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.

The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observations for each variable. Johansen s tests through Estatistical Trace and Maximum Eigenvalue indicated that there is at least one cointegration vector. In the analysis of Granger Causality Tests by way of Error Correction, it was found that there was short-term causality between Consumer Price Index and IBOVESPA. Regarding long-term results of Granger Causality, it was showed behavior of long-term among the macroeconomic variables with IBOVESPA. The results of the long-term of normalized vector for the IBOVESPA variable showed that most of sign parameters of cointegration equation are in agreement with the one suggested by economic theory. In other words, there was a positive behavior regarding Gross Internal Product and a negative one regarding inflation and exchange rate (it was hoped a positive relation) regarding IBOVESPA, except Brazil interest rate, which was not significant with that index. The variable of IBOVESPA was explained in more than 90% by itself in the twelfth month, followed by country-risk with less than 5%. / O objetivo deste trabalho foi de verificar a relação de causalidade entre um conjunto de variáveis macroeconômicas, representadas por taxa de câmbio, taxa de juros, inflação (IPCA), índice de produção industrial como proxy do Produto Interno Bruto em relação ao Índice de Bolsa de Valores de São Paulo (Ibovespa). O período de análise compreendeu os meses de janeiro de 1995 a dezembro de 2010, perfazendo um total de 192 observações para cada variável. Os testes de Johansen, através da estatística do traço e do máximo autovalor, indicaram a existência de pelo menos um vetor de cointegração. Na análise dos testes de causalidade de Granger via correção de erros, ficou constatado que existiu causalidade de curto prazo entre o IPCA e o Ibovespa. No que concerne à causualidade de Granger de longo prazo, os resultados indicaram comportamento de longo prazo entre as variáveis macroeconômicas com o IBOVESPA. Os resultados do vetor normalizado de longo prazo para a variável Ibovespa evidenciaram que a maioria dos sinais dos parâmetros da equação de cointegração estão de acordo com o sugerido pela teoria econômica. Em outras palavras, houve um comportamento positivo do PIB e negativo da inflação e da taxa de câmbio (esperava-se uma relação positiva) em relação ao Ibovespa, com exceção da taxa Selic., que não foi significativa com o referido índice. A variância do Ibovespa foi explicada em mais de 90% por ela mesma no mês 12, seguida do risco-país, com menos de 5%.

This thesis analyses the chief relations inside the transmission mechanism of the monetary policy of the U.S. Federal Reserve System during the period from 1955 to 2007. The theoretical part of the thesis describes the principles of the history of Federal Reserve and his monetary policy, the development of Fed's monetary policy and its transmission mechanism, the lags in the monetary policy and various theories which deal with try to explain the monetary policy relations. In the analytical part I focus on answering the most laid questions whether, how much and for how long do the nominal interest rates and monetary aggregates affect the real variables (mainly the real domestic product) of the United States. Next I focus on investigating the monetarist assumption of money neutrality in the long run. I also introduce Granger causality and Impulse and Responses investigations into proposed VAR model.

The text discusses some used methods for estimating potential product and output gaps based on aggregated data for the Czech Republic. Though these methods exhibit some common features, an empirical comparison demonstrates that the various techniques differ substantially. In particular, the correlation of output gaps calculated with different methods is generally low , the methods imply different turning points. To conclude, the methods for estimating potential product a used have only limited information content for macroeconomics.

In this paper is tested validity of the neoclassical migration model. For this purpose, were used Fixed effects model and VAR model. Data contain period of years 2001 to 2010 from 14 regions of the Czech republic and dataset contains 140 observations. Empirical results of Fixed effects model show that socioeconomic determinants had signifficant influence on regional rate of migration in the Czech republic. The direction and strength of influence of the most explanatory variables corresponded to the neoclassical theory. Estimations of VAR model indicate that regional migration did not decrease disparities within regions. These results questioned validity of neoclassical migration model.

The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.

Thesis (M. A. Agricultural Science (Agricultural Economics) -- University of Limpopo, 2019 / The relationship between farm and retail prices provides insights into marketing efficiency, consumer and farmer welfare. In light of this, much focus has been given to price transmission studies. Thus, price transmission studies have become increasingly important in Sub Saharan Africa because of its nature of providing clear insights information into our markets. Despite its importance in markets, there are a few studies analysing the mechanism through which prices are determined and transmitted from farm gate to retail markets in dairy markets in South Africa. The aim of the study was to investigate and analyse the nature of price transmission mechanism of pasteurised liquid milk and cheese in South Africa. The specific objectives were to determine the correlation between the milk production and quantity of milk processed in South Africa. Furthermore, there was a need to determine the direction of causality between the farm gate, processor and retail prices of cheese and pasteurised liquid milk in South Africa. It was also necessary to determine whether the price transmission of pasteurised liquid milk and cheese was symmetric or asymmetric in South Africa. The study used secondary time series data that covered a sample size of 17 years (2000 -2016) of pasteurised liquid milk and cheese in South Africa. Pearson correlation coefficient, Granger causality test and Vector Error Correction Model were used for data analysis. Pearson correlation results revealed that milk produced is perfectly correlated with the quantity of milk processed and it was positive. The Granger causality tests revealed that there was a no causal relationship between farm gate and processor, retail and processor and also between farm gate and retail for cheese. However, signs of independent causal relationship from farm gate to retail prices were visible. It also suggested a bidirectional causal relationship between processor and farm gate prices and also between retail and processor prices of pasteurised liquid milk. On the other hand, a unidirectional causality was found from retail to farm gate prices. The VECM results for pasteurised liquid milk showed asymmetric price transmission implying that retailers and processors react quicker to price increases than to price decrease. ii It is recommended that more focus be placed on investment in emerging dairy farmers in order to increase production. This can be done through the input price subsidies, grants and education on modern technologies. The government should also implement the price monitoring cell in order to protect the consumers from unfair prices passed on by the retailers. / Services SETA and National Agricultural Marketing Council (NAMC)

