<p>År 2000 presenterades en ekonometrisk analys av världens bistånd i artikeln ”Who Gives Foreign Aid to Whom and Why?”, av Alebrto Alesina och David Dollar. Undersökningens syfte var att försöka hitta de variabler som ligger till grund för länders beslut om att skänka bistånd. Resultatet visade att det oftare ligger strategiska och politiska motiv bakom biståndsgivningen, snarare än en önskan om reducerad fattigdom och ökad tillväxt. Efter denna undersökning konstaterade man från svenskt håll att någon liknande undersökning rörande det svenska biståndet aldrig genomförts. Detta trots att Sverige är en av världens största biståndgivare i relativa mått mätt. Sverige skänker varje år så mycket som 0,7 % av BNI i bistånd, och detta bara till FN. Syftet med denna uppsats är därför att undersöka om FN uppfyller de biståndsmål som Sverige har satt upp.</p><p>Genom att försöka hitta variabler som på ett konkret sätt ska mäta de olika biståndsmålen har en ekonometrisk tvärsnittsanalys genomförts. Undersökningen sträcker sig över fem 5-årsperioder, med start 1980. Som beroende variabel har FN:s bistånd per capita använts och som oberoende variabler används BNP per capita, demokrati, rättssäkerhet, jämställdhet, öppenhet, livslängd, barnmortalitet och totalt bistånd. En undersökning av skillnaden i bistånd mellan länder från olika regioner, olika inkomstklasser och med olika skuldsättning har också genomförts.</p><p>Resultatet verkar peka på att FN inte uppfyller de svenska biståndsmålen i sin allokering av bistånd till utvecklingsländer. Men det är svårt att dra några säkra slutsatser på grund av att så få av variablernas koefficienter visar signifikanta värden. Fler undersökningar bör göras innan en säker slutsats kan dras.</p> / <p>In year 2000 an econometric analysis of the world’s ODA was presented in the article “Who Gives Foreign Aid to Whom and Why?” by Alberto Alesina and David Dollar. The purpose of the study was to find the variables that lie as ground for countries’ decision to give foreign aid. The result showed that there are more often strategic and political motives behind the donations, rather than a wish of reduced poverty and economic growth. After this study Sweden concluded that a similar study of the Swedish ODA never had been done. This despite the fact that Sweden is one of the world’s most generous donors, relatively spoken. Sweden donates as much as 0.7 % of its GNP each year, and that’s just to the UN. The purpose of this paper is therefore to investigate whether the UN fulfil the Swedish goals of foreign aid.</p><p>By trying to find variables that correctly measure the different goals, an econometric cross section analysis has been done. The study is divided into five 5-year periods, starting 1980. As dependent variable the UN’s aid per capita is used and as independent variables GDP per capita, democracy, rule of law, equality, openness, expected lifetime, childrens’ mortality and total aid. A study of the difference in aid between countries from different regions, different income classes and with different levels of debt has also been carried out.</p><p>The result implies that the UN does not act in accordance with the Swedish goals of foreign aid, when allocating ODA to developing countries. But it is hard to draw any real conclusions since so few of the coefficients show significant values. More studies should be done before any real conclusion can be made.</p>

