Evidence from various countries over the past two decades proves that swings in house prices have been concomitant with financial instability. The history of financial crises shows that the six biggest banking crises in advanced economies were accompanied by housing busts. Despite the abundance of literature on the forces behind the financial crisis, and in particular studies investigating the connections between financial stability and disturbances in the real estate market, fundamental questions still wait for convincing answers, such as: (i) To what extent is regional heterogeneity in property price increases reflected in dissimilarity in the evolution of credit default? (ii) What role do borrower-related factors such as housing affordability and household indebtedness, and financial market-related factors such as financial developments, play on the growth of bad loans as a main concern for banking sector? (iii) To which extent do banks’ lending behaviour and property prices undermine the stability of the banking sector, and what are the directions of causality between credit defaults, property prices and banks’ lending behaviour? The goal of this thesis is to investigate these issues and explain the practical implications of the findings. This thesis contains three empirical essays. The first essay explores the nexus between house prices and non-performing loans (NPLs), concentrating on the extent to which geographical variations in house prices are translated into regional variations in credit defaults. The stochastic dominance approach has been used for this purpose, with 372 individual US banks. The stochastic dominance analyses disclose symmetric behaviour between NPLs and the scale of house price increments. The essay is further extended by employing Arellano and Bond’s (1991) GMM model to explore the effect of GDP, unemployment rates, lending interest rates and house prices on the growth of NPLs. The outcomes of the GMM estimations reveal a high explanatory power of economic growth, unemployment and lending interest rates on NPLs. In an additional analysis, a generalised panel threshold model is estimated to check for the presence of a threshold point, above which different impacts of house prices might be found. The threshold model specifications provide a threshold point, in relation to which two different impacts of house prices on the evolution of NPLs are estimated. A general consensus in the literature attributes credit defaults to a wide-ranging spectrum of drivers that take into consideration borrower-related factor, lender-related factors and factors related to financial and real estate markets. The second essay attempts to answer the second question mentioned above, by investigating the impact of borrower-related factors, lender-related factors and financial market-related factors in driving NPLs. The impact of these factors on the evolution of impaired loans is explored by estimating fixed effect models then the analysis is extended to dynamic models using the GMM procedure on an annual balanced panel dataset. Household vulnerability, financial developments and housing affordability are found to be significant contributors to the growth of NPLs. The interaction mechanism between the real estate market and the financial system has often been blamed for being the root of financial crises, through the accumulation of housing market bubbles that leads to the ultimate collapse of the financial markets. The third essay, using the Autoregressive Distributed Lag technique, looks for the presence of cointegrating relationships between mortgage defaults, property prices and bank lending in Hong Kong. Our findings reveal evidence of cointegrating relationships between bank lending, property prices and mortgage defaults in the long term, which governs the correction mechanism between these variables. These outcomes call for more effort to be devoted to maintaining a balanced relationship between these factors. The essay also finds evidence of short-term dynamics between these variables. Importantly, loan-to-value is found to play the most effective role in curbing mortgage default risk in the portfolios of the Hong Kong banking sector.

[pt] O objeto desta dissertação é investigar o impacto do câmbio em diversos setores de exportação no Brasil, utilizando equações econométricas uniequacionais. Em particular, é utilizado o modelo em defasagens autoregressivas distribuídas (ADL) para obtenção das elasticidades de longo prazo. A dinâmica de curto prazo é obtida sob a forma de um modelo de correção de erros (ECM). São estimadas seis formas alternativas para a equação das exportações, as quais se diferenciam pelas medidas de câmbio (três) e renda mundial (duas) utilizadas. As estimativas das elasticidades- câmbio das exportações indicam uma relação de longo prazo na maior parte dos 18 setores estudados, porém seu impacto sobre o nível das exportações não é considerado alto, pois as estimativas em sua maioria são inferiores a unidade. No curto prazo, o impacto do câmbio revelou-se ainda mais baixo. Em síntese, o presente estudo mostra que, para o crescimento das exportações, o comportamento do câmbio não é o fator de destaque. No bojo desse estudo, no entanto, outros determinantes das exportações setoriais são identificados: renda mundial, competitividade externa e o produto potencial da indústria. / [en] The aim of this dissertation is to investigate the impact of the exchange rate in several export sectors of the brazilian economy, throughout the use of uniequation econometric models. In particular, we make use of the autoregressive distributed lags model (ADL) to obtain the long run exchange rate elasticities. The short run dynamics is obtained by use of a model with error correction mechanism (ECM). We estimate six alternative forms for the export equations, which differ by the indicators of exchange rate (three) and world income (two) used. The elasticities estimated for the majority of the 18 export sectors investigated suggest the existence of a long run relation between exchange rate and quantum of exports. Nevertheless this impact is not substantial, given the small size of the elasticities coefficients. On the short run, the exchange rate impact was even less pronounced. In a nut shell, our study shows that, in Brazil, the growth of exports is not very much affected by the exchange rate, although other factors have been found to have an effect: world income, foreign competition and industry potential product.

