Diss. Stockholm : Handelshögsk., 2004.

This dissertation is a collection of three chapters on inflation dynamics and money demands. Chapter 1 tests the forward-looking New Keynesian Phillips curve using a novel panel data set for the 50 U.S. states from year 1977 to 2005. Consistent with Gali and Gertler (1999), our results support a linkage between inflation and real unit labor cost, and reject a linkage between inflation and output gap. We also address several important econometrics issues in the empricial studies. Our tests on model identification and instruments validity reveal that compared with the model with real unit labor cost, the GMM estimators in the model with output gap are more sensitive to the choice of instruments. Also, we find that the unit labor cost has stronger persistence than the output gap, and that these two variables have almost opposite dynamic cross correlations with inflation. We conclude that the observed high autocorrelation properties of U.S. inflation-as measured by the sum of AR coefficients-is well described by the forward-looking New Keynesian Phillips curve. In the second chapter, we extend the pure forward-looking New Keynesian Phillips curve to a hybrid model. We adopt a dynamic panel data model by adding a lagged inflation variable to the explanatory variables. We find relative larger weights of future inflation than the lagged inflation. This finding confirms the forward looking behavior in theory and it is also consistent with our results from the pure forward-looking model estimation. Furthermore, we obtain more evidence of dominant forward-looking behavior by using the principal components based instruments. Our results show that principal components based methods produce more precise estimates with a substantial decrease in all three estimated standard errors. We obtain more evidence of dominant forward-looking behavior across all regressions. By comparing two groups of the Kleibergen-Paap Wald F rk statistic (KP statistic), we find that using principal components is a good option to overcome the weak identifications. This finding is consistent with Bai and Ng (2010) and Kapetanios and Marcellino (2010). However, contrast with our earlier findings, in the hybrid model, the identification of the parameter of the real marginal cost becomes a problem. The third chapter investigates the long-run money demand using a panel data set for the 50 U.S. states from year 1977 to 2005. Regional heterogeneity as well as the cointegration and cross-section correlation properties of panel data are considered in great detail. Contrary to previous studies in the field, we adopt panel data techniques with nonstationary and cointegrated variables which controls for dynamics, non-stationarity, parameter heterogeneity and unobserved time-varying heterogeneity. The empirical results reveal an income elasticity close to 0.7 and an interest semi-elasticity around -0.02 and these two parameter values match closely with the empirical estimates by Ball (2001). Furthermore, it is found that the magnitude of the estimates of error correction term is much less than unity (around 0.05), which suggests that the adjustment time of U.S. money demand to return to its long-run equilibrium may be rather long. Compared to a standard homogeneous panel model of money demand function, our results obtained from heterogeneous panel model estimation indicate that the heterogeneity across states is important. It shows that the observed instability of money demand functions in aggregate U.S. studies could be explained by inappropriate aggregation across heterogeneous states. After accounting for regional heterogeneity, the estimates of income elasticity for the U.S. money demand function are clearly less than one.

South Africa is a water-stressed country where water availability is an important constraint to economic and social development, and will become even more so in the future if this scarce resource is not managed effectively. In order to manage this scarce supply of water, we need to value it. This study focuses on the value of water in the agricultural sector, in particular the marginal revenue of water for six irrigation commodities namely avocados, bananas, grapefruit, mangoes, oranges and sugarcane. A quadratic production function was fitted with an SUR model specification in a panel data study from 1975 to 2002 to obtain marginal revenue functions for each of the six commodities. We found that mangoes are the most efficient commodity in its water use relative to revenue generated (marginal revenue of water equals R25.43/m³ in 2002) and sugarcane the least efficient (marginal revenue of water equals R1.67/m³ in 2002). The marginal revenue of water is not an indication of the true “market” price. Neither is it an indication what the administered price should be. The marginal revenue of water is rather a guideline for policy makers to determine which industries or commodities within an industry can generate the largest revenue per unit water applied. / Dissertation (MCom (Econometrics))--University of Pretoria, 2006. / Economics / unrestricted

This thesis explores the impact of sectoral competition on inflation in Turkey. To this end, panel data analyses investigating the determinants of deviation of sectoral price inflation from the consumer price inflation, and the resulting effect of the changes in the level of sectoral competition on this deviation measure are conducted in both static and dynamic frameworks. The empirical analyses covers the 1995-2001 period and 62 manufacturing sectors classified according to International Standard of Industrial Classification (ISIC) Rev. 2 at 4-digit level. The findings of the empirical analyses are particularly important for the assessment of the theoretical foundations and empirical basis of the recent proposals favoring enhancement of competition with disinflationary motives. The static analyses suggest that sectoral concentration is insignificant in explaining deviations of sectoral inflation from consumer inflation, while dynamic analyses suggest enhancing competition may lead to higher levels of sectoral inflation. The interpretation of the results indicates that enhancing competition may not be a viable tool for disinflationary purposes in Turkey.

