Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 168-172). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 168-172). Also available on the Internet.

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.

A hipótese da neutralidade da moeda tem como marco teórico a Teoria Quantitativa da Moeda (TQM), que é fundamentada a partir da equação de trocas de Fisher, supondo que a velocidade-renda da moeda é constante, sendo o produto real determinado exogenamente por variáveis não-monetárias, tais como a tecnologia, o estoque de capital e a oferta de trabalho. Mas, o produto real é realmente exógeno no Brasil? Ou, em outras palavras, é válida a hipótese de neutralidade da moeda? Esse tema tem sido objeto de muitos estudos empíricos. Ademais, o efeito Tobin e as teorias de crescimento endógeno sugerem que pode haver um efeito real da moeda no longo prazo. Este trabalho investigou as possíveis relações de longo prazo entre a oferta nominal de moeda, o nível de preços e o Produto Interno Bruto (PIB) real para o Brasil de 1946 a 2008, utilizando dados de baixa frequência (anuais). Para a parte empírica foi utilizado o teste de cointegração de Johansen e integração das variáveis, com destaque para o estudo de estacionaridade da velocidade de circulação da moeda, que se mostrou ser constante apenas na presença de quebras estruturais. Principalmente, foram utilizados testes de exogeneidade, com o objetivo de permitir ao pesquisador trabalhar com um conjunto de informações o mais amplo possível, vale dizer, que englobasse as informações que proviessem da teoria econômica e do processo gerador de dados. Quanto aos testes de raiz unitária, encontrou-se que as variáveis em estudo (y, m e p) são I(1), ou seja, são estacionárias apenas em primeira diferença. Os resultados encontrados vão no sentido de validar a exogeneidade do produto real, apesar de os resultados provenientes do teste de causalidade Granger não ter sido conclusivo. Dessa forma, este trabalho cria evidências a favor da hipótese da neutralidade da moeda. / The hypothesis of neutrality of money is the theoretical framework of the Quantity Theory of Money (QTM), which is based from the Fishers equation of exchange, assuming that the income-velocity of money is constant, the real output is exogenously determined by nonmonetary variables, such as technology, capital stock and labor supply. But the real output is truly exogenous in Brazil? Or, in other words, it is valid the hypothesis of neutrality of money? This theme has been the subject of many studies. In addition, the Tobin effect and the endogenous growth theories suggest that there may be a real effect of money in the long run. This study investigated the possible long-run relationships between the nominal money supply, the price level and real Gross Domestic Product (GDP) for Brazil from 1946 to 2008, using low frequency (annual) data . For the empirical test was used the Johansen cointegration and integration of the variables, especially the study of the stationarity of the velocity of money circulation, which provided to be constant only in the presence of structural breaks. Mainly, we used exogeneity tests in order to allow the researcher to work with a set of information as broad as possible, ie, encompassing the information come from the economic theory and data generator process. For the unit root tests, it was found that the study variables (y, m e p) are I (1), ie, are stationary only in first difference. The results are in line to validate the exogeneity of real output, although the results from the Granger causality test was not conclusive. Thus, this work creates evidence for the hypothesis of neutrality of money.

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Thesis (Ph. D.)--University of Washington, 1999. / Vita. Includes bibliographical references (leaves 110-115).

No description available.

A hipótese da neutralidade da moeda tem como marco teórico a Teoria Quantitativa da Moeda (TQM), que é fundamentada a partir da equação de trocas de Fisher, supondo que a velocidade-renda da moeda é constante, sendo o produto real determinado exogenamente por variáveis não-monetárias, tais como a tecnologia, o estoque de capital e a oferta de trabalho. Mas, o produto real é realmente exógeno no Brasil? Ou, em outras palavras, é válida a hipótese de neutralidade da moeda? Esse tema tem sido objeto de muitos estudos empíricos. Ademais, o efeito Tobin e as teorias de crescimento endógeno sugerem que pode haver um efeito real da moeda no longo prazo. Este trabalho investigou as possíveis relações de longo prazo entre a oferta nominal de moeda, o nível de preços e o Produto Interno Bruto (PIB) real para o Brasil de 1946 a 2008, utilizando dados de baixa frequência (anuais). Para a parte empírica foi utilizado o teste de cointegração de Johansen e integração das variáveis, com destaque para o estudo de estacionaridade da velocidade de circulação da moeda, que se mostrou ser constante apenas na presença de quebras estruturais. Principalmente, foram utilizados testes de exogeneidade, com o objetivo de permitir ao pesquisador trabalhar com um conjunto de informações o mais amplo possível, vale dizer, que englobasse as informações que proviessem da teoria econômica e do processo gerador de dados. Quanto aos testes de raiz unitária, encontrou-se que as variáveis em estudo (y, m e p) são I(1), ou seja, são estacionárias apenas em primeira diferença. Os resultados encontrados vão no sentido de validar a exogeneidade do produto real, apesar de os resultados provenientes do teste de causalidade Granger não ter sido conclusivo. Dessa forma, este trabalho cria evidências a favor da hipótese da neutralidade da moeda. / The hypothesis of neutrality of money is the theoretical framework of the Quantity Theory of Money (QTM), which is based from the Fishers equation of exchange, assuming that the income-velocity of money is constant, the real output is exogenously determined by nonmonetary variables, such as technology, capital stock and labor supply. But the real output is truly exogenous in Brazil? Or, in other words, it is valid the hypothesis of neutrality of money? This theme has been the subject of many studies. In addition, the Tobin effect and the endogenous growth theories suggest that there may be a real effect of money in the long run. This study investigated the possible long-run relationships between the nominal money supply, the price level and real Gross Domestic Product (GDP) for Brazil from 1946 to 2008, using low frequency (annual) data . For the empirical test was used the Johansen cointegration and integration of the variables, especially the study of the stationarity of the velocity of money circulation, which provided to be constant only in the presence of structural breaks. Mainly, we used exogeneity tests in order to allow the researcher to work with a set of information as broad as possible, ie, encompassing the information come from the economic theory and data generator process. For the unit root tests, it was found that the study variables (y, m e p) are I (1), ie, are stationary only in first difference. The results are in line to validate the exogeneity of real output, although the results from the Granger causality test was not conclusive. Thus, this work creates evidence for the hypothesis of neutrality of money.

Econometric Analysis of Financial Data Author: Matúš Baniar Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr. Abstract: In some occasions, financial data can be represented as a combination of cross-sectional and time-series information. Hence it could be convenient to consider a system of econometric equations for modeling such data sets. At the beginning of this thesis, we describe general definitions and we talk about different types of variables from the perspective of exogeneity. Later, we describe some specific cases of these equations: SUR system, simultaneous equation models and the model of vector autoregression. For selected models, we also discuss estimation methods and their properties. In the final section, the described approach is applied to real financial data making use of appropriate software. Keywords: exogeneity, SUR system, simultaneous equations, VAR

This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.