Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2013-11-22T22:02:18Z No. of bitstreams: 1 Dissertação_André_Mofato.pdf: 699893 bytes, checksum: 089e487b592f974c16590b5754d35a3d (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: André, O arquivo não esta dentro dos padrões. A falta ficha catalográfica e a folha de assinatura na versão eletrônica (PDF). on 2013-12-03T12:49:34Z (GMT) / Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2013-12-05T19:25:56Z No. of bitstreams: 1 Dissertação_André_Mofato.pdf: 735715 bytes, checksum: 89bfe864faa36b095467a9c39d8586c7 (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: Falta a folha de assinatura. on 2014-05-28T20:07:39Z (GMT) / Submitted by André Luiz Mofato Pinto (andremofato@yahoo.com.br) on 2014-05-28T20:11:30Z No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-05-28T20:12:59Z (GMT) No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) / Made available in DSpace on 2014-06-02T13:50:44Z (GMT). No. of bitstreams: 1 AndréMofato.pdf: 2996119 bytes, checksum: 0a583d2e85f3b3f2a3da2b882359e0ed (MD5) Previous issue date: 2013 / This study aims to estimate an empirical model to relate spending on advertising revenues of firms, in order to serve as a tool for decision making, for it will study a case of telecommunications industry. The communication industry (advertising) in Brazil, according to IBGE 2008, is responsible for 4% of GDP, generating revenues of 57.5 billion dollars. With 113,000 businesses that generate 711,000 jobs, 866,000 people occupy and pay 5.9 billion in wages and taxes. However, most marketing managers say they do not have tools to measure the impact of their actions on the results of companies. The empirical model is estimated on the basis of monthly data for domestic long distance of Embratel for the period January 2009 to December 2011. The information often not available could only be used due to confidentiality undertaking. From cointegration techniques, we calculated the long-run elasticity of income over spending on advertising and price, so with their speed of adjustment to short-term deviations. The results suggest that revenue responds positively to changes in advertising spending, although the percentage is relatively low. Through the Dorfman-Steiner theorem we’re able to indicate that the optimum relationship between advertising spending and revenue would be approximately 20%, subjected to limitations of the model. / Este trabalho tem por objetivo estimar um modelo empírico para relacionar os gastos em publicidade com a receita das firmas, de forma a servir como ferramenta de tomada de decisão, para isso vamos fazer um estudo de caso da indústria de telecomunicações. A Indústria de comunicação (publicidade) no Brasil, segundo dados do IBGE de 2008, é responsável por 4% do PIB, gerando receitas da ordem 115 bilhões de reais. Com 113 mil empresas que geram 711 mil empregos, ocupam 866 mil pessoas e pagam 11,8 bilhões em salários e encargos. No entanto, a maioria dos gestores de marketing declara não ter instrumentos para medir o impacto de suas ações no resultado das empresas. O modelo empírico será estimado tendo como base dados mensais dos serviços de ligações de longa distância nacional da Embratel para o período de janeiro de 2009 até dezembro de 2011. As informações quase sempre não disponíveis, só puderam ser usadas devido ao compromisso de confidencialidade. A partir de técnicas de cointegração, foi calculada a elasticidade de longo prazo da receita em relação aos gastos com publicidade e ao preço, assim com as respectivas velocidades de ajustamento aos desvios de curto prazo. Os resultados sugerem que a receita responde positivamente às variações dos gastos em publicidade, embora o percentual seja relativamente baixo, através do teorema de Dorfman-Steiner conseguimos indicar que o ponto ótimo da relação entre gastos com publicidade e a receita seria de aproximadamente 20%, respeitadas as limitações do modelo.

