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Análise da causalidade e cointegração entre variáveis macroeconômicas e o IBOVESPA / Analysis of causality and cointegration between macroeconomic variables and IBOVESPASilva, Fabiano Mello da 10 February 2012 (has links)
The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observations for each variable. Johansen s tests through Estatistical Trace and Maximum Eigenvalue indicated that there is at least one cointegration vector. In the analysis of Granger Causality Tests by way of Error Correction, it was found that there was short-term causality between Consumer Price Index and IBOVESPA. Regarding long-term results of Granger Causality, it was showed behavior of long-term among the macroeconomic variables with IBOVESPA. The results of the long-term of normalized vector for the IBOVESPA variable showed that most of sign parameters of cointegration equation are in agreement with the one suggested by economic theory. In other words, there was a positive behavior regarding Gross Internal Product and a negative one regarding inflation and exchange rate (it was hoped a positive relation) regarding IBOVESPA, except Brazil interest rate, which was not significant with that index. The variable of IBOVESPA was explained in more than 90% by itself in the twelfth month, followed by country-risk with less than 5%. / O objetivo deste trabalho foi de verificar a relação de causalidade entre um conjunto de variáveis macroeconômicas, representadas por taxa de câmbio, taxa de juros, inflação (IPCA), índice de produção industrial como proxy do Produto Interno Bruto em relação ao Índice de Bolsa de Valores de São Paulo (Ibovespa). O período de análise compreendeu os meses de janeiro de 1995 a dezembro de 2010, perfazendo um total de 192 observações para cada variável. Os testes de Johansen, através da estatística do traço e do máximo autovalor, indicaram a existência de pelo menos um vetor de cointegração. Na análise dos testes de causalidade de Granger via correção de erros, ficou constatado que existiu causalidade de curto prazo entre o IPCA e o Ibovespa. No que concerne à causualidade de Granger de longo prazo, os resultados indicaram comportamento de longo prazo entre as variáveis macroeconômicas com o IBOVESPA. Os resultados do vetor normalizado de longo prazo para a variável Ibovespa evidenciaram que a maioria dos sinais dos parâmetros da equação de cointegração estão de acordo com o sugerido pela teoria econômica. Em outras palavras, houve um comportamento positivo do PIB e negativo da inflação e da taxa de câmbio (esperava-se uma relação positiva) em relação ao Ibovespa, com exceção da taxa Selic., que não foi significativa com o referido índice. A variância do Ibovespa foi explicada em mais de 90% por ela mesma no mês 12, seguida do risco-país, com menos de 5%.
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Analyse des approches prudentielles de la gestion des risques bancaires : quelques constats économétriques sur les banques africaines / Analysis of the prudential approaches of bank risk management : some econometric analysis on the african banksGarba, Moussa 14 December 2016 (has links)
Cette thèse contribue à la littérature sur les normes prudentielles de la gestion des risques bancaires,la causalité entre le développement financier et la croissance économique et enfin les hypothèses del'aléa moral et de la réglementation du capital des banques. La crise des Subprimes de 2007 aparadoxalement permis de souligner une fois de plus les lacunes des normes prudentielles Bâle I etBâle II, du fait de ses différentes conséquences sur les systèmes bancaires mondiaux. En adoptantune démarche économétrique et en exploitant des données de panel sur un échantillon des banquesd’Afrique subsaharienne et du Maghreb, nous avons utilisé plus particulièrement la technique decausalité au sens de Granger et celle d'estimation GMM afin de mener des études empiriques surcelles-ci, notamment la causalité entre le développement financier et l’économie réelle d’une part, larelation entre le capital et la profitabilité (risque) des banques d’autre part. Les résultats soulignent ladépendance entre certaines variables de la profitabilité des banques et la croissance économiqued’une part, et d’autre part les comportements des banques africaines, en termes de la détention ducapital et à la prise excessive des risques, cadrent parfaitement aux hypothèses de l’aléa moral et dela réglementation du capital du comité de Bâle. / This thesis contributes to the literature on prudential risk management in the banking sector,causality between financial development and economic growth and finally, the study of moral hazardand the regulation of the capital of banks. The Subprime Mortgage Crisis of 2007 paradoxicallyDépôt de thèseDonnées complémentairesmade it possible to once more highlight the inadequacies in the Basel I and Basel II prudentialstandards, because of its various consequences on the global financial system. We adopted andapplied the Granger causality test and the GMM estimation method to panel data on a sample ofbanks in sub-Saharan Africa and the Middle East, in order to conduct empirical studies, in particularon the causality between financial development and the real economy on one hand, the relationbetween capital and the profitability (risk) of banks on the other. The results highlight thedependence between certain variables describing bank profitability and economic growth on onehand, and those describing the characteristics of African banks on the other, in terms of capitalretention and excessive risk taking. This coincides perfectly with the study of moral hazard andcapital regulation set by the Basel Committee.
