Social and Behavioral Sciences Commons^™

Determinants Of Aggregate R&D, Role Of Fiscal Policy, And The Effects Of Government R&D On Economic Growth, Ashraf Galal Mohamed Eid

Dissertations

This dissertation contains three essays on research and development (R&D): determinants, the role of fiscal policy, and the effects of government R&D on economic growth. The first essay is an attempt to study the determinants of aggregate R&D expenditure in both emerging and developed countries with special attention to patent rights protection and technology transfer. The main findings are: (1) patent protection helps R&D but overly burdensome protection can limit access to new innovations and thus slow down the rate of research and development, and (2) technology transfer, through imports and FDI, has a positive and significant effect only if …

Investment And Capital Flows Under Uncertainty And Capital Market Imperfection In Oil Producing Countries, Mohamed Gaber Hassan Elsayed

Dissertations

This dissertation analyzes and estimates the interactions between domestic investment and each type of capital flow under uncertainty and capital market imperfection in 13 oil-producing countries from 1981 to 2003. First, we discuss the recent development in investment theories under uncertainty, irreversibility, and imperfect capital market. Secondly, decomposing uncertainty into permanent and transitory components--based on C-GARCH--we constructuncertainty measures of broad macroeconomic variables in addition to oil price.

Thirdly, a model of four simultaneous equations is developed to capture dynamic interactions. My contribution is twofold. First, not only do we consider the impact of uncertainty and credit market imperfection on investment, …

Essays On The Econometrics Of Financial Volatility, Yasemin Bardakci

Dissertations

My dissertation consists of three essays on the econometric analysis of financial volatility.

My first essay is titled "The Runs Test for Volatility Forecastibility: Extensions and Comparisons with Tests for GARCH." Recently, Diebold and Christoffersen (2000) introduced a test for forecastable volatility. In this paper, I compare the size and the power of the runs test and the optimal LM test for GARCH by Monte Carlo simulation. For high frequency returns the LM test has superior power to the runs test. For low frequency returns however, the tests have very similar power. I also propose a switching variance model. For …