Doctor of Philosophy / Department of Economics / Wayne Nafziger / This dissertation constructs three empirical essays. The first essay illustrates the causality on the relationship between output (GDP) growth and exports. By using the Modified Wald (MWald) test we observe unidirectional causality from exports to GDP. More specifically, for the robustness we use a Vector Error Correction Model (VECM) model and the Generalized Impulse Response Function Analysis (GIRA). The VECM and the GIRA yield bidirectional causality between exports and GDP, which weakly supports the unidirectional result of the to MWald test. Meanwhile, we confirm that there is structure break by using the structural break test. These results are plausible and consistent with the expectations of our study for the Export Led Growth Hypothesis (ELGH). However, compared with previous studies on the ELGH for Korea, our results are different. Other studies show a bidirectional causality relationship but this study only has unidirectional causality. These differences may be caused from different observation data, various variables, and use of different econometric methodologies. Also, model selection and omitting variables can also significantly change the results of causality testing. The second essay investigates a degree of competition between Korea's and China's exports in the U.S. market by using the substitute elasticity on a simple demand model. The market share of Korean exports has been decreasing while that of China's has been increasing. The results of this study are as follows. First, we find that Korea has a dominant market share of only goods group code 27 in commodity groups over that of China, otherwise having China's dominant market shares over those of Korea for other export sections by using historical trade data. Second, most estimates of substitute elasticity between both countries' exports in the U.S. market are small (inelastic). However, 61 (apparel articles and accessories, knit or crochet), 62 (apparel articles and accessories, not knit etc) and 85 (electric machinery etc, sound equipments, TV equipment, parts) commodity groups' substitute elasticities are large (elastic) and are competitive in the U.S. market compared with those of China. A small value of the elasticity of substitution may be due to an identification problem for a simple standard model as well as measurement errors in prices as a unit value in this study. So, in order to avoid problems such as these, we may need to use appropriate instrumental or proxy variables in the simple standard model, which highly correlate with the independent (unit price) variables and are uncorrelated with measurement error terms. In practice, it is not easy to find good instrumental variables. The final essay evaluates the roles of price and income as important factors that affect Korea's exports by using the most recent monthly data. By using the Autoregressive Distributed Lag (ARDL) bounds testing approach we find the long-run relationship of variables and estimate the long-run price and income elasticities. However, the estimates of these long-run elasticities are statistically insignificant. This may be due to some misspecifications or measurement errors in our model. Meanwhile, due to the existence of the long-run relationship between variables, we construct the Error Correction Model (ECM) in order to observe the short-run dynamics of the elasticities. Specifically, we add a dummy variable into our export demand model to achieve more efficient estimations since the dummy variable reflects a shock in Korea's export; Korea's economic crisis in 1997. In contrast to the long-run elasticity, we find that the short-run elasticities' estimates are more statistically significant. When we use the structure break test to check the structural stability of Korea's export demand, we find that there is no structural break point of 1997. Therefore, a shock of Korea's economic crisis in 1997 might not significantly affect Korea's export demand in a given sample. However, the Information Technology (IT) bubble of the world economy in 2001 and the entry of Korea into the OECD had triggered an increase in Korea's export demand due to existing structural break points of both events. In addition, we find that income elasticities are larger than price elasticities in the short run. This implies that income has more of an impact than that of price for the export demand model in the short run. This also implies that the change of Korea's exports in the short run is more sensitive to changes in foreign income (industrial production) compared with that of price (exchange rate). An interesting result, thus, is that Korea's exports in the short run may have higher export performance on income than that of price (exchange rate). This might be a consequence of the dependence of an increase in foreign income in recent years. In recent years, developing countries have greatly increased their economic growth compared with that of developed countries and Korea's exports have increased into these developing countries. Thus, we confirm that an increase in Korea's exports is mainly affected by income compared with price, specifically in the short run by using recent data.

