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.

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

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)

O modelo, ou modelos, de organização da Economia Solidária nasceu, aproximadamente, ao mesmo tempo em que surgia o capitalismo industrial e foi reinventado na década de 1990, enquanto alternativa ideológica de afronta aos efeitos excludentes do capitalismo e/ou alternativa de política de emprego e renda à população mais pobre, desempregada ou subempregada, com a formação de iniciativas por parte da população excluída do mercado. Esta “reinvenção” ocorre majoritariamente sob orientação de organizações religiosas, sindicais, universitárias e ONG’s. Segundo a SENAES (Secretaria Nacional de Economia Solidária) (BRASIL, 2004b), considera-se Economia Solidária o conjunto de atividades econômicas com as seguintes características: cooperação, autogestão, viabilidade econômica e solidariedade. Em 2005, a secretaria identificou 14.954 empreendimentos econômicos solidários no Brasil, dos quais 85 em Porto Alegre. Para estudar a Economia Solidária, pela ótica econômica, não é suficiente a teoria econômica tradicional, pois é necessário: entender o surgimento e a sobrevivência de associações que encerram concomitantemente as lógicas econômica, política e social; considerar a relação entre ética e economia, com uma aproximação das duas, e entender esta relação tanto na busca de outros princípios de comportamento econômico quanto no entendimento dos juízos de valores feitos pelas pessoas ao adjetivarem um comércio de justo; entender o mercado como uma forma de alocação, dentre outras e que as outras formas de alocação permanecem, além de entender o mercado como uma formação social; entender como se formam os preços “justos” e porque um consumidor escolheria um produto de Economia Solidária, mesmo tendo que pagar um preço mais elevado. Foram realizados dois estudos de caso em Porto Alegre (RS, Brasil): nas feiras da Cooperativa Ecológica Coolméia e nas lojas da Etiqueta Popular. Por meio de entrevistas realizadas com produtores cooperados e com consumidores dos dois empreendimentos, buscou-se identificar se estes percebem os empreendimentos como mais do que uma alternativa de emprego, se os consumidores são conscientes de que compram uma relação de compromisso junto com os produtos e qual é o reflexo dos anteriores na formação dos preços. A análise qualitativa das entrevistas demonstra um grau de aderência com as teorias discutidas anteriormente, mas também demonstra que há ainda um longo caminho a ser percorrido, o que é percebido pelos produtores entrevistados. O fato da maioria dos produtores afirmarem que estavam em melhor situação sócio-econômica com sua participação nos empreendimentos e o fato de alguns consumidores parecerem conscientes com relação ao efeito de suas decisões de compra podem apontar a Economia Solidária como uma forma alternativa à economia capitalista. A dúvida que permanece diz respeito à dimensão desta Economia Solidária, ou seja, se ela conseguiria incluir toda a população excluída pela economia capitalista, sem deixar de gerar os benefícios encontrados até agora nestes empreendimentos e até mesmo os aumentando. Ademais, há dúvidas quanto à relação da Economia Solidária com a economia capitalista e com o governo. / The model, or models, of organization of the Solidarity Economy was born, approximately, at the same time as the industrial capitalism was being developed. It has, however, been reinvented in the 1990’s as an ideological alternative of confrontation to the excluding effects of the capitalism and/or as an alternative of employment and income policies to the poorest, unemployed or underemployed population. This was made by means of initiatives of the population excluded from the market, under the orientation of religious organizations, labor unions, universities and NGO’s. According to SENAES (National Office of Solidarity Economy) (BRASIL, 2004b), it is considered Solidarity Economy the ensemble of economic activities with the following characteristics: cooperation, self-management, economic feasibility and solidarity. In 2005, the Office identified 14.954 solidary enterprises in Brazil, among which 85 are located in Porto Alegre. To study the Solidarity Economy, from the economic point of view, the traditional economic theory is not suitable, because it is necessary to: understand the emergence and the survival of association that enclose, at the same time, the economic, social and political logics; consider the relationship between ethics and economics, and, also, understand both the search of other economic behavioral principles and the understanding of moral judgments made by people when qualifying a trade as fair; understand the market as one form of allocation among others, which also continue to exist, as well as understand that the market is a social construction; understand how the fair prices are formed and why a consumer would choose a product of Solidarity Economy, even if he has to pay a higher price for it. We have analyzed two cases of Porto Alegre, Brazil: the open markets of Cooperativa Ecológica Coolméia e the stores of Etiqueta Popular. The assessment was made by interviews with producers and consumers of both enterprises, as a means to identify if the producers view the undertaking as more than an employment alternative, if the consumers are conscious that they buy a commitment relationship along with the products, and what is the reflex of the answer of the two previous questions in their price formation. The qualitative analysis of the interviews has demonstrated a degree of adherence to the theories discussed before. Also, it has demonstrated that there is still a long way to go through, and that the producers have realized. The fact that the majority of the producers has affirmed that they were better off because of their participation and the fact that some consumers appeared to be conscious of the effect of their purchase decisions might indicate that the Solidarity Economy is an alternative to the capitalist economy. However, doubt still remains as to the size of this economy, that is, could it include all the population excluded by the capitalist economy, without overlooking the benefits generated until now, and even enlarging them? Besides, there are doubts as to the relationship of the Solidarity Economy with the capitalist economy and with the government.

