This thesis aims to study how much of price appreciations on the Swedish real-estate market in recent times have been fundamentally warranted, as well as if the unconventional monetary policies implemented by the Swedish central bank have had any interaction with these price escalations. The methodology employed to research this is divided into two parts. Firstly, a bubble component time series has been computed using a Kalman filtering technique in a state-space model in which the bubble is inferred from a fundamental equation. The next step involves studying the dynamics between the bubble element vis-a-vis the quantitative easing policies implemented by Riksbanken. This procedure involves estimating vector autoregressive models in which several policy variables are included in the nexus and analyzed simultaneously to better grasp how QE transmits and impacts the component for the bubble. The empirical results from the first segment designate that price inflation on the Swedish housing market has become more and more principally unjustifiable throughout the sample. However, no significant inference may be made in this stage as to whether or not the market is influenced by a speculative bubble. In the dynamic system, some, yet thin evidence is found of quantitative easing policies preceding the evolvement of exuberance in house prices. Conclusively, this thesis affirms most of the growth in the non-fundamental part of prices to an expansion of credit, which in turn cannot be accredited to the policies of the Swedish Riksbank. Only a slight expectational effect is found and therefore we conclude that quantitative easing only has a trivial impact on the development of a speculative bubble in the market for real-estate.

This research examines the impact of external shocks on Nigeria’s output performance for the period 1981 – 2015. It aims to bring to the fore the importance of considering external shocks during policy design and implementation. The multivariate VAR and VECM frameworks were used to evaluate the impact of the shock variables on Nigeria’s output performance and to achieve the stated objectives. Findings show that the external shock and domestic policy variables have short-run effects on Nigeria’s output performance. Also, all the measures of external shocks and domestic policies display some viable information in explaining the variabilities in Nigeria’s output performance over the horizon. The comparison between the results of the VECM and the unrestricted VAR shows that the unrestricted VAR model outperformed the VECM. The overall result of the study confirms the view about the vulnerability of the Nigerian economy to external shocks. These shocks explain more than half of the variance in real output performance and have varying effects on output performance in Nigeria. The dynamic response of output performance to each of the defined shock variables show that output performance responds rapidly to the shock variables, while its response to the domestic economic variables is seemingly moderate. Finally, the variance decomposition show that international crude oil price and terms of trade have the largest share in accounting for the variability in output performance, followed closely by the shares of capital inflows and monetary policy.

The causal relationship between financial development and economic growth is a controversial issue. For developing countries, empirical studies have provided mixed result. This study seeks to empirically explore the relationship and the causal link between financial development and economic growth in two sub-Saharan African countries between 1970 and 2006. The empirical investigation is carried out using time methods and the five most commonly used indicators of financial development in the literature. However, the causal relationship was carried out using two different methods which are the autoregressive distributed lag bounds testing (ARDL) and the vector error correction model (VECM). Using this above methodology the study first found that in both countries there is a positive and long-term relationship between all the indicators of financial development and economic growth which was proxied by the real per capita GDP. With respect to the causality test, the two methods used provide mixed results especially in South Africa. In Cameroon the study found that financial development causes economic growth using the two methods, whereas in South Africa economic growth causes financial development when the VECM method is used, while there is an independence relationship between the two variables in South Africa when using ARDL. / Economics / M.Comm. (Economics)

The question in the study is to what extent the Swedish Real estate sector index acts as a follower of larger and broader stock indexes, and to what extent the index follows the asset values owned by the real estate companies in the asset market? The study is interesting for those trying to understand the development of share values in the Swedish real estate market as well as for those interesting in the “efficient market hypothesis”. The study makes an econometric analysis of the relationship between OMXS30, OMXS Real Estate PI, and the asset value of properties owned by Swedish real estate companies. Indexes are compared with Vector Autoregression (VAR) lag models, tested for dependence of GDP, the repo rent, and inflation. A Granger causality test is also performed. Despite discussed problems with reliability of some tests, the study finds that OMXS30 Granger cause OMX Real Estate PI. The study also finds that, during the period studied, OMXS30 and OMX Real Estate PI develop differently in the initial period but later form a similar path of performance. The asset values of the companies in the real estate market are more strongly correlated with OMXS30 than with their own sector index, OMXS Real Estate PI. No significant effects are found from GDP, the repo rent or inflation on OMXS30 or OMXS Real Estate PI. This may be seen as surprising but follows results from earlier studies.