Sverige är ett av de länderna som har haft en väldigt kraftig uppgång på bostadspriserna de senaste åren enligt Statistiska centralbyråns (SCB) siffror. Utvecklingen har inte endast påverkat huvudstaden utan även andra städer i landet. Faktorerna bakom prisuppgången må vara många men studiens syfte är att uppskatta sambandet mellan bestämningsfaktorerna: befolkningstäthet, förvärvsinkomst, nyproducerade bostadsrätter i förhållande till folkmängd, bolåneränta samt arbetslöshet med bostadsrättspriserna. Fokus kommer ligga på storstadsregionerna Stor-Stockholm, Stor-Göteborg och Stor-Malmö mellan år 2008-2016. Bostadspriserna analyseras ur ett grundläggande nationalekonomiskt perspektiv och undersökningen har formats med hänsyn till det statistiska materialet som funnits åtkomligt, för att testas med hjälp av paneldata där fixed effect har innefattas. Studien omfattar 45 kommuner med en tidsperiod på 9 år och mängden observationer uppgår till 405, där datamaterialet bedöms vara komplett utan några bortfall under tidsperioden, det vill säga balanserad. Studiens resultat visar ett positivt samband mellan befolkningstäthet och bostadsrättspriserna, en ökning med en invånare per ökar bostadspriserna med 15,8 kr per kvm, såvida de andra variablerna hålls konstanta (modell 7). Regressionresultatet visar på att befolkningstätheten är den faktor som har den främsta påverkan på bostadsrättspriserna i jämförelse med studiens övriga faktorer. Resultatet påvisar även ett positivt samband mellan förvärvsinkomst och bostadspriserna samt ett negativt samband mellan faktorerna arbetslöshet och ränta på bostadsrättspriserna i samtliga modeller. Däremot visar nyproduktionen ett oväntat resultat. Studien skall bland annat bidra till en ökad förståelse för sambandet mellan de utvalda bestämningsfaktorerna och dess inverkan på bostadspriserna. Vidare är studiens källor tillförlitliga och har en stark validitet som ger en ökad förståelse för sambandet. / Sweden is one of the countries that has had a very strong increase in the housing prices during the recent years according to SCB’s calculations. The development has not only been seen in Stockholm but it has also affected the smaller cities as well. The factors behind the massive price increases may be many, but the purpose of the essay has been to estimate the relationship between the factors: population density, income, new constructed condominiums in relation to the population, interest rate and unemployment have on condominiums rates. The main focus will lay on the following big cities, Stockholm, Gothenburg and Malmö from the years of 2008-2016. The housing prices will be analyzed from an economic perspective. Further, the study has been formed by the statistical material that has been accessible and then been tested using panel data that includes fixed effect. The study encompasses 45 municipalities with a time period of 9 years (2008-2016) which comprises to 405 observations, where the data is strongly balanced, meaning that the database is complete. The result of the essay shows a positive correlation between population density and housing prices, an increase of one inhabitant per increases housing prices by 15.8 kr per square meter, if all the other variables are hold constant (model 7). The regression results indicate that population density is the factor that has the main impact on housing prices in comparison to all other factors. The results also shows a positive correlation between income and housing prices, as well as a negative correlation between the factors unemployment and the interest rate on housing prices in all models. On the other hand, new production shows an unexpected result. Furthermore, the essay considered to contribute to a better understanding of the relationship between the selected factors and its impact on the housing prices in Sweden's three largest cities, Stockholm, Gothenburg and Malmö during the period 2008-2016.

