Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since 1990s.Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate. This paper applies the Threshold Regression with Endogenous Threshold Variables(THRET) Model that puted forward Kourtellos, Stengos and Tan (2007) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle. For that purpose, the important variable is tested as thresholds: output gap change. The results indicate that the short-run pass-through is higher when the the economy is booming, as well as the exchange rate depreciates above some threshold. And showed in this has conformed to the business cycle theory which Goldfajn and Werlang (2000) , Carneiro, Monteiro and Wu (2002) , Muinhos (2001) proposed.

The implication of credit rationing models states that the effect of monetary policy on output may be stronger when credit conditions are tight than when they are loose. Therefore, there may be a thresholde effect on the relation between real money supply and output. Existing empirical studies on testing threshold effects ignore the fact that the monetary policy and the credit conditions are endogenous, which are follow some optimal rules. Seeing that the past studies considering the endogenous monetary policy only cannot provide substantial evidence of the credit rationing theory, this article provides an extending test of threshold effects when monetary policy and the indicator of credit conditions are endogenous. Moreover, this study finds that the US aggregate data can still provide significant evidence of a threshold effect on the relation between money and output, comparing to the endogenous monetary policy partially considered.

The number of insurance company has grown rapidly in Taiwan due to insurance deregulation since 1992. The main challenge insurance industry face is the declination of profit due to the increasing of competitors. The operator of insurance company is able to face this question and offer the solution, then a company has better solvency. So we explore two issue, one is to investigate the relationship between asset risk and capital adjustment decision in Taiwan¡¦s life insurance industry from 1993 to 2005, and the other is to provide some empirical evidences of retention limit of excess of loss reinsurance in Taiwan¡¦s property insurance industry. In the first issue, a life insurance company is in less risk and has better solvency when it has more capital or higher ratio of capital; however, this also brings higher opportunity cost which means in long run, the average profit will be lower. There is no conclusion how to balance the relationship between capital adjustment and risk taking decision in life insurance industry though this topic is intensively discussed these days. Therefore, with the methodology of panel data threshold regression, we divide life insurance companies into two categories according to ¡§life insurance and annuity insurance premiums to total premiums ratio¡¨. One is life insurance Company of indemnification, and the other is the one of savings. In conclusion, we identify the negative correlation between capital ratio and risk of life insurance company of indemnification and the positive correlation between capital ratio and risk of life insurance company of savings. In the second issue, because of the increase of natural disaster in Taiwan recently, the property insurance company has to face what the reinsurance companies are not willing to underwriter, so excess of loss reinsurance has become the viable solution in Taiwan¡¦s property insurance industry. We apply extreme value theory to the tail of Taiwan property insurance claim for VaR estimation and calculate retention limit of excess of loss reinsurance. The empirical results show that the distribution of Taiwan property insurance claim is fat-tailed. We suggested using Generalized Pareto Distribution (GPD) to model the data with extreme loss and conclude retention limit of excess of loss reinsurance.

Inflation and output growth relationship is of interest to policymakers and researchers. In the West African Monetary Zone, the attainment of low inflation rate is considered as one of the convergence criteria for the successful implementation of monetary union in the zone. Although there has been empirical evidence that the relationship between inflation and output growth in the WAMZ is non-linear, the question yet to be answered is, “at what level is inflation detrimental to economic growth?” This paper extends the link of analysis by investigating the optimal inflation for the WAMZ countries using the quadratic approach to threshold estimation. The findings drawing from economic theory and analysis suggests that inflation rate in the WAMZ is significantly associated with lower growth only after it reaches 12.86 percent. The result further indicates that there are significant differences in the inflation threshold levels in the WAMZ countries. The findings of this research are not surprising given the institutional features and structure of the different countries in the zone. The findings of the research suggest that monetary authorities in the WAMZ countries could accommodate inflation rate up to the threshold level, even when that is higher than what is currently being targeted in the zone, so as not to stifle growth in the area. Also, although the WAMZ countries belong to the same geographical area, which could enhance group formation; there could be other sources of heterogeneity like different political, legal, economic, and national policies that drive individual growth processes in the zone. / Central Bank of Nigeria

