We use annual real GDP and the volume of the bond, stock and credit markets to assess the causal relationship between the aggregate bond market development and economic growth in the USA, Japan, Germany, Great Britain, Italy, France and the Netherlands over the 1950 to 2001 period. The literature on the real - financial nexus to date has focused on the credit and stock markets, with few exceptions. Partially due to data availability problems, the impact of bond markets on economic growth has not yet been examined in the same way. To fill this gap we provide empirical evidence for long-run equilibrium and Granger causality in at least one direction in the relationship among real GDP and bond, credit and stock markets in seven economies with large bond markets. The supplyleading hypothesis that development of the financial markets enhances growth is supported in all countries except for Germany. The demand-leading hypothesis that economic development pulls the development of the financial markets is supported only for Germany. A feedback between domestic credits and output is found in Japan. There is evidence for a feedback between the equity markets and real output in Japan and the Netherlands. (author's abstract) / Series: EI Working Papers / Europainstitut

This thesis applied the short-time direct directed transfer function (SdDTF) to time series data recordings from intracranial electrodes that measure the brain's electrical activity to determine the causal influences that occurred between brain regions during a speech production task. The combination of high temporal and spatial resolution of the electrocorticography (ECoG) recordings directly from the cortex render these measurements of brain activity desirable, particularly when analyzing the fine cognitive dynamics involved in word generation. This research applied a new method to characterize the SdDTF results by compressing across time and high gamma frequencies, generating adjacency matrices, and graphing them to visualize the influences between anatomical regions over the duration of the entire task. This consolidated SdDTF analysis technique allowed for data from a total of seven patients to be combined, generating results which were consistent with current speech production models. The results from this thesis contribute to the expansion of language research by identifying areas relevant to word generation, providing information that will help surgeons avoid irreparable damage to crucial cortex during brain surgery.

In this thesis, we analyze volatility spillovers between crude oil and food commodities. The principal hypothesis assumes crude oil to behave as a production factor of the agricultural food commodities, thence we are looking for appropriate price effects. We mainly employ wavelet coherence and partial wavelet coherence, which provide us with valuable insight into the commodities nexus, without any strict restraints and assumptions levied on our data. Secondly, we build a DCC-GARCH model in order to model the presumed volatility spillovers. We also perform several simple benchmark analyses, in particular we test for Granger causality and we compute the Pearson correlation coefficients. Our data sample, including 10 commodities and 2 indices, covers the latest decade, significantly widening the existing contextual literature. Our results are mostly compliant with related literature, especially regarding the crude oil-fuels bundle and food commodities bundle, respectively. Considering the main research question of volatility spillovers between food commodities and crude oil, our results are indicating reasonably strong relationships with crude oil for soybeans and corn, leaving cotton and wheat rather on the verge of strong relationship and finding cattle to be completely unrelated. Main merits of the thesis...

This diploma thesis deals with a question of identification of causality between sentiment on social network Twitter and a price of specific, publicly traded stocks on New York Stock Exchange (NYSE). By a multi criteria analysis were chosen stocks of Microsoft Corporation and Apple Inc. There is constructed a model, which identifies authors messages on Twitter -- tweets and sentiment which they carry in relation to companies. Success of this model is examined by both qualitative and quantitative analysis. The thesis is trying to provide a solution to current and potential investors and management of the companies in order to take better decisions in allocating funds and managing the companies.

