在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在 市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對 之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦 會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息 靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得 訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們 是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所 設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態 分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊 息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊 息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊 性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和 私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。 同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正 交易者之看法而減少私人蒐集訊息之誘因。

Essay I: In January, 2005, the EU launched the first international emissions trading system (EU ETS), aimed at reducing carbon emissions in a cost-effective way by means of a market-based instrument. In this paper, we use the treatment/control, before/after design of the natural experiment approach to investigate the treatment effect of the EU ETS on the profitability of a sample of Swedish energy firms in 2005 and 2006. We also investigate whether under-cap and over-cap firms respond differently to the EU ETS. The estimation results in general suggest no significant impact in 2005 and a negative significant impact in 2006. The sub-sample analysis suggests that profitability of under-cap and over-cap firms were affected differently by the EU ETS in 2005, but not in 2006. Essay II: The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH-EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a categorical variable is defined distinguishing no, positive and negative jumps. The causes for the jumps are then explored through the use of ordered probit models in a second stage. The empirical results indicate that the structure of the market plays an important role in whether shocks in the demand and supply for electricity translate into price jumps. Essay III: Scientific evidence indicates that human development faces multiple and interacting regime-switching environmental thresholds such as climate change, ocean acidification and biodiversity loss. And crossing one or more such thresholds would trigger rapid and large changes in our life-support system with widespread consequences. This paper attempts to study the effects of such thresholds on human well-being in a growth theoretical framework. We derive the accounting prices of pollution stocks such as the concentration of greenhouse gases for the risk of triggering catastrophic events, which are needed for conducting a dynamic cost-benefit analysis. We first analyze a simple model with a single threshold and then extend it to a planar system with correlated double thresholds with a joint probability distribution. the results can be applied for analyzing global climate change and ocean acidification risks, which are highlighted in a Nature article by Rockström et al. (2009). Essay IV: Lump-sum transfers as a means of tackling climate change are mainly perceived as a theoretical construct to achieve the first best Pareto optimum. The previous literature on lump-sum transfers normally focuses on the two polar cases: the absence of lump-sum transfers and perfect or unconstrained lump-sum transfers, leaving the middle way aside. In this paper, we attempt to explore the unmarked part by developing a model where transfer costs are explicitly taken into account. We show that whether the Pareto optimum characterized by the equalization of marginal abatement costs is attainable depends on the formation of transfer costs. When the marginal transfer cost is zero, the separability of equity and efficiency under perfect lump-sum transfers is kept. However, when the marginal transfer cost is positive, the optimum with equalization of marginal abatement costs is neither attainable, nor desirable. We also simulate a policy experiment in China to review the optimal abatement and transfer patterns between China's provinces within a framework of imperfect lump-sum transfers. The highlighted welfare gains is supportive of considering lump-sum transfers as a national climate change policy.

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Behavioural responses can reveal important fitness trade-offs and ecological traps in evolutionarily novel contexts created by anthropogenic stimuli, and are of increasing conservation concern due to possible links to population-level impacts. This thesis illustrates the use of proxies for energy acquisition and expenditure within multivariate and state-based modelling approaches to quantify the relative time and energetic costs of behavioural disturbance for a deep-diving marine mammal (Physeter macrocephalus) in foraging grounds in Kaikoura Canyon (New Zealand) and near Lofoten Islands (Norway). A conceptual framework is first developed to identify and explore links between individual motivation, condition and external constraints to behavioural disturbance [Chapter 1]. The following chapters then use data from behavioural response studies (BRS) to: 1) derive biologically relevant metrics of behaviour [all chapters], 2) investigate effects of boat-based focal follows and tagging procedures [Chapters 2-3], and 3) relate responses to specific disturbance stimuli (distance, approach, noise) from whale-watching [Chapter 2], naval sonar and playback of presumed natural predator (killer whale Orcinus orca) sounds [Chapter 4]. A novel hidden state model was developed to estimate behavioural budgets of tagged sperm whales from multiple streams of biologging (DTAG) data [Chapter 3]. Sperm whales traded off time spent at foraging depths in a non-foraging and non-resting state in response to both tag boat presence, 1-2 kHz naval sonar (SPL 131-165 rms re 1μPa) and mammal-eating killer whale sound playbacks, indicating that parallel non-lethal costs were incurred in both anthropogenic disturbance and presumed antipredatory contexts. While behavioural responses were highly variable by individual, biologically informed state-based models appeared effective to control for variability in energy proxies across different functional contexts. These results and Chapter 5 “linking buzzes to prey” demonstrate that behavioural context is a signal that can aid understanding of how individual non-lethal disturbance responses can impact fitness.

