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After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?Prettner, Catherine, Prettner, Klaus 03 1900 (has links) (PDF)
This article investigates the interrelations between the initial members of the Euro area and five important Central and Eastern European economies. We set up a theoretical open economy model to derive the Purchasing Power Parity, the Interest Rate Parity, the Fisher Inflation Parity, and an output gap relation. After taking convergence into account, they are used as restrictions on the cointegration space of a structural vector error correction model. We then employ generalized impulse response analysis to assess the dynamic effects of shocks in output and interest rates on the respective other area as well as the implications of shocks in the exchange rate and in relative prices on both areas. The results show a high degree of interconnectedness between the two economies. There are strong positive spillovers in output to the respective other region with the magnitude of the impact being similarly strong in both areas. Furthermore, we find a multiplier effect being present in Eastern Europe and some evidence for the European
Central Banks' desire towards price stability. (author's abstract) / Series: Department of Economics Working Paper Series
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State and industrial actions to influence consumer behaviorBrockwell, Erik January 2014 (has links)
This thesis consists of an introductory part and three papers. Paper [I] examines how taxes affect consumption of commodities that are detrimental to health and the environment. Specifically, this paper examines if a tax increase leads to a significantly larger change in consumption than a producer price change, which is referred to as the signaling effect from taxation. The analysis uses aggregated cross-sectional time series data and information on major legislation introductions in Sweden, Denmark and the United Kingdom from 1970 to 2009. We find the main result to be that the signaling effect is significant for “Electricity” in Sweden and Denmark and significant for “Electricity” and “Petrol” in the United Kingdom. Paper [II] examines how sin taxation changes long-term consumer behavior regarding commodities which are deemed harmful for both health and the environment. These include tobacco, alcoholic beverages, sugar and confectionary, household energy, and motor fuel. Specifically, we examine the signaling effect from taxation which is seen if a tax increase leads to a significantly larger change in consumption than a producer price change. The empirical analysis is conducted by a US panel data study, during the period 1988-2012 for the four US census regions, using the Almost Ideal Demand System (AIDS). We find the main result to be that the signaling effect from taxation is significant for tobacco as well as for electricity and motor fuel. Paper [III] examines state and industry responses on consumption of cigarettes and petroleum in the United States from 1998-2012. Upon facing consumption choices, the consumer faces two competing sets of messages, one from the government and another from the industry. The objective of the state is to steer consumption in the right direction due to the harmful effects from consumption and asymmetric information among consumers. This is done mainly via taxation and state media expenditures. The industry, on the other hand, seeks to incentivize the public to ignore or reject state research and signals as well as maximizing net economic returns. This is mainly done via industry media and lobbying expenditures. We find that the main results indicate, for cigarettes, industrial media and lobbying expenditure is statistically significant on consumption. For petroleum, we find that producer prices, state media expenditure, and industrial lobbying expenditure are statistically significant on consumption.
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Monetární transmisní mechanizmus: pohled do černé skříňky / Monetary Transmission Mechanism: A Closer Look Inside the Black BoxDvořák, Martin January 2014 (has links)
The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...
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Makro-fundamentální analýza CEE & SEE trhů / CEE & SEE Markets Macro-Fundamental AnalysisPoštulková, Jitka January 2016 (has links)
The aim of this thesis is to verify and analyse presumed relations between selected macro-fundamentals, namely USD exchange rate, production index, interbank offered rate, inflation, money supply and two exogenous indices ( Standard & Poor's 500 and EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE (Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from December 1995 to December 2015. In order to test the long-run cointegration relationships between studied markets and the set of macroeconomic variables, the Engle-Granger and Johansen tests are applied. The vector error correction model is used to confirm the long-run equilibrium interlinkages and the results show similar trend tendencies between stock indices and some of the macro-fundamentals in Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run causal linkages, the Granger causality test is employed. Based on retrieved findings, the efficiency of studied markets with respect to Efficient Market Theory is reviewed. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. The only indicator which does not impact any stock market is the interbank offered rate. Moreover, according to our results, all CEE&SEE stock...
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Elasticidade-PIB do Imposto de Renda Pessoa Física e Jurídica / Elasticity of income tax revenue for individuals and corporationsLeonardo Ribeiro de Freitas 03 December 2012 (has links)
O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos. / This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.