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The impact of macroeconomic variables on the Swedish stock market / Makroekonomiska variablers påverkan på den svenska aktiemarknaden.Johansson, John, Rudberg, Anton January 2021 (has links)
The main objective of this thesis is to find information of how, or if, the selected macroeconomic variables consumer price index, interest rate, exchange rate, industrial production, oil price and money supply have affected the Swedish stock market (OMXafgx) during the time-period 1973-2017. Findings in this research proves that all variables are co-integrated with the Swedish stock market, but only one of the variables selected, industrial production, have a short- and a longrun relationship affecting the Swedish stock market. A negative long run relation is also identified for money supply. / Huvudsyftet med denna uppsats är att finna information om hur, eller om, de utvalda makroekonomiska variablerna konsumentpris index, ränta, växelkurs, industriproduktion, oljepris och penningmängd har någon påverkan på den svenska aktiemarknaden (OMXafgx) från 2973-2017. Resultaten från denna undersökning visar att alla variablerna är samintegrerade med den svenska aktiemarknaden. Dock är det endast industriproduktion som har en kort- och långsiktig relation som påverkar den svenska aktiemarknaden. En negativ långsiktig relation identifieras även för penningmängd.
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Kan tunga transporter sia om det svenska konjunkturläget? : En ekonometrisk studie av förhållandet mellan tunga transporter och svensk BNP & IPI / Can road freight-transport predict Swedish economic growth? : An econometric study of the relationship between road freight-transport and Swedish GDP & IPIEskilsson, Anton, Wittlock, Mikael January 2022 (has links)
Bakgrund: Prognoser för den framtida konjunkturutvecklingen är av värde för såväl allmänheten som beslutsfattare i många led. De förlitar sig på olika former av ekonomiska prognoser för att justera sina förväntningar på efterfrågan och prissättning därefter.Forskningen kring transportsektorn som en konjunkturindikator har visat olika resultat beroende på flera faktorer men Tyskland som har en liknande transportsektor som Sverige introducerade nyligen ett nytt konjunktursmått som var baserat på tunga transporter. Syfte: Uppsatsen syftar till att med statistiska metoder undersöka om det finns eventuella samband mellan efterfrågan på transport genom tunga fordon och hela eller delar av den ekonomiska utvecklingen i Sverige som är av sådant slag att olika variabler kopplat till godstransport kan användas för att prognostisera ekonomisk upp- och nedgång. Genomförande: För att uppfylla studiens syfte har sekundärdata samlats in från OECD samt SCB & Trafa. Variablerna som hämtats är BNP, IPI, transportarbete & nyregistreringar. För att klargöra huruvida variablerna samspelar på kort & lång sikt så testar vi för kointegration och Granger-Kausalitet. Slutsats: Vi finner inga bevis på att transportarbete eller nyregistreringar innehåller värdefull information för att prognosticera framtida konjunkturvärden. Vi finner samband mellan BNP & IPI och nyregistreringar både på kort och lång sikt men tvärtom från vad studien syftade till visar vi att BNP och IPI föregår nyregistreringar i testet för Granger-kausalitet. / Background: Predicting economic growth is valuable for both the general public and decision makers in different parts of society. They rely on different kinds of econometric predictions to adjust their expectations related to price and demand. Studies based around the ability of transportation to predict future values of economic growth has shown differing results depending on various factors but Germany, who has a relatively similar transportation sector as Sweden, has recently implemented a new economic growth measure based on road freight. Aim: Through econometrical methods we aimed to study the relationship between the transportation sector, more specifically the road freight part, and economic growth and study road freights ability to predict future economic growth in Sweden. Completion: To fulfill the aim of the study we collected secondary data from SCB and OECD & Trafa. Our data collection consisted of four variables which was GDP and IPI as economic growth proxies and new registrations for road freight vehicles and road freight per kilometer were chosen as variables for the road freight sector. To understand how road freight could predict future economic growth for both short- and long term we tested for Granger-causality and cointegration. Conclusion: Our study shows no evidence for road freight being a valuable indicator for predicting future economic growth. Relationships were found between GDP & IPI and new registrations on short- and long term but in contradiction to our studies purpose the relationship was found to be from GDP & IPI to new registrations and not the other way around.
