Denna uppsats syftar till att undersöka hur Riksbankens stora köp av stats- och företagsobligationer hjälpte till att återhämta den svenska ekonomin efter den ekonomiska nedgången år 2020. För att genomföra denna analys nyttjar jag en strukturell vektor autoregressions-modell, samt ett flertal variabler som är väsentliga inom den svenska ekonomin. Den data som används sträcker sig mellan januari 2011 och december 2020. Resultaten visar att Riksbankens obligationsköp först minskade industriproduktionen som sedan återgick till sin normala nivå. Både den långa och den korta räntan påverkades i mycket liten utsträckning. Riksbankens obligationsköp ledde till en uppgång på börsen och en depreciering av den svenska kronan. Slutsatsen utifrån detta är att Riksbankens köp av obligationer bidrog till att stimulera den svenska ekonomin i begränsad utsträckning.

There is little room for error when the societally important production must increase in a fast-growing company in the midst of the corona pandemic. In order for production to be able to increase, process flow and an enormous amount of data must be analyzed and described in detail in order to provide a good foundation to be able to create new efficient processes where risks are minimized so that the production can continue without problems. By applying well-proven models and theories from the financial world’s risk management, new opportunities are created to visualize otherwise forgotten and overlooked information. Data that can provide the production planning department with important information on whether to set up production to minimize waste and the risk of production stoppage. The purpose of this work is to investigate how uni- and multivariate time series analysis can be implemented in the best possible way, to be able to visualize and forecast lead times for the logistics department at Cytiva Umeå. The goals are to create both a new way of using otherwise disregarded data and a methodology to implement similar models in supply chain-related activities. There is a huge amount of limitations and opportunities so the work has thus been carried out to create a version as simple as possible so that the benefit for the company in future implementations is the greatest. In the report, we have succeeded in producing, sorting, and modeling the relevant data. Several different models are created based on theories and methods applied in a new area to, in an efficient and simple way describe the current situation. The best implementation was one where we included additional information about the system so that the model learns how to distinguish different properties which have their derivation from what the process looks like. Based on this model, the company can then forecast the lead time and thus be able to use all the information that is available. This is to then be able to act on information and thereby create an additional value for the company.

Foreign trade is increasingly becoming a powerful tool when it comes to the promotion of economic growth in modern economies. This is especially so in the face of the continued rise of globalisation. In consideration of this fact, this thesis assessed the impact of foreign trade on the growth process of Namibia’s economy for the period stretching from 1990 to 2012. This main objective was further developed into primary, theoretical and empirical objectives. In order to realise these multiple objectives, two modern econometric time series techniques were employed, namely vector autoregressive (VAR) and auto-regression distributed lag (ARDL) models. Based on these two techniques, the following procedures featured during the study: Stationary tests, error correction modelling, co-integration tests, Granger causality tests, generalised impulse response functions and generalised forecast error variance decomposition. The following constitutes the main findings arising from this study: First, the study found that there is a positive relationship among the variables that were investigated. Indeed, this positive relationship suggests that the economy of Namibia can be expanded potentially by means of foreign trade. The result is also in line with economic theory. Secondly, the empirical findings also show that export, foreign direct investment and exchange rate endogenously respond to shocks in economic growth. Thirdly, economic growth itself accounted for most of the innovations that occurred during the period under consideration concerning economic growth. Fourthly, amongst the three explanatory variables used in the model, exports and foreign direct investment contributed more towards innovations in economic growth during the forecast period. Initially, exports and foreign direct investment dominated over the forecast horizon with each contributing almost an equal share of over 5 percent after 12 quarters. Thereafter, exports’ contribution relatively exceeded that of foreign direct investment. Fifthly, it is particularly important to note that the exchange rate variable made the weakest contribution towards explaining economic growth for the forecast period of 24 quarters. In consideration of the general constraints associated with this study, the thesis puts forward a number of proposals for possible further investigation by any theorist who is keen about probing the issue that the thesis investigated. The thesis considers the following as its significant contributions to the existing literature: First, this study primarily examined the relationship between exports and economic growth. By adding the effect of foreign direct investment and exchange rate to the analysis, this study became more comprehensive. This further widens the scope for policymaking for Namibia, as well as other developing economies on a similar route. Secondly, the study employed two modern econometric time series techniques, namely VAR and ARDL models in investigating the research topic under consideration. Most of the related studies that were reviewed either utilised ordinary least squares (OLS) or VAR or ARDL approach on its own. By implication, the results obtained from this study, therefore, are from a technical point of view more robust. Thirdly, through constructive comments, this thesis made valuable contributions to the relevant empirical literature as reviewed during the course of the study. Fourthly, since this study has a focus on Namibia, it provided the opportunity for the thesis to present a comprehensive analysis on issues pertaining to Namibia specifically. Lastly, the various recommendations put forward by this thesis will assist Namibia, as well as other developing countries, on a related path when it comes to formulating policies for the promotion of exports in particular and economic growth in general. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

