The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on daily data, the 15-minute timeframe is dominated by portfolios constructed by the Johansen cointegration test. Both strategies achieve significantly higher risk-adjusted returns on the intraday timeframe. The study also reveals a performance decline of both strategies in the period of 2013-2015 and outlines possible interpretation of such event.

O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos. / This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.

O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos. / This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.

This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2017 / The study intends to investigate the determinants of employment in the platinum mining industry in South Africa. Employment levels decreased dramatically in the platinum mining industry in South Africa. This is due to decrease in export demand for platinum, high operating cost, labour unrest, low levels of production and other determinants of employment. The specific objective of the study is to determine the nexus between employment, output, domestic demand and export demand. Annual time series data covering the period between 1992-2013 was used. The study employed the Vector Error Correction Model approach. Johansen Cointegration test results confirmed the existence of a long run relationship amongst variables under investigation. Export demand and output are found to be positively related with employment. The speed of adjustment to equilibrium is -0.283202. Impulse response functions and variance decomposition are also generated to explain the response to shock amongst variables. The results of the study vindicate that the platinum mining industry should implement policies and strategies to increase output which will lead to higher levels of employment as well as economic growth. In addition, government should also create a conducive environment to enable the industry to expand and the industry should also intensify its export drive, these findings are envisaged to contribute significantly to the existing but limited literature on the subject under investigation. / National Research Foundation

This paper examines how the Swedish nationalistic political party Sverigedemokraterna communicates regarding the crisis they experienced when the Swedish newspaper Expressen published a few video clips of three, in that time, highly important party members that got in an argument after a late night of drinking. Two of the party members were at the time of the publication the members of the Swedish parliament and all of them had important senior positions in the party. In the argument one of the party members used abusive, offensive, sexist and racist language while all acted threatening and even armed themselves with iron bars from a nearby construction site.The aim of this paper is to examine how the party Sverigedemokraterna conducts their crisis communication, if they apologies and the fashion of the apology. A press conference with the party leader and the most active user of abusive language and also an interview with the second member of parliament who is involved in the argument are studied. The rhetorical arena is used to describe and pinpoint the most important stakeholders in the crisis. Hearits structure “from wrongdoing to absolution” is used to describe the crisis and it’s context. Benoits apologiastrategies and Hearits requirements for an ethical apologia are used to describe and assess the crisis communication and apologia at the press conference and interview.The paper concludes that the individuals who communicate the apologia use different strategies. The party leaders focus is towards the future and corrective actions while claiming not to have all the necessary information. The other two party members portray themselves as victims. One of them apologizes while the other only acknowledges wrongdoing without apologizing. They all acknowledge wrongdoing.

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

This work focuses on import and export of goods of the Czech Republic. The Czech Republic is very open country in European Union. Ratio of import and export of goods and services to GDP is above European Union average. The goal is to find explaining variables, which has an influence on import and export of goods and to create robust and economically interpretable models. Models are created by cointegration analysis. The advantage of cointegration analysis and error correction models is avoiding spurious regression and differentiation of short-term and long-term relations. There will be used two attitudes for creation of models: with help of ADL models and Johansen method, which serve to comparison of results. There is a space for test of influence of exchange rate shocks on import and export of goods in the end.

Thesis(M.Com. (Economics)) -- University of Limpopo, 2019 / The reality is that the South African GDP is not within the range of what is projected the previous years. As the proposed expenditure for 2017/18 totals R1.56 trillion according to the 2017 budget speech, the treasury also need to reduce spending by a total of R26 billion over the next two years. Economic growth continues to be below expected levels in South Africa and unemployment is very high. The relationship between inflation, economic growth and government expenditure is important in both developing and developed countries. Like in any other economy in the world, the South African government’s most important role is to promote economic growth, and also to sustain high economic growth with low inflation (Brand South Africa, 2015). The study is completely based on secondary data. The methodology is quantitative which includes econometrical tools. For this purpose, this study applied Augmented Dickey-Fuller (ADF) and Phillips Perron unit root tests, Choice of the lag length, Johansen-Juselius Co-integration analysis, VEC Granger Causality/Block exogeneity Wald test, Vector Error Correlation Model, Diagnostic tests, Stability tests, Impulse response and Choleski/Variance decomposition methodology. From the findings, the results derived by applying Johansen-Juselius Co-integration indicate that there is a longterm relationship between the rate of inflation, economic growth and government expenditure, and also that both government expenditure and inflation impact negatively on economic growth. The results indicate that government expenditure encourages inflation impacting negatively on investment and the country’s GDP. Granger causality runs jointly from all three variables inflation, government expenditure and investment to the dependent variable (economic growth)

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