Vektorfehlerkorrekturmodelle (VECM) erlauben es, Abhängigkeiten zwischen den Veränderungen mehrerer potenziell endogener Variablen simultan zu modellieren. Die Idee, ein langfristiges Gleichgewicht gleichzeitig mit kurzfristigen Veränderungen zu modellieren, lässt sich vom Eingleichungsansatz des Fehlerkorrekturmodells (ECM) zu einem Mehrgleichungsansatz für Variablenvektoren (VECM) verallgemeinern. Die Anzahl der kointegrierenden Beziehungen und die Koeffizientenmatrizen werden mit dem Johansen-Verfahren geschätzt. An einer einfachen Verallgemeinerung einer Konsumfunktion wird die Schätzung und Wirkungsweise eines VECM für Verbrauch, Einkommen und Aktienkurse in Deutschland gezeigt. Die Anwendung der Beveridge- Nelson-(BN)-Dekomposition auf vektorautoregressive Prozesse ermöglicht zudem, Abhängigkeiten zwischen den aus den kointegrierten Zeitreihen extrahierten zyklischen Komponenten zu schätzen. / Vector error correction models (VECM) allow to simultaneously model dependencies between the changes of several potentially endogenous variables. The idea is the modelling of a long-run equilibrium together with the short-run dynamics. Therefore a single equation approach (ECM) can be generalised to a multi equation approach (VECM) for variable vectors. The number of cointegration relations and the coefficient matrices are estimated with the Johansen procedure. The estimation of a VECM for income, consumption and stock prices for Germany is demonstrated by using a generalised consumption function. The Beveridge-Nelson-(BN)-Decomposition procedure for vectorautoregressive processes allows extracting cyclical components of cointegrated time series and estimating the degree of co-movement between these transitory components.

In der vorliegenden Arbeit soll der Zusammenhang zwischen Staatsverschuldung und Inflation untersucht werden. Es werden theoretische Übertragungswege von der Staatsverschuldung über die Geldmenge und die langfristigen Zinsen hin zur Inflation gezeigt. Aufbauend auf diesen theoretischen Überlegungen werden die Variablen Staatsverschuldung, Verbraucherpreisindex, Geldmenge M3 und langfristige Zinsen im Rahmen eines Vektor-Fehlerkorrekturmodells untersucht. In der empirischen Analyse werden die Variablen für Deutschland in dem Zeitraum vom 1. Quartal 1991 bis zum 4. Quartal 2010 betrachtet. In ein Vektor-Fehlerkorrekturmodell fließen alle Variablen als potentiell endogen in das Modell ein. Die Ermittlung der Kointegrationsbeziehungen und die Schätzung des Vektor-Fehlerkorrekturmodells erfolgen mithilfe des Johansen-Verfahrens. / In the following study the relation between the public debt and the inflation will be analysed. The transmission from the public debt to the inflation through the money supply and long term interest rate will be shown. Based on these theoretical thoughts the variables public debt, consumer price index, money supply m3 and the long term interest rate will be analysed within a vector error correction model. In the empirical part of this paper we will evaluate the timeperiod from the first quarter in 1991 until the fourth quarter in 2010 for Germany. In a vector error correction model every variable can be taken as endogenous. The variables in the model will be tested for cointegrated relationships and estimated with the Johansen-Approach.

In this paper, we have employed non-linear model reexamine real interest parity (RIP) of five European economies with respect to the US. We focus on using linear and nonlinear unit root tests to test real interest rate differentials (RIRD). And we add time trend in the logistic and exponential smooth transition regression models to monthly data. The results are as follows. First, the evidence for the full-sample is favorable using three traditional unit root tests and one powerful nonlinear unit root test. Almost all economics are support real interest parity. Second, we use nonlinear error correction model to find which factors influence on RIRD. There are three economics influenced by both domestic and foreign factors at the same time.

In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo / premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.