本研究運用Vasecik、ARMA與VEC三種時間序列模型，以蒙地卡羅法，模擬未來五年台幣利率、美元利率與新台幣兌美元匯率的隨機漫步過程，並分析壽險公司的資產、負債與業主權益價值，在利率與匯率的隨機過程中所受到的影響。 藉由蒙地卡羅模擬之隨機漫步過程，本研究發現在利率模型方面，Vasicek利率模型因具有均數回歸的特性，較VEC模型擁有更穩定的隨機漫步過程；在匯率模型方面，VEC模型因同時考量長期影響與短期影響的效果，較ARMA模型擁有較穩定的漫步過程。 在負債面的模擬結果中，當利率下跌時，保單應提列準備金價值的成長速度較利率上升時快，此點反應壽險公司在低利率的環境下，將面臨較嚴峻的資本要求；同時，藉由歷史資料以Vasicek債券評價模型估計之利率期間結構，整體結構呈現負斜率與凹口向上的走勢，在此情形下，短期利率的值較長期利率的值高，保單應提列的準備金價值較原始估計時更高。 在長期的低利率環境中，上述現象反應於長期保單的價值變化尤為明顯。本研究建議在進行保單的精算訂價時，不應僅以預定利率做為保單全期的折現因子，而應將長期的利率風險納入考量。 同時，匯率的變化亦嚴重衝擊壽險公司的業主權益，在模擬結果中，當匯率落於風險值時，壽險公司配置於美元資產的減損將造成業主權益呈現虧損，此點亦反應當壽險公司將資產配置於海外時，必須謹慎地評估外匯避險的相關策略。 整體而言，在本研究中，將資產配置偏重台幣的投資策略擁有較穩定的業主權益價值，並在短期擁有較佳的風險轉換報酬能力；另一方面，將資產配置偏重美元的投資策略在長期擁有較佳的風險轉換報酬能力，然而，也因其擁有較高的風險值，壽險公司可能面臨較嚴重的損失。本研究建議壽險公司在進行海外資產配置時，應謹慎地將利率風險與匯率風險納入考量。 / This article uses Monte Carlo simulation method to forecast the random walk process of Taiwan interest rate, US interest rate, and Taiwan US dollar exchange rate between next five years. The simulation base on three time series model：Vasecik, ARMA and VEC. Through the random walk process, this article aims to analyze the influence in asset, liability and equity by the change of interest rate and exchange rate. In this paper, we find that the Vasicek interest rate model has a more stable stochastic process than the VEC model, which because of the effect by mean reversion. On the other hand, because the VEC exchange rate model takes both long-term and short-term impact in concern, it has a more robust stochastic process than the ARMA model. Through the simulation results of the liabilities, we find that when the interest rate fell, the reserve value of insurance policy will rise faster, which makes life insurance companies face more severe capital requirements in the low interest rate environment. Besides, we also find that the interest rate term structure in the Vasicek Bond Pricing Model displays negative slopes with concave upward, which means the value of short-term interest rate higher than the value of long-term interest rate. In this situation, the reserve value of insurance policy will become much higher than the value original priced. In the long-term low interest rate environment, the impact of interest rate risk has more effect in the long-term insurance policy. This paper suggests that when pricing the costs of insurance policy, we should not only use one interest rate as the full term discount factor. The better way is to discount with the interest rate term structure. Overall, in this paper, the asset allocation strategy, which focus on Taiwan commercial bonds, has both better performances in value at risk and better ability to covert risk into revenue in the short term. On the other hand, the asset allocation strategy, which focus on US commercial bonds, has better ability to covert risk into revenue in the long run. When conducting overseas asset allocation, we suggest that life insurance companies should carefully consider interest rate risk and exchange rate risk.

觀光事業素有無煙囪工業之稱，自政府於民國四十八年全力推動發展以來 ，來華觀光旅客人數即不斷地成長，此對促進國民外交與增加政府的外匯 收入上有莫大的幫助。觀光旅客人數的多寡，直接影響本地觀光業者與政 府相關單位對觀光業軟硬體設施的投資，像是觀光旅館的興建、導遊人員 的培訓以及整體策略的規劃。不當的評估或不正確的需求預測，都將導致 大量觀光資源的閒置或浪費。本研究計劃主要應用簡算法、時間趨勢模式 、時間序列模式、計量經濟模式，尋找並建立來華觀光旅客長短期需求預 測模式，並針對總體或各主要市場的需求，利用各種模式評估準則提出一 最佳預測模式，以供政府相關單位與觀光業者作為往後政策釐定以及投資 計劃擬定時的參考。

