Sökning: "error correction term"

Visar resultat 1 - 5 av 49 uppsatser innehållade orden error correction term.

  1. 1. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ioannis Tzoumas; [2023]
    Nyckelord :ΔCoVaR; Loans; Credit; Risk; Integration; Business and Economics;

    Sammanfattning : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. LÄS MER

  3. 2. Solving Differential Equations using Data-Driven Adaptive Numerical Method

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :William Nguyen; Sirui Li; [2022]
    Nyckelord :;

    Sammanfattning : Accuracy and efficiency have always been of great concern when solving differential equations. One approach to improve accuracy is by introducing a neural network, whose role is to learn the local truncation error (LTE) of a numerical method. LÄS MER

  4. 3. THE G-7 GOVERNMENT BOND MARKETS: A COINTEGRATION STUDY

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :William Fridström; [2022]
    Nyckelord :Cointegration; VECM; Goverment bond market; G-7; Market Integration; Business and Economics;

    Sammanfattning : This thesis examines the long-run relationship among government bond total return indexes for the G-7 nations using weekly observations from 1993 to 2022. Using cointegration and error correction models, this study finds long-run relationships for the G-7 government bond markets as a group and evidence for pairwise cointegration between the US government bond market and many of the other G-7 government bond markets. LÄS MER

  5. 4. Makroekonomiska faktorers påverkan på svenskt och amerikanskt aktieindex : En studie om hur olika makroekonomiska variabler påverkar aktiemarknaden mellan 1970–2021

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Magnus Brolin; David Olsson; [2022]
    Nyckelord :business cycles; macroeconomic factors; stock prices; dynamic models; time series analysis; co-integration; bivariate analysis; growth.; konjunkturcykler; makroekonomiska faktorer; aktiepriser; dynamiska modeller; tidsserieanalys; ko-integration; bivariat analys; tillväxt;

    Sammanfattning : Under  ekonomiska  konjunkturcykler  är  sambandet  mellan  grundläggande makroekonomiska variabler och aktiemarknadens avkastning högst intressant att undersöka. Syftet med denna uppsats är att undersöka hur aktiepriser på den svenska- och amerikanska aktiemarknaden påverkas av relevanta makroekonomiska faktorer under tidsperioden 1970–2021. LÄS MER

  7. 5. A digital journey towards an empty wallet

    Master-uppsats, Södertörns högskola/Nationalekonomi

    Författare :Emma Forslin; [2022]
    Nyckelord :Cashless economy; cashless; CBDC; innovation; currency in circulation; digital payments; physical money;

    Sammanfattning : Digital money is growing more popular and physical money is not being used as much as it once was. But what happens if we have a cashless society and what would it mean? The purpose of this essay is to investigate if increased technological innovation lead to a decrease in the currency in circulation and if there is a short or long term effect of innovation on currency in circulation. LÄS MER