<p>This dissertation is a collection of four essays on nonstationary time series econometrics, which are grouped into four chapters. The first chapter investigates the inference in mildly explosive autoregressions under unconditional heteroskedasticity. The second chapter develops a new approach to forecasting a highly persistent time series that employs feasible generalized least squares (FGLS) estimation of the deterministic components in conjunction with Mallows model averaging. The third chapter proposes new bootstrap procedures for detecting multiple persistence shifts in a time series driven by nonstationary volatility. The last chapter studies the problem of testing partial parameter stability in cointegrated regression models.</p>

Different capital regulatory requirements in the bank and insurer markets lead to finding and using of new more complex financial tools linked with capital release and subsequent optimization of the investment objectives, but they are also linked with promises and risk transfers that could cause a collapse or a systemic risk of the financial markets, as evidence by the recent financial crisis. The aim of my work is to examine the behavior of credit default swap spreads on the securitization and reinsurance markets, followed by analyzing arbitrage conditions between securitization and reinsurance markets by cointegration analysis. The thesis focuses on Italy because it is one of four main European players in the securitization market and it has highly developed bank and insurer markets. Moreover, it still faces to consequences of the recent financial crisis that is indicator of strong possible bases for above mentioned complex financial instruments. On the dataset of Top 8 Italian banks and insurer companies in the period 2006 - 2012 I showed by cointegration analysis a presence of just one cointegration relationship between securitization and reinsurance market, therefore I rejected possibility of arbitrage between these markets. But on the other hand, they converge to long term equilibrium slowly...

In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo / premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.

Η εργασία που ακολουθεί εκπονήθηκε στα πλαίσια του μεταπτυχιακού προγράμματος σπουδών “Διοίκηση Επιχειρήσεων Τροφίμων ”, του τμήματος Διοίκησης Αγροτικών Προϊόντων και Τροφίμων του Πανεπιστημίου Πατρών, κατά την ακαδημαϊκή περίοδο σπουδών 2011-2013. Ο μηχανισμός μετακύλισης των τιμών μεταξύ παραγωγών και καταναλωτών έχει αποτελέσει αντικείμενο εκτεταμένης έρευνας κυρίως στον τομέα των τροφίμων. Η παρούσα εργασία αναλύει τα βασικά προϊόντα του νομού Αιτωλοακαρνανίας κυρίως του πρωτογενή τομέα ενώ ειδικότερα εξετάζει την ύπαρξη ασυμμετρίας στον μηχανισμό μεταβίβασης τιμών μεταξύ των παραγωγών και των καταναλωτών στον τομέα του κρέατος στην Ελλάδα. Πιο συγκεκριμένα, η έρευνα επικεντρώνεται στα τέσσερα είδη κρέατος όπως μοσχαριού, αρνιού, χοιρινού και κοτόπουλου. Οι τιμές των τεσσάρων ειδών κρέατος έχουν χορηγηθεί από την Ελληνική Στατιστική Αρχή. Όλες οι μεταβλητές μετασχηματίζονται σε λογαρίθμους και οι τιμές αποπληθωρίζονται με βάση τον δείκτη τιμών καταναλωτή (2009=100). Για την μελέτη της ασυμμετρίας γίνεται χρήση των τεχνικών συνολοκλήρωσης (Threshold Cointegration Analysis) καθώς εκτιμάται και ένα δυναμικό υπόδειγμα διόρθωσης λαθών (Error Correction Model, ECM). Διερευνάται η ύπαρξη μακροχρόνιας σχέσης μεταξύ παραγωγών και καταναλωτών στην υπό εξέταση αγορά, ενώ η κατεύθυνση της αιτιότητας κατά Granger έδειξε πως η τιμή του καταναλωτή επηρεάζει την τιμή του παραγωγού. / The following assignment carried out through of the postgraduate program "Food Business Management" at the department of Management Food and Agricultural products of University of Patras, the academic study period 2011-2013. The price transmission mechanism between producers and consumers has been the subject of extensive research mainly in the food sector. This paper analyzes the commodities the county of Aitoloakarnania mainly in the primary sector while particularly considers the existence of asymmetry in the transmission mechanism of prices between producers and consumers in the meat sector in Greece. More specifically, the research focused on four types of meat such as beef, lamb, pork and chicken. The values of the four types of meat have been granted by the Greek Statistical Authority. All variables transformed into logarithms and prices are deflated by the consumer price index (2009 = 100). For studying the asymmetry are used techniques of cointegration (Threshold Cointegration Analysis) and estimated as a dynamic error correction model (Error Correction Model, ECM). Investigated the existence of long-term relationships between producers and consumers in the relevant market, while the direction of Granger causality test showed that the price of the consumer affects the value of the producer.

Wealth, well-being and the standard of living of the population are among the most important topics of economic policy and statistics. This diploma thesis deals with statistical concepts of wealth measurement, especially the wealth of households. The aim of the thesis is to introduce various indicators that deal with the mentioned issues. This thesis will describe Gross Domestic Product, Household Consumption, EU-SILC Survey, or Alternative Indicators Assessing the Living Standard of the Population. The most important indicator characterizing the wealth of households will be the net worth of households. On the presented indicators I will describe the development of wealth of households in the Czech Republic since 1993. Another part of the thesis is focused on describing the relationship between net worth and other indicators of wealth through cointegration analysis of time series. In this cointegration analysis, the ADL model and the EC model will be used. The last part of the thesis is aimed at the international comparison of the wealth of households within selected European countries. For this comparison will be use a cluster analysis to build clusters of states with a similar household wealth.

