This dissertation is composed of two parts, an integrative essay and a set of published papers. The essay and the collection of papers are placed in the context of development and application of time series econometric models in a temporal-axis from 1970s through 2005, with particular focus in the Marketing discipline. The main aim of the integrative essay is on modelling the effects of marketing actions on performance variables, such as sales and market share in competitive markets. Such research required the estimation of two kinds of time series econometric models: multivariate and multiple time series models. I use Autoregressive Integrated Moving Average (ARIMA) intervention models and the Pierce and Haugh statistical test to model the impact of a single marketing instrument, mainly price promotions, to measure own and cross-short term sales effects, and to study asymmetric marketing competition. I develop and apply Vector AutoRegressive (VAR) and Bayesian Vector AutoRegressive (BVAR) models to estimate dynamic relationships in the market and to forecast market share. Especially, BVAR models are advantageous because they contain all relevant dynamic and interactive effects. They accommodate not only classical competitive reaction effects, but also own and cross-market share brand feedback effects and internal decision rules and provided substantively useful insights into the dynamics of demand. The integrative essay is structured in four main parts. The introduction sets the basic ideas behind the published papers, with particular focus on the motivation of the essay, the types of competitive reaction effects analysed, an overview of the time series econometric models in marketing, a short discussion of the basic methodology used in the research and a brief description of the inter-relationships across the published papers and structure of the essay. The discussion is centred on how to model the effects of marketing actions at the selective demand or brand level and at the primary demand or product level. At the brand level I discuss the research contribution of my work on (i) modelling promotional short-term effects of price and non-price actions on sales and market share for consumer packaged goods, with no competition, (ii) how to measure own and cross short-term sales effects of advertising and price, in particular, cross-lead and lag effects, asymmetric sales behaviour and competition without retaliatory actions, in an automobile market, (iii) how to model the marketing-mix effectiveness at the short and long-term on market shares in a car market, (iv) what is the best method to forecast market share, and (v) the study of causal linkages at different time horizons between sales and marketing activity for a particular brand. At the product or commodity level, I propose a way to model the flows of tourists that come from different origins (countries) to the same country-destination as market segments defining the primary demand of a commodity - the product

Advertising expenditures are increasing on a yearly basis. An interesting question emerges from this: What are the macroeconomic effects of increasing advertising spending? Does the aggregate consumption increase or does it only rearrange consumption between different products and markets? The relationship between advertising and consumption was found in the literature, this relationship was further developed and the relationship between advertising and household loans emerged as an interesting subject. An econometric analysis method was used to test the relationship between the aggregated advertising expenditure and the aggregated sum of household loans, in order to investigate whether advertising spending cause changes in the use of total household loans in Sweden. The research did not conclude that aggregate advertising spending causes changes in the use of total household loans in Sweden. However, evidence was found which supports that household loans cause advertising expenditures. An implication of the findings is that the relationship between aggregated sum of household loans and advertising might be as interrelated as between advertising and consumption, and should be further researched. Another implication is that it might not be appropriate to purely look at advertising and consumption to increase the further understanding of the two variables. Introducing household loans as a funding variable to the consumption function can be seen as a new and interesting approach.

The purpose of this study is to research the volume-price relationship and information transmission among Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index. This study uses the time series methods of ADF unit root test, variance decomposition, Granger causality and impulse response analysis to proceed empirical research. It covers the period June 2, 2003, through December 29, 2006 and uses the daily data for sample. The empirical results can be summarized as follows¡G (1) All the trading volume and stock return series are trend stationary at level, therefore, they are integrated of order 0 ~ I (0). (2) The variance decomposition shows that the major change of every variable comes from by itself. The explanatory power of trading volume is higher than stock returns. Among the stock returns of Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index, Taiwan Stock Index has the highest explanatory power. (3) According to the Granger causality test, it expresses that trading volume leads stock returns. Taiwan Stock Index is the leading indicator of the Electronic Industry Index and Financial Industry Index. (4) As to the impulse response functions, neither persistent nor overall. The effect of shocks on all variables is transitory.

Non-arbitrage asset pricing has been an avenue of unending interest to financial academics and practitioners alike. With increased capital outflow being permitted by developing economies, investors now have easy access to securities issued by foreign firms. The issue investigated in this research is concerned with the persistent presence of arbitrage opportunities between depository receipts and domestic stocks of Indian firms during the recent financial crisis. Instead of being priced in parity with one another during the crisis, ADRs of Indian firms were overpriced by as much as 70% for months on end. This thesis investigates the reasons giving rise to this premium by analyzing causes like benefits from diversification and liquidity.

This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). Wald Granger causality test results show that only India’s economic growth is significantly affected when crude oil price decreases. Impact of crude oil price increase is insignificantly negative for all three countries during first year. In second year, impact is negative but smaller than first year for India, negative but larger for Bangladesh and positive for Pakistan.

