Using a multivariate vector autoregression (VAR) approach, this paper investigates the relationships between oil price and macroeconomic indicators of closely interrelated developing economies of oil exporting Azerbaijan and oil importing Georgia based on monthly time series from January 2001 to November 2012. The model is estimated for each country separately and the results are object for comparison. The empirical evidence suggests that oil price has significant effects on macroeconomy in both countries. In particular, these effects are positive for all 3 macroeconomic variables on the example of Azerbaijan. On the example of Georgia, these effects are positive for GDP and inflation rate, and, negative for exchange rate. On the other hand, macroeconomic indicators of Azerbaijan fail to affect oil price level.

This study performs a stress testing exercise on the Italian banking system in view of the 2007 financial crisis which was triggered by the crash of subprime mortgages. At the base of the global financial crisis was a failure of finan- cial regulators to quantify the accumulation of endogenous risks. Following the crisis, stress testing has acquired particular emphasis in the field of risk measurement under the Basel II supervisory framework. An econometric rela- tionship between the probability of default and the macroeconomic indicators is modeled according to the Merton approach for structural analysis using data on the Italian banking system. A latent factor model is employed to under- stand the dependence of the credit risk on the changes in the macroeconomic environment. The resulting relationship is exploited to compute the capital requirement under stressed conditions in order to draw inference about the resilience of the Italian banking system. JEL Classification G0, G01, G17, G10, C50, C22 Keywords Financial crisis, macroeconomic stress testing, credit risk, latent-factor model Author's e-mail jacomessi@yahoo.it Supervisor's e-mail petr.gapko@seznam.cz Abstrakt Klasifikace JEL G0, G01, G17, G10, C50, C22 Klíčová slova Financial crisis, macroeconomic stress test- ing, credit risk,...

The thesis deals with the chilean economy, its development, current economic situation, integration in international relations and future pespectives. The first chapter summarizes the basic information about the Reublic of Chile including the history of the country that significantly influenced its current face. The second part focuses on chilean macroeconomic situation including the foreign trade and investments. The third chapter analysis the chilean integration in global economy and the cooperation with the most important trade partners - the European Union, the USA and China. The last part is concerned with the nowadays problems, challenges and future perspectives where the impact of the recent global economic crisis and the destructive earthquake cannot be missed out.

Esta tese analisa o comportamento das economias dos quatro países membros do Mercosul (Argentina, Brasil, Paraguai e Uruguai) sob o funcionamento de regimes de câmbio flutuante, que substituíram os regimes de câmbio mais rígidos a partir do final da década de 1990. O objetivo consiste em verificar se, sob regimes de câmbio flutuante, há sinais de convergência macroeconômica entre os países do Bloco, por meio da aplicação de um modelo VAR (vetores auto-regressivos) e de testes empíricos complementares. A simulação de choques com o uso de vetores auto-regressivos visou comparar o funcionamento e os efeitos das políticas monetária e cambial dos países por meio das elasticidades entre as variáveis, obtidas nas funções de resposta a impulso, e da participação de cada variável no sistema, analisada pela decomposição da variância dos erros de previsão. Complementarmente, foram executados testes de exogeneidade, com o intuito de se efetuar uma análise comparativa, e de estabilidade, para avaliar a ocorrência de eventuais choques simétricos na região. Os resultados da estimativa e dos testes permitiram demonstrar que não há qualquer indício de convergência macroeconômica entre os países do Mercosul, pois além da elasticidade distinta entre as variáveis estimadas para cada um dos países e das diferenças na classificação da exogeneidade das variáveis, os diferentes períodos de instabilidade indicam assimetria de choques entre os países da região. / This thesis examines the behavior of the economies of the four member countries of Mercosur (Argentina, Brazil, Paraguay and Uruguay) from the operation of floating exchange regimes, which replaced the strictest regimes since the end of the 90s. The goal is to determine if, under floating exchange rate, there are signs of macroeconomic convergence among countries of the bloc, through the application of a VAR (Vector Autoregression) model and complementary empirical tests. The simulation of shock with the use of vector autoregression model intended compare the operation and the effects of monetary and exchange rate policies of the countries through elasticities between variables, which has been obtained in the impulse response functions, and of the participation of each variable in the system, verified by the decomposition of the forecasting errors from the variance. In addition, exogeneity tests were performed, in order to make a comparative analysis, and stability, to evaluate the occurrence of symmetric shocks in the region. The results of estimation and testing enabled to demonstrate that there is no evidence of macroeconomic convergence among the Mercosur countries, because beyond the distinguished elasticity between variables estimated for each of the countries and the differences in classification of variables exogeneity, different periods of instability indicate asymmetry of shocks among countries of the region.

