Submitted by Renata Lopes (renatasil82@gmail.com) on 2018-07-20T15:07:16Z No. of bitstreams: 1 eudesioeduimdasilva.pdf: 771603 bytes, checksum: f4e775ab970d99d2708823edc10c427c (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2018-09-03T16:17:46Z (GMT) No. of bitstreams: 1 eudesioeduimdasilva.pdf: 771603 bytes, checksum: f4e775ab970d99d2708823edc10c427c (MD5) / Made available in DSpace on 2018-09-03T16:17:46Z (GMT). No. of bitstreams: 1 eudesioeduimdasilva.pdf: 771603 bytes, checksum: f4e775ab970d99d2708823edc10c427c (MD5) Previous issue date: 2018-06-05 / Esta tese tem como objetivo estudar os erros de previsão para inflação e os determinantes do erro de previsão fiscsal na União Econômica e Monetária do Oeste Africano (UEMOA). No que concerne a previsão de inflação, se comparados dois períodos: aquele em que o Banco Central da UEMOA (BCEAO) utiliza o modelo de metas para inflação (entre 2011 e 2015) e o período anterior (entre 1997 e 2010). Para tal, foram estimadas as Raízes dos Erros Quadrados Médios (REQMs) de diferentes modelos econométricos e de suas combinações (similares àqueles utilizados na previsão da inflação da Zona Monetária do Euro). Os resultados mostram uma redução dos erros de previsão da inflação, após a implementação do modelo de metas. Em relação aos determinantes do erro de previsão do saldo orçamentário na zona da União, Econômica e Monetária da África Ocidental (UEMOA) no período entre 2000 e 2015, a análise preliminar dos dados mostra que a maioria dos países da UEMOA apresentam erros de previsão positivos, sugerindo uma postura prudente em relação a previsão do saldo orçamentário. Destarte, foram feitas estimações por meio de quatro métodos econométricos: Mínimos quadrados ordinários em Painel (POLS), Mínimos quadrados ordinários com efeito fixo (FE-OLS), método generalizado de momentos em diferença (DGMM) e método generalizado de momentos sistêmico (S-GMM). Os resultados mostram a relevância dos fatores econômicos na explicação do erro de previsão do saldo orçamentário, especialmente o erro de previsão do PIB. Por outro lado, a hipótese do efeito da crise de subprime de 2008 não foi confirmada na zona da UEMOA. Os fatores políticos, institucionais e de governança também não tiveram relevância na determinação do erro de previsão fiscal. / The main objective of this thesis is to study inflation forecasting errors and the determinants of fiscal forecast error in the West African Economic and Monetary Union (WAEMU). Concerning inflation forecasting, two periods are compared: the one in which the UEMOA (BCEAO) uses the inflation targeting model (between 2011 and 2015) and the previous period (between 1997 and 2010). In order to do so, the Mean Square Error Roots (REQMs) of different econometric models and their combinations (similar to those used in inflation forecasting of the Euro Monetary Zone) were estimated. The results show a reduction of inflation forecast errors after the implementation of the target model. Regarding the determinants of the forecast error of the budget balance in the West African Economic and Monetary Union (WAEMU) area between 2000 and 2015, preliminary data analysis shows that most WAEMU countries have positive forecast errors, suggesting a cautious approach to forecasting the budget balance. Thus, estimations were made through four econometric methods: Ordinary least squares in Panel (POLS), Ordinary least squares with fixed effect (FE-OLS), generalized method of moments in difference (D-GMM) and systemic generalized method of moments (S-GMM). The results show the relevance of the economic factors to explain forecast error of the budget balance, especially the forecast error of GDP. On the other hand, the hypothesis of the effect of the 2008 subprime crisis was not confirmed in the UEMOA zone. The political, institutional and governance factors were also not relevant in determining the fiscal forecast error.

