The thesis looks at the macroeconomic impact of foreign aid. It is specially concerned with aid's impact on the public sector of less developed countries < LDCs> . Since the overwhelming majority of aid is directed to the public sector of LDCs, one can only understand the broader macroeconomic impact of aid if one first understands its impact on this sector. To this end, the thesis econometrically estimates " fiscal response" models of aid. These models, in essence, attempt to shed light on public sector fiscal behaviour in the presence of aid inflows, being specially concerned with the way aid is used to finance various categories of expenditures. The underlaying concern is to extent to which aid is " fungible" -that is, whether it finances consumption expenditure and reductions in taxation revenue in LDCs. A number of alternative models are derived from a utility maximisation framework. These alternatives reflect different assumptions regarding the behaviour of LDC public sectors and relate to the endogeniety <as opposed to exogeniety> of aid, whether or not recurrent expenditure is financed from domestic borrowing and the determination of domestic borrowing. The original frameworks of earlier studies are extended in a number of ways, including the use of a public sector utility function which is fully consistent with expected maximising behaviour. Estimates of these models' parameters are obtained using both time-series and cross-section data, dating from the 1960s, for Bangladesh, India, Pakistan and the Philippines. Both structural and reduced-form equations are estimated. Results suggest that foreign aid <defined as all foreign inflows to the official sector> is indeed fungible, albeit at different levels. Moreover, the overall impact of aid <both loans and grants> on public sector investment, consumption, domestic borrowing and taxation varies between countries. Generally speaking, aid leads to increases in investment and consumption expenditure, but reduces taxation and domestic borrowing. Comparative analysis does, however, show that these results are highly sensitive to alternative behavioural assumptions and, therefore, model specification.

New information has an important role in asset price movement. This paper investigates the role of scheduled domestic news releases on the Australian government bond market. Specifically, it examines the impact of pre-announced macroeconomic news release on bond futures markets and associated market volatility. Furthermore, an EGARCH-in-mean model is used to determine the asymmetric response of the conditional volatility to either news release or unexpected changes of some news content. The results indicate that excess return of bond futures in the research period was leptokurtic (fat-tailed) with time-varying conditional heteroscedasticity. Day of the week volatility was also present but with a declining pace. It’s generally attributed to the release dates of announcements and information flow from offshore markets. Although announcement effects to the bond futures market were significant, they depended on the type of maturity. Finally, results from EGARCH indicate that fundamental lagging indicators such as CPI and GDP are always important in explaining the impact of news release on market volatility, whereas the unemployment rate has a reasonable role in announcement surprises. The data suggest the following conclusion: investors are seriously concerned with news releases on macroeconomic variables they can feasibly forecast because they are always fundamental and provide a partial indication of the future economy. Surprises from news content are also critical to investors because some important variables can only be forecasted with limited accuracy. Therefore, deviation from anticipated outcomes in the actual content also causes significant market movement. / Thesis(M.Comm.)-- School of Commerce, 2007.

<p>This study investigates the capital structure pattern on the Nordic Banking sector, and analyzes if the macroeconomics conditions have an impact on it. The topic is timely and relevant as the credit crises, which has reached the real economy strongly, appears to lead to a restructure of the capital structure of the firms. To achieve my objective I have observed the debt-to-equity ratio in the period 2003-2008. I conducted correlation analysis and further regression analysis to search for a relationship between the variables and then a cause-effect relation between the macroeconomic measures and the capital structure. In order to understand and select the macroeconomics measures to this investigation I have reviewed well known theories and studies about the subject.</p><p> </p><p>I have found a stable debt-to-equity ratio on the book value; however to the market value the figures indicate a decrease in equity value, especially in the last year. In order to search for a macroeconomic relationship, I have developed hypotheses and examined them to select the most suitable variables to a regression analysis. The choice was the change in the GDP, the interest rate and tax rate.</p><p> </p><p>The results revealed that the book value is better explained by these measures than the market value. They demonstrate statistical significantly, highlighting the change in GDP. Even if the findings suggest that there is a correlation between the macroeconomic condition and the capital structure, the analyses suggest only moderate relationship, that should be further investigate.</p>