Foreign trade is increasingly becoming a powerful tool when it comes to the promotion of economic growth in modern economies. This is especially so in the face of the continued rise of globalisation. In consideration of this fact, this thesis assessed the impact of foreign trade on the growth process of Namibia’s economy for the period stretching from 1990 to 2012. This main objective was further developed into primary, theoretical and empirical objectives. In order to realise these multiple objectives, two modern econometric time series techniques were employed, namely vector autoregressive (VAR) and auto-regression distributed lag (ARDL) models. Based on these two techniques, the following procedures featured during the study: Stationary tests, error correction modelling, co-integration tests, Granger causality tests, generalised impulse response functions and generalised forecast error variance decomposition. The following constitutes the main findings arising from this study: First, the study found that there is a positive relationship among the variables that were investigated. Indeed, this positive relationship suggests that the economy of Namibia can be expanded potentially by means of foreign trade. The result is also in line with economic theory. Secondly, the empirical findings also show that export, foreign direct investment and exchange rate endogenously respond to shocks in economic growth. Thirdly, economic growth itself accounted for most of the innovations that occurred during the period under consideration concerning economic growth. Fourthly, amongst the three explanatory variables used in the model, exports and foreign direct investment contributed more towards innovations in economic growth during the forecast period. Initially, exports and foreign direct investment dominated over the forecast horizon with each contributing almost an equal share of over 5 percent after 12 quarters. Thereafter, exports’ contribution relatively exceeded that of foreign direct investment. Fifthly, it is particularly important to note that the exchange rate variable made the weakest contribution towards explaining economic growth for the forecast period of 24 quarters. In consideration of the general constraints associated with this study, the thesis puts forward a number of proposals for possible further investigation by any theorist who is keen about probing the issue that the thesis investigated. The thesis considers the following as its significant contributions to the existing literature: First, this study primarily examined the relationship between exports and economic growth. By adding the effect of foreign direct investment and exchange rate to the analysis, this study became more comprehensive. This further widens the scope for policymaking for Namibia, as well as other developing economies on a similar route. Secondly, the study employed two modern econometric time series techniques, namely VAR and ARDL models in investigating the research topic under consideration. Most of the related studies that were reviewed either utilised ordinary least squares (OLS) or VAR or ARDL approach on its own. By implication, the results obtained from this study, therefore, are from a technical point of view more robust. Thirdly, through constructive comments, this thesis made valuable contributions to the relevant empirical literature as reviewed during the course of the study. Fourthly, since this study has a focus on Namibia, it provided the opportunity for the thesis to present a comprehensive analysis on issues pertaining to Namibia specifically. Lastly, the various recommendations put forward by this thesis will assist Namibia, as well as other developing countries, on a related path when it comes to formulating policies for the promotion of exports in particular and economic growth in general. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

