The thesis examined the comprehensive causal relationship between the banking sector, stock market development and economic growth in a multi-variate framework using Zimbabwean time series data from 1988 to 2015. Three banking sector development proxies (total financial sector credit, banking credit to private sector and broad money M3) and three stock market development proxies (stock market capitalization, value traded and turnover ratio) were employed to estimate both long and short run relationships between banking sector, stock market and economic growth in Zimbabwe. The study employs the vector error correction model (VECM) as the main estimation technique and the autoregressive distributed lag (ARDL) approach as a robustness testing technique. Results showed that in Zimbabwe a significant causal relationship from banking sector and stock market development to economic growth exists in the long run without any feedback effects. In the short run, however, a negative yet statistically significant causal relationship runs from economic growth to banking sector and stock market development in Zimbabwe. The study further concludes that there is a unidirectional causal relationship running from stock market development to banking sector development in Zimbabwe in both short and long run periods. Nonetheless this relationship between banking sector and stock markets has been found to be more significant in the short run than in the long run. The thesis adopts the complementary view and recommends for the spontaneity implementation of monetary policies as the economy grows. Monetary authorities should thus formulate policies to promote both banks and stock markets with corresponding growth in Zimbabwe’s economy. / Business Management / M. Com. (Business Management)

The financial crisis of 2007/8 has triggered a profound debate about public budget finance sustainability, ever-increasing government expenditures and the efficiency of fiscal policy measures. Given this context, the following dissertation provides four contributions that analyze the long-run growth of government spending throughout economic development, discuss potential effects of fiscal policy measures on output, and provide new insights into the assessment of debt sustainability for a variety of industrialized countries. Since the breakout of the European debt crisis in 2009/2010, there has been a revival of interest in the long-term growth of government expenditures. In this context, the relationship between the size of the public sector and economic growth - often referred to as Wagner's law - has been in the focus of numerous studies, especially with regard to public policy and fiscal sustainability. Using historical data from the mid-19th century, the first chapter analyzes the validity of Wagner's law for five industrialized European countries and links the discussion to different stages of economic development. In line with Wagner's hypothesis, our findings show that the relationship between public spending and economic growth has weakened at an advanced stage of development. Furthermore, all countries under review support the notion that Wagner's law may have lost its economic relevance in recent decades. As a consequence of the 2007/8 financial crisis, there has been an increasing theoretical and empirical debate about the impact of fiscal policy measures on output. Accordingly, the Structural Vector Autoregression (SVAR) approach to estimating the fiscal multipliers developed by Blanchard and Perotti (2002) has been applied widely in the literature in recent years. In the second chapter, we point out that the fiscal multipliers derived from this approach include the predicted future path of the policy instruments as well as their dynamic interaction. We analyze a data set from the US and document that these interactions are economically and statistically significant. In a counterfactual simulation, we report fiscal multipliers that abstract from these dynamic responses. Furthermore, we use our estimates to analyze the recent fiscal stimulus of the American Recovery and Reinvestment Act (ARRA). The third chapter contributes to the existing empirical literature on fiscal multipliers by applying a five-variable SVAR approach to a uniform data set for Belgium, France, Germany, and the United Kingdom. Besides studying the effects of expenditure and tax increases on output, we additionally analyze their dynamic effects on inflation and interest rates as well as the dynamic interaction of both policy instruments. By conducting counterfactual simulations, which abstract from the dynamic response of key macroeconomic variables to the initial fiscal shocks, we study the importance of these channels for the transmission of fiscal policy on output. Overall, the results demonstrate that the effects of fiscal shocks are limited and rather different across countries. Further, it is shown that the inflation and interest rate channel are insignificant for the transmission of fiscal policy. In the field of public finances, governmental budgetary policies are among the most controversial and disputed areas of political and scientific controversy. The sustainability of public debt is often analyzed by testing stationarity conditions of government's budget deficits. The fourth chapter shows that this test can be implemented more effectively by means of an asymmetric unit root test. We argue that this approach increases the power of the test and reduces the likelihood of drawing false inferences. We illustrate this in an application to 14 countries of the European Monetary Union as well as in a Monte Carlo simulation. Distinguishing between positive and negative changes in deficits, we find consistency with the intertemporal budget constraint for more countries, i.e. lower persistence of positive changes in some countries, compared to the earlier literature.

台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。 實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。 本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。 / The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively. This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price. By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices.

Foreign aid has been used on the one hand by donors as an important international relations policy tool and on the other hand by developing countries as a source of funds for development. Since its inception in the 1940s, foreign aid has been one of the most researched topics in development economics. This study adds to this growing aid effectiveness literature, with a particular focus on the under-researched relationship between foreign aid and extreme poverty. The main empirical assessment is based on a sample of 120 developing countries from 1981 to 2013. The study had two main objectives, namely: (i) to estimate the impact of foreign aid on poverty reduction and (ii) to examine the direction of causality between foreign aid and poverty in developing countries. From these two broad objectives, there are six specific objectives, which include to: (i) examine the overall impact of foreign aid (total official development assistance) on extreme poverty, (ii) investigate the impact of different proxies of foreign aid on the three proxies of extreme poverty, (iii) assess whether political freedom (democracy) or economic freedom enhances the effectiveness of foreign aid, (iv) compare the impact of foreign aid on extreme poverty by developing country income groups, and (v) examine the direction of causality between extreme poverty and foreign aid. To achieve these objectives, the study employed two main dynamic panel data econometric estimation methods, namely the systemgeneralised method of moments (SGMM) technique and the panel vector error correction model (VECM) Granger causality framework. While the SGMM was used to assess the impact of foreign aid on extreme poverty, the panel VECM Granger causality was used to examine the direction of causality between foreign aid poverty. The SGMM was used because of its ability to deal with endogeneity by controlling for simultaneity and unobserved heterogeneity, whereas the panel VECM was preferred because the variables were stationary and cointegrated. / Economics / D. Phil. (Economics)

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.