[pt] No novo modelo do Setor Elétrico é essencial desenvolver novas técnicas que estimem valores futuros, a curto e longo-prazos, das potências ativa e reativa. Com base nisso, este trabalho tem por objetivo apresentar uma nova técnica de previsão horária de potência reativa a curto-prazo, por subestação, baseada na linearidade existente entre as potências ativa e reativa. O modelo proposto, denominado de Modelo Híbrido de Previsão de Reativo, é dividido em duas etapas: A primeira etapa é feita uma classificação dos dados através de uma rede neural não supervisionada Mapas Auto-Organizáveis de Kohonen (SOM); A segunda etapa, utiliza-se um modelo de defasagem distribuída auto-regressivo (ADL) com estimação de Mínimos Quadrados Reponderados Iterativamente (IRLS) acoplado a uma correção para autocorrelação serial dos resíduos - Método Iterativo de Cochrane-Orcutt. Este Modelo Híbrido tem como variável dependente a potência reativa, e como variáveis explicativas dados horários de potência ativa e reativa no instante atual e defasadas no tempo. A previsão de potência reativa a curto-prazo é dividida em in sample e em out of sample. A previsão out of sample é aplicada a períodos horários em até um mês à frente. O modelo proposto é aplicado aos dados de uma concessionária específica de Energia Elétrica e os resultados são comparados a um modelo de Regressão Dinâmica convencional e a um modelo de Redes Neurais Artificiais Feedforward de Múltiplas camadas (MLP) com um algoritmo de retropropagação do erro. / [en] The forecasting of reactive and active power is an important tool in the monitoring of an Electrical Energy System. The main purpose of the present work is the development of a new short-term reactive power hourly forecast technique, which can be used at utility or substations levels. The proposed model, named A Hybrid Model for Reactive Forecasting, is divided in two stages. In the first stage, the active and reactive power data are classified by an unsupervised neural network - the Self-Organized Maps of Kohonen (SOM). In the second stage, a Autoregressive Distributed Lags Model (ADL) is used with its parameters estimated by an Iteratively Reweighted Least Square (IRLS). It also includes a correction lag structure for serial autocorrelation of the residuals as used in the Cochrane-Orcutt formulation. The short term reactive power forecasting is divided in in sample and out of sample. The out of sample forecast is applied to hourly periods until one month ahead. The proposed model is applied to real data of one substation and the results are compared with two other approaches, a conventional Dynamic Regression and a Feedforward Multi-layer Perceptron (MLP) Artificial Neural Network model.

No description available.

