Doctor of Philosophy / Department of Economics / Lance J. Bachmeier / This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.

Foreign trade is increasingly becoming a powerful tool when it comes to the promotion of economic growth in modern economies. This is especially so in the face of the continued rise of globalisation. In consideration of this fact, this thesis assessed the impact of foreign trade on the growth process of Namibia’s economy for the period stretching from 1990 to 2012. This main objective was further developed into primary, theoretical and empirical objectives. In order to realise these multiple objectives, two modern econometric time series techniques were employed, namely vector autoregressive (VAR) and auto-regression distributed lag (ARDL) models. Based on these two techniques, the following procedures featured during the study: Stationary tests, error correction modelling, co-integration tests, Granger causality tests, generalised impulse response functions and generalised forecast error variance decomposition. The following constitutes the main findings arising from this study: First, the study found that there is a positive relationship among the variables that were investigated. Indeed, this positive relationship suggests that the economy of Namibia can be expanded potentially by means of foreign trade. The result is also in line with economic theory. Secondly, the empirical findings also show that export, foreign direct investment and exchange rate endogenously respond to shocks in economic growth. Thirdly, economic growth itself accounted for most of the innovations that occurred during the period under consideration concerning economic growth. Fourthly, amongst the three explanatory variables used in the model, exports and foreign direct investment contributed more towards innovations in economic growth during the forecast period. Initially, exports and foreign direct investment dominated over the forecast horizon with each contributing almost an equal share of over 5 percent after 12 quarters. Thereafter, exports’ contribution relatively exceeded that of foreign direct investment. Fifthly, it is particularly important to note that the exchange rate variable made the weakest contribution towards explaining economic growth for the forecast period of 24 quarters. In consideration of the general constraints associated with this study, the thesis puts forward a number of proposals for possible further investigation by any theorist who is keen about probing the issue that the thesis investigated. The thesis considers the following as its significant contributions to the existing literature: First, this study primarily examined the relationship between exports and economic growth. By adding the effect of foreign direct investment and exchange rate to the analysis, this study became more comprehensive. This further widens the scope for policymaking for Namibia, as well as other developing economies on a similar route. Secondly, the study employed two modern econometric time series techniques, namely VAR and ARDL models in investigating the research topic under consideration. Most of the related studies that were reviewed either utilised ordinary least squares (OLS) or VAR or ARDL approach on its own. By implication, the results obtained from this study, therefore, are from a technical point of view more robust. Thirdly, through constructive comments, this thesis made valuable contributions to the relevant empirical literature as reviewed during the course of the study. Fourthly, since this study has a focus on Namibia, it provided the opportunity for the thesis to present a comprehensive analysis on issues pertaining to Namibia specifically. Lastly, the various recommendations put forward by this thesis will assist Namibia, as well as other developing countries, on a related path when it comes to formulating policies for the promotion of exports in particular and economic growth in general. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

Foreign trade is increasingly becoming a powerful tool when it comes to the promotion of economic growth in modern economies. This is especially so in the face of the continued rise of globalisation. In consideration of this fact, this thesis assessed the impact of foreign trade on the growth process of Namibia’s economy for the period stretching from 1990 to 2012. This main objective was further developed into primary, theoretical and empirical objectives. In order to realise these multiple objectives, two modern econometric time series techniques were employed, namely vector autoregressive (VAR) and auto-regression distributed lag (ARDL) models. Based on these two techniques, the following procedures featured during the study: Stationary tests, error correction modelling, co-integration tests, Granger causality tests, generalised impulse response functions and generalised forecast error variance decomposition. The following constitutes the main findings arising from this study: First, the study found that there is a positive relationship among the variables that were investigated. Indeed, this positive relationship suggests that the economy of Namibia can be expanded potentially by means of foreign trade. The result is also in line with economic theory. Secondly, the empirical findings also show that export, foreign direct investment and exchange rate endogenously respond to shocks in economic growth. Thirdly, economic growth itself accounted for most of the innovations that occurred during the period under consideration concerning economic growth. Fourthly, amongst the three explanatory variables used in the model, exports and foreign direct investment contributed more towards innovations in economic growth during the forecast period. Initially, exports and foreign direct investment dominated over the forecast horizon with each contributing almost an equal share of over 5 percent after 12 quarters. Thereafter, exports’ contribution relatively exceeded that of foreign direct investment. Fifthly, it is particularly important to note that the exchange rate variable made the weakest contribution towards explaining economic growth for the forecast period of 24 quarters. In consideration of the general constraints associated with this study, the thesis puts forward a number of proposals for possible further investigation by any theorist who is keen about probing the issue that the thesis investigated. The thesis considers the following as its significant contributions to the existing literature: First, this study primarily examined the relationship between exports and economic growth. By adding the effect of foreign direct investment and exchange rate to the analysis, this study became more comprehensive. This further widens the scope for policymaking for Namibia, as well as other developing economies on a similar route. Secondly, the study employed two modern econometric time series techniques, namely VAR and ARDL models in investigating the research topic under consideration. Most of the related studies that were reviewed either utilised ordinary least squares (OLS) or VAR or ARDL approach on its own. By implication, the results obtained from this study, therefore, are from a technical point of view more robust. Thirdly, through constructive comments, this thesis made valuable contributions to the relevant empirical literature as reviewed during the course of the study. Fourthly, since this study has a focus on Namibia, it provided the opportunity for the thesis to present a comprehensive analysis on issues pertaining to Namibia specifically. Lastly, the various recommendations put forward by this thesis will assist Namibia, as well as other developing countries, on a related path when it comes to formulating policies for the promotion of exports in particular and economic growth in general. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

