This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.

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自2002年，澳門政府開放賭權後，博彩業成為澳門重要的經濟命脈，伴隨著澳門經濟迅速發展，澳門住宅價格亦因此高速飛漲。故此，本研究係以澳門為主要研究對象，探討自澳門政府批出三份博彩經營權後，總體經濟、博彩業與澳門主住宅市間之關係。選取二零零一年第一季至二零一四年第四季之季資料，運用單根檢定、因果關係檢定與共整合檢定等研究方法進行實證分析，檢定變數間的因果關係是否有長短期均衡關係與是否有領先落後的效果。 根據實證結果顯示，存款利率、外來投資金額、外地僱員及飯店入住率領先住宅價格之變動，所得及博彩稅收與住宅價格則呈現雙向因果關係，而外來投資金額、外地僱員、飯店入住率皆屬於博彩旅遊相關之變數，顯示博彩業蓬勃發展能推動澳門住宅價格，使房價高漲。此外，博彩稅收、外來投資金額、外地僱員及飯店入住率皆對所得具有單向影響，故此，可推斷博彩業開放後為澳門帶來巨大的經濟衝擊。另一方面，澳門經濟發展高度依賴博彩業，中小企業亦因租金持續高漲、人力資源短缺等問題，面臨極大的成本壓力，嚴重排擠中小企業生存空間。 / In the year of 2002, after the gambling are allowing by the government in Macau, gambling has already become a pillar industry. Accompanying with the rapid development of economy, housing price has risen at high speed in Macau. Therefore, this paper aims to investigate the research of interactive relationship between the real estate market, macroeconomic and gambling industry variables on the basis of Granger causality test since the gambling concession was granted out to three companies. Our sample period starts from Q1 of 2001 to Q4 of 2014 with quarterly data. The research uses ADF Test, Granger Causality Test, and Cointegration Test model that we verify the relationship between macroeconomic variables and the real estate prices. The paper hopes to find out that whether the long-term steady changes between the real estate market and macroeconomic variables will be a leading or lagging effect. The empirical result shows that, deposits rate, foreign direct investment (FDI), non-resident workers (NRW) and hotel occupancy rate (HOR), are in the lead of variation of housing price, income and tax revenue from gaming presents a causal relationship with housing price. FDI, NRW and HOR belong to the variations of the gambling industry which reveal flourishing gambling industry cam promote the housing price in Macau. Moreover, tax revenue from gaming, FDI, NRW and HOR leads income. Thus, it can infer after the gambling are allowed, it brings a great impact on the economy in Macau. On the other hand, the economy of Macau too dependent on gambling. Medium-sized and small enterprises face lot of cost pressure such as the raising rent and short of hands, so that excluding vivo sphere of medium-sized and enterprises.