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint. / Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint. / Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

Les milieux de travail canadiens présentent des visages diversifiés et en pleine mutation. En raison de facteurs tels que les nouvelles technologies, la mondialisation, l’économie du savoir ou encore l’évolution démographique, la transformation des entreprises canadiennes passe par une main-d’œuvre qualifiée, adaptable et de qualité. Notre recherche s’inscrit dans le cadre des études s’intéressant aux comportements des entreprises en matière d’investissement en capital humain au Canada. Nous avons retenu un cadre théorique qui est constitué principalement de la théorie du capital humain, de celle des ressources internes et de l’approche des coûts et des bénéfices. Pour les fins de notre recherche, nous retenons une approche quantitative longitudinale, en utilisant des données secondaires issues du questionnaire des employeurs de l’Enquête sur le milieu de travail et les employés pour les années 1999 à 2005 inclusivement. La nature longitudinale de l’EMTE permet de corriger pour les biais liés à l’hétérogénéité non observée des firmes et à l’endogénéité possible de la variable de formation. Notre étude se divise globalement en trois articles. Dans les deux premiers cas, les dépenses en formation sont considérées comme une variable explicative de la productivité et du taux de roulement des employés. Dans le troisième cas, les dépenses de formation constituent la variable dépendante à l’étude. Le premier article examine l’effet des investissements en formation sur la productivité des entreprises canadiennes. La littérature scientifique traitant de l’impact de la formation sur la performance des entreprises continue de s’accroître dû aux nouvelles techniques d’estimations, à la disponibilité des données, et à l’intérêt grandissant pour le capital humain. Les résultats partiels des études antérieures montrent la possibilité que les retours des investissements réalisés en formation puissent avoir des effets au-delà de l’année courante. Sur le plan théorique, cette hypothèse a du sens, mais au niveau empirique il semble que les liens formels entre la formation et la productivité des entreprises ne sont pas clairement identifiés. Nos résultats montrent que les investissements en formation réalisés avec trois années de retard engendrent des effets positifs et significatifs sur la productivité à court et à moyen termes. L’interaction entre les différents types d’investissements permet de vérifier l’hypothèse à l’effet que les investissements en capital physique et en capital humain soient complémentaires et se supportent mutuellement. Après avoir procédé à l’estimation de l’effet des dépenses en formation structurée sur la productivité des entreprises, nous nous demandons pour quelles raisons les employeurs demeurent réticents quant aux retours des investissements en formation ? Dans le cadre de cette seconde réflexion, nous nous intéressons à deux dimensions de l’estimation du roulement, à savoir le roulement de nature volontaire et une mesure de l’optimum. Les résultats obtenus quant à l’effet des dépenses en formation structurée par employé sur les taux de roulement volontaire et optimal montrent que la relation est positive dans les deux cas. Cet article vise également à vérifier si différents outils organisationnels associés aux relations industrielles peuvent avoir un effet sur la réduction du taux de roulement volontaire des employés. Nos résultats montrent aussi que la présence syndicale et la perception d’un bon climat de travail traduisent dans un sens, un environnement dans lequel l’employeur et les employés ont des intérêts communs pour la poursuite de mêmes objectifs. Dans le cadre du troisième article, nous examinons certains déterminants des investissements en formation structurée au sein des milieux de travail. Nos résultats montrent qu’une entreprise de grande taille, qui investit davantage en capital physique par employé par rapport à la moyenne, au sein de laquelle un grand pourcentage de travailleurs utilisent un ordinateur, où il y a une proportion élevée de nouvelles embauches et pour laquelle l’employeur introduit un système cohérent de pratiques dépense davantage en formation structurée qu’une entreprise qui ne possède pas ces caractéristiques, toutes choses égales par ailleurs. Ces résultats permettent de discuter également de la complémentarité des facteurs faisant partie d’un cercle vertueux de croissance des entreprises pouvant déterminer les investissements en formation. / Canadian workplaces face diversified and new challenges. Globalization, technological change, knowledge-based economy, demographic trends and all levels of government initiatives significantly affect our workplaces. As a result, the transformations of the work environment are based on skilled and flexible labour. Our research summarizes the literature on job-related training and the effects of these investments on different workplaces. Our research also elaborates empirical explanations and policy implications based on the outcome of these existing studies. The proposed theoretical framework is based on the human capital theory, the resource-based theory of the firm, and the cost-benefit approach. The longitudinal panel data used in this research are drawn from the Statistics Canada’s Workplace and Employee Survey (WES) over the years 1999 to 2005 inclusively. The longitudinal nature of the WES allows us to address issues of endogeneity of inputs including human capital and unobserved heterogeneity of