The comprehensive effect of sleep deprivation on biological and behavioral functions largely remains unknown. There is evidence to support that human sleep must be of sufficient duration and physiological continuity to ensure neurocognitive performance while we are waking. Insufficient sleep would lead to high risk of human-error related to accidents, injuries or even fatal outcomes. However, in modern society, more and more people suffer from sleep deprivation because of the increasing social, academic or occupational demand. It is important to study the effect of sleep deprivation, not only on task performance, but also on neurocognitive functions. Recent research that has explored brain effective connectivity has demonstrated the directed inference interaction among pairs of brain areas, which may bring important insight to understand how brain works to support neurocognitive function. This research aimed to identify the brain effective connectivity pattern associated with changes of a task performance, response time, following sleep deprivation. Experiments were conducted by colleagues at Neuroergonomics Department at Jagiellonian University, Krakow, Poland. Ten healthy young women, with an average age of 23-year-old, performed visual spatial sustained-attention tasks under two conditions: (1) the rest-wakeful (RW) condition, where participants had their usual sleep and (2) the sleep-deprived (SD) condition, where participants had 3 hours less sleep than their usual sleep, for 7 nights (amounting to 21 h of sleep debt). Measures included eye tracking performance and functional magnetic resonance imaging (fMRI). In each condition, each subject*s eye-position was monitored through 13 sessions, each with 46 trials, while fMRI data was recorded. There were two task performance measures, accuracy and response time. Accuracy measured the proportion of correct responses of all trials in each session. Response time measured the average amount of milliseconds until participants gazed at the target stimuli in each session. An experimental session could be treated as a short window. By splitting long trials of fMRI data into consecutive windows, Granger causality was applied based on short trials of fMRI data. This procedure helped to calculate pairwise causal influences with respect to time-varying property in brain causal interaction. Causal influence results were then averaged across sessions to create one matrix for each participant. This matrix was averaged within each condition to formulate a model of brain effective connectivity, which also served as a basis of comparison. In conclusion, significant effect of sleep deprivation was found on response time and brain effective connectivity. In addition, the change of brain effective connectivity after sleep deprivation was linked to the change of response time. First, an analysis of variance (ANOVA) showed significant difference for response time between the RW condition and the SD condition. No significant changes for accuracy were found. A paired t-test showed that response time was significantly shorter in sleep deprivation for the visual spatial sustained-attention task. Second, Granger causality analysis demonstrated a reduction of bidirectional connectivity and an increase of directed influences from low-level brain areas to high-level brain areas after sleep deprivation. This observation suggested that sleep deprivation provoked the effective connectivity engaged in salient stimuli processing, but inhibited the effective connectivity in biasing selection of attention on task and in maintaining self-awareness in day time. Furthermore, in the SD condition, attention at the visual spatial task seemed to be driven by a bottom-up modulation mechanism. Third, a relationship was found between brain effective connectivity with response time. Decreases of Granger causal influences in two directions, from medial frontal lobe to sub cortical gray nuclei and from medial parietal lobe to sub cortical gray nuclei, were associated with shorter response time in the SD condition. Additionally, an increase of Granger causal influence from medial parietal lobe to cerebellum was associated with longer response time in the SD condition.

A music performance is an exciting environment for studying joint action and nonverbal communication. This thesis utilized music ensemble performances to study nonverbal communication occurring from two different perspectives. We examined bi-directional communication between co-performers and uni-directional communication of the musicians to the participants. The first paper (Chapter 2) used statistical measures (i.e., Granger causality analysis) to quantify head movements as a measure of joint action during a musical performance. We observed a change in direction and magnitude of information flow between co-performers based on the availability of visual and auditory cues. We wanted to extend this line of research to see how audience perception of the performances may change due to the auditory and visual manipulations of the performers. The second paper (Chapter 3) examines participant ratings of expression, cohesion, and general liking of the performance when presented with audio-visual, audio-only, and visual-only stimuli. These ratings not only show which sensory modality allows for the highest sensitivity to performer manipulations, but also provide insight into how musicians change their performances to communicate to the audience. My aim was to create a cohesive examination of co-performer communication and observer perception of musical performances. / Thesis / Master of Science (MSc)

The Purchasing Managers’ Index (PMI) has been shown to provide useful indications on where the economy is heading (Afshar et al., 2007; Koenig, 2002; Harris, 1991). We examine the predictive abilities of PMI on stocks that are sensitive to business cycle movements by testing if the index can contribute to forecasting a group of Swedish industrial machinery stocks during 2012-2023. We approach this by employing pairwise Granger Causality tests, using PMI data from five countries, and stock performance data for 11 industrial machinery stocks included in the OMXS30. The results indicate that PMI cannot contribute to forecasting the stock performance. Instead, we find empirical evidence of a predictive relationship in the opposite direction, suggesting that the stock performance can forecast the PMI.

No / The relationship between exports and economic growth has been analysed by a number of recent empirical studies. This paper re-examines the sources of growth for the period 1971-2001 for India. It builds upon Feder's (1983) model to investigate empirically the relationship between export growth and GDP growth (the export led growth hypothesis), using recent data from the Reserve Bank of India, and by focusing on GDP growth and GDP growth net of exports. We investigate the following hypotheses: (i) whether exports, imports and GDP are cointegrated using the Johansen approach and Breitung's nonparametric cointegration test; (ii) whether export growth Granger causes GDP growth; (iii) and whether export growth Granger causes investment. Finally, a VAR is constructed and impulse response functions (IRFs) are employed to investigate the effects of macroeconomic shocks.

