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In this thesis I study two fields of empirical finance: market integration and economic forecasting. The first two chapters focus on studying regional integration of Mexican and U.S. equity markets. In the third chapter, I propose the use of the daily term structure of interest rates to forecast inflation. Each chapter is a free-standing essay that constitutes a contribution to the field of empirical finance and economic forecasting. In Chapter 1, I study the ability of multi-factor asset pricing models to explain the unconditional and conditional cross-section of expected returns in Mexico. Two sets of factors, local and foreign factors, are evaluated consistent with the hypotheses of segmentation and of integration of the international finance literature. Only one variable, the Mexican U.S. exchange rate, appears in the list of both foreign and local factors. Empirical evidence suggests that the foreign factors do a better job explaining the cross-section of returns in Mexico in both the unconditional and conditional versions of the model. This evidence provides some suggestive support for the hypothesis of integration of the Mexican stock exchange to the U.S. market. In Chapter 2, I study further the integration between Mexico and U.S. equity markets. Based on the result from chapter 1, I assume that the Fama and French factors are the mimicking portfolios of the underlying risk factors in both countries. Market integration implies the same prices of risk in both countries. I evaluate the performance of the asset pricing model under the hypothesis of segmentation (country dependent risk rewards) and integration over the 1990-2004 period. The results indicate a higher degree of integration at the end of the sample period. However, the degree of integration exhibits wide swings that are related to both local and global events. At the same time, the limitations that arise in empirical asset pricing methodologies with emerging market data are evident. The data set is short in length, has missing observations, and includes data from thinly traded securities. Finally, Chapter 3, coauthored with John Maheu and Alex Maynard, studies the ability of daily spreads at different maturities to forecast inflation. Many pricing models imply that nominal interest rates contain information on inflation expectations. This has lead to a large empirical literature that investigates the use of interest rates as predictors of future inflation. Most of these focus on the Fisher hypothesis in which the interest rate maturity matches the inflation horizon. In general, forecast improvements have been modest. Rather than use only monthly interest rates that match the maturity of inflation, this chapter advocates using the whole term structure of daily interest rates and their lagged values to forecast monthly inflation. Principle component methods are employed to combine information from interest rates across both the term structure and time series dimensions. Robust forecasting improvements are found as compared to the Fisher hypothesis and autoregressive benchmarks.

North America is the world’s largest pulp and paper producing region as well as the largest consuming region. An understanding of market integration is critical for designing relevant policies since it is important to improve national welfare and ensure long-run competitive market equilibrium. In addition, it is crucial for the Canadian industry to maintain the competitiveness for its pulp and paper products in the world market, because any deterioration in the performance of the Canadian pulp and paper industry will have negative social and economic impact on the well-being of Canada and affect Canadian balance of payment. This thesis contains three essays that investigate the market integration of the combined markets of Canada and the US, and the competitive position of Canadian pulp and paper products in the US market. The first essay presents an econometric analysis of spatial integration of the US and Canada newsprint markets as reflected in newsprint prices. It applies the Johansen multivariate cointegration procedure to test the law of one price for five regional markets (British Columbia, Ontario, Quebec, US east, US west) of newsprint using monthly data for the 1988 to 2004 period. Preliminary data analysis shows that all price series are non-stationary I(1) processes. The hypothesis that the Law of One Price (LOP) holds for all five regional newsprint markets simultaneously was not supported by the Johansen multivariate test. The LOP was also tested for national markets, and it was found to hold between US west and US east newsprint prices. The results suggest that there is a single newsprint market in the US, whereas there are several distinct newsprint markets in Canada. The second essay examines the degree of market integration among US import markets for three pulp and paper products, and further analyses the dynamic interaction between US domestic and US import markets. Persistence profile results show that long-run equilibrium exists in the US import markets for three pulp and paper products of interest; moreover, given a system-wide shock, a new equilibrium could be reached in a relatively short period. Forecast error variance decomposition suggests that US markets are critical since shocks to domestic US prices for relevant pulp and paper products explain a substantial amount of movements in import prices. The third essay studies substitution between main categories of imported pulp and paper products and between imported and domestic pulp and paper products in the US market. A restricted translog subcost function approach was employed to derive the elasticity of substitution. The results suggest that Canadian pulp and paper products are still competitive and have maintained their competitiveness in the US market. However the consecutive demand decline for pulp and paper in the US has brought hard times to Canada. It seems that if Canadian pulp and paper industry wants to retain a dominant position in the world market place, it will have to create global reach and develop new markets.

Temos aktualumas ir problematiškumas: Specialiųjų poreikių vaikų integravimas į visuomenę – viena iš dabarties aktualijų, kalbant apie ypatingųjų gyvenimo ir veiklos galimybes. Sutrikusio intelekto pradinių klasių mokinių meninis ugdymas Lietuvoje buvo tiriamas įvairiais aspektais: socialinė integracija muzika (A.Vilkelienė, J.Šimkūnienė), terapinis dailės pobūdis (A. Brazauskaitė), tačiau sutrikusio intelekto 1 – 4 mokinių ugdymas etniniu šokiu nebuvo tiriamas. Tyrimo tikslas – atskleisti nežymiai sutrikusio intelekto vaikų integracijos galimybes per etnochoreografiją. Tyrimo uždaviniai: Išanalizuoti literatūrą apie sutrikusio intelekto vaikų ugdymą etnochoreografija 1 – 4 klasėse; nustatyti šokio mokytojų ir tėvų požiūrį į sutrikusio intelekto vaikų ugdymą etnochoreografija; nustatyti sutrikusį intelektą turinčių vaikų ugdymo etnochoreografija ypatumus; atskleisti sutrikusio intelekto vaikų ugdymo etnochoreografija 1 – 4 klasėse integracijos galimybes. Tyrimo metodai: Teoriniai: psichologinės, pedagoginės, filosofinės, temai aktualios literatūros studijavimas, švietimo sistemos dokumentų, interneto duomenų bazių sisteminė analizė, lyginimas, apibendrinimas. Empiriniai: anketinė apklausa, atvejo analizė, interviu. Kiekybinė ir kokybinė duomenų analizė. Išvados: Išnagrinėjus įvairią literatūrą apie sutrikusio intelekto vaikų integraciją per etnochoreografinę veiklą, galima teigti, kad etnochoreografija yra turi ilgas tradicijas ir yra tampriai susijusi su kasdieniu... [toliau žr. visą tekstą] / Topic relevance and proposition: integration of special orientated children into society – one of the most important topicalities nowadays in such a wide variety of possibilities given by day-to-day life. Primary artistically education of children with marginally dysfunctional intellect was analyzed in a few different aspects in Lithuania: social integration music (A.Vilkelienė, J.Šimkūnienė), kind of therapeutic art (A. Brazauskaitė), but education of children with marginally dysfunctional intellect using ethnic dance have never been explored. Research aim – to analyse the integration of children with marginally dysfunctional intellect through ethnochoreographical activities. Research tasks: literature analysis of ethnochoreographical education for children with marginally dysfunctional intellect in 1-4 classes; to identify the dance teachers’ and parents’ attitude to the ethnochoreographical education to the children with marginally dysfunctional intellect; to identify the peculiarities of marginally dysfunctional intellect children that have been educated using the ethnochoreographical method; to clarify the possibilities of integration of 1-4 classes of children with marginally dysfunctional intellect through ethnochoreographical activities. Research methods: Theoretical: study of psychological, pedagogical, and philosophical and the literature that is relevant to the topic, analysis of educational system documents and internet database, comparison and the summation... [to full text]