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Indicadores avançados para o investimento directo estrangeiro: aplicação ao caso português

Ribeiro, Arlindo Jorge de Jesus
Fonte: Repositório Científico Lusófona Publicador: Repositório Científico Lusófona
Tipo: Dissertação de Mestrado
Português
Relevância na Pesquisa
36.47%
RESUMO:O investimento directo estrangeiro tem sido um dos factores com maior importância, no crescimento económico dos países em desenvolvimento, por contribuir para financiar o défice da balança corrente com o exterior, em particular a balança comercial. Num âmbito mais microeconómico é um forte gerador de emprego, proporciona avanços tecnológicos importantes, permitindo a partilha de conhecimentos das tecnologias, o conhecimento de novas formas de gestão e novas formas de marketing. Este trabalho tem como objectivo principal, identificar potenciais variáveis como indicadores avançados para o investimento directo estrangeiro, de modo a antecipar possíveis tendências para a sua evolução. Para alcançar este propósito recorreu-se aos Modelos Autoregressivos Vectoriais (VAR) e à causalidade de Granger com base em dados mensais para o período de Janeiro de 1996 a Setembro de 2010. Foram consideradas variáveis essenvialmente macroeconómicas, tanto do lado da economia receptora como dos países investidores, de modo a reflectirem a actividade económica ao longo do período de estudo. ABSTRACT: The foreign direct investment, has been one of the main factors in the economical development for the countries that are in a process of developing...

The impact of OFDI on economic growth countries. An econometric approach using panel data and time-series evidence

Ambrosini, Mattia
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
36.57%
The thesis at hand adds to the existing literature by investigating the relationship between economic growth and outward foreign direct investments (OFDI) on a set of 16 emerging countries. Two different econometric techniques are employed: a panel data regression analysis and a time-series causality analysis. Results from the regression analysis indicate a positive and significant correlation between OFDI and economic growth. Additionally, the coefficient for the OFDI variable is robust in the sense specified by the Extreme Bound Analysis (EBA). On the other hand, the findings of the causality analysis are particularly heterogeneous. The vector autoregression (VAR) and the vector error correction model (VECM) approaches identify unidirectional Granger causality running either from OFDI to GDP or from GDP to OFDI in six countries. In four economies causality among the two variables is bidirectional, whereas in five countries no causality relationship between OFDI and GDP seems to be present.

Análise quantitativa da volatilidade entre os índices Dow Jones, IBovespa e S&P 500

Lopes, Daniel Costa
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
Relevância na Pesquisa
36.47%
A volatilidade é uma medida de incerteza quanto às variações dos preços de ativos. Este trabalho tem como objetivo analisar a volatilidade, através dos diversos modelos da família GARCH, de três índices de mercados financeiros: Dow Jones, IBovespa e S&P 500. Com este intuito, foram aqui utilizadas técnicas univariadas e multivariadas, bem como análises de Causalidade de Granger. Através das duas primeiras ferramentas, escolhemos o melhor modelo para cada um destes casos. Usando a terceira ferramenta, concluímos que o IBovespa é significativamente influenciado pela abertura do Dow Jones e do S&P500. Por outro lado, mostramos que a abertura do IBovespa não impacta, nem à 10% de significância, os índices Dow Jones e S&P 500. Também concluímos que a incorporação de um dos índices americanos ao modelo do IBovespa torna-o mais significativo, uma vez que o mercado acionário brasileiro é impactado pelos dois índices citados anteriormente. Desta forma, este trabalho mostra que os modelos GARCH multivariados aparentam ser mais eficazes na estimação da volatilidade de ativos financeiros do que os modelos GARCH univariados.; The volatility is a measure of the uncertainty of variations of asset prices. The main goal of this work is to analyze the volatility...

