Šiame darbe nagrinėjama kokie pagrindiniai makroekonominiai rodikliai stipriausiai įtakoja ekonomikos augimą. Ekonomikos augimas čia matuojamas bendrojo vidaus produkto augimu. Teorinėje darbo dalyje analizuojama Lietuvos ir užsienio autorių ekonomikos augimo veiksnių teoriniai ir praktiniai tyrimai. Analitinėje - tiriamojoje dalyje naudojami statistiniai - ekonometriniai (regresijos, elastingumo, koreliacijos koeficientų skaičiavimas, A. Okuno dėsnis), detalizavimo metodai, ekspertų vertinimai ir prognozės. Pasitvirtina autoriaus suformuluota fipotezė apie tai, kad A.Okuno dėsnis susiejantis nedarbo lygį su BVP praradimu Lietuvos ūkio sąlygomis 2001 – 2007 m. įgyja kitą santykį nei 1:2,5. Atliekant tyrimą naudoti statistiniai duomenys, paimti iš Lietuvos statistikos departamento, Lietuvos laisvosios rinkos instituto, komercinių bankų ūkio apžvalgų, Europos statistikos departamento, Lietuvos vyriausybės, finansų, ūkio ministerijų. / In this study is analyzed which macroeconomic indicators stronger influence economic growth. Economic growth is realized as the growth of the gross domestic product. In the first part of this study are analyzed practical and theoretical researches of the factors of economic growth of Lithuanian and foreign authors. In the analytic part of the study there is used statistical – econometrical (regression, elasticity, corral, method of Okun), methods of detail, evaluation of expert. There is confirmed the hypothesis, that the method of Okun in period of 2001 – 2007 years gets another relation than 1: 2,5. There is used statistical data which is used from Department of Lithuanian Statistics, Lithuanian Free Market Institute, commercial banks annual reports, Euro stat, Lithuanian government and ministers.

Šio magistro baigiamojo darbo tikslas – išanalizuoti namų ūkių ekonominių lūkesčių įtaką makroekonominiams procesams. Pirmojoje darbo dalyje aptariama ekonominių lūkesčių teorijų raida, pateikiami įvairių autorių tyrimai apie ekonominių lūkesčių ryšį su vartojimu ir taupymu, infliacijos bei nedarbo lygiu, palūkanų norma ir valiutų kursu. Antrojoje dalyje analizuojami trijų Baltijos šalių namų ūkių ekonominių lūkesčių duomenys, jų tarpusavio suderinamumas, ekonominių lūkesčių kaitos tendencijų ir realių makroekonominių kintamųjų kitimo panašumai ir skirtumai. Trečiojoje dalyje pateikiamas ryšių tarp trijų Baltijos valstybių namų ūkių ekonominių lūkesčių ir realių makroekonominių rodiklių vertinimas, šių ryšių stiprumo nustatymas, sudaromos tiesinės regresijos lygtys, skirtos atitinkamiems ekonomikos rodikliams prognozuoti. Atliktas tyrimas parodė, kad namų ūkių ekonominiai lūkesčiai yra labiau numatantys nei prisitaikantys prie praeities informacijos. Todėl į juos verta atsižvelgti prognozuojant realių makroekonominių kintamųjų pasikeitimus artimiausioje ateityje. Tyrime tikrinama pagrindinė hipotezė, kad gerėjant namų ūkių ekonominiams lūkesčiams, gerėja ir ekonominė šalies situacija, priimama, remiantis regresinės analizės rezultatais. / The aim of this master‘s final paper is to analyze the influence of households’ economic expectations on macroeconomic processes. In the first part of the paper the development of economic expectations theories is overlooked, the researches of other authors about the link between expectations and consumption, saving, inflation, unemployment, interest rates and exchange rates are presented. In the second part of the paper the households’ expectations’ data, the compatibility between them, the similarities and differences of fluctuation of expectations and real macroeconomic variables are analyzed. In the third part of the paper the evaluation of the link between households’ expectations and real macroeconomic indicators in Baltic countries, the assessment of this link’s strength are presented, linear regression equations aimed to predict economic indicators are designed. The research showed that expectations of households are more likely to be forward-looking rather than adaptable to the past information. Therefore it is worth to regard them when predicting changes of macroeconomic indicators in the nearest future. In this research the main examined hypothesis that when households’ expectations improve, economic situation in country also improves, are accepted with reference to the results of regression analysis.

Nepriklausomybės atgavimas ir pasitraukimas iš planinės ekonomikos, sąlygojo ir permainų būtinumą. Lietuvoje buvo pradėtos svarbios ūkinės reformos, kuriomis buvo siekiama sukurti laisvos rinkos ūkį, gamintojų konkurenciją, skatinti paklausą turinčios produkcijos gamybą, užmegzti tiesioginius ekonominius ryšius su užsienio šalimis, pakelti žmonių gyvenimo lygį. Visa tai atsispindėjo šalies pagrindinių makroekonominių rodiklių raidoje, kurios nagrinėjimui ir skirtas šis magistro baigiamasis darbas. Baigiamąjį darbą sudaro 3 dalys. Pirmoji dalis skirta pagrindinių makroekonominių rodiklių teoriniam vertinimui. Ją sudaro 4 skyriai: Bendrasis vidaus produktas; Investicijos; Nedarbas; Infliacija. / The theme of the Master’s Thesis is Changes in the Main Macroeconomic Indices of Lithuania after the Restoration of Independence. The Thesis is composed of 67 pages, 4 tables and 15 images. Restoration of independence and abandoning of the central planning economy determined the necessity for changes. Important economic reforms were launched in Lithuania with the aim of establishing a free-market economy, competitiveness of producers, enhancing the manufacture of marketable products, contracting direct economic ties with foreign countries, boosting the standard of living. All these factors reflected in the macroeconomic indices and their changes, which are the subject matter of this Master’s Thesis.

