Essays about: "VECM"

Showing result 41 - 45 of 64 essays containing the word VECM.

  1. 41. Risk Management for Swedish Farmers - An empirical study on hedge ratios for Swedish wheat

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pierre Andersson; [2016]
    Keywords : Dynamic hedge ratio; Wheat futures; GARCH; BEKK; VECH; Business and Economics;

    Abstract : The paper investigates data on purchasing price of wheat from Swedish grain buyer Lantmännen and MATIF future contracts on milling wheat in an attempt to replicate the conditions for a Swedish farmer trying to manage his risk on wheat by trading future contracts on the MATIF exchange. Two static linear regressions and four dynamic GARCH models are employed on a sample of 1679 daily returns and 339 weekly returns ranging from 2009-07-01 to 2016-01-11. READ MORE

  3. 42. Current Account Imbalances: Signs of Adjustment?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Philipp Fuchs; [2015]
    Keywords : dynamic ordinary least squares; panel cointegration; Current account imbalances; asymmetric panel VECM; threshold effects; Business and Economics;

    Abstract : Global external imbalances are commonly labelled as one of the main reasons for the Global Financial Crisis. This paper investigates these imbalances and determines current account equilibria for 21 OECD countries. Subsequently, we measure the speed of adjustment to the calculated equilibrium values and test for asymmetric adjustment effects. READ MORE

  4. 43. Capital Inflows and Asset Prices - A Country Study of the United States, Switzerland and Denmark

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kerstin Olsson; [2015]
    Keywords : Asset prices; capital inflows; vector error correction model; VECM; house prices; Business and Economics;

    Abstract : Capital inflows can have beneficial effects for the receiving country, such as fostering economic growth. But they can also have severe negative effects, such as increasing financial vulnerability and overall macroeconomic instability. READ MORE

  5. 44. Stock Market Misvaluation and Foreign Direct Investment in the USA - a Cointegrating Relationship

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Viktor Augustsson; Jonathan Ljungqvist; [2015]
    Keywords : Market Predictability; Fire-sale Hypothesis; Cointegration; Foreign Direct Investment; Misvaluation; Business and Economics;

    Abstract : The dynamics of misvaluation and Foreign Direct Investment (FDI) have long been debated in light of the efficient market hypothesis. Still, the existence of misvaluation in itself raises the eyebrows of economists as it would entail the possibility of cross-border arbitrage. READ MORE

  6. 45. Price transmission in the Swedish wheat market and implications on a structural shock in demand

    University essay from SLU/Dept. of Economics

    Author : Marc Engelmann; [2014]
    Keywords : price transmission; structural breaks; VECM; wheat market;

    Abstract : This thesis is evaluating price transmission patterns in the Swedish market for feeding and milling wheat. This is done to identify if a market shock - that occured in one region 2008 - had had a significant impact on other regional prices. READ MORE