Esse trabalho apresenta um estudo da causalidade de Granger em Risco bivariado aplicado a séries temporais financeiras. Os eventos de risco, no caso de séries financeiras, estão relacionados com a avaliação do Valor em Risco das posições em ativos. Para isso, os modelos CaViaR, que fazem parte do grupo de modelos de Regressão Quantílica, foram utilizado para identificação desses eventos. Foram expostos os conceitos principais envolvidos da modelagem, assim como as definições necessárias para entendê-las. Através da análise da causalide de Granger em risco entre duas séries, podemos investigar se uma delas é capaz de prever a ocorrência de um valor extremo da outra. Foi realizada a análise de causalidade de Granger usual somente para como comparativo. / Quantile Regression, Value at Risk, CAViaR Model, Granger Causality, Granger Causality in Risk

Esse trabalho apresenta um estudo da causalidade de Granger em Risco bivariado aplicado a séries temporais financeiras. Os eventos de risco, no caso de séries financeiras, estão relacionados com a avaliação do Valor em Risco das posições em ativos. Para isso, os modelos CaViaR, que fazem parte do grupo de modelos de Regressão Quantílica, foram utilizado para identificação desses eventos. Foram expostos os conceitos principais envolvidos da modelagem, assim como as definições necessárias para entendê-las. Através da análise da causalide de Granger em risco entre duas séries, podemos investigar se uma delas é capaz de prever a ocorrência de um valor extremo da outra. Foi realizada a análise de causalidade de Granger usual somente para como comparativo. / Quantile Regression, Value at Risk, CAViaR Model, Granger Causality, Granger Causality in Risk

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

This thesis deals with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a compensation not only for the default risk but also for other factors related to corporate bonds such as market liquidity or tax differential between corporate and Treasury bonds. In this study we firstly examine the relationship between bond ratings and credit spreads given that bond rating changes are expected to carry some informational value for debt investors. The findings indicate that bond ratings generally carry some informational value for corporate bond investors. The Granger causal relationship is more evident for negative watch lists and during periods of uncertainty in financial markets. In line with previous studies, our results suggest that changes in credit spreads are significantly related to interest rate levels, systematic risk factors (Fama and French) factors and equity returns.

Multinational bank activities have gradually risen in developing countries since the beginning of the globalisation process. Rising foreign bank activities in developing countries have motivated researchers to investigate foreign banks, comprehensively. Turkey is a typical example of a developing country that achieved a tremendous growth rate in foreign bank asset, especially throughout the last decade. The aim of this thesis is to examine two-way linkage; (1) between foreign bank penetration (FBP) and banking variables; (2) between FBP and country risk and (3) between FBP, foreign direct investment (FDI) and foreign portfolio investment (FPI) in Turkey. Therefore, this thesis is constructed by three empirical sections. Moreover the pattern of FDI inflow and outflow in the world and in Turkey has been analysed, chronologically. In addition, the theory of FDI is taken into account and existing FDI theories has been criticised. In the first empirical work – Chapter 3 - the short run and long run relationship, if it exits, between FBP and determinants of bank performance (namely, domestic bank assets, domestic credit and banking profitability) in Turkey was investigated after controlling DGDP and 2001 financial crisis (DUM2001). The outcome of the Granger causality test indicates that there was unilateral causality which runs from DDB to DFBP . Moreover, I also found feedback causality between DFBP and DCREDIT . By employing impulse response functions, I found that there is positive relationship between DFBP and DCREDIT as I expected. Moreover, the response of DFBP to one standard deviation shock in domestic bank assets is initially statistically significant and positive. The reverse effect is statistically significant and positive. In the final model, the response of DFBP to one standard deviation shock in profitability (PRO) is significant and positive at 3rd quarter. The reverse effect is surprisingly positive but not statistically significant. Specifically, what has not been also investigated deeply in the empirical literature is the two-way linkage between foreign bank penetration and risk such as political, financial and economic. Thus, in chapter 4, linkage between FBP and country risk (namely, political risk, economic risk and financial risk) was examined in Turkey using quarterly data from 1994Q1 to 2009Q4. My finding indicated that I found one error correction term significant and positive in bivariate vector error correction in model 1 and 2, implying that in the long run, foreign bank penetration has contributed to economic and political risk. Moreover, short run causality based on VAR approach between DFBP and financial risk is investigated but I failed to find any significant causality in the VAR model after controlling DGDP and 2001 financial crisis, even at the 10% level. By analysing impulse response functions, I could not detect any significant relationship between DFBP and host country risk variables in the short run. This is because adding control variables (DGDP and DUM2001) make the relationship between host country risk variables and DFBP statistically insignificant. Finally, I investigated two-way linkage between FBP, FPI and FDI in Turkey after controlling DGDP and 2001 financial crisis. The finding from the VAR based block exogeneity wald test indicated that changes in DFBP significantly lead to changes in DFDI and there is also unilateral causality which runs from FPI to DFBP. Moreover, using the variance decomposition technique I found that DFDI and FPI have little explanatory power for the evolution of DFBP in Turkey. The contribution of DFBP to the variability of DFDI is more than that of FPI. The contribution of DFDI to FPI variability ranges between 0.000% and 9.122% throughout 12 quarter periods whilst the contribution of DFBP to FPI variability ranges between 0.000% and 7.611%.