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Non-Linear Time Series Modelling With Applications To Equity And Fixed Income Markets, Galyna Grynkiv 2018 The University of Western Ontario

Non-Linear Time Series Modelling With Applications To Equity And Fixed Income Markets, Galyna Grynkiv

Electronic Thesis and Dissertation Repository

My thesis focuses on theoretical and empirical aspects of modelling time series during different financial and economic conditions. It consists of three separate chapters in which the properties of Threshold Vector Autoregressive Model (TVAR) models are addressed with subsequent applications to equity and fixed income markets. In the first chapter, which is a joint work with my supervisor Lars Stentoft, we examine the steady state properties of the TVAR model. Assuming the trigger variable is exogenous and the regime process follows a Bernoulli distribution, we derive the necessary and sufficient conditions for existence of a stationary distribution. The derived stationarity ...


Three Essays On Macroeconomics And Laboratory Experiments, Justin LeBlanc 2018 University of Arkansas, Fayetteville

Three Essays On Macroeconomics And Laboratory Experiments, Justin Leblanc

Theses and Dissertations

This dissertation examines two prominent macroeconomic models and their behavioral underpinnings in a laboratory setting. The first is that of state-dependent pricing models (i.e., “menu cost” models). Comparisons were made between laboratory results and a computer- simulated optimal behavior, and results indicate that subjects update prices too frequently resulting in statistically suboptimal profits due to subjects’ inability to clearly ascertain the optimal threshold at which to update prices. Second, the consumption predictions made under rational inattention theory were examined via a laboratory experiment. Results indicate that subjects’ behavior aligns well with predictions in that they consume stochastically, yet adjust ...


An Economics Primer For Cyber Security Analysts, John T. Harvey 2018 Texas Christian University

An Economics Primer For Cyber Security Analysts, John T. Harvey

Military Cyber Affairs

One of the ingredients necessary to an understanding of the impact of cyber attacks is a reliable model of the economy. We face great challenges in trying to protect an already potentially unstable system from cyber aggression and operating with a flawed understanding of the determinants of output, employment, asset prices, et cetera, surely condemns us to failure. This is so not only because we need to know where points of leverage might exist for bad actors to disrupt and disable our system, but because policy recommendations may face significant push back from both selected scholars and powerful vested interests ...


Moderate Growth With A Stronger Industrial Sector, Eric Thompson 2018 University of Nebraska-Lincoln

Moderate Growth With A Stronger Industrial Sector, Eric Thompson

Business in Nebraska

Nebraska will record solid economic growth during the forecast period but will lag U.S. growth. While Nebraska’s large farming sector has stabilized, it will not contribute much to economic growth during the forecast period. Job growth also will be sluggish in transportation, retail trade and state and local government. Job growth, however, will be stronger in the services, finance, manufacturing and construction. Projected growth rates for 2018 to 2020 are presented in Table 1.

Employment will grow by 0.8% to 1.0% per year, below the national rate. Non-farm income will grow between 3.6% and 3 ...


Globalization, Conflict, And The Effects Of The Rate Of Change Of Globalization: An Empirical Analysis, Ashley Stephens 2018 Seattle Pacific University

Globalization, Conflict, And The Effects Of The Rate Of Change Of Globalization: An Empirical Analysis, Ashley Stephens

Honors Projects

The world is becoming increasingly more interconnected with technological advances leading to more and more globalization. It is important to see how globalization affects society, especially in the lesser developed post-conflict regions of Africa. The theories of liberalism, Marxism, and realism all offer plausible, yet strikingly different theories on the relationship between globalization and conflict. This paper conceptually examines the dominant theories of globalization and conflict, then uses open-source panel data on globalization and conflict in Africa to empirically test which theory is supported by the data, then tests if there is a correlation between the rate of globalization and ...


Real-Time Macroeconomic Forecasting With A Heteroskedastic Inversion Copula, Ruben Loaiza-Maya, Michael S. Smith 2018 Melbourne Business School

Real-Time Macroeconomic Forecasting With A Heteroskedastic Inversion Copula, Ruben Loaiza-Maya, Michael S. Smith

Michael Stanley Smith

There is a growing interest in allowing for asymmetry in the density forecasts of macroeconomic variables. 
In multivariate time series, this can be achieved with a copula model, where both serial and cross-sectional dependence is captured by a copula function, and the margins are nonparametric. Yet most existing copulas cannot capture heteroskedasticity well, which is a feature of many economic and financial time series. To do so, we propose a new copula created by the inversion of a multivariate unobserved component stochastic volatility model, and show how to estimate it using Bayesian methods. We fit the copula model to real-time ...


