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Essays in time series econometricsSakarya, Neslihan 25 May 2017 (has links)
No description available.
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The Analysis of the Great Moderation in FranceTsai, Pin-Chin 16 July 2012 (has links)
The Great Moderation means the reduction in the volatility of aggregate economic activity and here we use GDP growth rate to stand for economic activity. In this paper, we apply a Markov switching model to estimate the timing of the Great Moderation in France. Subsequently, by using a Time-varying structural vector autoregression model to determine which are the main variables that cause the reduction of French GDP growth rate and to see the relationship of these variables we choose.
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Concentração de mercado e volatilidade de preços: uma análise de duas agroindústrias utilizando o filtro Hodrick-Prescott / Market concentration and price volatility: one of two agribusinesses analysis using the Hodrick-Prescott filterPedroso, Paulo Segato [UNESP] 25 January 2016 (has links)
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Previous issue date: 2016-01-25 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / A agricultura sempre foi vista como um setor que opera sob normas, leis e teorias diferentes do setor industrial, mas essa diferença foi diminuindo à medida que esses dois setores passaram a se relacionar de forma mais direta acarretando no surgimento do complexo agroindustrial (CAI). Teorias sobre a formação de preço determinam que quanto maior a concentração do setor industrial, maior é o poder que esse setor tem de influenciar o preço, por meio das margens e dos custos. No caso brasileiro há evidências de indústrias mais concentradas, como a agroindústria de laranja, e indústrias menos concentradas, como a agroindústria do leite. Diante deste fato, surge o objetivo principal deste estudo: verificar empiricamente se os setores mais concentrados possuem maior influência no preço. Para alcançar esse objetivo, o presente trabalho contará com uma metodologia baseada no conceito de volatilidade das séries de preços, e com a utilização do filtro Hodrick-Prescott (HP) para separar a tendência de longo prazo da componente cíclica de curto prazo. A hipótese fundamental é de que um setor mais concentrado possui uma série de preço de curto prazo com menor volatilidade, devido a sua maior influência sobre o preço. Serão utilizadas séries de preços médios pagos ao produtor de laranja e do leite, do preço recebido pela agroindústria e dos valores de exportação, assim espera-se observar as possíveis diferenças nos dois casos. / Agriculture has always been seen as an sector that operates under rules, different laws and theories of the industrial sector, but this difference was decreasing as these two sectors began to relate more directly resulting in the emergence of the agroindustrial complex (CAI). Theories of price formation determine that the higher the concentration of industry, the greater the power that this sector has to influence the price, through the margins and costs. In Brazil there is evidence of more concentrated industries such as orange agribusiness, and less concentrated industries such as agribusiness milk. Given this fact, the aim of this study arises: empirically whether the most concentrated sectors have greater influence on price. To achieve this goal, this paper will include a methodology based on the concept of volatility of the price series, and using the Hodrick-Prescott (HP) filter to separate the long-term trend of short-term cyclical component. The fundamental assumption is that a more concentrated sector has a short-term price series with lower volatility, due to their greater influence on the price. Will be used series of average prices paid to orange producer and the milk price received by agribusiness and export values, so it is expected to observe the possible differences in the two cases.
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Metody výpočtu potenciálního produktu / Methods for Estimating Potential OutputSkok, Daniel January 2017 (has links)
The purpose of this thesis is to describe selected methods for estimating potential output. In the first part, methods used for the estimation of potential output are described including the discussion of advantages and disadvantages of their application. Subsequently, the potential output from 1996 to 2016 is estimated based on three selected methods using the data of gross domestic product in the Czech Republic. The methods used are Hodrick-Prescott filter, Kalman filter and Cobb-Douglas production function. In the conclusion, results of those three methods are compared with each other and furthermore compared with results published by the Czech National Bank and the Mistry of Finance.
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Potenciální produkt. Ekonometrická aplikace v podmínkách ČR. / Potential output. Econometric application for Czech Republic.Kyncl, Jan January 2012 (has links)
I summarize different methods of potential output and output gap estimation including advantages and disadvantages in this thesis. I also applied two published models on real data for Czech Republic. Concerned models are Hodrick-Prescott filter and so called Production Approach. Both approaches are simultaneously used by ČNB. This thesis offers comparison between HP filter and production approach and comparison of Czech, Austrian and common EU-15 potential output and output gap. Potential output of Austria and EU-15 was obtained from OECD database. Comparison result refers to very similar progress of estimate obtained by univariate and multivariate method. It also shows different trend behavior of domestic economy against more developed EU countries, which is starting to be similar at the end of observed period.
