This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, BSI and PX in a time period from September 2004 till March 2010. Such an interrelationship has already been examined and a dominating position of American indices has been found. This influence was stronger during a financial crisis. Because the examined time period covers both financial crisis and the period before, the work studies their interrelationship in the whole period and at the end in the time period before financial crisis. The influence of one stock index on the other can be cause by several factors: (i) dominance of influencing stock index, (ii) efficient market and (iii) financial crisis. As the reaction of stock index is evoked from new information, the intention of this work is to take into account nonsychronous trading of stocks exchanges. Therefore I explored those exchange stocks closing earlier than the others start in two ways by respecting the time lag and by non-respecting the time lag. The interrelationship between the indices was modeled with help of VAR models and proved by Granger causality test.

Ever since Ghana gained independence, its policy makers have identified education as a tool to foster economic growth and development. In recognition of the vast potential for national development that education presents Ghana, various governments have invested considerably in the sector. These investments have been in the form of educational sector reforms, as well as yearly reoccurring expenditure. Despite these massive investments however, very little work has been done to empirically investigate the impact of such expenditure on the nation’s economy. This paper uses data from Ghana to empirically assess the nature of the relationship between education expenditure (a proxy for human capital development) and GDP growth (a proxy for economic growth). The Granger Causality Test is applied to education expenditure and GDP growth data, from 2003 to 2018. Using data from this same time frame, separate Granger Causality tests are also implemented to test the relationship between Gross Enrollment Rates/ Total Completion Rates, at some levels of education, and GDP growth.   Interestingly enough, the analysis shows no Granger causal relationship between our main variables of interest (Total Education Expenditure and GDP growth). Results also show that none of the education variables Granger cause GDP growth, if the test uses 1 lag and also if the test uses 3 lags. Additionally, results show that whether the test uses 1 lag or 2 lags, GDP growth Granger causes the percentage of total government expenditure that is dedicated to education. Results for tests that use 2 lags also shows that the only education variable that Granger causes GDP growth is enrolment rate at the primary level, with GDP growth also not Granger causing any education variable apart from the percentage of government expenditure dedicated to education. In the case of the test using 3 lags, results show that GDP growth Granger causes only one education variable which is expenditure on the Senior High School level. / Ända sedan Ghana blev självständigt har dess beslutsfattare identifierat utbildning som ett verktyg för att främja ekonomisk tillväxt och utveckling. Som ett erkännande av den enorma potential för nationell utveckling som utbildning erbjuder Ghana, har olika regeringar investerat avsevärt i sektorn. Dessa investeringar har varit i form av reformer av utbildningssektorn, såväl som årliga återkommande utgifter. Trots dessa massiva investeringar har dock mycket lite arbete gjorts för att empiriskt undersöka effekterna av sådana utgifter på landets ekonomi. Denna artikel använder data från Ghana för att empiriskt bedöma karaktären av sambandet mellan utbildningsutgifter (en proxy för utveckling av mänskligt kapital) och BNP-tillväxt (en proxy för ekonomisk tillväxt). Granger Causality Test tillämpas på utbildningsutgifter och BNP-tillväxtdata, från 2003 till 2018. Med hjälp av data från samma tidsram implementeras även separata Granger Causality-tester för att testa sambandet mellan bruttoinskrivningsfrekvenser/Totala slutförandefrekvenser, på vissa nivåer utbildning och BNP-tillväxt. Intressant nog visar analysen inget Granger-kausalt samband mellan våra huvudsakliga intressevariabler (Total Education Expenditure och BNP-tillväxt). Resultat visar också att ingen av utbildningsvariablerna Granger orsakar BNP-tillväxt, om testet använder 1 tidstidsfördröjning och även om testet använder 3 tidsfördröjningar. Dessutom visar resultaten att oavsett om testet använder 1 tidstidsfördröjning eller 2 tidsfördröjningar, Granger orsakar BNP-tillväxt andelen av de totala offentliga utgifterna som är dedikerade till utbildning. Resultat för tester som använder 2 tidsfördröjningar visar också att den enda utbildningsvariabeln som Granger orsakar BNP-tillväxt är inskrivningsgraden på primärnivå, där BNP-tillväxten inte heller Granger orsakar någon utbildningsvariabel förutom procentandelen av de statliga utgifterna som är avsatta till utbildning. I fallet med testet med 3 tidsfördröjningar visar resultaten att BNP-tillväxt Granger orsakar endast en utbildningsvariabel, vilken är utgifter på gymnasienivå.