本研究之模型乃採用Hansen於1999年提出之Panel Threshold Model，並針對全球23個不同國家中之23間證交所於1995~2006年間的資料，探討各類影響企業選擇跨國上市之因素，是否會因模型的門檻變數─經濟成長率的變動而對被解釋變數─跨國上市率出現結構改變的影響。實證的結果發現：各變數中唯有市場集中度此一變數具顯著的門檻效果，且在其兩個門檻值的分類中都和跨國上市率呈顯著正相關；這樣的結果除了符合Heiko (2001) 的研究之外，更近一步的我們還發現低於門檻值部分的樣本其對跨國上市率的影響大於高於門檻值部分的樣本。此外，本文的實證結果也指出：對跨國上市率有顯著正相關的因素分別為：本益比、通貨膨脹率及經濟成長率。而對跨國上市率有顯著負相關的因素則為：週轉率、利率和新上市籌資率。 / This paper adopts the Panel Threshold Model suggested by Hansen in 1999 as our main idea to make a study of contributors of cross-listing ratio of stock exchanges. In order to find out whether the explanatory variables will make cross-listing ratio occur structure change, we use GDP growth rate as our threshold variable and take 23 stock exchanges of 23 different countries as research samples. The results are as follows, we found that the only one variable that has threshold effect is the degree of market concentration, and in both regimes it has positive relations to the cross-listing ratio. The result not only supports the research of Heiko (2001), but also points out that the higher regime part has more powerful influence to the cross-listing ratio than the lower regime part. Besides, we still found that variables have positive relations to the cross-listing ratio are PE ratio, inflation rate and GDP growth rate. Furthermore, variables like turnover ratio, interest and capital raised by new shares ratio have negative relations to the cross-listing.

This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. We perform recursive out-of-sample forecasting to study the predictive performance of the models. We also assess the in-sample dynamics correspondence to the forecast performance and find that there is not always a relationship. Furthermore, we seek to explore if these unrestricted models yield interpretable results regarding the regimes from an macroeconomic standpoint. We assess GDP-growth, the unemployment rate, and government bond yields and find evidence of Teräsvirta's claims that even when the data has non-linear dynamics, non-linear models might not improve the forecast performance of linear models when the forecast window is linear.

Zero-inflated data abound in ecological studies as well as in other scientific and quantitative fields. Nonparametric regression with zero-inflated response may be studied via the zero-inflated generalized additive model (ZIGAM). ZIGAM assumes that the conditional distribution of the response variable belongs to the zero-inflated 1-parameter exponential family which is a probabilistic mixture of the zero atom and the 1-parameter exponential family, where the zero atom accounts for an excess of zeroes in the data. We propose the constrained zero-inflated generalized additive model (COZIGAM) for analyzing zero-inflated data, with the further assumption that the probability of non-zero-inflation is some monotone function of the (non-zero-inflated) exponential family distribution mean. When the latter assumption obtains, the new approach provides a unified framework for modeling zero-inflated data, which is more parsimonious and efficient than the unconstrained ZIGAM. We develop an iterative algorithm for model estimation based on the penalized likelihood approach, and derive formulas for constructing confidence intervals of the maximum penalized likelihood estimator. Some asymptotic properties including the consistency of the regression function estimator and the limiting distribution of the parametric estimator are derived. We also propose a Bayesian model selection criterion for choosing between the unconstrained and the constrained ZIGAMs. We consider several useful extensions of the COZIGAM, including imposing additive-component-specific proportional and partial constraints, and incorporating threshold effects to account for regime shift phenomena. The new methods are illustrated with both simulated data and real applications. An R package COZIGAM has been developed for model fitting and model selection with zero-inflated data.

Online social networks (OSNs) have become a powerful medium of communicating, sharing and disseminating information. Because of popularity and availability of OSNs throughout the world, the connected users can spread information faster and thus propagate influence over each other constantly. Due to such impact, a lot of applications on OSNs focused on picking an initial set of users (seeds) to infuse their message in the OSN. Due to huge size of the network, the main challenge in picking the initial set is to maximize the resultant influence over the users in the network. The optimization problem of finding out the most influential set of members in an OSN for maximization of influence is an NP-hard problem. In this paper, we propose using the Positive Influential Dominating Set (PIDS) algorithm for the initial seed. PIDS is a well-known algorithm which determines the influential backbone nodes in the networks. We implemented PIDS-based influence maximization by using different propagation models. We compared PIDS performance to that of the existing approaches based on greedy and random heuristics. The experimental results from extensive simulation on real-world network data sets show that PIDS gives better influence spread than greedy and random for both Independent Cascade Model and Linear Threshold Model of influence propagation. PIDS is also scalable to large networks and in all size ranges, it performs well in influence maximization.

