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 20 of 26 for “"macroeconomic fundamentals"”.
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Examining the relationship between macroeconomic fundamentals and exchange rates: Evidence from the Common Monetary Area (CMA)
This study investigated the relationship between macroeconomic fundamentals and exchange rates in the Common Monetary Area (CMA) using the Pooled Mean Group (PMG) methodology within a Panel Autoregressive Distributed Lag (PARDL) framework, accounting for structural breaks. Utilising panel data from …
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Essays on international finance
… risk-off switches are unrelated to changes in macroeconomic fundamentals and to other shocks. Risk-off switches have very significant spill-over to the returns of broad asset classes and trading strategies and are associated with significant changes in the positions of professional investors …
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Macroeconomic consequences of accounting : the effect of accounting conservatism on macroeconomic indicators and the money supply
This study investigates the macroeconomic consequences of firm-level accounting conservatism. Consistent with conditional conservatism extending to the aggregate level, I demonstrate that annual estimates of aggregate corporate profits and gross domestic product from 1929 to 2007 compiled by the …
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The dynamic effect of macroeconomic factors on housing prices: Evidence from South Africa
… between South African real house prices and macroeconomic fundamentals (gross domestic product, mortgage rate, exchange rate-USDZAR, affordability, household debt to disposable income, unemployment rate, share prices (JSE ALL share index), foreign direct investment, and producer price index) …
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Market Sentiments and the Housing Markets
… after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In the second chapter, we show that short term house price …
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Machine Learning for Credit Default Risk
… relationship between sovereign credit risk and macroeconomic fundamentals across OECD countries. Random forests significantly outperform sparse and dense linear predictive models and explain up to 80% of the out-of-sample variation in CDS spreads by conditioning on macroeconomic fundamentals …
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Generalized Principal Component Analysis
… random walk models, with or without including macroeconomic fundamentals.
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Essays on International Finance and Currency Economics
… years. In chapter 2, we use a joint model of macroeconomic and term structure dynamics to estimate the term premia and inflation risk premia embedded in the euro area and U.S. sovereign bonds yields. We find that the fall in real risk premia has been the primary driver of declining yields, …
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The US Unconventional Monetary Policy and International Capital Flows to Emerging Market Economies
… and expected investment returns driven by EME macroeconomic fundamentals.</p>
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Three essays on the predictive content and predictability of the nominal exchange rates in a changing world
… rates in an attempt to forecast the Taylor rule fundamentals, such as the output gap, the inflation rate and the real exchange rate of the U.S. and the U.K. We employ time-varying econometric techniques, taking into account possible non-linearities and time-variations of the Taylor rule …
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Order flow and exchange rate dynamics in emerging economies: The case of Ghana
… between order flow, commodity prices and macroeconomic fundamentals in an emerging economy.
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An empirical analysis of Malaysian housing market: switching and non-switching models
… when house price increases are not justified by macroeconomic fundamentals and other underlying factors (Xia and Tan 2006). The effect of housing bubble bursts is seen in the loss of value to owners of capital, increase unemployment, slowing down of the economy particularly in housing-related …
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Quantifying the Effects of Sentiment and Expectations on the United States Credit Growth
… upon insights from behavioral finance and macroeconomic forecasting. While traditional economic theories emphasize fundamental determinants of credit expansion, growing evidence suggests that psychological biases, investor sentiment, and extrapolative expectations contribute significantly …
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Essays on technical analysis in financial markets
… using a regression based framework of equity fundamentals, macroeconomic fundamentals, behavioural variables and a diverse set of mainstream statistical indicators from technical analysis. Our recursive approach uses time-invariant rolling and expanding estimation windows as well as …
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The impact of sub-optimal international portfolio allocations on cost of capital, stock market development and investor protection standards
… Policy makers in emerging countries can improve macroeconomic fundamentals and good governance to attract and retain foreign investors.
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Why are microcredit interest rates in sub-Saharan Africa so persistently high? Testing the predictions of theoretical models
… microcredit interest rates; and (ii) volatile macroeconomic fundamentals exert undesirable effects on the microcredit interest rates. Second, a methodical analysis of the relationship between outreach to the poor and the financial performance of microfinance institutions (MFIs), produced the …
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Essays on balance of payments crises
… consists of raising interest rates sharply as fundamentals become very weak. However, this policy is time inconsistent, suggesting a role for commitment devices such as currency boards or IMF pressure. Chapter 2 studies the relationship between macroeconomic fundamentals and asset prices during …
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Essays in Financial Economics
… of stock returns, bond returns, bond yields, and macroeconomic fundamentals. We also match moments that have remained elusive in the literature ---including those from predictability regressions of stock returns, consumption, and dividends on the price-dividend ratio. The key element that we …
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The behavioral economics of foreign exchange markets - a psychological view on human expectation formation in foreign exchange markets
… exchange rates can hardly be explained by macroeconomic fundamentals as supposed by traditional economic theories. Therefore, prominent economists yet conclude that there exists an ‘exchange rate disconnect puzzle’ (see Obstfeld and Rogoff [2000]). The observable exchange rate trends are …
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Identifying non-oil sectors potential and impact of corruption on economic growth in Nigeria
… policies that will enhance vibrant and sound macroeconomic fundamentals such as investment promotions, more effective government consumption, price stability, a stronger judiciary system and uncompromised agencies for fighting corruption.
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