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An investigation of credit card debtEkici, Tufan, January 2006 (has links)
Thesis (Ph. D.)--Ohio State University, 2006. / An investigation of credit card debt: the effect of price and income expectations and the impact on consumption. Includes bibliographical references (p. 108-111).
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Three essays on the interface of computer science, economics and information systemsHidvégi, Zoltán Tibor, January 1900 (has links)
Thesis (Ph. D.)--University of Texas at Austin, 2007. / Vita. Includes bibliographical references.
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Decoupled payments and agricultural output a dynamic optimization model for a credit-constrained farming household /Monge-Arino, Francisco Antonio, January 2007 (has links)
Thesis (Ph. D.)--Ohio State University, 2007. / Title from first page of PDF file. Includes bibliographical references (p. 132-136).
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Energy price changes and the induced revaluation of durable capital in U.S. manufacturingJanuary 1983 (has links)
Ernst R. Berndt, David O. Wood. / July 1983. / Includes bibliographies.
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Prices and shortages : evaluating policy options for the natural gas industryPindyck, Robert S. January 1977 (has links)
No description available.
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Alternative methods of oil supply forecastingAdelman, Morris Albert., Jacoby, Henry D. January 1977 (has links)
This paper represents a collective effort by the Supply Analysis Group of the M.I.T. World Oil Project. / The Project is supported by the National Science Foundation under Grant no. SIA75-00739
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The prediction value of the price/earnings ratio for headline earnings per share, dividend yields and share returnsKruger, Sarah Debora 12 1900 (has links)
Mini study project (MBA)--University of Stellenbosch, 2005. / ENGLISH ABSTRACT: This mini study project aims to investigate the prediction value ofpricelearnings (pIE)
ratios. The ability of investors to predict earnings growth is tested by examining the
relationship between PIE ratios and excess earnings growth. The study further also
investigates the relationship between PIE ratios and two other variables: share returns
and dividend yields.
The study design was based on that of two other studies: Fuller, Huberts and Levinson
(1993) and Hamman, Jordaan and Smit (1995). These studies specifically tested the
random walk theory of earnings. In this study all the companies were allocated to one of
four PIE portfolios according to the magnitude of their PIE ratio. The relationship
between PIE ratios and the dependent variables (earnings growth, share returns and
dividend yields) was then analysed by comparing the medians of the dependent variables
of the different quartiles (pIE portfolios).
The investigation into the relation between PIE ratios and excess earnings growth
indicated that companies with high PIE ratios tend to have higher excess earnings
growth. The relationship, however, seemed to be more pronounced in the one year
results than in the two and four year results.
The share returns seemed to be randomly distributed and it was more difficult to identify
the correlation with PIE ratios. For a two and four year period however, the lowest PIE
quartile delivered the highest returns and the highest PIE quartile performed very poorly. Lastly it was found that companies with high PIE ratios had lower dividend yields and
companies with lower PIE ratios had higher dividend yields.
Even though some departures from randomness were observed when comparing the PIE
quartiles, the variability of the dependant variables at individual stock level was high and
indicated random distribution. / AFRIKAANSE OPSOMMING: Hierdie ministudieprojek het ten doelom die voorspellingvermoë van prys/verdienste
(PN) verhoudings te ondersoek. Die vermoë van beleggers om winsgroei te voorspel
word getoets deur die verwantskap tussen PN-verhoudings en surplus winsgroei te
ondersoek. Verder ondersoek die studie ook die verwantskap tussen PN-verhoudings en
twee verdere veranderlikes: aandeelopbrengste en dividendopbrengste.
Die ontwerp van die studie is gebaseer op dié van twee ander studies: Fuller, Huberts en
Levinson (1993) en Hamman, Jordaan en Smit (1995). Die twee studies het spesifiek
die ewekansige verspreiding van winste ondersoek. Alle maatskappye in hierdie studie
is geallokeer aan een van vier PN-protefeuljes volgens die vlak van hulle PNverhouding.
Die verwantskap tussen PN-verhoudings en die afhanklike veranderlikes
(winsgroei, aandeelopbrengste en dividendopbrengste) is dan ondersoek deur die
mediane van die afhanklike veranderlikes van die verskillende PN-kwartiele
(portefeuljes) te vergelyk.