How do catch-up East Asian countries cultivate their exchange rate (ER) policies in a different trajectory than advanced economies often cited in current literature? What are the dynamics and results (pros and cons) of choosing a particular ER policy, and what influence does it have on the progress of developmental states? How do domestic and international politics explain the convergences and variances of ER policy decisions in East Asia? The decisions of ER policy are by all means political choices. ERs influence the prices of daily exchanged goods, and thereby determine resource allocation within and across national borders. Therefore, any internal political actor, including a government, interest group, foreign party or constituent exerts discretionary power to manipulate an ER to satisfy its own interests. Externally, the size of foreign trade and the status of international monetary accounts closely depend on the valuation and volatility of ER. Thus for the transitional polities and the trade-driving economies in East Asia, the analysis of ER politics not only helps to clarify the complex mechanisms of ER influences combined with various interests and institutional settings, but also to advance the political study of globalization. My dissertation proposes an integrated framework to contend that the domestic distributional politics and economic determinants, as well as the international monetary relations, and regional market force and adaptive policy diffusion are crucial factors that influence and interact with ER policy in East Asia. This theoretical framework explains how an ER policy decision is compromised between domestically generated preferences and apparently intense international interactions. Likewise, this dissertation provides a vigorous empirical specification toward the spatiotemporal differences of ER policy in East Asia. The application of the structural vector autoregression (SVAR) model properly specifies the theoretical dynamics across variables in the East Asian panel data compiled from 1980 to 2004. Furthermore, by using the alternative Bayesian estimation, SVAR successfully demonstrates the "spinning stories" that distinguish the variances with regard to country-specific development under the asymmetrically international and interdependently regional monetary system. The empirical findings verify that my theoretical variables interact significantly with ER policy decisions in East Asia. The statistics also demonstrate that most East Asian countries tend to strategically withstand influences from the various waves of capital liberalization and keep their currencies at low values. In a general testing, however, domestic pursuits for preferred interests gradually yield to the persistent influences of international and regional forces on ER policy making in East Asia. / text

This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.

The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.

La globalisation est probablement la caractéristique principale de l'économie mondiale du 21e siècle. Elle se traduit notamment par l'intégration par les canaux commerciaux, financiers et les marchés de matières premières. Si un tel contexte affecte de manière très significative tous les types d'économies, il convient de souligner que les petites économies ouvertes dépendantes des exportations de matières premières, et ouvertes aux marchés financiers globaux, sont en général les plus exposées. L'économie chilienne possède toutes ces caractéristiques. C’est dans ce contexte que cette thèse explore l'efficacité de la politique budgétaire chilienne et les effets des prix des matières premières et des chocs financiers internationaux sur le PIB chilien et d'autres variables macro-économiques importantes. A cette fin, on utilise une approche empirique basée sur des modèles vectoriels autorégressifs. / The economic globalization is probably the main feature of the 21st century world economy, with economic integration and interdependence of national economies across the world particularly common in commodity and financial markets. Such a context greatly affect all types of economies though those small, dependent on commodity exports, and open to global financial markets are usually the most exposed. Having in mind this scenario, in this Ph.D. dissertation we explore the effectiveness of the Chilean fiscal policy and the effects of commodity prices and foreign financial shocks, on the Chilean GDP and other macroeconomic fundamentals using an empirical approach based on alternative vector autoregressive models.To understand the effectiveness of the country’s fiscal policy aiming at guarantying macroeconomic stability, in the Chapter 1 of this Ph.D. dissertation we study the dynamic effects of fiscal policy on the Chilean macroeconomic fundamentals and the size of fiscal multipliers. Chapter 2 examines how shocks to commodity prices affect the Chilean economic output, fiscal accounts and private consumption, based on correlations analysis and vector autoregression models. In the Chapter 3 of this Ph.D. dissertation we study the effect of foreign financial shocks on the Chilean real economy.

