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You searched for subject:(Recursive VAR). Showing records 1 – 3 of 3 total matches.

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University of Georgia

1. Angrish, Devshree. Can macroeconomic fundamentals predict the performance of commercial banks?.

Degree: 2014, University of Georgia

The objective of this thesis is to evaluate the relative significance of macroeconomic fundamentals in predicting the performance of commercial banks in the United States. The performance of commercial banks is measured by the aggregate Return on Average Assets (ROA) of U.S. commercial banks from 1987-2007. I conduct an empirical investigation to explain the relation between macroeconomic fundamentals and commercial banks’ performance, and show how shocks to macroeconomic fundamentals affect forecast of commercial banks’ performance. The empirical analysis is performed using U.S. macroeconomic data and financial data from U.S. commercial banks. The results show that except for gross domestic product, all the macroeconomic fundamentals significantly predict the performance of commercial banks and can therefore be used by policy makers to measure the effect of macroeconomic policy shocks on the condition of the commercial banks.

Subjects/Keywords: Macroeconomic Fundamentals; Commercial Banks’ Performance; ROA; Recursive VAR; Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Angrish, D. (2014). Can macroeconomic fundamentals predict the performance of commercial banks?. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/26557

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Angrish, Devshree. “Can macroeconomic fundamentals predict the performance of commercial banks?.” 2014. Thesis, University of Georgia. Accessed October 21, 2020. http://hdl.handle.net/10724/26557.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Angrish, Devshree. “Can macroeconomic fundamentals predict the performance of commercial banks?.” 2014. Web. 21 Oct 2020.

Vancouver:

Angrish D. Can macroeconomic fundamentals predict the performance of commercial banks?. [Internet] [Thesis]. University of Georgia; 2014. [cited 2020 Oct 21]. Available from: http://hdl.handle.net/10724/26557.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Angrish D. Can macroeconomic fundamentals predict the performance of commercial banks?. [Thesis]. University of Georgia; 2014. Available from: http://hdl.handle.net/10724/26557

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

2. Oliveira, Pedro Miguel Domingos Duarte de. Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro.

Degree: 1997, Technical University of Lisbon

Mestrado em Matemática Aplicada à Economia e à Gestão

A formulação da hipótese de expectativas racionais no contexto da estrutura por prazo das taxas de jure possui diversas variantes que, num cenário de neutralidade face ao risco por parte dos investidores, sao mutuamente exclusivas. Demonstra-se, no entanto, que quando se admite a existência de aversão ao risco e possível compatibilizar as diversas abordagens, proporcionando uma expressao universal para exprimir a hlpótese em causa. Com base quer nessa expressão, quer na constatação de que as taxas de juro à vista nos EUA revelam uma trajectória comum durante o período compreendido entre Dezembro de 1946 e Fevereiro de 1991, aplicamos os testes de cointegração de Johansen por forma a testar a hipótese de expectativas racionais. Embora OS testes a priori lhe sejam favoráveis, o facto e que o sistema autoregressivo de suporte sofre de rna especificação(detectam-se fortes indícios de autocorrelação nos termos de perturbação de cada equação) colocando em causa a inferência estatística efectuada. Dado que o nosso objectivo central é averiguar a validade empirica da hipótese supra mencionada, procuramos contornar este problema introduzindo variáveis artificiais que captem possiveis alterações nos processes de geração dos dados e aplicando testes de raízes unitarias e de cointegração de acordo com a abordagem de Engle e Granger mas robustos a ocorrência de uma quebra de estrutura no comportamento estocastico das variáveis em causa. Os respectivos resultados apontam no sentido de não se rejeitar a hipótese de expectativas racionais, além de que permitem estimar de forma consistente os efeitos sobre os prémios de risco decorrentes da mudança de regime de política monetária em Outubro de 1979.

N/A

Advisors/Committee Members: Barata, Nuno Cassola.

Subjects/Keywords: ADF recursivo; Cointegração multivariada; Estrutura por prazo de taxas de juro; Expectativas racionais; Quebra de estrutura; Vectores autoregressivos; Change in DPG; Multivariate cointegration; Rational expectations; Recursive ADF; Term structure of interest rates; VAR process

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Oliveira, P. M. D. D. d. (1997). Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12868

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Oliveira, Pedro Miguel Domingos Duarte de. “Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro.” 1997. Thesis, Technical University of Lisbon. Accessed October 21, 2020. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12868.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Oliveira, Pedro Miguel Domingos Duarte de. “Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro.” 1997. Web. 21 Oct 2020.

Vancouver:

Oliveira PMDDd. Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro. [Internet] [Thesis]. Technical University of Lisbon; 1997. [cited 2020 Oct 21]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12868.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Oliveira PMDDd. Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro. [Thesis]. Technical University of Lisbon; 1997. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12868

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

3. Kemoe, Laurent. Three essays in macro-finance, international economics and macro-econometrics.

Degree: 2017, Université de Montréal

Subjects/Keywords: Economic policy uncertainty; Yield curve; Stochastic volatility; Recursive preferences; Structural VAR; Risk premiums; Emerging Markets; Convergence; Political risk; Identification; News shocks; Sign restrictions; Technology; Total factor productivity; Incertitude de politique économique; Courbe des rendements; Volatilité stochastique; Préférences récursives; VAR structurel; Primes de risque; Marchés Émergents; Convergence; Risque Politique; Chocs technologiques anticipés; Restrictions de signes; Technologie; Productivité totale des facteurs; Economics - Theory / Économie - Théorie (UMI : 0511)

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kemoe, L. (2017). Three essays in macro-finance, international economics and macro-econometrics. (Thesis). Université de Montréal. Retrieved from http://hdl.handle.net/1866/19308

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kemoe, Laurent. “Three essays in macro-finance, international economics and macro-econometrics.” 2017. Thesis, Université de Montréal. Accessed October 21, 2020. http://hdl.handle.net/1866/19308.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kemoe, Laurent. “Three essays in macro-finance, international economics and macro-econometrics.” 2017. Web. 21 Oct 2020.

Vancouver:

Kemoe L. Three essays in macro-finance, international economics and macro-econometrics. [Internet] [Thesis]. Université de Montréal; 2017. [cited 2020 Oct 21]. Available from: http://hdl.handle.net/1866/19308.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kemoe L. Three essays in macro-finance, international economics and macro-econometrics. [Thesis]. Université de Montréal; 2017. Available from: http://hdl.handle.net/1866/19308

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.