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Time Variation of Liquidity and Transaction Price Levels : An Empirical Study of the Swedish Commercial Real Estate Market / Tidsvarierande likviditet och transaktionspriser : En empirisk studie på den svenska kommersiella fastighetsmarknadenLandström, Emelie, Svensson, Agnes January 2024 (has links)
This thesis aims to explore the time variation of liquidity and transaction prices in the Swedishcommercial real estate market. The purpose is to contribute with insights about price dynamics and liquidity on the Swedish commercial real estate transaction market. A price index was therefore estimated based on the output of a hedonic regression model. The model controls for different locations, segments and years and further includes variables controlling for size, portfolio transactions and investor nationality. The regression model is based on transaction data provided by Cushman & Wakefield which consists of 10 194 observations over a 20-year period between the years 2003-2023. Further the relationship between transaction prices and liquidity was investigated. The liquidity measure used is turnover rate which was calculated for each year based on data from Statistics Sweden (SCB). Granger causality tests were conducted for different geographic aggregation levels to explore if liquidity can predict transaction prices and vice versa. The results show that market liquidity in terms of turnover rate in city and regional locations can be used to forecast the development of transaction prices and therefore“leads” the price development. The test results, in combination with a correlation analysis that showed strong correlation between prices and previous year’s turnover rates, suggests evidence of a sequential relationship between the variables. For the nation as a whole and for the rural location, the results of the causality tests were insignificant and the hypothesis that there does not exist a Granger causality between price and turnover could not be rejected. It was also concluded that since liquidity leads prices, information about turnover rates can be used to help forecast property cycles in the short term. / Detta examensarbete syftar till att undersöka sambandet mellan likviditet och transaktionspriser på den svenska kommersiella fastighetsmarknaden. Syftet är att bidra med insikter om prisdynamik och likviditet på den svenska kommersiella fastighetstransaktionsmarknaden. Ett prisindex estimerades baserat på en hedonisk regressionsmodell. Modellen estimerar transaktionspriser för olika geografiska delmarknader, segment och år och inkluderar vidare variabler som kontrollerar för storlek, portföljtransaktioner och investerarnationalitet. Regressionsmodellen är baserad på transaktionsdata från Cushman & Wakefield som består av 10 194 observationer under en 20-årsperiod mellan åren 2003 och 2023. Vidare undersöktes sambandet mellan transaktionspriser och likviditet. Likviditetsmåttet som används är omsättningsandel som beräknats för respektive år baserat på data från SCB. Test av Grangerkausalitet genomfördes för olika geografiska delmarknader för att undersöka om likviditet kanprediktera transaktionspriser och vice versa. Resultaten visar att marknadslikviditet i form avomsättningsandel i storstäder och regioner kan användas för att prognostisera utvecklingen avtransaktionspriser och därmed "leder" prisutvecklingen. Testresultaten, i kombination med enkorrelationsanalys som visade på en stark korrelation mellan priser och föregående årsomsättningsandelar, tyder på att det finns ett sekventiellt samband mellan variablerna. För landet som helhet och för landsbygden gav kausalitetstesterna inget signifikant resultat och hypotesen att inget kausalitetssamband existerar mellan likviditet och priser kunde därmed inte förkastas. En annan slutsats som drogs var att eftersom likviditet leder priserna kan information om omsättningsförändring användas för att prognostisera fastighetscykler på kort sikt.
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Identification of causality in genetics and neuroscience / Identificação de causalidade em genética e neurociênciaRibeiro, Adèle Helena 28 November 2018 (has links)
Causal inference may help us to understand the underlying mechanisms and the risk factors of diseases. In Genetics, it is crucial to understand how the connectivity among variables is influenced by genetic and environmental factors. Family data have proven to be useful in elucidating genetic and environmental influences, however, few existing approaches are able of addressing structure learning of probabilistic graphical models (PGMs) and family data analysis jointly. We propose methodologies for learning, from observational Gaussian family data, the most likely PGM and its decomposition into genetic and environmental components. They were evaluated by a simulation study and applied to the Genetic Analysis Workshop 13 simulated data, which mimic the real Framingham Heart Study data, and to the metabolic syndrome phenotypes from the Baependi Heart Study. In neuroscience, one challenge consists in identifying interactions between functional brain networks (FBNs) - graphs. We propose a method to identify Granger causality among FBNs. We show the statistical power of the proposed method by simulations and its usefulness by two applications: the identification of Granger causality between the FBNs of two musicians playing a violin duo, and the identification of a differential connectivity from the right to the left brain hemispheres of autistic subjects. / Inferência causal pode nos ajudar a compreender melhor as relações de dependência direta entre variáveis e, assim, a identificar fatores de riscos de doenças. Em Genética, a análise de dados agrupados em famílias permite investigar influências genéticas e ambientais nas relações entre as variáveis. Neste trabalho, nós propomos métodos para aprender, a partir de dados Gaussianos agrupados em famílias, o mais provável modelo gráfico probabilístico (dirigido ou não dirigido) e também sua decomposição em dois componentes: genético e ambiental. Os métodos foram avaliados por simulações e aplicados tanto aos dados simulados do Genetic Analysis Workshop 13, que imitam características dos dados do Framingham Heart Study, como aos dados da síndrome metabólica do estudo Corações de Baependi. Em Neurociência, um desafio consiste em identificar interações entre redes funcionais cerebrais - grafos. Nós propomos um método que identifica causalidade de Granger entre grafos e, por meio de simulações, mostramos que o método tem alto poder estatístico. Além disso, mostramos sua utilidade por meio de duas aplicações: 1) identificação de causalidade de Granger entre as redes cerebrais de dois músicos enquanto tocam um dueto de violino e 2) identificação de conectividade diferencial do hemisfério cerebral direito para o esquerdo em indivíduos autistas.