Pumped hydro energy storages commonly plan their operations on short-term forecasts of the upcoming electricity prices, meaning that errors in these forecasts would entail suboptimal operations of the energy storage. Despite the high investment costs of pumped hydro energy storages, few studies take a holistic approach to the uncertainties involved in such investment decisions. The aim of this study is to investigate how forecast errors in electricity prices affect the chosen size configuration in investment decisions for pumped hydro energy storages. Moreover, sizing decisions are made in the long-term and involve long-term uncertainties in electricity prices. A robust decision-making framework including long-term electricity price scenarios is therefore used to evaluate the effects of including forecast errors in the sizing decision. By simulating the day-to-day operation of the energy storage with short-term forecasts, the effects of including the errors are compared to using perfect information. Using this approach, the most robust capacity is shown to increase by 25 MW, from 2 375 MW to 2 400 MW, when including forecast errors instead of assuming perfect information in the simulations. This indicates that the deviations in short-term forecasts require the pumped hydro energy storage operator to be more flexible in their operations, thus requiring a higher capacity. In addition, the profitability of the energy storage decreased significantly when including forecast errors in the simulations, showing the importance of taking the short-term forecast errors into account in sizing and investment decisions of pumped hydro energy storage. / Driften av pumpkraftverk optimeras med hjälp av kortsiktiga prognoser av elpriser, vilket innebär att fel i dessa prognoser leder till suboptimal drift. Trots att investeringar i pumpkraftverk är kostsamma, har få studier ett holistisk synsätt kring osäkerheter i investeringsbeslutet. Målet med denna studie är att undersöka hur kortsiktiga prognosfel i elpriser påverkar den optimala dimensionering av pumpkraftverk. Investeringsbeslut i pumpkraftverk är långsiktiga och kräver estimat av framtida elpriser, vars karakteristik är osäker. Ett ramverk som bygger på robust beslutstagande, med scenarier över framtida elpriser, används därför för att bedöma effekten av att inkludera kortsiktiga prognosfel i investeringsbeslutet. Genom att simulera den dagliga driften av energilager, undersöks effekten av att inkludera prognosfel jämfört med perfekt information. Med detta tillvägagångsätt ökade den mest robusta kapaciteten med 25 MW, från 2 375 MW till 2 400 MW, när prognosfel inkluderades. Detta visar på att fel i kortsiktiga prognoser kräver pumpkraftverket av vara mer flexibelt, vilket ges av höjdkapacitet. Lönsamheten minskade också signifikant när prognosfel inkluderades, vilket visar på vikten av att ta hänsyn till kortsiktiga prognosfel i beslut kring dimensionering och investering av pumpkraftverk.

[pt] Em um mundo globalizado, em contínua transformação, são cada vez mais freqüentes mudanças no perfil da demanda. Se não detectadas rapidamente, elas podem gerar impactos negativos no progresso de um negócio devido à baixa qualidade nas previsões de venda, que começam a gerar valores sistematicamente acima ou abaixo da demanda real indicando a presença de viés. Para evitar esse cenário, técnicas formais para detecção de viés podem ser incorporadas ao processo de previsão de demanda. Diante desse quadro, a presente dissertação compara os desempenhos, via simulação, das principais técnicas formais de detecção de viés em previsão de demanda presentes na literatura. Nesse sentido, seis técnicas são identificadas e analisadas. Quatro são baseadas em estatísticas Tracking Signal e duas são adaptadas de técnicas de Controle Estatístico de Processos. Os modelos de previsão de demanda monitorados pelas técnicas em questão são os de séries temporais estruturadas, associados ao método de amortecimento exponencial simples e ao método de Holt, respectivamente, para séries com nível médio constante e séries com tendência. Três tipos de alterações no perfil da demanda – que acarretam em viés na previsão – são examinados. O primeiro consiste em mudanças no nível médio em séries temporais de nível médio constante. O segundo tipo também considera séries temporais de nível médio constante, porém com o foco em surgimentos de tendências. O terceiro viés consiste em mudanças na tendência em series temporais com tendência pré-incorporada. Entre os resultados obtidos, destaca-se a conclusão de que, para a maioria das situações estudadas, as técnicas baseadas nas estatísticas Tracking Signal possuem desempenho superior às demais técnicas com relação à eficiência na detecção de viés. / [en] In a globalized world, in continuous transformation, changes in the demand pattern are increasingly frequent. If not rapidly detected, they can have a negative and persistent impact in the wellbeing of a business due to continuously poor quality sales forecasts, which begin to generate values systematically above or below the actual demand indicating the presence of bias. To avoid this happening, statistical techniques can be incorporated in a prediction process with the objective known as bias detection in demand forecasting. Considering this situation, the present dissertation compares, through simulation, the efficiency performance of the main existing formal techniques of monitoring demand forecasting models, with the view of bias detection. Six of such techniques are identified and analyzed in this work. Four are based on Tracking Signal Statistics and two are adapted from the Statistical Process Control approach. The demand forecasting models monitored by the techniques in question can be classified as structured time series, for a constant level or trend pattern, and using both the simple exponential smoothing and the Holt s methods. Three types of changes in the demand pattern - which result in biased prediction - are examined. The first one focus on simulated changes on the average level of various constant times series. The second type also considered various constant times series, but now simulating the appearance of different trends. And the third refers to simulate changes in trends in various times series with pre-established trends. Among the results attained, one stands out: the techniques based on Tracking Signal Statistics - when compares to other methods - showed superior performance insofar as efficient bias detection in demand forecasting.