Die analise van die surplus winsgroei het aangedui dat maatskappye met hoë PNverhoudings
geneig is om beter surplus winsgroei te toon. Die verwantskap blyk egter
om duideliker te wees vir 'n eenjaar-periode as vir 'n tydperk van twee of vier jaar.
Die aandeelopbrengste het 'n ewekansige verspreiding getoon en dit was moeilik om 'n
verwantskap met die PN-verhoudings te identifiseer. Vir 'n twee en vier jaar periode het die laagste PN-kwartiel die hoogste aandeelopbrengs gelewer en die hoogste PNkwartiel
het baie sleg presteer.
Laastens is daar gevind dat maatskappye met hoë PN-verhoudings laer
dividendopbrengste gelewer het en maatskappye met lae PN-verhoudings hoë
dividendopbrengste.
Alhoewel afwykings van ewekansigheid geïdentifiseer is met die vergelyking tussen
kwartiele, was die variansie van die afhanklike veranderlikes op individuele aandelevlak
hoog en het gedui op 'n ewekansige verspreiding.
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Responsiveness of Swedish housing prices to the 2018 amortization requirement : An investigation using a structural Vector autoregressive model to estimate the impact of macro prudential regulation on the Swedish housing marketHörnell, Fredrik, Hafelt, Melina January 2018 (has links)
This thesis analyzed and estimated the impact of the March 1, 2018 loan to income amortization requirement on residential real estate prices in Sweden. A four variables vector autoregressive model (VAR) was used to study the relationships between residential real estate prices, GDP, real mortgage rate and consumer price index over a time period from 2005 to 2017. First, a structural vector autoregressive (SVAR) model was used to test how a structural innovation in the error term for real mortgage rate affected residential real estate prices. Secondly, an unconditional forecast from our reduced VAR was produced to estimate post 2017 price growth of the Swedish housing market. The impulse response function results stand in contradiction to economic intuition i.e. the price puzzle problem. The unconditional forecast indicates that the housing market will enter a period with slower price growth post 2017, which are in line with previous research. This thesis vector autoregressive model can give meaningful results with regard to trend forecasts but with regard to precise statements as anticipating drastic price depreciation, it falls short. We recommend the use of reduced VAR forecasting with regard to the Swedish housing market.
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Sustainable Water Management in Ciudad JuarezJanuary 2011 (has links)
abstract: ABSTRACT Water resources in many parts of the world are subject to increasing stress because of (a) the growth in demand caused by population increase and economic development, (b) threats to supply caused by climate and land cover change, and (c) a heightened awareness of the importance of maintaining water supplies to other parts of the ecosystem. An additional factor is the quality of water management. The United States-Mexican border provides an example of poor water management combined with increasing demand for water resources that are both scarce and uncertain. This dissertation focuses on the problem of water management in the border city of Ciudad Juarez, Chihuahua. The city has attracted foreign investment during the last few decades, largely due to relatively low environmental and labor costs, and to a range of tax incentives and concessions. This has led to economic and population growth, but also to higher demand for public services such as water which leads to congestion and scarcity. In particular, as water resources have become scarce, the cost of water supply has increased. The dissertation analyzes the conditions that allow for the efficient use of water resources at sustainable levels of economic activity--i.e., employment and investment. In particular, it analyzes the water management strategies that lead to an efficient and sustainable use of water when the source of water is either an aquifer, or there is conjunctive use of ground and imported water. The first part of the dissertation constructs a model of the interactive effects of water supply, wage rates, inward migration of labor and inward investment of capital. It shows how growing water scarcity affects population growth through the impact it has on real wage rates, and how this erodes the comparative advantage of Ciudad Juarez--low wages--to the point where foreign investment stops. This reveals the very close connection between water management and the level of economic activity in Ciudad Juarez. The second part of the dissertation examines the effect of sustainable and efficient water management strategies on population and economic activity levels under two different settings. In the first Ciudad Juarez relies exclusively on ground water to meet demand--this reflects the current situation of Ciudad Juarez. In the second Ciudad Juarez is able both to import water and to draw on aquifers to meet demand. This situation is motivated by the fact that Ciudad Juarez is considering importing water from elsewhere to maintain its economic growth and mitigate the overdraft of the Bolson del Hueco aquifer. Both models were calibrated on data for Ciudad Juarez, and then used to run experiments with respect to different environmental and economic conditions, and different water management options. It is shown that for a given set of technological, institutional and environmental conditions, the way water is managed in a desert environment determines the long run equilibrium levels of employment, investment and output. It is also shown that the efficiency of water management is consistent with the sustainability of water use and economic activity. Importing water could allow the economy to operate at higher levels of activity than where it relies solely on local aquifers. However, at some scale, water availability will limit the level of economic activity, and the disposable income of the residents of Ciudad Juarez. / Dissertation/Thesis / Ph.D. Sustainability 2011
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A theoretical and empirical analysis of the Libor Market Model and its application in the South African SAFEX Jibar MarketGumbo, Victor 31 March 2007 (has links)
Instantaneous rate models, although theoretically satisfying, are less
so in practice. Instantaneous rates are not observable and calibra-
tion to market data is complicated. Hence, the need for a market
model where one models LIBOR rates seems imperative. In this
modeling process, we aim at regaining the Black-76 formula[7] for
pricing caps and °oors since these are the ones used in the market.