Made available in DSpace on 2014-06-11T19:26:07Z (GMT). No. of bitstreams: 0 Previous issue date: 2009-07-30Bitstream added on 2014-06-13T18:29:28Z : No. of bitstreams: 1 buzanskas_me_me_jabo.pdf: 287295 bytes, checksum: 143c58eec91adb632f95592d8c22bf67 (MD5) / Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) / As características reprodutivas das fêmeas são de grande importância na exploração de bovinos de corte no Brasil, pois estas influenciam diretamente no número de bezerros produzidos. A habilidade de permanência de fêmeas no rebanho apresenta grande impacto nos custos das propriedades rurais, pois está diretamente ligada à capacidade das vacas em produzir determinado número de bezerros em um espaço de tempo. O objetivo deste trabalho foi estudar a habilidade de permanência de fêmeas no rebanho aos 76 meses de idade (HP) e suas associações genéticas com a idade ao primeiro parto (IPP), peso corporal de machos e de fêmeas aos 420 dias de idade (P420) e perímetro escrotal aos 420 dias de idade (PE420), para fornecer subsídios ao programa de avaliação genética da raça Canchim. Por se tratar de uma característica binária, definiu-se HP como sucesso (2) quando as fêmeas obtiveram no mínimo três bezerros até os 76 meses de idade e fracasso (1) para as demais. No modelo animal, foi incluído o efeito fixo de grupo de contemporâneos (GC) e os efeitos aleatórios aditivos direto e residual. Os dados foram analisados por meio de inferência Bayesiana, em análise bi-característica de HP com as demais características. Aos 76 meses de idade 40,77% das vacas obtiveram sucesso. As médias de IPP, P420 e PE420 foram iguais a 40,28 ± 7,85 meses, 254,92 ± 45,05 kg e 24,63 ± 3,84 cm, respectivamente. As estimativas de herdabilidade obtidas para HP, IPP, P420 e PE420 foram iguais a 0,03 ± 0,01; 0,04 ± 0,01; 0,24 ± 0,04 e 0,24 ± 0,06, respectivamente. As associações genéticas da característica HP com IPP, P420 e PE420 foram iguais a -0,63 ± 0,20; -0,09 ± 0,11 e 0,45 ± 0,21, respectivamente. As correlações ambientais, de HP com IPP e P420 foram iguais... / Improvement of female fertility has become of fundamental importance for profit maximization in the beef cattle herds in Brazil. The stayability trait was defined as whether or not a cow calved in a herd at a specific age. Therefore, the objectives of the present study are to analyze stayability (Stay) and its genetic association with age at first calving (AFC), body weight in males and females at 420 days of age (BW420) and scrotal circumference at 420 days of age (SC420), in Canchim cattle. In this research, Stay was defined as success (2) for females that had a minimum of three calves at 76 months of age and failure (1) for the others. Genetic parameters were estimated for all traits. The animal model included the fixed effect of contemporary group (CG) and the additive direct and residual random effects. The data was studied using Bayesian inference in two-trait analyses. At 76 months of age the percent of success was equal to 40.77%. The means for AFC, BW420 and SC420 were equal to 40.28 ± 7.85 months, 254.92 ± 45.05 kg e 24.63 ± 3.84 cm, respectively. The analyses provided heritability estimates of 0.03 ± 0.01, 0.04 ± 0.01, 0.24 ± 0.04 and 0.24 ± 0.06 for Stay, AFC, BW420 and SC420, respectively. The estimates of posterior genetic association were equal to -0.63 ± 0.20, -0.09 ± 0.11 and 0.45 ± 0.21 between Stay with AFC, BW420 and SC420, respectively. The environmental association between Stay with AFC and BW420 were 0.02 ± 0.01 and -0.06 ± 0.04, respectively, and for SC420 the environmental correlation was computed as zero. Selection for higher BW420 should not improve the Stayability trait. However, selection for SC420 should improve this trait and also contribute positively in Stayability. The improvement of age at first calving and Stayability should not be obtained by selection for these traits, but mainly, by changes in management and environmental conditions.