明天股票的價格是會漲還是會跌呢? 明天到底會不會下雨? 下期樂透開獎會是哪些號碼呢? 未來不知道會發生哪些事情? 大家總是希望能夠未卜先知、洞悉未來! 可是我們要如何進行預測呢? 本文比較了不同時間序列模型的預測績效, 而且測試預測的結合是否能夠改進預測的準確度? 時間序列模型的研究在近年來非常蓬勃地發展, 所以本文簡單介紹了時間序列模型(Time series models)當中的線性AR模型、非線性TAR模型、非線性STAR模型, 以及這些模型該如何來進行在樣本外的預測。 同時本文說明了預測的結合(Combined forecast)該如何進行? 預測結合的目的是希望能夠達到截長補短的效果! 除了傳統迴歸(Regression-based)方法和變動係數(Time-varying coefficients)方法外, 本文提出了兩種非迴歸類型的預測結合方法, 績效權數(Fitness weight)和支向機(Support Vector Machine)。 其中主要的焦點放在支向機, 因為迴歸方法可能會有共線性的問題, 支向機則是沒有這個問題。 本文實證的結果顯示, 在時間序列模型方面, 非線性模型的預測能力, 在大多數的情形底下, 都不如簡單的線性AR模型; 在預測結合的方面, 支向機的績效是和迴歸方法的績效是差不多的, 這兩者都比變動係數方法的績效來得穩固, 可是如果基底模型的預測值存在共線性的問題或樣本數目過少的問題, 那麼支向機的績效是優於迴歸方法的績效。 最後, 時間序列模型的預測績效會受到資料性質的影響, 而有極大的改變, 或許我們可以考慮使用比較保險的預測策略-預測結合, 因為預測結合的預測誤差範圍是小於時間序列模型的預測誤差範圍!

當企業的經營面臨不確定的情況時，使用穩健原則固然是可靠的，但是公司如果過度的使用穩健原則來操縱財務報表，將使資產和盈餘嚴重低估和扭曲，因此反而會降低財務報表的可靠性以及攸關性。公司的財務報表是財務分析師預測的來源之一，故當公司的盈餘由於受到管理當局對會計保守程度之操縱而有較大波動幅度時，若分析師相信公司當期盈餘是對未來盈餘的無偏誤預測指標，則財務分析師將會被誤導。因此，公司的會計保守程度對分析師盈餘預測的誤差和不同分析師間對盈餘預測意見不一致之程度應該有重大的影響。 　　本文以民國90年至94年之上市公司為研究對象，經由迴歸模型來分析公司會計保守性與分析師盈餘預測誤差與盈餘預測分歧程度間之關係，以檢視財務分析師是否能察覺保守性會計對公司盈餘的影響而反映於其盈餘預測中。結果發現會計保守性對分析師盈餘預測屬性均有正向影響，表示財務分析師在預測公司未來盈餘時會對管理當局所選擇的會計保守程度加以評估，並考量管理當局利用會計保守性進行盈餘管理的情形，進而影響其對公司未來盈餘的預測。 / Management may overuse accounting conservatism to manage the financial statements and undervalue assets and earnings and reduce the reliability and relevance of financial statements though conservatism is an increasing trend in accounting practice. The conservative information may lead analysts to biased forecast when a company’s earning has high volatility. Consequently, the extent of accounting conservatism should have significant effect on the analysts’ earnings forecast errors and forecast dispersion. This study examines the relationship of accounting conservatism and analysts’ annual earnings forecast errors and forecast dispersion by using a sample of listed firms in Taiwan. The results show that accounting conservatism has a positive relationship with the analyst earnings forecast errors and forecast dispersion. It implies that financial analysts may evaluate the extent of accounting conservatism and make adjustment in earnings forecast.

