Sökning: "cointegration"

Visar resultat 21 - 25 av 216 uppsatser innehållade ordet cointegration.

  1. 21. Economic growth and environmental degradation in Ethiopia : An Environmental Kuznets Curve Hypothesisanalysis approach

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Robera Adugna; [2022]
    Nyckelord :;

    Sammanfattning : The main objective of this study was to investigate the relationship between GDP per capitaand carbon dioxide emission per capita in Ethiopia from 1981 to 2020. All the variables in thispaper are stationary in their difference. Johansen cointegration is chosen over the Engel-Granger approach due to the presence of two cointegration equations. LÄS MER

  3. 22. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :André Aho; Simon Löw; [2022]
    Nyckelord :Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

    Sammanfattning : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. LÄS MER

  4. 23. Exchange Rates and Trade Flows : An Econometric Analysis of Structural Breaks in the Swedish Trade

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Lars Winnansson; [2022]
    Nyckelord :structural breaks; exchange-rates; trade-balance; imports; exports;

    Sammanfattning : This study examines the relationship between the real exchange rate and the trade flows of Sweden in the presence of so-called structural breaks. The purpose is rooted in the hypothesis that the real exchange rate has been disconnected from global trade flows in the aftermath of the Global Financial Crisis (GFC) in 2008. LÄS MER

  5. 24. The Predictive Relationship between Swedish House Prices and Consumer Price Inflation

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Karl Bohlin; Martin Kellgren; [2021-08-17]
    Nyckelord :Consumer price; Inflation; House price; Credit channel; Wealth effect; Vector error; correction model; VEC; cointegration; predictive relationship;

    Sammanfattning : Sweden has in the past three decades experienced low rates of inflation, rising house prices and a declining policy rate. This implicates that the households can increase debt due to expanding collateral, and thereby increase the sensitivity to higher interest rates. LÄS MER

  7. 25. Finansiella tillgångar och konsumtion- En analys av svensk data på kort och lång sikt

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Emilia Akbary; Isak Sauli; [2021-07-02]
    Nyckelord :;

    Sammanfattning : Household consumption is a key determinant of the Swedish economy. Furthermore, the evidence of recent studies show the effects from the financialization, which has shifted the role of certain components of growth of the Swedish economy for the past 20 years. LÄS MER