Yes / This paper re-examines the long-run relationship between radiative forcing (including emissions of carbon dioxide, sulphur oxides, methane, and solar radiation) and temperatures from a structural time series modeling perspective. We assess whether forcing measures are cointegrated with global temperatures using the structural time series approach.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2018 / Many developing countries are trying to make their business environment more attractive to foreign investors. They try this by relaxing rules regarding market entry and foreign ownership; improving infrastructure and making other efforts to enhance their chances of becoming a destination country for foreign direct investment (FDI). Among the characteristics of globalisation is the unrestricted capital flow and access to world market. Global FDI stocks have been on the increase and many more African countries are becoming more open to FDI, even though it still remains low. Therefore, the main objective of this study is to provide an analysis of the driving factors towards foreign direct investment in South Africa. The ARDL approach is used to investigate drivers of international investment decisions in South Africa using quarterly data from 2007Q1 to 2017Q1. The bounds cointegration method was chosen to analyse the long and the short run relationship amongst the variables of interest. In addition, the Granger Causality test was used to determine causal relationships between FDI and other variables. The study found that household income level had an effect in the stock of FDI. It also found that labour productivity increased the total output of goods and services and therefore impacted on the stock of FDI in the country. Public infrastructure investment and interest rates are also among the important factors that determine FDI inflow. Furthermore, the dummy variable has a significant negative effect and it shows that labour strikes and unrests affect FDI negatively. Although South Africa has implemented strategies to attract more FDI, recent political instability and labour disputes has left investor weary of the future of the economy therefore a refinement of some of these policies is needed if the country is to be successful in this regard. The county should also focus on developing and maintaining quality infrastructures in terms of, roads, telephones, internet access, water and electricity supply.

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 purpose of this study we examine the long run relationship between the flower wholesale markets in Taiwan by the theory of Park (2007). The market integration is analyzed from the viewpoint of the Law of One Price (LOP). The LOP means that the products flow from the lower price markets to the higher price ones without transaction cost utill everywhere have the same price. However, in a situation that the transaction cost exists, the assumption of LOP is questionable. When the price difference between two markets exceeds the transaction cost, there is an arbitrage opportunity. This study examine the relationship between the flower wholesale markets in Taiwan by threshold cointegration theory. The result is that there indeed exists long run relationship and threshold effects. In addition, we consider a time-varing threshold cointegration model in Park (2007), to see whether there are different arbitrage behavious depending on the season between the flower wholesale markets. Finally, we have a result that the same price gap between markets in different season will be in different regime because of the change of the value of threshold. And it causes the seasonal arbitrage behavious.

Dividend Valuation Model is a well-known stock pricing model. However, many empirical studies of foreign stock markets do not support the Dividend Valuation Model; most of these studies think stock price is too volatile to explain by expected dividend. Therefore, this article would like to use Stochastic Cointegration to reexamining Taiwan stock market, and observe whether Taiwan stock market supports Dividend Valuation Model. The empirical results showed that stock price and dividends exist a positive comovements relationship in the plastic, steel, electronic, and the banking & insurance industries, but empirical results does not completely support the theoretical value of cointegration vector. Therefore, this study has not been sufficient evidence to support Taiwan stock market is efficient.

Thesis (Ph. D.)--George Washington University, 2000. / Includes bibliographical references.

This thesis investigates the short term and the long term cointegration relations between European and Chinese, European and Russian stock markets, with a goal to define international diversification benefits. Whereas Russia and China are considered as developing countries, Europe represents a developed market. The period of study is from 1997 to 2018, which considers the global 2007-2008 financial crisis as a shift in the equilibrium.The static cointegration long run findings demonstrate scope for diversification benefits for the all observing markets over the whole period. With regard to the sub periods (before and after the global financial crisis), the outcomes suggest increase in cointegration relations between Europe and China after the crisis, indicating a more diversified portfolio for investors before the crisis. European and Russian financial time series show no changing in cointegration linkages after the crisis, suggesting scope for diversification gains before and after the crisis in the long run.The dynamic cointegration results, however, demonstrate episodic cointegrating relations over the whole period for the all markets. These findings also clear illustrate growth in cointegration linkages during the first year of the crisis for all samples, suggesting a less diversified portfolio during this period (for the short horizon investors), and supporting the financial contagion effect in the short run.Looking at static and dynamic results, we recommend combining both methods in order to make a clear conclusion about benefits from international diversification.