Transmissão de preços no mercado de milho brasileiro : um estudo das regiões sul e centro-oeste

Westerich Filho, Valdemir Angelo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
Relevância na Pesquisa
36.55%
O mercado do milho no Brasil tem demonstrado algumas mudanças nos últimos anos aumentando sua importância no agronegócio. Por esse motivo, tem sido maior a necessidade de estudo de suas características. O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados regionais dessa commodity no Brasil a nível de produtor, com foco nos estados da região Sul e Centro-Oeste, devido à sua importância para a produção nacional. Além disso, também foi buscado analisar como os preços dos estados analisados reagem ao preço cotado na bolsa de valores para saber qual sua relação com o mercado externo. O método de pesquisa utilizado foi: teste de raiz unitária; teste de cointegração; vetor de correção de erro; teste de causalidade de Granger e teste de impulso-resposta. Os resultados do teste de cointegração indicam que há transmissão de preços entre todos os estados analisados, bem como os estados respondem a oscilações de preços do mercado externo a longo prazo. O fato de existir cointegração entre os estados é condição suficiente para se afirmar que existe relação linear de equilíbrio para a qual o sistema converge, validando os pressupostos da Lei do Preço Único e a integração. Todos os estados apresentaram resposta significativa a mudanças de preços no estado de Santa Catarina pelo vetor de correção de erro (VEC)...

Estimating equation–based causality analysis with application to microarray time series data

Hu, Jianhua; Hu, Feifang
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.43%
Microarray time-course data can be used to explore interactions among genes and infer gene network. The crucial step in constructing gene network is to develop an appropriate causality test. In this regard, the expression profile of each gene can be treated as a time series. A typical existing method establishes the Granger causality based on Wald type of test, which relies on the homoscedastic normality assumption of the data distribution. However, this assumption can be seriously violated in real microarray experiments and thus may lead to inconsistent test results and false scientific conclusions. To overcome the drawback, we propose an estimating equation–based method which is robust to both heteroscedasticity and nonnormality of the gene expression data. In fact, it only requires the residuals to be uncorrelated. We will use simulation studies and a real-data example to demonstrate the applicability of the proposed method.

When Two Become One: The Limits of Causality Analysis of Brain Dynamics

Chicharro, Daniel; Ledberg, Anders
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 16/03/2012 Português
Relevância na Pesquisa
36.43%
Biological systems often consist of multiple interacting subsystems, the brain being a prominent example. To understand the functions of such systems it is important to analyze if and how the subsystems interact and to describe the effect of these interactions. In this work we investigate the extent to which the cause-and-effect framework is applicable to such interacting subsystems. We base our work on a standard notion of causal effects and define a new concept called natural causal effect. This new concept takes into account that when studying interactions in biological systems, one is often not interested in the effect of perturbations that alter the dynamics. The interest is instead in how the causal connections participate in the generation of the observed natural dynamics. We identify the constraints on the structure of the causal connections that determine the existence of natural causal effects. In particular, we show that the influence of the causal connections on the natural dynamics of the system often cannot be analyzed in terms of the causal effect of one subsystem on another. Only when the causing subsystem is autonomous with respect to the rest can this interpretation be made. We note that subsystems in the brain are often bidirectionally connected...

Granger causal time-dependent source connectivity in the somatosensory network

Gao, Lin; Sommerlade, Linda; Coffman, Brian; Zhang, Tongsheng; Stephen, Julia M.; Li, Dichen; Wang, Jue; Grebogi, Celso; Schelter, Bjoern
Fonte: Nature Publishing Group Publicador: Nature Publishing Group
Tipo: Artigo de Revista Científica
Publicado em 21/05/2015 Português
Relevância na Pesquisa
36.55%
Exploration of transient Granger causal interactions in neural sources of electrophysiological activities provides deeper insights into brain information processing mechanisms. However, the underlying neural patterns are confounded by time-dependent dynamics, non-stationarity and observational noise contamination. Here we investigate transient Granger causal interactions using source time-series of somatosensory evoked magnetoencephalographic (MEG) elicited by air puff stimulation of right index finger and recorded using 306-channel MEG from 21 healthy subjects. A new time-varying connectivity approach, combining renormalised partial directed coherence with state space modelling, is employed to estimate fast changing information flow among the sources. Source analysis confirmed that somatosensory evoked MEG was mainly generated from the contralateral primary somatosensory cortex (SI) and bilateral secondary somatosensory cortices (SII). Transient Granger causality shows a serial processing of somatosensory information, 1) from contralateral SI to contralateral SII, 2) from contralateral SI to ipsilateral SII, 3) from contralateral SII to contralateral SI, and 4) from contralateral SII to ipsilateral SII. These results are consistent with established anatomical connectivity between somatosensory regions and previous source modeling results...