The aim of this study is to get some approach which can help in improving the predictions of daily temperature of Umeå. Weather forecasts are available through various sources nowadays. There are various software and methods available for time series forecasting. Our aim is to investigate the daily maximum temperatures of Umeå, and compare the performance of some methods in forecasting these temperatures. Here we analyse the data of daily maximum temperatures and find the predictions for some local period using methods of autoregressive integrated moving average (ARIMA), exponential smoothing (ETS), and cubic splines.  The forecast package in R is used for this purpose and automatic forecasting methods available in the package are applied for modelling with ARIMA, ETS, and cubic splines. The thesis begins with some initial modelling on univariate time series of daily maximum temperatures. The data of daily maximum temperatures of Umeå from 2008 to 2013 are used to compare the methods using various lengths of training period. On the basis of accuracy measures we try to choose the best method. Keeping in mind the fact that there are various factors which can cause the variability in daily temperature, we try to improve the forecasts in the next part of thesis by using multivariate time series forecasting method on the time series of maximum temperatures together with some other variables. Vector auto regressive (VAR) model from the vars package in R is used to analyse the multivariate time series. Results: ARIMA is selected as the best method in comparison with ETS and cubic smoothing splines to forecast one-step-ahead daily maximum temperature of Umeå, with the training period of one year. It is observed that ARIMA also provides better forecasts of daily temperatures for the next two or three days. On the basis of this study, VAR (for multivariate time series) does not help to improve the forecasts significantly. The proposed ARIMA with one year training period is compatible with the forecasts of daily maximum temperature of Umeå obtained from Swedish Meteorological and Hydrological Institute (SMHI).

The aim of this thesis is to conduct a nuanced investigation of connectedness in the global futures market across time and market conditions through a Quantile Vector Autoregression (QVAR) model. Later, a linear regression is utilized to identify determinants of futures market connectedness across market conditions. The sample period consists of daily data from December 2017 to August 2023. Our dataset includes five uncertainties and 19 continuous futures contracts, making it the most comprehensive study of futures market connectedness after the Russian invasion of Ukraine to our knowledge.  The results highlight heterogeneous effects across time and market conditions for all assets, with the futures market connectedness increasing during times of uncertainty. US equity, German Equity, Japanese equity, British equity, gold, silver, USD and EUR are identified as net transmitters of spillovers, whereas the rest of the futures are identified as net receivers. These findings are interesting in the concept of theory as they highlight potential periods of flight-to-safety and safe haven properties for certain futures. When including uncertainties in the QVAR model, financial uncertainty is identified as the only net transmitter, whereas the other uncertainties are net receivers.  Drivers of futures market connectedness depend on market conditions and time, with energy uncertainty being significant for normal markets and the world equity index being significant for bearish markets in both the full sample and a Covid-19 subsample. For the full sample only, financialization is identified as a driver during bullish markets. More variables are significant for the Covid-19 subsample. The commodity index and US dollar index becomes significant in bearish markets and monetary uncertainty in bullish markets.  Our findings are relevant for both investors and policymakers. The results suggest that investors should monitor market conditions when investing in the futures market to suitably optimize, diversify, and hedge their portfolios. For policymakers, monitoring spillover from the futures market is important as it can impact the overall economy by using the industrial sector as a transmission channel. This can aid in early decision-making and minimize the impact of economic downturns. / Das Ziel dieser Arbeit ist, eine nuancierte Untersuchung der Verbundenheit im globalen Terminmarkt über Zeit und Marktbedingungen durch ein Quantile Vector Autoregression (QVAR) Modell durchzuführen. Später benutzen wir eine lineare Regression, um Determinanten der Terminmarktverbundenheit unter verschiedene Marktbedingungen zu identifizieren. Der Zeitraum dieser Untersuchung besteht aus täglichen Daten von Dezember 2017 bis August 2023. Die Daten umfasst fünf Unsicherheitsmaße und 19 kontinuierliche Terminkontrakte, damit ist es nach unserem Wissen die umfassendste Untersuchung über die Verbundenheit des Terminmarkts nach der russischen Invasion die Ukraine.  Die Ergebnisse hervorheben heterogene Effekte über Zeit und Marktbedingungen für alle Variablen, wobei die Verbundenheit des Terminmarkts während unsicherer Perioden verstärkt ist. Der amerikanische Aktienindex, deutsche Aktienindex, japanische Aktienindex, britische Aktienindex, Gold, Silber, US-Dollar und Euro werden als Nettoübermittler von Spillovern identifiziert, während die andere Terminkontrakte als Nettoempfänger identifiziert werden. Die Ergebnisse sind interessant im Kontext der Theorie, da sie sowohl potenzielle Perioden von Flight-to-Safety als auch Safe Haven-Eigenschaften für die Terminkontrakte hinweisen. Bei der Einbeziehung von Unsicherheitsmaßen in das QVAR-Modell wird die finanzielle Unsicherheit als einziger Nettoübermittler identifiziert, während die anderen Unsicherheiten Nettoempfänger sind.  Die Determinanten der Verbundenheit an den Terminmarkt sind von Zeit und Marktbedingungen abhängig, wobei die Energieunsicherheit für normale Marktbedingungen und die Weltaktienindex für bärische Marktbedingungen während sowohl des ganzen Zeitraums als auch des Covid-19 Zeitraums signifikant ist. Finanzialisierung ist nur während des ganzen Zeitraums als Determinant für bullische Marktbedingungen signifikant. Im Covid-19 Zeitraum sind weitere Variablen signifikant. Der Rohstoffindex wird in bärische Marktbedingungen und die US-Dollar-Index wird in bullische Marktbedingungen signifikant.  Die Ergebnisse dieser Untersuchung sind sowohl für Investoren als auch für politische und finanzielle Entscheidungsträger relevant. Die Ergebnisse andeuten, dass Investoren die Marktbedingungen beobachten sollten, wenn sie in den Terminmarkt investieren, um ihre Portfolios zu optimieren, diversifizieren und abzusichern. Für politische und finanzielle Entscheidungsträger ist die Beobachtung von Spillover-Effekten vom Terminmarkt wichtig, da sie auf die Gesamtwirtschaft durch die Industriesektor auswirken können. Darum kann diese kontinuierliche Beobachtung zu früheren makroökonomischen Entscheidungen führen und damit ungünstige wirtschaftliche Auswirkungen minimieren.