Η παρούσα μελέτη εξετάζει τη δυναμική σχέση μεταξύ των τιμών των ζωοτροφών και παραγωγού, καταναλωτή για τέσσερα είδη κρέατος: μοσχάρι, χοιρινό, αρνί και κοτόπουλο. Η σχετική βιβλιογραφία δείχνει ότι πολλοί παράγοντες επιδρούν στις τιμές των αγροτικών προϊόντων αλλά οι τιμές των ζωοτροφών είναι ο κυριότερος. Αυτό συμβαίνει γιατί οι ζωοτροφές αποτελούν πρώτη ύλη για την παραγωγή κρέατος και κατ΄επέκταση θα επηρέασουν τις τιμές παραγωγού και καταναλωτή. Τα δεδομένα αποτελούνται από 279 μηνιαίες τιμές που εκτείνονται από τον Ιανουάριο 1990 έως τον Ιανουάριο 2013. Χρησιμοποιώντας Johansen cointegration tests, Granger causality tests και impulse response functions τα εμπειρικά αποτελέσματα επιβεβαιώνουν πως οι τιμές των ζωοτροφών, οι τιμές παραγωγού και οι τιμές καταναλωτή δεν είναι ανεξάρτητες μεταξύ τους. / The present paper studies the relationship among feed prices, producer prices and consumer prices of meat: beef, pork, poultry and lamb. The literature indicates that there are many factors which affect agricultural commodity prices but the feed prices are the main. This is why feed has a principal role in the production of meat and will affect producer and consumer prices. The data consists of 279 monthly observations extending from January 1990 to January 2013. Using Johansen cointegration tests, Granger causality tests and impulse response functions, the empirical findings confirm that feed prices, consumer prices and producer prices are interdependent.

The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroeconomic conditions. For this reason, models that include macroeconomic impact were presented. Vector autoregression and vector error correction model were tested using the empirical data received from Swedish central bank, Swedish statistics and Eurostat. For financial stability it is worth using vector autoregression or vector error correction model as they describe the macroeconomic environment in the most suitable way and they are appropriate for shock analysis by showing how the impact of any factor can change the whole system. Structure: introduction, main part (credit risk, methods and empirical analysis), publication, conclusions, references. Thesis consists of: 50 p. text without appendices, 13 pictures, 11 tables, 26 bibliographical entries. Appendices included. / Kredito įstaigų priežiūros institucijos nepateikia komerciniams bankams kokius metodus jie turėtų naudoti testavime nepalankiomis sąlygomis. Tiriamasis darbas buvo atliktas tuo tikslu, kad būtų išsiaiškinta kokie matematiniai ir statistiniai metodai yra ir gali būti naudojami kredito rizikos vertinime testuojant nepalankiomis sąlygomis. Kredito rizika yra viena iš didžiausių finansinių rizikų su kuria bankai susiduria. Testavimas nepalankiomis sąlygomis yra kredito rizikos vertinimo įrankis, padedantis nustatyti įvykių, kurių realizavimosi tikimybės yra mažos, tačiau jiems įvykus, bankai patirtų reikšmingus nuostolius, pasekmes. Šis tyrimas nustatė, jog labiausiai tikėtinas įvykis gali būti ypatingai nepalankios ekonominės sąlygos. Dėl šios priežasties darbe yra pristatyti metodai, kurie įvertina makroekonominių veiksnių įtaką. Vektorinė autoregresija ir vektorinis paklaidų korekcijos modelis buvo patikrinti naudojant Švedijos centrinio banko, Švedijos statistikos departamento ir Eurostat empirinius duomenis. Finansinio stabilumo įvertinimui vertėtų naudoti vektorinį autoregresijos ar vektorinį paklaidų korekcijos modelius, nes šie modeliai geriausiai aprašo ekonominę aplinką bei yra labai tinkami šokų analizei, kadangi įvertina bet kurio veiksnio įtaką visai sistemai. Struktūra: įvadas, pagrindinė dalis (kredito rizika, metodai ir empirinė analizė), publikacija, išvados, literatūros sąrašas. Tiriamasis darbas sudarytas iš: 50 psl. teksto be priedų, 13 paveikslų, 11... [toliau žr. visą tekstą]