This dissertation consists of three essays that apply both economic theory and econometric methods to understand design and dynamics of institutions. In particular, it studies how institutions aggregate information and deal with uncertainty and attempts to derive implications for optimal institution design. Here is a brief summary of the essays. In many economic, political and social situations where the environment changes in a random fashion necessitating costly action we face a choice of both the timing of the action as well as choosing the optimal action. In particular, if the stochastic environment possesses the property that the next environmental change becomes either more or less likely as more time passes since the last change (in other words the hazard rate of environmental change is not constant over time), then the timing of the action takes on special importance. In the first essay, joint with Maxwell B Stinchcombe, we model and solve a dynamic decision problem in a semi-Markov environment. We find that if the arrival times for state changes do not follow a memoryless process, time since the last observed change of state, in addition to the current state, becomes a crucial variable in the decision. We characterize the optimal policy and the optimal timing of executing that policy in the differentiable case by a set of first order conditions of a relatively simple form. They show that both in the case of increasing and decreasing hazard rates, the optimal response may be to wait before executing a policy change. The intuitive explanation of the result has to do with the fact that waiting reveals information about the likelihood of the next change occurring, hence waiting is valuable when actions are costly. This result helps shed new light on the structure of optimal decisions in many interesting problems of institution design, including the fact that constitutions often have built-in delay mechanisms to slow the pace of legislative change. Our model results could be used to characterize optimal timing rules for constitutional amendments. The paper also contributes to generalize the methodology of semi-Markov decision theory by formulating a dynamic programming set-up that looks to solve the timing-of-action problem whereas the existing literature looks to optimize over a much more limited set of policies where the action can only be taken at the instant when the state changes. In the second essay, we extend our research to situations, where the current choice of action influences the future path of the stochastic process, and apply it to the legal framework surrounding environmental issues, particularly to the ‘Precautionary Principle' as applied to climate change legislation. We represent scientific uncertainty about environmental degradation using the concept of 'ambiguity' and show that ambiguity aversion generates a 'precautionary effect'. As a result, justification is provided for the Precautionary Principle that is different from the ones provided by expected utility theory. This essay serves both as an application of the general theoretical results derived in the first essay and also stands alone as an analysis of a substantive question about environmental law. Prediction markets have attracted public attention in recent years for making accurate predictions about election outcomes, product sales, film box office and myriad other variables of interest and many believe that they will soon become a very important decision support system in a wide variety of areas including governance, law and industry. For successful design of these markets, a thorough understanding of the theoretical and empirical foundations of such markets is necessary. But the information aggregation process in these markets is not fully understood yet. There remains a number of open questions. The third essay, joint with Robert Lieli, attempts to analyze the direction and timing of information flow between prices, polls, and media coverage of events traded on prediction markets. Specifically, we examine the race between Barack Obama and Hillary Clinton in the 2008 Democratic primaries for presidential nomination. Substantively, we ask the following question: (i) Do prediction market prices have information that is not reflected in viii contemporaneous polls and media stories? (ii) Conversely, do prices react to information that appears to be news for pollsters or is prominently featured by the media? Quantitatively, we construct time series variables that reflect the "pollster's surprise" in each primary election, measured as the difference between actual vote share and vote share predicted by the latest poll before the primary, as well as indices that describe the extent of media coverage received by the candidates. We carry out Granger Causality tests between the day-to-day percentage change in the price of the "Obama wins nomination" security and these information variables. Some key results from our exercise can be summarized as follows. There seems to be mutual (two-way) Granger causality between prediction market prices and the surprise element in the primaries. There is also evidence of one-way Granger causality in the short run from price changes towards media news indices. These results suggest that prediction market prices anticipate at least some of the discrepancy between the actual outcome and the latest round of polls before the election. Nevertheless, prices also seem to be driven partly by election results, suggesting that there is an element of the pollster’s surprise that is genuine news for the market as well. / text

In this paper we estimate the short-term and long-term relationship between stock prices and exchange rates for the sample of US and Asian markets during the period 2004 – 2014. Monetary variables include money supply, interest rates, foreign exchange rates, and the consumer price index. All the data are monthly indices and have been examined using multivariate co integration analysis and Granger causality analysis. The empirical analysis employed provides evidence of a positive co-integrating short- run relationship between these variable with Granger causality found to run from stock prices to the exchange rate during the sample period in Japan. For US, significant relationships were not been established. The results for Japan confirm the conclusion of other studies that stock returns are significant predictors of short – run exchange rate movements especially in period of financial crisis. We also apply LS model in order to estimate a linear regression. / Στην εργασία αυτή θα εκτιμηθεί η βραχυπρόθεσμη και μακροπρόθεσμη σχέση μεταξύ των τιμών των μετοχών και των συναλλαγματικών ισοτιμιών για το δείγμα των αμερικανικών και ασιατικών αγορών κατά την περίοδο 2004-2014. Νομισματικές μεταβλητές περιλαμβάνουν την προσφορά χρήματος, τα επιτόκια, τις συναλλαγματικές ισοτιμίες και τον δείκτη τιμών καταναλωτή. Όλα τα στοιχεία είναι μηνιαία και έχουν εξεταστεί σύμφωνα με πολυπαραγοντική ανάλυση και την ανάλυση της αιτιότητας. Η εμπειρική ανάλυση που χρησιμοποιείται παρέχει απόδειξη της θετικής σχέσης μεταξύ αυτών των μεταβλητών με Granger αιτιότητα από τις τιμές των μετοχών προς την συναλλαγματική ισοτιμία κατά τη διάρκεια της περιόδου του δείγματος στην Ιαπωνία. Για την Αμερική, σημαντικές σχέσεις δεν έχουν τεκμηριωθεί. Τα αποτελέσματα για την Ιαπωνία επιβεβαιώνουν το συμπέρασμα άλλων μελέτών ότι οι αποδόσεις των μετοχών είναι σημαντικοί παράγοντες πρόβλεψης των βραχυπροθεσμων διακυμανσεων των συναλλαγματικών ισοτιμιών,ιδίως σε περίοδο οικονομικής κρίσης. Μπορούμε επίσης να εφαρμόσουμε το μοντέλο LS, προκειμένου να εκτιμηθεί μια γραμμική παλινδρόμηση.