Variational Bayesian causal connectivity analysis for fMRI

Luessi, Martin; Babacan, S. Derin; Molina, Rafael; Booth, James R.; Katsaggelos, Aggelos K.
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.43%
The ability to accurately estimate effective connectivity among brain regions from neuroimaging data could help answering many open questions in neuroscience. We propose a method which uses causality to obtain a measure of effective connectivity from fMRI data. The method uses a vector autoregressive model for the latent variables describing neuronal activity in combination with a linear observation model based on a convolution with a hemodynamic response function. Due to the employed modeling, it is possible to efficiently estimate all latent variables of the model using a variational Bayesian inference algorithm. The computational efficiency of the method enables us to apply it to large scale problems with high sampling rates and several hundred regions of interest. We use a comprehensive empirical evaluation with synthetic and real fMRI data to evaluate the performance of our method under various conditions.

Contractual Savings or Stock Market Development—Which Leads?

Catalan, Mario; Impavido, Gregorio; Musalem, Alberto R.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.61%
The authors study the relationship between the development of contractual savings (assets of pension funds, and life insurance companies) and non-life insurance, and, the development of stock markets (market capitalization and value traded). Their contribution lies in providing time-series evidence on a hypothesis that is very popular - but had not been substantiated - among supporters of fully funded pension systems in which funds invest large shares of their portfolios in tradable securities (equities, bonds). The literature is not clear on its assumption regarding causality between contractual savings, and capital market development. A one-way or two-way relationship is assumed, usually inter-changeably; the authors address the questions of which leads empirically. They present the evidence, including descriptive statistics, and the results of Granger causality tests, for OECD countries, and such countries as Chile, Malaysia, Singapore, South Africa, and Thailand. They do not present a theoretical framework, but do explain how the growth of the contractual savings sector, is thought to promote financial development. The authors find evidence in the data that causality between institutions, and markets either does not exist, or, if it exists...

Testing Causality between Two Vectors in Multivariate GARCH Models

WOŹNIAK, Tomasz
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
Relevância na Pesquisa
36.55%
Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk as well. I use the family of Constant Conditional Correlation GARCH models to model the risk associated with financial time series and to make inferences about Granger causal relations between second conditional moments. The restrictions for second-order Granger noncausality between two vectors of variables are derived. To assess the credibility of the noncausality hypotheses, I employ posterior odds ratios. This Bayesian method constitutes an alternative for classical tests that makes such testing possible, regardless of the form of the restrictions on the parameters of the model. Moreover, it relaxes the assumptions about the existence of higher-order moments of the processes required in classical tests. In the empirical example, I find that the pound-to-Euro exchange rate second-order causes the US dollar-to-Euro exchange rate, which confirms the meteor shower hypothesis of Engle, Ito & Lin (1990).

Variational Bayesian causal connectivity analysis for fMRI

Luessi, Martin; Babacan, S. Derin; Molina Soriano, Rafael; Booth, James R.; Katsaggelos, Aggelos K.
Fonte: Frontiers Research Foundation Publicador: Frontiers Research Foundation
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.43%
The ability to accurately estimate effective connectivity among brain regions from neuroimaging data could help answering many open questions in neuroscience. We propose a method which uses causality to obtain a measure of effective connectivity from fMRI data. The method uses a vector autoregressive model for the latent variables describing neuronal activity in combination with a linear observation model based on a convolution with a hemodynamic response function. Due to the employed modeling, it is possible to efficiently estimate all latent variables of the model using a variational Bayesian inference algorithm. The computational efficiency of the method enables us to apply it to large scale problems with high sampling rates and several hundred regions of interest. We use a comprehensive empirical evaluation with synthetic and real fMRI data to evaluate the performance of our method under various conditions.

Política de seguridad y crecimiento económico: una aproximación empirica

Páez Pérez, Pedro Nel; Isaza Quebrada, Jorge; Zamora, Amanda
Fonte: Universidad Militar Nueva Granada Publicador: Universidad Militar Nueva Granada
Tipo: journal; revistas Formato: application/pdf
Português
Relevância na Pesquisa
36.55%
En este estudio se utiliza la metodología de Granger para medir los efectos de relación y precedencia entre el gasto en defensa y la seguridad. Dado que no se dispone de una serie continua de datos que recojan los rubros específicos de la Política de Seguridad Democrática (PSD), se optó por utilizar como variable de interés la carga fiscal asociada a las entidades que en la clasificación del presupuesto general de la nación (PGN) aparecen como unidades ejecutoras del gasto, cuya destinación primordial son las actividades de defensa y seguridad. Se concluye que no hay suficiente soporte empírico para conceptuar sobre una relación de precedencia o causalidad en el sentido de Granger de la actividad pública en defensa y seguridad hacia las condiciones favorables de desempeño económico. Tampoco se halla soporte para el argumento opuesto de una causación de las variables del entorno económico hacia el gasto en defensa y seguridad. Analizando la significancia estadística de la relación entre las variables con modelos de regresión convencional se encontró que el nivel de confianza de las estimaciones de los parámetros de sensibilidad crece a medida que se amplían los rezagos, pero dado el número reducido de observaciones no se consideró adecuado hacer especificaciones que redujeran considerablemente los grados de libertad yen consecuencia la generalidad de resultados. En este caso se obtiene mayor robustez en el modelo aplicado sobre la inversión como variable dependiente que sobre el crecimiento...