<p>This Master’s thesis was commissioned by Siemens Industrial Turbomachinery,subdivision Industrial Gas Turbines (PGI4) in Finspong, Sweden, and in Lincoln, England. The company has been part of Siemens Power Generation Industrial Applications since its</p><p>acquisition in 2003. In this connection, the strategic importance of procurement became more recognised and the procurement organisation has undergone many changes. Procurement, however, is a function very much affected by changes in the business context,making constant adaptations and transformations necessary. In order to ensure that the procurement organisations in Finspong and Lincoln are well</p><p>prepared for future challenges, the purchasing director at Siemens PGI4 asked us to investigate competency requirements on procurement beyond the year 2010, based on the impact of macroeconomic trends. Furthermore, a gap analysis was requested in order to compare the current competency level with the required future competency level.</p><p>The task was approached by studying literature and interviewing well-known purchasing professors. From this we concluded that the macroeconomic trends of greatest relevance for Siemens PGI4 are globalisation, outsourcing, development of information technology,</p><p>increasing demands on corporate social responsibility and changing consumer patterns.</p><p>Our investigation of the impact of these trends on procurement resulted in several requirements for the future. For example, risks must be managed throughout the whole supply chain, as the complexity of supply increases as a result of globalisation and outsourcing. The requirements are presented in terms of competencies and roles that need to be assumed. We mapped the current competency level by means of questionnaires filled in by the personnel concerned. We then compared this with the required future level. The gap analysis indicated that gaps within management of relations, for example, exist for several of the studied function profiles and that today’s way of handling risks will not be sufficient in the future. Still, the majority of the competency gaps are not very large. We believe</p><p>therefore that by taking care of the existing gaps and installing a supply chain risk management team, the procurement function can live up to the future requirements until the year 2010. We recommend the identified crucial roles and competencies to be taken into consideration when recruiting new employees and when developing existing personnel. However, continuous review and update of competencies will be needed in order to keep the company competitive.</p>

The purpose of this paper is to explore the relationship between the returns of momentum strategies and macroeconomic factors. The empirical results indicate that the phenomenon of underreaction is found in Taiwan stock market in the short term, and adoption of momentum strategies can slightly result in significant positive abnormal returns, while no phenomenon of overreaction is found in the long term, and no significant positive abnormal returns are gained if the contrarian strategies are applied. After dividing the market status into bull market and bear market, we find that the underreaction phenomenon appears in the bull market in the short term, and significant positive returns may be gained if the momentum strategies are used; on the other hand, the overreaction phenomenon appears in the bear market in the long term, and the adoption of contrarian strategies may offer significantly positive returns. In addition, either positive or negative excess returns of momentum strategies are found in the bull and bear markets. The value of (alpha) of the returns mostly exceeds zero after the adjustment of Fama and French three-factor model. Finally, the predictive value of macroeconomic analysis and the analysis of returns of momentum strategies reveal that the rate of return of momentum strategies is higher when the expected rate of return of macro economy in the bull market is getting lower, and the rate of return of momentum strategies is lower while the expected rate of return of macro economy in the bear market is high. We conclude that macroeconomic factors are unrelated to the returns of momentum strategies, regardless of bull market or bear market.

This study investigates the capital structure pattern on the Nordic Banking sector, and analyzes if the macroeconomics conditions have an impact on it. The topic is timely and relevant as the credit crises, which has reached the real economy strongly, appears to lead to a restructure of the capital structure of the firms. To achieve my objective I have observed the debt-to-equity ratio in the period 2003-2008. I conducted correlation analysis and further regression analysis to search for a relationship between the variables and then a cause-effect relation between the macroeconomic measures and the capital structure. In order to understand and select the macroeconomics measures to this investigation I have reviewed well known theories and studies about the subject.   I have found a stable debt-to-equity ratio on the book value; however to the market value the figures indicate a decrease in equity value, especially in the last year. In order to search for a macroeconomic relationship, I have developed hypotheses and examined them to select the most suitable variables to a regression analysis. The choice was the change in the GDP, the interest rate and tax rate.   The results revealed that the book value is better explained by these measures than the market value. They demonstrate statistical significantly, highlighting the change in GDP. Even if the findings suggest that there is a correlation between the macroeconomic condition and the capital structure, the analyses suggest only moderate relationship, that should be further investigate.

