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noneWu, Jo-Wei 01 August 2005 (has links)
In this paper, we have employed non-linear model reexamine real interest parity (RIP) of five European economies with respect to the US. We focus on using linear and nonlinear unit root tests to test real interest rate differentials (RIRD). And we add time trend in the logistic and exponential smooth transition regression models to monthly data. The results are as follows. First, the evidence for the full-sample is favorable using three traditional unit root tests and one powerful nonlinear unit root test. Almost all economics are support real interest parity. Second, we use nonlinear error correction model to find which factors influence on RIRD. There are three economics influenced by both domestic and foreign factors at the same time.
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Empirical asset pricing and investment strategiesAhlersten, Krister January 2007 (has links)
This thesis, “Empirical Asset Pricing and Investment Strategies”, examines a number of topics related to portfolio choice, asset pricing, and strategic and tactical asset allocation. The first two papers treat the predictability of asset returns. Since at least the mid-1980s until quite recently, the conventional wisdom has been that it is possible to predict the return on, for example, an index of stocks. However, a series of recent papers have challenged this conventional wisdom. I answer this challenge and show that it is possible to predict returns if structural changes in the underlying economy are taken into account. The third paper examines the comovement between stocks and bonds. I show how it is possible to improve the composition of a portfolio consisting of these two asset classes by taking into account how the comovement changes over time. All three papers are self-contained and can therefore be read in any order. The first paper is entitled “Structural Breaks in Asset Return Predictability: Can They Be Explained?” Here I investigate whether predictability has changed over time and, if so, whether it is possible to tie the change to any underlying economic variables. Dividend yield and the short interest rate are often used jointly as instruments to predict the return on stocks, but several researchers present evidence that the relation has undergone a structural break. I use a model that extends the conventional structural breaks models to allow both for smooth transitions from one state to another (with a break as a special case), and for transitions that depend on a state variable other than time. The latter allows me to directly test whether, for example, the business cycle influences how the instruments predict returns. The results suggest that this is not the case. However, I do find evidence of a structural change primarily in how the instruments predict returns for large firms. The change differs from a break in that it appears to be an extended non-linear transition during the period 1993—1997. After the change, the short rate does not predict returns at all. Dividend yield, on the other hand, is strongly significant, and the return has become more sensitive to it. In the second paper, “Restoring the Predictability of Equity Returns,” I take another perspective on predictability and structural shifts. Several recent papers have questioned the predictability of equity returns, potentially implying serious negative consequences for investment decision-making. With return data including the 1990s, variables that previously predicted returns, such as the dividend yield, are no longer significant and results of out-of-sample tests are often weak. A possible reason is that the underlying structure of the economy has changed. I use an econometric model that allows for regime shifts over time as well as due to changes in a state variable, in this case the price-earnings ratio. This makes it possible to separate influences from these two sources and to determine whether one or both sources have affected return predictability. The results indicate that, first, a structural change occurred during the 1990s, and, second, that the unusually high level of price earnings in the late 1990s and early 2000s temporarily affected predictability at the 12-month horizon. In the third paper, “Coupling and Decoupling: Changing Relations between Stock and Bond Market Returns,” I investigate stock-bond comovement. The correlation between stocks and bonds has changed dramatically over the last ten years, introducing a new type of