One of the most important objectives for any countries is to sustain high economic growth. Even though there are main factors that affect economic growth, the concern of this paper is only about inflation. The relationship between economic growth and inflation is debatable. The first objective of this study is to investigate the relationship between inflation and economic growth. This study uses panel data which includes 13 SSA countries from 1969 to 2009. To analyze the data the model is formed by taking economic growth as dependent variable and four variables (i.e. inflation, investment, population and initial GDP) as independent variables. The result indicates that there is a negative relationship between economic growth and inflation. This study is also examined the causality relationship between economic growth and inflation by using panel Granger causality test. Panel granger causality test shows that inflation can be used in order to predict growth for all countries in the sample, while the opposite it is only true for Congo, Dep. Rep and Zimbabwe.

Before a government makes economic policies, it must first fully understand the causality between energy consumption and economic growth. This study uses Chow Test, Unit Root Test, Co-integration Test, Vector Autoregressive Model, Vector Error Correction Model, Granger Causality Test, Impulse Response Function and Variance Decomposition to examine whether the relationships between energy consumption and economic growth for Taiwan and Korea had changed after the Asian Financial Crisis of 1997, in order to understand whether their economic policies have changed in response. Taiwan¡¦s energy consumption and GDP had one-way effect ¡V that is, her energy consumption affected GDP but not vice versa ¡V while that of South Korea exhibited a two-way relationship. However, after the Crisis, such relationship for Taiwan had changed to that of two-way. The relationship between energy consumption and GDP for South Korea remained two-way after the Crisis.

This dissertation investigates the pricing behaviors of two major energy commodities, U.S. natural gas and crude oil, using times series models. It examines the relationships between U.S. natural gas price variations and changes in market fundamentals within a two-state Markov-switching framework. It is found that the regime-switching model does a better forecasting job in general than the linear fundamental model without regime-switching framework, especially in the case of 1-step-ahead forecast. Studies are conducted of the dynamics between crude oil price and U.S. dollar exchange rates. Empirical tests are applied to both full sample (1986—2010) and subsample (2002—2010) data. It is found that causality runs in both directions between the oil and the dollar. Meanwhile, a theoretical 5-country partial dynamic portfolio model is constructed to explain the dynamics between oil and dollar with special attention to the roles of China and Russia. It is shown that emergence of China‘s economy enhances the linkage between oil and dollar due to China's foreign exchange policy. Further research is dedicated to the role of speculation in crude oil and natural gas markets. First a literature review on theory of speculation is conducted. Empirical studies on speculation in commodity markets are surveyed, with special focus on energy commodity market. To test the theory that speculation may affect commodity prices by exaggerating the signals sent by market fundamentals, this essay utilizes the forecast errors from the first essay to investigate the forecasting ability of speculators' net long positions in the market. Limited evidence is provided to support the bubble theory in U.S. natural gas market. In conclusion, this dissertation explores both fundamentals and speculators' roles in the U.S. natural gas and global crude oil markets. It is found that market fundamentals are the major driving forces for the two energy commodities price booms seen during the past several years.

Financial markets have become increasingly integrated, both domestically and internationally. Asset prices react to other asset price shocks both within and across asset classes. This paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and Taiwan. The empirical model concentrates on monthly return over an 11-year period of 1995-2005 for seven asset prices: short-term interest rates, bond yield and equity market returns in both economies, as well as the exchange rate. The results are as followed: First, Johansen cointegration test indicates that there is one cointegrating equation between seven variables. This finding means that there is a long-run equilibrium relationship among the variables. Second, the error correction terms of the US short-term and long-term interest rates, Taiwan short-term interest rate and exchange rate are significant at the 95% level in the Vector Error Correction Model. The deviation from long-run equilibrium is corrected gradually through a series of partial short-run adjustments. The third key result of the paper is that there is a feedback relationship between the US short-term interest rate and equity market return by using the Granger Causality test. Also, the US short-term and long-term interest rates Granger-cause Taiwan short-term interest rates. This result underline that the US financial markets are the main driver of global financial markets.

<p>Advertising expenditures are increasing on a yearly basis. An interesting question emerges from this: What are the macroeconomic effects of increasing advertising spending? Does the aggregate consumption increase or does it only rearrange consumption between different products and markets? The relationship between advertising and consumption was found in the literature, this relationship was further developed and the relationship between advertising and household loans emerged as an interesting subject.</p><p>An econometric analysis method was used to test the relationship between the aggregated advertising expenditure and the aggregated sum of household loans, in order to investigate whether advertising spending cause changes in the use of total household loans in Sweden.</p><p>The research did not conclude that aggregate advertising spending causes changes in the use of total household loans in Sweden. However, evidence was found which supports that household loans cause advertising expenditures. An implication of the findings is that the relationship between aggregated sum of household loans and advertising might be as interrelated as between advertising and consumption, and should be further researched. Another implication is that it might not be appropriate to purely look at advertising and consumption to increase the further understanding of the two variables. Introducing household loans as a funding variable to the consumption function can be seen as a new and interesting approach.</p>