| 1. |
- Byusa, Vincent
(författare)
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Money demand, real effective exchange rates, and uncertainty
- 2024
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This PhD thesis consists of three distinct but interrelated research papers that collectively explore critical aspects of money demand, real effective exchange rates behavior, and uncertainty in different contexts. The first paper examines the nature of money demand in Rwanda and the rationale for the country’s monetary policy shift to inflation targeting in 2019, providing evidence of long-run money demand stability despite uncertainties affecting the global economy, and challenging the view that monetary aggregates should have no role in Rwanda’s monetary policy. The second paper investigates the complex effects of grant revenues on real effective exchange rates in Sub-Saharan African countries, revealing the outcomes of short-run depreciation and long-run appreciation. The last paper assesses how exchange rate regime choice affects the degree and persistence of real effective exchange rate misalignments, showing that, relative to a floating exchange rate regime, fixed and intermediate regimes effectively limit misalignment size, although with higher persistence. Together, these papers offer nuanced insights into the interaction between the money market, uncertainty, external grants, and exchange rate regime, underscoring the need for careful policy consideration to ensure economic stability and competitive currency values.
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| 2. |
- Omer, Talha
(författare)
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Shrinkage estimation methods for mixed data sampling regression and heterogeneous autoregressive models
- 2024
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four research articles. The first two articles assess the effectiveness of various shrinkage estimation methods within mixed data sampling (MIDAS) regression models and find that our proposed methods have superior performance compared to existing models. The third article extends MIDAS models to encompass count data, and the fourth article evaluates the performance of a specific proposed shrinkage method in forecasting stock price volatility.In the first article, which focuses on MIDAS regression in a nonparametric way, two-parameter nonparametric shrinkage estimation methods are developed to estimate the MIDAS regression parameters. The proposed methodology is compared with one-parameter nonparametric and parametric MIDAS regression, both theoretically via simulation and practically in terms of forecasting U.S. inflation rates. The proposed two-parameter estimator outperforms the one-parameter estimator and other comparative methods, both theoretically and empirically.In the second article, the two-dimensional panel data regression model is extended to a multidimensional context for mixed-frequency data. We use the least absolute shrinkage and selection operator (LASSO), sparse group (sg)-LASSO, and elastic net unrestricted MIDAS (U-MIDAS) for estimation. The theoretical properties of the extended models are evaluated using Monte Carlo simulations. The proposed model is empirically applied to now cast three-dimensional home ownership vacancy rates across states, metropolitan statistical areas (MSAs), and time in the U.S. Finally, we compare the predictive performance of this extended model with the traditional three-dimensional panel data regression model. The extended model demonstrates superior performance over traditional multidimensional methods, both theoretically and empirically.The third article introduces a generalized Poisson regression model for count time series data, applied within a MIDAS framework. The new MIDAS Poisson regression model (MIDAS-PRM) is used to forecast the monthly dengue counts from high-frequency environmental parameters and Google Trends data.Forecasts are generated using a rolling window forecast scheme and forecast combinations. We conclude that the proposed MIDAS-PRM significantly enhances predictive performance compared to the standard time series PRM and other benchmark time series models.The fourth article proposes two-parameter ridge shrinkage estimation methods to estimate the realized volatility (RV) of the heterogeneous autoregressive (HAR) model. The proposed estimator, which is notable for its orthogonality properties, is employed to forecast the RV of stock prices. The proposed estimator is evaluated through simulations and empirical applications, demonstrating superior performance both theoretically and empirically compared to traditional methods.
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| 3. |
- Habimana, Olivier
(författare)
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Asymmetry and multiscale dynamics in macroeconomic time series analysis
- 2018
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of three independent articles preceded by an introductory chapter. The first two articles focus on exchange rate dynamics in emerging market and developing economies, taking into account nonlinearities and asymmetries which are relevant for these countries and are potentially due to (i) transaction costs and other market frictions, and (ii) official intervention in the foreign exchange market. The third article is devoted to the analysis of the effects of monetary policy at different time horizons.The first article evaluates the purchasing power parity (PPP) theory in a panel of Sub-Saharan African countries. Unit root tests that are based on exponential smooth transition autoregressive (ESTAR) models are applied to account for nonlinearities and asymmetries in real exchange rate adjustment towards its equilibrium (mean) value. The results indicate empirical support for the PPP theory.The second article examines the relationship between current account adjustment and exchange rate flexibility in a panel of emerging market and developing economies. The purpose of this article is to (i) obtain a measure of exchange rate flexibility that considers autoregressive conditional heteroscedasticity and possible asymmetric responses of the exchange rate to shocks, and (ii) apply suitable dynamic panel data estimators to investigate this relationship. The results indicate that more flexible exchange rates are associated with faster current account adjustment.By means of wavelets the third article investigates the liquidity effect and the long-run neutrality of money at detailed timescales using time series data for Sweden and the US. The results indicate a significant liquidity effect at horizons of one to four years, but there is no evidence of monetary neutrality.
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| 4. |
- Shen, Qing, et al.