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It is widely recognised that the construction industry has a positive role to accelerate the wheel of economic growth in any country. This research is concerned with the Libyan construction industry (LCI). Libya is a developing country which suffered from a big loss in its infrastructures and its unemployment rate increased to 30% in the middle of 2013. Regarding the importance of the construction industry through the role it has in providing infrastructure and creating employment and the poor economic condition of Libya, the rationale of this research follows the example of other nations such as Turkey, Singapore, Malaysia , and Middle East countries where the construction industry was evolved with a target to further boost up the process of economic development. The case of Libya in this regard is valid for the financial stability in the country given its oil reserves and the capacity of the country to absorb migrated skilled labour. This situation is expected to follow the fall of Gaddafi’s regime. The approach of selecting construction as providing input to economic growth follows the strong evidence of the significant role that the construction industry plays in economic growth of the country. The construction industry contributes to economic growth from the demand side and in the traditional Keynesian economy, sustainable short-run economic growth is dependent on the increased demand. For example, in the UK, construction’s 2.5% growth in the third quarter of 2013 helped the overall economy grow by 0.8% over the same period. In comparison with the other industries that contribute to the economic growth of developing countries, the construction industry is more labour-intensive while the developing countries are mostly labour-abundant. The main aim of this research is to investigate the contribution of the construction industry to economic development in order to establish a comprehensive list of recommendations and a guideline for achieving an efficient construction industry to accelerate the process of economic growth. For this aim, the first objective is to examine the causal relationship between the construction industry and gross domestic product (GDP) as a measure of the economic growth and between the construction industry and other economic sectors. To achieve the aim of this research, Granger causality tests have been conducted. The financial data about the expenditure on the construction industry in Libya and its share in the GDP of the country and the share of the other economic sectors in the GDP during 1986-2009 was provided by an authority from the Libyan construction industry. First, The Augmented Dickey Fuller (ADF) and the Philip Perron (PP) unit root tests were conducted to confirm that the tested time series are stationary. After that, to determine the existence of the long-run causal relationship between the CI and GDP, Engle-Granger co-integration test was used and, finally, vector error correction (VER) model was employed to detect the direction of the causal relationship between the two variables. The study found that in Libya, like in other countries, the relationship between the construction industry and GDP is bi-directional: GDP produces a short-term impact on the investment in the construction industry while investment in the construction industry produces a long-term impact on GDP. However, except for trade, no economic sector was found to have a causal relationship with the construction industry. According to these findings, another objective was established in this research: to identify safety and total quality management (TQM) which can play an important role in growing the efficiency of the Libyan construction industry. To achieve this objective, telephone conversations were conducted with the officials of the largest construction company in the city of Benghazi. The findings indicated that the TQM does not exist in the construction company and, although the safety department does exist, it works via strict procedures. Thus, opportunity to increase the performance of the CI in order to increase its contribution to economic growth does exist through implementation of the safety and TQM implementation in Licccbyan construction companies. The previous studies used the causal relationship just to prove specific hypotheses. The novelty of this research is to obtain benefits from the existence of the causal relationship from the CI to GDP in the long term through suggesting major issues as safety and TQM implementation to raise the performance of the CI in the current period in order to increase its contribution to the economic growth in the future.

