This study use the daily stock price of the companies simultaneously listed in China and Hong-Kong to study whether there exists a stable linkage between the stock markets in China and in Hong-Kong and whether any structural break happened. The sampling period is from July 1st, 2003 to July 31st, 2007. We apply Johansen¡¦s cointegration test and Hansen¡¦s instability test to investigate whether the prices of A shares and H shares are cointegrated. We also apply Chow test and Quandt-Andrews test to study the potential structural break caused by the change of China¡¦s exchange policy. Main results are following: (1) Johansen¡¦s cointegration tests report that the stock prices of 18 companies (out of 29 companies) are cointegrated. (2) Hansen¡¦s instability tests report more companies¡¦ stock prices are cointegrated. (3) Chow tests reports that the relation between stock prices of A shares and H shares may has a structural break in 20 companies when RMB starts to appreciate. (4) The stock prices of some companies, whose stock prices were not cointegrated during the full sampling period, were cointegrated after structural break. Compared to previous literature, we find that the link between the stock markets in China and Hong-Kong become stronger as the reform of China¡¦s financial market is deeper.

The reliability of monetary policy as an economic stabilisation tool depends on the understanding of the empirical effects of policy intervention on macroeconomic aggregates. Since investigating the interdependencies between macroeconomic variables necessarily involves studying their interactions over time, time series analysis is an important tool. This thesis sets out to examine the presence and effects of nonstationarity in the form of a structural break in a basic VAR of four endogenous variables. Specifically, the transmission of a monetary policy shock on the macroeconomic aggregate of 11 Euro Area countries is estimated for the period 1999–2017, employing variables based on previous studies. A Quandt-Andrews breakpoint test is used to identify the break date, and a comparison is made between the periods. This study finds support for the presence of a break in the regression estimate from the breakpoint test, although the reults from the IRFs cannot be shown to be statistically significant, nor to be bias-free.

Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

This thesis examines the relationship between the distribution of structural breaks within a data sample and the estimated parameter of long memory. We use Monte Carlo simulations to generate data from processes with specific values of parameters. Subsequently we join the data with various shifts to mean and examine how the estimates of the parameters vary from their true values. We have discovered that the overestimate of the long memory parameter is higher when the breaks are clustered together. It further increases when the signs of the shifts are positively correlated within the clusters while negative correlation reduces the bias. Our findings enable the improvement of robustness of estimators against the presence structural breaks. Powered by TCPDF (www.tcpdf.org)

O objetivo do trabalho foi analisar os efeitos da exportação de soja pelo Porto de Santarém (PA) no processo de formação de preços no mercado interno avaliando a integração tradicional entre os mercados no porto de Paranaguá (PR) e no município de Sorriso (MT). O período analisado foi de 2004 a 2013, com valores diários, dividido em dois subperíodos tomando como base para a divisão o potencial ponto de quebra estrutural no nível das diferenças relativas (percentuais) de preços entre Sorriso (MT) e Paranaguá (PR). O primeiro subperíodo considerou os preços de janeiro/04 a março/07, caracterizado pela ausência ou pela adaptação do mercado às novas oportunidades surgidas com a entrada em operação efetiva do porto de Santarém (PA). Já o segundo foi de março/07 a dezembro/13, considerando volumes mais expressivos e consolidados de exportações pelo porto paraense. Os testes de cointegração mostraram que as séries de preços se mantiveram cointegradas nos dois períodos analisados, porém o resultado interessante foi que as estimativas dos coeficientes da regressão da relação de equilíbrio de longo prazo apresentaram elasticidades de transmissão de preços estatisticamente diferentes. Considerando a modelagem VEC, foi observada pela análise de decomposição da variância que houve relativa redução da influência de Paranaguá (PR) nas mudanças de preços em Sorriso (MT) no segundo subperíodo, porém, sua importância permaneceu elevada. Já através da análise de impulsos, constatou-se que as mudanças de preços em Paranaguá (PR) são transmitidas integralmente (elasticidade unitária) a Sorriso (MT) no primeiro período e em torno de 80% no segundo, evidenciando que os preços na região mato-grossense se tornaram menos voláteis. O trabalho concluiu que, dado o processo transitório em termos logísticos observados no Brasil, principalmente no que diz respeito à finalização das obras na BR-163 e expansão da capacidade de escoamento por Santarém (PA), os preços de Sorriso (MT) ainda se mantém integrados ao porto de Paranaguá (PR). Existem, porém, várias evidências que apontam mudanças na formação de preço de Sorriso (MT) após a intensificação das exportações por Santarém (PA). / The objective was to analyze the effects of soybean exports through the Port of Santarem (PA) in the price formation process at the domestic market. It was evaluating the integration prices of two traditional markets: the port of Paranagua (PR) and Sorriso (MT). The study period was from 2004 to 2013, with daily values, divided into two sub-periods according to the potential structural break point at the level of relative prices differences (percentage) between Sorriso (MT) and Paranagua (PR). The first sub-period considered prices from January/04 to March/07, characterized by the absence or adaptation to new market opportunities from the effective beginning port of Santarem (PA) operation. The second was from March/07 to December/13, considering most significant and consolidated volumes exports by port of Santarem. The cointegration tests showed that the price series remained cointegrated in both periods analyzed, but an interesting result was the estimates regression coefficients of long-run equilibrium relationship showed transmission price elasticity statistically different. Considering the VEC model, was observed by analysis of variance decomposition that there was a relative reduction of the influence of Paranagua (PR) in price changes in Sorriso (MT) in the second sub-period, however, this importance remained high. By Pulse analysis, it was found that price changes in Paranaguá (PR) are transmitted in full (unit elasticity) to Sorriso (MT) in the first period and around 80% in the second, showing that prices at Mato Grosso region became less volatile. The work concluded that, given the transitional process in terms of logistics observed in Brazil, especially with regard to the completion of works on the BR-163 and expansion of the flow capacity by Santarem (PA), Sorriso (MT) prices still maintains integrated into the port of Paranagua (PR) . However, there are several evidences those changes in the formation of Sorriso (MT) price after the intensification of exports by Santarem (PA).