This study aims to investigate if there is any causal relationship between human rights and economic growth. The causality is tested in both directions, from human rights to economic growth and from economic growth to human rights, using a panel data Granger Causality test. The variable used to represent human rights is a human rights score and the variable used to represent economic growth is annual growth of real GDP per capita. Both of these variables are retrieved from Our World in Data. There is a total number of 81 countries included in this study with yearly observations from 1962 until 2017 on both variables. To achieve a greater depth the 81 countries were categorized into three different categories: low-income, middle-income and high-income countries. Previous studies and theories indicate that it is possible to expect a two-way causal relationship between economic growth and human rights. However, the results in this study indicate that there is no statistically significant causal relationship in any direction for any of the income categories.

Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. Anledningen till att Sverige har valts som den geografiska punkten är att det är av intresse att se hur ett litet land som Sverige, som har en öppen ekonomi påverkas av de utvalda makroekonomiska variablerna. Syfte: Syftet med uppsatsen är att med hjälp av information samt analys, studera hur de olika makroekonomiska variablerna påverkar den inhemska aktiemarknaden. Olika faktorer som påverkar aktiemarknaden kommer att lyftas fram för att i sin tur även se till de olika branscherna. Metod: Då data enbart består av hämtning av tidigare information fokuseras det enbart på sekundärdata i form av historiska siffror samt historiska undersökningar. De statistiska tester som tillämpas är Granger Causality test, Johansens Cointegration test, Impulse Response Function test, ADF test, KPSS test, Mulitpel regression. Slutsats: Med de resultat som presenterades i denna studie, skulle vi nog inte kunna säga att vi har ett svar över vilka aktier en investerare ska införskaffa. Dock skulle vi kunna poängtera att den potentiella investeraren bör ha dessa variabler i beaktning vid beslut. Genom att studera dessa variabler kan man få en känsla om vilket håll variablerna kommer att röra sig och på så sätt säga att de kan påverka aktieindexen. Att bara kolla på de makroekonomiska variabler som denna studie belyser räcker inte för att förstå hur aktieindex kommer att se ut i framtiden, men det är en bit på vägen till att förstå aktiemarknadens rörelse.

This study presents our attempt to examine the linkages and to investigate the linkage of stock price indexes among Taiwan, China and its major trading countries. Our empirical analysis employs daily data on stock price indexes over the period of January 2, 2000 to May 10, 2010. The total number of observations is about 2500. This study employ a sequence of time-series methodologies, including unit root test, cointegration test, vector error correction model, Granger causality test, Criterion, autocorrelation test, heteroscedasticity test, GARCH and Bi-GARCH. The findings of this study as follows. First, after first difference, every stock price indexes series all became stationary. Second, we found there has no long-run interrelationship among these stock markets. Third, we found that Taiwan¡¦s stock market exits leading role to China¡¦s stock market, but other countries¡¦ stock market lead Taiwan¡¦s stock market. For China, the stock market of United States, Japan, Taiwan and Hong Kong has a leading role to China¡¦s stock market. Only the rela-tionship between South Korea and China¡¦s stock market is independent. Forth, the result of autocorrelation test and ARCH test indicates that the influence of stock price indexes of major trading countries to Taiwan and China¡¦s stock price index has changed over time. Finally, the result of study indicates that every stock market can forecast its future trend by using its past stock data and investor can use the past stock data of stock market of major trading countries to forecast Taiwan and China¡¦s stock market.

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自1970年代以來有許多研究指出，能源價格衝擊對於一個國家的總體經濟表現有顯著的影響。但對於能源價格究竟是以何種形式，以及透過什麼管道對總體經濟產生影響，卻沒有一致的看法。同時，經濟決策者對於能源價格變動的反應，經常因為有不確定性的存在而有延後反映的現象。本文利用台灣1981年到2009年的能源價格，建構數種對稱與不對稱之能源價格變動設定，以Granger因果關係檢定探討能源價格變動與台灣其他相關的總體經濟變數資料間的關係；並透過自我迴歸分配落後模型 (Autoregressive Distributed Lag Model, ARDL) 模型估計能源價格與台灣產出的長期關係。我們的實證結果顯示：能源價格，相較於台灣的總體經濟體系，具有外生性。能源價格成長率對產出與失業率沒有顯著的影響；但能源價格的波動程度對台灣產出成長率卻有顯著的負面影響。能源價格波動率與台灣實質產出具有長期均衡關係，而且能源價格波動將對台灣實質產出有負面影響。 / Since the 1970s, numerous studies have demonstrated that energy price impact can have a significant influence on a country’s macroeconomy. However, there is no consensus regarding in what form, or by which channel can energy price changes affect the macroeconomy. In addition, economic decision makers often respond to energy price changes with a time lag due to the existence of uncertainty. This paper constructs several indicators of symmetric and asymmetric energy price changes based on the energy prices in Taiwan for the period from 1981 to 2009. We employ the Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the autoregressive distributed lag model (ARDL) to estimate the long-run relationship between energy price volatility and Taiwan’s real GDP. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; the energy price growth rate does not have significant impact on output and unemployment rate, while the energy price volatility has negative impact on Taiwan’s macroeconomy. There is long-run relationship between the energy price volatility and Taiwan’s real GDP. Furthermore, the energy price volatility do have negative impact on Taiwan’s real GDP.