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Modelo de cointegração variando com o tempo: abordagem via ondaletas / Time varying cointegration model: approach using waveletsEder Lucio da Fonseca 06 March 2017 (has links)
Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste. / Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.
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Modelo de cointegração variando com o tempo: abordagem via ondaletas / Time varying cointegration model: approach using waveletsFonseca, Eder Lucio da 06 March 2017 (has links)
Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste. / Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.
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兩岸三地股價指數期貨連動性之研究 / The Study of Relationship among The Stock Index Futures in Taiwan, China and Hong Kong蕭宥榛 Unknown Date (has links)
本篇探討在2010年4月16日滬深300股指期貨正式上市到2012年9月18日止的連續近月每日收盤日資料,進行區域內金融期貨市場連動關係的研究,試圖發現兩岸三地之股價指數期貨市場在亞太地區的金融主導地位,以作為國內外投資者在區域內的投資決策參考。
實證結果顯示,從共整合及向量誤差修正模型檢定發現,兩岸三地股指期貨具有長期均衡及短期的互動關係,因此可以視此三地為單一區域市場。在Granger因果檢定上,台股指數期貨雖無法預測恆生指數期貨,但仍明顯領先滬深300股指期貨且程度大於恆生指數期貨,或可推測兩岸因ECFA的簽訂使實體經濟的關聯性更為緊密,至於恆生指數期貨大多以金融、地產股為其主要成分,與大陸主要以實體經濟為主的金融市場,其Granger預測滬深300股指期貨的能力因此相對較弱。另由衝擊反應檢定得知恆生指數期貨為一獨立的市場,不受台灣及大陸指數期貨市場衝擊的影響;滬深300指數期貨因大陸金融市場逐漸開放,也會受到香港及台灣金融期貨市場之衝擊而產生影響;至於台股指數期貨則在兩岸三地,最易受到其他市場影響。最後由預測變異數分解檢定發現,台股指數期貨及滬深300股指期貨的波動皆易受到恆生股價指數期貨變異的影響,而恆生指數期貨在兩岸三地間之解釋能力最強,於兩岸三地間具金融主導地位。至於台股指數期貨對大陸金融期貨的影響也有突出的表現,因此若政府有心推展亞太金融中心之營運,勢必得加強區域間整合的力度,提出有利吸引外資之最政策,以增加台灣股市於國際間之競爭力。 / This study conducts analysis of regional linkage between financial futures market by examining consecutive daily closing information from April 16, 2010 (the official list date of CSI 300 index futures) to September 18, 2012. This study tries to find the financial dominance of these index futures market in the Asia Pacific region and hopefully it may be used as an investment decision reference for domestic and foreign investors.
The empirical results show that from the total integration and vector error correction model tests and three places all indicate long-run equilibrium stock index futures and short-term interaction. Therefore, these three places can be viewed as a single regional market. In the Granger causality test on the TAIEX futures and Hang Seng Index futures, in spite of TAIEX futures can’t predict Hang Seng Index futures, it is significantly ahead of the CSI 300 index futures. TAIEX futures on the CSI 300 index futures even more impact than the Hang Seng Index Futures. It can explain that the ECFA has been signed and results show closely-related economy. Since the Hang Seng Index futures are mainly from financial and real estate stocks while the mainland-based financial market is mainly from the real economy, Granger predicts ability of CSI 300 index futures is relatively weak. Another test on the impulse response shows that (1) Hang Seng Index Futures is an independent market and is not affected by shocks from Taiwan and the mainland index futures markets, (2) CSI 300 index futures is affected by shocks from Hong Kong and Taiwan because of the gradually open financial markets, and (3) TAIEX futures can be seen as a potential Taiwanese dish economy because it is most vulnerable to other market influences among the three places. To sum up, the forecast variance decomposition tests show that TAIEX futures and the CSI 300 stock index futures are vulnerable to fluctuations in the Hang Seng index futures. In order words, the Hang Seng Index futures have the strongest explanatory power among the three places and shows financial dominance. The TAIEX futures also show its significant impact on the mainland China financial futures index. If the Government decides to promote the operation of the Asia-Pacific financial center and to increase competitiveness of Taiwan stock market, it will inevitably have to strengthen inter-regional integration efforts and make the most favorable policies to attract foreign investment.