Recent experimental studies point to the notion that the brain is a complex dynamical system whose behaviors relating to brain functions and dysfunctions can be described by the physics of network phenomena. The brain consists of anatomical axonal connections among neurons and neuronal populations in various spatial scales. Neuronal interactions and synchrony of neuronal oscillations are central to normal brain functions. Breakdowns in interactions and modifications in synchronization behaviors are usual hallmarks of brain dysfunctions. Here, in this dissertation for PhD degree in physics, we report discoveries of brain oscillatory network activity from two separate studies. These studies investigated the large-scale brain activity during tactile perceptual decision-making and epileptic seizures. In the perceptual decision-making study, using scalp electroencephalography (EEG) recordings of brain potentials, we investigated how oscillatory activity functionally organizes different neocortical regions as a network during a tactile discrimination task. While undergoing EEG recordings, blindfolded healthy participants felt a linear three-dot array presented electromechanically, under computer control, and reported whether the central dot was offset to the left or right. Based on the current dipole modeling in the brain, we found that the source-level peak activity appeared in the left primary somatosensory cortex (SI), right lateral occipital complex (LOC), right posterior intraparietal sulcus (pIPS) and finally left dorsolateral prefrontal cortex (dlPFC) at 45, 130, 160 and 175 ms respectively. Spectral interdependency analysis showed that fine tactile discrimination is mediated by distinct but overlapping ~15 Hz beta and ~80 Hz gamma band large-scale oscillatory networks. The beta-network that included all four nodes was dominantly feedforward, similar to the propagation of peak cortical activity, implying its role in accumulating and maintaining relevant sensory information and mapping to action. The gamma-network activity, occurring in a recurrent loop linked SI, pIPS and dlPFC, likely carrying out attentional selection of task-relevant sensory signals. Behavioral measure of task performance was correlated with the network activity in both bands. In the study of epileptic seizures, we investigated high-frequency (> 50 Hz) oscillatory network activity from intracranial EEG (IEEG) recordings of patients who were the candidates for epilepsy surgery. The traditional approach of identifying brain regions for epilepsy surgery usually referred as seizure onset zones (SOZs) has not always produced clarity on SOZs. Here, we investigated directed network activity in the frequency domain and found that the high frequency (>80 Hz) network activities occur before the onset of any visible ictal activity, andcausal relationships involve the recording electrodes where clinically identifiable seizures later develop. These findings suggest that high-frequency network activities and their causal relationships can assist in precise delineation of SOZs for surgical resection.

This thesis investigated money supply behaviors in the ‘BRICS’ group from 1982 to 2012. It empirically analyzed causality relationships between related monetary indicators by using quarterly data and time series econometric methods. In four countries: Brazil, China, Russia (the period of 2004-2012) and South Africa (1982-1993), this study found money supply endogeneity evidence (bank loans cause the money supply, or there is bidirectional between these two). Other countries, India and the 1982-2003 period of Russia, money supply was found to be exogenous, i.e. money supply cause bank loans. Nonetheless, traditional Monetarian view still holds across the five economies in the short run. The findings reflected discretionary monetary policies targeting monetary aggregates in the short term, despite a neutral role of most central banks in the long run.

自1970年代以來有許多研究指出，能源價格衝擊對於一個國家的總體經濟表現有顯著的影響。但對於能源價格究竟是以何種形式，以及透過什麼管道對總體經濟產生影響，卻沒有一致的看法。同時，經濟決策者對於能源價格變動的反應，經常因為有不確定性的存在而有延後反映的現象。本文利用台灣1981年到2009年的能源價格，建構數種對稱與不對稱之能源價格變動設定，以Granger因果關係檢定探討能源價格變動與台灣其他相關的總體經濟變數資料間的關係；並透過自我迴歸分配落後模型 (Autoregressive Distributed Lag Model, ARDL) 模型估計能源價格與台灣產出的長期關係。我們的實證結果顯示：能源價格，相較於台灣的總體經濟體系，具有外生性。能源價格成長率對產出與失業率沒有顯著的影響；但能源價格的波動程度對台灣產出成長率卻有顯著的負面影響。能源價格波動率與台灣實質產出具有長期均衡關係，而且能源價格波動將對台灣實質產出有負面影響。 / Since the 1970s, numerous studies have demonstrated that energy price impact can have a significant influence on a country’s macroeconomy. However, there is no consensus regarding in what form, or by which channel can energy price changes affect the macroeconomy. In addition, economic decision makers often respond to energy price changes with a time lag due to the existence of uncertainty. This paper constructs several indicators of symmetric and asymmetric energy price changes based on the energy prices in Taiwan for the period from 1981 to 2009. We employ the Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the autoregressive distributed lag model (ARDL) to estimate the long-run relationship between energy price volatility and Taiwan’s real GDP. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; the energy price growth rate does not have significant impact on output and unemployment rate, while the energy price volatility has negative impact on Taiwan’s macroeconomy. There is long-run relationship between the energy price volatility and Taiwan’s real GDP. Furthermore, the energy price volatility do have negative impact on Taiwan’s real GDP.