Grau de monopólio e testes de Granger: causalidade entre custos e preços na indústria brasileira (1978-1998); Texto para Discussão (TD) 770: Grau de monopólio e testes de Granger: causalidade entre custos e preços na indústria brasileira (1978-1998); The monopoly degree and tests of Granger causality between prices and costs in Brazilian Industry (1978-1998)

Bahia, Luiz Dias
Fonte: Instituto de Pesquisa Econômica Aplicada (Ipea) Publicador: Instituto de Pesquisa Econômica Aplicada (Ipea)
Tipo: Texto para Discussão (TD)
Português
Relevância na Pesquisa
36.55%
O trabalho busca analisar o papel das relações intersetoriais entre fornecedores e compradores de insumos em condições de oligopólio bilateral, por meio da abordagem kaleckiana de grau de monopólio. Conclui-se que a barganha intersetorial pode alterar o grau de monopólio dos setores envolvidos e, consequentemente, de toda a economia. A seguir, desenvolvem-se testes de causalidade de Granger entre preços de insumos e preços do produto final para cerca de dez gêneros da indústria de transformação. A conclusão principal é que, na barganha intersetorial entre fornecedores e compradores oligopolistas de insumos, geralmente cabe aos compradores a maior capacidade de influenciar os preços.; 37 p. : il.

Causal conditioning and instantaneous coupling in causality graphs

Amblard, Pierre-Olivier; Michel, Olivier J. J.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 25/03/2012 Português
Relevância na Pesquisa
36.57%
The paper investigates the link between Granger causality graphs recently formalized by Eichler and directed information theory developed by Massey and Kramer. We particularly insist on the implication of two notions of causality that may occur in physical systems. It is well accepted that dynamical causality is assessed by the conditional transfer entropy, a measure appearing naturally as a part of directed information. Surprisingly the notion of instantaneous causality is often overlooked, even if it was clearly understood in early works. In the bivariate case, instantaneous coupling is measured adequately by the instantaneous information exchange, a measure that supplements the transfer entropy in the decomposition of directed information. In this paper, the focus is put on the multivariate case and conditional graph modeling issues. In this framework, we show that the decomposition of directed information into the sum of transfer entropy and information exchange does not hold anymore. Nevertheless, the discussion allows to put forward the two measures as pillars for the inference of causality graphs. We illustrate this on two synthetic examples which allow us to discuss not only the theoretical concepts, but also the practical estimation issues.; Comment: submitted

Network Granger Causality with Inherent Grouping Structure

Basu, Sumanta; Shojaie, Ali; Michailidis, George
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.47%
The problem of estimating high-dimensional network models arises naturally in the analysis of many physical, biological and socio-economic systems. Examples include stock price fluctuations in financial markets and gene regulatory networks representing effects of regulators (transcription factors) on regulated genes in genetics. We aim to learn the structure of the network over time employing the framework of Granger causal models under the assumptions of sparsity of its edges and inherent grouping structure among its nodes. We introduce a thresholded variant of the Group Lasso estimator for discovering Granger causal interactions among the nodes of the network. Asymptotic results on the consistency of the new estimation procedure are developed. The performance of the proposed methodology is assessed through an extensive set of simulation studies and comparisons with existing techniques.

