Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Autoregression model"”.
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Three Essays on Leverage and the Macroeconomy
… leverage in the context of a structural vector autoregression model. I apply short-run and long-run restrictions based on economic theory to identify monetary policy and leverage shocks. I also use the sign restrictions approach to the identification of a leverage demand shock and examine its …
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An investigation of secondhand prices : a case of handymax dry bulk carriers
… particular case of handymax dry bulk carriers. A model is estimated to examine the effects of changes in newbuilding prices, the freight market and other market conditions on the secondhand values. The results obtained are very consistent with the most popular qualitative insertions. Through the …
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Multiproduct Nonconstant and Time -Varying Hedge Ratio Estimation by Locally Polynomial Kernel Applied to the Hog Complex
… information inflow on prices than GARCH-type models. Estimated hedge ratios using past information might not be relevant to hog producers to manage their price risks in reality. Thus, hedge ratios are one-step ahead forecasted, ex ante hedge ratios, and evaluated for an out-of-sample period. …
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Understanding the role of public preferential procurement on the development of black owned construction SMME'S IN South Africa
… between the variables. Also, a vector autoregression model short-run causality among the variables was examined. In the end, Impulse response functions are estimated. The research found both a short term and long-term causality going from FDI inflow to employment. Impulse responses show …
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Foreign Direct Investment, Economic Growth and Employment creation: A Causality Analysis from Namibia
… between the variables. Also, a vector autoregression model short-run causality among the variables was examined. In the end, Impulse response functions are estimated. The research found both a short term and long-term causality going from FDI inflow to employment. Impulse responses show …
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Essays on Macroeconomic Implications of International Capital Flow and Fiscal Uncertainty
… a dynamic stochastic general equilibrium(DSGE) model with imperfect asset substitution between short and long-term government bonds, I find that shocks to long-term U.S debt held by foreign official institutions have expansionary effects on the economy--they lower the long-term interest rate and …
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An analysis of the effectiveness of inflation targeting monetary policy framework in South Africa
… to structural shocks in the VAR system. The autoregression model of inflation showed that the sum of the coefficients is less than one (0.965) showing that inflation targeting has effectively reduced the persistence of inflation of South Africa.
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The Chinese Housing Boom and Monetary Policy
… series data at a national level with a vector autoregression model and a chow test. Chapter 6 investigates the house price determinants with city-level panel data. Both empirics support the hypotheses made in the theoretical framework. Chapter 7 provides an extensive discussion of the role of …
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The Economics of Cryptocurrencies
… account for the empirical findings, we build a model where users and miners together determine the transaction fee and transaction volume endogenously. Even though the fluctuating transaction fee mechanism in bitcoin introduces the extra cost of uncertainty to users, a back-of-envelope …
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Distribution and market share for different dimensions of product assortment
… Inc. (IRI). The first essay combines a macro model of multibrand choice with a realised heterogeneous store choice-based availability model. The second essay examines an empirical generalisation with a structural vector autoregression model to capture the effects on distribution and market …
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Essays on Bayesian Macroeconometrics
… In the first chapter, I study a business cycle model where the probability of transitioning to a downturn state characterized by low growth evolves over time. I call a change in the future probability of transitions to the downturn state a downturn risk shock. An increase in the risk of the …
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Three essays on long memory tests for persistence in volatility and structural vector autoregression modeling of real exchange rates
… what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock identification is not an easy …
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Essays on food security
… in the Philippines. I use a structural Vector Autoregression model to estimate impacts of policy shocks on market prices and then use the estimates simulate ‘no policy’ prices. I compare the simulated ‘no policy’ prices with actual historical prices. I find that government activities have a …
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Regime changes in monetary policy
… economy dynamic stochastic general equilibrium model is investigated in chapter four. The novelty of this chapter is in the structural model, where the primary commodity export sector follows a regime shock process that affect the policy parameters is allowed. The results suggest that an …
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Modeling and Forecasting Ghana's Inflation Rate Under Threshold Models
Over the years researchers have been modeling inflation rate in Ghana using linear models such as Autoregressive Integrated Moving Average (ARIMA), Autoregressive Moving Average (ARMA) and Moving Average (MA). Empirical research however, has shown that financial data, such as inflation rate, does …
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Understanding transcriptional regulation through computational analysis of single-cell transcriptomics
… based on two different formalisms, Boolean and autoregression frameworks respectively. BTR was shown to be useful for improving existing Boolean models with single-cell expression data, while SPVAR was shown to be a conservative predictor of gene interactions using pseudotime-ordered single-cell …