In this paper we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit / bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventional monetary policy shock during the period of the global financial crisis and stronger effects in its aftermath. This might imply that when the central bank has left the policy rate unaltered for an extended period of time, a policy surprise might boost output particularly strongly. By contrast, the spread shock has affected output growth most strongly during the period of the global financial crisis and less so thereafter. This might point to diminishing effects of large scale asset purchase programs. (authors' abstrct) / Series: Department of Economics Working Paper Series

This thesis investigates antigenic variation and its evolution in Plasmodium falciparum, the cause of the most deadly form of human malaria. Antigenic variation is a strategy for evading immunity by switching between antigenic variants during infection. In P. falciparum, such variable antigens confer different binding phenotypes that may affect parasite survival and have also been linked to pathology. Here, a new statistical method is described for determining the switching patterns that underlie antigenic variation. This method is then applied to experimental data to yield a full description of an antigenic switching network in P. falciparum. In light of the findings, theoretical modelling is used to show how immune selection and binding phenotypes may have contributed to the evolution of antigenic repertoire structure, expression order and virulence. Related models are also used to investigate parasite population diversity, providing possible explanations for observations reported here and elsewhere, with implications for vaccine design. Together, these chapters advance understanding of P. falciparum immune evasion and how it relates to pathology. This work further reinforces the role of host immunity in shaping pathogen population diversity at multiple levels.

This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. A forecast study is performed using monthly and quarterly data for the US macroeconomy between 1964 and 2008. The proposed model is compared to a steady-state Bayesian VAR model estimated on data aggregated to quarterly frequency and a quarterly least squares VAR with standard parametrization. Forecasts are evaluated using root mean squared errors and the log-determinant of the forecast error covariance matrix. The results indicate that the inclusion of monthly data improves the accuracy of quarterly forecasts of monthly variables for horizons up to a year. For quarterly variables the one and two quarter forecasts are improved when using monthly data.