Esta tese analisa o comportamento das economias dos quatro países membros do Mercosul (Argentina, Brasil, Paraguai e Uruguai) sob o funcionamento de regimes de câmbio flutuante, que substituíram os regimes de câmbio mais rígidos a partir do final da década de 1990. O objetivo consiste em verificar se, sob regimes de câmbio flutuante, há sinais de convergência macroeconômica entre os países do Bloco, por meio da aplicação de um modelo VAR (vetores auto-regressivos) e de testes empíricos complementares. A simulação de choques com o uso de vetores auto-regressivos visou comparar o funcionamento e os efeitos das políticas monetária e cambial dos países por meio das elasticidades entre as variáveis, obtidas nas funções de resposta a impulso, e da participação de cada variável no sistema, analisada pela decomposição da variância dos erros de previsão. Complementarmente, foram executados testes de exogeneidade, com o intuito de se efetuar uma análise comparativa, e de estabilidade, para avaliar a ocorrência de eventuais choques simétricos na região. Os resultados da estimativa e dos testes permitiram demonstrar que não há qualquer indício de convergência macroeconômica entre os países do Mercosul, pois além da elasticidade distinta entre as variáveis estimadas para cada um dos países e das diferenças na classificação da exogeneidade das variáveis, os diferentes períodos de instabilidade indicam assimetria de choques entre os países da região. / This thesis examines the behavior of the economies of the four member countries of Mercosur (Argentina, Brazil, Paraguay and Uruguay) from the operation of floating exchange regimes, which replaced the strictest regimes since the end of the 90s. The goal is to determine if, under floating exchange rate, there are signs of macroeconomic convergence among countries of the bloc, through the application of a VAR (Vector Autoregression) model and complementary empirical tests. The simulation of shock with the use of vector autoregression model intended compare the operation and the effects of monetary and exchange rate policies of the countries through elasticities between variables, which has been obtained in the impulse response functions, and of the participation of each variable in the system, verified by the decomposition of the forecasting errors from the variance. In addition, exogeneity tests were performed, in order to make a comparative analysis, and stability, to evaluate the occurrence of symmetric shocks in the region. The results of estimation and testing enabled to demonstrate that there is no evidence of macroeconomic convergence among the Mercosur countries, because beyond the distinguished elasticity between variables estimated for each of the countries and the differences in classification of variables exogeneity, different periods of instability indicate asymmetry of shocks among countries of the region.

Orientador: Eduardo Strachman / Banca: Rogério Gomes / Banca: Elias Jabbour / Resumo: Desde a década de 80 a China apresenta um crescimento econômico acima da média mundial, conseguindo feitos importantes como retirar milhões de pessoas da pobreza. Para realizar isso o governo chinês utilizou de diversas políticas e mantendo seu orçamento em constante déficit, porém a sua dívida pública como proporção do PIB atual (42,9% em 2015) não é maior que a dos países da União Europeia (83,5% em 2015). Diante de tal cenário surge a questão de como se dá a construção de políticas fiscais ativas e anticíclicas sem que haja grandes pressões sobre a dívida pública, para que esse tipo de atuação possa se manter no longo prazo. Em 2008, a economia mundial iniciou a maior crise desde 1929, a reação dos governos perante tal abalo foi diversa. A economia chinesa, apesar de inicialmente sofrer uma redução de suas taxas de crescimento, tomou medidas como pacotes de investimentos na economia e busca por novos acordos comerciais, com isto o país continuou em ritmo de crescimento bem acima da média mundial. Com o objetivo de analisar as políticas fiscais tomadas em períodos relativamente extensos e em momentos de crise, em um país em desenvolvimento, este trabalho pretende aprofundar o entendimento de como a China usou de políticas e reformas para chegar a um cenário de forte crescimento sustentado, como esta enfrentou as crises que apareceram após essa guinada rumo ao desenvolvimento e como esta pretende perpetuar seu avanço econômico frente a novos desafios. / Abstract: Since the 80's China has presented a growth above average, accomplishing some great doings like get millions of people out of misery. For this, the Chinese government has utilized diverse politics and kept the budged in a deficit, however its public debt as a percentage of the actual GDP (42,9% in 2015) its not bigger than the countries in the European Union (83,5% in 2015). Facing this scenario the question of how to keeping active and anticyclic fiscal policies without making huge pressures on the public debt, so this actions can sustain itself for the long run. In 2008, the world economy started the worst crises since 1929. The reaction of the governments facing this shake was diverse. The Chinese economy, despite the initial impact in his growth index, the high growth index was maintained and the growth was above global average. Even after the initial impact the Chinese government was still solvent - after all, it was the indebted in its on currency (LOMMEN; WRAY, 2013)- and with the economy in a stable way. With the objective of analyzing the fiscal policies taken in the relative extensive period and in moments of crises, in a development country, this work intend to learn how to face a crises and perpetuate the economic growth, in a country. / Mestre

The real estate market has been of great interest since the rise in home foreclosures in US, which started in the late 2006. The purpose of this thesis is to examine a possible relationship between the factors presented in DiPasquale and Wheaton’s (1996) model which explains the market linkages between the property market and asset market, and the Swedish real estate companies listed on the Swedish stock market OMX. The real estate stock market is, divided in to groups of 3, which represented the dependent variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP and a real estate price index are the explanatory variables. Stockholm Stock Market All- Share Index (OMXSPI) is also included as a possible explanatory variable. The main findings in most of the estimations for the groups and years, is that the OMXSPI is of significance at the 10 percent level. The other variables did not show any significant result based on the 10 percent significance level, According to the results it seems like the volatility has increased over time in the real estate stock market with respect to the OMXSPI. That is; the risk has increased significantly from the period 1996-1999 to the later periods.