Thesis ( M.Sc.(Agricultural Economics)) --University of Limpopo, 2019. / Potato is perceived as an excellent crop in the fight against hunger and poverty. The recent high potato price in South Africa has pushed the vegetable out of reach of the poorest of the poor. The study attempts to analyse potato price volatility in South Africa and furthermore assess how various factors were responsible for the recent potato price volatility. Quarterly data for potato price, number of hectares planted, rainfall and temperature levels from 2006q1 to 2017q4 was collected from various sources and were used for analysis. The total observation of 48. The volatility in the series was determined by performing ARCH/GARCH model. GARCH model indicates an evidence of GARCH effect in the series, meaning that GARCH model influences potato price volatility in South Africa. The Johansen cointegration used both trace and eigenvalue to test the existence of a long run relationship between potato price and various variables. The cointegration results were positive indicating that there exists long run relationship amongst variables. The study further used Johansen cointegration as well as standard error to determine the number of cointegrating variables in the long run. The results indicated that the number of hectares planted and rainfall level have significant relationship with potato price. Wald tests was used to check whether the past values of number of hectares planted and rainfall level influenced the current value of potato price. The Walt test results concluded that there is no evidence of short run causality running from number of hectares planted and rainfall level to potato price. In the study, ECM model was used to forecast the potato price fluctuation in South Africa. The study recommends that farmers need to engage in contract market so as to minimize the risk of potato price volatility. The Department of Agriculture should forecast agricultural commodities price volatility and make information accessible to the farmers so that they are able to adopt strategies that will assist them to overcome crisis.

With an ever-increasing globalising world, trade is of most importance for developing countries to not fall behind and be outcompeted. Export-led growth theory states that one of the key determinants for economic growth is exports. This thesis aims to analyse the causal effects of exports on economic growth in the case of Brazil. Annual data from the World Bank’s database for the years 1990-2018 has been used. The variables included are GDP, exports, gross capital formation, FDI and labour force. This study puts the export-led growth theory in a Vector Error Correction – Granger Causality framework. As opposed to previous scholars’ findings, neither export-led growth nor growth-led export could be determined for Brazil.

The purpose of this master’s thesis is to investigate the relationship between renewable and non-renewable energy consumption, economic growth and carbon dioxide emissions per capita in Sweden in the period of 1970-2018. As indicators, the economic indicator will be represented by the per capita gross domestic product, GDP, as the environmental indicator this study will use carbon dioxide emissions per capita, CO2, and the energy use per capita will represent the energy consumption variable.  The research hypothesis is based on the idea of the classical EKC, the Environmental Kuznets Curve. Multivariate Vector Error Correction Model (VECM) approach which makes possible to evaluate non-stationary and cointegrating variables, while overcoming the omitted variable bias was used for the methodology part. Econometrics tests such as Augmented Dickey-Fuller Test and Johansen co-integration test are included, and the Granger causality test will provide four hypothesizes for the potential causalities between the included variable in this study.

Thesis( M.Com. (Economics)) -- University of Limpopo, 2019 / The concepts of economic growth and unemployment are at the beginning of the most important variables in the sense that all economies are choosing and implementing economic policies. The study examined the relationship between economic growth and unemployment in South Africa during 2005 to 2016 using the quarterly time series data. Cointegration test, Vector Error Correction Model (VECM) and granger causality test were employed in the analysis. The variables utilized in the investigation include the gross domestic product (LGDP), unemployment rate (UN), labour productivity (LP) and government budget deficit (GD). Stationarity test was conducted and the results indicated that all the variables were found stationary at first difference. Johansen Cointegration test confirmed that the long run relationship exist among variables under the study. More so, the VECM results showed that unemployment (UN) has a negative and insignificant impact on the gross domestic product (LGDP). Finally, the study also tested the granger causality between the variables to determine the short run relationship. Based on the findings above, the study therefore recommends that the government needs to cut taxes for businesses and individuals to increase investment spending to stimulate economic growth. Moreover, government should as a matter of urgency create more employment opportunities to absorb the teeming population of the unemployed labour force in the country through modernization of the agricultural sector, bring in modern equipment in the facilities of agriculture to make the sector more attractive to all citizens despite one’s qualifications and professions, as that alone would go a long way in reducing unemployment level in the country.