Le secteur automobile est de plus en plus dépendant aux matières plastiques dont le niveau et la volatilité des prix ont fortement augmenté au cours des dix dernières années, sous l’effet supposé des variations du prix du pétrole qui est le principal input nécessaire à leur fabrication. La thèse vise à fournir des outils économétriques permettant d’analyser et gérer le risque de variations des prix des principales matières plastiques utilisées dans l’industrie automobile. À l’aide des méthodologies de cointégration, nous montrons que les relations d’équilibre de long terme et les dynamiques de court terme mettent en évidence un mécanisme de transmission des variations des coûts de production sur le prix des plastiques situés en aval du processus productif. L’existence de relations de cointégration significatives entre les prix pétrochimiques et pétroliers justifie l’élaboration de stratégies de couverture contre les variations des coûts de production et l’estimation de modèles à correction d’erreur qui permettent d’affiner les prévisions des prix. / The automotive industry is increasingly dependent on plastic materials whose price level and volatility have risen sharply over the past decade due to the assumed effect of fluctuations in crude oil prices, which is the key feedstock in the production of final products such as plastics. This thesis aims to provide econometric tools to analyze, understand, and manage the risk of price volatility of major plastics materials consumed in the automotive industry. Using the cointegration methodology, we show that long-term equilibrium relationship and short-term dynamics reveal the transmission mechanism of input prices changes from the upstream market to the prices of plastics materials on the downstream market. The significant cointegration relationships between petrochemical and crude oil prices justify the development of hedging strategies against inputs prices fluctuation and the estimation of error correction models that should produce better prices forecast.

This research analyses the statistical relationship between income distribution and seven taxation and government expenditure components in Namibia using data from 1996-2016. The research is aimed at creating new knowledge on the research topic because no literature exists for Namibia. The Autoregressive Distributed Lag (ARDL) cointegration technique was employed to assess the long-run relationship between the dependent and independent variables in Eviews. The research findings indicated that there is no long-run relationship between the dependent variable and independent variables. In the short-run, the research findings indicate that government expenditure on social pensions and government expenditure on education have a balancing effect on income distribution, while tax on products, corporate income tax and customs and excise duties have an unbalancing and/or worsening effect on income distribution. Based on these findings, tertiary education loans are recommended as opposed to grants to ensure sustainability of Namibia Students Financial Assistance Fund (NASFAF). In adjusting corporate and value added taxes, the government is cautioned to avoid overburdening consumers and employees through tax shifting in the form of high prices of goods and services and low wages and benefits. A tax mix, tax discrimination and a hybrid of taxation and government expenditure components are strongly recommended to achieve a balance. / Economics / M. Com. (Economics)

This thesis concentrates on the case of Russian economy and assessment of its dependence on oil. Russia is often cited as an example of country suffering from resource curse as its natural wealth forms significant share of country's exports and revenues. Thesis will first concentrate on factors determining current state of Russian economy. Presence of the symptoms of Dutch disease in the Russian economy will be studied using the Vector error correction model (VECM) applied on the real effective exchange rate of country (REER). Thesis will also contain an assessment of Russian institutional environment to check for other symptoms of resource curse theory. Analysis of latest federal budget will be used to evaluate the sustainability of Russian federal finances. The thesis is concluded by discussion of results and possible paths of future development of Russian economy.