Η εργασία που ακολουθεί εκπονήθηκε στα πλαίσια του μεταπτυχιακού προγράμματος σπουδών “Διοίκηση Επιχειρήσεων Τροφίμων ”, του τμήματος Διοίκησης Αγροτικών Προϊόντων και Τροφίμων του Πανεπιστημίου Πατρών, κατά την ακαδημαϊκή περίοδο σπουδών 2011-2013. Ο μηχανισμός μετακύλισης των τιμών μεταξύ παραγωγών και καταναλωτών έχει αποτελέσει αντικείμενο εκτεταμένης έρευνας κυρίως στον τομέα των τροφίμων. Η παρούσα εργασία αναλύει τα βασικά προϊόντα του νομού Αιτωλοακαρνανίας κυρίως του πρωτογενή τομέα ενώ ειδικότερα εξετάζει την ύπαρξη ασυμμετρίας στον μηχανισμό μεταβίβασης τιμών μεταξύ των παραγωγών και των καταναλωτών στον τομέα του κρέατος στην Ελλάδα. Πιο συγκεκριμένα, η έρευνα επικεντρώνεται στα τέσσερα είδη κρέατος όπως μοσχαριού, αρνιού, χοιρινού και κοτόπουλου. Οι τιμές των τεσσάρων ειδών κρέατος έχουν χορηγηθεί από την Ελληνική Στατιστική Αρχή. Όλες οι μεταβλητές μετασχηματίζονται σε λογαρίθμους και οι τιμές αποπληθωρίζονται με βάση τον δείκτη τιμών καταναλωτή (2009=100). Για την μελέτη της ασυμμετρίας γίνεται χρήση των τεχνικών συνολοκλήρωσης (Threshold Cointegration Analysis) καθώς εκτιμάται και ένα δυναμικό υπόδειγμα διόρθωσης λαθών (Error Correction Model, ECM). Διερευνάται η ύπαρξη μακροχρόνιας σχέσης μεταξύ παραγωγών και καταναλωτών στην υπό εξέταση αγορά, ενώ η κατεύθυνση της αιτιότητας κατά Granger έδειξε πως η τιμή του καταναλωτή επηρεάζει την τιμή του παραγωγού. / The following assignment carried out through of the postgraduate program "Food Business Management" at the department of Management Food and Agricultural products of University of Patras, the academic study period 2011-2013. The price transmission mechanism between producers and consumers has been the subject of extensive research mainly in the food sector. This paper analyzes the commodities the county of Aitoloakarnania mainly in the primary sector while particularly considers the existence of asymmetry in the transmission mechanism of prices between producers and consumers in the meat sector in Greece. More specifically, the research focused on four types of meat such as beef, lamb, pork and chicken. The values of the four types of meat have been granted by the Greek Statistical Authority. All variables transformed into logarithms and prices are deflated by the consumer price index (2009 = 100). For studying the asymmetry are used techniques of cointegration (Threshold Cointegration Analysis) and estimated as a dynamic error correction model (Error Correction Model, ECM). Investigated the existence of long-term relationships between producers and consumers in the relevant market, while the direction of Granger causality test showed that the price of the consumer affects the value of the producer.

Η παρούσα μελέτη εξετάζει τη δυναμική σχέση μεταξύ των τιμών των ζωοτροφών και παραγωγού, καταναλωτή για τέσσερα είδη κρέατος: μοσχάρι, χοιρινό, αρνί και κοτόπουλο. Η σχετική βιβλιογραφία δείχνει ότι πολλοί παράγοντες επιδρούν στις τιμές των αγροτικών προϊόντων αλλά οι τιμές των ζωοτροφών είναι ο κυριότερος. Αυτό συμβαίνει γιατί οι ζωοτροφές αποτελούν πρώτη ύλη για την παραγωγή κρέατος και κατ΄επέκταση θα επηρέασουν τις τιμές παραγωγού και καταναλωτή. Τα δεδομένα αποτελούνται από 279 μηνιαίες τιμές που εκτείνονται από τον Ιανουάριο 1990 έως τον Ιανουάριο 2013. Χρησιμοποιώντας Johansen cointegration tests, Granger causality tests και impulse response functions τα εμπειρικά αποτελέσματα επιβεβαιώνουν πως οι τιμές των ζωοτροφών, οι τιμές παραγωγού και οι τιμές καταναλωτή δεν είναι ανεξάρτητες μεταξύ τους. / The present paper studies the relationship among feed prices, producer prices and consumer prices of meat: beef, pork, poultry and lamb. The literature indicates that there are many factors which affect agricultural commodity prices but the feed prices are the main. This is why feed has a principal role in the production of meat and will affect producer and consumer prices. The data consists of 279 monthly observations extending from January 1990 to January 2013. Using Johansen cointegration tests, Granger causality tests and impulse response functions, the empirical findings confirm that feed prices, consumer prices and producer prices are interdependent.

