SVAR ,VECM and ARIMA model for forecasting exchange rate SVAR model has a better performance

The diploma thesis deals with the technology of welding aluminum alloy AW 5754 by a method of arc welding TIG and with covered electrode. Introduction contains information about aluminum alloys and their labeling according to ČSN EN 573-1,2. Additional attention is focused on evaluation of the weld quality according to ISO 10042 and subsequent evaluation of the defects according to ISO 65 20 to 1. In the experimental section was welded samples tested at first by non-destructive methods (visual, capillary, X-ray testing) and followed by a destructive measurement of the weld (evaluation of micro-hardness, macroscopic and microscopic tests, tearing issues). Furthermore, part of weldments was subjected to a laboratory corrosion test in an aggressive environment of a salt chamber and then evaluating of mechanical properties of welds in both methods.

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This thesis empirically investigates the effects of monetary policy instruments on the real estate market for the following countries: Germany, France, the Netherlands, Spain and the United Kingdom, using a Structural Vector Autoregression model (SVAR) with Choleski recursive identification. This was done from the three different aspects: interest rate, scale of credit, and output. The covered period lasts from the first quarter of 2005 and then varies, depending on the country. The Wu-Xia shadow rate was used as a proxy for the interest rate, households' debt was used as a proxy for scale of credit, and real GDP was used as a proxy for the output. As the output of the analysis, we used the impulse response functions (IRF) and forecast errors variance decomposition (FEVD). The results suggest that the Residential Property Prices (RPPI) in every country react positively to an output shock and negatively to interest rates (except Spain). The effect of household debt on RPPI and statistical significance of intervals depend on the country observed.

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Submitted by Haroudo Xavier Filho (haroudo.xavierfo@ufpe.br) on 2016-01-12T19:19:24Z No. of bitstreams: 1 Dissertação FELIPE MARTINS MATOS VF.pdf: 1523819 bytes, checksum: 1f6c0c20a2cacf060e2a781c4bba0c81 (MD5) / Made available in DSpace on 2016-01-12T19:19:24Z (GMT). No. of bitstreams: 1 Dissertação FELIPE MARTINS MATOS VF.pdf: 1523819 bytes, checksum: 1f6c0c20a2cacf060e2a781c4bba0c81 (MD5) Previous issue date: 2015-08-28 / CAPES / Este trabalho busca avaliar o impacto dos choques do petróleo sobre a economia de países latino-americanos selecionados com base em dados trimestrais entre 1995 e 2013. As variáveis escolhidas foram PIB, inflação, taxa de juros em conformidade com o modelo de Killian (2009), bem como a taxa de câmbio real e balança comercial, incluídas a fim de rastrear os canais de transmissão dos choques do petróleo. A amostra de países abrange tanto exportadores (Colômbia, México e Venezuela) quanto importadores (Argentina, Brasil, Chile e Peru) de petróleo. Segundo Peersman e Van Robays (2009), em uma análise para economias desenvolvidas, um grupo de países exportadores tenderia a responder de forma semelhante a um choque do petróleo, com o mesmo sendo válido para importadores. A fim de investigar tal hipótese, o presente trabalho utilizou o método VAR-Estrutural para uma avaliação individualizada dos países, aplicando as restrições de sinais para identificação dos choques. O método VAR-Painel foi aplicado como forma de analisar o agregado dos países exportadores e importadores, possibilitando realizar inferências acerca da América Latina. Os resultados demonstram que os países latino-americanos apresentam, em muitos casos, respostas distintas daquelas que estudos semelhantes aplicados a países desenvolvidos preconizariam. A maioria das diferenças pode ser atribuída a particularidades como o controle governamental de preços, a falta de autonomia da autoridade monetária ou a necessidade que economias em desenvolvimento têm de conquistar a confiança dos investidores internacionais. / This study aims to assess the impact of oil shocks on the economy of selected Latin American countries with quarterly data from 1995 to 2013. The chosen variables are GDP, inflation, interest rates according to the model of Killian (2009), as well as the real exchange rate and trade balance, included to track down the transmission channels of oil shocks. The sample of countries covers both oil exporters (Colombia, Mexico and Venezuela) and importers (Argentina, Brazil, Chile and Peru). According to Peersman and Van Robays (2009), in an analysis for developed economies, a group of exporting countries tends to respond similarly to oil shocks, the same being valid for importers. To investigate this hypothesis, this study applies the Structural-VAR method for an individualized assessment of countries, imposing sign restrictions to identify structural shocks. The Panel-VAR method is also applied in order to analyze the aggregate responses to oil shocks in oil exporting and importing countries in Latin America. The results demonstrate that Latin American countries have, in many cases, different responses from what similar studies applied to developed countries have found. Most of the differences can be attributed to peculiarities in those countries, such as government price controls, the lack of autonomy of the monetary authority, etc.

