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Submitted by Suethene Souza (suethene.souza@ufpe.br) on 2015-03-13T16:23:09Z No. of bitstreams: 2 DISSERTAÇÃO Arthur Feitas Espíndola.pdf: 906288 bytes, checksum: 1327e4bec20574bb01f854ccd855f6b7 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) / Made available in DSpace on 2015-03-13T16:23:10Z (GMT). No. of bitstreams: 2 DISSERTAÇÃO Arthur Feitas Espíndola.pdf: 906288 bytes, checksum: 1327e4bec20574bb01f854ccd855f6b7 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Previous issue date: 2014-04-03 / CAPES / A melhoria do bem-estar social está diretamente ligada a aumentos na renda e na saúde dos indivíduos. O Brasil tem passados nos últimos anos por uma ampliação considerável de políticas públicas voltadas tanto para renda, quanto para saúde, aumentando o nível desses agregados, o que torna a compreensão desta relação um instrumento eficaz para o direcionamento dessas políticas. Tendo em mente a importância desse tema e a pequena quantidade de trabalhos que o abordam no âmbito nacional, este estudo tem o objetivo de testar a direção de causalidade entre essas variáveis para anos mais atuais, a fim de verificar como as mudanças no nível de renda e saúde podem ter alterado essa direção. Para atingir a este propósito será aplicado o teste de causalidade de Grange proposto por Holtz-Eakin, Newey e Rosen (1988) para dados em painel com os estados do Brasil entre os anos de 1990 a 2011. O mesmo teste também será aplicado para os estados mais pobres (Norte-Nordeste), tendo em vista o alto grau de desigualdade ainda presente nessas regiões. Os resultados apontam para uma relação bi- causal para o Brasil, indicando que tanto a renda causaria a saúde, como o contrário, evidenciando a importância de políticas públicas que afetem as variáveis em conjunto. Quando analisando apenas os estados de menores rendas, as direções de causalidade dependiam do número de defasagens considerados. Paralelamente, procurou-se determinar a relação de causalidade entre a taxa de pobreza (P0) e saúde, obtendo uma relação unidirecional da saúde sobre pobreza, quando considerados todos os estados brasileiros, e causalidade unidirecional da pobreza sobre a saúde, quando se levava em conta apenas os estados das regiões Norte e Nordeste.

This dissertation firstly examines literature connected to this topic in chapter 2. Secondly, chapter 3 summarizes necessary methodology and data used throughout the dissertation. Thirdly, it compares the results of military expenditure made by Cobb-Douglas-Solow production function forecast and an Auto regressive model, in chapter 4. Fourthly, in the chapter 5, with a better performing model, it forecasters the military expenditure from 2015 to 2024 for France, Germany, UK and Italy, because they represent more than 65% of European military expenditure and should give us an idea about the course of the European expenditure as a whole. Also, it compares forecasted expenditure of European NATO countries and USA with Canada for the same period. Finally, in chapter 6, we examine whether there is Granger causality between MS and GDP. Simply, if MS Granger causes GDP and vice versa. It was found that AR is a better performing forecasting technique than CDS and that Granger causality results are ambiguous. GDP Granger causes MS only for France and Italy and there is no evidence of opposite causality.

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Esse trabalho apresenta um estudo da causalidade de Granger em Risco bivariado aplicado a séries temporais financeiras. Os eventos de risco, no caso de séries financeiras, estão relacionados com a avaliação do Valor em Risco das posições em ativos. Para isso, os modelos CaViaR, que fazem parte do grupo de modelos de Regressão Quantílica, foram utilizado para identificação desses eventos. Foram expostos os conceitos principais envolvidos da modelagem, assim como as definições necessárias para entendê-las. Através da análise da causalide de Granger em risco entre duas séries, podemos investigar se uma delas é capaz de prever a ocorrência de um valor extremo da outra. Foi realizada a análise de causalidade de Granger usual somente para como comparativo. / Quantile Regression, Value at Risk, CAViaR Model, Granger Causality, Granger Causality in Risk

This paper examines the relationaship between financial development and economic growth in ghana. This is done using time series econometric procedures by employing four proxy of financial development and applying granger causality test, cointegrating test, vector error correction model. The empirical results show that the direction of causalty is sensitive to the choice of proxy. It was discovered that finance follows in the direction of economic growth but doesnt necessarily lead to it. The empirical cointegration results weakly supprt long run relationship between financial development and economic growth.