Die vorliegende Untersuchung analysiert die Wohnimmobilienpreise und deren Einflussfaktoren in Deutschland statistisch auf der Ebene der Selbstnutzer und Investoren. Dabei wird ein vierstufiger Ansatz entworfen, der zunächst anhand von prozessbezogenen Differenzierungen die Heterogenität der Eigentümer und derer Investitionsstrategien am deutschen Wohnimmobilienmarkt herausstellt. In der Analyse zeigt sich, dass die Selbstnutzer und Investoren große Unterschiede in Bezug auf ihre Charakteristika, den Investitionsprozess, ihre Investitionsstrategien und die Professionalität aufweisen. In einem zweiten Schritt werden mögliche Einflussfaktoren auf die Wohnimmobilienpreise von Selbstnutzern und Investoren hinsichtlich ihrer Wirkrichtung im Investitionsprozess analysiert und durch die Auswertung bestehender internationaler statistischer Untersuchungen plausibilisiert. Nachfolgend werden die Ergebnisse anhand einer deskriptiven Analyse auf den deutschen Wohnimmobilienmarkt übertragen und die Zusammenhänge anhand einer Korrelationsanalyse untersucht. Die meisten Einflussfaktoren zeigen für den Zeitraum von dem Jahr 2003 bis 2019 eine starke Korrelation mit den Preisen von Wohnimmobilien für Selbstnutzer und Investoren. Die Vorzeichen entsprechen den Erwartungen aus den vorangegangenen Analysen. Für den Zeitraum von dem Jahr 2003 bis 2007 zeigen die meisten Einflussfaktoren allerdings eine stärkere Korrelation mit den Wohnimmobilienpreisen der Selbstnutzer als mit denen der Investoren. Um die Beziehung zwischen den Preisen von Wohnimmobilien für Selbstnutzer und Investoren und ihren Einflussfaktoren in einer langfristigen Betrachtung zu untersuchen, werden abschließend für die Selbstnutzer und Investoren jeweils ein Vector-Error-Correction Modell mit unterschiedlichen Wohnimmobilienpreisindizes aber den gleichen Einflussfaktoren geschätzt. Die betrachteten Einflussfaktoren sind die Haushaltseinkommen, die Neuvertragsmieten, die Baukosten und die Baugenehmigungen für Deutschland. Die Ergebnisse bestätigen grundsätzlich die vermuteten Wirkrichtungen, wobei das Modell der Selbstnutzer im Gegensatz zum Modell der Investoren einen signifikanten Anpassungsprozess und den signifikanten, positiven Einfluss des Einkommens aufweist. Insgesamt scheinen die Neuvertragsmieten und Baukosten den größten Einfluss auf die langfristige Entwicklung von Wohnimmobilienpreisen der Selbstnutzer und Investoren auszuüben. Das Ergebnis kann folglich die These unterstützen, dass Wohnimmobilienpreise von Investoren und Selbstnutzern nicht ausschließlich von den gleichen Einflussfaktoren bestimmt werden.:Vorwort ...I Inhaltsverzeichnis ...III Abbildungsverzeichnis ...VII Tabellenverzeichnis ...IX Formelverzeichnis ... XII Abkürzungsverzeichnis ... XIII Zielstellung ... XV 1. Abschnitt: Investitionsentscheidungen von Selbstnutzern und Wohnimmobilieninvestoren auf Prozessebene ... 1 A. Klassifizierung von Wohnimmobilien ... 1 B. Eigentümergruppen von Wohnimmobilien ... 4 I. Selbstnutzer ... 5 a) Charakteristika ... 6 b) Investitionsprozess ... 12 II. Investoren ... 14 a) Charakteristika ... 15 b) Investitionsprozess ... 24 C. Investitionsprofile der Eigentümer ... 29 I. Haltedauer ... 30 II. Renditeerwartung ... 33 III. Wertsteigerungserwartung ... 37 IV. Mietsteigerungserwartung ... 39 V. Eigenkapitalanteil ... 46 VI. Bestandsinvestitionen ... 52 VII. Risikoeinstellung ... 56 VIII. Professionalität ... 61 IX. Wohnungsbestand ... 68 D. Wirtschaftliche Bewertung der Investitionsentscheidungen ... 71 I. Selbstnutzerkostenansätze ... 71 II. Investitionsrechnungen... 74 2. Abschnitt: Systematisierung von Einflussfaktoren auf Preise von Wohnimmobilien ... 80 A. Systematisierungsansätze bestehender Untersuchungen ... 80 B. Einflussfaktoren ... 84 I. Finanzwirtschaftliche Faktoren ... 84 a) Zinsen ... 84 b) Kreditvolumen ... 89 c) Alternativanlagen ... 