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.

Public transit, an important mobility service for many, has incurred ridership decline in the U.S. for the past three years. In 2014, U.S. transit ridership was 10.74 billion unlinked passenger trips. In 2015, total ridership was 1.0 percent fewer, and the 2016 decrease was 2.2 percent from 2015. The consistent abandonment of transit in the U.S. does not seem to be ending. In 2017, ridership predicted from year-to-date data is 2.4 percent less than 2016. Furthermore, per capita ridership has decreased 17 percent since 1980. Both the short-term ridership trend and long-term per capita ridership trend is concerning given the increased spending and service provision during the same periods. In seeking to understand the many factors that influence transit ridership trends, it is important to analyze each so that policymakers and practitioners can respond and position transit accordingly. Numerous demographic and economic phenomena help explain this decline in transit use. This research focuses on five of these considerations – age, vehicle availability, telecommuting, fuel price, and geographical distribution of the population.

O presente estudo propõe um modelo de projeção de preços de curto-prazo para os polietilenos no mercado petroquímico brasileiro. O modelo foi desenvolvido através de testes com o uso das técnicas de regressão múltipla e de redes neurais artificiais (RNA) como instrumentos de previsão, comparando-se os resultados das mesmas. A seleção das variáveis com capacidade explicativa deu-se através de revisão de literatura, opinião de experts e regressão múltipla. Ficou evidenciada a existência de correlações satisfatórias com as variáveis: preço do petróleo, preço das matérias-primas nafta e eteno no mercado doméstico e preços dos polietilenos no mercado internacional. A base de dados consiste em indicadores mensais relativos ao período de março de 2002 a dezembro de 2005, sendo que a aferição dos resultados foi realizada para o período de janeiro a junho de 2006. Os resultados obtidos pela aplicação da técnica de RNA mostraram um incremento na precisão frente à regressão. O erro relativo médio na aferição com o uso de RNA se situou na faixa de 2,9 a 13,4%, para previsão 6 meses a frente, o que sugere a adoção da mesma na implementação futura do modelo construído. / This study proposes a model for forecasting short-term polyethylene prices in the Brazilian petrochemical market. The model was developed by means of tests using multiple regression techniques and Neural Networks as forecasting instruments, and compared their results. The variables with explanatory capacity were selected by reviewing literature, the opinion of experts, and multiple regression. Satisfactory correlations were found to be existent in the following variables: price of petroleum, price of the raw materials naphtha and ethylene in the domestic market, and polyethylene prices in the international market. The database consists of monthly indicators related to the period of March 2002 to December 2005 and the measuring of the results was carried out from January to June of 2006. The results obtained by applying the Neural Networks technique saw an increase in the precision in comparison with the regression. The average relative error in the measurement when using Neural Networks fell in the range of 2.9 to 13.4% for a forecast of 6 months ahead, which suggests that this should be adopted in the future implementation of the model built.

The aim of this thesis is to analyse the applied methods of calculation of costs in the selected accounting unit in terms of usability of price defining. Simultaneously to highlight the strengths and weaknesses of calculation methods due to the development or modification of the calculation procedures. In the case of identified deficiencies introduce recommendations which the entity should accept, including the reasons that led to the relevant proposals. There are used methods of description, relevant mathematical methods, analysis of internal data, methods of managerial accounting and others. The selected entity is the cutlery manufacturing cooperative. In the results of this works there are proposed recommendations for the manufacturing and administrative overhead. Additionally a few changes are proposed for process of setting product prices in the company stores and in the e-shop. Beneficial change a costing formula is separate item monitoring cooperation in the direct costs. Finally, it is suggested to assemble documentation for calculations.

