We analyze how the impact of a change in the sovereign debt-to-GDP ratio on economic growth depends on the level of debt, the stress level on the financial market and the membership in a monetary union. A dynamic growth model is put forward demonstrating that debt affects macroeconomic activity in a non-linear manner due to amplifications from the financial sector. Employing dynamic country-specific and dynamic panel threshold regression methods, we study the non-linear relation between the growth rate and the debt-to-GDP ratio using quarterly data for sixteen industrialized countries for the period 1981Q1-2013Q2. We find that the debt-to-GDP ratio has impaired economic growth primarily during times of high financial stress and only for countries of the European Monetary Union and not for the stand-alone countries in our sample. A high debt-to-GDP ratio by itself does not seem to necessarily negatively affect growth if financial markets are calm. (authors' abstract)

Housing investment plays a vital role in the real estate market. Although the housing investment has been extensively investigated, the application of Tobin¡¦s Q theory is relatively minor. Hence, the purpose of this study is to apply Tobin¡¦s Q theory to analyze housing investment, using quarterly data for Taipei City from 1973 Q2 to 2010 Q4. The Q ratio numerator is the pre-sale housing price and the denominator represents the value of the rent. The empirical model is estimated by using building permits and use permits as measures of housing investment. Moreover, because the housing market is imperfect, this study applies the threshold regression model to test whether different effects exist in the Q ratio. Finally, this study also compares housing investment in five cities. In conclusion, these findings imply that the Q ratio has a positive relationship with housing investment, as well as a threshold effect. Furthermore, the local housing investments are affected differently by local variables.

Previous researches find that advertising expenditure and performance can significantly influence fund flows. With a unique data from Securities Investment Trust and Consulting Association (SITCA) of Taiwan, we can use monthly data of exact purchasing amounts, redemption amounts and advertising expenditures to gain more insight into investors¡¦ investment behavior. We examine the impact of advertising on mutual fund investors¡¦ behavior and the performance-flow relationship. This paper differs from the existing literature, which only concerned with the average advertising effect on fund flow. We follow the procedure of Tsay (1989) time series autoregressive processes model and modify it to cross-section variables threshold model to examine whether threshold effect of advertising on fund flows exists. We generate four empirical results. (1) Performance is significantly associated with higher fund flows. (2) Advertising is significantly associated with higher fund flows. (3) Disposition effect exists in Taiwanese mutual fund market and advertising expenditure can partially enhance the disposition effect. (4) We also measure the threshold effect of advertising on fund flows.

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Ever since the financial crisis in 2008 non-maturity deposits (NMDs) have had a floored deposit rate at zero. Now due to external factors some speculate that the market rate will increase. Regulations say that NMDs core deposits, which are used for further investments, must remove their rate sensitive part. In this work, high interest scenarios has been made to investigate the core deposits using an extended Vasicek model calibrated on the forward rate. Deposit rate models have been made using different regression techniques, mainly using linear models and a threshold regression model. We found that using a moving average on 21 days on Stibor 1M as a predicting variable yielded the best models. The models slope was then used to calculate the deposit rate on the given scenarioto calculate when the accounts will become rate sensitive again. At the end of the scenario, the deposits was found to decrease with 20%, 76% and 49% for the transaction-, savings account and the combined core deposits respectively using the median scenario. In order to regulate the decrease of the core deposits onecan use different rate sensitives similarly to the threshold model.

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In this dissertation, a new non-global regression model - the partial linear threshold regression model (PLTRM) - is proposed. Various issues related to the PLTRM are discussed. In the first main section of the dissertation (Chapter 2), we define what is meant by the term “non-global regression model”, and we provide a brief review of the current literature associated with such models. In particular, we focus on their advantages and disadvantages in terms of their statistical properties. Because there are some weaknesses in the existing non-global regression models, we propose the PLTRM. The PLTRM combines non-parametric modelling with the traditional threshold regression models (TRMs), and hence can be thought of as an extension of the later models. We verify the performance of the PLTRM through a series of Monte Carlo simulation experiments. These experiments use a simulated data set that exhibits partial linear and partial nonlinear characteristics, and the PLTRM out-performs several competing parametric and non-parametric models in terms of the Mean Squared Error (MSE) of the within-sample fit. In the second main section of this dissertation (Chapter 3), we propose a method of estimation for the PLTRM. This requires estimating the parameters of the parametric part of the model; estimating the threshold; and fitting the non-parametric component of the model. An “unbalanced penalized least squares” approach is used. This involves using restricted penalized regression spline and smoothing spline techniques for the non-parametric component of the model; the least squares method for the linear parametric part of the model; together with a search procedure to estimate the threshold value. This estimation procedure is discussed for three mutually exclusive situations, which are classified according to the way in which the two components of the PLTRM “join” at the threshold. Bootstrap sampling distributions of the estimators are provided using the parametric bootstrap technique. The various estimators appear to have good sampling properties in most of the situations that are considered. Inference issues such as hypothesis testing and confidence interval construction for the PLTRM are also investigated. In the third main section of the dissertation (Chapter 4), we illustrate the usefulness of the PLTRM, and the application of the proposed estimation methods, by modelling various real-world data sets. These examples demonstrate both the good statistical performance, and the great application potential, of the PLTRM. / Graduate