Although the Black-Scholes (BS) model and its alternatives have been widely applied in finance, their flaws have drawn the attention of many investors and risk managers. The Black-Scholes (BS) model fails to explain the volatility smile. Its alternatives, such as the BS model with a Poisson jump process, fail to explain the volatility clustering. Based on the literature, a novel dynamic regime-switching option-pricing model is developed in this thesis, to overcome the flaws of the traditional option pricing models. Five macroeconomic indicators are identified as the drivers of economic states over time. Two regimes are selected among all likely numbers of regimes under the Bayes Information Criterion (BIC). Both in-sample and out-of-sample tests are constructed to examine the prediction of the model. Empirical results show that the two-state regime-switching option-pricing model exhibits significant prediction power.

Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. The five essays contained in this thesis elaborate upon three separate but complementary topics within the area of financial market research. First, the price discovery process of asset prices following releases of macroeconomic and monetary policy-related news is investigated. Such analysis can help in improving a central bank's understanding of how market participants update their views about future growth and inflation prospects. Second, an attempt is made to identify the factors which explain the time-varying co-movement of bond and stock prices. This analysis reveals that periods of negative correlation between the two assets tend to coincide with periods of very low investor risk appetite. Third, frequency distributions implied by options prices are often employed by central banks to assess the degree of uncertainty prevailing in markets as well as how the perceived balance of risks concerning future asset price movements is tilted. Various methods have been developed to estimate option-implied frequency distributions and the thesis assesses and compares the robustness of two of the most commonly used methods in central banks. / <p>Diss. Stockholm : Handelshögskolan, 2007 S. 9-16: sammanfattning, s. 17-160: 5 uppsatser</p>

The purpose of this thesis is to examine the effects of macroeconomic  indicators on the government debt of Portugal, Italy, Ireland, Greece and Spain (PIIGS), based on the data from 1990 to 2010 and employed a panel data model. The research finds that the macroeconomc conditions of the PIIGS are all deteriorated to some extent, and these deteriorations lead the accumulation of government debt. The expansionary fiscal policy is an important factor that accounts for the high debt ratio of the PIIGS. On the other hand, the discrepancy between the unified monetary policy and the separated fiscal policy obstructs the adjustment mechanism by the individual government, and leads the exchange rate and interest rate instruments not efficient.

This thesis is concerned with the development and use of a macroeconometric model for the Algerian economy between 1963 and 1984. The model was built because of a systematic lack of applied econometric studies pertaining to Algeria at both the macroeconomic and microeconomic level. It is hoped that the model will fill a gap in this area and will contribute to the much neglected field of applied econometric research with regard to Algeria. This lack of applied econometric studies for Algeria meant that the modelling exercise described here has had to rely on an extensive specification search based on evidence relating to Algeria's economic structure and policy, economic theory, and the experience of Less Developed Countries in the area of macroeconomic model-building. The lack of data was a major constraint in this area and part of this study consisted of collecting and compiling a large database. After the country's independence in 1962, Algerian macroeconomic policy aimed to create a strong industrial system and to satisfy the population's basic needs. It relied on heavy industrialisation to modernise the economy, oil revenues to finance development, and central planning as the major tool of macroeconomic regulation. The accumulation rate was high and the growth record was generally good. However high unemployment and inflation, considerable disequilibrium, low productivity, a vulnerable balance of payments and unsustainable external debt are the major macroeconomic problems that policy-makers have had to face. The model's equations were first estimated using the OLS method and were subjected to stringent statistical tests. The degree of test significance and parameter correspondence to a priori views on the economy was good. when the model was constructed, it was estimated using a 2SLS principal component method. The OLD results were found to be reasonably feasible. The equations were collected into a system of 63 equations and solved using dynamic simulation technique. The model was solved successfully and its tracking of historical data was reasonably good. Further tests were carried out to study its dynamic features. Having constructed the model, it was then used extensively to perform simulation analysis. The experiments ranged from those concerning the goverment's current expenditure to its monetary policy. In all, nine simulation exercises were carried out. These were revealing on the workings of the Algerian economy. The model was further used in scenario analysis. First the model was used to develop an ex ante forecast employing a linear trend model for the exogenous variables. The forecast database was used to generate multipliers. The policy analysis was constructed to coincide with the implementation of the Second Five Year Plan (1985-1989). The feasibility of the plan was examined by varying the price of oil according to three hypotheses. The aim of this test was to develop a realistic framework for applied macroeconomic analysis.

High inflation economies have ultimately been successful in stabilising their prices using the exchange rate as a nominal anchor. Besides stabilization, these recent examples have shown boom-recession cycles, contrary to what can be expected from (pure) money-based stabilizations. Various theoretical explanations of such boom-cycles are discussed and a model of aggregate supply and demand generating such an outcome is developed. There the boom dynamics depend mainly on a slump in real interest rates and wage flexibility. (author's abstract) / Series: Department of Economics Working Paper Series

No description available.

Diss. Uppsala : Uppsala universitet, 2007.