(författare)
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Psychiatric disorders and cardiovascular diseases during the diagnostic workup of potential breast cancer : a population-based cohort study in Skåne, Sweden
- 2019
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Ingår i: Breast Cancer Research. - : BioMed Central. - 1465-5411 .- 1465-542X. ; 21:1
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Tidskriftsartikel (refereegranskat)abstract
- BACKGROUND: An increasing number of women are evaluated for potential breast cancer and may experience mental distress during evaluation. We aim to assess the risks of psychiatric disorders and cardiovascular diseases during the diagnostic workup of potential breast cancer.METHODS: All women with a new diagnosis of unspecified lump in breast (N = 15,714), benign tumor or breast cancer in situ (N = 4435), or breast cancer (N = 8512) during 2005-2014 in Skåne, Sweden, were considered as exposed to a breast diagnostic workup. We used multivariable Poisson regression to compare rates of psychiatric disorders and cardiovascular diseases during the 6 weeks before the date of diagnosis of these women with the corresponding rates of women not undergoing such workup. The commonest waiting time for breast cancer patients was 6 weeks during the study period. A within-individual comparison was performed to control for potential unmeasured time-stationary confounders.RESULTS: Compared to the reference, we found a higher rate of psychiatric disorders during the 6 weeks before diagnosis of benign tumor or breast cancer in situ (incidence rate ratio [IRR], 1.3; 95% confidence interval [CI], 1.1 to 1.5) and breast cancer (IRR, 1.4; 95% CI, 1.2 to 1.6). A higher rate was also noted for cardiovascular diseases (IRR, 1.3; 95% CI, 1.1 to 1.6 for benign tumor or breast cancer in situ, and IRR, 1.9; 95% CI, 1.8 to 2.0 for breast cancer). The rate increases for breast cancer were greater comparing a diagnostic workup due to symptoms to a workup due to screening. Little rate increase of neither psychiatric disorders nor cardiovascular diseases was noted during the 6 weeks before the diagnosis of unspecified lump in breast. The within-individual comparison largely confirmed these findings.CONCLUSIONS: Women with benign and malignant breast tumor had increased rates of psychiatric disorders and cardiovascular diseases during the waiting for a final diagnosis.
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| 5. |
- Shen, Qing, et al.
(författare)
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Risk of Injuries around Diagnosis of Cervical Cancer and Its Precursor Lesions : A Nationwide Cohort Study in Sweden
- 2020
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Ingår i: Cancer Epidemiology, Biomarkers and Prevention. - : American Association for Cancer Research. - 1055-9965 .- 1538-7755. ; 29:11, s. 2230-2234
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Tidskriftsartikel (refereegranskat)abstract
- BACKGROUND: Highly increased risk of injuries has been noted around the time of cancer diagnosis. Whether there is a similar increase in risk around the diagnosis of cervical cancer and its precursor lesions was unknown.METHODS: We performed a cohort study including 3,016,307 Swedish women that participated in cervical screening during 2001 to 2012. We calculated the incidence rates (IR) of hospitalized iatrogenic or noniatrogenic injuries during the diagnostic workup, and the time interval from smear or punch biopsy until surgical treatment or 2 months after the last smear or biopsy, among women with invasive cervical cancer (ICC) or its precursor lesions. We calculated the IRs of injuries during the 2 months after a normal smear among the other women as reference. IR ratios (IRR) and 95% confidence intervals (CI) were calculated using Poisson regression.RESULTS: (IR, 0.09 per 1,000 person-months; IRR, 3.04; 95% CI, 1.73-5.34). We also found an increased rate of noniatrogenic injuries during the diagnostic workup of women with invasive cancer (IR, 0.65 per 1,000 person-months; IRR, 2.48; 95% CI, 1.30-4.47).CONCLUSIONS: Although rare, there was an increased risk of inpatient care for iatrogenic and noniatrogenic injuries during the diagnostic workup of women with ICC.IMPACT: Women experienced burden of medical complications and psychologic distress around diagnosis of a potential cervical cancer.
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| 6. |
- Sjölander, Pär
(författare)
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Simulation-Based Approaches in Financial Econometrics
- 2007
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This doctoral thesis consists of four chapters all related to the field of financial econometrics. The main contributions are based on the empirical evaluation of theories in or related to financial economics supported by the recent advances of models and simulation-based methods in time-series econometrics. In chapter II, following the summarizing introductory chapter, a new unit root test is developed which by the use of simulation is demonstrated to be robust in the presence of generalized conditional heteroscedasticity (GARCH) distortions. In the presence of GARCH disturbances, for empirically relevant sample sizes, this new test exhibits superior statistical size and power properties compared with a sample of eight commonly used traditional unit root tests. In chapter III, a combination of an empirical and simulation-based evaluation of the theory of long-run purchasing power parity (PPP) is conducted. It is demonstrated that the traditional unit root tests of PPP are non-robust to the empirically identified GARCH distortions in the real exchange rates (RER). Therefore, based on this study and currently existing research, it appears virtually impossible to empirically come to a credible conclusion regarding whether long-run PPP holds or not. In chapter IV certain financial stability requirements of the Basel (II) Accord are scrutinized. It is concluded that the Basel requirement of an estimation period that is at least one year long for the calculation of minimum capital risk requirements is not empirically justified.
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