establishments as well as omitted variable bias. Our study is divided into three articles. In the first two articles, expenses in training are considered to be an explanatory variable of both productivity and the rate of employee turnover. In the third article, an empirical model is developed using training expenditures within the firm as the dependent variable. Among consulted studies dealing with the possible impact of the training on the productivity, several treat longitudinal character of the data, but few consider the lagged effects of the training. Partial results of the previous studies show that returns of investments in training could have effects beyond the common year. As part of the first article, we examine the impact of training on productivity which is estimated through a Cobb-Douglas production function with a distributed lags on training expenditures and capital investments. We take advantage of the longitudinal data by estimating a model that considers the impact on productivity of both of training expenditures and the investments in physical capital. Because of the interaction between investments in training and physical capital, the assumption that, investments in physical capital and human capital are complementary and support themselves mutually can be tested. Our results show that investments in training have positive effects on productivity which are spread out over a three years period. After completing the above estimates, we wondered why some employers hesitate before investing in training. As part of this reflexion, we analyse the incidence of training expenditures on labour turnover. We are interested in two dimensions, namely: the voluntary turnover and a measure of the optimal level of employee turnover. Our main finding is that training expenditures increase voluntary turnover as well as the gap between observed and estimated optimal level of employee turnover. Our findings also show that the presence of a union and the perception of a good working climate that result into an environment in which both employer and employees achieve common objectives help to reduce turnover. Finally, in the third article, we examine some determinants of the training investments in the Canadian workplaces. We focus on the intensity of on-the-job training where intensity refers to the training expenditures. We find that a larger firm size, who invests more in physical capital by employee than the average, within which a great percentage of workers use a computer, where there is a high proportion of new recruiting and for which the employer introduces a consistent system of practices, invests more in on-the-job training than a firm without the above characteristics, other things being equal. Our findings also suggest the existence of a «virtuous circle». In other words, these factors act as a self-reinforcing mechanism which futher boosts investments in training.

Les milieux de travail canadiens présentent des visages diversifiés et en pleine mutation. En raison de facteurs tels que les nouvelles technologies, la mondialisation, l’économie du savoir ou encore l’évolution démographique, la transformation des entreprises canadiennes passe par une main-d’œuvre qualifiée, adaptable et de qualité. Notre recherche s’inscrit dans le cadre des études s’intéressant aux comportements des entreprises en matière d’investissement en capital humain au Canada. Nous avons retenu un cadre théorique qui est constitué principalement de la théorie du capital humain, de celle des ressources internes et de l’approche des coûts et des bénéfices. Pour les fins de notre recherche, nous retenons une approche quantitative longitudinale, en utilisant des données secondaires issues du questionnaire des employeurs de l’Enquête sur le milieu de travail et les employés pour les années 1999 à 2005 inclusivement. La nature longitudinale de l’EMTE permet de corriger pour les biais liés à l’hétérogénéité non observée des firmes et à l’endogénéité possible de la variable de formation. Notre étude se divise globalement en trois articles. Dans les deux premiers cas, les dépenses en formation sont considérées comme une variable explicative de la productivité et du taux de roulement des employés. Dans le troisième cas, les dépenses de formation constituent la variable dépendante à l’étude. Le premier article examine l’effet des investissements en formation sur la productivité des entreprises canadiennes. La littérature scientifique traitant de l’impact de la formation sur la performance des entreprises continue de s’accroître dû aux nouvelles techniques d’estimations, à la disponibilité des données, et à l’intérêt grandissant pour le capital humain. Les résultats partiels des études antérieures montrent la possibilité que les retours des investissements réalisés en formation puissent avoir des effets au-delà de l’année courante. Sur le plan théorique, cette hypothèse a du sens, mais au niveau empirique il semble que les liens formels entre la formation et la productivité des entreprises ne sont pas clairement identifiés. Nos résultats montrent que les investissements en formation réalisés avec trois années de retard engendrent des effets positifs et significatifs sur la productivité à court et à moyen termes. L’interaction entre les différents types d’investissements permet de vérifier l’hypothèse à l’effet que les investissements en capital physique et en capital humain soient complémentaires et se supportent mutuellement. Après avoir procédé à l’estimation de l’effet des dépenses en formation structurée sur la productivité des entreprises, nous nous demandons pour quelles raisons les employeurs