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No description available.

This study is concerned with the analysis of the long-run substitution pattern of primary energy sources for the Italian economy, over the period of 1960-1994. A neoclassical model, set in the cost function approach, has been used to retrieve the energy inputs derived demand functions, via Shephard's lemma, using a translog cost function specification. Four primary energy sources have been considered, namely, oil, electricity, natural gas and coal. Recent advances in time series econometric theory have provided tools devices for modelling long-run equilibrium relationships and their associated short-run dynamics jointly. The Engle and Granger (1987) and the Engle and Yoo (1989) cointegration approach has been utilised in this study to estimate the long-run share relationships, while the general to specific methodology has been followed to derive error correction formulations for the adjustment processes. Extensions to time-varying parameter cointegration, carried out in the framework of the structural time series approach, have also been considered. The applications of traditional and time-varying parameter cointegration to the Italian energy market are the main sources of originality of this work. The study is divided into three main parts. The first part introduces the economic and econometric frameworks employed in the analysis. The second part is concerned with the actual empirical analysis. This consists of data description, the structural time series approach and the application of traditional and time-varying parameter cointegration theory to estimate a derived factor demand model. Finally, the third part summarises and discusses the results of the analysis.

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The aim of this thesis is to analyse theTelationship between the exchange rate and stockmarket, in the UK, USA, Germany, Japan, Canada and the Netherlands over the period 1974 to 1994. It is motivated by recent changes in the international financial environment, particularly the gradual removal of exchange restrictions and the consequent rise in capital flows between the main economies. A further motivation has been the increasing use of stock market variables in macroeconomic models. The theoretical literature indicates that for a variety of different exchange rate models, it is possible for the exchange rate and stock market to interact in a number of different ways, following an exogenous shock. It is therefore pnmanly an empirical question as to the specific signs on the variables in the models analysed. This thesis predominantly uses cointegration and error correction models, so that both the long run relationship and short run dynamics can be examined separately. The thesis shows that stock prices and exchange rates do not have common trends, but do have common cycles. In general exchange rates and stock prices are found to be inversely related. In addition the foreign exchange market risk premium is shown to be directly linked to the differential between the domestic and foreign equity risk premiums. It is also found that the expected change in the exchange rate is more closely linked to risk rather than return differentials.

Thesis (Ph. D.)--University of Washington, 2007. / Vita. Includes bibliographical references (leaves 81-87).

Diss. Uppsala : Univ., 2004.

Thesis (Ph. D.)--West Virginia University, 2008. / Title from document title page. Document formatted into pages; contains ix, 106 p. : ill. (some col.). Vita. Includes abstract. Includes bibliographical references (p. 101-105).

Thesis (Ph. D.)--University of Washington, 1998. / Vita. Includes bibliographical references (leaves [114]-121).

Thesis (Ph.D. (Economics))-University of Pretoria, 2005. / Abstract in English. Includes bibliographical references. Available on the Internet via the World Wide Web.