To regain the Black-76 formula we have to model the LIBOR rates
as log-normal processes. The whole construction method means
calibration by using market data for caps, °oors and swaptions
is straightforward. Brace, Gatarek and Musiela[8] and, Miltersen,
Sandmann and Sondermann[25] showed that it is possible to con-
struct an arbitrage-free interest rate model in which the LIBOR
rates follow a log-normal process leading to Black-type pricing for-
mulae for caps and °oors. The key to their approach is to start
directly with modeling observed market rates, LIBOR rates in this
case, instead of instantaneous spot rates or forward rates. There-
after, the market models, which are consistent and arbitrage-free[6],
[22], [8], can be used to price more exotic instruments. This model
is known as the LIBOR Market Model.
In a similar fashion, Jamshidian[22] (1998) showed how to con-
struct an arbitrage-free interest rate model that yields Black-type
pricing formulae for a certain set of swaptions. In this particular
case, one starts with modeling forward swap rates as log-normal
processes. This model is known as the Swap Market Model.
Some of the advantages of market models as compared to other
traditional models are that market models imply pricing formulae for
caplets, °oorlets or swaptions that correspond to market practice.
Consequently, calibration of such models is relatively simple[8].
The plan of this work is as follows. Firstly, we present an em-
pirical analysis of the standard risk-neutral valuation approach, the
forward risk-adjusted valuation approach, and elaborate the pro-
cess of computing the forward risk-adjusted measure. Secondly, we
present the formulation of the LIBOR and Swap market models
based on a ¯nite number of bond prices[6], [8]. The technique used
will enable us to formulate and name a new model for the South
African market, the SAFEX-JIBAR model.
In [5], a new approach for the estimation of the volatility of the
instantaneous short interest rate was proposed. A relationship between observed LIBOR rates and certain unobserved instantaneous
forward rates was established. Since data are observed discretely in
time, the stochastic dynamics for these rates were determined un-
der the corresponding risk-neutral measure and a ¯ltering estimation
algorithm for the time-discretised interest rate dynamics was pro-
posed.
Thirdly, the SAFEX-JIBAR market model is formulated based on
the assumption that the forward JIBAR rates follow a log-normal
process. Formulae of the Black-type are deduced and applied to the
pricing of a Rand Merchant Bank cap/°oor. In addition, the corre-
sponding formulae for the Greeks are deduced. The JIBAR is then
compared to other well known models by numerical results.
Lastly, we perform some computational analysis in the following
manner. We generate bond and caplet prices using Hull's [19] stan-
dard market model and calibrate the LIBOR model to the cap curve,
i.e determine the implied volatilities ¾i's which can then be used
to assess the volatility most appropriate for pricing the instrument
under consideration. Having done that, we calibrate the Ho-Lee
model to the bond curve obtained by our standard market model.
We numerically compute caplet prices using the Black-76 formula for caplets and compare these prices to the ones obtained using the
standard market model. Finally we compute and compare swaption
prices obtained by our standard market model and by the LIBOR
model. / Economics / D.Phil. (Operations Research)
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