92 II. Realwirtschaftliche Faktoren ... 95 a) Bruttoinlandsprodukt ... 96 b) Haushaltseinkommen ... 99 c) Verbraucherpreise ... 103 d) Erwartungen ... 106 III. Immobilienwirtschaftliche Faktoren ... 109 a) Mietpreise ... 109 b) Grundstückspreise ... 113 c) Baukosten ... 117 d) Wohnungsbestand... 121 e) Investitionen ... 125 IV. Demographische Faktoren... 128 a) Bevölkerungszahl ... 128 b) Arbeitslosigkeit ... 131 V. Institutionelle Faktoren ... 135 a) Steuern ... 135 b) Staatliche Eingriffe auf Mieten ... 138 c) Staatliche Eingriffe auf Neubau ... 141 C. Wirkrichtungen... 144 3. Abschnitt: Analyse der Zusammenhänge von Einflussfaktoren und Preisen für Wohnimmobilien ... 146 A. Deskriptive Analyse deutscher Wohnimmobilienpreise ... 146 I. Abhängige Variablen ... 146 a) Charakteristika ... 146 b) Preise von Wohnimmobilien für Selbstnutzer ... 151 c) Preise von Wohnimmobilien für Investoren ... 153 II. Unabhängige Variablen ... 155 a) Finanzwirtschaftliche Faktoren ... 155 b) Realwirtschaftliche Faktoren ... 166 c) Immobilienwirtschaftliche Faktoren ... 172 d) Demographische Faktoren ... 190 e) Institutionelle Faktoren ... 197 B. Korrelationsanalyse deutscher Preise von Wohnimmobilien ... 199 I. Methodik ... 199 II. Ergebnisse ... 201 4. Abschnitt: Vektor-Error-Correction Modell ausgewählter Einflussfaktoren auf Preise von Wohnimmobilien ... 207 A. Modellauswahl ... 207 B. Datenauswahl ... 212 C. Hypothesen ... 217 D. Modellvoraussetzungen ... 220 I. Stationarität ... 221 II. Lag-Anzahl ... 223 III. Kointegrationsbeziehung ... 224 E. VEC Modell der Einflussfaktoren für Selbstnutzer und Investoren ... 227 I. Modelldiagnosen ... 228 a) Autokorrelation ... 228 b) Normalverteilung der Residuen ... 229 c) Heteroskedastizität ... 231 II. Ergebnisse ... 233 III. Limitationen ... 244 Schlussbemerkung ... XVII Anhang ... XXIII Abstract ... LI Quellenverzeichnis ... LII Index ... CIX Selbstständigkeitserklärung ... CX Bibliographische Beschreibung ... CXI

Made available in DSpace on 2016-03-15T19:25:37Z (GMT). No. of bitstreams: 1 Eli Hadad Junior.pdf: 290403 bytes, checksum: 413b010b2b66c535b71df800b9626c61 (MD5) Previous issue date: 2011-08-10 / The dissertation analyzes data of the Brazilian household consumption and income between the years 1947 and 2009. The study aims to evaluate to what extent the aggregate consumption of Brazilian household may approximate be a random walk. The dissertation uses Johansen's cointegration techniques (1988, 1991) and super exogeneity tests as proposed by Engle and Hendry et al. (1983). The dissertation attempts to evaluate whether interventions that affect consumption will impact the dynamics of aggregate income. These interventions can occur through credit policies and tax changes, among other macroeconomic shocks. Finally, a decomposition is made following the methodology proposed by Gonzalo-Granger (1995) and evaluating the importance of shocks in permanent and temporary changes in consumption. / A dissertação analisa os dados de consumo e renda das famílias brasileiras entre os anos de 1947 e 2009. O trabalho visa avaliar em que medida o consumo agregado das famílias brasileiras pode ser bem aproximando a partir de um passeio aleatório puro. O trabalho utiliza técnicas de cointegração de Johansen (1988, 1991) e testes de super exogeneidade na forma proposta por Hendry, Engle et al. (1983). A dissertação procura avaliar se intervenções que afetam o consumo das famílias geram impacto na dinâmica da renda agregada das mesmas. Tais intervenções podem ser por políticas de crédito, alterações tributárias, choque macroeconômicos entre outras. Por fim uma decomposição entre fatores permanentes e transitórios será feita pela metodologia proposta por Gonzalo-Granger (1995) com o objetivo de avaliar-se a importância dos choques permanentes e transitórios para as variações do consumo.