This paper is concerned with change-point detection in parameters of econometric regression models when a training set of data without any change is available. There are presented two well- known sequential tests - CUSUM test for linear regression model and a test based on weighted residuals for an autoregressive time series - including their asymptotical properties under certain conditions. Two asymptotically equivalent variance estimators are compared in a finite sample situation using Monte Carlo simulations. There are also presented and compared critical value approximations using different bootstrapping methods and variance estimators. Finally, the weighted residual test is applied on S&P 500 historical data.

This study develops a panel data analysis over 27 transition and post transition economies for the period 2003-2010. Its intent is to investigate empirically the true effect of seven variables into foreign flows and takes later on the advantage of observed findings to conduct a comparative analysis between Kosovo and regional countries such: Albania, Bosnia and Herzegovina, Macedonia, Montenegro and Serbia. As the breakdown period (2008-2010) was included in the data set used to modelling the behaviour of FDI, both Chow test and the time dummies technique suggest the presence of structural break. Ultimately, empirical results show that FDI is positively related with one year lagged effect of real GDP growth, trade openness, labour force, low level of wages proxied by remittances, real interest rate and the low level of corruption. Besides, the corporate income tax is found to be significant and inversely related with foreign flows. The comparative analysis referring the growth rate of real GDP shows that Kosovo has the most stable macroeconomic environment in the region, but still it is continuously confronted by the high deficit of trade balance and high rate of unemployment. Appart, the key obstacle that has abolished efforts for foreign investment attraction is found to be the trade blockade of...

Since the founding of the People’s Republic of China in 1949, China has experienced ten business cyclical fluctuations. The economic growth was characterized by erratic ups and downs which lasted for several decades. With the economic reform and opening up to the outside world in 1978 as part of Deng Xiaoping’s market-oriented policy, the Chinese economy grew exponentially and the volatility of the GDP growth rate declined significantly. The macroeconomic control policies in the 1980s prevented large fluctuations in the country’s economic development, and smoothed the output volatility further. This study examines the output volatility in China and our result reveals the standard deviation of quarterly output growth rate has declined dramatically. Using the CUSUM squares test and the Quandt-Andrews breakpoint test to identify unknown structure breaks, we identified two structural breaks: 1994:1 towards destabilization and 1998:1 towards stabilization. We then examine the stochastic process for GDP and the result shows that the decrease in volatility can be traced primarily to a decrease in the standard deviation of output shocks. Following this, we reached two other conclusions. First, there is a strong relationship between movements in output volatility and the movements in inflation volatility. Both output and inflation volatilities increased significantly during the third and fourth quarter of 1994 and both dropped sharply after 1996, which followed a similar path over the period. Second, using the standard decomposition of GDP, the decrease in output volatility can be traced to a decrease in the volatility of consumption, investment, and net export, especially rural consumption expenditure and residential investment.