Submitted by Tommaso Momoli (tommaso.momoli@gmail.com) on 2017-03-29T04:51:52Z No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-03-29T11:04:04Z (GMT) No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) / Made available in DSpace on 2017-03-29T12:16:39Z (GMT). No. of bitstreams: 1 Tommaso.Momoli Thesis FGV.pdf: 2459609 bytes, checksum: 56072be31042eb761414eba91a983961 (MD5) Previous issue date: 2017-01-25 / This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others. / Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.

Several scholars have highlighted that energy consumption in general and consumption of renewable energy in particular may be a potential driver of economic growth. In this paper we examine the relationship between renewable energy production and economic activity in Canada, between May 1966 to December 2015, and in the U.S., between January 1973 to December 2015. By applying quantile causality, we take a nonlinear approach considering all quantiles of the distribution, analysing monthly data containing renewable energy production and Industrial Production Index. We find evidence of a nonlinear relationship in both Canada and the U.S., indicating that widely used linear models fail to describe important aspects of the renewable energy-economic growth nexus. The main Canadian results imply a unidirectional relationship from Industrial Production Index to renewable production in most quantiles of the distribution which supports the Conservation hypothesis. However, we also find weak evidence of a bi-directional relationship, which supports the Feedback hypothesis, for the lower and higher quantiles. This may indicate the renewable energy drives economic growth for some market conditions in Canada. For the U.S. we find evidence of a weak and negative feedback relationship between renewable energy and industrial production, indicating an inefficient production of renewable energy which not is well integrated in the overall energy system. Based on theory concerning the potential benefits of renewable energy, the minor role of renewable energy production in Canada and the U.S. could be a result of institutional barriers and absence of supporting infrastructure. Both countries need policies directed to overcome these barriers in order to benefit from the potential of renewable energy. / Tidigare studier har indikerat att energi generellt främjar ekonomisk tillväxt, förnybar energi i synnerhet. I den här uppsatsen undersöker vi sambandet mellan förnybar energi och ekonomisk aktivitet mellan maj 1966 till december 2015 i Kanada, och mellan januari 1973 till december 2015 i USA. Vi använder oss av månadsdata för produktionen av förnybar energi och industriell produktion. Genom att tillämpa Granger kausalitet i kvantiler kunde vi identifiera ickelinjära samband och analysera sambanden över hela distributionen. Våra resultat indikerar att sambandet mellan förnybar energi och industriell produktion förändras vid olika marknadslägen i båda länderna. Detta innebär att de linjära modeller som normalt använts i liknande studier missar viktiga aspekter av dessa samband. Våra modeller för Kanada implicerar i huvudsak att förändringar i industriell produktion leder förändringar i produktionen av förnybar energi, men vi fann även att förändringar i produktionen av förnybar energi påverkar industriell produktion i vissa kvantiler. Våra modeller för USA visar på ett svagt och negativt samband mellan förnybar energi och industriell produktion vilket kan tyda på att produktionen av förnybar energi i USA är ineffektiv och dåligt integrerad i det övergripande energisystemet. Utifrån att produktionen av förnybar energi har många teoretiska fördelar skulle dess begränsade roll i Kanada och USA kunna bero på institutionella barriärer och avsaknad av välanpassad infrastruktur. Om förnybar energi ska bli en drivande faktor för ekonomisk tillväxt i de studerade länderna krävs därför policys som stödjer en sådan utveckling.

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Juraj Bodík Abstract This thesis is dealing with the following problem: Let us have two stationary time series with heavy- tailed marginal distributions. We want to detect whether they have a causal relation, i.e. if a change in one of them causes a change in the other. The question of distinguishing between causality and correlation is essential in many different science fields. Usual methods for causality detection are not well suited if the causal mechanisms only manifest themselves in extremes. In this thesis, we propose a new method that can help us in such a nontraditional case distinguish between correlation and causality. We define the so-called causal tail coefficient for time series, which, under some assumptions, correctly detects the asymmetrical causal relations between different time series. We will rigorously prove this claim, and we also propose a method on how to statistically estimate the causal tail coefficient from a finite number of data. The advantage is that this method works even if nonlinear relations and common ancestors are present. Moreover, we will mention how our method can help detect a time delay between the two time series. We will show how our method performs on some simulations. Finally, we will show on a real dataset how this method works, discussing a cause of...

