Using a multivariate vector autoregression (VAR) approach, this paper investigates the relationships between oil price and macroeconomic indicators of closely interrelated developing economies of oil exporting Azerbaijan and oil importing Georgia based on monthly time series from January 2001 to November 2012. The model is estimated for each country separately and the results are object for comparison. The empirical evidence suggests that oil price has significant effects on macroeconomy in both countries. In particular, these effects are positive for all 3 macroeconomic variables on the example of Azerbaijan. On the example of Georgia, these effects are positive for GDP and inflation rate, and, negative for exchange rate. On the other hand, macroeconomic indicators of Azerbaijan fail to affect oil price level.

In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets¡¦ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market¡¦s sensitivity to shocks from the U.S. return rates is related to its degree of openness.

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

This work deals with the demand for money theories and applications of error correction Models and VAR models for the demand for money in the Czech Republic. In the theoretical part of the work are discussed theory of demand for money, with an emphasis on Patinkins theory of demand for money and the wording of VAR models and error correction models. In the application part are applied VAR (1), VAR (2) models and error correction models on the demand for money in the Czech Republic. Data used in the work come from the information system CNB and the CZSO.

Real estate industry plays a significant role in high speed of economic development in China. However, with increasingly high housing price and scare land resources, real estate development is caught in a vicious circle. A large number of families could not afford their housing while housing prices have no trend to decrease which leads to huger gap between the rich and the poor and causes indirectly instability of society. Therefore, creating a healthy and stable real estate investment market is extremely urgent. The purpose of the thesis is to research the relationship between leading index of macro economy prosperity and real estate investment based on the reality. We found that leading indicator Granger causes real estate investment while real estate investment Granger causes leading indicator at the same time. Based on that, this paper also forecasts the real estate investment with VAR models in the following 7 years which was proved to a circle of real estate market. In the light of our research, some target suggestions are pointed out at last.

Real estate industry plays a significant role in high speed of economic development in China. However, with increasingly high housing price and scare land resources, real estate development is caught in a vicious circle. A large number of families could not afford their housing while housing prices have no trend to decrease which leads to huger gap between the rich and the poor and causes indirectly instability of society. Therefore, creating a healthy and stable real estate investment market is extremely urgent. The purpose of the thesis is to research the relationship between leading index of macro economy prosperity and real estate investment based on the reality. We found that leading indicator Granger causes real estate investment while real estate investment Granger causes leading indicator at the same time. Based on that, this paper also forecasts the real estate investment with VAR models in the following 7 years which was proved to a circle of real estate market. In the light of our research, some target suggestions are pointed out at last.

Real estate industry plays a significant role in high speed of economic development in China. However, with increasingly high housing price and scare land resources, real estate development is caught in a vicious circle. A large number of families could not afford their housing while housing prices have no trend to decrease which leads to huger gap between the rich and the poor and causes indirectly instability of society. Therefore, creating a healthy and stable real estate investment market is extremly urgent. The purpose of the thesis is to research the relationship between leading index of macro economy prosperity and real estate investment based on the reality. We found that leading indicator Granger causes real estate investment while real estate investment Granger  causes leading indicator at the same time. Based on that, this paper also forecasts the real estate investment with VAR models in the following 7 years which was proved to a circle of real estate market. In the light of our research, some target suggestions are pointed out at last.

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nÃo hà / Considering two of the main costs indicators in the civil construction sector, this study proposes models to estimate the costs trend in that sector in 2011. Forecasts from vector autoregressive models composed by INCC and SINAP index seasonally adjusted allow determining an upward trend for costs in the sector analyzed and that, as in periods of financial crisis, this should be the object of counter cyclical policy to contain the spread of movement of rising prices in the Brazilian economy. / Considerando dois dos principais indicadores de custos no setor da construÃÃo civil, o estudo propÃe modelos para estimar a tendÃncia dos custos no referido setor em 2011. PrevisÃes a partir de modelos vetoriais autorregressivos compostos pelo INCC e Ãndice SINAPI com ajuste sazonal permitem constatar uma tendÃncia ascendente para os custos no setor analisado e que, assim como nos perÃodos de crise financeira, este deve ser objeto de polÃtica anticÃclica visando conter a propagaÃÃo do movimento de elevaÃÃo de preÃos na economia brasileira.