Thesis (MSc)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: When modern man assumed the responsibility of domesticating animals for his own purposes, he directly accepted the responsibility associated with feeding and caring for them. Considering intensive production systems, nutrition is one of the most important aspects in maintaining healthy livestock as well as ensuring profitability is achieved. This is due to the fact that the feeding of the livestock is often the most expensive overhead cost encountered. In ostrich production systems, nutrition costs total an estimated 70 – 80% of the costs associated with rearing the birds from chick to slaughter. When dissecting the typical composition of these ostrich diets, it becomes evident energy and protein are two of the most important, and abundant, nutrients found. Therefore, this study was conducted to investigate the effects of different concentrations of protein and energy in the diets of slaughter ostriches, on their production parameters. In the first study (Chapter 3), five diets with different protein concentrations were formulated across the four feeding phases of slaughter ostriches (pre-starter, starter, grower and finisher). Three replications per treatment were conducted resulting in 15 camps of ostriches. Significant differences (P < 0.05) were found in the live weights of the birds at the end of each feeding phase except the finisher phase. In terms of the production parameters, differences (P < 0.05) were found for the dry matter intake (DMI), average daily gain (ADG) and the feed conversion ratio (FCR). Results indicated that the birds on the middle diet (control) and on the diets containing proportionally higher protein concentrations, although not different from each other, consistently outperformed those on diets containing lower concentrations of protein. These trends were also evident when comparing the cold carcass and thigh weights of the treatment birds post-slaughter. Therefore, from a financial standpoint, it could be concluded that increasing the protein content of the diets beyond that level currently used in industry (control) is not sensible. The second study (Chapter 4) was an evaluation on the primary products harvested from the birds utilized in the first study, namely the feathers, skin and meat. The aim of the investigation was to determine if the dietary protein concentrations had any effect on these products. No differences (P > 0.05) were observed across the feather yields or classes measured, except for the ‘tail feathers’, where the birds fed the lowest protein levels in their diets yielded the fewest. Differences (P < 0.05) were however found in selected skin parameters measured. Decreased dietary protein resulted in smaller wet skin size, smaller sizes of the feather nodules, as well as smaller crust size after the tanning process was completed. However, this had no impact (P > 0.05) on the skin grades achieved. Hence it became clear that dietary protein has an impact on the skin size achieved, which did not translate into differences in skin quality. Similarly, it did not affect the feather yields or quality. Energy is the most important nutrient in livestock diets as it is the first limiting nutrient influencing intake. Therefore, in the third study (Chapter 5), treatments in the form of five different levels of energy in the diets of ostriches, were investigated. Structurally, the layout was similar to the first study with three replications per treatment yielding 15 camps of ostriches. Significant differences (P < 0.05) were found between the live weights of the birds after the pre-starter phase, but not overall after the completion of the trial. The middle diet (diet 3) containing 14.5 MJ ME/kg displayed the highest gains per day of 216.0 ± 8.08 g per chick. The results of the growth were mirrored in the production parameters (DMI, ADG, FCR), where no differences (P > 0.05) were found for the rest of the feeding phases. In a follow up investigation of the effects of dietary, this chapter focused on the impact these different energy levels (Chapter 5) had on the primary products harvested after slaughter (Chapter 6). In particular, the feather yield and quality, skin yield and selected quality parameters, as well as the chemical composition of the meat was studied. No differences were found (P > 0.05) across any of the feather yields or classes measured. Concerning the skin yields and quality, similar results were found with no differences (P > 0.05) between the crust sizes or grades. With regards to the proximate composition of the meat, no major effect (P > 0.05) was found as a result of the treatment diets. Therefore, dietary energy content exhibited little influence over the feather, skin and meat parameters measured in this study. / AFRIKAANSE OPSOMMING: Die oomblik toe die nuwerwetse mens die verantwoordelikheid aanvaar het vir die mak maak van diere vir sy eie gebruik, het hy direk die verantwoordelikheid aanvaar wat geassosieer word met hul voeding en versorging. Met inagneming van intensiewe produksiestelsels is voeding een van die belangrikste aspekte in die handhawing van gesonde vee asook om winsgewendheid te verseker. Dit is as gevolg van die feit dat die voeding van diere dikwels die grootste oorhoofse uitgawe is. In volstruisproduksiestelsels bereik die voedingskostes ‘n totale geskatte hoeveelheid van 70 – 80% van die kostes wat geassosieer word met die grootmaak van die voëls vanaf kuiken tot slagvoël. Wanneer die tipiese samestelling van hierdie volstruisdiëte ontleed word, is dit duidelik dat energie en proteïene twee van die mees belangrike en volopste voedingstowwe is wat gevind word. Hierdie studie was dus onderneem om die effek van verskillende konsentrasies proteïene en energie in die diëte van slagvoëls en hulle produksieparameters te ondersoek. Vir die eerste studie (Hoofstuk 3) is vyf diëte met verskillende proteïenkonsentrasies geformuleer vir die vier voedingsfases van slagvolstruise (voor-aanvangs, aanvangs, groei en afronding). Drie herhalings per behandeling is gebruik wat 15 volstruiskampe tot gevolg gehad het. Betekenisvolle verskille (P < 0.05) in die lewende gewig van die voëls is aan die einde van elke voedingsfase gevind, behalwe vir die afrondingsfase. In terme van die produksieparameters is verskille (P < 0.05) gevind vir die droë materiaalinname (DMI), gemiddelde daaglikse toename (GDT) en die voeromsetverhouding (VOV). Resultate het getoon dat voëls wat die middelste dieet (kontrole) en diëte wat proporsioneel hoër proteïenkonsentrasies bevat het, alhoewel hulle nie van mekaar verskil nie, konsekwent beter presteer het as die wat diëte met laer proteïenkonsentrasies ontvang het. Hierdie tendense is ook waargeneem toe die koue karkas- en dygewigte van die eksperimentele voëls na-doods vergelyk is. Vanuit ‘n finansiële oogpunt kan daar dus tot die gevolgtrekking gekom word dat dit nie sinvol sal wees om die proteïeninhoud van volstruisdiëte te verhoog bo die vlak wat tans in die industrie (kontrole) gebruik word nie. Tydens die tweede studie (Hoofstuk 4) is die primêre produkte (vere, velle en vleis) wat vanaf die volstruise in die eerste studie geoes is, geëvalueer. Die doel van hierdie studie was om te bepaal of die verskillende proteïenkonsentrasies in die dieet enige effek op hierdie produkte het. Geen verskille (P > 0.05) is by die veeropbrengste of die verskillende veertipes wat gemeet is, waargeneem nie, behalwe vir die stertvere, waar die voëls wat die laagste proteïenvlakke in hulle diëte ontvang het, die laagste opbrengs gelewer het. Verskille (P < 0.05) is egter gevind in die geselekteerde velparameters wat gemeet is. ‘n Vermindering in die proteïenkonsentrasie het ‘n kleiner nat velgrootte tot gevolg gehad, asook ‘n afname in knoppiegrootte nadat die looiproses voltooi is. Hierdie waarneming het egter geen invloed (P > 0.05) op die gradering van die velle gehad nie. Dit het dus duidelik na vore gekom dat die dieetproteïen wel die velgrootte wat bereik is, beïnvloed het, maar nie tot verskille in velkwaliteit gelei het nie. Veeropbrengs en –kwaliteit is ook nie deur die dieetproteïen beïnvloed nie. Energie is die eerste beperkende voedingskomponent wat voerinname bepaal. Gegewe die groot invloed wat dit op voerinname het, is dit dus die mees belangrike komponent in die dieet van vee. Vandaar dan die derde studie (Hoofstuk 5) waar die behandelings in die vorm van vyf verskillende energievlakke in die diëte van volstruise ondersoek is. Die struktuur en uitleg van die studie was soortgelyk aan die eerste studie met drie herhalings per behandeling wat 15 volstruiskampe tot gevolg gehad het. Betekenisvolle verskille (P < 0.05) is gevind tussen die lewende gewigte van die voëls na die voor-aanvangsfase, maar nie nadat die hele proefneming voltooi is nie. Die middelste dieet (dieet 3) wat 14.5 MJ ME/kg bevat het, het die hoogste toename per dag van 216.0 ± 8.08 g per kuiken opgelewer. Groeiresultate is weerspieël in die produksieparameters (DMI, GDT, VOV), waar geen verskille (P > 0.05) in die res van die voedingsfases gevind is nie. Tydens ‘n opvolgondersoek rakende die effek van dieet, het hierdie hoofstuk gefokus op die impak wat die verskillende energievlakke (Hoofstuk 5) op die primêre produkte wat na-doods geoes is. Daar is in besonder na die vere-opbrengs en –kwaliteit, velgrootte en geselekteerde kwaliteitparameters, asook die chemiese samestelling van die vleis gekyk. Geen verskille (P > 0.05) is by die veeropbrengste of die verskillende veertipes wat gemeet is, gevind nie. Met betrekking tot die velgroottes en -kwaliteit, is soortgelyke resultate gevind met geen verskille (P > 0.05) tussen die knoppiegrootte en –gradering nie. Met verwysing na die proksimale samestelling van die vleis is geen betekenisvolle effek (P > 0.05) as gevolg van die eksperimentele diëte waargeneem nie. Die inhoud van die dieetenergie het dus ‘n klein invloed op die vere-, vel- en vleisparameters wat in hierdie studie geëvalueer is, gehad.