risk for portfolio managers, namely, correlation risk. I use GARCH estimates of stock volatility, simple regressions, and regime-switching econometric models to assess whether level of volatility, or changes in volatility, can be used to explain some of the changes in comovement in seven different countries. As regards volatility level, strong support is found in almost all countries to suggest that high volatility predicts lower, or negative, comovement. I argue that this can be evidence of a market-timing type of behavior. As for changes in volatility, the results are more mixed. Only for the U.S. market do I find strong support to conclude that large changes tend to coincide with lower, or negative, comovement. This could be evidence of a flight-to-quality (or cross-market hedging) type of behavior. / <p>Diss. Stockholm : Handelshögskolan, 2007</p>
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Understanding the cost of carry in Nikkei 225 stock index futures markets : mispricing, price and volatility dynamicsQin, Jieye January 2017 (has links)
This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully consider the unique characteristics of the triple-listed Nikkei futures contracts, or the price and volatility dynamics in the three Nikkei futures exchanges at the same time. This dissertation makes a significant contribution to the existing literature. In particular, with a comprehensive new 19-year sample period, this dissertation helps deepen the understanding of the Nikkei spot-futures equilibrium and arbitrage behaviour, cross-border information transmission mechanism, and futures market integration. The first topic of the dissertation is to study the cost of carry relationship, mispricing and index arbitrage in the three Nikkei markets. The standard cost of carry model is adjusted for each Nikkei futures contract by allowing for the triple-listing nature and key institutional differences. Based on this, the economic significance of the Nikkei mispricing is explored in the presence of transaction costs. The static behaviour of the mispricing suggests that it is difficult especially for institutional investors to make arbitrage profits in the OSE and SGX, and that index arbitrage in the CME is not strictly risk-free due to the exchange rate effect. Smooth transition models are used to study the dynamic behaviour of the mispricing in the three markets. The results show that mean reversion in mispricing and limits to arbitrage are driven more by transaction costs than by heterogeneous arbitrageurs in the Nikkei markets. The second topic of the dissertation is to investigate the price discovery process in individual Nikkei markets and across the Nikkei futures markets. With smooth transition error correction models, this dissertation reports the leading role of the futures prices in the pre-crisis period and the leading role of the spot prices in the post-crisis period, in the first-moment information transmission process. Moreover, there is evidence of asymmetric adjustments in the Nikkei prices and volatilities. The cross-border dynamics suggest that the foreign Nikkei markets (the CME and SGX) act as the main price discovery vehicle, which implies the key functions of the equivalent, offshore markets in futures market globalisation. The third topic of the dissertation is to study the volatility transmission process in individual Nikkei markets and across the Nikkei futures markets, from the perspectives of the volatility interactions in and across the Nikkei markets and of the dynamic Nikkei market linkages. This dissertation finds bidirectional volatility spillover effects between the Nikkei spot and futures markets, and the information leadership of the foreign Nikkei markets (the CME and SGX) in the second-moment information transmission process across the border. It further examines the dynamic conditional correlations between the Nikkei markets. The results point to a dramatic integration process with strongly persistent and stable Nikkei market co-movements over time.
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Essays on nonlinear time series analysis and health economicsOvanfors, Anna January 2006 (has links)
Diss. Stockholm : Handelshögskolan, 2006 S. 1-125 : 4 uppsatser
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貪腐程度對中國地方政府財政透明度的影響─以追蹤平滑轉換迴歸模型分析 / The Influence of Corruption on the Fiscal Transparency in China─An Application of Panel Smooth Transition Regression Model王鈺琪, Wang, Yu Chi Unknown Date (has links)
