We employ some of the modern tools of economic theory and time series econometrics to consider a number of economic problems. The communication and coordination problems we study are relevant in accounting, business, economics and finance. The thesis begins by examining the behaviour of people and organisations, who are supposed to share a common goal. Then it considers the equilibriating mechanisms of behaviour by groups of economic agents, who usually have conflicting interests. We apply the tools of non-cooperative game theory, which constitutes a large part of modern economic theory. In the sequel, we address the question of why people behave the way they do in their economic a↵airs. Peoples' economic behaviour is mirrored in the aggregates of macroeconomics. We propose a Time Varying Autoregressive model to study the movements in the five main macroeconomic variables. The methods come from standard Time Series Analysis, but we do introduce some innovative time series techniques. Finally, we conduct an empirical investigation of the movements in one of the five main macroeconomic variables, the rate of inflation. Among the econometric tools employed are standard Autoregressive models (AR), Autoregressive Distributed Lag models (ADL) and the more recent Generalised Autoregressive Conditional Heteroskedasticity (GARCH) methodology.

In survival analysis interest often lies in the relationship between the survival function and a certain number of covariates. It usually happens that for some individuals we cannot observe the event of interest, due to the presence of right censoring and/or left truncation. A typical example is given by a retrospective medical study, in which one is interested in the time interval between birth and death due to a certain disease. Patients who die of the disease at early age will rarely have entered the study before death and are therefore left truncated. On the other hand, for patients who are alive at the end of the study, only a lower bound of the true survival time is known and these patients are hence right censored. In the case of censored and/or truncated responses, lots of models exist in the literature that describe the relationship between the survival function and the covariates (proportional hazards model or Cox model, log-logistic model, accelerated failure time model, additive risks model, etc.). In these models, the regression coefficients are usually supposed to be constant over time. In practice, the structure of the data might however be more complex, and it might therefore be better to consider coefficients that can vary over time. In the previous examples, certain covariates (e.g. age at diagnosis, type of surgery, extension of tumor, etc.) can have a relatively high impact on early age survival, but a lower influence at higher age. This motivated a number of authors to extend the Cox model to allow for time-dependent coefficients or consider other type of time-dependent coefficients models like the additive hazards model. In practice it is of great use to have at hand a method to check the validity of the above mentioned models. First we consider a very general model, which includes as special cases the above mentioned models (Cox model, additive model, log-logistic model, linear transformation models, etc.) with time-dependent coefficients and study the parameter estimation by means of a least squares approach. The response is allowed to be subject to right censoring and/or left truncation. Secondly we propose an omnibus goodness-of-fit test that will test if the general time-dependent model considered above fits the data. A bootstrap version, to approximate the critical values of the test is also proposed. In this dissertation, for each proposed method, the finite sample performance is evaluated in a simulation study and then applied to a real data set.

Submitted by Maykon Nascimento (maykon.albani@hotmail.com) on 2014-09-26T19:43:20Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertacao.Mateus.Texto.pdf: 551471 bytes, checksum: d97e7cfb839c8c3dd7b3b1360d112957 (MD5) / Approved for entry into archive by Elizabete Silva (elizabete.silva@ufes.br) on 2014-11-24T18:21:23Z (GMT) No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertacao.Mateus.Texto.pdf: 551471 bytes, checksum: d97e7cfb839c8c3dd7b3b1360d112957 (MD5) / Made available in DSpace on 2014-11-24T18:21:23Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertacao.Mateus.Texto.pdf: 551471 bytes, checksum: d97e7cfb839c8c3dd7b3b1360d112957 (MD5) Previous issue date: 2014 / Diante de uma discussão não consensual a respeito da existência ou não de um trade-off entre inflação e desemprego (curva de Phillips), esta dissertação analisa a evolução desta relação na economia brasileira no período 1980-2010 através de duas análises diferentes: A primeira é uma análise considerada estática, realizada com a utilização de uma regressão linear simples. A segunda consiste em uma análise dinâmica, onde é utilizada uma regressão com coeficientes time-varying, com a estimação dos coeficientes sendo realizada com a aplicação do filtro de Kalman. Os resultados econométricos mostraram que a relação entre inflação e desemprego de fato se alterou ao longo do período analisado: A curva de Phillips se torna horizontal após o Plano Real e fica levemente positiva após o Regime de Metas de Inflação. Sendo assim, este trabalho basicamente se divide em duas partes: A primeira consiste de uma contextualização teórica da relação entre inflação e desemprego e do regime de metas de inflação. A segunda parte traz a análise econométrica, onde é descrita a evolução do trade-off. Diante dos resultados encontrados, são apresentadas suas possíveis causas e é realizada uma análise qualitativa da atual política monetária praticada pelo Banco Central do Brasil. / Faced with a nonconsensual discussion regarding the existence or not of a tradeoff between inflation and unemployment (Phillips curve), this dissertation examines the evolution of this relationship in the Brazilian economy during the period 1980-2010 using two different analysis: The first is considered a static analysis, performed with the use of a simple linear regression. The second is a dynamic analysis, where it is used a regression with time-varying coefficients, and the estimation of the coefficients is accomplished with the application of the Kalman filter. The econometric results show that the relationship between inflation and unemployment in fact changed over the period analyzed: The Phillips curve becomes horizontal after the Real Plan and is slightly positive after the Inflation Targeting Regime. Accordingly, this work is basically divided into two parts: The first consists of a brief review of the relationship between inflation and unemployment and the inflation targeting regime. The second part presents the econometric analysis, which describes the evolution of trade-off. Faced with the results, are presented their possible causes and is carried out a qualitative analysis of current monetary policy applied by the Central Bank of Brazil.

This thesis investigates the performance of hedge funds, funds of hedge funds and alternative Ucits together with the determinants of this performance by using new or well-suited econometric techniques. As such, it lies at the frontier of finance and financial econometrics and contributes to both fields. For the sake of clarity, we summarize the main contributions to each field separately. <p>The contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds. <p>Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.<p>Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.<p>The contributions of our thesis to the field of finance are numerous. <p>Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe.<p> <p> <p>Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage. <p>We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry. <p>Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour. <p>As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.<p>Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.<p>In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This thesis analyses Okun's law and its cross-country differences based on social expenditures. To estimate the law in time, Nadaraya-Watson kernel estimation is employed, which has not been applied to Okun's law in any previous study. Thus, to assess the robustness of the model, the statistical testing of hypotheses is used to evaluate the time-varying coefficients. The analysis is executed on OECD countries between 1995 and 2019, and the results are mainly in line with the previous literature. Periods with higher GDP growth and lower unemployment rates, on average, tend to have higher Okun's coefficients. Moreover, cross-country comparison reports the tendency of countries with, on average lower unemployment spending and higher GDP per capita to exhibit higher Okun's coefficients.