Syftet med studien var dels att studera och jämföra hur politiker går tillväga för att övertyga väljarna att rösta på deras parti och dels att sätta uppfattningen om att politiker är dåliga på att svara på frågor och ofta avbryter en talare på sin spets genom att analysera avbrott och svar och icke-svar. Mer specifikt är det partiledarna för de största riksdagspartierna Stefan Löfven (S) och Fredrik Reinfeldt (M) som analyserats och jämförts. Tv-debatterna är från riksdagsåren 2012-2014 som är en intressant period i svensk politik då 2014 var ett supervalår med såväl europaparlamentsval som riksdagsval. För att få svar på frågeställningen om politikernas väg till övertygelse har jag använt metoden retorikanalys med utgångspunkt i partesläran, den retoriska arbetsprocessen. För att analysera den andra frågeställningen användes en samtalsanalytisk ansats, då avbrott, svar och icke-svar är viktiga delar i samtalsanalysen. Resultaten av retorikanalysen visade att på ett mer övergripande plan kan man, utifrån analysen dra slutsatsen att partiledarna använder många av de retoriska grepp som återfinns i partesläran. Även om det är svårt att sia om huruvida de har studerat retorik och har koll på begrepp inom retoriken, är det tydligt att de har en viss strategi för att övertyga väljarna att rösta på deras parti. Efter att ha gått in mer på djupet i partiledarnas retorik har jag kommit fram till vilka dessa strategier är och vilka retoriska grepp som de använder sig av. Utifrån parteläran har jag hittat aspekter som skiljer de båda partiledarna åt, hur de inleder, ger bakgrundsbeskrivningar, argumenterar och använder språket. När Löfven ofta inleder med något drastiskt, väljer Reinfeldt ofta att inleda med något aktuellt. Argumenten skiljer sig åt genom att Reinfeldt oftare argumenterar för sin egen politik medan Löfven med sin konfliktorienterade retorik inte sällan argumenterar mot alliansens politik. När det gäller Elocutio, stilen, språket och dess fyra dygder, att uttrycka sig korrekt, klart, konstfullt och passande har det visat sig att Reinfeldt uppfyller dessa dygder i större utsträckning än vad Löfven gör. Samtalsanalysen visade att det låg en sanning i uppfattningen att politiker ofta på olika sätt kringgår att svara på en fråga och avbryter såväl andra politiker som journalister. Nära hälften av frågorna besvarades inte och båda politikerna hade en tendens att avbryta andra politiker, dock mer sällan journalister. Till sist sammanfattades slutsatserna och bland relationen mellan journalister och politiker diskuterades med slutsatsen att journalisterna har en stor makt i samtalen, en makt som de emellertid inte utnyttjar till fullo.

In this paper, a structural vector auto regression (SVAR) approach is used to empirically investigate the effects of monetary policy shocks on output (measured by real GDP) and prices (measured by consumer price index) in Ethiopia. We isolated the SVAR structural shocks by imposing restrictions on the long- run behavior of the variables in the model, which places a recursive restriction on the disturbances of the SVAR. We considered three alternative policy instruments i.e. broad money supply (M2), lending rate and the real effective exchange rate (REER). We find evidence that price-based nominal anchors (Interest rate and REER) have an effect on real output, a modest effect of the lending rate while a significant effect of REER is documented, with a slightly faster speed of adjustment. Similarly, innovation in the quantity based nominal anchor (M2) affects economic activities significantly. Powered by TCPDF (www.tcpdf.org)

In this thesis we provide evidence about the relative importance of foreign (Russian) and domestic monetary policy shocks for Belarusian economy. We employ a ten variable structural VAR model with block exogeneity and a set of dummy variables introduced to deal with instability of the data that corresponds to the periods of crises (2008 and 2011). We find that Belarus is significantly influenced by foreign shocks that account for 20 to 60 percent of fluctuations in domestic variables in the long run. The foreign demand and oil prices for Belarus are the main determinants of the domestic output and net export, while the foreign interest rate strongly affects Belarusian interest rate, money demand and the share of loans in GDP. Regarding the domestic monetary shocks, we find that the exchange rate is the most important channel in the Belarusian monetary transmission mechanism. We conclude that deeper trade integration with Russia could be beneficial for Belarusian economy, while in case of the monetary union creation the conduct of an independent monetary policy in Belarus could be further complicated.

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.