Net asset value (NAV) is commonly used to represent the value of a property company. For listed property companies a secondary valuation occurs simultaneously as the company’s stocks are traded on the stock market. Historically, a deviation between the NAV and the market capitalisation has been found for property companies implying that the stock market values the company differently. This thesis examines the deviation to NAV for 14 Swedish listed property companies during 2006-2015. The examination explains the deviation from the basis of a rational and an irrational approach. The thesis investigates empirically which factors that have affected the deviation by the use of a panel data regression analysis. The rational approach investigates the impact of company-specific, share-specific and corporate governance variables. The results of the thesis show that the rational variables can explain the deviation to NAV to some extent. The main contribution comes from companyspecific variables. Larger companies, companies focused on fewer locations, companies with a better reputation among asset managers and companies with a higher amount of insider ownership are negatively correlated to the discount to NAV. These company characteristics thus suggest a decrease in discounts to NAV (increase in premiums). At the same time companies with a higher loan to value, focus on property type and systematic risk increase the discount to NAV (decrease in premiums). The final rational model produces an adjusted R-square of 37.4% for the Swedish listed property market during the investigated period. The irrational approach investigates the impact of noise traders. The results show that the contribution of market sentiment is significant. The confidence indicator for the households has the greatest impact on the discount to NAV and an inclusion of the variable increases the adjusted R-square to 53.6%. An investigation into the justification of using the Noise Trader Theory is conducted and concludes that the use of a proxy for market sentiment is justified. / Substansvärdet (NAV) används ofta för att representera värdet av ett fastighetsbolag. För börsnoterade fastighetsbolag sker samtidigt en sekundär värdering eftersom deras aktier köps och säljs på aktiemarknaden. Historiskt sett har fastighetsbolagens substansvärden skilt sig från börspriserna av deras aktier vilket tyder på att aktiemarknaden värderar bolagen annorlunda och det uppstår då en substansrabatt eller substanspremie. Denna uppsats utvärderar detta fenomen för 14 svenska börsnoterade fastighetsbolag under åren 2006-2015 utifrån en rationell och en irrationell utgångspunkt. Uppsatsen testar empiriskt vilka faktorer som påverkar skillnaden under perioden genom en regressionsanalys med paneldata. Den rationella utgångspunkten undersöker effekterna av variabler knutna till företaget, aktien samt företagets bolagsstyrning. Resultatet visar att rationella variabler kan förklara substansrabatter och substanspremier till en viss grad. Det största bidraget kommer från de företagsspecifika variablerna. Större företag, företag fokuserade på ett mindre antal orter, företag med ett bättre rykte och företag vars styrelse har ett stort aktieinnehav tenderar att ha en minskad substansrabatt alternativt en ökad substanspremie. Å andra sidan tenderar företag med hög belåningsgrad, ett fåtal fastighetstyper och hög systematisk risk att ha en ökad substansrabatt alternativt en minskad substanspremie. Den slutliga modellen av rationella variabler genererar ett justerat R-square om 37,4% för svenska börsnoterade fastighetsbolag. Den irrationella utgångspunkten i denna uppsats undersöker variabler knutna till ett irrationellt handlande. Resultatet visar signifikant utfall för irrationellt handlande, där en konfidensindikator för hushållen visar störst inverkan och genererar ett justerat R-square om 53,6%. Uppsatsen undersöker möjligheten att använda irrationellt handlande som förklaringsvariabler till varför substansrabatter och substanspremier uppstår. Resultatet visar att det är motiverat att inkludera irrationella förklaringsvariabler.

<p dir="ltr">Airport parking revenues become essential in maintaining daily aeronautical and non-aeronautical operations and financing capital expenditures. There exist significant variations between different airports in terms of their parking revenues, and such variations will not be eliminated when airport parking revenue is standardized by passenger volume. Given the limited empirical research on airport parking revenues, this study examines the variation of airport parking revenue per locally originating passenger using random-effects regression on a five-year panel dataset. Our regression results reveal a significant positive relationship between airport economy parking price and airport parking revenue per locally originating passenger. Additionally, we find a significant positive relationship between household vehicle ownership and airport parking revenue per locally originating passenger. However, the number of offsite parking service providers can lead to a significant negative effect on airport parking revenue per locally originating passenger. Based on these findings, airport operators can implement strategic management initiatives tailored to local market conditions, with the goal of optimizing airport parking revenues and improving passenger welfare.</p>