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台灣自行車產業與景氣循環之探討駱俊文, Chun-Wen Lo January 1900 (has links)
自行車一詞儼然成為綠色環保的代名詞之一,台灣自行車業過去在國際間,被認定為品質粗糙的產品,在經過多年努力的情況下,台灣自行車業不斷的備受肯定,隨著近年全球暖化議題、全球性健康概念、油價飆漲、金融海嘯爆發等,諸多原因造成自行車從不被看好的代步工具,演變到現在成為休閒運動工具的轉變,其中;台灣自行車2008年的金融海嘯中,相較於其他傳統產業,不論是出口產值或是股價不降反漲,大舉逆勢成長,其中巨大(Giant)、美利達(Merida)、愛地雅(Ideal),成車製造商,近年來分別占出口前三大。
所以本研究要探討,金融海嘯爆發的前後,對台灣自行車業帶來的影響,研究資料選定為2000年1月至2013年12月間的巨大股價(9921)、美利達股價(9914)、愛地雅股價(8933)、台灣股價加權指數(TWII)、原油價格、工業生產指數的月資料,共168筆。透過單根檢定檢測資料是否為定態,利用共整合檢定確定是否含有至少一組解,搭配向量誤差修正模型檢測變數間的長短其關係,在利用複迴歸模型檢測。
研究結果顯示,巨大、美利達、愛地雅和台灣加權股價指數具有顯著關係,由於台灣自行車屬於出口導向以及中高價位產品,故全球景氣對台灣自行車業深具影響。其中,巨大和美利達除了ODM外,亦有自有品牌在全球銷售,愛地雅定位專業ODM專業代工廠,前者發展不同市場。 / The word "bicycle" has become one of the pronouns of environmental protection. In the past, Taiwan bicycling industry was treated as low-quality products internationally. With long-time effort, Taiwan bicycling industry was highly appreciated.
Recently, global warming issue, cosmopolitan health sense, dramatically increased oil price, the eruption of financial crisis, and many reasons lead the bicycles have not positively evaluated as means of transportation. Now, it becomes the outdoor recreation mean.
Comparing Taiwan bicycling industry with other traditional industry, it doesn't fall down but highly increase no matter export value or stock price. The manufacturer of Giant, Merida, and Ideal are the top 3 of export recently.
So this study want to explore the things happened before and after the outbreak of the financial crisis that affects bicycle industry in Taiwan, research data for selected between January 2000 and December 2013, relationship between the Giant(9921) shares, Merida (9914) shares, Ideal(8933) shares, TWII, the price of crude oil, industrial production index.
Through the Unit Root Test to test whether the data is the steady state or not. By using cointegration test to make sure whether contains at least one group of solutions and vector error correction model to detect the length of the relationship between variables, and using the multiple regression model to test.
Results of the research shows that Giant, Merida, Ideal has significant relationship with TWII, because Taiwan bicycle are export-oriented and high price products, so the global boom has profound influence to Taiwan bicycle industry, among them, the Giant and Merida except the ODM, have their own brands in global sales, Ideal professional locate, ODM professional contract, the former develops different markets. / 摘要 I
Abstract II
謝辭 III
目錄 IV
圖目錄 VI
表目錄 VII
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 巨大機械工業股份有限公司簡介 4
第四節 美利達工業股份有限公司簡介 5
第五節 愛地雅工業股份有限公司簡介 6
第六節 研究架構 7
第二章 文獻回顧 9
第一節 國內相關文獻 9
第二節 國外相關文獻 11
第三節 國內外文獻一覽表 12
第三章 研究方法 20
第一節 單根檢定 20
第二節 共整合檢定 22
第三節 向量誤差修正模型(VECM) 24
第四節 迴歸分析 24
第四章 實證分析 26
第一節 資料來源與處理 26
第二節 敘述統計 31
第三節 單根檢定 32
第四節 共整合檢定 33
第五節 向量誤差修正模型(VECM) 33
第六節 複迴歸模型 35
第五章 結果分析與建議 38
