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A Study on Information Transmission and Volume-price Relationship in Taiwan Stock Index and Industrial Stock IndexChang, Chen-wei 20 August 2007 (has links)
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.
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Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysisAkram, Muhammad January 2012 (has links)
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.
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Economic growth and Inflation : A panel data analysisMamo, Fikirte January 2012 (has links)
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.
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Analysis of Relationship between Energy Consumption and Economic Growth Before and After Asian Financial Crisis in Taiwan and South KoreaChuang, Wen-Chi 22 June 2012 (has links)
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.
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Essays on Pricing Behaviors of Energy CommoditiesQin, Xiaoyan 2011 May 1900 (has links)
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.
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Financial transmission between money, bond and equity markets and exchange rates within and between the United States and TaiwanChen, Nai-ning 08 February 2007 (has links)
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.
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The relationship between advertising and household loansSahlin, Daniel, Sjögren, Gustav January 2008 (has links)
<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>
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Blindfolding the public : examining the hydraulic pattern hypothesis of media priming effectsYoo, Sung Woo 10 February 2015 (has links)
In this dissertation was examined the hydraulic pattern of media-priming effects by looking into Granger causality (a statistical test to determine if one time series is useful in forecasting another) between media coverage and the importance of issues people perceive. The hydraulic pattern hypothesis, an argument that increase in the importance of an issue is accompanied by decrease in a similar amount of importance, is embedded in most media-effect theories but has rarely been tested. To test the causality with media coverage, time series of six issues and six candidate variables were created. This research is distinct from previous studies of priming in that it tests aggregate-level influence of media coverage on popular evaluation of political-campaign candidate in a long-term setting. In the findings, media coverage of issues induced changes in the Granger-caused issue-weight of the issue that it covered, confirming the main effects of priming. The hydraulic pattern was also confirmed. Active media coverage of an issue, induced Granger-caused changes in five other issue-weights. It was found that it takes 7–8 days after the media coverage to establish a causal relationship of priming effects. vii In another finding, the result showed that the time-lag of the hydraulic pattern preceded the main priming effects. As regards the debated relationship of priming effects with political knowledge, this research found that high knowledge groups are more susceptible to the main priming effects. However, the impact of political knowledge on the hydraulic pattern was the opposite. This means that less knowledgeable people may be more vulnerable; that is, they are more likely to lose sight of other issues when the media primes a certain issue. In the test of attribute priming, the causality of the hydraulic pattern was also established to a lesser degree. Especially, personality-related candidate attributes like trustworthiness were robust regarding the hydraulic-pattern effects. In all of these analyses, the measurement of optimal time-lag was utilized instead of the durability concept used in previous studies. With this study design and new measurements, this research contributes to the literature by providing new insight into the theoretical conundrums related to priming theory. One of such insight is that the priming effects that matter at the poll, are relatively slow and deliberative processes, and are differentiated from the temperamental daily effects of news. / text
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Bond markets and economic growthFink, Gerhard, Haiss, Peter, Hristoforova, Sirma January 2003 (has links) (PDF)
This paper examines the relationship between the development of the aggregate bond markets and real GDP in 13 highly developed economies. The recent interest in the ties between the real and the financial sector has usually been on the banking sector and the stock markets, rather ignoring the bond markets as a third essential source of external finance. We fill this gap by providing empirical evidence for causality patterns supporting the supply-leading approach in the USA, UK, Switzerland, Germany, Austria, the Netherlands and Spain over the 1950 to 2000 period. In the cases of Japan, Finland and Italy we find evidence of interdependence between bond market capitalization growth and real output growth. Granger causality test and co-integration approach are employed to support this conjecture. (author's abstract) / Series: EI Working Papers / Europainstitut
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Tobin’s Q theory and regional housing investment : Empirical analysis on Swedish dataSax Kaijser, Per January 2014 (has links)
This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.
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