With the liberalization of financial market, the prevalence of international trade and the prosperity of foreign exchange markets ,investors could hedge,speculate or interest arbitrage in markets. Therefore, market efficiency is worthy of investigation and analysis on the international finance extensively. According to simple market efficiency hypothesis, there would be a long-run relationship between spot exchange rate and forward exchange rate if the foreign exchange market is efficient. Under the circumstance, this study firstly tries to examine whether there is a long-run relationship or not between spot exchange rate and forward exchange rate by Linear Cointegration Theory. At the same time, the study tests Simple Market Efficiency Hypothesis is correct or not in practice. Next,in a non-linear threshold cointegrational way, it looks into whether there is an apparent threshold effect or not among variables, and the adjusting behavior in the long-run equilibrium process. The result of the study proves that there are an apparent threshold effect and inconsistent behaviors in the long-run equilibrium process.

In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating national debt. The transmission from public debt to inflation through money supply and long-term interest rate will be shown in the paper. Based on these theoretical thoughts, the variables public debt, consumer price index, money supply m3 and long-term interest rate will be analysed within a vector error correction model estimated by Johansen approach. In the empirical part of the article, quarterly data for Germany from 1991 by 2010 are to be examined.

Food inflation in South Africa has been viewed as an important source of underlying inflationary pressures in the economy due to its persistence beyond that of other commodities. Although several studies found food to be one of the factors that influence purchase decisions, there still appears to be an absence of research that directly links food inflation to consumers’ decisions, especially when financing the purchase of new passenger vehicles in South Africa. In this regard, this study investigated whether the increase in the prices of food products has a significant effect on passenger vehicle purchases in South Africa. Leaning on the literature that argues that economic factors do not play much of a role in passenger vehicle purchase decisions in South Africa, it was hypothesised that there is no supported relationship between food inflation and passenger vehicle purchases in South Africa. Using secondary time series data, the Pearson correlation test revealed a negative but insignificant relationship between food inflation and vehicle purchases in South Africa. The ordinary least squares estimate of the purchase function, taking into account several economic factors that influence passenger vehicle purchase decisions in the literature, showed that disposable income of households along with vehicle purchases of the previous period are to be considered as main determinants of vehicle purchases in South Africa. In addition, it was also revealed that new vehicle prices are also a significant determinant of vehicle purchases. The Johansen cointegration test revealed that the variables in the vehicle purchase function were cointegrated in the long run. The vector error correction model showed a long-run relationship, albeit insignificant, between food inflation and vehicle purchases and no relationship between the two variables in the short run. The Granger causality test revealed that food inflation and vehicle purchases are independent from each other, meaning that no causal effect was found between the variables, regardless of the direction of the test. This study concluded that economic factors such as interest rate and fuel price have an insignificant influence on passenger vehicle purchases in South Africa. In the same line, the impact of food inflation on passenger vehicle purchases in South Africa was found to be insignificant, therefore, the conclusion was drawn that the increase in the prices of food products will not play a considerable role in consumers’ decisions regarding passenger vehicle purchase in South Africa. / Business Management / M. Com. (Business Management)

The main purpose of this study is to examine the causal relations between energy use, CO2 emissions and economic growth for Sweden. Vector Error Correction model with annual data from 1970 to 2016 has been used in order to determine potential causality between the variables. The empirical findings indicate that in the long-run, causality relationship between energy consumption, CO2 emissions and economic growth cannot be rejected and it is bidirectional. This means that energy is a determining factor for economic growth in Sweden and that applying policies in order to reduce the CO2 emissions has slowed down economic growth in Sweden. This finding is consistent with the Feedback Hypothesis. But in the short-run no causality was found between energy and economic growth. According to Granger causality test results, bidirectional causality between CO2 emissions and energy consumption cannot be rejected in the short-run. Variables’ trends show that in the period under study, energy consumption and economic growth have moved in the same direction; meaning that higher energy consumption has led to higher economic growth. At the same time, lower CO2 emissions have been accompanied by higher economic growth. There is also short-run causality running from capital to economic growth according to VECM results. It can be suggested to the policy makers that in order to maintain economic growth and reduce environmental degradation, energy consumption should be shifted gradually from nonrenewable sources to renewable ones so to avoid decrease in economic growth and ensure lower levels of CO2 emissions in the long-run.