This thesis has studied short and long-term dependence structures between European stock markets. Johansen's test for cointegration and Granger's test for non-causality have been applied in order to measure the degree of financial integration in Europe. The cointegration analysis has employed a comparative perspective in which different countries with different institutional adaptation to the economic cooperation within Europe have been considered. The study finds strong support for the existence of cointegration between the Belgian, Norwegian, Swiss and British stock markets in the period after the launch of the euro. This result indicates that financial integration has increased in Europe since no cointegration was identified prior to the introduction of the euro. However, it is more difficult to determine to what extent the European financial cooperation has affected the degree of integration because of the difficulties with isolating formal treaties contribution to the stationary equilibrium. Both the EU and the euro's importance may have affected the integration process, but this thesis finds that this is not the only explanation. Thus, it is more likely that the liberalization of financial markets and the overall integration process best explain the increase in financial integration. The most significant finding is that the cointegrated stock markets in the long-term can be regarded as a regional financial market characterized by similar systematic risk factors. This has implications for both policy-makers who adjust existing policies in Europe and investors looking to allocate portfolios in an efficient manner.

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Economic Value Added (EVA) is a residual income that corrects distortion of managerial incentives introduced by standard GAAP accounting. This study attempts to compare EVA with EPS and see which one is better. The difference between literature and this study is that we use not only cross-regression but also Granger causality test to make clear the relationship between stock return and performance measure and find out what is the value of EVA. Our main finding is as follows¡G 1.EVA significantly positively affects the contemporaneous stock return, but EPS is insignificant. This support the existence of EVA. 2.The components unique to EVA --- the cost of capital, significantly negatively affects the contemporaneous stock return, indicating that market does take into consideration the cost of capital when pricing the company. 3.As to Granger causality relationship, there is no lead-lag relationship between stock return and EVA or EPS. This means that performance measure cannot be a predictor of future stock return. In a word, EPS, ignoring equity capital and being distorted by GAAP accounting, neither explains the contemporaneous stock return, nor forecasts the future. However, EVA, considering equity capital and correcting distortion of GAAP accounting, can explain the contemporaneous stock return by representing the intrinsic value of the company. But, EVA, being still on the basis of history, cannot forecast the future. Anyway, EVA can replace EPS in reflecting the operating of the company, that is the contribution of EVA.

Due to the characteristics of convertible bond, the issuing volumes are smaller than stocks and the investors are mostly institutional investors. Therefore, the turnover and the market liquidity of convertible bond are lower than those of stock market. The past literature indicate that the reaction of corporate bond to the fundamental information falls behind the stock, therefore, the price change of corporate bond always lag behind that of stock market. Moreover, the extra right of convertible bond compare to corporate bond is the convertible option in exchange for stocks, that also causes the relation between the stocks and the convertible is much closer than the normal corporate bond. The motivation of this study is to take advantage of the co-movement relation between these two markets to discover the profit opportunities of investment strategy. As a result, the purpose of this study is to investigate the prediction of the convertible bond and the reaction of the market information. Firstly, I try to verify momentum effect or overreaction effect in convertible bond is significant. Second, I apply the VAR model and Granger model to analyze the return relationship between convertible bonds and stocks, and to formulate our strategies by predicting the return of convertible bond from the lagged return of stocks. At the end, I analyze the performance of strategy in order to discover the best timing of buying convertible bonds for investors. Our empirical study exhibits there has no momentum effect in Taiwan convertible bonds market. Conversely, we discover the presence of overreaction effect but it is insignificant. Moreover, it¡¦s effective to predict the return of convertible bond by using the stocks return, otherwise it¡¦s not. Finally, the strategy of using the stock return in predicting the return of convertible bond can earn abnormal return without considering the transaction cost. On the contrary, the performance of using the return of convertible bond in predicting the stock return is insignificant. Our results demonstrate that we can refer to the past literature about ¡§the reaction of corporate bond to the fundamental information of companies falls behind the stock¡¨ to invest in convertible bond profitably. In conclusion, investors can follow our empirical framework and result to forecast the price trend of the convertible bond by referring the stock price.