Magister Commercii - MCom / Issues pertaining to the misalignment of exchange rate have become central in the analysis of open economy macroeconomics for developing countries. This is at least due to two reasons: first persistent overvaluation of currency is seen as a powerful early warning of potential currency crisis and second protracted periods of exchange rate misalignment are highly associated with poor economic performance in a number of developing countries. Owing to this fact, economists are in concession that aligning real exchange rates towards their equilibrium values is an important component of macroeconomic policy adjustments in order to achieve and maintain a sustainable development. For this purpose the estimation of the degree of the real exchange rate misalignment has become pivotal. However, despite the concession among economists regarding the need to minimize the frequency and magnitude of exchange rate misalignment, the estimation of the equilibrium exchange rate (hence the misalignment) has been among the most controversial and challenging issues in modem macroeconomics. For several decades, the Purchasing power parity (PPP) approach-which is based on the law of one price-has been the most widely used methodology for the estimation of the equilibrium exchange rate in both developed and developing countries. In South Africa some attempts have been made to estimate the misalignment of the rand against major currencies on the basis of the PPP approach. However, large numbers of empirical studies show that PPP does not hold except in the 'ultra' long run. In addition, PPP's assumption of a constant equilibrium exchange rate makes it ill-fitted to serve as a bench-mark for the analysis of the exchange rate in countries such as South Africa that experience substantial structural changes. As a result a number of macro-econometric models underlying on the macroeconomic determinants of exchange rate have been developed, albeit with little applicability in developing countries. In this study, we have used Edwards' (1989) intertemporal general equilibrium model of a small open economy in order to estimate the degree of the real exchange rate misalignment and its impact on the international trade competitiveness of the South African economy for the period 1985:1-2000:4. For this purpose a dynamic single equation error correction model of a first order autoregressive distributed lag model, ADL (1,1), and five years moving average technique have been employed to estimate the exchange rate misalignment. Whereas impulse response analysis and variance decomposition techniques of a cointegrated VAR (vector auto regression) have been established to assess the impact of the misalignment on trade competitiveness. The fmdings of the study reveal that the real exchange rate had been consistently overvalued during the period' 1988:3-1998:2 but undervalued during periods 1998:3- 2000:4. For most of the periods during 1985:1-1988:2 the rand had been undervalued. More over the study discloses that exchange rate misalignment debilitates South Africa's international trade competitiveness accounting for 20 percent of the variation in competitiveness.

Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. Based on the classification of cities, this research has selected Yangzhou as the main research sample to predict the overall situation of housing bubble in third-level cities in China. The paper integrates the relevant theories and methods of the housing bubble research mentioned in the literature, and seeks out a set of suitable real estate bubble research methods: using ADF test, EG cointegration analysis to see whether the indicators are suitable as variables in the Granger causality test and regression analysis, and then perform regression analysis on the appropriate variables and housing prices to judge the real estate bubble. Also, the result of Yangzhou is applied to compare with that of Beijing and Shanghai so as to get the difference of real estate markets between first- and third-level cities. / Bostadsbubblor kan ge allvarlig inverkan på ett lands ekonomi, särskilt för ett så stort land som Kina. Därför är det nödvändigt att utvärdera om eventuella bostadsbubblor förekommer i olika regioner. I detta arbete analyseras förekomsten av en bostadsbubbla i en av Kinas städer i den tredje storleksklassen enligt det kinesiska klassificeringssystemet. Studieobjektet som valts är Yangzhou. I uppsatsen diskuteras de relevanta teorier och metoder som förekommer i litteraturen för analys av bostadsbubblor och ett antal metoder tillämpas. ADF-test och Engel-Grainer-kointegration används för att avgöra vilka av de tillgängliga marknadsindikatorerna som är lämpliga att använda vid test av Granger-kausalitet och i regressionsanalyser. Regressioner med de utvalda variablerna görs sedan mot bostadspriser för att erhålla mått på förekomsten av en bostadsbubbla. De empiriska resultaten från studien jämförs också med resultat för Beijing and Shanghai för att påvisa skillnader mellan marknaderna i städer av första respektive tredje storleksklassen.

The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tradable sector. Hence estimated models confirm the price level convergence of transition economies towards the reference economies. The analyses of price dynamics of the complementary field, i. e. of the tradables, follows, and the basic concept is represented by the rational bubble hypothesis. The stress is putted on the impact of the word prices on the price levels of the Czech Republic. After a cointegration analysis of the time series is carried out, the influence of the word prices of tradable commodities is estimated within a vector error correction model and regression analysis. This cost factors analysis is afterwards related to the export dynamics of the Czech Republic, and models suitable for quantitative analysis of export dynamics as well as its prediction based on vector error correction model and regression analysis are evaluated. Their forecasting ability is assessed within a simulation of ex-post forecasts and a root mean squared error. The aim is to consider the relationship between the price levels and the export dynamics, for the relation of both variables evaluated within the Granger causality seems to be less straightforward then the standard export equations suggest, and the estimated equations confirm significant influence of the export dynamics on the price level.