Thesis (M. Com.(Economics)) -- University of Limpopo, 2017 / The relationship between unemployment, exchange rate and inflation has been a subject of debate for many years. Given the fact that South Africa is faced with a very low economic growth rate, inflation rate which is likely to go beyond the upper band of 6 percent and a high level of unemployment, policy makers are often faced with the trade-off between unemployment and inflation rate in the country. The purpose of this study is to determine the relationship between exchange rate, unemployment and inflation in South Africa. The study employed Johansen cointegration procedures and the vector error correction model (VECM) to capture the relationship between the variables. The Engle-Granger causality test was also employed to analyse causality amongst the variables. The results of Johansen cointegration test indicate that there is a long-run equilibrium relationship between the variables. The VECM also confirmed the existence of short-run equilibrium relationship between the variables. The nature of the relationship indicates that there is a significant negative relationship between unemployment and inflation in South Africa. This implies that policy makers are been faced with the trade-off between these two variables. The results further indicate that inflation is positively related to exchange rate, meaning a depreciation of the Rand (South African currency) in the foreign exchange market will feed to inflation in the home country. Furthermore, it is also indicated that unemployment is positively related to exchange rate. Meaning, a depreciation of the Rand in the foreign exchange market increases the level of unemployment in South Africa. All the results appeared to be significant. Policies aimed at lowering unemployment and inflation rate are recommended. It is also recommended that policy makers in South Africa take measures to improve the quality of education, skills training and steps to increase the labour intensity of production.

This dissertation examines the causal relationship between inward foreign direct investment (FDI) and economic growth (GDP) in SADC countries. The study investigates, within a panel data context, whether causation is short-term, long-term or both; and explores whether the causal relationship between the two variables differs according to income level. The study covered a panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal relationship between FDI inflows and economic growth is dependent on the level of income, the study divided the SADC countries into two groups, namely, the low-income and the middleincome countries. The study used the recently developed panel data analysis methods to examine this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel cointegration and Granger causality to examine the dynamic causal relationship between the two variables. Panel unit root results show that both variables in the two SADC country groups were integrated of order one. Panel cointegration tests showed that the variables for low-income country group were not cointegrated, while the variables for the middle-income countries were cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome country group were conducted within an ECM framework. Panel Granger causality results for the low-income countries showed no evidence of causality in either direction. However, for the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis does not apply to SADC countries. The results imply that the recent high economic growth rates recorded in the SADC region, especially middle-income countries, have been attracting FDI. In other words, it is economic growth that drives FDI inflows into the SADC region, and not vice versa. These findings have profound policy implications for the SADC region at large and individual countries. / Economics / MCOM (Economics)

90年代末東亞金融危機造成多國貨幣大幅貶值，銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis)；通貨危機是指當年中任一季名目匯率貶值超過25%，且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示，高估一國匯率為其通貨崩潰之先驅；又由於近年來新興國家快速開放資本市場，以致於成為危機之導火線。為分析此一現象，本文首先編製金融帳權數之新台幣實質有效匯率指數，並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價（各國與美國物價）、金融帳餘額等變數做共整合關係檢定，觀察三個變數的長期均衡關係，再將誤差項加入模型中，建構向量誤差模型。實證結果發現，金融帳與相對物價對匯率有顯著之影響力。 / The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.

This dissertation examines the causal relationship between inward foreign direct investment (FDI) and economic growth (GDP) in SADC countries. The study investigates, within a panel data context, whether causation is short-term, long-term or both; and explores whether the causal relationship between the two variables differs according to income level. The study covered a panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal relationship between FDI inflows and economic growth is dependent on the level of income, the study divided the SADC countries into two groups, namely, the low-income and the middleincome countries. The study used the recently developed panel data analysis methods to examine this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel cointegration and Granger causality to examine the dynamic causal relationship between the two variables. Panel unit root results show that both variables in the two SADC country groups were integrated of order one. Panel cointegration tests showed that the variables for low-income country group were not cointegrated, while the variables for the middle-income countries were cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome country group were conducted within an ECM framework. Panel Granger causality results for the low-income countries showed no evidence of causality in either direction. However, for the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis does not apply to SADC countries. The results imply that the recent high economic growth rates recorded in the SADC region, especially middle-income countries, have been attracting FDI. In other words, it is economic growth that drives FDI inflows into the SADC region, and not vice versa. These findings have profound policy implications for the SADC region at large and individual countries. / Economics / M. Com. (Economics)

