This dissertation presents several empirical tests to measure the relative abilities of alternative models in capturing the unobservable process by which economic individuals may form expectations of future inflation. Three empirical representations of the inflation expectations process are tested: an autoregressive model which uses only past inflation data; a rational expectations model which utilizes the structural economic relationships in the economy (excluding past inflation); and a general model which exploits both the information sets just described. These competing approaches are each subjected to tests for rationality and predictive accuracy. The rationality tests employed in this study are the breakpoint test suggested by Sargent and the incorporation of each model's inflation predictions into an analysis of the Fisher equation. To gauge the predictive accuracy of each model, post-sample extrapolations were generated and compared by means of the root-mean-squared error and Theil inequality coefficient. The outcome of these various tests provides support to the contention that, for an individual attempting to obtain optimal (error minimizing) forecasts of future inflation would select the relatively simple autoregressive model over the rational expectations or general approaches. In three out of four tests presented, the autoregressive model performed as well if not better than its more informational intensive competitors. / Ph. D.

This dissertation examines the performance of the Liberian iron ore industry from 1950-1985 and its viability in global markets, assuming stagnation (World Bank) and expansionist (Leontief et al.) expectations. It examines past trends in trade and investment patterns in the light of equilibrium allocations which imply the existence of efficient transportation links. This model assumes that given world sources and sinks as constrained by the supply and demand structure of the ore industry, each individual region acts as a basing point to maximize net social payoff from its ore trade. The model is validated on recent (1984) industry data and "explains" 91% of actual demands and 79% of actual trade flows. Price discrimination is evidenced in the form both of monopsony power exercised by some buyers in the Pacific Basin over intra-regional (e.g., Australian) and extra-regional (e.g., Brazilian, Liberian) producers and monopoly power permitting modest rents to be collected by some producers in Africa, including Liberia, from the European markets. In North America, rents appear for some domestic producers in some simulations. These results confirm quantitatively the descriptive results of others while postulating a much more competitive environment for producers. The model assumes world trade doubles through year 2000 or stagnates. Liberia fares poorly in either case, losing significant portions of its U.S. and of its EEC markets to Canada and Brazil respectively despite the maintenance of some resource rents globally. This analysis quantifies for the first time the claims of earlier studies that price discrimination exists, but indicates actual prices may be closer to long-run competitive prices than has generally been assumed by others. Thus, realistic ways for Liberia to increase its market shares require not only an expansion of the industrialized countries' steel industries but an aggressive willingness to absorb transport and other costs by foregoing rents and lowering costs. Removing diseconomies of small transport scale, absorbing freight, and lower U.S. exchange rates combined with world steel expansion could increase Liberian annual shipments by as much as 50 million tonnes per year or $1 billion annually.

M.Comm. / The aim of this study is to discuss, analyse and forecast market volatility. Financial liberalisation and technological innovation have taken place during the past twenty-five years, producing a highly integrated and competitive world financial system in which trillions of dollars are traded every day (Murray, van Norden & Vigfusson, 1996:1). These developments have been positive, but there are concerns about the problems that such unregulated capital flows might pose for the efficient pricing of financial assets and the stability of domestic and international financial markets. Speculation has increased and greater competition, information technology and new securities lead to excessive price volatility. Stocks, bonds and foreign exchange are more sensitive to sudden shocks and trade at prices that appear inconsistent with market fundamentals. It is important to point out the causes of market volatility in order to determine if any precautions can be taken to prevent the enormous impact of market volatility on economic performance. The study could be useful for investors and dealers. It might enable them to forecast volatility and use it as a risk management instrument.

RESEARCH THESIS SUBMITTED TO THE FACULTY OF COMMERCE, LAW & MANAGEMENT IN PARTIAL FULLFILMENT OF THE REQUIREMENTS OF THE MASTER OF MANAGEMENT IN FINANCE & INVESTMENTS DEGREE UNIVERSITY OF THE WITWATERSRAND JOHANNESBURG February, 2016 / In this study we examine the relationship between international oil prices and the South African Rand/US Dollar exchange rate. We also determine the direction of causality between these two variables. We further ascertain the magnitude of the influence of oil prices to the exchange rate compared to other theoretically driven macroeconomic variables. A forecasting exercise is also undertaken to determine whether oil prices contain information about future Rand/Dollar exchange rate. Drawing from the works of Aliyu (2009) and Jin (2008) we use VAR based cointegration technique and vector error correction model (VECM) for the long run and short run analysis respectively. The results show that there is a unidirectional causality running from oil prices to exchange rate and not the other way round. We also find that a 1% permanent increase in oil prices results in 0.17% appreciation of the Rand against the US Dollar; a 1% permanent increase in money aggregates results in 21.3% depreciation of the Rand and a 1% increase in business cycles results in 0.29% depreciation of the Rand in the long run. A 1% increase in inflation and interest rates is found to result in a 0.09% and 0.005% depreciation on the Rand respectively. Our short run analysis indicates that 4.4% of the Rand/Dollar exchange rate disequilibrium can be corrected within a month. Oil prices are found to contain some information about the future Rand/US Dollar exchange rate when the VAR model is used for forecasting. This study has shown there is a causal relationship between oil prices and the strength of the Rand against the Dollar and, therefore, recommends diversification of the economy and more use of green energy. Strategies to reduce capital flight and trade-related capital is also recommended by this study. Key Words: Exchange rate, Oil price, forecasting, vector autoregressive (VAR) model, cointegration, vector error correction model (VECM), causality / MT2016