財政透明度為建立一個良好政府治理的基礎。近年來隨著中國大陸高速的經濟發展,中央政府相關單位亦注意到財政公開的重要性。然而,目前中國財政資訊仍處於不透明的狀態。另一方面,中國大陸貪腐現象無所不在,內部腐敗行為更是日益猖獗,因此如何打擊貪腐、提升中國地方政府的財政透明度,就成為迫在眉睫的問題。
因此,本文的研究目的主要探討中國貪腐程度對地方政府財政透明度的影響:第一,瞭解當今社會對於財政透明度的提倡與國際規範;第二,考量貪汙與財政透明度之間可能存在非線性關係,建構一個追蹤平滑轉換迴歸模型(Panel Smooth Transition Regression Model,PSTR),瞭解中國大陸財政資訊的公開情形是否因各地區貪腐程度的不同而有所差異;最後,對於中國大陸嚴重的貪腐與財政透明度的關聯做深入探討,以期能為中國大陸財政不透明與不重視情況提出政策建議。
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[en] APPLICATION OF NONLINEAR MODELS FOR AUTOMATIC TRADING IN THE BRAZILIAN STOCK MARKET / [pt] APLICAÇÃO DE MODELOS NÃO LINEARES EM NEGOCIAÇÃO AUTOMÁTICA NO MERCADO ACIONÁRIO BRASILEIROTHIAGO REZENDE PINTO 16 October 2006 (has links)
[pt] Esta dissertação tem por objetivo comparar o desempenho de
modelos não
lineares de previsão de retornos em 10 ativos do mercado
acionário brasileiro. Entre os modelos escolhidos, pode-se
citar o STAR-Tree, que combina
conceitos da metodologia STAR (Smooth Transition
AutoRegression) e do
algoritmo CART (Classification And Regression Trees),
tendo como resultado final uma regressão com transição
suave entre múltiplos regimes. A
especificação do modelo é feita através de testes de
hipótese do tipo Multiplicador de Lagrange que indicam o
nó a ser dividido e a variável explicativa
correspondente. A estimação dos parâmetros é feita pelo
método de Mínimos
Quadrados Não Lineares para determinar o valor dos
parâmetros lineares
e não lineares. Redes Neurais, modelos ARMAX (estes
lineares) e ainda o
método Naive também foram incluídos na análise. Os
resultados das previsões foram avaliados a partir de
medidas estatísticas e financeiras e se
basearam em um negociador automático que informa o
instante correto de
assumir uma posição comprada ou vendida em cada ativo. Os
melhores desempenhos foram alcançados pelas Redes Neurais,
pelos modelos ARMAX
e pela forma de previsão ARC (Adaptative Regime
Combination) derivada
da metodologia STAR-Tree, sendo ambos ainda superiores ao
retorno das
ações durante o período de teste / [en] The goal of this dissertation is to compare the
performance of non linear
models to forecast return on 10 equities in the Brazilian
Stock Market.
Among the chosen ones, it can be cited the STAR-Tree,
which matches
concepts from the STAR (Smooth Transition AutoRegression)
methodology
and the CART (Classification And Regression Trees)
algorithm, having
as the resultant structure a regression with smooth
transition among
multiple regimes. The model specification is done by
Lagrange Multiplier
hypothesis tests that indicate the node to be splitted and
the corresponding
explanatory variable. The parameter estimation is done by
the Non Linear
Least Squares method that determine the linear and non
linear parameters.
Neural Netwoks, ARMAX models (these ones linear) and the
Naive method
were also included in the analysis. The forecasting
results were calculated
using statistical and financial measures and were based on
an automatic
negociator that signaled the right instant to take a short
or a long position in
each stock. The best results were reached by the Neural
Networks, ARMAX
models and ARC (Adaptative Regime Combination )
forecasting method
derived from STAR-Tree, with all of them performing better
then the equity
return during the test period.
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Estrutura a termo de taxa de juros brasileira: investigando a presença de não linearidadeChun, Winston Seung Hyun 08 August 2011 (has links)
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Previous issue date: 2011-08-08 / Esta dissertação tem com objetivo avaliar uma das implicações da hipótese de expectativas para a estrutura a termo de taxa de juros brasileira. Utilizando testes lineares tradicionais e através da reprodução de testes não lineares TAR de Enders e Granger (1998) e ESTAR Kapetanios e Shin (2003) conclui-se que a hipótese de expectativas não é totalmente válida para a ETTJ do Brasil, além disso, são encontradas evidências de não linearidade nas séries de spreads que demandam mais pesquisa sobre o assunto. / This dissertation has the aim to evaluate one of the implications of expectation hypothesis in Brazilian term structure of interests. Using traditional linear tests and through the reproduction of nonlinear Threshold Autoregressive (TAR) tests of Enders and Granger (1998) and Exponential Smooth Transition Autoregressive (ESTAR) of Kapetanios and Shin (2003) the conclusion is that expectation hypothesis is not totally valid for Brazil, besides that, some evidences of non-linearity in spreads series were found then more research is needed on the subject.