Dissertação (mestrado)—Universidade de Brasília, Programa Multiinstitucional e Inter-regional de Pós-Graduação em Ciências Contábeis, 2008. / Submitted by Raquel Viana (tempestade_b@hotmail.com) on 2009-11-09T19:00:26Z No. of bitstreams: 1 2008_BrunoViniciusRamosFernandes.pdf: 531362 bytes, checksum: 28de6b77c3d9f4977632054f1c675fad (MD5) / Approved for entry into archive by Marília Freitas(marilia@bce.unb.br) on 2009-12-08T13:40:28Z (GMT) No. of bitstreams: 1 2008_BrunoViniciusRamosFernandes.pdf: 531362 bytes, checksum: 28de6b77c3d9f4977632054f1c675fad (MD5) / Made available in DSpace on 2009-12-08T13:40:28Z (GMT). No. of bitstreams: 1 2008_BrunoViniciusRamosFernandes.pdf: 531362 bytes, checksum: 28de6b77c3d9f4977632054f1c675fad (MD5) Previous issue date: 2008 / Atualmente, a existência de bolhas na formação dos preços dos ativos tem sido motivo de grande preocupação para governantes e investidores nos países onde há mercados de capitais relevantes. A existência do componente de bolha na formação dos preços pode ser indicada pelo seu desvio em relação ao seu valor fundamental. No caso das ações, uma suspeita de bolha de preços pode ser evidenciada quando os preços se deslocam em relação aos dividendos no longo prazo. O presente estudo buscou encontrar evidências sobre ocorrência de bolhas de preços no mercado acionário brasileiro no período de 1994 a 2007. Foram feitos testes no mercado de forma geral e em 17 setores classificados pelo banco de dados Economática®. Para testar a evidência de bolhas no mercado como um todo, foi utilizado o Ibovespa como proxy do preço médio das ações, e como indicador médio da distribuição de dividendos, foi construído um índice, de dividendos distribuídos, baseado nas próprias carteiras do Ibovespa no período. Foram feitos os testes de cointegração Engle-Granger e Johansen, com o objetivo de verificar se os citados índices mantiveram uma relação de equilíbrio de longo prazo. O resultado encontrado demonstra que não há cointegração entre o Ibovespa e o Idividendos, ou seja, as duas séries não mantiveram equilíbrio de longo prazo indicando a possibilidade de terem ocorrido uma ou mais bolhas na formação dos preços das ações. Os testes setoriais demonstram o mesmo resultado do teste geral, havendo fortes indícios da possibilidade de bolhas de preços nos 17 setores pesquisados. Com o objetivo de dar mais robustez aos resultados, também foram feitos testes de causalidade Granger nos índices e nos setores. A suposição teórica é que, se os preços das ações são função dos dividendos estes deveriam causar (preceder) aqueles. Os testes de causalidade Granger indicam que os dividendos não “Causam Granger” o Ibovespa e nos 17 setores, ao nível de significância de 1%, 82% dos setores não apresentaram nenhuma causalidade na direção dividendos – preços das ações, reforçando os resultados encontrados nos testes de cointegração. _______________________________________________________________________________ ABSTRACT / Currently, the existence of bubbles in asset pricing has been the cause of great concern for government authorities and investors in countries with relevant capital markets. The existence of a bubble component in asset pricing can be inferred by its deviation with respect to its fundamental value. When it comes to stocks, the suspicion about a price bubble arises when stock prices deviate relative to dividends in the long run. The present study aimed at finding evidence on price bubble episodes in the Brazilian stock market from 1994 to 2007. Tests were carried out considering the stock market as a whole and also in stocks of 17 industrial sectors classified in Economatica®’s database. In order to test the evidence of bubbles in the market as a whole, the Bovespa average stock market index (Ibovespa) was used as a proxy of the average stock market price and an average dividend index was built based on Ibovespa’s stock portfolios in the period. Engle-Granger and Johansen cointegration tests were performed with the purpose of verifying whether the above mentioned indexes kept a long run equilibrium relationship. Our findings show that there is no evidence of cointegration between the Bovespa stock index and the Bovespa dividend index, which means that the two series have not kept a long run equilibrium relation indicating the possibility that one or more bubbles might have occurred during the focused period. The industrial sector tests show results similar to the general test, indicating strong evidence on the possibility of price bubbles in the 17 industry sectors analyzed. Aiming at yielding more robustness to the results, Granger causality tests were also carried out considering the market as a whole and by industrial sector. The theoretical assumption is that if the stock price is a function of dividends, the latter should Granger-cause (lead) the former. The Granger causality tests indicate that dividends do not Granger-cause Ibovespa and in the 17 industrial sectors, at the significance level of 1%, 82% of the sectors did not show any causality in the dividend – price direction, which confirms the results obtained in the cointegration tests.