År 2000 presenterades en ekonometrisk analys av världens bistånd i artikeln ”Who Gives Foreign Aid to Whom and Why?”, av Alebrto Alesina och David Dollar. Undersökningens syfte var att försöka hitta de variabler som ligger till grund för länders beslut om att skänka bistånd. Resultatet visade att det oftare ligger strategiska och politiska motiv bakom biståndsgivningen, snarare än en önskan om reducerad fattigdom och ökad tillväxt. Efter denna undersökning konstaterade man från svenskt håll att någon liknande undersökning rörande det svenska biståndet aldrig genomförts. Detta trots att Sverige är en av världens största biståndgivare i relativa mått mätt. Sverige skänker varje år så mycket som 0,7 % av BNI i bistånd, och detta bara till FN. Syftet med denna uppsats är därför att undersöka om FN uppfyller de biståndsmål som Sverige har satt upp. Genom att försöka hitta variabler som på ett konkret sätt ska mäta de olika biståndsmålen har en ekonometrisk tvärsnittsanalys genomförts. Undersökningen sträcker sig över fem 5-årsperioder, med start 1980. Som beroende variabel har FN:s bistånd per capita använts och som oberoende variabler används BNP per capita, demokrati, rättssäkerhet, jämställdhet, öppenhet, livslängd, barnmortalitet och totalt bistånd. En undersökning av skillnaden i bistånd mellan länder från olika regioner, olika inkomstklasser och med olika skuldsättning har också genomförts. Resultatet verkar peka på att FN inte uppfyller de svenska biståndsmålen i sin allokering av bistånd till utvecklingsländer. Men det är svårt att dra några säkra slutsatser på grund av att så få av variablernas koefficienter visar signifikanta värden. Fler undersökningar bör göras innan en säker slutsats kan dras. / In year 2000 an econometric analysis of the world’s ODA was presented in the article “Who Gives Foreign Aid to Whom and Why?” by Alberto Alesina and David Dollar. The purpose of the study was to find the variables that lie as ground for countries’ decision to give foreign aid. The result showed that there are more often strategic and political motives behind the donations, rather than a wish of reduced poverty and economic growth. After this study Sweden concluded that a similar study of the Swedish ODA never had been done. This despite the fact that Sweden is one of the world’s most generous donors, relatively spoken. Sweden donates as much as 0.7 % of its GNP each year, and that’s just to the UN. The purpose of this paper is therefore to investigate whether the UN fulfil the Swedish goals of foreign aid. By trying to find variables that correctly measure the different goals, an econometric cross section analysis has been done. The study is divided into five 5-year periods, starting 1980. As dependent variable the UN’s aid per capita is used and as independent variables GDP per capita, democracy, rule of law, equality, openness, expected lifetime, childrens’ mortality and total aid. A study of the difference in aid between countries from different regions, different income classes and with different levels of debt has also been carried out. The result implies that the UN does not act in accordance with the Swedish goals of foreign aid, when allocating ODA to developing countries. But it is hard to draw any real conclusions since so few of the coefficients show significant values. More studies should be done before any real conclusion can be made.

Bostadsrättspriser är under ständig diskussion inte minst i Stockholm där priserna kan vara dubbelt så höga jämfört med övriga Sverige. Olika faktorer ses kunna påverka prisbilden på bostadsrätter, vissa mer intuitivt än andra, samtidigt som till synes liknande bostadsrätter i ett område prismässigt sett kan variera. Detta väcker frågor kring vad det är som påverkar bostadsrättspriser och vilka faktorer som har störst inflytande på prisbilden. Frågeställningarna har lett till studiens syfte: att genom en tvärsnittsstudie, analysera vilka bakomliggande faktorer som ligger till grund för prisbildningen på bostadsrättsmarknaden i centrala Stockholm. Tvärsnittsstudien baseras på insamlade empiriska observationer av sålda bostadsrätter i centrala Stockholm (Kungsholmen, Södermalm, Östermalm samt Vasastan/Norrmalm) under perioden mars till och med maj år 2012. Utifrån hedonisk pristeori, där priset implicit avslöjar konsumentens preferenser, har anpassade regressioner genomförts. Dessa har lett till att konsumenternas prioriteringar gällande olika bostadsrättsaspekter kunnat kartläggas och analyserats. Studiens slutsatser är att bostadsytan är den överlägset mest inflytelserika variabeln vad gäller prispåverkan. Vidare ses även variabler gällande antalet rum, månatlig kostnad, geografiskt läge, balkong, byggnadsperiod, våningsplan, kakelugn och hiss vara signifikanta för att påverka prisbilden. Gällande bostadsrätternas geografiska läge, kopplat till prispåverkan, dras slutsatsen att det är dyrast att bo på Östermalm och i Vasastan/Norrmalm. Detta kan förklaras av ett stort antal bostadsrätter från äldre byggnadsperioder, vilka har visat sig betinga ett högre pris. Ytterligare slutsatser kring faktorer som påverkar prisbilden är att konsumenter värderar att bo relativt högt i bostadshusen samt att de är beredda att betala ett markant högre pris för att få tillgång till balkong eller kakelugn.