本文由三篇文章構成。首篇是關於多維變或然分佈預測的檢驗。第三篇是關於非貝斯結構性轉變的VAR 模型。或然分佈預測的檢驗是基於檢驗PIT(probability integral transformation) 序的均勻份佈性質與獨性質。第一篇文章基於Clements and Smith (2002) 的方法提出新的位置正變換。這新的變換改善原有的對稱問題，以及提高檢驗的power。第二篇文章建對於多變或然分佈預測的data-driven smooth 檢驗。通過蒙特卡模擬，本文驗證這種方法在小樣本下的有效性。在此之前，由於高維模型的複雜性，大部分的研究止於二維模型。我們在文中提出有效的方法把多維變換至單變。蒙特卡模擬實驗，以及在組融據的應用中，都證實這種方法的優勢。最後一篇文章提出非貝斯結構性轉變的VAR 模型。在此之前，Chib(1998) 建的貝斯結構性轉變模型須要預先假定構性轉變的目。因此他的方法須要比較同構性轉變目模型的優。而本文提出的stick-breaking 先驗概，可以使構性轉變目在估計中一同估計出。因此我們的方法具有robust 之性質。通過蒙特卡模擬，我們考察存在著四個構性轉變的autoregressive VAR(2) 模型。結果顯示我們的方法能準確地估計出構性轉變的發生位置。而模型中的65 個估計都十分接近真實值。我們把這方法應用在多個對沖基回報序。驗測出的構性轉變位置與市場大跌的時段十分吻合。 / This thesis consists of three essays on financial econometrics. The first two essays are about multivariate density forecast evaluations. The third essay is on nonparametric Bayesian change-point VAR model. We develop a method for multivariate density forecast evaluations. The density forecast evaluation is based on checking uniformity and independence conditions of the probability integral transformation of the observed series in question. In the first essay, we propose a new method which is a location-adjusted version of Clements and Smith (2002) that corrects asymmetry problem and increases testing power. In the second essay, we develop a data-driven smooth test for multivariate density forecast evaluation and show some evidences on its finite sample performance using Monte Carlo simulations. Previous to our study, most of the works are up to bivariate model as it is difficult to evaluate with the existing methods. We propose an efficient dimensional reduction approach to reduce the dimension of multivariate density evaluation to a univariate one. We perform various Monte Carlo simulations and two applications on financial asset returns which show that our test performs well. The last essay proposes a nonparametric extension to existing Bayesian change-point model in a multivariate setting. Previous change-point model of Chib (1998) requires specification of the number of change points a priori. Hence a posterior model comparison is needed for di erent change-point models. We introduce the stick-breaking prior to the change-point process that allows us to endogenize the number of change points into the estimation procedure. Hence, the number of change points is simultaneously determined with other unknown parameters. Therefore our model is robust to model specification. We preform a Monte Carlo simulation of bivariate vector autoregressive VAR(2) process which is subject to four structural breaks. Our model estimate the break locations with high accuracy and the posterior estimates of the 65 parameters are closed to the true values. We apply our model to various hedge fund return processes and the detected change points coincide with market crashes. / Detailed summary in vernacular field only. / Ko, Iat Meng. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 176-194). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Abstract --- p.i / Acknowledgement --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Multivariate Density Forecast Evaluation: A Modified Approach --- p.7 / Chapter 2.1 --- Introduction --- p.7 / Chapter 2.2 --- Evaluating Density Forecasts --- p.13 / Chapter 2.3 --- Monte Carlo Simulations --- p.18 / Chapter 2.3.1 --- Bivariate normal distribution --- p.19 / Chapter 2.3.2 --- The Ramberg distribution --- p.21 / Chapter 2.3.3 --- Student’s t and uniform distributions --- p.24 / Chapter 2.4 --- Empirical Applications --- p.24 / Chapter 2.4.1 --- AR model --- p.25 / Chapter 2.4.2 --- GARCH model --- p.27 / Chapter 2.5 --- Conclusion --- p.29 / Chapter 3 --- Multivariate Density Forecast Evaluation: Smooth Test Approach --- p.39 / Chapter 3.1 --- Introduction --- p.39 / Chapter 3.2 --- Exponential Transformation for Multi-dimension Reduction --- p.47 / Chapter 3.3 --- The Smooth Test --- p.56 / Chapter 3.4 --- The Data-Driven Smooth Test Statistic --- p.66 / Chapter 3.4.1 --- Selection of K --- p.66 / Chapter 3.4.2 --- Choosing p of the Portmanteau based test --- p.69 / Chapter 3.5 --- Monte Carlo Simulations --- p.70 / Chapter 3.5.1 --- Multivariate normal and Student’s t distributions --- p.71 / Chapter 3.5.2 --- VAR(1) model --- p.74 / Chapter 3.5.3 --- Multivariate GARCH(1,1) Model --- p.78 / Chapter 3.6 --- Density Forecast Evaluation of the DCC-GARCH Model in Density Forecast of Spot-Future returns and International Equity Markets --- p.80 / Chapter 3.7 --- Conclusion --- p.87 / Chapter 4 --- Stick-Breaking Bayesian Change-Point VAR Model with Stochastic Search Variable Selection --- p.111 / Chapter 4.1 --- Introduction --- p.111 / Chapter 4.2 --- The Bayesian Change-Point VAR Model --- p.116 / Chapter 4.3 --- The Stick-breaking Process Prior --- p.120 / Chapter 4.4 --- Stochastic Search Variable Selection (SSVS) --- p.121 / Chapter 4.4.1 --- Priors on Φ[subscript j] = vec(Φ[subscript j]) = --- p.122 / Chapter 4.4.2 --- Prior on Σ[subscript j] --- p.123 / Chapter 4.5 --- The Gibbs Sampler and a Monte Carlo Simulation --- p.123 / Chapter 4.5.1 --- The posteriors of ΦΣ[subscript j] and Σ[subscript j] --- p.123 / Chapter 4.5.2 --- MCMC Inference for SB Change-Point Model: A Gibbs Sampler --- p.126 / Chapter 4.5.3 --- A Monte Carlo Experiment --- p.128 / Chapter 4.6 --- Application to Daily Hedge Fund Return --- p.130 / Chapter 4.6.1 --- Hedge Funds Composite Indices --- p.132 / Chapter 4.6.2 --- Single Strategy Hedge Funds Indices --- p.135 / Chapter 4.7 --- Conclusion --- p.138 / Chapter A --- Derivation and Proof --- p.166 / Chapter A.1 --- Derivation of the distribution of (Z₁ - EZ₁) x (Z₂ - EZ₂) --- p.166 / Chapter A.2 --- Derivation of limiting distribution of the smooth test statistic without parameter estimation uncertainty ( θ = θ₀) --- p.168 / Chapter A.3 --- Proof of Theorem 2 --- p.170 / Chapter A.4 --- Proof of Theorem 3 --- p.172 / Chapter A.5 --- Proof of Theorem 4 --- p.174 / Chapter A.6 --- Proof of Theorem 5 --- p.175 / Bibliography --- p.176

