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Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 271 to 280 of 289 (0.016 seconds)| 271 |
Currency Rollercoaster : Trade With Exchange Rate VolatilityAndersson, Felicia, Knobe Fredin, Oscar January 2024 (has links)
This essay examines the relationship between exchange rate volatility, estimated using a GARCH model, and level of trade for Sweden and Finland. The data used was collected from Refinitive Eikon Datastream with monthly observations for the time period January 2005 - December 2022. The obtained results indicate that the volatility of the Swedish Krona and Euro positively increases the level of trade for Sweden respectively Finland according to the ARDL model. However, while examining different time perspectives the conclusions resulted in inconclusiveness for the countries and perspectives. The ARDL bounds test for Sweden corresponded with inconclusive results regarding a possible positive long term relationship between SEKs exchange rate volatility and level of trade. Furthermore, the Granger causality test did not state a short term relationship between the two variables for Sweden nor did it state a reversed relationship. On the other hand, for Finland, the ARDL bounds test and Granger causality test denied both a long term and short term positive relationship between the EURs exchange rate volatility and level of trade for Finland. However, for Finland a reversed Granger causality test was shown indicating that the level of trade has an impact on the volatility of the EURs exchange rate.
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Marchés des matières premières agricoles et dynamique des cours : un réexamen par la financiarisation / Agricultural commodities markets and dynamics of prices : a review by financializationFam, Papa Gueye 29 November 2016 (has links)
Face à l’instabilité des cours agricoles et à ses conséquences notamment pour les pays en développement, la première partie de cette thèse est consacrée à la présentation des déterminants des cours des matières premières alimentaires, incluant les évolutions récentes en matière d’offre, en tenant compte des conséquences du réchauffement climatique, et de demande, considérant notamment les biocarburants. Il est également question de présenter la financiarisation en cours des économies, et les doutes qui planent sur le rôle que peuvent avoir la spéculation sur les marchés à terme ou encore la mise en œuvre des politiques monétaires, sur les cours au comptant observés sur les marchés physiques des produits agricoles. Suite aux réflexions et éléments de littérature avancés, la seconde partie procède de deux études empiriques. La première est axée sur l’impact de la spéculation sur les marchés financiers à terme sur le cours des sous-jacents (agricoles), alors que la seconde questionne le rôle des marchés monétaires, abordé à travers la capacité du banquier central à stabiliser les taux d’intérêt à court terme. Sur cette base, des conclusions mais également des pistes de recherche sont établies, du fait du prolongement en cours du processus de financiarisation des économies. / Faced with instability of agricultural commodities’ prices and its consequences especially for developing countries, the first part of this thesis is devoted to the presentation of food commodities’ prices, including recent developments with respect to the offering, taking into account the consequences of global warming and demand, as well as the importance of biofuels. It is also question to present the financialization of economies, and the doubts that take over the role of speculation on the futures markets or the implementation of monetary policies, on the spot prices observed on physical agricultural commodities markets. Following the advanced literature reflections and elements, the second part proceeds of two empirical studies, the first one focused on the impact of speculation about the financial futures markets on the underlying asset’s price (agricultural), while the second one examines the role of money markets through the capacities of the central banker to stabilize short-term interest rates. On this basis, conclusions but also future research are established due to the continuation of the economies financialization process.
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不動產投資信託與直接不動產投資關係之探討 / The relationship between real estate investment trusts and direct real estate investment邱逸芬, Chiu, Yi Fen Unknown Date (has links)
台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。
實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。
本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。 / The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively.
This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price.
By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices.
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The stock market and South Africa's economic developmentFrank, Ashley Gavin 30 June 2004 (has links)
Financial liberalisation, through increasing investment as well as the average productivity of capital, should stimulate economic growth, or so the theory goes. Bank lending unfortunately suffers adverse selection and moral hazard effects, to which the establishment and expansion of stock markets has been offered as a remedy. However, research from developing country stock markets have shown that in many cases these markets did not complement the effects of credit market liberalisation but in rather important aspects subverted them. Countries that implemented credit market liberalisation and raised real interest rates only increased the price of debt capital rather than all capital. This caused a share price boom in many of them. When the price of equity capital fell it seriously undermined and indeed allowed large private corporations to skip altogether the main channel of high interest rates through which the theoretical McKinnon-Shaw effects were to operate.
This study asks the research question of what effect the expansion of the South African stock exchange has had for its economic development. It makes use of a general empirical model to explain the relationship between financial development and real output. The model comprises indicators for growth, banking system development, stock market volatility; and, stock market development through a conglomerate index that accounts for market size, liquidity and integration with world capital markets. Quarterly data from 1989 to 2001 is analysed based on the null hypothesis that, as far as financial architecture is concerned, the development of the JSE Securities Exchange has stimulated the country's economic growth.
