variáveis ao modelo a fim de obter estimativas de curva de Phillips para o Brasil mais significativas.

Thesis(M.Com. (Economics)) -- University of Limpopo, 2019 / The reality is that the South African GDP is not within the range of what is projected the previous years. As the proposed expenditure for 2017/18 totals R1.56 trillion according to the 2017 budget speech, the treasury also need to reduce spending by a total of R26 billion over the next two years. Economic growth continues to be below expected levels in South Africa and unemployment is very high. The relationship between inflation, economic growth and government expenditure is important in both developing and developed countries. Like in any other economy in the world, the South African government’s most important role is to promote economic growth, and also to sustain high economic growth with low inflation (Brand South Africa, 2015). The study is completely based on secondary data. The methodology is quantitative which includes econometrical tools. For this purpose, this study applied Augmented Dickey-Fuller (ADF) and Phillips Perron unit root tests, Choice of the lag length, Johansen-Juselius Co-integration analysis, VEC Granger Causality/Block exogeneity Wald test, Vector Error Correlation Model, Diagnostic tests, Stability tests, Impulse response and Choleski/Variance decomposition methodology. From the findings, the results derived by applying Johansen-Juselius Co-integration indicate that there is a longterm relationship between the rate of inflation, economic growth and government expenditure, and also that both government expenditure and inflation impact negatively on economic growth. The results indicate that government expenditure encourages inflation impacting negatively on investment and the country’s GDP. Granger causality runs jointly from all three variables inflation, government expenditure and investment to the dependent variable (economic growth)

Yes / We provide new evidence that current account balances in Greece, Portugal and Spain have become non-stationary after the adoption of the euro implying that there is no long-run stable relationship between savings and investment contrary to the Feldstein-Horioka puzzle. This can be taken as evidence of unsustainable current account balances and loss of solvency for the underlying economies. Using the ARDL methodology we also report a statistical association between fiscal balances and current account balances which implies that fiscal austerity can help these economies to reduce their current account deficits and restore their competitiveness. Our empirical evidence also suggests a particularly strong significant negative association between domestic investment and current account deficits. The magnitude of this latter effect may have important policy implications concerning the ways in which investment is financed to improve external competitiveness.

The causal relationship between financial development and economic growth is a controversial issue. For developing countries, empirical studies have provided mixed result. This study seeks to empirically explore the relationship and the causal link between financial development and economic growth in two sub-Saharan African countries between 1970 and 2006. The empirical investigation is carried out using time methods and the five most commonly used indicators of financial development in the literature. However, the causal relationship was carried out using two different methods which are the autoregressive distributed lag bounds testing (ARDL) and the vector error correction model (VECM). Using this above methodology the study first found that in both countries there is a positive and long-term relationship between all the indicators of financial development and economic growth which was proxied by the real per capita GDP. With respect to the causality test, the two methods used provide mixed results especially in South Africa. In Cameroon the study found that financial development causes economic growth using the two methods, whereas in South Africa economic growth causes financial development when the VECM method is used, while there is an independence relationship between the two variables in South Africa when using ARDL. / Economics / M.Comm. (Economics)

The main purpose of this study is to empirically assess the relationship between inflation and economic growth in Ethiopia using quarterly dataset from 1992Q1 to 2010Q4. In doing so, an interesting policy issue arises. What is the threshold level of inflation for the Ethiopian economy? Based on the Engle-Granger and Johansen co-integration tests it is found out that there is a positive long-run relationship between inflation and economic growth. The error correction models show that in cases of short-run disequilibrium, the inflation model adjusts itself to its long-run path correcting roughly 40% of the imbalance in each quarter. In addition, based on the conditional least square technique, the estimated threshold model suggests 10% as the optimal level of inflation that facilitates growth. An inflation level higher or lower than the threshold level of inflation affects the economic growth negatively and hence fiscal and monetary policy coordination is vital to keep inflation at the threshold. / Economics / M. Com. (Economics)

The main purpose of this study is to empirically assess the relationship between inflation and economic growth in Ethiopia using quarterly dataset from 1992Q1 to 2010Q4. In doing so, an interesting policy issue arises. What is the threshold level of inflation for the Ethiopian economy? Based on the Engle-Granger and Johansen co-integration tests it is found out that there is a positive long-run relationship between inflation and economic growth. The error correction models show that in cases of short-run disequilibrium, the inflation model adjusts itself to its long-run path correcting roughly 40% of the imbalance in each quarter. In addition, based on the conditional least square technique, the estimated threshold model suggests 10% as the optimal level of inflation that facilitates growth. An inflation level higher or lower than the threshold level of inflation affects the economic growth negatively and hence fiscal and monetary policy coordination is vital to keep inflation at the threshold. / Economics / M. Com. (Economics)