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A Girl's Journey : Hermione Granger's Road towards Independence / En flickas resa : Hermione Grangers väg mot självstädninghetHallén, Anna January 2019 (has links)
In this essay, J.K. Rowling’s series about Harry Potter is analyzed by the use of feminist theories and gender studies. The main aim of the essay is to examine how Hermione Granger is portrayed. The analysis is based on three of the novels, Harry Potter and the Philosopher’sstone, Harry Potter and the Prisoner of Azkaban and Harry Potter and the Goblet of Fire. This essay argues that Hermione, in the first novel, is depicted as a stereotyped female character, but that she develops and grows over the course of time, which leads her character to deviate from the traditional gender stereotypes. The results are supported by different examples from the novels, which relate to the used theories and previous research. / I denna uppsats analyseras J.K. Rowlings serie om Harry Potter med hjälp av feministiska teorier och genusstudier. Huvudsyftet med uppsatsen är att undersöka hur Hermione Granger är porträtterad. Analysen är baserad på tre av romanerna Harry Potter and the Philosopher’sstone, Harry Potter and the Prisoner of Azkaban och Harry Potter and the Goblet of Fire. Uppsatsen argumenterar att Hermione, i första romanen, är skildrad som en stereotypisk kvinnlig karaktär, men att hon under tidens gång utvecklas och växer vilket leder till att hennes karaktär senare avviker från de traditionella könsstereotyperna. Resultaten stöds av olika exempel från texterna som relaterar till de använda teorierna och tidigare forskning.
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Hönan eller ägget? Orsakssamband mellan utveckling av banksektorn och ekonomisk tillväxt? : Studie av de nordiska ländernas banksektorer och ekonomiska tillväxtEmami, Kaveh, Lemon, Christian January 2014 (has links)
Purpose: The purpose of this thesis is to study the causal relationship between bank sector development and economic growth in four Nordic countries (Sweden, Finland, Denmark and Norway). Method: Our thesis is based on a quantitative method. The study consists of a compilation and analysis of key financial indicators that represent economic growth and bank sector development. A Granger causality test has been conducted on the time series in order to measure the causal link between economic growth and bank sector development. Theoretical framework: The study is based on the theory of endogenous growth and the causal relationship between bank sector development and economic growth also known as the demand following and supply leading hypothesis. Results: The results of the four countries are ambiguous. Except for Denmark, that follows the supply leading hypothesis, the remaining countries do not show a unanimous result.
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Characterization of information and causality measures for the study of neuronal dataChicharro Raventós, Daniel 07 April 2011 (has links)
We study two methods of data analysis which are common tools for the analysis of neuronal data. In particular, we examine how causal interactions between brain regions can be investigated using time series reflecting the neural activity in these regions. Furthermore, we analyze a method used to study the neural code that evaluates the discrimination of the responses of single neurons elicited by different stimuli. This discrimination analysis is based on the quantification of the similarity of the spike trains with time scale parametric spike train distances. In each case we describe the methods used for the analysis of the neuronal data and we characterize their specificity using simulated or exemplary experimental data. Taking into account our results, we comment the previous studies in which the methods have been applied. In particular, we focus on the interpretation of the statistical measures in terms of underlying neuronal causal connectivity and properties of the neural code, respectively. / Estudiem dos mètodes d'anàlisi de dades que són eines habituals per a l'anàlisi de dades neuronals. Concretament, examinem la manera en què les interaccions causals entre regions del cervell poden ser investigades a partir de sèries temporals que reflecteixen l'activitat neuronal d'aquestes regions. A més a més, analitzem un mètode emprat per estudiar el codi neuronal que avalua la discriminació de les respostes de neurones individuals provocades per diferents estímuls. Aquesta anàlisi de la discriminació es basa en la quantificació de la similitud de les seqüències de potencials d'acció amb distàncies amb un paràmetre d'escala temporal. Tenint en compte els nostres resultats, comentem els estudis previs en els quals aquests mètodes han estat aplicats. Concretament, ens centrem en la interpretació de les mesures estadístiques en termes de connectivitat causal neuronal subjacent i propietats del codi neuronal, respectivament.