This study found a negative and statistically significant relation between stock market development and economic growth. It suggests that while the JSE Securities Exchange is a relatively large stock market it is the presence of thin trading that prevents the proposed benefits of market development from accruing to the economy. Thus the hypothesis is rejected. However, since the only stable cointegrating vector is between growth and banking sector development, it recommends that by expanding their universal banking functions, the present banking structure, though oligopolistic, may be better suited to act as a catalyst for growth. / Business Management / D. Comm.
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Foreign direct investment inflows and economic growth in SADC countries : a panel data approachMahembe, Edmore 08 1900 (has links)
This dissertation examines the causal relationship between inward foreign direct investment (FDI)
and economic growth (GDP) in SADC countries. The study investigates, within a panel data
context, whether causation is short-term, long-term or both; and explores whether the causal
relationship between the two variables differs according to income level. The study covered a
panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal
relationship between FDI inflows and economic growth is dependent on the level of income, the
study divided the SADC countries into two groups, namely, the low-income and the middleincome
countries. The study used the recently developed panel data analysis methods to examine
this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel
cointegration and Granger causality to examine the dynamic causal relationship between the two
variables. Panel unit root results show that both variables in the two SADC country groups were
integrated of order one. Panel cointegration tests showed that the variables for low-income
country group were not cointegrated, while the variables for the middle-income countries were
cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome
country group were conducted within an ECM framework. Panel Granger causality results
for the low-income countries showed no evidence of causality in either direction. However, for
the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP
to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis
does not apply to SADC countries. The results imply that the recent high economic growth rates
recorded in the SADC region, especially middle-income countries, have been attracting FDI. In
other words, it is economic growth that drives FDI inflows into the SADC region, and not vice
versa. These findings have profound policy implications for the SADC region at large and
individual countries. / Economics / MCOM (Economics)
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Financial development and economic growth : new evidence from six countriesNyasha, Sheilla 10 1900 (has links)
Using 1980 - 2012 annual data, the study empirically investigates the dynamic
relationship between financial development and economic growth in three
developing countries (South Africa, Brazil and Kenya) and three developed countries
(United States of America, United Kingdom and Australia). The study was motivated
by the current debate regarding the role of financial development in the economic
growth process, and their causal relationship. The debate centres on whether
financial development impacts positively or negatively on economic growth and
whether it Granger-causes economic growth or vice versa. To this end, two models
have been used. In Model 1 the impact of bank- and market-based financial
development on economic growth is examined, while in Model 2 it is the causality
between the two that is explored. Using the autoregressive distributed lag (ARDL)
bounds testing approach to cointegration and error-correction based causality test,
the results were found to differ from country to country and over time. These results
were also found to be sensitive to the financial development proxy used. Based on
Model 1, the study found that the impact of bank-based financial development on
economic growth is positive in South Africa and the USA, but negative in the U.K –
and neither positive nor negative in Kenya. Elsewhere the results were inconclusive.
Market-based financial development was found to impact positively in Kenya, USA
and the UK but not in the remaining countries. Based on Model 2, the study found
that bank-based financial development Granger-causes economic growth in the UK,
while in Brazil they Granger-cause each other. However, in South Africa, Kenya and
USA no causal relationship was found. In Australia the results were inconclusive.
The study also found that in the short run, market-based financial development
Granger-causes economic growth in the USA but that in South Africa and Brazil, the
reverse applies. On the other hand bidirectional causality was found to prevail in
Kenya in the same period. / Economics / DCOM (Economics)
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央行貨幣政策操作對短期利率的影響文淑芬 Unknown Date (has links)
本研究分為兩個部分，第一個部分為探討1990年來英美等國央行貨幣政策操作改革方向，期望貨幣市場的金融同業隔夜拆款利率，沿著隔夜拆款目標利率微幅波動。
英國央行原採零準備率制度，不易估測貨幣市場資金，其隔夜拆款利率波動幅度較美國為劇，為有效控制操作目標， 2006年5月起實施「自願準備金制度」，有利英國央行進行公開市場操作，達成穩定利率的效果。
第二部分參考Nadja(2006)一文，探討我國央行貨幣政策操作對短期利率之影響，係以隔夜拆款利率與目標利率的利差為利率函數模型之因變數，其中以重貼現率為目標利率，並以超額準備為主要的操作變數。
本文以最小平方估計法（OLS）實證結果發現，央行貨幣政策操作有效地影響隔夜拆款利率；惟2003年起央行不以重貼現率為隔夜拆款利率的底限，貨幣政策操作對隔夜拆款利率與重貼現率之間的利率變動並無顯著性的影響，亦即央行已放棄重貼現率為隔夜拆款利率之目標利率，而係積極地進行之公開市場操作，穩定短期利率。
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Foreign direct investment inflows and economic growth in SADC countries : a panel data approachMahembe, Edmore 08 1900 (has links)
This dissertation examines the causal relationship between inward foreign direct investment (FDI)
and economic growth (GDP) in SADC countries. The study investigates, within a panel data
context, whether causation is short-term, long-term or both; and explores whether the causal
relationship between the two variables differs according to income level. The study covered a
panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal
relationship between FDI inflows and economic growth is dependent on the level of income, the
study divided the SADC countries into two groups, namely, the low-income and the middleincome
countries. The study used the recently developed panel data analysis methods to examine