This dissertation consists of three essays wherein tools of financial econometrics are used to study the three aspects of farmland valuation puzzle: short-term boom-bust cycles, overpricing of farmland, and inconclusive effects of direct government payments. Essay I addresses the causes of unexplained short-term boom-bust cycles in farmland values in a dynamic land pricing model (DLPM). The analysis finds that gross return rate of farmland asset decreases as the farmland asset level increases, and that the diminishing return function of farmland asset contributes to the boom-bust cycles in farmland values. Furthermore, it is mathematically proved that land values are potentially unstable under diminishing return functions. We also find that intertemporal elasticity of substitution, risk aversion, and transaction costs are important determinants of farmland asset values. Essay II examines the apparent overpricing of farmland by decomposing the forecast error variance of farmland prices into forward looking and backward looking components. The analysis finds that in the short run, the forward looking Capital Asset Pricing Model (CAPM) portion of the forecast errors are significantly higher in a boom or bust stage than in a stable stage. This shows that the farmland market absorbs economic information in a discriminative manner according to the stability of the market, and the market (and actors therein) responds to new information gradually as suggested by the theory. This helps to explain the overpricing of farmland, but this explanation works primarily in the short run. Finally, essay III investigates the duel effects of direct government payments and climate change on farmland values. This study uses a smooth coefficient semi-parametric panel data model. The analysis finds that land valuation is affected by climate change and government payments, both through discounted revenues and through effects on the risk aversion of land owners. This essay shows that including heterogeneous risk aversion is an efficient way to mitigate the impacts of misspecifications in a DLPM, and that precipitation is a good explanatory variable. In particular, precipitation affects land values in a bimodal manner, indicating that farmland prices could have multiple peaks in precipitation due to adaption through crop selection and technology alternation.

The growing share of installed wind power in the Swedish electricity system has caused concerns whether the available regulating power will be sufficient. Several studies have examined the need of regulating power using both statistical and modelling approaches. However, there is a risk that some aspects of the short-term regulation of hydropower might have been missed. By using one of Vattenfall’s hydropower planning tools, the short-term operation of The Lule River has been simulated with an increasing penetration of wind power. The tool includes detailed models of reservoirs, generating units including efficiency curves and start/stop costs. By introducing a day-by-day simulation with a seven-day window price forecast, updated with a new wind forecast for each iteration, a 21-days scenario has been simulated. Transmission limits are disregarded and the thermal production is reduced with the average wind production. To quantify and compare the regulation capacity, the regulation factor is introduced. It reflects the ability to utilise high-price hours and considering that the need of regulating power for the short-term perspective is reflected in the price it will also reflect the regulation capacity. It is shown that the regulating factor is correlated to the discharge factor,whichis the relation between the maximum discharge to the average statistical discharge for a plant. A high discharge factor provides the flexibility to utilise the fluctuations in price. The discharge factor is adapted to the plants placement in the reach, accounting for both reservoirs located upstream and downstream, especially for The Lule River which has been designed to regulate for the fluctuations in the load. The flexibility required by the rest of the Nordic rivers is quantified for future studies. It is concluded that The Lule River is able to meet some of the fluctuations of wind power production due to the overcapacity ininstalled power. The production can, at the expense of decreased efficiency of the generating units, alter the production to suit a more fluctuating price.It is important to emphasise that The Lule River alone cannot balance a large penetration of wind power. To fully take into account the effects of a large penetration of wind power the study must be expanded to include more scenarios. The study should include different types of hydrological prerequisites and the seasonal variations in power production as well as additional rivers.