Cette thèse contribue à la littérature sur les normes prudentielles de la gestion des risques bancaires,la causalité entre le développement financier et la croissance économique et enfin les hypothèses del'aléa moral et de la réglementation du capital des banques. La crise des Subprimes de 2007 aparadoxalement permis de souligner une fois de plus les lacunes des normes prudentielles Bâle I etBâle II, du fait de ses différentes conséquences sur les systèmes bancaires mondiaux. En adoptantune démarche économétrique et en exploitant des données de panel sur un échantillon des banquesd’Afrique subsaharienne et du Maghreb, nous avons utilisé plus particulièrement la technique decausalité au sens de Granger et celle d'estimation GMM afin de mener des études empiriques surcelles-ci, notamment la causalité entre le développement financier et l’économie réelle d’une part, larelation entre le capital et la profitabilité (risque) des banques d’autre part. Les résultats soulignent ladépendance entre certaines variables de la profitabilité des banques et la croissance économiqued’une part, et d’autre part les comportements des banques africaines, en termes de la détention ducapital et à la prise excessive des risques, cadrent parfaitement aux hypothèses de l’aléa moral et dela réglementation du capital du comité de Bâle. / This thesis contributes to the literature on prudential risk management in the banking sector,causality between financial development and economic growth and finally, the study of moral hazardand the regulation of the capital of banks. The Subprime Mortgage Crisis of 2007 paradoxicallyDépôt de thèseDonnées complémentairesmade it possible to once more highlight the inadequacies in the Basel I and Basel II prudentialstandards, because of its various consequences on the global financial system. We adopted andapplied the Granger causality test and the GMM estimation method to panel data on a sample ofbanks in sub-Saharan Africa and the Middle East, in order to conduct empirical studies, in particularon the causality between financial development and the real economy on one hand, the relationbetween capital and the profitability (risk) of banks on the other. The results highlight thedependence between certain variables describing bank profitability and economic growth on onehand, and those describing the characteristics of African banks on the other, in terms of capitalretention and excessive risk taking. This coincides perfectly with the study of moral hazard andcapital regulation set by the Basel Committee.

The research examines how the banking sector in Zambia faired in the wake of the global financial crisis, and the ensuing global recession that followed. Even prior to the crisis, weaknesses within the Zambian Banking sector were already identified by a World Bank/IMF financial sector assessment. The research therefore aims to gain a better understanding of the potential destabilizing factors to the Zambia Banking sector, and provide key players (Policymakers, Regulators and Banks) with knowledge on how best to manage and overcome these adverse effects, in times of a financial crisis. A Vector Error Correction Model (VECM) is estimated using commonly identified macroeconomic and banking sector indicators from selected Anglophonic African countries that were affected by the crisis at the time. The selected variables include, Return on Assets (ROA); Non-Performing Loans (NPL); Foreign Assets (FA); Interbank Lending Rate (IBLR); Liquidity (LQD); Credit to Private Sector (PRV); Foreign Exchange Rate (FOREX); Inflation (INFL); Copper Price (CU); and a ‘dummy’ variable (CRISIS). The direction of causality between the variables is further established using the VAR Granger Causality Test. Results of the model suggests that although the CRISIS was found to cause the ROA, it had no significant effect on its outcome, implying that overall the crisis had very little effect on the Zambian banking sector’s profitability. It was the liquidity (LQD) variable instead which was found to have a significant effect on the ROA. In times of a financial crisis, it is therefore recommended that policy makers and regulators apply more stringent regulatory and monetary policy instruments. This would counter the adverse effects on the liquidity and profitability of the Banking sector, and thus ensure its stability.

The main objective of this thesis is to find information of how, or if, the selected macroeconomic variables consumer price index, interest rate, exchange rate, industrial production, oil price and money supply have affected the Swedish stock market (OMXafgx) during the time-period 1973-2017. Findings in this research proves that all variables are co-integrated with the Swedish stock market, but only one of the variables selected, industrial production, have a short- and a longrun relationship affecting the Swedish stock market. A negative long run relation is also identified for money supply. / Huvudsyftet med denna uppsats är att finna information om hur, eller om, de utvalda makroekonomiska variablerna konsumentpris index, ränta, växelkurs, industriproduktion, oljepris och penningmängd har någon påverkan på den svenska aktiemarknaden (OMXafgx) från 2973-2017. Resultaten från denna undersökning visar att alla variablerna är samintegrerade med den svenska aktiemarknaden. Dock är det endast industriproduktion som har en kort- och långsiktig relation som påverkar den svenska aktiemarknaden. En negativ långsiktig relation identifieras även för penningmängd.