Master of Agribusiness / Department of Agricultural Economics / Allen M. Featherstone / During the past 10 years, ethanol production in the United States has grown exponentially. From 2000 to 2009 U.S. ethanol production increased from 1.6 billion gallons annually to 10.8 billion gallons annually. In 2010, U.S ethanol production increased by 23 percent from 2009 to 13.23 billion gallons. The increase in ethanol production was due to lawmakers reacting to skyrocketing oil prices by implementing a Renewable Fuels Standard (RFS) in 2005 and expanding the RFS in 2007. The RFS requires the use of specified amounts of biofuels, such as ethanol, through the year 2022. The creation of the RFS represented a step beyond lawmakers’ usual policy of using the tax code to promote ethanol production. There is a long history of encouraging ethanol production by using the tax code, but the implementation of a biofuels mandate is new and therefore there is not a great deal of research on the effects of such a policy. This study analyzes U.S. oil, unleaded gasoline, corn and ethanol prices dating back to 1985 to determine the impact that the RFS has had on corn prices. The key question answered is whether the creation and expansion of the RFS has brought the instability of the oil market into the corn market. The prices that an ethanol plant in western Kansas paid for the grain it used to produce ethanol and the price that the plant received for the ethanol that it produced are also analyzed. The plant began operation in January 2004, so it is possible to analyze the grain and ethanol prices both before and after the implementation and expansion of the RFS. To study the impact of the RFS creation and expansion, the prices were analyzed to see if there was an increase in the correlation after the creation and expansion of the RFS. Regression analysis of the national corn prices and the prices that Western Plains Energy paid for the grain that it used to produce ethanol; and regression analysis of the national price of ethanol and the price that Western Plains Energy sold its ethanol for were also used to study the impact of the RFS. Finally, the vector autoregression (VAR) model is used to analyze the dynamic relationships between the variables in the system: corn price, oil price, ethanol price and unleaded gasoline price. The analysis of the correlation reveals that both at the national and plant level grain and oil prices track much more closely together after the creation and then expansion of the RFS. The VAR reveals that there is some relationship between corn and oil prices contemporaneously. The correlation matrix of residuals reveals that there is not a strong correlation between national corn and oil prices. The results suggest the need for greater research in this area. The creation and expansion of the RFS represented a step into uncharted territory and the consequences are still not known.