Abstract not available

The modelling of stock market volatility is considered to be important for practitioners and academics in finance due to its use in forecasting aspects of future returns. The GARCH class models have now firmly established themselves as one of the foremost techniques for modelling volatility in financial markets. The application of GARCH class models in developed and emerging markets (including the Egyptian Stock Market) provides evidence of GARCH effects in stock returns. However, most of the studies conducted on modelling the volatility of stock returns are based on the aggregated market index. This thesis argues that this will not reflect significant differences of variation in the pattern of volatility associated with different stocks. However, in order to examine the similarities and differences between the conditional variance structures of stocks from the same or different industries in the same equity market, this thesis estimates pooled-panel models. These novel models are used to test for similarities and differences in the conditional variance equation in panels of time series within a general to specific framework of nested tests. This is done using panel samples of sector indices and stocks from the Egyptian Stock Market covering the period from 1997 to 2002. The results suggest that there are similarities in the temporal volatility structures of stocks from the same sector or industry, but there are significant differences in the temporal volatility structures of stocks from different sectors or industries. This suggests that using indices alone for modelling the volatility of an equity market, which is the method used in the majority of studies cited in the literature, may not be appropriate. The thesis concludes with a discussion of some of the implications of these results and suggestions for further research. / Doctor of Philosophy (PhD)

Thesis (Ph. D.)--University of California, San Diego, 2008. / Title from first page of PDF file (viewed September 3, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 98-104).

Thesis (M.A.)--University of Nevada, Reno, 2008. / "May, 2008." Includes bibliographical references (leaves 87-96). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2009]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.

Thesis (Ph. D.)--University of California, San Diego, 1998. / Vita. Includes bibliographical references.