This thesis presents an analysis of the dynamic process of economic growth, national welfare and the HIV/AIDS epidemic. An assessment of the methodological designs of applied growth research is undertaken in order to polarise the limitations associated with cross-sectional growth regressions. The cross-country cross- sectional methodology that has been the dominant feature of empirical growth analysis may suffer from an endogeneity and omitted variable bias. A panel data approach is adopted in order to address the econometric issues associated with cross-sectional study designs. To highlight the discrepancies between theory and empirics, a rudimentary description of the Solow model is offered. Extensions of the Solow paradigm are also discussed and form the basis of the theoretical foundations of the research. The relationship between health and economic growth within the existing literature has considered the consequences of poor population health in determining national income levels. Disease-specific effects have been included in growth regressions to capture the output losses associated with the widespread reduction in human capabilities. This thesis contributes to the existing literature by testing the empirical relationship between economic growth and the HIV/AIDS epidemic for a broad cross-section of countries. Previous empirical studies have not presented a unified account of the epidemic's effects in determining cross- country productivity differentials. The way in which the epidemic might impede economic prosperity is considered by drawing upon the existing literature. The strengths and limitations of previous study estimates are considered in relation to the study design. A more robust empirical estimator for growth regressions is proposed in the form of a system Generalised Method of Moments estimator. The research extends on previous study estimates by considering the epidemic's effect across the conditional quantiles of the growth distribution. A central prediction of the neoclassical growth paradigm relates to the convergence hypothesis in which poorer economies are considered to achieve faster growth rates. By drawing upon the distributional changes in national income over time for the entire cross-section of countries, this thesis will assess the potential barriers that may violate the theoretical predictions of the convergence hypothesis. An empirical assessment of the role of convergence clubs, mortality and poverty traps will be presented through an analysis of the changes in health and income inequality over time. The distributional shifts that have occurred over the period under analysis consider the consequences of growth as a measure of national welfare.

Non-linearities and dynamic interactions between state variables are characteristic of complex social systems and processes. In this thesis, we present a new methodology to model these non-linearities and interactions from the large panel datasets available for some of these systems. We build macro-level statistical models that can verify theoretical predictions, and use polynomial basis functions so that each term in the model represents a specific mechanism. This bridges the existing gap between macro-level theories supported by statistical models and micro-level mechanistic models supported by behavioural evidence. We apply this methodology to two important problems in the social sciences, the demographic transition and the transition to democracy. The demographic transition is an important problem for economists and development scientists. Research has shown that economic growth reduces mortality and fertility rates, which reduction in turn results in faster economic growth. We build a non-linear dynamic model and show how this data-driven model extends existing mechanistic models. We also show policy applications for our models, especially in setting development targets for the Millennium Development Goals or the Sustainable Development Goals. The transition to democracy is an important problem for political scientists and sociologists. Research has shown that economic growth and overall human development transforms socio-cultural values and drives political institutions towards democracy. We model the interactions between the state variables and find that changes in institutional freedoms precedes changes in socio-cultural values. We show applications of our models in studying development traps. This thesis comprises the comprehensive summary and seven papers. Papers I and II describe two similar but complementary methodologies to build non-linear dynamic models from panel datasets. Papers III and IV deal with the demographic transition and policy applications. Papers V and VI describe the transition to democracy and applications. Paper VII describes an application to sustainable development.

<p>This licentiate thesis is about the provision of transportinfrastructure and the regional impacts of such provision.Three different techniques have been investigated that can beused for the assessment and forecasting of the effects ofinfrastructure: transport demand models and parametric andnon-parametric econometric estimation techniques. The maininterest is focused around the regional effects of theÖresund fixed link, which was opened on July 1, 2000.</p><p>The thesis is a collection of three papers plus a generalintroduction: papers 1 and 2 are concerned with the effect ofaccessibility in the transport networks on productivity on anindividual firm level. In paper 1, a translog cost function,extended with an accessibility variable, is estimated for 24business aggregates using panel data techniques and tests on adataset covering single workplaces in Scania over the years1990–98. The results are not conclusive, and cannot beused for forecasting of the after-situation. In paper 2, anon-parametric method, propensity score matching, is applied onthe same dataset to test if productivity differs in highaccessibiliby areas compared to those with low accessibility,while controlling for other differences between firms. Theresult here is the same as in the first paper: for no businessthere is a significant difference in productivity that can berelated to accessibility. In paper 3, a framework for theexternal validation of models of transport, landuse andenvironment is developed, with a focus on transport forecastmodels. The scenario assumptions and forecast results ofearlier models are presented and compared. A before-and-afterdatabase under construction for the Öresund region is alsopresented, to be used for validation of such models.</p><p><b>Key words:</b>infrastructure assessment, validation,Öresund, transport demand models, regionalconsequences.</p>