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Empirical Essays in Natural Resources, Commodity Prices, and Applied MacroeconomicsDavarzani, Farzaneh 08 April 2022 (has links)
This thesis presents three distinct chapters that look at different challenges faced by advanced and emerging market economies. Given the issues explored in these chapters, I contribute to several strands of economic literature. Yet, each chapter is motivated by its policy relevance and is embedded in the issues advanced and emerging market countries face.
Chapter 1 explores the impact of income inequality on domestic investment in resource-rich countries. Income inequality may affect investment through different mechanisms. For instance, it could distort incentives for domestic investment; high-income inequality may discourage investment in public goods since low-income non-investors may benefit more from the returns on investment. As a result, countries with higher income inequality are expected to contribute less to their domestic investment. To investigate the relationship between income inequality and domestic investment, I use the data for 57 resource-rich countries from 1982-2015. Due to endogenous relationships among variables, I use generalized method-of moments estimators that employ lagged regressors as instruments in the estimation. Using a variety of income inequality measures, I find a negative and significant relationship between these two economic indicators: income inequality and domestic investment. This result could help resource-rich countries achieve higher growth from their resource endowments.
The second chapter studies the extent to which worldwide shocks can explain country-specific inflation fluctuations. My benchmark model proxy world shocks with shocks to commodity prices. First, using a factor model of commodity prices, I extract three leading factors characterizing their co-movement. Then, I use the commodity price factors in a structural vector autoregressive model to investigate the fraction of inflation fluctuations that commodity price shocks can explain. My estimation is based on the data for 67 advanced and emerging market economies from 1970-2014. Furthermore, I examine the impact of world shocks on inflation through additional mechanisms, such as changes in the world interest rate and the global economic activity index. Compared to the previous literature, I find the increased importance of world shocks in explaining country-specific inflation fluctuations. This result can guide policymakers in setting the relevant monetary policy to control or prevent inflationary pressures in an economy.
Finally, the third chapter studies whether commodity price shocks matter for estimating the output gap. First, I apply the Beveridge and Nelson decomposition method and calculate the share explained by world shocks in the variance decomposition of the output gap. In my analysis, world shocks affect the output gap through commodity price indices and global economic factors. My study includes five advanced and ten emerging market economies from 1980-2018. Then, I investigate whether commodity price shocks can improve the accuracy of this estimation. To do this, I exclude commodity price indices from my model to estimate the output gap. Finally, I use output gaps estimated with and without commodity price indices in an inflation forecasting model to compare the forecast errors of predicted inflation. Using a forecast error test, I find that the estimated output gap using commodity price indices would provide better results in forecasting inflation than other output measures.
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The Impact of Oil Prices on Macroeconomic Indicators in Azerbaijan and Georgia / The Impact of Oil Prices on Macroeconomic Indicators in Azerbaijan and GeorgiaKarimov, Farhad January 2015 (has links)
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.
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Hodnocení ekonomického vývoje ve vyspělých zemích / Evaluation of Economic Development in Developed CountriesJandová, Martina January 2019 (has links)
This diploma thesis deals with the issue of evaluation of economic development in Visegrad group countries compared to Germany in years from 2009 to 2015. The aim of the thesis is to take down and to evaluate economic development in this period based on the analysis of macroeconomic indicators. In the theoretical part, there are several notions explained, such as the definition of GDP, economic growth rate, unemployment rate, balance of payments or economic cycle. In the practical part, there is an analysis carried out which describes the concrete data development of macroeconomic indicators in Visegrad group countries in comparison to Germany. Subsequently, general characteristics of the countries are deduced. At the end of the thesis, the findings are summarized, and further possibilities of elaboration are foreshadowed.
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Rovná daň v pobaltských zemích a na Slovensku / Flat tax in the Baltic States and the Slovak RepublicŠugrová, Jana January 2009 (has links)
The main aim of the Master`s thesis is to compare and evaluate the system of flat tax in the Baltic States and the Slovak Republic. In the first chapter the reader will learn about a brief history of the flat tax and the general terms that relate to the topic. The second and third chapter is devoted to an analysis of the tax systems in the countries surveyed. This thesis analyzes the political and economic situation of each country before the tax reform, a description of the tax systems as originally introduced and changes over time to present. The last chapter is devoted to a detailed analysis of macroeconomic indicators in the form of graphs and verbal descriptions. Finally, in the section "4.6 The overall assessment" there is a summary of the gathered facts and the impact of flat tax on the economy of each relevant country.