demeurent réticents quant aux retours des investissements en formation ? Dans le cadre de cette seconde réflexion, nous nous intéressons à deux dimensions de l’estimation du roulement, à savoir le roulement de nature volontaire et une mesure de l’optimum. Les résultats obtenus quant à l’effet des dépenses en formation structurée par employé sur les taux de roulement volontaire et optimal montrent que la relation est positive dans les deux cas. Cet article vise également à vérifier si différents outils organisationnels associés aux relations industrielles peuvent avoir un effet sur la réduction du taux de roulement volontaire des employés. Nos résultats montrent aussi que la présence syndicale et la perception d’un bon climat de travail traduisent dans un sens, un environnement dans lequel l’employeur et les employés ont des intérêts communs pour la poursuite de mêmes objectifs. Dans le cadre du troisième article, nous examinons certains déterminants des investissements en formation structurée au sein des milieux de travail. Nos résultats montrent qu’une entreprise de grande taille, qui investit davantage en capital physique par employé par rapport à la moyenne, au sein de laquelle un grand pourcentage de travailleurs utilisent un ordinateur, où il y a une proportion élevée de nouvelles embauches et pour laquelle l’employeur introduit un système cohérent de pratiques dépense davantage en formation structurée qu’une entreprise qui ne possède pas ces caractéristiques, toutes choses égales par ailleurs. Ces résultats permettent de discuter également de la complémentarité des facteurs faisant partie d’un cercle vertueux de croissance des entreprises pouvant déterminer les investissements en formation. / Canadian workplaces face diversified and new challenges. Globalization, technological change, knowledge-based economy, demographic trends and all levels of government initiatives significantly affect our workplaces. As a result, the transformations of the work environment are based on skilled and flexible labour. Our research summarizes the literature on job-related training and the effects of these investments on different workplaces. Our research also elaborates empirical explanations and policy implications based on the outcome of these existing studies. The proposed theoretical framework is based on the human capital theory, the resource-based theory of the firm, and the cost-benefit approach. The longitudinal panel data used in this research are drawn from the Statistics Canada’s Workplace and Employee Survey (WES) over the years 1999 to 2005 inclusively. The longitudinal nature of the WES allows us to address issues of endogeneity of inputs including human capital and unobserved heterogeneity of establishments as well as omitted variable bias. Our study is divided into three articles. In the first two articles, expenses in training are considered to be an explanatory variable of both productivity and the rate of employee turnover. In the third article, an empirical model is developed using training expenditures within the firm as the dependent variable. Among consulted studies dealing with the possible impact of the training on the productivity, several treat longitudinal character of the data, but few consider the lagged effects of the training. Partial results of the previous studies show that returns of investments in training could have effects beyond the common year. As part of the first article, we examine the impact of training on productivity which is estimated through a Cobb-Douglas production function with a distributed lags on training expenditures and capital investments. We take advantage of the longitudinal data by estimating a model that considers the impact on productivity of both of training expenditures and the investments in physical capital. Because of the interaction between investments in training and physical capital, the assumption that, investments in physical capital and human capital are complementary and support themselves mutually can be tested. Our results show that investments in training have positive effects on productivity which are spread out over a three years period. After completing the above estimates, we wondered why some employers hesitate before investing in training. As part of this reflexion, we analyse the incidence of training expenditures on labour turnover. We are interested in two dimensions, namely: the voluntary turnover and a measure of the optimal level of employee turnover. Our main finding is that training expenditures increase voluntary turnover as well as the gap between observed and estimated optimal level of employee turnover. Our findings also show that the presence of a union and the perception of a good working climate that result into an environment in which both employer and employees achieve common objectives help to reduce turnover. Finally, in the third article, we examine some determinants of the training investments in the Canadian workplaces. We focus on the intensity of on-the-job training where intensity refers to the training expenditures. We find that a larger firm size, who invests more in physical capital by employee than the average, within which a great percentage of workers use a computer, where there is a high proportion of new recruiting and for which the employer introduces a consistent system of practices, invests more in on-the-job training than a firm without the above characteristics, other things being equal. Our findings also suggest the existence of a «virtuous circle». In other words, these factors act as a self-reinforcing mechanism which futher boosts investments in training.