第一節 結果分析 38
第二節 建議 39
參考文獻 40
附錄一 巨大工業股份有限公司沿革 43
附錄二 美利達股份有限公司沿革 47
附錄三 愛地雅股份有限公司沿革 57
圖目錄
圖1-6 研究架構 8
圖4-1-1 台灣自行車業總出口產值(百萬元,美金) 27
圖4-1-2 台灣股價大盤指數(TWII,當日收盤價) 27
圖4-1-3 巨大股價(9921,當日收盤價) 28
圖4-1-4 美利達股價(9914,當日收盤價) 28
圖4-1-5 愛地雅股價(8933,當日收盤價) 29
圖4-1-6 國際原油價格(西德州,美元) 29
圖4-1-7 台灣工業生產指數 30
表目錄
表1-3 巨大公司基本資料 4
表1-4 美利達公司基本資料 5
表1-5 愛地雅公司基本資料 6
表2-3 國內外相關文獻整理 12
表4-1 資料來源一覽表 26
表4-3-1 ADF 單根檢定 32
表4-3-2 單根檢定-一階差分 32
表4-4-1 共整合檢定 33
表4-5-1 Giant & Merida 向量誤差修正模型 34
表4-5-2 Giant & Ideal 向量誤差修正模型 34
表4-5-3 Merida & Ideal 向量誤差修正模型 34
表4-6-1 自行車產業與景氣循環對巨大股價之影響 37
表4-6-2 自行車產業與景氣循環對美利達股價之影響 37
表4-6-3 自行車產業與景氣循環對愛地雅股價之影響 37
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臺灣租稅誘因吸引投資效果之實證分析 / An Empirical Study on Tax Incentives and Investment Promotion in Taiwan詹媖珺 Unknown Date (has links)
過去許多學術文獻針對租稅優惠吸引投資之效果進行實證分析,但實證結論並不一致。我國自1950年即開始實施一連串的租稅獎勵政策,時至今日,租稅減免仍是我國政府推動重大經濟政策慣用的誘因手段。為探討了解臺灣實施租稅優惠措施對投資變化之影響,本研究針對我國自民國50年代後期以來涉及租稅減免之相關法令進行整理,另為了充分量化這些租稅優惠措施,則參考國外相關實證文獻作法,建構了兩項租稅誘因指標作為虛擬變數,來追蹤自民國61年以來我國不同階段之減免稅狀態,並作為虛擬變數納入後續實證模型分析。
本研究利用相關變數之時間序列資料來探討租稅優惠對我國外人直接投資與國內私人投資之互動變化關係。研究步驟有三,首先,針對個別變數進行單根檢定,藉以確認變數的屬性,了解時間序列資料是否為衡定後,再利用Johansen共整合檢定法來估計和檢定多個變數,確認各變數間是否存在共整合關係後,以誤差修正模型來說明各變數間關係與整個變數脫離均衡關係後之動態調整情形。
實證結果顯示,就長期趨勢而言,我國實施之租稅優惠措施對吸引外人直接投資呈現負向且顯著之不良影響,另長期而言,租稅優惠誘因對刺激我國國內投資之變化確有顯著且正面助益,但影響效果之幅度不大。因此,本研究建議政府與其提供效果不明確之租稅誘因,不如致力於針對國家自身不完善的基礎建設或不穩定的總體經濟環境進行改善。 / Tax incentives have been in existence in Taiwan since 1950, and they are still very much on the agenda of the government. There is no agreement about the efficacy of incentives. Indeed there have been doubts about whether incentives have any effect on the economy since the 1950s. This has made some economists wonder why incentives are so popular despite the fact that their effects are either slight or unknow.
This study conducts an empirical investigation of the impact of tax incentives on investment in Taiwan. We constructed two indexs of tax incentives which track the different types of incentives embarked upon by the government, and these indexes are then included in both foreign direct investment and private investment equations. Our testing procedure involves three steps. The first step involves tasting for the properties of the variables by conducting unit root teste. The second step involves testing for the long-run relationship between the variables using Johansen cointegration tests. And the third step involves estimating the long-run parameters and associated loading factors.
The empirical results shows a significant negative impact of tax incentives on FDI, and a significant positive impact of tax incentives on private investment but the impact is slight. We suggest that rather than focusing on tax incentives, the country should concentrate on removing the factors that discourage investors such as poor infrastructural and institutions or macroeconomic instability.
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