台灣的經濟發展，仰賴對外貿易甚鉅。廠商如何因應匯率的變動，在國際競爭激烈的貿易市場中策略性的定價以取得優勢，一直是國際貿易與金融發展上重要的議題。因此，本論文包括三篇文章，依序透過台灣進口物價、出口物價，以及人造纖維梭織布的出口價格，探討匯率轉嫁與市場取價的相關議題。以下就每篇文章的重點摘要如下。 第一篇主要驗證「菜單成本」(menu costs) 存在，所產生之不對稱匯率轉嫁行為。由於菜單成本的存在，出口商必須在調價所產生的菜單成本，以及不調價對其市場競爭力的減損中，進行權衡取捨(trade-off)。我們首先透過模型推導，說明在此情況下，出口商唯有在匯率變動超過某一水準（門檻）時， 才會因應匯率變動進行調價。這意謂若匯率波動幅度較小時，出口商囿於菜單成本不會調整價格，進口國將面臨完全匯率轉嫁；而若匯率變動幅度夠大，出口商才會調整價格以維持其市場競爭力，而產生不完全匯率轉嫁。為驗證並說明此一不對稱匯率轉嫁現象，我們利用門檻迴歸模型(threshold regression model)進行台灣進口品是否有不對稱轉嫁之實證分析。結果顯示，以匯率變動幅度為門檻變數下，當匯率變動幅度小於門檻值3%時，匯率轉嫁程度高達58.7%;而匯率變動幅度高於門檻值3%時，則無顯著之匯率轉嫁。 我們因此認為菜單成本的存在，確實可能導致匯率不對稱轉嫁行為。 第二篇則應用門檻迴歸模型檢驗台灣出口物價是否因菜單成本導致在匯率變動幅度不同時，產生不同程度調整加成的出口定價行為，導致不對稱匯率轉嫁。 實證結果顯示，當匯率變動幅度低於門檻2.5%時，調整出口價格的幅度為27%。反之，當匯率變動幅度超過門檻值時，相較於前者，調價幅度增加至42%。經檢定兩者有顯著差異，證實有不對稱匯率轉嫁。上述不對稱匯率轉嫁的實證結果與理論預期並未完全相符。我們認為可能的原因在於出口商考量當期市佔率對未來利潤的潛在影響力，因此即使當期匯率變動幅度小，仍選擇微幅調價，藉以維持市場優勢與價格競爭力。亦即菜單成本可能並非影響其定價行為的關鍵因素。此外，廠商也有可能考量其在短期無法立即因應需求而擴張產能，因此即使匯率變動幅度小，仍選擇調價穩定進口價格，如此可避免因產能不足無法接單而流失客戶。再者，受限於資料的取得，我們採用總體出口物價資料，因此僅能呈現出平均的定價行為，而無法凸顯個別產業的出口定價行為。上述皆有可能是造成理論預期與實證結果不完全一致的原因。 為修正前兩篇使用總體資料的缺點，並進一步瞭解出口商因應匯率變動時是否依不同目標市場決定不同的調整加成幅度，在第三篇中本文使用人造纖維梭織布產業資料，主要探討在不完全競爭市場的結構下，出口商面對匯率變動時的「市場取價」行為。由於紡織業為台灣創匯產業，早期以出口胚布和成衣服飾品為主。到1980年代以後，逐漸地轉為以出口紗與成品布為主。在2005年全面取消全球紡織品配額後，紡織業的競爭更加激烈。儘管台灣有許多紡織廠外移至大陸及東南亞國家生產，使得台灣布料的出口額逐年減少。然而，台灣的人造纖維梭織布的出口單價卻有上升的趨勢。因此，本文主要探討台灣自1999年至2009年，人造纖維梭織布出口至美國、中國、香港及印尼等前四大出口目的國，因應匯率變動的出口定價行為是否具有市場取價的特性。此研究有助於我們瞭解產業競爭的過程與廠商的定價行為。實證結果顯示，台灣人纖梭織布的出口有市場取價的能力。對於出口至美國及香港的人纖梭織布，出口商會因應匯率等比例調整加成，自行吸收匯率變動對進口價格的影響，以穩定進口價格(即 local currency pricing stability)。對於出口至中國及印尼的人纖梭織布，則未有明顯的證據支持類似的調價行為。

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