In 2000 and 2001,The Financial Institution Merger Act and Financial Holding Act were legislated in Taiwan. There are 15 financial holding companies established till now. Financial holding companies hope to diversify financial commodities to investors through joint-marketing and gain cost-saving and risk-control and improve financial performance. It expects to pursue and promote broad business scope. Cathay Financial Holding company, one of the financial holding companies, is the biggest financial holding company except the Taiwan Financial Holding company. Cathay Financial Holding company has total assets exceeding NTD 3.68 trillion. The subsidiaries of Cathay Financial Holding company include Cathay Life Insurance, Cathay United Bank, Cathay Century Insurance, Cathay Securities, and Cathay Venture Capital. The financial performance of subsidiaries of financial holding company becomes more sensitive due to competition of financial liberalization and macroeconomic variables changed. The research not only uses a multiple-regression model and reported here was trying to examine the macroeconomic variables that determine the financial performance of subsidiaries of Cathay Financial Holding company, but also uses a managing capital method EAR to discuss the risk-control of Cathay Financial Holding company. Keywords : Financial Holding company, financial performance, macroeconomic variables, managing capital, EAR

Over the last sixty years, China has gone from Soviet¡¦s centrally planned economy in the Mao Era to Deng Xiao Ping¡¦s economic reform. It has evolved from extreme poverty to rapid economic growth, from equality to inequality and from life improvement to social instability. There might be cause and effect which underlie the process. This study adopts historical research approach and systematic research method to explore the cause and effect which underlie the overall development of the major economic policy-making in the four eras: Planned economy by Mao Ze Dong, reform and openness by Deng Xiao Ping, macroeconomic control by Jiang Ze Min and rural reconstruction by Hu Jin Tao. The results of this study include the following findings: Firstly, from Mao Ze Dong to Hu Jin Tao era there might be cause and effect which exist among the making of China¡¦s major economic policies. Due to the internal revolt and foreign invasion Mao Ze Dong adopted planned economy which resulted in China¡¦s extreme economic poverty. Deng Xiao Ping¡¦s reform and openness for economic development caused severe inflation. Jiang Ze Min¡¦s macroeconomic control was intended to contain the inflation. Subsequently, Jiang¡¦s policy brought about the withering away of the countryside which in turn led to Hu Jin Tao¡¦s rural reconstruction. Secondly, the logic of Chinese leaders¡¦ thinking and personalities have had significant influence on their economic policy-making, however, the effect of ideology has diminished over time. Without the leaderships of strongmen like Mao and Deng, China is forced to systemize its major economic decisions. Hu is now dealing with the problems of reform and openness which have arisen over the last thirty years. Whether he can succeed in dealing with the issues concerning agriculture, countryside, farmers and inflation still remains to be seen. The fifth generation leaderships in the future will be in a position where ¡§the revolution has not yet succeeded and comrades must continue to strife.¡¨ Thirdly, China¡¦s economic policies are influenced by the political environment that its leaders face both back home and abroad. This thesis investigates and grasps the overall system from a causationism perspective which analyzes the political and economic relations behind China¡¦s major economic policy-making. This study has significant reference value for the academia to explore the process of China¡¦s local economic policy-making.

<p>The real estate market has been of great interest since the rise in home foreclosures in</p><p>US, which started in the late 2006. The purpose of this thesis is to examine a possible</p><p>relationship between the factors presented in DiPasquale and Wheaton’s (1996) model</p><p>which explains the market linkages between the property market and asset market, and</p><p>the Swedish real estate companies listed on the Swedish stock market OMX. The real</p><p>estate stock market is, divided in to groups of 3, which represented the dependent</p><p>variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP</p><p>and a real estate price index are the explanatory variables. Stockholm Stock Market All-</p><p>Share Index (OMXSPI) is also included as a possible explanatory variable.</p><p>The main findings in most of the estimations for the groups and years, is that the</p><p>OMXSPI is of significance at the 10 percent level. The other variables did not show any</p><p>significant result based on the 10 percent significance level,</p><p>According to the results it seems like the volatility has increased over time in the real</p><p>estate stock market with respect to the OMXSPI. That is; the risk has increased</p><p>significantly from the period 1996-1999 to the later periods.</p>