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[en] TREE-STRUCTURED SMOOTH TRANSITION REGRESSION MODELS / [pt] MODELOS DE REGRESSÃO COM TRANSIÇÃO SUAVE ESTRUTURADOS POR ÁRVORESJOEL MAURICIO CORREA DA ROSA 22 July 2005 (has links)
[pt] O objetivo principal desta tese introduzir um modelo
estruturado por árvores
que combina aspectos de duas metodologias: CART
(Classification and Regression
Tree) e STR (Smooth Transition Regression). O modelo aqui
denominado
STR-Tree. A idéia especificar um modelo não-linear
paramétrico através da estrutura
de uma árvore de decisão binária. O modelo resultante pode
ser analisado
como uma regressão com transição suave entre múltiplos
regimes. As decisões
sobre as divisões dos nós são inteiramente baseadas em
testes do tipo Multiplicadores
de Lagrange. Uma especificação alternativa baseada em
validação cruzada
também utilizada. Um experimento de Monte Carlo utilizado
para avaliar o
desempenho da metodologia proposta comparando-a com outras
técnicas comumente
utilizadas. Como resultado verifica-se que o modelo STR-
Tree supera o
tradicional CART quando seleciona a arquitetura de árvores
simuladas. Além do
mais, utilizar testes do tipo Multiplicadores de Lagrange
gera resultados melhores
do que procedimentos de validação cruzada. Quando foram
utilizadas bases
de dados reais, o modelo STR-Tree demonstrou habilidade
preditiva superior ao
CART. Através de uma aplicação, extende-se a metodologia
para a análise de
séries temporais. Neste caso, o modelo denominado STAR-
Tree, sendo obtido
através de uma árvore de decisão binária que ajusta
modelos autoregressivos de
primeira ordem nos regimes. A série de retornos da taxa de
câmbio Euro/Dólar
foi modelada e a capacidade preditiva e o desempenho
financeiro do modelo
foi comparado com metodologias padrões como previsões
ingênuas e modelos
ARMA. Como resultado obtido um modelo parcimonioso que
apresenta desempenho
estatístico equivalente às estratégias convencionais,
porém obtendo
resultados financeiros superiores. / [en] He main goal of this Thesis is to introduce a tree-
structured model that combines
aspects from two methodologies: CART (Classification and
Regression Trees)
and STR (Smooth Transition Regression). The model is
called STR-Tree, The
idea is to specify a nonlinear parametric model through
the structure of a binary
decision tree. The resulting modelo can be analyzed as a
smooth transition
regression model with multiple regimes. The decisions for
splitting the nodes
of the tree are entirely based on Lagrange Multipliers
tests. An alternative
specification that uses cross- validation is also tried. A
Monte Carlo Experiment
is used to evaluate the performance of the proposed
methodology and to compare
with other techniques that are commonly used. The results
showed that the STRTree
model outperformed the traditional CART when specifying
the architecture
of a simulated tree. Moreover, the use of Lagrange
Multipliers tests gave better
results than a cross-validation procedure. After applying
the model to real
datasets, it could be seen that STR-Tree showed superior
predictive ability when
compared to CART. The idea was extended to time series
analysis through an
application. In this situation, we call the model as STAR-
Tree which is obtained
through a binary decision tree that fits first-order
autoregressive models for
different regimes. The model was fitted to the returns of
Euro/Dolar exchange
rate time series and then evaluated statistically and
financially. Comparing with
the naive approach and ARMA methodology, the STAR-Tree was
parsimonious
and presented statistical performance equivalent to
others. The financial results
were better than the others.