本篇論文要探討的主題為何種總體或個體因素會影響投保人在壽險上的解約行為。由於壽險保單的解約行為會讓保險公司面臨現金流、聲譽、逆選擇等風險，進而影響公司營運。因此探討影響保單解約率之因素，進而準確估計保單的解約率為十分重要的議題。此外，不論投保人主動解約或是被動使保單失效均會對保險公司造成影響，因此本篇論文也將利用不同解約率的計算方式進行實證分析，研究是否不同計算方式的解約率會影響實證結果。本文使用NAIC (National Association of Insurance Commissioners)保險資料庫之年報資料，對2004-2014年間保險公司之經營狀況進行分析，驗證解約率實證中常用的三個假說：市場利率假說、緊急資金假說以及保單替換假說，選用之變數包含失業率、利率、保單替換率、高齡比等變數，並採用固定效果模型作為縱橫資料之迴歸模型，分別對不同計算方式所得之解約率進行迴歸分析，並比較彙整其結果。最後針對結果提出未來研究之建議。 / Insurance companies’ business will be influenced by surrender activities in several aspects, such as cash flow problem and inverse selection problem. Empirical researches show that both macroeconomic variables and microeconomic variables will influence surrender behaviors. Hence, this paper seeks to which kinds of macroeconomic variables will influence surrender activities and investigates whether using different ways to calculate surrender rate will cause different empirical results. All available US insurance company data, ranging from January 2004 to December 2014, are obtained from the annual statement in NAIC (National Association of Insurance Commissioners).We found some evidence supporting Emergency Fund Hypothesis and Interest Rate Hypothesis, but using different ways to calculate surrender rate may cause a little bias in conclusion. However, the relationship between surrender activities and macroeconomic variables supports insurance companies to understand and actively manage lapse/surrender risk.

This paper investigates a new category of influential factors on business cycle synchronization (BCS), so far hardly regarded in the BCS literature: It provides an empirical assessment of the impact of macroeconomic imbalances, as monitored by the European Commission by the scoreboard indicators since 2011, on BCS in the Euozone. We use a quarterly data set covering the period 2002-2012 and estimate the direct and indirect effects of macroeconomic imbalances in the pre- and post-crisis period in a simultaneous equations model. Business cycle correlation between EA members is measured by the recently proposed dynamic conditional correlation of Engle 2002 which can better identify synchronous and asynchronous behaviour of BC than the commonly used measures. We find that appearing differences between EA members in the current account, in government deficit and public debt, in private debt and unit labor cost developments have reduced BCS in the EA, even more in the post-crisis period than before. Moreover, these explanatory factors of BCS, generally reinforce each other and are also influenced by other critical macro imbalances. Since BCS is essential in a monetary union, this paper provides clear support that a stronger, common economic governance would be important for the functioning and survival of the Eurozone. (authors' abstract) / Series: Department of Economics Working Paper Series

In October 1999 the European Commission published the second progress report on the state of convergence of the Central- and Eastern European candidate countries (CEECs). The report encompasses an assessment, which is based on the three Copenhagen criteria. From an economic point of view, a country must have a functioning market economy and be able to withstand the competition on the European single market. In this paper we present a synthetic performance measure which helps to assess the economic preparedness of the ten Central and Eastern European Countries (CEECs) to become members of the European Union (EU). With the aid of the Data Envelopment Analysis (DEA) we construct a best practice frontier, which is supported by the best performing EU-countries and which serves as a benchmark for the candidate countries. The preparedness of any CEEC is measured as the relative distance to this frontier. The results confirm that the macroeconomic performance of most of the CEECs lies far behind the EU standards, in foreign trade some of the CEECs already perform better than some EU countries. Interestingly, we find out that some CEECs are already better prepared for the EMU than many EU member states. (authors' abstract) / Series: EI Working Papers / Europainstitut