本研究以中國2007年至2013年盈餘預測的A股上市公司為主體。探討管理當局發佈強制性盈餘預測的預測形態、預測誤差以及市場反應與管理當局能力之關聯性，並進一步檢測管理當局能力是否影響到其對於強制性盈餘預告門檻的規避以及對於來年發佈自願性業績預測的意願。 實證的結果顯示管理當局能力越好其提供的強制性盈餘預測的形式越精準其預告資訊含量越多；再者，管理當局能力越好，其盈餘預測的誤差越低；實證結果也證明了市場對於能力較佳之管理當局所發佈的強制性盈餘預測的反應程度也較高。增額測試的結果顯示管理當局能力佳者盈餘品質較佳，具體表現為：相較於能力差的管理者，管理當局能力較好時不會通過盈餘管理去避免導因於產生增長50%或是下降50%而強制發佈盈餘預告的門檻。另外，管理當局能力越好，其在隔年度發佈自願性盈餘預測的幾率也越高。 關鍵詞：管理當局能力、強制性盈餘預測、預測形態、盈餘預測誤差、市場反應 / This thesis focuses on mandatory forecast issued from 2007 to 2013 in China and investigate whether managerial ability is related to mandatory forecasts types, forecast error and market reaction. Additionally, this thesis also examines whether managerial ability decrease the likelihood to avoid mandatory forecast thresholds. Finally, whether the managerial ability will increase the probability of issuing voluntary forecasts in the following year is an interesting but unsolved issue; I will fill the gap. Empirical results show that managers with superior ability tend to issue mandatory forecasts in the more precise type. As for the accuracy, the mandatory forecasts issued by better managers tend to have less error. I also find that managerial ability can promotes the informativeness of management earnings forecasts for the public. Additionally, high ability managers are less likely to avoid the thresholds of mandatory forecasts. Furthermore, better managers are more likely to issue voluntary forecasts in the following year of mandatory forecasts. Key Words: Managerial Ability, Mandatory Earnings Forecast, Forecast Format, Forecast Error, Market Reaction.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Globalization provoked in financial markets by means stock exchanges an interchange among the markets over the world. The aim of this study was to examine the relationship of the ten major main economic index of the world represented in New York (DJIA, S&P500 e Nasdaq), Tokyo (NIKKEI 225), London (FSTE 100), São Paulo (IBOV), Shanghai (SSE180), Paris (CAC-40), Frankfurt (DAX-30) and Buenos Aires (Merval) and looking for its co-integration, to demonstrate the behavior of these indexes and the long run equilibrium, from January of 2010 to March of 2011. To investigate the equilibrium and the long rum behavior the error correction model was used jointly with co-integration test and impulse response based on Cholesky decomposition. The results of this study show that the index of stock markets has long term equilibrium, and American markets, Argentina and English showed a strong influence over other markets. With this research we can infer that a relationship exists between the stock markets under study, confirming that the economy in a country can influence the others. In this sense, the contribution of this study, given this range of discussions involving the interconnection of economies with respect to trades made on the stock exchanges, was to show the relationships and influences in the world. / A internacionalização somada à abertura dos mercados financeiros transformou as economias antes fechadas em economias abertas, provocou um intercâmbio entre as economias mundiais por meio das bolsas de valores. O objetivo deste estudo é examinar a relação entre os dez principais índices econômicos do mundo, sendo eles: Nova York (DJIA, S&P500 e Nasdaq), Tóquio (Nikkei 225), Londres (FSTE 100), São Paulo (IBOV), Shangai (SSE180), Paris (CAC), Frankfurt (DAX-30) e Bueno Aires (Merval), por meio da análise de co-integrações para demonstrar o comportamento desses índices e seus equilíbrios no período de janeiro de 2010 a março de 2011. Para investigar e verificar o comportamento em longo prazo, foi utilizado o modelo de correção de erros e teste de impulso-resposta baseado na decomposição de Cholesky. Os resultados deste estudo mostram que existe equilíbrio em longo prazo entre os índices do mercado de ações. Os mercados americano, argentino e inglês mostraram forte influência sobre os demais mercados. Com esta pesquisa, verifica-se que existe uma relação entre os mercados de ações estudados, confirmando que a economia de um país influencia as demais. A contribuição deste estudo é verificar a assertiva das discussões atuais sobre a dependência das economias mundiais com as negociações por meio da bolsa de valores.

本研究以日本東京證券交易所上市公司為研究對象，探討董事會成員年齡與強制性盈餘預測之關聯性。本研究將董事會成員年齡區分為五種：董事長的年齡、董事會成員的平均年齡、董事會成員年齡的標準差、董事會成員最高年齡跟最低年齡的差距及董事長年齡是否高於董事會成員平均年齡，以測試其所發布盈餘預測準確度與盈餘預測偏差之關聯性。而實證結果發現董事長的年齡越大、董事會成員的平均年齡越大、董事長年齡高於董事會成員平均年齡時，所發布的盈餘預測準確度也就越高，且傾向較為保守的盈餘預測。而董事會成員年齡的標準差越大、董事會成員最高年齡與最低年齡差距越大時，所發布的盈餘預測準確度較低，且傾向較為樂觀的盈餘預測。