Made available in DSpace on 2016-06-02T20:06:08Z (GMT). No. of bitstreams: 1 5213.pdf: 2943691 bytes, checksum: 6d301fea12ee3950f36c4359dd4a627e (MD5) Previous issue date: 2013-04-30 / Financiadora de Estudos e Projetos / The aim of this study was to investigate the monthly amount of unfavourable days to pollutant dispersion in the atmosphere on the metropolitan region of S ão Paulo (RMSP). It was considered two data sets derived from the air quality monitoring on the RMSP: (1) monthly observations of the times series of annual period and (2) monthly observations of the times series of period form May to September. It was used two classes of models: the Vector Autoregressive models (VAR) and Generalized Additive Models for Location, Scale and Shape (GAMLSS). The techniques presented in this dissertation was focus in: VAR class had emphasis on modelling stationary time series; and GAMLSS class had emphasis on models for count data, like Delaporte (DEL), Negative Binomial type I (NBI), Negative Binomial type II (NBII), Poisson (PO), inflated Poisson Zeros (ZIP), Inverse Poisson Gaussian (PIG) and Sichel (SI). The VAR was used only for the data set (1) obtaining a good prediction of the monthly amount of unfavourable days, although the adjustment had presented relatively large residues. The GAMLSS were used in both data sets, and the NBII model had good performance to data set (1), and ZIP model for data set (2). Also, it was made a simulation study to better understanding of the GAMLSS class for count data. The data were generated from three different Negative Binomial distributions. The results shows that the models NBI, NBII, and PIG adjusted well the data generated. The statistic techniques used in this dissertation was important to describe and understand the air quality problem. / O objetivo deste trabalho foi investigar a quantidade mensal de dias desfavoráveis à dispersão de poluentes na atmosfera da região metropolitana de São Paulo (RMSP). Foram considerados dois conjuntos de dados provenientes do monitoramento da qualidade do ar da RMSP: (1) um contendo observações mensais das séries temporais do período anual e (2) outro contendo observações mensais das séries temporais do período de maio a setembro. Foram utilizadas duas classes de modelos: os Modelos Vetoriais Autorregressivos (VAR) e os Modelos Aditivos Generalizados para Locação, Escala e Forma (GAMLSS), ressaltando que as técnicas apresentadas nessa dissertação da classe VAR têm ênfase na modelagem de séries temporais estacionárias e as da classe GAMLSS têm ênfase nos modelos para dados de contagem, sendo eles: Delaporte (DEL), Binomial Negativa tipo I (NBI), Binomial Negativa tipo II (NBII), Poisson (PO), Poisson Inflacionada de Zeros (ZIP), Poisson Inversa Gaussiana (PIG) e Sichel (SI). O modelo VAR foi utilizado apenas para o conjunto de dados (1), obtendo uma boa previsão da quantidade mensal de dias desfavoráveis, apesar do ajuste ter apresentado resíduos relativamente grandes. Os GAMLSS foram utilizados em ambos conjuntos de dados, sendo que os modelos NBII e ZIP melhor se ajustaram aos conjuntos de dados (1) e (2) respectivamente. Além disso, realizou-se um estudo de simulação para compreender melhor os GAMLSS investigados. Os dados foram gerados de três diferentes distribuições Binomiais Negativas. Os resultados obtidos mostraram que, tanto os modelos NBI e NBII como o modelo PIG, ajustaram bem os dados gerados. As técnicas estatísticas utilizadas nessa dissertação foram importantes para descrever e compreender o problema da qualidade do ar.

Cette thèse contribue aux travaux récents sur les effets de la politique budgétaire à court terme sur l'économie. Plus précisément, sont étudiés dans cette thèse trois principaux aspects de la politique budgétaire à court terme. Premièrement, un des messages principaux consiste à dire que l'impact de la politique budgétaire sur l'économie dépend fortement de l'instrument fiscal utilisé. Augmenter les transferts aux ménages, augmenter l'investissement public ou diminuer les cotisations patronales sur les salaires produisent des effets fort différents sur les variables macroéconomiques clefs et notamment sur le niveau d'activité. Deuxièmement, au delà des effets sur l'activité économique, une large partie de cette thèse analyse l'impact de chocs budgétaires sur le marché du travail. Un des principaux résultats est qu'il paraît délicat de traduire des multiplicateurs sur l'activité en multiplicateurs sur le chômage, notamment à cause de la réponse de l'offre de travail.Troisièmement, nous savons que de multiples facteurs influencent la taille du multiplicateur budgétaire. Deux de ces éléments sont abordés dans cette thèse : la position de l'économie sur le cycle économique et la réponse de la politique monétaire. Les deux premiers chapitres de la thèse analysent ces différents aspects dans un cadre d'économie fermée. Les deux derniers chapitres traitent de la politique budgétaire en union monétaire en analysant les effets de débordement entre États membres ainsi que les capacités stabilisatrices de mécanismes de transferts budgétaires entre États membres afin d'amortir les chocs conjoncturels. / This thesis aims at contributing to the recent studies which investigate the short-run effects of fiscal policy on economic activity. More precisely, three main aspects of fiscal policy in the short run are analyzed. First, one major message is that the impact of fiscal policy on the economy depends strongly on the fiscal instrument used by the government. Rising transfers to households, increasing public investment or cutting social protection tax trigger very different effects on key macroeconomic variables and especially on output. Second, one large part of this thesis is dedicated to the analysis of the effects of fiscal policy shocks on the labor market. One main result is that we cannot determine unemployment fiscal multipliers according to the value of the output fiscal multiplier, especially because of the response of the labor force participation to fiscal policy shocks. Third, this is well-known that many elements influence the size of the output fiscal multiplier. Two of these elements are considered throughout this thesis: the position of the economy over the business cycle and the behavior of the monetary policy. The two first chapters of this thesis analyze these different aspects in some closed economy models. The two last chapters extend this study at the case of a monetary union by investigating the spillover effects of fiscal policy between member states but also the stabilizing properties of fiscal transfer mechanisms between member states in order to soften cyclical shocks.