Enligt teorin för den så kallade miljökuznetskurvan är samband mellan inkomst per person och mängden föroreningar till en början positiv. Efter att inkomsten per person nått en viss nivå minskar istället föroreningsnivån med ökad inkomst per person. En tänkbar orsak är att individerna efterfrågar en bättre miljö när inkomsten ökar. Enligt politiska modeller, till exempel medianväljarmodellen, är det inte medelinkomsten som är relevant för politiska beslut utan snarare medianinkomsten. Denna studie testar en medianväljarmodell på svaveldioxidmängden i luften genom att ta hänsyn till inkomstfördelningen som mäts med ginikoefficienten. Paneldata från 25 länder för perioden 1971-1992 har använts. Studien finner inte något empiriskt stöd för hypotesen att inkomstfördelningen påverkar svaveldioxidmängden i luften. / According to the theory of the Environmental Kuznets Curve there is a correlation between income per person and how much pollution there is. First, the pollution increases as the income increases and after a certain level of income, the pollution decreases when income increases. One possible reason is increased demand for a better environment when income increases. According to political economy models, such as the median voter model, it is not the average income that is relevant for policy decisions but the median income per person. This study tests a median voter model on the amount of sulfur dioxide in the air by taking the income distribution, which is measured by the gini coefficient, into account. Panel data from 25 countries for the period 1971-1992 were used. The study finds no empirical support for the hypothesis that income distribution affects the amount of sulfur dioxide in the air.

Diss. Uppsala : Univ., 2004.

This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. The focus, however, is mainly on statistical theory. Chapter 2 considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given. Second, a general expression of this moments as a function of lower-order moments is derived. Third, the kurtosis and the autocorrelation function of the squared and absolute-valued observations are derived. The results apply to a host of different GARCH parameterizations. Finally, the existence, or the lack of it, of the theoretical counterpart to the so-called Taylor effect for some members of this GARCH family is discussed. The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has previously been done empirically. In Chapter 3 the same issue is studied theoretically using unconditional fractional moments for the A-PARCH model that are derived for the purpose. The role of the heteroskedasticity parameter of the A-PARCH process is highlighted and compared with corresponding empirical results involving autocorrelation functions of power-transformed absolute-valued return series.In Chapter 4, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH(p,q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is derived. The statistical theory is further illustrated by a few special cases such as the GARCH(2,2) process and the ARCH(q) process.Nonnegativity constraints on the parameters of the GARCH(p,q) model may be relaxed without giving up the requirement of the conditional variance remaining nonnegative with probability one. Chapter 5 looks into the consequences of adopting these less severe constraints in the GARCH(2,2) case and its two second-order special cases, GARCH(2,1) and GARCH(1,2). This is done by comparing the autocorrelation function of squared observations under these two sets of constraints. The less severe constraints allow more flexibility in the shape of the autocorrelation function than the constraints restricting the parameters to be nonnegative. The theory is illustrated by an empirical example. / Revised versions of chapters 2-5 have been published as:He, C. and T. Teräsvirta, "Properties of moments of a amily of GARCH processes" in Journal of Econometrics, Vol. 92, No. 1, 1999, pp173-192.He, C. and T. Teräsvirta, "Statistical Properties of the Asymmetric Power ARCH Process" in R.F. Engle and H. White (eds) Cointegration, causality, and forecasting. Festschrift in honour of Clive W.J. Granger, chapter 19, pp 462-474, Oxford University Press, 1999.He, C. and T. Teräsvirta, "Fourth moment structure of the GARCH(p,q) process" in Econometric Theory, Vol. 15, 1999, pp 824-846.He, C. and T. Teräsvirta, "Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints" in Journal of Time Series Analysis, Vol. 20, No. 1, January 1999, pp 23-30.

In economic time series modelling, dynamic relationships frequently have to be modelled where the explanatory variables influence the dependent variable over more than one period. Such dynamic relationships are found in business cycle forecasting with leading indicators, in marketing models describing the relationship between advertising and sales, and in many traditional econometric models. In this dissertation the transfer function model proposed by Box and Jenkins is used to describe the dynamic structure. There are several approaches that could be used to specify the model. A two-step regression approach is proposed by the author and tested by three simulation studies. Finally, the regression approach and two other approaches are used to identify transfer function models for the Swedish Index of Industrial Production using financial variables as leading indicators. / Diss. Stockholm : Handelshögsk. S. 1-22: sammanfattning, s. 23-162: 4 uppsatser