Quando dois ou mais mercados, anteriormente separados, começam a apresentar certa convergência de preços, diz-se que eles estão integrados. Geralmente, os pesquisadores têm objetivado o estudo da integração entre mercados externos e internos (integração espacial) ou entre os diferentes elos de uma cadeia produtiva (integração vertical), mas de um único produto. Após uma importante mudança na tecnologia, concretizada através do lançamento dos motores flex-fuel no Brasil, a presente pesquisa teve por desafio analisar a existência de integração entre os mercados da gasolina e do etanol, dita como "integração de mercados por substituição". Para tal fim, e depois de filtradas as séries de preços mediante os testes de estacionariedade (Dickey-Fuller Aumentado e Phillips-Perron), foi feito uso de modelos de transmissão de preços, mais especificamente os testes de Cointegração, o do Mecanismo de Correção de Erro (MCE) e o da Causalidade. No período em análise (de março de 2003 até julho de 2008), foi constatada a presença de cointegração entre os dois mercados. Também foi observado que um incremento de 1% no preço da gasolina é responsável por um incremento de 2,74% no preço do etanol. Ainda que tenha sido pequeno o parâmetro do Mecanismo de Correção de Erro obtido, ele indica que é possível relacionar o comportamento de curto com o de longo prazo, nas séries analisadas. Dos resultados obtidos, pode-se concluir que os mercados do etanol e da gasolina estão integrados a longo prazo, onde variações no preço da gasolina causam variações no do etanol (GRANGER, 1969). / When two or more markets, previously separated, start showing a price convergence, it is possible to say that they are integrated. Usually, the researchers have focused the integration study between external and internal market (spatial integration) or between the different links of a productive chain (vertical integration), but just of an unique product. After an important technological change, materialized in the releasing of flex-fuel motors in Brazil, this work had as a challenge analyze the existence of the integration between the gasoline and ethanol markets, referred as "integration of substitution markets". Therefore, after filtering the prices series through stationary tests (Augmented Dickey-Fuller and Phillips-Perron), it was made the use of price transmission models, specifically the cointegration tests, and the Error Correction Mechanism (ECM) and the causality. In the analyzed period (from March 2003 to July 2008), it was verified the existence of cointegration between the two markets. Also it was observed that an increase of 1% in the gasoline price is responsible for the increase in 2.74% of the ethanol price. Although it was small the parameter of the correction mechanism in the obtained error, it points out that is possible to relate the behavior in the short and long term, in the analyzed series. Taking in consideration the obtained results, we arrived to the conclusion that the ethanol and gasoline markets are integrated in the long term, where variations in the gasoline price cause variations in the ethanol market.

Submitted by Daniella Santos (daniella.santos@fgv.br) on 2009-10-19T12:18:21Z No. of bitstreams: 1 Dissertacao_Joao_Luiz_Ayres.pdf: 463363 bytes, checksum: 3d72501f2cf6e2f0d459c3e04d7a6cfc (MD5) / Approved for entry into archive by Antoanne Pontes(antoanne.pontes@fgv.br) on 2009-10-21T11:32:25Z (GMT) No. of bitstreams: 1 Dissertacao_Joao_Luiz_Ayres.pdf: 463363 bytes, checksum: 3d72501f2cf6e2f0d459c3e04d7a6cfc (MD5) / Made available in DSpace on 2009-10-21T11:32:25Z (GMT). No. of bitstreams: 1 Dissertacao_Joao_Luiz_Ayres.pdf: 463363 bytes, checksum: 3d72501f2cf6e2f0d459c3e04d7a6cfc (MD5) / We investigate temporary sales using a very detailed data set for 13 years of retail prices in the Brazilian economy, with price quotes collected every 10-days. We find strong evidence of co-movement between frequency and size of sales and the macroeconomic varibles. The common belief in the literature that sales do not react to changes in macroeconomic variables may be due to little macro volatility in the analysed countries so far. / Nós investigamos promoções temporárias usando uma base de dados detalhada de 13 anos sobre preços ao consumidor no Brasil, com cotações de preços coletadas decendialmente. Nós encontramos forte evidências da existência de relação entre a frequência e tamanho de promoções e as variáveis macroeconômicas. A crença comum na literatura de que promoções não reagem a mudanças nas variáveis macroeconômicas pode ser devido a baixa volatilidade do cenário macro- econômico nos países analisados até o presente momento.