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Causalidade entre renda e saúde: uma análise através da abordagem de dados em painel com os estados e os municípios brasileiros / The causality between income and health: an analysis through the panel data approach with states and municipalities BrazilianSantos, Anderson Moreira Aristides dos 05 July 2010 (has links)
The income and life expectancy increase and also, poverty and mortality rate reduction, indicate an improvement of social welfare. Therefore, to understand the relation between income and health is considered to be of fundamental importance. In the theoretical literature, such as, Sala-i-Martin (2005), Weil (2005) and Chen (2008), the causality relationship between income and health is presented as bidirectional. This dissertation has as main objective to analyze causality relationship between income and health, seeking to control the potential differences of this relation over the Brazilian territory. In this case, three Granger causality tests to panel data, proposed respectively by Holtz-Eakin, Newey and Rosen (1988), Granger and Huang (1997), and Hurlin and Venet (2004) and Hurlin (2004, 2005), are applied to a Brazilian States database in the period from 1981-2007. The first two approaches are applied to a database with the counties in Brazil in the period of 1970-2000. To the Brazilian states, the results of Holtz-Eakin, Newey and Rosen (1988) method shows bidirectional causality for complete sample (Brazil), for the group of states with the highest incomes (South-Central) and for the group of states with lower income (North – Northeast). The results of Granger and Huang (1997) test shows unilateral causality from income to health for Brazil, unilateral causality from income to health for the south-central States and non-causality relationship between income and health for the North-Northeast state´s group. Yet, the proposed test by Hurlin and Venet (2004), and Hurlin (2004, 2005) the evidences are clearer for the causality, in a way from health to income for the three cases examined. In general, either the full sample or the division by regions and income groups, the results of the two tests applied to the database with the counties in Brazil, show evidence of a bi-causal relationship between income and health. However, the results presented here are not all consensual. / Aumentos na renda e na expectativa de vida, e de forma similar reduções na pobreza e na taxa de mortalidade, indicam melhorias do bem estar social. Assim, entender a relação existente entre renda e saúde tem fundamental importância. Na literatura teórica, por exemplo, em Sala-i-Martin (2005), Weil (2005) e Chen (2008), a causalidade entre renda e saúde é apresentada como bidirecional. Este trabalho tem o objetivo principal de analisar a relação de causalidade entre renda e saúde, buscando controlar as potenciais diferenças dessa relação ao longo do território brasileiro. Para tanto, três testes de causalidade de Granger para dados em painel, propostos respectivamente por Holtz-Eakin, Newey e Rosen (1988), Granger e Huang (1997), e Hurlin e Venet (2004) e Hurlin (2004, 2005), são aplicados para uma base de dados com os estados brasileiros no período de 1981-2007. E as duas primeiras abordagens são aplicadas para uma base de dados com os municípios brasileiros no período de 1970-2000. Para os estados do Brasil, os resultados do teste de Holtz-Eakin, Newey e Rosen (1988) aponta causalidade bidirecional: para o Brasil, para o grupo de estados de renda mais alta (Centro-Sul) e para o grupo de estados de renda mais baixa (Norte-Nordeste). O teste de Granger e Huang (1997) mostra causalidade unidirecional da renda sobre a saúde para o Brasil, causalidade unidirecional da saúde sobre a renda nos estados do Centro-Sul e não causalidade para o grupo de estados Norte-Nordeste. Já no teste proposto por Hurlin e Venet (2004) e Hurlin (2004, 2005) as evidências são mais claras para causalidade no sentido da saúde sobre a renda para os três casos analisados. Em geral, tanto na amostra completa como na divisão por regiões e por faixas de renda, os resultados dos dois testes aplicados para base de dados com os municípios do Brasil mostram evidências de uma relação bi-causal entre renda e saúde. Portanto, os resultados apresentados neste trabalho não são todos consensuais.
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