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Problèmes de choix de modèles dans la volatilité conditionnelle / Essay on model selection methods in conditional volatilityChuffart, Thomas 14 November 2016 (has links)
Cette thèse de doctorat composée de trois chapitres contribue au développement de la problématique sur la sélection de modèle de volatilité de type GARCH. Le premier chapitre propose une étude de simulation sur la sélection de modèles dans le cadre spécifique des modèles à changement de régimes. On propose des expériences de simulation permettant de mettre en évidence l'inefficacité des critères de sélection usuels dans des cas particuliers, ce qui peut conduire à des erreurs de spécification lors du choix de modèle. Le deuxième chapitre propose un test du multiplicateur de Lagrange de mauvaise spécification dans les modèles GARCH univariés. L'hypothèse nulle admet que le processus générateur des données est un modèle GARCH linéaire tandis que sous l'hypothèse alternative il correspond à une forme fonctionnelle inconnue qui est linéarisée à l’aide d’un développement de Taylor. On illustre le test dans une application empirique sur les taux de change. Le dernier chapitre étudie l'impact du prix du pétrole sur les spreads de Credit Default Swaps souverains de deux pays exportateurs de pétrole: le Vénézuela et la Russie. Utilisant des données récentes, nous trouvons que les rendements du prix du pétrole impactent les spread de CDS souverains du Vénézuela directement alors que cela passe par le canal du taux de change pour la Russie. Ce chapitre emploie des méthodes statistiques avancées, notamment l'utilisation de modèles à changement de régimes Markoviens. Finalement, l'appendice propose le manuel de la toolbox MSGtool (Matlab) qui propose une collection de fonctions pour l'étude des modèles à changement de régimes Markoviens. La toolbox est très user-friendly. / This Ph.D. thesis composed by three chapters contributes to the development of model selection in GARCH-type models.The first chapter investigates whether the most common selection criteria lead to choose the right specification in a regime switching framework. We propose simulation experiments which reveal the inefficiency of some selection criteria in particular cases which lead to misspecification. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion.In the second chapter, a misspecication test for GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown nonlinear GARCH-type models. This test can be seen as a general misspecication test. We investigate the size and the power of this test through Monte Carlo experiments. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.In the third chapter, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015, we find that crude oil price returns are a critical determinant of Venezuela CDS spreads changes, but does not explain significantly Russian CDS spreads. Indeed, oil prices seem to impact Russian CDS spreads through the exchange rates canal. Finally, we propose as an appendix the manual of the MSGtool, a MATLAB toolbox, which provides a collection of functions for the simulation and estimation of a large variety of Markov Switching GARCH (MSG) models.
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Chômage et politique économique dans un contexte d'équilibres multiples. / Unemployment and Economic Policy in a Multiple Equilibria Framework.Beugnot, Julie 01 June 2010 (has links)
Cette thèse étudie les performances du marché du travail dans une économie susceptible de présenter plusieurs équilibres, et les implications d’une telle configuration pour la politique économique. Elle comporte quatre essais, traitant chacun d’un aspect spécifique de cette problématique. En premier lieu, l’analyse économétrique des séries temporelles de taux de chômage de quelques pays de l’OCDE, permettant notamment l’identification des changements de régimes et de leurs caractéristiques, apporte des évidences significatives à l’appui de l’hypothèse d’une multiplicité d’équilibres. En second lieu, on étudie les effets de l’introduction d’un salaire minimum obligatoire et d’une hausse de celui-ci dans un modèle statique de concurrence imparfaite avec négociations salariales au niveau de la firme, le facteur travail étant hétérogène. Si la hausse du salaire minimum est défavorable à l’emploi,l’introduction d’un salaire minimum en présence d’une multiplicité d’équilibres permet d’éliminer l’équilibre Pareto-inférieur. En troisième lieu, on étudie également les implications de l’existence d’équilibres multiples pour les politiques économiques, du fait de l’altération des propriétés dynamiques de l’économie, à travers l’analyse complète d’un modèle dynamique de concurrence imparfaite avec des négociations salariales individuelles et des frictions d’appariement sur le marché du travail. Enfin, on montre grâce à l’outil expérimental dans quelle mesure l’introduction d’une variable dite de tâche solaire, peut être source de défaut de coordination et d’inefficience dans une économie possédant deux équilibres Pareto-ordonnés. / This thesis analyzes the performances of labor market in an economy subject to multiple equilibria and the implications of such a configuration for economic policy. It contains four pieces of research, each dealing with a particular aspect of the general setting. First, the econometric analysis of the unemployment time series for several OECD countries,which allows the identification of regime switches and their characteristics, brings forth some significant evidence that the multiple equilibria framework is relevant. Second, the effect of the implementation and of the rise of the minimum wage are investigated through a static model, assuming imperfect competition, heterogeneous labor input and wage negotiations at the firm level. Though minimum wage hikes have an adverse effect on employment, the implementation of a binding minimum wage turns out to be an efficient tool for excluding the Pareto- inferior equilibrium. Third economic policy conditions are also affected because the existence of multiple equilibria alters the dynamic properties of the economy. This case has been investigated in the framework of a fully dynamic model assuming imperfect competition individual wage negotiations and matching frictions. Finally, a coordination game experiment confirms that the introduction of a sunspot can be a source of coordination failure and inefficiency in an economy with two Pareto-ranked equilibria.
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