O mercado do milho no Brasil tem demonstrado algumas mudanças nos últimos anos aumentando sua importância no agronegócio. Por esse motivo, tem sido maior a necessidade de estudo de suas características. O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados regionais dessa commodity no Brasil a nível de produtor, com foco nos estados da região Sul e Centro-Oeste, devido à sua importância para a produção nacional. Além disso, também foi buscado analisar como os preços dos estados analisados reagem ao preço cotado na bolsa de valores para saber qual sua relação com o mercado externo. O método de pesquisa utilizado foi: teste de raiz unitária; teste de cointegração; vetor de correção de erro; teste de causalidade de Granger e teste de impulso-resposta. Os resultados do teste de cointegração indicam que há transmissão de preços entre todos os estados analisados, bem como os estados respondem a oscilações de preços do mercado externo a longo prazo. O fato de existir cointegração entre os estados é condição suficiente para se afirmar que existe relação linear de equilíbrio para a qual o sistema converge, validando os pressupostos da Lei do Preço Único e a integração. Todos os estados apresentaram resposta significativa a mudanças de preços no estado de Santa Catarina pelo vetor de correção de erro (VEC), mostrando que esse estado tem forte influência na formação de preços dos estados das duas regiões analisadas. No curto prazo foi observado que os estados de Mato Grosso e Rio Grande do Sul não recebem influência direta das oscilações de preços dos outros mercados, enquanto os estados de Paraná, Santa Catarina e Goiás parecem ser interdependentes a curto prazo, pois apresentam relativa correlação. Além disso, a função impulso resposta demonstra também que um impulso nos preços do estado de Santa Catarina gera resposta significativa nos preços dos outros estados de forma geral, e um impulso no preço do estado de Goiás também gera uma reação forte no preço do estado do Mato Grosso. / The corn market in Brazil has shown some changes in recent years increasing its importance in agribusiness. For this reason has increased the need for more studies related to this market’s characteristics . The objective of this dissertation is to check how is the price transmission between regional markets in Brazil at producer level for this commodity, focusing on states of the South and Midwest of the country, because of its importance to the national production. Furthermore, it was also sought to analyze how the prices of the analyzed states react to the price quoted on the stock market, looking for understanding how is its relationship with the external market. The research method used was: the unit root test , cointegration test , vector error correction; Granger causality test and impulse response test. The result of the cointegration test indicates that there is price transmission between all the states analyzed as well as states respond to price fluctuations on the stock market in the long run . The existence of cointegration between the states is sufficient to say that there is a linear equilibrium relationship to which converges the sistem, validating the assumptions of the Law of One Price and the integration condition. All states showed significant responses to price changes in the state of Santa Catarina by the vector error correction ( VEC ) , showing that this state has a strong influence on the pricing of the states on the two regions. In the short term it was observed that the states of Mato Grosso and Rio Grande do Sul receive no direct influence from the prices of other markets, while the states of Paraná, Santa Catarina and Goiás seem to be interdependent in the short term because they present a correlation. As well, the impulse response function also shows that a surge in prices in the state of Santa Catarina generates a significant response in prices of other states in general, and a boost in the price of Goias also generates a strong reaction in the price of Mato Grosso.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / O presente trabalho estima a elasticidade produto-gasto pÃblico para economia brasileira, no perÃodo de 1950 a 2003, utilizando um modelo vetorial de correÃÃo de erro (VECM) para controlar possÃveis mudanÃas estruturais nas sÃries. Quando existem mudanÃas estruturais, os vÃrios testes estatÃsticos de Dickey-Fuller sÃo viesados em direÃÃo da nÃo rejeiÃÃo de uma raiz unitÃria. Este viÃs significa que o teste de Dickey-Fuller à viesado em direÃÃo da hipÃtese nula de uma raiz unitÃria, mesmo se a sÃrie à estacionÃria dentro de cada subperÃodo. Sem controlar para mudanÃas estruturais, os testes de cointegraÃÃo podem apresentar resultados enganosos, e as estimativas obtidas podem ser viesadas. / Aiming to estimate the elasticity product-public expenditure to the Brazilian economy, during the period 1950-2003, it was used a vector error correction model (VECM) to control for possible structural changes in the series. When structural changes were observed, many of the Dickey-Fuller statistic tests are biased towards the non-rejection of the existence of a unit root. This bias means that the Dickey-Fuller test is biased towards the null hypothesis of unit root, even if the series is stationary within each sub period. Without controlling for structural changes, the cointegration tests may present deceiving results and the estimates obtained may be biased.

An increased mortgage cap was introduced in 2010, and as of May 1st 2016 an amortization requirement was introduced in an attempt to slow down house price development in Sweden. Fluctuations in the house prices can significantly influence macroeconomic stability, and with house prices in Stockholm rising even more rapidly than Sweden as a whole makes the understanding of Stockholm’s dynamics very important, especially for policy implications. Stockholm house prices between the first quarter of 1996 and the fourth quarter of 2015 is therefore investigated using a Vector Error Correction framework. This approach allows a separation between the long run equilibrium price and short run dynamics. Decreases in the real mortgage rate and increased real financial wealth seem to be most important in explaining rising house prices. Increased real construction costs and increased real disposable income also seem to have an effect. The estimated models suggest that around 40-50 percent, on average, of a short-term deviation from the long-run equilibrium price is closed within a year. As of the last quarter 2015, real house prices are significantly higher compared to the long run equilibrium price modeled. The deviation is found to be around 6-7 percent.