Buying a house is for most people the biggest investment they will ever make. A lot of factors are taken in to consideration when looking for the perfect house; location, size, what state it is in and so forth. But since most people’s budgets are limited, the price is probably the most important aspect in the decision making process of buying a house. It is therefore highly interesting to note that since 1981, house prices in Sweden have increased with almost 400 percent. This thesis examines the relationship between small house prices and macroeconomic factors in the Stockholm region during the period 1991 to 2007. By using macro economic theories complemented by data for all Stockholm’s municipalities in a OLS regression, the thesis will explain how the variables affects the small house prices in a boom, recession and over time. The results and analysis reveals that as house prices rises, people tend to increase their spending on interest costs and vice versa if the prices falls. Furthermore, results show that in a boom, an existence of speculation is contributing to the rise while convergence is an important factor in a recession. The most important conclusion from this thesis is the fact that the influence of macroeconomic variables on house prices differs significantly, depending on if the economy is in a recession or a boom. Finally, the influence on the economy that the house- and real estate market possesses cannot be underestimated with its important effect on the credit market, inflation and asset market. / Husköp är för de flesta människor deras livs största investering och det är därför många faktorer som först måste vägas in varav den viktigaste förmodligen är priset. Huspriserna i Sverige har sedan 1981 nästan fyrdubblats, en utveckling som är mycket kraftigare än inflationen samma tid. Den här kandidatuppsatsen avser att undersöka Stockholmregionens småhuspriser åren 1981-2007 och dess relation till makroekonomiska faktorer. Genom att använda en OLS regression med insamlad data för Stockholms alla kommuner och makroekonomiska teorier, visar vi hur utvalda makroekonomiska variabler påverkar småhuspriserna generellt, i hög- samt lågkonjunktur. Resultat och analys visar att om småhuspriserna går upp är tenderar Stockholms befolkning att lägga en större del av deras inkomst på räntekostnader och tvärtom när priserna går ner. En psykologisk aspekt har en viktig del i dessa upp och nedgångar, i en uppgång startar en spekulationsperiod då människor vill vara en del ägandet i den uppåtgående husmarknad medans i en nergång skapas en sorts konvergens och en rad faktorer påverkar varandra i en spiralliknande nedåt trend. Denna trend kan förklaras i DiPasquales och Wheatons assets market model där det positiva förhållandet mellan marknader som hyresmarknaden, kreditmarknaden, byggmarknaden och tillgångsmarknaden står i fokus. Den viktigaste slutsatsen i uppsatsen är att makroekonomiska faktorer påverkar småhuspriserna helt olika beroende på om ekonomin är i en hög eller lågkonjunktur. Slutligen bör nämnas hur viktigt hus- och fastighetsmarknaden är för en ekonomi genom dess påverkan på kreditmarknaden och inflationen.