Causality Networks

Chattopadhyay, Ishanu
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 25/06/2014 Português
Relevância na Pesquisa
36.5%
While correlation measures are used to discern statistical relationships between observed variables in almost all branches of data-driven scientific inquiry, what we are really interested in is the existence of causal dependence. Designing an efficient causality test, that may be carried out in the absence of restrictive pre-suppositions on the underlying dynamical structure of the data at hand, is non-trivial. Nevertheless, ability to computationally infer statistical prima facie evidence of causal dependence may yield a far more discriminative tool for data analysis compared to the calculation of simple correlations. In the present work, we present a new non-parametric test of Granger causality for quantized or symbolic data streams generated by ergodic stationary sources. In contrast to state-of-art binary tests, our approach makes precise and computes the degree of causal dependence between data streams, without making any restrictive assumptions, linearity or otherwise. Additionally, without any a priori imposition of specific dynamical structure, we infer explicit generative models of causal cross-dependence, which may be then used for prediction. These explicit models are represented as generalized probabilistic automata, referred to crossed automata...

State Space Methods for Granger-Geweke Causality Measures

Solo, Victor
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/01/2015 Português
Relevância na Pesquisa
36.55%
At least two recent developments have put the spotlight on some significant gaps in the theory of multivariate time series. The recent interest in the dynamics of networks; and the advent, across a range of applications, of measuring modalities that operate on different temporal scales. Fundamental to the description of network dynamics is the direction of interaction between nodes, accompanied by a measure of the strength of such interactions. Granger causality (GC) and its associated frequency domain strength measures (GEMs) (due to Geweke) provide a framework for the formulation and analysis of these issues. In pursuing this setup, three significant unresolved issues emerge. Firstly computing GEMs involves computing submodels of vector time series mod- els, for which reliable methods do not exist; Secondly the impact of filtering on GEMs has never been definitively established. Thirdly the impact of downsampling on GEMs has never been established. In this work, using state space methods, we resolve all these issues and illustrate the results with some simulations. Our discussion is motivated by some problems in (fMRI) brain imaging but is of general applicability.; Comment: These results have been presented in a number of invited talks. HBM Conference...

Causality Along Subspaces: Theory

Al-Sadoon, M. M.
Fonte: Faculty of Economics, University of Cambridge, UK Publicador: Faculty of Economics, University of Cambridge, UK
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
36.5%

The components of economic freedom, income and growth: an empirical analysis

Corbi, Raphael B.
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/09/2007 Português
Relevância na Pesquisa
36.55%
Este artigo procura trazer um melhor entendimento da relação entre crescimento econômico e os fatores que constituem os elementos da liberdade econômica. Os dois principais objetivos do artigo são: (1) baseados no modelo neoclássico aumentado de crescimento, testar quais dos elementos componentes da liberdade econômica demonstram ter uma relação estatisticamente significante com crescimento; e (2) estabelecer para que lado ocorre a principal direção de causalidade entre liberdade econômica e crescimento. Finalmente, nós identificamos direções desejáveis para novas pesquisas e implicações para política econômica.; This paper seeks to bring a better understanding of the relationship between economic growth and the disaggregated factors which constitute the elements of economic freedom. The two main objectives of this paper are to: (1) based on the Solow augmented growth model, test which of the elements of economic freedom demonstrate a statistically significant relationship to economic growth; and (2) establish which way the main causality direction between economic freedom and growth runs from. Finally, we identify desirable directions for further research and policy implications.

Causalidade entre os retornos de mercados de capitais emergentes e desenvolvidos; Causality between stock return rates: emerging versus developed capital markets

Lamounier, Wagner Moura; Nogueira, Else Monteiro
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/04/2007 Português
Relevância na Pesquisa
36.55%
Using statistical instruments for the analysis of time series, - this work aims to verify the relation of returns of stock investments between the main emerging and the developed capital markets. The sample was divided in two periods: 1995-2002 and 2003-2005, in view of their different external vulnerability moments. At the beginning, - in spite of - several economic crises, only Russia’s stock market returns - suffered great impacts, compared with those at other markets’. Between 2003-2005, however, the returns of other emerging markets, as Brazil’s and Mexico’s, answered in a more significant form to the shocks in the returns of other markets.; Utilizando-se de instrumentais estatísticos para a análise de séries temporais, procurou-se verificar as relações entre os retornos dos principais mercados de capitais emergentes e dos principais mercados desenvolvidos. A amostra foi divida em dois períodos: entre 1995-2002 e entre 2003-2005, tendo em vista os momentos distintos dos mercados quanto à vulnerabilidade externa. No primeiro momento, apesar das diversas crises econômicas, verificou-se que apenas o retorno do mercado emergente da Rússia sofreu grandes impactos ante os choques dos retornos dos outros mercados. Entre 2003-2005...