The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroeconomic conditions. For this reason, models that include macroeconomic impact were presented. Vector autoregression and vector error correction model were tested using the empirical data received from Swedish central bank, Swedish statistics and Eurostat. For financial stability it is worth using vector autoregression or vector error correction model as they describe the macroeconomic environment in the most suitable way and they are appropriate for shock analysis by showing how the impact of any factor can change the whole system. Structure: introduction, main part (credit risk, methods and empirical analysis), publication, conclusions, references. Thesis consists of: 50 p. text without appendices, 13 pictures, 11 tables, 26 bibliographical entries. Appendices included. / Kredito įstaigų priežiūros institucijos nepateikia komerciniams bankams kokius metodus jie turėtų naudoti testavime nepalankiomis sąlygomis. Tiriamasis darbas buvo atliktas tuo tikslu, kad būtų išsiaiškinta kokie matematiniai ir statistiniai metodai yra ir gali būti naudojami kredito rizikos vertinime testuojant nepalankiomis sąlygomis. Kredito rizika yra viena iš didžiausių finansinių rizikų su kuria bankai susiduria. Testavimas nepalankiomis sąlygomis yra kredito rizikos vertinimo įrankis, padedantis nustatyti įvykių, kurių realizavimosi tikimybės yra mažos, tačiau jiems įvykus, bankai patirtų reikšmingus nuostolius, pasekmes. Šis tyrimas nustatė, jog labiausiai tikėtinas įvykis gali būti ypatingai nepalankios ekonominės sąlygos. Dėl šios priežasties darbe yra pristatyti metodai, kurie įvertina makroekonominių veiksnių įtaką. Vektorinė autoregresija ir vektorinis paklaidų korekcijos modelis buvo patikrinti naudojant Švedijos centrinio banko, Švedijos statistikos departamento ir Eurostat empirinius duomenis. Finansinio stabilumo įvertinimui vertėtų naudoti vektorinį autoregresijos ar vektorinį paklaidų korekcijos modelius, nes šie modeliai geriausiai aprašo ekonominę aplinką bei yra labai tinkami šokų analizei, kadangi įvertina bet kurio veiksnio įtaką visai sistemai. Struktūra: įvadas, pagrindinė dalis (kredito rizika, metodai ir empirinė analizė), publikacija, išvados, literatūros sąrašas. Tiriamasis darbas sudarytas iš: 50 psl. teksto be priedų, 13 paveikslų, 11... [toliau žr. visą tekstą]

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Baigiamajame magistro darbe yra nagrinėjamas Baltijos šalių – Lietuvos, Latvijos ir Estijos BVP, jo kitimo tendencijos bei pagrindiniai makroekonomikos rodikliai – galutinio vartojimo išlaidos, prekių ir paslaugų importas bei eksportas, investicijos, užimtųjų darbo rinkoje skaičius bei BVP defliatorius. Išnagrinėti šių rodiklių apibrėžimai bei ekonominė prasmė, taip pat apžvelgta sukaupta mokslininkų patirtis modeliuojant juos. Siekiant išsiaiškinti ryšius tarp šių rodiklių atlikta koreliacijų bei Grangerio priežastingumo analizė. Modeliuojant, visų pirma, rasti ilgalaikiai sąryšiai tarp kintamųjų, o po to kiekvienai šaliai specifikuotas paklaidų korekcijos modelis bei įvertintas šio modelio tikslumas. Išnagrinėjus praktinius ir teorinius aspektus, pateikiamos baigiamojo darbo išvados ir pasiūlymai. Darbą sudaro 5 dalys: įvadas, analitinė - metodinė dalis, tiriamoji dalis, išvados ir pasiūlymai, literatūros sąrašas. Darbo apimtis – 112 p. teksto be priedų, 60 iliustr., 35 lent., 28 bibliografiniai šaltiniai. Atskirai pridedami darbo priedai. / The gross domestic product of the Baltic States – Lithuania, Latvia and Estonia, has been examined in the master thesis. Trends of the GDP and the main macroeconomic indicators – gross final consumption expenditure, imports and exports of goods and services, investment, labor force and GDP deflator have been analyzed. The definitions of these indicators and an economic sense, as well as researchers' experience in modeling, have been examined. In order to establish the relationship between these variables, analysis of the correlation and Granger causality test has been performed. In particular, modeling started with the finding of the long – term relationship between selected indicators. After that the error correction model has been specified and the accuracy of this model has been estimated. After the examination of the practical and theoretical aspects, the conclusions and recommendations have been presented. Structure: introduction, analytical – methodical part, research part, conclusions and suggestions, references. Thesis consists of: 112 p. text without appendixes, 60 pictures, 35 tables, 28 bibliographical entries. Appendixes included.

本研究以新台幣兌美元之匯率日資料作為主要研究標的，同時加入台灣加權股價指數及金融業隔夜拆借利率之日資料作為股價與利率之代理變數，利用Beveridge-Nelson分解趨勢的方法將變數資料拆解成趨勢項與循環項之時間序列資料，藉此捕捉匯率資料具有景氣循環的特性。在循環項的序列資料，以向量自我迴歸模型來分析並予以估計，趨勢項的部分，利用共整合檢定來探討趨勢項變數間長期的均衡關係，再以向量誤差修正模型予以估計，得到未來30天期之匯率走勢。接著，再以RMSE與MAE指標來衡量不同模型之匯率預測績效，以期能找出最適之匯率預測模型。 實證研究結果發現，將匯率資料先透過Beveridge-Nelson分解趨勢的方法予以拆解後，再利用時間序列模型進行分析及預測，時間序列模型的預測能力都比原始匯率利用時間序列模型進行預測或透過ARIMA模型進行預測還要來的好。因此，根據實證研究的結果，若企業與政府在進行匯率預測的分析時，能夠考慮先將匯率資料透過Beveridge-Nelson分解方法予以處理，便能更有效提升模型的預測能力，除了企業能夠降低避險成本來提高公司整體績效，對於國家而言，有效的掌握匯率的趨勢便能夠迅速且正確的制定政策，提升國家的經濟發展。