The study investigates the linkages between government policies and the real estate sector via a case study that was carried out on the Japanese market. The applicability of the results were then discussed in terms of whether similar trends could be seen in other economies facing similar demographic and economic issues as Japan. While the real estate sector linkages with the overall economy are relatively well studied topic, there are less studies regarding the links between government policies and the real estate market. The studies in the field furthermore in general conclude that the results are country and location dependent, thus illustrating there to be a research gap. Given that real estate sector is linked with the overall performance of the economy, and fluctuations within the sector can magnify ups and downs of the overall economy, it is of importance to investigate the topic in order to, for example, illustrate the effect that policy changes will have on the real estate sector and thus potentially also on the overall market. The approach of the study was to carry out quantitative analysis through the use of econometric analysis methods such as cointegration and Granger causality. The robustness of the econometric analysis results were then further discussed through the use of qualitative analysis tool of expert interviews. The applicability of the econometric results to other economies was analyzed with simple comparison of key variables. The results of the study indicate that government policies have very little effect on the real estate sector. The econometric analysis suggests that neither monetary nor fiscal policy had notable effect on the real estate sector, especially price development. On the other hand, interest rates were seen as a most notable government policy tool to have an effect on the real estate sector in the expert interviews. As a conclusion, it was argued that the low level of cointegrations and lack of causalities could be due to government policies having an indirect effect on the real estate market via altering the demand and supply for real estate rather than leading to changes within the sector directly. For the comparison, some of the Nordic countries and Germany were noted to be facing similar issues as Japan in terms of ageing population, urbanization trend, notable government debt levels, and low interest rates. It was however noted, that the econometric analysis results could not be mirrored to these markets directly due to the rather straightforward comparison, but rather the results could act as a guideline. / Den här studien utreder kopplingarna mellan regeringspolitiken och fastighetssektorn genom en fallstudie som utfördes på den japanska marknaden. Tillämpligheten av studiens resultat diskuterades sedan kring huruvida liknande trender kan utläsas i andra ekonomier som står inför liknande demografiska och ekonomiska problem som Japan gör.  Hur fastighetssektorn är kopplad till den generella ekonomin är ett relativt välstuderat ämne, de finns däremot färre studier som avhandlar kopplingar mellan regeringspolitik och fastighetsmarknadens utveckling. Studierna inom ämnet sammanfattar generellt att studiens resultat är beroende av landet och den specifika platsen, vilket visar att det finns en lucka i forskningen. Med tanke på att fastighetsmarknaden är kopplad till den generella ekonomins utveckling, samt att fluktuationer inom sektorn kan förstora upp- och nedgångar i den övergripande ekonomin, är det väsentligt att undersöka ämnet för att, exempelvis, illustrera den effekt politiska ändringar har på fastighetssektorn och därmed potentiellt den övergripande marknaden.  Studiens tillvägagångsätt var att genomföra en kvantitativ analys genom användning av ekonometriska analysverktyg, såsom samverkan och Granger kausalitet. De ekonometriska analysresultatens robusthet diskuterades därefter ytterligare genom kvalitativ analys i form av intervjuer med experter inom ämnet. De ekonometriska resultatens, till andra ekonomiers, användbarhet analyserades med en enkel jämförelse av nyckelvariabler.  Resultatet av studien indikerar att regeringspolitik har en mycket liten effekt på fastighetssektorn. Den ekonometriska analysen tyder vidare på att varken penning- eller finanspolitik har en märkbar effekt på fastighetssektorn, i synnerhet på prisutvecklingen. Motsatt till detta framgick det i intervjuerna med experter inom ämnet, att räntorna är det verktyg som används inom regeringspolitiken som har störst effekt på fastighetssektorn. Som slutsats hävdades det att den låga graden samverkan och bristen på kausalitet kan bero på att regeringspolitik har en indirekt effekt på fastighetssektorn då utbudet och efterfrågan ändras snarare än att det direkt leder till ändringar inom sektorn. Vad gäller tillämpningen av de ekonometriska resultaten noterades det att några av de nordiska länderna samt Tyskland kommer att möta liknande problem som Japan, gällande åldrande befolkning, urbaniseringsutveckling och låga räntor. Det noterades dock att de ekonometriska analysresultaten inte direkt kunde spegla sig i dessa marknader då en relativ enkel jämförelsemetod användes, men att resultaten kan agera som en riktlinje.

Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. Based on the classification of cities, this research has selected Yangzhou as the main research sample to predict the overall situation of housing bubble in third-level cities in China. The paper integrates the relevant theories and methods of the housing bubble research mentioned in the literature, and seeks out a set of suitable real estate bubble research methods: using ADF test, EG cointegration analysis to see whether the indicators are suitable as variables in the Granger causality test and regression analysis, and then perform regression analysis on the appropriate variables and housing prices to judge the real estate bubble. Also, the result of Yangzhou is applied to compare with that of Beijing and Shanghai so as to get the difference of real estate markets between first- and third-level cities. / Bostadsbubblor kan ge allvarlig inverkan på ett lands ekonomi, särskilt för ett så stort land som Kina. Därför är det nödvändigt att utvärdera om eventuella bostadsbubblor förekommer i olika regioner. I detta arbete analyseras förekomsten av en bostadsbubbla i en av Kinas städer i den tredje storleksklassen enligt det kinesiska klassificeringssystemet. Studieobjektet som valts är Yangzhou. I uppsatsen diskuteras de relevanta teorier och metoder som förekommer i litteraturen för analys av bostadsbubblor och ett antal metoder tillämpas. ADF-test och Engel-Grainer-kointegration används för att avgöra vilka av de tillgängliga marknadsindikatorerna som är lämpliga att använda vid test av Granger-kausalitet och i regressionsanalyser. Regressioner med de utvalda variablerna görs sedan mot bostadspriser för att erhålla mått på förekomsten av en bostadsbubbla. De empiriska resultaten från studien jämförs också med resultat för Beijing and Shanghai för att påvisa skillnader mellan marknaderna i städer av första respektive tredje storleksklassen.

Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. In particular, an investor must take a short position in a low-yielding currency to fund a long position in a high-yielding currency. In this research, we tried to contribute in the previous literature for the currency carry trade and its characteristics by using a different approach. Most of the researches that have been conducted in this area concern the risk agents associated with this strategy. However, in our research we investigated the relationship between currency carry trade and two equity indexes, one from the European market (DAX) and one from the American (DJIA). In order to do that, we estimated the returns of the DAX and the Dow Jones Industrial Average (DJIA) as well as the returns of a carry trade index created by the Deutsche Bank, the Deutsche Bank’s G10 Currency Future Harvest index. The returns were estimated for a time period of twenty years (1995-2014). More specific, we examined whether there is granger causality between the returns of carry trade and of DAX/DJIA, whether there is leverage effect on the returns of the same index and finally whether changes in the returns of one of those indexes can affect the subsequent volatility of the other two. For being able to do this examination, we used two different statistical models, the Vector Autoregression (VAR) and the EGARCH [1, 1] model.       The first empirical finding suggests that there is granger causal effect from the two equity markets to carry trade, however the carry trade granger cause only to DJIA index. The second finding indicates that there no leverage effect form the past returns to the future volatility for all the three indexes. Finally, the last finding suggests that the volatility process on the returns of one index cannot be determined by changes in the returns of the other two indexes. Keywords: Currency carry, uncovered interest rate parity, DAX, DJIA, G10 currency, granger causality, VAR, EGARCH[1,1]

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

South Africa has become more dependent on portfolio inflow to finance investment and consumption due to the low rate of government and household savings. Therefore, it is important from South Africa‟s perspective to maintain a stable portfolio inflow in order to ensure that the current account deficit does not reach unsustainable levels. However, portfolio inflow is anything but stable in South Africa. The risk associated with this is that when foreigners‟ expectations of South Africa shift, due to any form of instability or risk within the country or even internationally, it leads to massive withdrawals or outflow of funds, which in turn causes the currency to depreciate. The portfolio balance theory on the other hand states that an increase in portfolio inflow leads to the appreciation of the nominal exchange rate, and that this is perceived to work against economic growth. The main objective of this research is to determine the nature of the relationship between exchange rate volatility and portfolio flows, and the extent to which volatility in the exchange rate affect South Africa‟s portfolio inflow. The research uses Vector Autoregressive (VAR) models and quarterly data, ranging from 1995 to 2012 to investigate this relationship. From the VAR models a Granger causality test, as well impulse response functions is used to shed light on the influence of a one-unit shock in both foreign portfolio inflow and exchange rate volatility on the other variables in the model. Exchange rate volatility is measured using both Autoregressive Conditional Heteroscedasticity (ARCH) family models and the conventional standard deviation, in order to control for possible biasness caused by the choice of instrument of volatility. The results showed the nature of the relationship between exchange rate volatility and foreign portfolio inflow to South Africa‟s capital markets can be described as country-dependent and time-varying. South Africa‟s portfolio inflow exhibits high volatility and low persistence that are characteristics normally associated with “hot money”, which is largely driven by foreign investors‟ appetite for short-term speculative gains. The study identified the consistent presence of bidirectional causality between the exchange rate volatility and foreign portfolio inflow to South Africa, irrespective of the measurement of exchange rate volatility. The results also revealed that net portfolio flows are associated with exchange rate appreciation and that foreign portfolio inflow react much stronger to changes in exchange rate volatility than vice versa. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015

This thesis deals with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a compensation not only for the default risk but also for other factors related to corporate bonds such as market liquidity or tax differential between corporate and Treasury bonds. In this study we firstly examine the relationship between bond ratings and credit spreads given that bond rating changes are expected to carry some informational value for debt investors. The findings indicate that bond ratings generally carry some informational value for corporate bond investors. The Granger causal relationship is more evident for negative watch lists and during periods of uncertainty in financial markets. In line with previous studies, our results suggest that changes in credit spreads are significantly related to interest rate levels, systematic risk factors (Fama and French) factors and equity returns.