This study investigated the determinants of inflation in South Africa using quarterly data from 1970Q1 to 2015Q4. The study was motivated by recent trends in domestic inflation that has frequently been at the upper end of the target range of between 3% and 6% and the need to guide inflation related policy since 2008. These recent trends raised concerns regarding the effectiveness of the current monetary policy approach in responding to internal and external factors that are significant in determining domestic inflation. Using Error Correction Model (ECM) modelling techniques, empirical results revealed that inflation expectations, labour costs, government expenditure and import prices are positive determinants, while GDP and exchange rates are negative determinants of inflation. To achieve the macroeconomic policy objective of a stable and low inflation rate for South Africa, more emphasis should be placed on anchoring inflation expectations, which was found to be highly significant in determining inflation. / Economics / M. Com. (Economics)

本文使用共積檢定以及因果關係檢定方法，針對美國第三波購併風潮前後時期，檢定購併家數、股價及工業生產指數三個變數間的可預測性。不同以往的是，本文除了將購併風潮分段進行研究外，並以晚近由Hoornik 及Hendry（1997）以Johansen（1988）為基礎所發展的一套共積檢定法來檢定變數間的長期均衡關係，再以Toda and Phillips（1994）的因果關係檢定流程與SSW的因果關係檢定分別檢定出變數間的可預測性。 經由本文實證結果發現： （1）購併、股價及工業生產指數三個變數，在ADF單根檢定結果三變數皆呈I（1）非恆定時間數列。並進一步以共積檢定檢測出不論參變數或購併和股價兩變數模型，1967年第四季以前變數間皆有一共積關係存在，1968年以後則無任何共積關係。 （2）從因果關係檢定結果發現，三變數體系中，股價與工業生產指數兩變數間可能存在極高的線性重合現象，且子期間礙於無法取夠長的遞延期數，使得工業生產指數對其他變數的影響力無法明確地反應出來，故三變數模型無法正確的檢定購併風潮前後變數間的因果關係。 （3）在購併與股價變數間的因果關係檢定研究中發現，1948~1967年間，股價對購併存在可預測性；然而1968~1979年間，股價與購併完全不存在任何可預測性。故可知購併風潮前後，股價對購併的可預測性發生了變化，從1967年前股價可合理地預測購併活動，到1967年後股價卻完全無法預測購併的情況。 （4）對影響購併的諸多因素做進一步的考量，發現威廉法案的出現對當時購併案件有相當程度的衝擊。 從實證結果可知，以共積與因果關係檢定方法一再地證明出，購併風潮前後股價對購併活動的可預性確實發生了結構性的變化。 第一章 緒論 第一節 研究背景與動機………………………………………….1 第二節 研究目的………………………………………………….3 第三節 購併之定義及相關基本概念…………………………….4 第四節 研究架構與流程………………………………………….8 第二章 文獻回顧 第一節 理論文獻回顧……………………………………………10 第二節 實證研究文獻回顧………………………………………13 第三節 文獻回顧總結……………………………………………23 第三章 實證研究方法 第一節 單根檢定………………………………………………..24 第二節 共積檢定…………………………………………………28 第三節 因果關係檢定……………………………………………34 第四節 實證檢定流程……………………………………………40 第四章 實證結果 第一節 實證資料來源……………………………………………43 第二節 Augmented Dickey-Fuller單根檢定………………….44 第三節 共積檢定……………………………………………....49 第四節 因果關係檢定……………………………………………55 第五節 因果關係檢定結果………………………………………78 第五章 法律因素的考量 第一節 時代背景….……………………………………….……79 第二節 檢視法條之影響力……………………………………..81 第三節 從案例角度分析………………………………………..84 第四節 威廉法案的威力………………………………………..87 第六章 結論…………………………………………………………88 附錄圖表（一）：各變數資料圖….………………………………90 附錄圖表（二）：共積殘差項圖………………………………….93 參考文獻…………………………………………………………….96