this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel
cointegration and Granger causality to examine the dynamic causal relationship between the two
variables. Panel unit root results show that both variables in the two SADC country groups were
integrated of order one. Panel cointegration tests showed that the variables for low-income
country group were not cointegrated, while the variables for the middle-income countries were
cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome
country group were conducted within an ECM framework. Panel Granger causality results
for the low-income countries showed no evidence of causality in either direction. However, for
the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP
to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis
does not apply to SADC countries. The results imply that the recent high economic growth rates
recorded in the SADC region, especially middle-income countries, have been attracting FDI. In
other words, it is economic growth that drives FDI inflows into the SADC region, and not vice
versa. These findings have profound policy implications for the SADC region at large and
individual countries. / Economics / M. Com. (Economics)
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The financial development and investment nexus : empirical evidence from three Southern African countriesMuyambiri, Brian 02 1900 (has links)
The study examines the dynamic relationship between financial development and investment in three Southern African countries (Botswana, South Africa and Mauritius) during the period 1976 – 2014 using annual data. The motivation for selecting these countries is mainly based on their different characteristics in their economic and financial structure. Employing the Autoregressive Distributed Lag (ARDL) bounds test approach, the study examines the role of financial development in boosting investment; and the causal relationship between financial development and investment. The study makes use of composite financial development indices and divides financial development into bank-based and market-based financial development. In addition, both the impact of bank- and market-based financial development on investment, on the one hand; and the causality between bank- and market-based financial development and investment, on the other, were examined within the flexible accelerator model/framework. For both models, both bank-based and market-based financial development are assumed as having an accelerator-enhancing effect on investment. Empirical results show that, for Botswana, the impact of bank-based financial development on investment is positive in both the short run and the long run while no impact of market-based financial development is found for both periods. For South Africa, the effect of bank-based financial development on investment is found to be negative in the short run and has no impact in the long run. However, market-based financial development has only a positive effect on investment in the long run. For Mauritius, market-based financial development is the only type of financial development found to have a significant positive effect on investment, and only, in the short run. The results of the causality test show that: for Mauritius, both bank-based and market-based financial development tend to drive investment, both in the short run and in the long run; while- in South Africa, investment drives both bank-based and market-based financial development only in the short run. In Botswana, bank-based and market-based financial development and investment drive each other in the short run while investment tends to only drive bank-based financial development in the long run. Therefore, all three countries show differing results and tend to confirm that there are inter-country differences that determine the relationship between investment and financial development. The inter-country differences maybe as a result of the different stages of financial and economic development for each country. / Economics / D. Phil. (Economics)
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Financial development and economic growth : new evidence from six countriesNyasha, Sheilla 10 1900 (has links)
Using 1980 - 2012 annual data, the study empirically investigates the dynamic
relationship between financial development and economic growth in three
developing countries (South Africa, Brazil and Kenya) and three developed countries
(United States of America, United Kingdom and Australia). The study was motivated
by the current debate regarding the role of financial development in the economic
growth process, and their causal relationship. The debate centres on whether
financial development impacts positively or negatively on economic growth and
whether it Granger-causes economic growth or vice versa. To this end, two models
have been used. In Model 1 the impact of bank- and market-based financial
development on economic growth is examined, while in Model 2 it is the causality
between the two that is explored. Using the autoregressive distributed lag (ARDL)
bounds testing approach to cointegration and error-correction based causality test,
the results were found to differ from country to country and over time. These results
were also found to be sensitive to the financial development proxy used. Based on
Model 1, the study found that the impact of bank-based financial development on
economic growth is positive in South Africa and the USA, but negative in the U.K –
and neither positive nor negative in Kenya. Elsewhere the results were inconclusive.
Market-based financial development was found to impact positively in Kenya, USA
and the UK but not in the remaining countries. Based on Model 2, the study found
that bank-based financial development Granger-causes economic growth in the UK,
while in Brazil they Granger-cause each other. However, in South Africa, Kenya and
USA no causal relationship was found. In Australia the results were inconclusive.
The study also found that in the short run, market-based financial development
Granger-causes economic growth in the USA but that in South Africa and Brazil, the
reverse applies. On the other hand bidirectional causality was found to prevail in
Kenya in the same period. / Economics / D. Com. (Economics)
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