O mercado do milho no Brasil tem demonstrado algumas mudanças nos últimos anos aumentando sua importância no agronegócio. Por esse motivo, tem sido maior a necessidade de estudo de suas características. O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados regionais dessa commodity no Brasil a nível de produtor, com foco nos estados da região Sul e Centro-Oeste, devido à sua importância para a produção nacional. Além disso, também foi buscado analisar como os preços dos estados analisados reagem ao preço cotado na bolsa de valores para saber qual sua relação com o mercado externo. O método de pesquisa utilizado foi: teste de raiz unitária; teste de cointegração; vetor de correção de erro; teste de causalidade de Granger e teste de impulso-resposta. Os resultados do teste de cointegração indicam que há transmissão de preços entre todos os estados analisados, bem como os estados respondem a oscilações de preços do mercado externo a longo prazo. O fato de existir cointegração entre os estados é condição suficiente para se afirmar que existe relação linear de equilíbrio para a qual o sistema converge, validando os pressupostos da Lei do Preço Único e a integração. Todos os estados apresentaram resposta significativa a mudanças de preços no estado de Santa Catarina pelo vetor de correção de erro (VEC), mostrando que esse estado tem forte influência na formação de preços dos estados das duas regiões analisadas. No curto prazo foi observado que os estados de Mato Grosso e Rio Grande do Sul não recebem influência direta das oscilações de preços dos outros mercados, enquanto os estados de Paraná, Santa Catarina e Goiás parecem ser interdependentes a curto prazo, pois apresentam relativa correlação. Além disso, a função impulso resposta demonstra também que um impulso nos preços do estado de Santa Catarina gera resposta significativa nos preços dos outros estados de forma geral, e um impulso no preço do estado de Goiás também gera uma reação forte no preço do estado do Mato Grosso. / The corn market in Brazil has shown some changes in recent years increasing its importance in agribusiness. For this reason has increased the need for more studies related to this market’s characteristics . The objective of this dissertation is to check how is the price transmission between regional markets in Brazil at producer level for this commodity, focusing on states of the South and Midwest of the country, because of its importance to the national production. Furthermore, it was also sought to analyze how the prices of the analyzed states react to the price quoted on the stock market, looking for understanding how is its relationship with the external market. The research method used was: the unit root test , cointegration test , vector error correction; Granger causality test and impulse response test. The result of the cointegration test indicates that there is price transmission between all the states analyzed as well as states respond to price fluctuations on the stock market in the long run . The existence of cointegration between the states is sufficient to say that there is a linear equilibrium relationship to which converges the sistem, validating the assumptions of the Law of One Price and the integration condition. All states showed significant responses to price changes in the state of Santa Catarina by the vector error correction ( VEC ) , showing that this state has a strong influence on the pricing of the states on the two regions. In the short term it was observed that the states of Mato Grosso and Rio Grande do Sul receive no direct influence from the prices of other markets, while the states of Paraná, Santa Catarina and Goiás seem to be interdependent in the short term because they present a correlation. As well, the impulse response function also shows that a surge in prices in the state of Santa Catarina generates a significant response in prices of other states in general, and a boost in the price of Goias also generates a strong reaction in the price of Mato Grosso.

FDI investment is a vital factor for the developing countries economic growth. Apart from working as a catalyst of increasing total output level, FDI is a source of clean energy, technology transfer and energy efficiency. There have been very limited studies on the impact of FDI on renewable energy consumption in the context of Bangladesh. In fact, to my best knowledge there hasn’t been any studies on Bangladesh regarding this relationship with recent data available. Therefore, the aim of this paper is to reveal the relationship between FDI and renewable energy consumption in Bangladesh with annual Data spanning from 1980 to 2016. Johansen’s cointegration test showed that variables are cointegrated in the long run. Through Vector Error Correction Model (VECM), the paper shows there is short run and long run causality between FDI and Renewable Energy Consumption and the causality is negative. Granger causality test reveals that the direction of causality is running from FDI to Renewable Energy Consumption. Policies regarding attracting more sectoral FDI should be considered to improve investment scenario in Renewable energy sector.

This study aims to identify the effects of oil income on economic growth in Iran over the period 1955-2014. The empirical literature indicates that countries with natural resources are growing more slowly than their counterparts. However, the results from this literature are far from conclusive, particularly in regard to the role played by oil-rich countries. Needless to say, this role depends on other factors as well, including the political situation in the country, the quality of institutions, and the efficacy of the financial system. Some empirical research has found that natural resources, particularly oil, can have a positive impact on the output of a country. although natural resources are not a factor of production in growth theories, studies have used different growth frameworks in order to discover whether having natural resources is a blessing or a curse. In line with recent studies, this work uses an augmented neoclassical growth model to develop a theoretical framework where oil enters the long-term output of the country through saving and investment. Overall, the results suggests that oil income has a positive impact on the level of output per capita in Iran. The findings of the econometric results are in line with the historical analysis of the study. Since different methods and proxies were used, a total of eight models were estimated. Interestingly, when PRIVY is used as an index of financial development, the result of the study changes and oil no longer has a significant impact on the economy. However, this can be translated to an inefficient allocation of credit to the private sector.