During the last few years nonlinear models have been a very active area of econometric research: new models have been introduced and existing ones generalized. To a large extent, these developments have concerned models in which the conditional moments are regime-dependent. In such models, the different regimes are usually linear and the change between them is governed by an observable or unobservable variable. These specifications can be useful in situations in which it is suspected that the behaviour of the dependent variable may vary between regimes. A classical example can be found the business cycle literature where it is argued that contractions in the economy are not only more violent but also short-lived than expansions. Unemployment, which tends to rise faster during recessions than decline during booms, constitutes another example. Two of the most popular regime-dependent models are the smooth transition and the threshold model. In both models cases the transition variable is observable but the specification of the way in which the model changes from one regime to the other is different. Particularly, in the smooth transition model the change is a continuous whereas in the threshold model it is abrupt. One of the factors that has influenced the development of nonlinear models are improvements in computer technology. They have not only permitted an introduction of more complex models but have also allowed the use of computer-intensive methods in hypothesis testing. This is particularly important in nonlinear models because there these methods have proved to be practical in testing statistical hypothesis such as linearity and parameter constancy. In general, these testing situation are not trivial and their solution often requires computer-intensive methods. In particular, bootstrapping and Monte Carlo testing are now commonly used. In this thesis the smooth transition model is used in different ways. In the first chapter, a vector smooth transition model is used as a device for deriving a test for parameter constancy in stationary vector autoregressive models. In the second chapter we introduce a panel model whose parameters can change in a smooth fashion between regimes as a function of an exogenous variable. The method is used to investigate whether financial constraints affect firms' \ investment decisions. The third chapter is concern with linearity testing in smooth transition models. New tests are introduced and Monte Carlo testing techniques are shown to be useful in achieving control over the size of the test. Finally, the last chapter is devoted to the Smooth Permanent Surge model. This is a nonlinear moving average model in which a shock can have transitory or permanent effects depending on its sign and magnitude. Test for linearity and random walk hypothesis are introduced. / Diss. Stockholm : Handelshögsk., 2004

The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. The third chapter is about certain stylized facts of financial time series and the idea is to investigate how well the GARCH, EGARCH and ARSV models are able to reproduce these characteristics. The fourth chapter is about evaluating the EGARCH model. A more detailed overview of the chapters follows next.  In Chapter 1 we derive the condition for the existence of moments, the expression for the kurtosis and the one for the autocorrelation function of positive powers of the absolute-valued observations for the EGARCH model. The results of the paper are useful, for example, if we want to compare the EGARCH model with the GARCH model. They reveal certain differences in the moment structure between these models. While the autocorrelations of the squared observations decay exponentially in the GARCH model, the decay rate is not exponential in the EGARCH model. While for the GARCH model the conditions for parameters allowing the existence of higher-order moments become more and more stringent for each even moment this is not the case for the EGARCH model. The explicit expressions of the autocorrelation structure of the positive powers of the absolute-valued observations of the model are particularly important in the considerations of Chapter 3 of the thesis.The A-PARCH model contains a particular positive power parameter. By letting the power parameter approach zero, the A-PARCH family of models also includes a family of EGARCH models as a special case. In Chapter 2 we derive the autocorrelation function of squared and logarithmed observations for the A-PARCH family of models and show that it may be obtained as a limiting case of a general power ARCH (GPARCH) model. An interesting thing to notice is that the autocorrelation structure of this GPARCH process, if it exists, is exponential, and that this property is retained at the limit as the power parameter approaches zero, which means that the autocorrelation function of the process of logarithms of squared observations also decay exponentially. While this is true for the logarithmed squared observations of an EGARCH process it cannot simultaneously be true for the untransformed observations defined by these processes as we in Chapter 1 have demonstrated.In order to explain the role of the power parameter we present a detailed analysis of how the autocorrelation functions of the squared observations differ across members of the GPARCH models. In an empirical example we also show that the estimated power parameter considerably improves the correspondence between the estimated autocorrelations on the one hand and the autocorrelation estimates from the model on the other. Financial time series seem to share a number of characteristic features, sometimes called stylized facts. Given a set of stylized facts, one may ask the following question: "Have popular volatility models been parameterized in such a way that they can accommodate and explain the most common stylized facts visible in the data?" Models for which the answer is positive may be viewed as suitable for practical use. In Chapter 3, possible answers to this question for the three popular models of volatility, GARCH, EGARCH and ARSV models are investigated. Model evaluation is an important part of modelling not only for the conditional mean models but for the conditional variance specifications as well. In Chapter 4 we consider misspecification tests for an EGARCH model. We derive two new misspecification tests for an EGARCH model. Because the tests of an EGARCH model against a higher-order EGARCH model and testing parameter constancy are parametric, the alternative may be estimated if the null hypothesis is rejected. This is useful for a model builder who wants to find out possible weakness of estimated specification. Furthermore, we investigate various ways of testing the EGARCH model against GARCH ones as another check of model adequacy. An empirical example shows that there is substantial evidence for parameter nonconstancy in daily return series of the Stockholm Stock Exchange. / Diss. Stockholm : Handelshögsk., 2004

Diss. Uppsala : Univ., 2004.