Resumo: As características reprodutivas das fêmeas são de grande importância na exploração de bovinos de corte no Brasil, pois estas influenciam diretamente no número de bezerros produzidos. A habilidade de permanência de fêmeas no rebanho apresenta grande impacto nos custos das propriedades rurais, pois está diretamente ligada à capacidade das vacas em produzir determinado número de bezerros em um espaço de tempo. O objetivo deste trabalho foi estudar a habilidade de permanência de fêmeas no rebanho aos 76 meses de idade (HP) e suas associações genéticas com a idade ao primeiro parto (IPP), peso corporal de machos e de fêmeas aos 420 dias de idade (P420) e perímetro escrotal aos 420 dias de idade (PE420), para fornecer subsídios ao programa de avaliação genética da raça Canchim. Por se tratar de uma característica binária, definiu-se HP como sucesso (2) quando as fêmeas obtiveram no mínimo três bezerros até os 76 meses de idade e fracasso (1) para as demais. No modelo animal, foi incluído o efeito fixo de grupo de contemporâneos (GC) e os efeitos aleatórios aditivos direto e residual. Os dados foram analisados por meio de inferência Bayesiana, em análise bi-característica de HP com as demais características. Aos 76 meses de idade 40,77% das vacas obtiveram sucesso. As médias de IPP, P420 e PE420 foram iguais a 40,28 ± 7,85 meses, 254,92 ± 45,05 kg e 24,63 ± 3,84 cm, respectivamente. As estimativas de herdabilidade obtidas para HP, IPP, P420 e PE420 foram iguais a 0,03 ± 0,01; 0,04 ± 0,01; 0,24 ± 0,04 e 0,24 ± 0,06, respectivamente. As associações genéticas da característica HP com IPP, P420 e PE420 foram iguais a -0,63 ± 0,20; -0,09 ± 0,11 e 0,45 ± 0,21, respectivamente. As correlações ambientais, de HP com IPP e P420 foram iguais... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: Improvement of female fertility has become of fundamental importance for profit maximization in the beef cattle herds in Brazil. The stayability trait was defined as whether or not a cow calved in a herd at a specific age. Therefore, the objectives of the present study are to analyze stayability (Stay) and its genetic association with age at first calving (AFC), body weight in males and females at 420 days of age (BW420) and scrotal circumference at 420 days of age (SC420), in Canchim cattle. In this research, Stay was defined as success (2) for females that had a minimum of three calves at 76 months of age and failure (1) for the others. Genetic parameters were estimated for all traits. The animal model included the fixed effect of contemporary group (CG) and the additive direct and residual random effects. The data was studied using Bayesian inference in two-trait analyses. At 76 months of age the percent of success was equal to 40.77%. The means for AFC, BW420 and SC420 were equal to 40.28 ± 7.85 months, 254.92 ± 45.05 kg e 24.63 ± 3.84 cm, respectively. The analyses provided heritability estimates of 0.03 ± 0.01, 0.04 ± 0.01, 0.24 ± 0.04 and 0.24 ± 0.06 for Stay, AFC, BW420 and SC420, respectively. The estimates of posterior genetic association were equal to -0.63 ± 0.20, -0.09 ± 0.11 and 0.45 ± 0.21 between Stay with AFC, BW420 and SC420, respectively. The environmental association between Stay with AFC and BW420 were 0.02 ± 0.01 and -0.06 ± 0.04, respectively, and for SC420 the environmental correlation was computed as zero. Selection for higher BW420 should not improve the Stayability trait. However, selection for SC420 should improve this trait and also contribute positively in Stayability. The improvement of age at first calving and Stayability should not be obtained by selection for these traits, but mainly, by changes in management and environmental conditions. / Orientador: Maurício Mello de Alencar / Coorientador: Danísio Prado Munari / Banca: Cláudia Cristina Paro de Paz / Banca: João Ademir de Oliveira / Mestre