台灣不動產投資信託(T-REIT)自2005年發行至今已逾四年，過去國內相關的文獻多集中於法律面、制度架構及問卷調查等相關研究，對於整體市場實際表現的討論則較缺乏。隨著交易歷史資料的延展，本研究針對國內REITs施行的現況與總體經濟波動及不動產市場之關係進行討論。在總體經濟部分以股價指數、利率與通貨膨脹進行分析，在不動產市場部分則採用辦公室平均租金水準與實際商辦交易價格為指標，期望探索T-REITs價格與總體經濟及不動產市場間之長期關係。 本文發現T-REITs與股價指數、商辦租金以及商辦交易價格間，均會存在長期均衡關係，即有共整合情形，而T-REITs與通貨膨脹率以及T-REITs與利率間不具有長期均衡關係，且股價指數、商辦租金以及通貨膨脹率與T-REITs為正向關係，利率及商辦租金與T-REITs則為反向關係。此外，根據因果關係檢定，股價指數與通貨膨脹率皆領先T-REITs，而商辦租金與T-REITs為雙向回饋。本文結果顯示，台灣REITs與總體經濟及商用不動產市場具有長期均衡關係，亦即總體經濟的變動以及不動產市場的波動可做為探討T-REITs長期變化的指標。 / Taiwan launched the first Real Estate Investment Trusts (T-REITs) in 2005. However, over the past few years, studies regarding T-REITs mainly focused on legal system, institutional framework and questionnaire surveys, but lack of empirical analysis on the performance of T-REIT markets. This study therefore intends to explore the cointegration and causality relationship among the T-REITs, macroeconomy and commercial real estate markets. The macroeconomic factors in this study include the stock prices, interest rate and inflation rate; and the real estate variables include the commercial rents and commercial prices. Empirical results first demonstrate that there exists the long-run relationship among T-REITs, stock prices, commercial rents and commercial prices, but not the interest rate or inflation rate. Moreover, T-REITs are significantly related to stock prices, interest rate and inflation rates as well as commercial rents and commercial prices. Third, the changes of stock prices and inflation rate lead the change of T-REITs. Finally, there is a significant feedback relationship between T-REITs and commercial rents.

Orientador: Prof. Dr. Raphael Yokoingawa de Camargo / Dissertação (mestrado) - Universidade Federal do ABC, Programa de Pós-Graduação em Neurociência e Cognição, 2016. / Sabe-se que o comportamento, a percepção e a cognição estão relacionados à atividade conjunta de uma ou mais regiões cerebrais. Sendo assim, é interessante verificar como as regiões cerebrais interagem e como acontece a transferência de informação entre elas. Nesse trabalho avaliamos a efetividade da coerência parcial direcionada e da coerência parcial direcionada generalizada na inferência da conectividade efetiva entre redes neurais simuladas. As redes neurais foram utilizadas para simular regiões cerebrais. A atividade elétrica dos neurônios que compõem as redes neurais foi descrita pelo modelo matemático de Izhikevich. Através da variação dos parâmetros responsáveis pelo comportamento dinâmico dos neurônios das redes, simulamos diferentes sinais de LFP (local field potential). Os métodos de conectividade foram aplicados sobre esses sinais de LFP simulados afim de recuperar, para cada um dos modelos estudados, a conectividade previamente estabelecida entre as diferentes redes neurais. Avaliamos também o comportamento da causalidade de Granger, da coerência parcial direcionada, da correlação de Spearman e da coerência espectral de acordo com o aumento no peso sináptico das conexões entre os neurônios de diferentes redes. Os resultados desse trabalho nos fornece informações sobre aplicabilidade desses métodos de conectividade em dados com características similares a dados eletrofisiológicos. / It is known that behavior, perception and cognition are the result of the combined activity of multiple brain regions. This way, it is interesting to understand how the brain regions interact and how information transfer occurs. In this work we verified the efficacy of partial directed coherence and generalized partial directed coherence to infer the effective connectivity between simulated neuronal networks. Neuronal networks was used to simulate brain regions. The electrical activity of neurons that belong to networks was described by Izhikevich mathematical model. Through the variation of parameters responsible for the dynamical behavior of neurons we simulated different LFP signals. The connectivity methods were applied to simulated LFP signals to recovery the previously established connections. We analysed the values obtained by Granger causality, partial directed coherence, Spearman correlation and spectral coherence according to increasing synaptic strengths of connections among different networks. These results provide information about to what extent the methods might be applied to the analysis of actual electrophysiological data.