Cette thèse est une contribution empirique à l’analyse du commerce des produits alimentaires entre le Cameroun et les pays voisins de la zone CEMAC et le Nigeria. La thèse utilise plusieurs outils économétriques permettant de mieux prendre en compte le niveau de désagrégation des données par produits et paires de marchés agricoles. Le premier chapitre, essentiellement descriptif, présente quelques faits stylisés sur le commerce intra-régional en zone CEMAC. Le deuxième chapitre analyse la contribution des chocs de rente pétrolière dans les pays limitrophes du Cameroun sur leur demande d’importations de produits alimentaires camerounais. En utilisant une variété d’estimateurs appropriés pour les modèles de gravité, les résultats indiquent que la croissance de la rente pétrolière dans la sous-région a favorisé de manière significative, l’expansion des exportationscamerounaises de produits alimentaires. Le troisième chapitre a pour objectif d’apprécier l’existence de ruptures structurelles et le degré d’asymétrie dans le niveau d’intégration des marchés agricoles au Cameroun. Les résultats des estimations des modèles à correction d’erreur avec rupture et asymétriques révèlent l’existence d’une instabilité temporelle récente dans l’intégration des marchés agricoles au Cameroun. De plus, les résultats indiquent que les chocs de prix de certains produits agricoles dans les marchés de consommation répondent de façon asymétrique aux variations des prix des marchés de production. Enfin, le quatrième chapitre utilise un modèle à deux pays pour quantifier le degré d’intégration entre les marchés camerounais et sous-régionaux (Gabon) au prisme d’une analyse de co-mouvement des prix des entre marchés. Les résultats économétriques obtenus à partir d’estimation de modèles vectoriels à correction d’erreur sur données de panel montrent qu’il existe une causalité bidirectionnelle et positive à court et long terme entre les marchés camerounais et gabonais. / This is an empirical contribution to the analysis of the regional integration of agricultural markets in central Africa. The thesis uses several econometric models aimed at taking advantage of the high disaggregation of the data by products and market dyads. The first chapter focuses on recent stylized facts on agricultural trade and food security in Cameroon and in the region. Chapter 2 examines the effect of oil discoveries in neighbor countries on Cameroonian exports of agricultural products within the region. Using a wide range of estimators designed for gravity data, econometric results uncover a positive and significant association between oil discoveries in neighbor regional countries on the demand for Cameroonian agricultural goods. The third chapter tests and discusses the existence of a temporal structural break and the asymmetry in agricultural markets within Cameroon. The econometric results obtained from error correction models allowing for structural break and the asymmetry of shocks show that Cameroonian agricultural markets have become less integrated recently, contributing to the asymmetry in the transmission of shocks from production to consumption markets. Chapter 4 uses a two-country model to provide an international evidence of the integration of agricultural markets in central Africa. The framework consists in estimating vector error correction models usingpanel data to test the causality between product prices between the two countries. The results highlight the existence of a bi-directional causality in both the short and long-run.