This thesis aims to explore the time variation of liquidity and transaction prices in the Swedishcommercial real estate market. The purpose is to contribute with insights about price dynamics and liquidity on the Swedish commercial real estate transaction market. A price index was therefore estimated based on the output of a hedonic regression model. The model controls for different locations, segments and years and further includes variables controlling for size, portfolio transactions and investor nationality. The regression model is based on transaction data provided by Cushman & Wakefield which consists of 10 194 observations over a 20-year period between the years 2003-2023. Further the relationship between transaction prices and liquidity was investigated. The liquidity measure used is turnover rate which was calculated for each year based on data from Statistics Sweden (SCB). Granger causality tests were conducted for different geographic aggregation levels to explore if liquidity can predict transaction prices and vice versa. The results show that market liquidity in terms of turnover rate in city and regional locations can be used to forecast the development of transaction prices and therefore“leads” the price development. The test results, in combination with a correlation analysis that showed strong correlation between prices and previous year’s turnover rates, suggests evidence of a sequential relationship between the variables. For the nation as a whole and for the rural location, the results of the causality tests were insignificant and the hypothesis that there does not exist a Granger causality between price and turnover could not be rejected. It was also concluded that since liquidity leads prices, information about turnover rates can be used to help forecast property cycles in the short term. / Detta examensarbete syftar till att undersöka sambandet mellan likviditet och transaktionspriser på den svenska kommersiella fastighetsmarknaden. Syftet är att bidra med insikter om prisdynamik och likviditet på den svenska kommersiella fastighetstransaktionsmarknaden. Ett prisindex estimerades baserat på en hedonisk regressionsmodell. Modellen estimerar transaktionspriser för olika geografiska delmarknader, segment och år och inkluderar vidare variabler som kontrollerar för storlek, portföljtransaktioner och investerarnationalitet. Regressionsmodellen är baserad på transaktionsdata från Cushman & Wakefield som består av 10 194 observationer under en 20-årsperiod mellan åren 2003 och 2023. Vidare undersöktes sambandet mellan transaktionspriser och likviditet. Likviditetsmåttet som används är omsättningsandel som beräknats för respektive år baserat på data från SCB. Test av Grangerkausalitet genomfördes för olika geografiska delmarknader för att undersöka om likviditet kanprediktera transaktionspriser och vice versa. Resultaten visar att marknadslikviditet i form avomsättningsandel i storstäder och regioner kan användas för att prognostisera utvecklingen avtransaktionspriser och därmed "leder" prisutvecklingen. Testresultaten, i kombination med enkorrelationsanalys som visade på en stark korrelation mellan priser och föregående årsomsättningsandelar, tyder på att det finns ett sekventiellt samband mellan variablerna. För landet som helhet och för landsbygden gav kausalitetstesterna inget signifikant resultat och hypotesen att inget kausalitetssamband existerar mellan likviditet och priser kunde därmed inte förkastas. En annan slutsats som drogs var att eftersom likviditet leder priserna kan information om omsättningsförändring användas för att prognostisera fastighetscykler på kort sikt.

The causal relationship between financial development and economic growth is a controversial issue. For developing countries, empirical studies have provided mixed result. This study seeks to empirically explore the relationship and the causal link between financial development and economic growth in two sub-Saharan African countries between 1970 and 2006. The empirical investigation is carried out using time methods and the five most commonly used indicators of financial development in the literature. However, the causal relationship was carried out using two different methods which are the autoregressive distributed lag bounds testing (ARDL) and the vector error correction model (VECM). Using this above methodology the study first found that in both countries there is a positive and long-term relationship between all the indicators of financial development and economic growth which was proxied by the real per capita GDP. With respect to the causality test, the two methods used provide mixed results especially in South Africa. In Cameroon the study found that financial development causes economic growth using the two methods, whereas in South Africa economic growth causes financial development when the VECM method is used, while there is an independence relationship between the two variables in South Africa when using ARDL. / Economics / M.Comm. (Economics)