The technique of cooperative communications is finding its way in the next generations of many wireless communication applications. Due to the distributed nature of cooperative networks, acquiring fading channels information for coherent detection is more challenging than in the traditional point-to-point communications. To bypass the requirement of channel information, differential modulation together with non-coherent detection can be deployed. This thesis is concerned with various issues related to differential modulation and non-coherent detection in cooperative networks. Specifically, the thesis examines the behavior and robustness of non-coherent detection in mobile environments (i.e., time-varying channels). The amount of channel variation is related to the normalized Doppler shift which is a function of user’s mobility. The Doppler shift is used to distinguish between slow time-varying (slow-fading) and rapid time-varying (fast-fading) channels. The performance of several important relay topologies, including single-branch and multi-branch dual-hop relaying with/without a direct link that employ amplify-and-forward relaying and two-symbol non-coherent detection, is analyzed. For this purpose, a time-series model is developed for characterizing the time-varying nature of the cascaded channel encountered in amplify-and-forward relaying. Also, for single-branch and multi-branch dual-hop relaying without a direct link, multiple-symbol differential detection is developed. First, for a single-branch dual-hop relaying without a direct link, the performance of two-symbol differential detection in time-varying Rayleigh fading channels is evaluated. It is seen that the performance degrades in rapid time-varying channels. Then, a multiple-symbol differential detection is developed and analyzed to improve the system performance in fast-fading channels. Next, a multi-branch dual-hop relaying with a direct link is considered. The performance of this relay topology using a linear combining method and two-symbol differential detection is examined in time-varying Rayleigh fading channels. New combining weights are proposed and shown to improve the system performance in fast-fading channels. The performance of the simpler selection combining at the destination is also investigated in general time-varying channels. It is illustrated that the selection combining method performs very close to that of the linear combining method. Finally, differential distributed space-time coding is studied for a multi-branch dual-hop relaying network without a direct link. The performance of this network using two-symbol differential detection in terms of diversity over time-varying channels is evaluated. It is seen that the achieved diversity is severely affected by the channel variation. Moreover, a multiple-symbol differential detection is designed to improve the performance of the differential distributed space-time coding in fast-fading channels.

Le monde est actuellement confronté à une transition du marché de l'énergie qui est influencée notamment par la dynamique de la croissance économique globale, les négociations relatives aux changements climatiques et des prix de plus en plus volatils. Cette évolution rapide des réglementations et de la macro-économie transformera les conditions de la demande d'énergie, obligeant les gouvernements à acquérir un ensemble croissant d'outils quantitatifs pour mieux évaluer les résultats de leurs politiques fiscales. Cette thèse aborde cette problématique en analysant, par une approche basée sur les élasticités, les différentes facettes de la demande d'énergie dans le but d'achever une consommation énergétique durable. Cette approche est complémentée par l'analyse par grappes, la décomposition structurelle ainsi que par diverses outils économétriques appliques conjointement à l'échelle mondiale et nationale. Une attention particulière est faite sur la modélisation de la demande des marchés subsidiés notamment des pays du Conseil de Coopération du Golfe Arabique / The world is currently witnessing a transition in the energy scene that is significantly characterized by global economic growth dynamics, climate change negotiations and volatile energy prices. Rapidly evolving regulatory and macro-economic environments heavily impact on the demand-side of energy, forcing governments to acquire an ever-increasing set of quantitative tools to better assess the results of their taxation policies.This thesis addresses some of these issues by analyzing various facets of energy demand in order to generate sensible demand and price elasticities with real-life applications in sustainable energy management. For that purpose, a combination of cluster, decomposition and multiple econometric analysis is undertaken at global, regional and country-specific levels for households complemented by a policy analysis. A special focus is made on modeling consumer demand behavior for resource-rich economies of the Gulf Cooperation Countries, and the potential impact of removing residential electricity subsidies on the net societal welfare of Saudi Arabia.