Multinational bank activities have gradually risen in developing countries since the beginning of the globalisation process. Rising foreign bank activities in developing countries have motivated researchers to investigate foreign banks, comprehensively. Turkey is a typical example of a developing country that achieved a tremendous growth rate in foreign bank asset, especially throughout the last decade. The aim of this thesis is to examine two-way linkage; (1) between foreign bank penetration (FBP) and banking variables; (2) between FBP and country risk and (3) between FBP, foreign direct investment (FDI) and foreign portfolio investment (FPI) in Turkey. Therefore, this thesis is constructed by three empirical sections. Moreover the pattern of FDI inflow and outflow in the world and in Turkey has been analysed, chronologically. In addition, the theory of FDI is taken into account and existing FDI theories has been criticised. In the first empirical work – Chapter 3 - the short run and long run relationship, if it exits, between FBP and determinants of bank performance (namely, domestic bank assets, domestic credit and banking profitability) in Turkey was investigated after controlling DGDP and 2001 financial crisis (DUM2001). The outcome of the Granger causality test indicates that there was unilateral causality which runs from DDB to DFBP . Moreover, I also found feedback causality between DFBP and DCREDIT . By employing impulse response functions, I found that there is positive relationship between DFBP and DCREDIT as I expected. Moreover, the response of DFBP to one standard deviation shock in domestic bank assets is initially statistically significant and positive. The reverse effect is statistically significant and positive. In the final model, the response of DFBP to one standard deviation shock in profitability (PRO) is significant and positive at 3rd quarter. The reverse effect is surprisingly positive but not statistically significant. Specifically, what has not been also investigated deeply in the empirical literature is the two-way linkage between foreign bank penetration and risk such as political, financial and economic. Thus, in chapter 4, linkage between FBP and country risk (namely, political risk, economic risk and financial risk) was examined in Turkey using quarterly data from 1994Q1 to 2009Q4. My finding indicated that I found one error correction term significant and positive in bivariate vector error correction in model 1 and 2, implying that in the long run, foreign bank penetration has contributed to economic and political risk. Moreover, short run causality based on VAR approach between DFBP and financial risk is investigated but I failed to find any significant causality in the VAR model after controlling DGDP and 2001 financial crisis, even at the 10% level. By analysing impulse response functions, I could not detect any significant relationship between DFBP and host country risk variables in the short run. This is because adding control variables (DGDP and DUM2001) make the relationship between host country risk variables and DFBP statistically insignificant. Finally, I investigated two-way linkage between FBP, FPI and FDI in Turkey after controlling DGDP and 2001 financial crisis. The finding from the VAR based block exogeneity wald test indicated that changes in DFBP significantly lead to changes in DFDI and there is also unilateral causality which runs from FPI to DFBP. Moreover, using the variance decomposition technique I found that DFDI and FPI have little explanatory power for the evolution of DFBP in Turkey. The contribution of DFBP to the variability of DFDI is more than that of FPI. The contribution of DFDI to FPI variability ranges between 0.000% and 9.122% throughout 12 quarter periods whilst the contribution of DFBP to FPI variability ranges between 0.000% and 7.611%.

Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility forecasts have been considered, finance research has still to reach a consensus on this topic. This thesis enters the ongoing debate by carrying out empirical investigations by comparing models from the current pool of models as well as exploring and proposing the use of further key parameters in improving the accuracy of volatility modelling and forecasting. The importance of accurately forecasting volatility is paramount for the functioning of the economy and everyone involved in finance activities. For governments, the banking system, institutional and individual investors, researchers and academics, knowledge, understanding and the ability to forecast and proxy volatility accurately is a determining factor for making sound economic decisions. Four are the main contributions of this thesis. First, the findings of a volatility forecasting model comparison reveal that the GARCH genre of models are superior compared to the more ‘simple' models and models preferred by practitioners. Second, with the use of backward recursion forecasts we identify the appropriate in-sample length for producing accurate volatility forecasts, a parameter considered for the first time in the finance literature. Third, further model comparisons are conducted within a Value-at-Risk setting between the RiskMetrics model preferred by practitioners, and the more complex GARCH type models, arriving to the conclusion that GARCH type models are dominant. Finally, two further parameters, the Volatility Index (VIX) and Trading Volume, are considered and their contribution is assessed in the modelling and forecasting process of a selection of GARCH type models. We discover that although accuracy is improved upon, GARCH type forecasts are still superior.