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Impact of Potential EU Membership on Economy of Ukraine / Impact of Potential EU Membership on Economy of UkraineJascuk, Milana January 2018 (has links)
Recently the topic of the future of Ukrainian economy has been attracting great attention among economists and politicians. The way how it should develop is widely discussed on the international arena. Economists and politicians cannot reach an agreement to which direction it is better to move for Ukraine. Nowadays a lot of special institutions have been created on both sides: in Ukraine and in Europe. The main goal of those is to control all the processes of transformation to be transparent on all levels; as well as prevent unlikely events. Of course, there are proponents and opponents of the moving to the free trade with the EU as for every global process. Among the young generation it is very clear, that possibilities, which gives us European Union are much more valuable and gainful. Even now, majority of students and researchers seek to apply or acquire some knowledge in European countries. I'm not an exception and for this reason, being a representative of young generation, I will try to determine potential impact on Economy of Ukraine assuming integration to European Union. It is very important to consider both threats and benefits of such processes as they are taking place on very high level. Therefore, in this work it will be considered both contours of development for Economy of Ukraine....
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Dopad potenciálního členství v EU na ekonomiku Ukrajiny / Impact of Potential EU Membership on Economy of UkraineJascuk, Milana January 2019 (has links)
Recently the topic of the future of Ukrainian economy has been attracting great attention among economists and politicians. The way how it should develop is widely discussed on the international arena. Economists and politicians cannot reach an agreement to which direction it is better to move for Ukraine. Nowadays a lot of special institutions has been created on both sides: in Ukraine and in Europe. The main goal of those is to control all the processes of transformation to be transparent on all levels; as well as prevent unlikely events. Of course, there are proponents and opponents of the moving to the free trade with the EU as for every global process. Among the young generation it is very clear, that possibilities, which gives us European Union are much more valuable and gainful. Even now, majority of students, researchers seek to apply their knowledge or gain some knowledge in European countries. I try to determine potential impact on Economy of Ukraine assuming integration to European Union. It is very important to consider both threats and benefits of such processes as they are taking place on very high level. Therefor in this work I will consider both contours of development for Economy of Ukraine. To explore it I have applied the synthetic control method, which gives us opportunity to...
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Připravenost ČR na přijetí eura v porovnání s ekonomickými determinanty přijetí eura na Slovenku / The readiness of the Czech Republic to adopt the euro in comparison with the economic determinants of euro adoption in SlovakiaŠindelářová, Andrea January 2010 (has links)
This thesis will deal with a current issue - euro adoption in the Czech Republic. The three neighboring countries of the Czech Republic have already adopted the euro. The Czech Republic lie under an obligation to adopt the euro and solve the arguments for and against early entry to the Euroarea at this time. The issue will be solved from the perspective of euro adoption in Slovakia. Both of the republics had the "same" default position seventeen years ago. Why is Slovakia the member of the Euroarea and why not the Czech Republic? Advantages and disadvantages of euro adoption in Slovakia will be the basis for the argumentation of the acceptance or rejection of the euro in the Czech Republic. The purpose of the thesis is to demonstrate the Czech readiness to adopt the euro from a purely economic point of view, even though this is a political decision. The adopted methods will be analysis and comparison of macroeconomic indicators, called the magic rectangle (GDP, inflation, balance of payments, unemployment rate). The thesis will evaluate the progress of these indicators in the key periods of the republics. These periods had an impact on the state of both economies and led to euro adoption in Slovakia and the postponement of euro adoption in the Czech Republic indefinitely (separation of both republics, preparations and entry into the European Union, preparations for euro adoption, the advent of financial crises, etc.). The main aim of this thesis is to answer the question "Why is Slovakia adopted the euro earlier than the Czech Republic?" and to confirm or to disprove hypothesis of Czech readiness to adopt the euro according to experience of Slovakia.
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Lietuvos ekonomikos augimo ir jį atspindinčių makroekonominių rodiklių tarpusavio ryšių analizė ir įvertinimas / The analysis and evaluation of the macroeconomic indicators which reflect the economics growthGrigaitė, Sandra 25 September 2008 (has links)
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.
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An Option Pricing Model with Regime-Switching Economic IndicatorsMa, Zongming Jr 23 August 2013 (has links)
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.
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The European Sovereign Debt Crisis : An Overview of the PIIGSWang, Xuefeng January 2012 (has links)
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.
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