本研究主要依據國內房地產市場的特性，以生產時間落差、預期景氣與宣告效果、以及總體經濟等三個項目為主軸，針對房地產市場的景氣現象進行探討。首先，由生產階段的生產時間落差為出發點，探討房地產景氣與政府政策衝擊對生產時間落差的影響。再來，探討房地產次市場間的互動關係，瞭解預期景氣與宣告效果對不同房地產次市場景氣的影響。最後，探討總體經濟對房地產景氣的影響。在上述理念體系下，本研究進行各項理論的推演與實證分析，所得結論說明如下： 一、房地產景氣對生產時間影響部份 本文以建照面積與使照面積數量之波動關係，分析房地產景氣對生產時間落差之影響，結果發現使照面積與建照面積間存在穩定的長期關係，但建照可能因景氣不佳而取消，此使得長期建照面積大於使照面積，且建商會視房地產景氣的變動而調整興建速度。當房地產市場景氣時，興建速度較快，不景氣時興建速度較慢，使得生產時間落差會因房地產景氣變動而有所不同。另外，建照面積與使照面積間的關係亦會因政府相關政策的改變而產生衝擊，進而改變生產時間落差的長短。 由此觀之，國內房地產市場應較無預售制度的國家有較佳的市場調整機制，不過國內房地產景氣的波動卻依然劇烈，其原因可能在於政府決策與執行有相當長的時間落差，往往造成介入市場的時機不恰當，使得政府政策不但未能發揮反景氣循環的功能，反而成為助漲、助跌的促媒。另外，建築投資業缺乏健全管理亦是可能的原因之一，造成市場良莠不齊，在未經協調而彼此競爭下，往往錯誤評估個別預期銷售額而惡性競爭所造成。 二、預期景氣與宣告效果對房地產景氣影響部份 透過不同次市場的連結，本文發現當政府政策提前宣告時，將會有明顯的宣告效果產生，使得建商雖面對節節高昇的空屋率，依然大量搶建，但建照面積的增加則會促使房價與租金下跌。當前房地產市場的長期不景氣，政府未充分掌握房地產市場的景氣波動，並審慎評估政策的可能衝擊可說是問題的關鍵。此也意味，若政府日後真有必要再對房地產市場實施類似管制措施時，實應於事前進行謹慎的評估，並慎選實施的時機。 其次，市場參與者的預期在市場運作過程中扮演相當重要的角色，對於不同次市場景氣之影響亦不相同，當預期資本利得愈高時，會使房價上漲，但租金卻會減少，因為屋主願意以相對較低的租金將房屋出租，並由長期的資本利得中獲得補償，此可解釋為何國內長期租金與房價比長期偏低的現象。不過，近年來房地產市場面臨相當長時間的不景氣，加以921大地震對於國人傳統「有土斯有財」的理財觀念應有相當程度的衝擊，在預期資本利得相當微薄、甚至為負的情況下，未來租金可能回到較合理的水準。 三、總體經濟度房地產景氣之影響部份 本文檢視總體經濟變數對不同地區房地產景氣的影響，發現不論台北市或台北縣的預售屋房價與貨幣供給、空屋數、建照面積等變數均具有長期均衡關係存在，表示房地產景氣會因總體經濟變數與房地產市場本身供需變化而調整，但在考量結構變遷下，預售屋房價與建照面積間之關係已有所改變，意味未來在分析兩者間之關係時必須更加慎重。 其次，空屋數對於預售屋房價的影響彈性相對大於貨幣供給以及建照面積的影響，且相關變數對於台北市預售屋房價的影響相對大於台北縣，但台北縣預售屋房價消弭均衡誤差的速度較台北市為快，此乃因台北市住宅供給與需求彈性相對較小，當其他影響變數發生變動時，其預售屋房價受到的影響相對較大，故一旦偏離均衡時，必須花費較長的時間來調整。此結果亦顯示，要解決房地產市場長期的不景氣，從消化空餘屋著手最為有效。另外，不論台北市或台北縣預售屋房價與其他變數間的短期領先或落後關係並不明顯，此可能是因房地產市場自1986-1990年這一波房地產景氣後，已產生結構性變遷所造成。 / This dissertation consisted of three relative essays about real estate cycles. The first paper explores the influence of the real estate cycles on construction lags by analyzing the fluctuations of total floor areas of building permits and usage permits as a reflection of construction lags. Results support that a long-run equilibrium is existing between them; however, building permits may be dropped during a downswing market. In addition, the duration of construction lags is affected by changes in the real estate cycles and by the impacts of policies.　During a time of strong market, the duration of construction lags is cut shorter and is extended when the market is depressed. The second paper presents a simultaneous equation to examine how expectation of market participants and preannouncement of zoning control influence real estate cycles through three housing submarkets: rental market, sales market, and new construction market. One interesting finding is that, before the government announced a change in its zoning policy, builders constructed at maximum capacity despite fact that the real estate market was already depressed. Such construction only worsens the real estate market condition and extends the duration of depressed period. Another interesting finding is that the expected real estate cycles have different effects on rent and housing price. Although high capital gain expectations drive up the housing price, rent continues to decrease. A high vacancy rate, although decreasing the housing price, has little influence on construction starts. The last paper examines the long-term relationships between real estate cycles and macroeconomic variables by using cointegration test and error correction model. I found that both housing price of Taipei City and Taipei County do have long-term