摘 要 目前金融市場上有許多金融工具提供投資人獲利的途徑，其中封閉型國家基金為一般投資人所忽略。此基金為近十年新興的金融商品，其特色為能反應當地國經濟的情勢，可作為國際投資者獲取投資多樣化利益的工具，也可以提供國內投資者配置投資組合的參考指標。 本文利用VAR模型中的因果檢定、衝擊反應分析和預測誤差變異數分解等方法探討影響基金市價報酬因素間的互動關係。發現基金市價報酬受當地國股市報酬影響較為顯著，證明封閉型國家基金可作為獲取投資多樣化利益的工具。此外，由於封閉型國家基金市價報酬能反映當地國股市報酬的表現，故可提供國內投資者進行投資策略的參考指標。 經由本文驗證封閉型國家基金其能反應當地國經濟情勢，作為國際投資者投資多樣化的金融工具及國內投資者參考的投資指標。對欲投資新興市場國家的投資人而言又多了一項獲利的投資利器。 關鍵詞：CECF、封閉型國家基金、VAR、投資多樣化

我國基於市場國際化與金融自由化的潮流，自1983年起逐步開放海外資金投資國內股票市場，證期會自1990年12月28日起開放外國專業投資機構投資我國股市，並且自1996年3月1日起，開放境外華僑及外國人投資我國股市。 吸引外資至我國投資對我國的經濟發展是有相當的助益，而維持股市與匯市的穩定亦是相當重要的目標，外資投入我國股市的金額與比重，預計逐年攀升，其交易策略與交易行為造成我國股市何種的衝擊與影響，是否與我國景氣循環有相關，引起本研究的動機。 本研究期間為1995年8月1日至2003年4月30日之日資料，主要以VAR模型及GARCH模型分析外資、投信與自營商買賣超及其與股價指數日報酬率之關係，並且配合景氣循環指標判斷當繁榮或蕭條時，探討兩者之關聯性。本研究之結論如下： 1.外資在股票市場中扮演著領先者的角色，可能因為外資對於資訊的判斷與收集較國內法人精準且充足，所以國內法人有跟隨外資的現象。 2.前期外資買賣超對當期股票指數報酬率具有顯著的正向衝擊，可見外資進出股市的確具有資訊內涵，可作為投資時的參考指標。 3.在加入景氣循環變數進行討論時，可發現當景氣蕭條時外資買賣超對股市報酬率的衝擊比景氣繁榮時衝擊劇烈。 4.股票報酬率的波動性亦顯著受前期外資買賣超波動衝擊的影響，且為正向效果，但投信與自營商買賣超對股票報酬率波動的影響並不顯著。 5.不論景氣的好壞，外資買賣超的波動度會增加我國股市報酬率的波動，且為正向的影響，由此可推論外資的買賣超行為會對台灣股市的短期走勢有助長或助跌的效果，增加股市報酬率波動度。

<p>In this paper, the forecast performance of an unrestricted Vector Autoregressive (VAR) model was compared against the forecast accuracy of a Vector error correction (VECM) model when computing out-of-sample forecasts for Swedish exports. The co-integrating relation used to estimate the error correction specification was based upon an economic theory for international trade suggesting that a long run equilibrium relation among the variables included in an export demand equation should exist. The results obtained provide evidence of a long run equilibrium relationship between the Swedish export volume and its main determinants. The models were estimated for manufactured goods using quarterly data for the period 1975-1999 and once estimated, the models were used to compute out-of-sample forecasts up to four-, eight- and twelve-quarters ahead for the Swedish export volume using both multi-step and one-step ahead forecast techniques. The main results suggest that the differences in forecasting ability between the two models are small, however according to the relevant evaluation criteria the unrestricted VAR model in general yields somewhat better forecast than the VECM model when forecasting Swedish exports over the chosen forecast horizons.</p>

<p>The purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables.</p><p>The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with those of several other actors. It is reasonable to assume that some of the forecasts for t+16 have reliable results. The Lithuanian forecast show a fall in GDP with 12.51 per cent in 2009 and a GDP growth of 4.23 per cent in 2010. The forecast for Estonia show that the GDP will decrease with 1.49 per cent in 2009 and 12.72 per cent in 2010. Finally the forecast for Latvia show a fall in GDP of 3.1 per cent in 2009 and 18 per cent in 2010. From the findings it is possible to conclude that the model provided reliable estimates of future levels of GDP for the Baltic States and the benchmark countries. This indicates that the model should be applicable on other countries of interest.</p>