The "global" financial crisis (GFC) emerged during 2008 and it was mainly triggered by the sub-prime mortgage crisis (SMC) in the United States of America. The main aims of this thesis is to conduct an econometric analysis of the financial crisis and household savings in South Africa and also to provide a rationale that will facilitate a policy attention on Domestic Resource Mobilisation (DRM) through household savings. The study uses quarterly time series data for the period 199401 to 201102 obtained on-line from the South African Reserve Bank (SARB). The research is based on the Keynesian saving function, which is a complement of the consumption function. The model will be estimated by using a cointegrating vector autoregressive (CVAR) framework, which allows for endogeneity of the regressors. To check robustness on the cointegration results, the study employs the second empirical technique based on Generalized Impulse Response Function (GIRF) analysis and Variance Decomposition. The regression equation of household savings is expressed as a function of household disposable income, household debt to disposable income, real GOP, interest rate, inflation rate and foreign savings. The variables are tested for the presence of a unit root by the application of the Augmented Dickey-Fuller (AOF), Phillips-Perron (PP) Kwiatkowski, Phillips, Schmidt and Shin (KPSS) tests. The findings of the study are that all variables have unit roots. The cointegration model emphasises the presence of a long run equilibrium relationship between dependent and independent variables. The CVAR reveals the short run of the dynamic household savings model. Taking this into consideration, the study concludes that household debt has a huge influence on the level of household savings. The econometric analysis also revealed that household savings in South Africa actually improved during the period associated with the GFC. It could be postulated that South African households responded to their deteriorating financial situations by reducing their average spending and increasing their savings. Variance decomposition analysis revealed that 'own shocks' constitute the predominant source of variations in household saving therefore household savings can be explained by the disturbances in macroeconomic variables in the study. The study recommends the promotion of household savings and economic growth in order to reduce the dependence of South Africa on foreign savings. DRM is therefore enhanced by a higher level of household savings, which can facilitate higher levels of investment and economic growth. / Thesis (PhD (Economics) North-West University, Mafikeng Campus, 2012

This report reviews the 2007 financial crisis and the actions of the Federal Reserve. The Full Employment Act of 1946 and the "Humphrey-Hawkins" Act guides the Fed's actions. These two laws outline the long-term goals of the monetary policy framework the Fed uses; however, the framework lacks principles for achieving the mandated long term goals such as reliable, complete data. This report looks at the use of model-based forecasting and gives recommendations for principles which will strengthen the preexisting monetary framework. / text

A country’s economy is becoming more and more dynamic and complicated in its scale and mobility. So, the concerns of exchange rate economics have become more popular. My research interest is in international economics with its major factor, exchange rates and other macroeconomic variables. Chapter 1 presents a brief introduction of the three studies. Chapter Two investigate the role of exchange rate changes with particular attention to international capital flows. With liberalization of capital movements, international capital movements became free and unrestricted in many emerging market economies as well as developed countries. Using a Vector Auto-regressive (VAR) model for a small open economy in which the endogeneity of exchange rate changes is fully taken into account, I find that capital movements are more likely to be a cause of output fluctuations and current account deficits in developing countries than a channel of equilibrium changes. I also find that domestic currency depreciation is far more likely to be contractionary on domestic output in developing countries than in developed countries. Interestingly, the trade balance improves after depreciation regardless of its output consequence. These findings suggest that there are important differences between developed and developing economies in the way capital movements and exchange rate changes affect and are affected. Chapter Three demonstrates the dynamic relationship between the current account and the real exchange rate in response to permanent and temporary shocks using structural VAR models for seven developed countries and five developing countries. Special focus is given to the issue of the stationarity of the current account. Capital flows are also included to capture external shocks as well as potential structural breaks due to financial liberalization. I find that the results for unit root tests for the current account are ambiguous. By testing two different VAR models, each taking an opposing stance on the stationarity of the current account, I conclude that responses based on a stationary current account are a better fit to the current theoretical view than those based on a nonstationary current account process. Additionally, the real exchange rate and the current account are positively correlated under a permanent shock while two variables are negatively correlated under a monetary shock. I also find that real exchange rate is an endogenous variable, which is not closely related to the temporary factors that affect the current account in the short run. Chapter Four examines the long-run mean reverting behavior of the real exchange rates with its six different definitions for 27 economies using annual data from 1974 to 2003. I find that Purchasing Power Parity (PPP) holds better, and the half-life of the real exchange rates is shorter when the wholesale price index, rather than consumer price index, is used as price level measure. Somewhat surprisingly, there is no evidence that PPP holds better with trade-weighted real exchange rates than with bilateral ones regardless of the price index used. Strong evidence for PPP emerges only with the use of Im, Pesaran, and Shin (2003) panel tests but not with the Levine, Lin, and Chu (2002).