The Economic Impacts Of A U.S. Withdrawal From Nafta: A Cge Analysis, Jonathan Liu 2018 University of Toronto Schools

The Economic Impacts Of A U.S. Withdrawal From Nafta: A Cge Analysis, Jonathan Liu

Undergraduate Economic Review

The aim of this study is to examine the economic impacts of a U.S. withdrawal from the North American Free Trade Agreement (NAFTA) on Canada, Mexico and the United States. The shocks simulate scenarios in which the U.S instates penalizing tariff rates on NAFTA countries, a trade war between NAFTA members and a tariff reset to the WTO MFN rates. The effects of these tariff structures are analyzed under the framework of a computable general equilibrium (CGE) model with a focus on macroeconomic variables and welfare. The findings show that, in all iterations, Mexico’s economy takes a ...


Essays In Business Cycles And Asset Pricing, Ruiyang Hu 2018 Southern Methodist University

Essays In Business Cycles And Asset Pricing, Ruiyang Hu

Economics Theses and Dissertations

This dissertation investigates several key macroeconomic and asset pricing topics, with a particular interest in exploring the underlying driving forces of business cycles and asset market fluctuations. The dissertation includes three chapters, with the first two chapters solo-authored by me and the third chapter co-authored with Dr. Carlos Zarazaga.

The first chapter develops a dynamic and stochastic general equilibrium model, and exploits Bayesian inference methods to investigate the major sources of fluctuations in aggregate variables and asset prices. Taking into account the possibility that the growth of total factor productivity, labor-augmenting technology and investment-specific technology might consist of permanent and ...


Public Policy And Millennium Development Challenges: Case Study Of Africa, Pathkonn Kombate 2018 The University of San Francisco

Public Policy And Millennium Development Challenges: Case Study Of Africa, Pathkonn Kombate

Master's Theses

Abstract:

Based on a panel of 50 African countries from 1970 to 2015, this study analyzes the impact of public investments and spending in education and health sectors on GDP per capita growth. I separately modeled for education and health capital, while controlling for governance and demonstrated the importance of investments and expenditures on human capital in countries production capacity accumulation, which in the long run leads sustainable economic growth. Results show a positive relationship between spending in those sectors and the per capita income growth and proves their importance on the continents’ combat against poverty.


The Significance Of Mongolia's Foreign Policy And Security Apparatus On A Global And Regional Scale, Bolor Lkhaajav 2018 University of San Francisco

The Significance Of Mongolia's Foreign Policy And Security Apparatus On A Global And Regional Scale, Bolor Lkhaajav

Master's Projects and Capstones

Mongolia, land-locked between two politically, economically, and militarily powerful nations — Russia and China — often must balance its foreign and security policies with its two neighbors and countries beyond. When discussing Mongolia’s foreign policy and security apparatus, historians and scholars look at the international relations of East Asia as a whole. This is the case not because Mongolia’s foreign policy is insignificant but because greater powers impose greater influence on smaller states. Mongolia’s partial involvement in World War II (WWII), and the Cold War introduced new challenges as well as opportunities for Mongolia to modernize its foreign policy ...


A New Keynesian Approach To Estimating Welfare Losses Under Strict And Flexible-Targeting Regimes, Shawn Weber 2018 CUNY Hunter College

A New Keynesian Approach To Estimating Welfare Losses Under Strict And Flexible-Targeting Regimes, Shawn Weber

School of Arts & Sciences Theses

How do different inflation-targeting regimes affect the monetary loss-function of a central bank aiming at stabilizing inflation around an inflation target and stabilizing the real economy? Under a basic New-Keynesian framework, this paper examines the effect of inflation-targeting regimes on the monetary loss function of a central bank.


Does Debt Matter?, Luhan Li 2018 State University of New York College at Buffalo - Buffalo State College

Does Debt Matter?, Luhan Li

Applied Economics Theses

National debt is a popular topic, since people have a lot of different views on national debt. For example, many people think that there is a positive relationship between national debt and GDP per capita. In other words, the national debt has also increased with the growth of GDP per capita. However, some people feel that there is an inverse relationship between them, so much so that the topic has been discussed. Based on my interest in this topic, I decided to discuss this question. This paper will discuss their influence and importance by analyzing national debt, GDP per capita ...


The Impact Of Macroeconomic Factors On The Price Of Gold, Yunhao Sun 2018 State University of New York College at Buffalo - Buffalo State College

The Impact Of Macroeconomic Factors On The Price Of Gold, Yunhao Sun

Applied Economics Theses

My thesis is that macro factors have been important to the change of the gold price, but have had a differential impact in three factors: Gross Global Product (GGP), real interest rate, and U.S. dollar index (USDI). I estimated the 1st difference of the gold model to determine the impact of macro factors on the price of gold per quarter. The model was estimated using the OLS approach the sample size was 148. I make use of data from Federal Reserve Bank of St. Louis economic data. The result was that 1st difference model had statistically insignificant ...