This master's thesis seeks to determine the price elasticity of the Swedish housing supply through a vector error-correction model. The elasticities are estimated on a municipal, county and national level using data for the period 1992-2021. Furthermore, this study aims to find key determinants to explain the regional variations of housing supply elasticities. Overall, the results obtained indicate that the price elasticity of housing supply remains relatively inelastic regardless of the level. Only a small quantity of municipalities exhibited an elastic housing supply, those were Härjedalen, Krokom and Östra Göinge. The supply elasticity was estimated to be 0.074 on a national level. On a county level the elasticities varied between -0.107 and 0.461. The responsiveness of housing supply was found to be determined by the size of population and by land use regulations such as building permits, which is in line with previous empirical studies. Neither population growth, population density, house price or local tax rate were found to be significantly correlated with the obtained supply elasticities. The results imply that the housing supply elasticity varies substantially across counties and municipalities. Moreover, the study shows that the responsiveness of housing supply to fluctuations in price is low, which can serve as a potential indicator for future development of housing prices. / Denna masteruppsats syftar till att bestämma priselasticiteten för det svenska bostadsutbudet genom en vektor error-correction model. Elasticiteterna beräknades på kommunal-, läns- och riksnivå med hjälp av data för perioden 1992-2021. Därutöver syftar denna studie till att hitta bestämningsfaktorer för att förklara de regionala variationerna i bostadsutbudets priselasticitet. Sammantaget visade de erhållna resultaten att utbudselasticiteterna till övervägande del är oelastiska oavsett nivå. Några enstaka kommuner visade på ett elastiskt bostadsutbud, däribland Härjedalen, Krokom och Östra Göinge. Utbudselasticiteten uppskattades till 0.074 på nationell nivå. På länsnivå varierade priselasticiteterna för bostadsutbudet mellan -0.107 och 0.461. Vidare har responsiviteten hos bostadsutbudet visat sig bestämmas av befolkningsmängd och av reglering av markanvändning såsom bygglov, vilket är i linje med tidigare empiriska studier. Varken befolkningstillväxt, befolkningstäthet, bostadspris eller lokal skattesats har visat sig vara signifikant korrelerade med de erhållna utbudselasticiteterna. Resultaten tyder på att bostadsutbudets elasticitet varierar kraftigt mellan län och kommuner. Dessutom visar studien att bostadsutbudets responsivitet till följd av prisfluktuationer är lågt, vilket kan fungera som en potentiell indikator för den framtida utvecklingen av bostadspriser.

隨著台灣股票市場的自由化與國際化，信用交易與外資在台股的交易比重不斷的增加。本文旨在探討股價指數、信用交易指標之融資餘額與外資之關連性，利用Johansen共整合向量分析與誤差修正模型，以日資料進行實證分析研究，樣本期間為1998年1月2日起自2003年6月30日止，共1419個樣本觀測值。本研究結果如下：一、第t期的融資餘額與第t-2期的股價指數共整合程度最高，顯示股價指數領先融資餘額兩期，為其領先指標。二、同期的股價指數與外資持股共整合程度最高，且股價指數會受到前一期外資持股變量的影響，顯示外資在市場上的動作的確會造成其他投資人的跟進。三、同期的融資餘額與外資持股共整合程度最高，顯示兩者呈現同方向的變動，且外資持股會受到融資餘額前一期變量的影響，且方向相反。 / This paper examines the relationship between stock index, balance of margin trading, and stock holding of foreign investors. Using daily data from January 2 1998 through June 30 2003 we investigate the interactions among the three variables through Johansen cointegration analysis and error correction model. It is found that (1) balance of margin trading of time t and stock index of time t-2 have the highest level of cointegration, which means stock index leads the balance of margin trading for two days. (2) stock index and stock holding of foreign investors of the same time t have the highest level of cointegration, and stock index of time t is affected by the stock holding of foreign investors of time t-1. (3) balance of margin trading and stock holding of the same time t have the highest level of cointegration, and the stock holding of foreign investors at time t is adversely influenced by balance of margin trading of time t-1.