Notre travail vise à présenter, dans un cadre unifié, les fondements et les propriétés théoriques des mesures de performance de portefeuille basées sur la fonction de distance directionnelle. De fait, ce travail combine différents champ d'analyse : les mesures statiques et dynamiques des performances des actifs financiers, l'analyse du lien entre le sentiment des investisseurs et la rentabilité de l'indice de marché. Les modèles proposés permettent d'évaluer l'efficience des opportunités d'investissement disponibles sur les marchés financiers. Les mesures de performance sont formulées à partir de la fonction de distance directionnelle de Luenberger (1998). Cette fonction permet de définir des performances aussi bien dans un cadre quadratique que non-linéaire sur une période statique ou dynamique. Cette fonction de distance est utilisée pour mesurer la performance des Ç hedge funds È dans le cadre dynamique, celle des portefeuilles touristiques dans le cadre cubique et celle des valeurs de l'indice du CAC40 dans le cadre quadratique avec deux mesures de risque : la variance et l'écart-moyen absolu. Une étude de la relation entre l'indice de marché et le sentiment des investisseurs est proposée à la fin de cette thèse. / This research aims to present the foundations and theoretical properties of portfolio efficiency based on directional distance measure. We try to com- bine different field of analysis: static and dynamic measurements of financial assets performance and the analysis of the relationship between investor sentiment and profitability of the market index. Performance measures are formulated from the directional distance function Luenberger (1998). This function allows to define portfolio efficiency as well as in a quadratic or in nonlinear framework. It can also be used in both static and dyna- mic context. This distance function is used to measure the performance of hedge funds in the dynamic context. We measure the destination efficiency in mean-variance-skewness framework. We use two risk measures: variance and absolute deviation to measure the efficiency of CAC40 financial as- sets. A study of the relationship between the market index and investor sentiment is proposed at the end of this thesis.

This thesis is about the causal relationship between interest rates. In chapter 1, with the help of time-series econometrics and by applying linear Granger causality tests based on the Toda-Yamamoto approach, the linear causality directions between the federal funds rate and five different interest rates during the last seven business cycles in the U.S. are investigated. We also examine the linear Granger causality directions between the overnight rate and five other interest rates during the last three business cycles in Canada. In chapter 2, the Diks and Panchenko Granger causality test is applied to explore the nonlinear causality effects between the short-term and long-term interest rates. By combining nonlinear causality effects with the linear ones which are found in the first chapter, it is seen that during the related periods in the U.S. and Canada, the most common Granger causality direction between short-term and long-term interest rates is a bidirectional one. Moreover, our findings show that during recent periods, the federal funds rate and overnight rate Granger cause other interest rates significantly. In chapter 3, the rolling window strategy is employed to detect the linear and nonlinear Granger causality relationship between the federal funds rate and the 10-year government bond rate, during different time horizons, investigating whether these causalities change with the passing of time. Our findings show that during different time horizons, there is a significant two-way Granger causality relationship between these interest rates. Although we have a different interpretation of the existence of bidirectional causation between short-term and long-term interest rates, this conclusion provides some support to some post-Keynesian structuralists viewpoints like Pollin (2008). However, Pollin's claim indicating that with the passing of time the significant causality effects of the federal funds rate to the market rates becomes insignificant is not supported by the current thesis findings because our results demonstrate that these causality effects have not been diminishing over the most recent business cycles.

The main objective of this study is to examine the relationship between banking development and economic growth in Namibia. Namibia has eight licenced commercial banks, four of which have been operational prior to the country's independence; Bank Windhoek Limited, First National Bank Namibia Limited, Nedbank Namibia Limited and Standard Bank Namibia Limited (BON, 2018). The other four licenced commercial banks began operating post independence. The banking development indicators employed by this study were broad money to nominal GDP (M2), private sector credit to nominal GDP (PSC), and lending interest rates (INTR). The data used in this study is annual data, covering the period 1991 to 2018, engaging the VAR/VECM framework in order to determine the presence of a long-run and short-run association. In addition, this study engaged the Granger causality methodology in order to determine the casual association between banking development and economic growth. The error correction term equation suggested a long-run relationship between the variables in the VECM, while the results indicated that there are no short run associations amongst the variables. Further, the results of the Granger causality test indicated a bidirectional causality between LNRGDP and LNPSC. In addition, the causality test showed that lags of LNINTR Granger causes LNPSC, which is consistent with the neoclassical theory of interest rate, which pronounces that interest rates are determined by the demand and the supply of loanable funds. Moreover, lags of LNINTR and lags of LNM2 granger causes LNRGDP, which suggest that banking development causes economic growth. The study recommended that the Namibian banks should reform credit policies and decrease the cost of debt in an attempt to avail more credit to the private sector in order to sustain and stimulate economic growth.