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各國不動產證券指數對抗通貨膨脹之研究江東穎 Unknown Date (has links)
本研究針對七個國家包括:美國、加拿大、英國、法國、日本、香港、與澳洲。檢驗各國主成分為REITs商品在內的不動產證券指數,對於該國的消費者物價指數與國際原油價格是否具有正向的通貨膨脹避險效果。並比較各國的普通股價指數對該國的消費者物價指數與國際原油價格的通貨膨脹避險效果。本研究首先檢驗各國不動產證券指數/普通股價指數之月增率與消費者物價指數/原油價格之月增率之間是否具有正相關性。並將消費者物價指數/國際原油價格之月增率以HP濾波分解成永久性部分與暫時性部分,以迴歸估計消費者物價指數/國際原油價格之月增率的永久性與暫時性部分對於不動產證券指數/普通股價指數之月增率是否有正向的解釋能力。並以Granger因果關係檢定通貨膨脹像消費者物價指數或原油價格的月增率是否會Granger影響不動產價格的月增率。最後在進行單根檢定確認各數列皆為I(1)數列之後,檢驗不動產證券指數/普通股價指數與消費者物價指數/國際原油價格是否存在共整合關係,亦即代表是否具有長期的均衡狀態。
結果發現,幾乎所有國家不動產證券指數的月增率不管是對物價指數的月增率或原油價格的月增率的相關係數大多為無相關,在美國、加拿大、與澳洲甚至有些微的負相關,沒有支持通貨膨脹避險的證據。而在迴歸分析的結果,在加拿大、英國、法國,與日本,物價指數月增率的永久性部分對不動產證券指數月增率有負向影響;在美國與香港則是物價指數月增率的暫時性部分對不動產證券指數月增率有負向影響。至於原油價格月增率的暫時性部分則在美國、法國、與澳洲找到對不動產證券指數存在負向影響的證據。其他國家則無法找到支持物價指數月增率或原油價格月增率的永久性或暫時性部分對不動產證券指數月增率具有正向影響。此外Grnager因果關係檢定中,只有美國的消費者物價指數月增率Granger影響不動產證券指數月增率。
而在假設無時間趨勢的共整合檢定之中,所有國家皆有顯著證據支持不動產證券指數與該國物價指數存在共整合關係,但若假設具有時間趨勢,只有加拿大,英國,日本與香港具顯著證據支持共整合關係的存在。而不動產證券指數與原油價格的共整合關係,不論有無時間趨勢,只有在加拿大、日本與澳洲這三個國家找到共整合關係存在的證據。
而普通股股價指數與消費者物價指數或原油價格實證結果顯示,相關係數檢定與不動產證券指數檢定結果相似,大多為無相關;只有美國、法國、與澳洲有些微負相關存在。迴歸分析中,物價指數月增率的永久性部分在加拿大、法國、與日本對普通股價指數月增率有負向影響;暫時性部分則在美國與澳洲對普通股價指數月增率有負向影響。原油價格月增率的暫時性部分在美國與法國對普通股股價指數存在負向影響的證據。而Grnager因果關係檢定中,在較多國家找到顯著證據支持原油價格月增率Granger影響不動產證券指數月增率。共整合檢定中,若不考慮時間趨勢,所有國家的股價指數均對物價指數存在共整合關係,但若考慮時間趨勢,則只有日本與香港有共整合現象;至於股價指數與原油價格的共整合檢定,不論有無時間趨勢,只有在日本、香港與澳洲找到些微共整合關係存在的證據。
整體而言,並無顯著證據存在支持不動產證券指數的報酬會隨著通貨膨脹的增加而增加;或是通貨膨脹的增加可以解釋不動產證券指數的報酬。然而不動產證券指數與消費者物價指數之間的確存在共整合關係,代表長期之下,兩者會往均衡方向調整,具有部分通貨膨脹避險能力。而普通股價指數與不動產證券指數的結果相同,但在檢設具有時間趨勢的共整合檢定上,不動產證券指數在四個國家存在共整合關係,普通股價指數則只有在兩個國家找到共整合存在的證據。不動產證券指數長期而言較普通股價指數具有較好的通貨膨脹避險效果。
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Časově-frekvenční analýza hrubého domácího produktu ČR / Time-frequency analysis of Czech republic gross domestic productTráge, David January 2011 (has links)
The aim of this master's thesis is to get familier with problematic and concepts of econometrics (GDP, investment, usage and others). We see into used data mainly their characters and expectations and we discuss possibilities of frequention and time-frequention analysis of these data by Fourier and Wavelet transform. Data of quarter development of gross domestic product in Czech Republic, EU and USA will be analysed by the help of programm MATLAB. Data will be filtered by three ekonomic filters: Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald filters. The aim is to find cyclic elements in developments of GDPs and to suggest an optimal type of analysis.
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