relationships with money supply, vacant houses, and new construction, but when considering market structure change, the relationship between housing price and new construction will change. I also found that the vacant houses have more influence on housing price than that of money supply and new construction, and the influences of these three variables on housing price are more sensitive in Taipei City than Taipei County. These results reflect the market structure of Taipei City and Taipei County is different, and the importance to solve vacant houses problem. Another surprise finding is that short-term lead or lag relationships among these variables are not significant. One possible reason is the structure change of real estate market after 1990.

El presente estudio examina el efecto de la volatilidad del tipo de cambio real sobre las exportaciones agrícolas no tradicionales en el Perú ante la falta de un consenso universal sobre este tema, sea por el tipo de economía, sector o entre otras características. El estudio emplea datos mensuales de series de tiempo para el periodo del 2003 al 2019, a partir de las fuentes de información recolectadas por el Banco Central de Reserva del Perú (BCRP) y el Sistema de Reserva Federal de los Estados Unidos (FED). La investigación utiliza el modelo GARCH para determinar la presencia de la volatilidad en la serie del tipo de cambio real multilateral. Los métodos analíticos empleados fueron los Mínimos Cuadrados Ordinarios (MCO) para demostrar la estabilidad de los parámetros y posteriormente, para el análisis de las relaciones dinámicas tanto a corto como a largo plazo se empleó el modelo de Rezagos Distribuidos Autorregresivos (ARDL). Además de emplear algunas variables de control para estimar los modelos propuestos. Los resultados concluyeron en que la volatilidad del tipo de cambio real tuvo un impacto positivo en las exportaciones agrícolas no tradicionales en el corto plazo para el Perú. Por el otro lado, en el largo plazo no se encontró una incidencia de la volatilidad del tipo de cambio real sobre estas exportaciones agrícolas no tradicionales en el Perú. / This research examines the effect of the real exchange rate volatility on non-traditional agricultural exports in Peru in the absence of a universal consensus on this issue, be it due to the type of economy, sector and among other characteristics. The study used monthly time series data for the period 2003 to 2019, based on information sources collected by the Central Reserve Bank of Peru (BCRP) and the United States Federal Reserve System (FED). The research used the GARCH model to determine the presence of volatility in the series of the multilateral real exchange rate. The analytical methods used were Ordinary Least Squares (OLS) to demonstrate the stability of the parameters and later, for the analysis of dynamic relationships both in the short and long term, the Autoregressive Distributed Lags (ARDL) model was used. In addition to using some control variables to estimate the proposed models. The results concluded that the real exchange rate volatility had a positive impact on non-traditional agricultural exports in the short term in Peru. While, in the long term, there was no incidence of the real exchange rate volatility on these non-traditional agricultural exports. / Trabajo de investigación