New Consensus Models (NCMs) have been criticised by Post-Keynesians (PKs) for a variety of reasons. The paper presents a model that synthesises several of the PK arguments. The model consists of three classes: rentiers, firms and workers. It has a short-run inflation barrier derived from distribution conflict between these classes, which is endogenous in the medium run. Distribution conflict does not only affect inflation but also income shares. On the demand side the income classes have different saving propensities. We apply a Kaleckian investment function with expected sales and internal funds as major determinants. The paper analyses short-run stability and includes medium-run endogeneity channels for the Non-Accelerating-Inflation-Rate-of-Unemployment (NAIRU): persistence mechanisms in the labour market, adaptive wage and profit aspirations, investment in capital stock and cost effects of interest rate changes. The model is used to analyse NCM and PK policy assignments and policy rules. We argue that improved employment without increasing inflation will be possible, if macroeconomic policies are coordinated along the following lines: The central bank targets distribution, wage bargaining parties target inflation and fiscal policies are applied for short- and medium-run real stabilisation purposes. (authors' abstract) / Series: Department of Economics Working Paper Series

The presented study describes commercial real estate markets with focus on office sector. We identify the capitalization rate (investment yield) as one of the fundamental elements in the commercial property valuation. Based on historical office investment yield observations and various econometric models we predict the office capitalization rate development in the Czech Republic. We use data of the United Kingdom, Ireland and Sweden to identify common yield trend especially with respect to their real estate crises in 1990s that embody features similar to the real estate crisis in 2008-2010. As explanatory variables for the econometric models (ARIMA, OLS, VAR) we use financial and macroeconomic variables. We use the OLS models to identify the optimal set of explanatory variables, to be applied in VAR models. On dataset of the comparable countries we compare the goodness of fit of the VAR and ARIMA models. The best variants are then used for the prediction of the Czech office yield. Lastly, we improve our results by implementing exogenous forecasts of macroeconomic variables used in the models. Majority of our predictions forecast a slow decrease of the capitalization rate in next two years (2010-2012) in the magnitude of 0.25% - 1% (to 6.25%-6%).

This thesis examined an ability of the scoreboard indicators created by the European Commission to capture macroeconomic imbalances expressed as the changes of GDP. We conducted an empirical analysis for panel data of 27 EU countries in the 1997-2011 period. We adopted three different dynamic panel data models based on the three estimators: the Arrelano- Bond, the Arrelano-Bover and the corrected LSDV estimator. Our results suggest that despite some bad characteristics of our dataset we can conclude that some of the indicators such as 3- year average of current account balance or percentage change in export market shares seem to be inadequate for measuring the imbalances. Moreover, the indicators were proved not to be able to predict an occurrence of imbalances.

L’objet de ce travail est de voir si les régions les plus concentrées sont les plus compétitives. On va analyser la distribution et la concentration géographique et économique de la population, de l’emploi et des entreprises à travers le territoire tunisien pour ensuite passer à l’étude de l’état de la compétitivité à différents niveaux et en prenant le cas des régions tunisiennes comme référence. Pour se faire nous avons usé, dans une première partie, d’un ensemble d’indices absolu et relatifs qui nous ont permis de découvrir l’état de la concentration au niveau nationale et régional pour après appliquer la méthode d’analyse structurelle résiduelle (ASR) afin de comprendre si l’évolution des schémas d’implantations de l’emploi et des entreprises est le fruit de facteurs propres aux secteurs ou au contraire relatifs à l’environnement. Une deuxième partie dans laquelle, nous avons use d’un ensemble d’indicateurs et déterminants pour appréhender la compétitivité qu’elle soit macroéconomique et mésoéconomique. Ensuite, nous avons essayé de déterminer l’état de développement de la compétitivité ainsi que les avantages qui font la dynamique économique pour les différentes régions tunisiennes. Globalement, on a conclu que les régions les plus concentrées en Tunisie sont les plus compétitives. Ainsi, il existe un déséquilibre que ce soit en matière de concentration des populations, de l’emploi et des entreprises entre les régions du littoral et celles de l’intérieur. Ce déséquilibre est palpable aussi en matière de compétitivité entre ces différentes régions. / The purpose of this work is to see, if the more concentrated regions are more competitive. We will analyze the distribution and geographic concentration and economic population, employment and businesses across the Tunisian territory before moving on to the study of the state of competitiveness at different levels and taking the case of Tunisian regions as reference. To do this we use, in a first part, a set absolute and relative indices that have allowed us to discover the state of the concentration at national and regional levels to implement the following method of structural analysis residual (ASR) to understand whether the changing patterns of employment offices and businesses is the result of factors specific to sectors or otherwise relating to the environment. A second part, in which, we used a set of indicators and determinants to understand the macroeconomic and mesoeconomic competitiveness. Then, we tried to determine the status of the development of competitiveness and the benefits are economic dynamics for different regions of Tunisia. Overall, it was concluded that the most concentrated areas in Tunisia are the most competitive. Thus, there is an imbalance whatsoever regarding concentration of population, employment and business between the coastal regions and those inside. This imbalance is also palpable in competitiveness between these regions.