La gestion durable de la demande d’eau résidentielle par la tarification incitative représente actuellement la seule alternative non technique permettant de retarder le recours à la mobilisation des ressources non conventionnelles qui se caractérisent par un coût très élevé. Dans cette thèse, nous utilisons des données tunisiennes mesurant la consommation par régions et par trimestre sur longue période 1980-2007. Deux blocs de consommation, un bloc inférieur et un bloc supérieur sont analysés, afin d’évaluer le succès et le rôle incitatif de la tarification progressive dans la gestion de la demande. La thèse propose ainsi deux essais en termes de cointégration et de modèles à correction d’erreurs pour étudier les déterminants de la demande à court et à long terme. Nous utilisons d’abord des données chronologiques saisonnières relatives à la Tunisie pour estimer la fonction de la demande d’eau. Nos résultats suggèrent des pistes de réforme du système de prix en vigueur actuellement de manière uniforme à l’échelle du pays. L’alternance des saisons sèches et pluvieuses affecte le comportement des ménages et augmente l’élasticité prix de la consommation d’eau. Les consommateurs du bloc inférieur sont les plus touchés par la progressivité de tarif. Par conséquent, Nous proposons d’élargir la tranche inférieure de consommation en été pour permettre à l’ensemble des familles pauvres de se voir appliquer le tarif le plus bas sur l’ensemble de la consommation. Par ailleurs, nous préconisons une tarification saisonnière de l’eau propre aux périodes sèches et chaudes pour les consommateurs du bloc supérieur. Dans la deuxième partie de la thèse, l’étude régionale de comportements des ménages sur des données de panel à l’échelle de 6 régions Tunisiennes, montre que l’élasticité prix de long terme du bloc inférieur, formé essentiellement de petits consommateurs ayant des revenus plutôt modestes, est supérieure à celle du bloc supérieur. De plus, la demande d’eau résidentielle en Tunisie est relativement sensible au prix pour les consommateurs des plus hautes tranches situés dans les régions caractérisées par un certain dynamisme économique. Nous préconisions d’axer la gestion de la demande d’eau en Tunisie sur un système tarifaire / If Tunisia, as well as all the other similar countries, wants to avoid, or at least to postpone the mobilization of non conventional water (desalinization, virtual water, etc.) with sensibly higher costs, the only alternative is to rely on appropriate water demand management. Water pricing must be considered seriously as a useful tool, with certainly the other non price instruments, such as awareness, education, water conservation and participatory management, to keep under control the demand evolution. In this thesis, we use Tunisian data and a decomposition into two water consumption blocks to estimate residential water demand function. Firstly, seasonal investigations show that Tunisian water pricing policy was not perfect. The lower block’s consumers are most affected by water tariff progressivity than upper block’s consumers. The seasonal fluctuations and the alternation of rainy and dry seasons affect only lower block’s consumers. We then advocate increasing the lower block’s length in summer to keep poorest family well being unchanged and reaching social equity. For the upper block’s consumers, we recommend applying seasonal water price to keep under control their water use evolution. Second, in the regional study, we find that the long run water price elasticity is more important in the lower block than the upper one. Moreover, water demand is sensible to price in regions characterized by economic dynamism. We think that a decentralized water pricing system can perfectly control water use especially by upper block’s consumers.

This study analyses the relationship between remuneration (real wage) and labour productivity in South Africa at the macroeconomic level, using time series and econometric techniques. The results depict that there is a significant evidence of a structural break in 1990. The break appears to have affected the employment level and subsequently fed through into employees' remuneration (real wage) and productivity. A long run cointegrating relationship was found between remuneration and labour productivity for the period 1990 to 2011. In the long run, 1% increase in labour productivity is linked with an approximately 1.98% rise in remuneration. The coefficient of the error correction term in the labour productivity is large, indicating a rapid adjustment of labour productivity to equilibrium. However, remuneration does not Granger cause labour productivity and vice versa. / Thesis (M.Com.(Statistics) North-West University, Mafikeng Campus, 2014

This thesis is concerned with the econometric modelling of gasoline prices in US. The intention is to characterize the market process in this crucial and significant industry. Overall we have been seeking to identify a mechanism to signal and measure market failure and consequently improve market performance. Firstly we examine the time series properties of gasoline prices using the criteria for perfect arbitrage to test market efficiency from the stationarity of price proportions. This is done by considering market efficiency across in different regions of the US, by applying a range of different stationary tests. In this analysis we collected a comprehensive data set of gasoline prices for all regions of the US mainland for the longest period available. Forni (2004), outlined reasons why the analysis of price proportions may be advantageous; especially when the sample is limited. Stationarity corresponds to a broad market, it is found here that the US gasoline market is on average broad. Except for the Gulf Coast and Lower Atlantic, which may be seen as economically and/or geographically separated, market structure in the rest of the US would not appear to be a problem Next we investigate possible long-run price leadership in the US gasoline market and the inter-relatedness of price behaviour relevant to a competitive market. Following Hunter & Burke (2007) and Kurita (2008) market definition is tested. This is done on an extended regional data set to Kurita and following the analysis in Hunter and Burke on a set of company data for the US.We analysed long-run price leadership through the cointegrated vector auto-regression (VAR) to identify key characteristics of long-run structure in the gasoline market. The analysis of the system of regional prices confirms problems with the Gulf Coast and Lower Atlantic, but also based on the finding that the cointegrating rank is less than N-1 using both types of data ( regional price data and company price data) and the findings on weak exogenity it is suggested that competition across the whole of the US is further limited. We applied further tests to company data on prices and quantity data to investigate further the need to regulate for potential anomalies and to capture more directly consumer harm. The variance screening method applied to recent weekly data indicates that there is too little variation in gasoline prices and this would seem to support the cointegration study. Furthermore we applied a dynamic disequilibrium analysis to attempt to identify long-run demand and supply in the gasoline market. Finding significant variables using the Phillips-Hansen fully modified estimation of the switching regression is necessary to distinguish two long-run equations (S&D). Moreover a comparison is made with a Markov Switching Model (MSM) of prices and this suggests a similar pattern of regime to the quantity information analysed in by our disequilibrium model.