Public Principles And Economic Legacy, Stanley Schwartz 2018 Cedarville University

Public Principles And Economic Legacy, Stanley Schwartz

Channels: Where Disciplines Meet

2018 will mark the 60th anniversary of the publication of Public Principles of Public Debt. The Nobel-prize winning economist’s first book conflicted with the Keynesian orthodoxy of the day, and added fresh ideas to an ongoing debate over the fundamentals of public debt theory. This paper seeks to outline the dialogue among leading economists surrounding public debt since the publication of Public Principles of Public Debt, examining the major schools of thought and their development. The ideas of John Maynard Keynes, James Buchanan, and Richard Barro will receive attention, without neglecting other significant contributions. The paper will conclude ...


Aiding To Repair: An Analysis On The Impact Of Foreign Aid In Rwanda After The 1994 Genocide, Mary Atta-Dakwa 2018 Ursinus College

Aiding To Repair: An Analysis On The Impact Of Foreign Aid In Rwanda After The 1994 Genocide, Mary Atta-Dakwa

International Relations Honors Papers

Between April 1994 to July 1994, about 1 million Hutus and Tutsis were murdered in the Rwandan genocide. The genocide not only severely declined the population of Rwandans, but largely impacted its infrastructure, government, and economy. After the genocide, about $15 billion US dollars was sent to provide humanitarian aid. Post-genocide Rwanda has seen a significant growth in its economy; however, speculators may question if the economic growth is attributed to the foreign aid it received after the 1994 genocide. This paper seeks to examine the impact of foreign aid on post-war reconstruction on Rwanda as a case study.


Planning To Fail: The Eurozone, Its Sovereign Debt Crisis, And The Future Of The Union, Kyle Whitworth 2018 University of Missouri, St. Louis

Planning To Fail: The Eurozone, Its Sovereign Debt Crisis, And The Future Of The Union, Kyle Whitworth

Theses

The European Union has been one of the greatest accomplishments of modern history. Through economic and political integration has ended centuries of warfare on the continent while producing the worlds largest trading bloc. Despite the initial success of the monetary union and its single currency, the Union has been bogged down economic troubles in the form of a debt crisis among several of the member states. The recovery period of the crisis has produced growth that is slow and uneven. Countries such as Germany has assumed the role of the economic powerhouse of Europe and therefore a political leader in ...


Making The Grade: The Contribution Of Education Expenditure To Economic Growth, Neil Frank 2018 University of British Columbia

Making The Grade: The Contribution Of Education Expenditure To Economic Growth, Neil Frank

Undergraduate Economic Review

Does education expenditure promote long-run economic growth? Empirical evidence is inconclusive. This paper addresses the question of how education expenditure influences economic growth using a long run growth accounting model analyzing 179 countries from 1970 to 2014. Overall, the results indicate that education expenditure does positively affect growth. However, when the sample is split into different criteria based on economic prosperity of the countries in question, the results change. In non-oil countries education expenditure increases economic growth, in developing countries education expenditure has a negative impact and in OECD countries the impact is non-significant.


Macroeconomics Course Outline And Syllabus, Sean P. MacDonald 2018 CUNY New York City College of Technology

Macroeconomics Course Outline And Syllabus, Sean P. Macdonald

Open Educational Resources

No abstract provided.


Monetary Policy At The Zero Lower Bound: Implications Of High Costs Of Credit During A Recession, Louisa Kammerer 2018 Trinity College, Hartford Connecticut

Monetary Policy At The Zero Lower Bound: Implications Of High Costs Of Credit During A Recession, Louisa Kammerer

Senior Theses and Projects

This paper examines the challenges policymaker (and firms) encounter when confronted by a recession at the zero lower bound, when traditional monetary policy is ineffective in the face of deteriorated balance sheets and high costs of credit. Within the larger body of literature, this paper focuses on the cost of credit during a recession, which constrains smaller firms from borrowing and investing, thus magnifying the contraction. Extending and revising a model originally developed by Walker (2010) and estimated by Pandey and Ramirez (2012), this study uses a Vector Error Correction Model to analyze the effects of relevant economic and financial ...


Entrepreneurship Education Empowers Youth To Change Their Lives, Marianna Brashear, Jason Riddle 2018 Foundation for Economic Education

Entrepreneurship Education Empowers Youth To Change Their Lives, Marianna Brashear, Jason Riddle

National Youth-At-Risk Conference Savannah

The Foundation for Economic Education (FEE) aims at equipping Title 1 schools with free, hands-on, engaging materials that any teacher can facilitate either individually or in a classroom setting with no background in entrepreneurship necessary. These versatile lessons, courses, and workshops teach the entrepreneurial mindset optimizing opportunities for grades 8-12 students no matter which life/career path they choose.


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