Granger Causality
Mostrando 25-36 de 47 artigos, teses e dissertações.
-
25. The relationship between market returns and accounting returns: a case study of banking sector / A relação entre retornos de mercado e retornos contábeis: um estudo de caso do setor bancário brasileiro
This paper examines the relationship between accounting and market quarterly eturns of the largest companies in the banking sector using the econometric test causality of Granger, and investigated the behavior of tock prices of banks before nd after the financial disclosures. The sample used is the four major Brazilian banks raded on BOVESPA during the third
Publicado em: 2008
-
26. Causality enters the taxes of growth of the developed and emergent countries / Causalidade entre as taxas de crescimento dos paÃses desenvolvidos e emergentes
Through the use of statistical and econometric instrumentals for the analysis of time series, this work aims to verify the relationships between the economic growth rate of developed and emergent countries. For so much, it was used of a sample containing the real economic growth rate of those countries in the period of 1970-2007. With base in this study, it
Publicado em: 2008
-
27. Evidências de bolhas de preços no mercado acionário brasileiro
Currently, the existence of bubbles in asset pricing has been the cause of great concern for government authorities and investors in countries with relevant capital markets. The existence of a bubble component in asset pricing can be inferred by its deviation with respect to its fundamental value. When it comes to stocks, the suspicion about a price bubble a
Publicado em: 2008
-
28. Model "Export-led growth" : empirical evidence in a non-linear perspective / Modelo export-led growth: evidências empíricas em uma perspectiva não linear
The aim of this thesis is to evaluate Export-Led Growth hypothesis through MR-STVAR. If its model is assumed, the pattern of growth alternates among four distinct regimes. Each of them is characterized by the combination of high and low rates of output and export growth. To verify if the value of export quarterly growth increases the forecasting capabilities
Publicado em: 2008
-
29. Crédito rural e produto agropecuário municipal: uma análise de causalidade / Rural credit and agricultural output: a causality analysis
O objetivo deste trabalho é estudar a relação de causalidade entre crédito rural e produto agropecuário. Utilizando dados municipais do período 1999-2004, aplicou-se a metodologia de Granger e Huang (1997), que permite identificar o sentido da causalidade entre duas variáveis em um contexto de painel. Contrariamente à grande parte da literatura que e
Publicado em: 2008
-
30. Testando a existência de efeito Lead-lag entre os mercados acionários norte-americano e brasileiro
This study is aimed at identifying the existence of lead-lag effects between the US stock market, represented by the New York Stock Exchange (NYSE), and the Brazilian stock market, represented by the Sao Paulo Stock Exchange (BOVESPA), i.e. whether upward and downward price movements in the NYSE are followed, on average, by similar movements in BOVESPA, whic
Publicado em: 2008
-
31. Influência do nível de investimento do setor público sobre o crescimento econômico e a produtividade total dos fatores
Many factors justify the importance of looking at the composition of the expenses of the government, but mainly the fact that the size of a State is a question of public choice and its composition is subject to policy dispute. This work was based on the seminal study by Aschauer (1989), which considers the relationship between the aggregate productivity and
Publicado em: 2008
-
32. Effect of the trade opening and the external liquidity on the growth of the Brazilian agriculture sector / Efeitos da abertura comercial e da liquidez externa sobre o crescimento do setor agropecuário brasileiro
The process of Brazilian external opening, seen under the light of the trade opening and financial liberalization, has provoked deep changes in the world-wide economic political scene. In Latin America, this process began in 1990s and was implemented in order to get macroeconomic stability. In Brazil, after the external opening, the agriculture sector, which
Publicado em: 2008
-
33. Sustainability of the U.S. Federal deficit: an updated analysis
This dissertation aims at checking the solvency of the U.S. public debt, using quarterly data ranging from 1947:1 to 2005:4. The long-term equilibrium between receipts and expenditures was evaluated using the Johansen Cointegration Test, and causality and exogeneity test were done to the two series. The dissertation shows that the debt is solvent; finding th
Publicado em: 2007
-
34. Modelagem econométrico-financeira de uma empresa baseada em vetores auto-regressivos : uma aplicação à Petrobás S.A.
The paper reports efforts towards developing and estimating a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, the study was carried out as a case study, where the chosen firm is the largest Brazilian firm: Petrobrás S/A. Th
Publicado em: 2007
-
35. PAÍSES EM DESENVOLVIMENTO DA ÁSIA E AMÉRICA LATINA: UMA AVALIAÇÃO EMPÍRICA SOBRE SUAS ESTRATÉGIAS DE CRESCIMENTO (1970-2002) / DEVELOPING COUNTRIES OF ASIA AND LATIN AMERICA: AN EMPIRICAL EVALUATION ON THEIR STRATEGIES OF GROWTH (1970-2002)
This dissertation analyzes in a compared way the economies in development of Asia and Latin America and Caribbean starting from univariate and multivariate analyses empiric of the socioeconomic repercussions of their development strategies; specifically, the models of substitution of imports are analyzed and the one of orientation for the exterior in the per
Publicado em: 2007
-
36. A criminalidade na Região Metropolitana de Salvador e sua relação intertemporal com o desemprego.
The present work has two big parts: the first one, focused on investigating the advance of the crime in the Metropolitan Region of Salvador (RMS); and, the second part just tries to analyze, still in the RMS, the relation between crime and unemployment. Before, however, it was made a synthesis of the main alternative readings determinatives of the criminal b
Publicado em: 2007