<p>The three essays in this dissertation explore the role of fluctuations in aggregate volatility and global temperature as sources of systemic risk. </p><p>The first essay proposes a production-based asset pricing model and provides empirical evidence suggesting that compensation for volatility risk is closely related to an unexplored characteristic of a firm, namely, its reliance on skilled labor. I propose a model in which aggregate growth has time-varying volatility, and linear adjustment costs in labor increase with the skill of a worker. The model predicts that expected returns increase with a firm's reliance on skilled labor, as well as compensation for fluctuations in aggregate uncertainty. Consequently, a rise in aggregate uncertainty predicts an increase in expected returns as well as in cautiousness in hiring and firing. This impact is larger for firms with a high share of skilled workers because their labor is more costly to adjust. I empirically test the implications of the model using occupational estimates to construct a measure of a firm's reliance on skilled labor, and find a positive and statistically significant cross-sectional relation between the reliance on skilled labor and expected returns. Empirical estimates also show that an increase in aggregate uncertainty leads to a rise in expected returns, and this impact is larger for firms which rely heavily on skilled labor; thereby, a firm's exposure to aggregate volatility is positively related to its reliance on skilled labor.</p><p>In the second and third essay, co-authored with Ravi Bansal, we explore the impact of global temperature on financial markets and the macroeconomy. In tho second essay we explore if temperature is an aggregate risk factor that adversely affects economic growth. First, using data on global capital markets we find that the risk-exposure of these returns to temperature shocks, i.e., their temperature beta, is a highly significant variable in accounting for cross-sectional differences in expected returns. Second, using a panel of countries we show that GDP growth is negatively related to global temperature, suggesting that temperature can be a source of aggregate risk. To interpret the empirical evidence, we present a quantitative consumption-based long-run risks model that quantitatively accounts for the observed cross-sectional differences in temperature betas, the compensation for temperature risk, and the connection between aggregate growth and temperature risks. </p><p>The last essay proposes a general equilibrium model that simultaneously models the world economy and global climate to understand the impact of climate change on the economy. We use this model to evaluate the role of temperature in determining asset prices, and to compute utility-based welfare costs as well as dollar costs of insuring against temperature fluctuations. We find that the temperature related utility-costs are about 0.78% of consumption, and the total dollar costs of completely insuring against temperature variation are 2.46% of world GDP. If we allow for temperature-triggered natural disasters to impact growth, insuring against temperature variation raise to 5.47% of world GDP.</p> / Dissertation

Investments in R&amp;D activities are essential to firms. Decisions to increase or decrease R&amp;D investments may rely according to changes in macroeconomic factors. The purpose of this paper is: to examine how firms in the industries; manufacturing computers, electronics and optics and manufacturing electrical equipment, have increased or decreased their R&amp;D investments, in conjunction with macro factors during the 2000s. The sample is 49 Swedish firms. This paper is based on quantitative firm-level panel data on R&amp;D activity investments and aggregated quantitative macro-level data on macro factors. The firm-level panel data set has been put together completely from scratch, using collected and transformed raw data. Using a logistic regression model, the results show that macro factors do affect R&amp;D investments on a micro-level, to some extent. Further, the results show that change in macro factors does to a greater extent, affect decreases in R&amp;D investments than increases in R&amp;D investments. The process of increase and decrease of R&amp;D investment should be considered as two different dynamic processes. Increase and decrease do not follow the same pattern, thus a decrease of R&amp;D investments is a more explicit decision than a decision to increase R&amp;D investments.

ABSTRACT Title The Effect of Macroeconomic Variables on Market Premium. Study of Sweden, Germany and Canada Authors Samira Allahyari Westlund Arad Tahmidi Dmytro Sheludchenko Supervisor Christos Papahristodoulou Key words Macroeconomic, market risk premium, GDP, inflation, money supply, primary net lending and net borrowing, regression analysis. Institution Mälardalen University School of Sustainable Development of Society and Technology Box 883, SE-721 23 Västerås Sweden Course Bachelor Thesis in Economics (NAA 301), 15 ECTS Problem statement Risk premium value is of great interest to the financial world, since this value represents the extra return that investors receive considering the risk from investing in financial markets. The fluctuations in stock markets are believed to be influenced by changes in macroeconomic variables. Purpose The purpose of this paper is to analyze the effect of macroeconomic variables on and their relation to market risk premium in Canada, Sweden and Germany in the years 1992 – 2007. Method Multiple Regression Analysis, Ordinary Least squares (OLS) Result Forecasted Growth in real GDP is the only macroeconomic variable which has significant relation with market risk premium. The effect of money supply was found to be insignificant. Net lending and net borrowing had significant negative effect on market risk premium in Canada, whereas in Germany and Sweden the relationship was not significant.