Browsing by discipline "Ekonomi"
Now showing items 81-100 of 151
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(2019)Housing prices in many countries have experienced large run-ups and downturns which indicates that the housing market is not working efficiently. Understanding the factors affecting the house price movement is important to be able to prevent radical price changes and maintain economic stability. One cause for the inefficiency in the housing market has been proposed to be the money illusion. Money illusionary agents make inflation adjustment errors by discounting the future real payoffs with nominal rather than real interest rate. This irrational behavior of agents has been shown to cause pricing errors especially at the times when inflation is exceptionally high or low. The money illusion hypothesis has widely been studied in the context of the financial and housing market. This thesis contributes to the existing literature by studying if there is evidence of the money illusion in the Finnish housing market. Many of the studies have focused on the major economic markets like the UK and the US, so there are not many studies from the perspective of a national market with different institutional setting and market features. The empirical framework is based on the decomposition of the price-rent ratio. The intention is to differentiate the fundamentals of the housing market to study how different unobservable factors affect housing. Housing is considered as a dividend paying asset as in the financial market approach. The study shows that there is a link between inflation and price-rent ratio. Inflation can affect prices through the rational component, risk premia or pricing errors. Money illusion suggests that inflation affect prices through the pricing error. In the model, the agents are allowed to have subjective expectations in order to be able to obtain the pricing error which is the difference between the rational agents objective expectations and irrational agents subjective expectations. The results from the Finnish housing market differ from other studies documenting strong evidence in favor of the money illusion. There is no strong evidence to the hypothesis that inflation and nominal interest rate would explain the movements in the pricing error. However, the rational component and the risk premia of the housing are highly correlated with inflation and nominal interest rates. The results of this study show more support for the rational channels than to the irrational channels for explaining the detected link between housing prices and inflation. The study also shows that part of the correlation between inflation and price-rent ratio can be explained by business cycle fluctuations. Thus, the study does not find strong evidence of money illusion having an effect on the Finnish housing market.
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(2018)This thesis considers a situation in which an economic agent has an incentive to not comply with the given regulation. Furthermore, the agent has an ability to allocate his resources in such a way that it decreases the probability of being caught for non-compliance. The economic literature on optimal enforcement uses the word 'avoidance' to refer to an activity which decreases the individual’s probability of being caught. The aim of this thesis is to analyze the optimal strategy to eradicate non-compliance when avoidance is present. A simple principal-agent scheme is introduced in order to discuss the optimal strategy to ensure the agent's compliance. Although this thesis contributes to the discussion of enforcement, the focus is not on fines. For the most part, the fine is assumed to be fixed. The analysis presented here has its interest in the optimal amount of socially harmful behavior and monitoring. The results suggest that, whenever asymmetric information and avoidance prevail, the optimal strategy to eradicate non-compliance depends on the agent's response on monitoring. If the agent's response to an increase in monitoring is to decrease his expenditure on avoidance, then the optimal restriction of the agent's harmful behavior is strict. However, if the agent's response to an increase in monitoring is to increase his expenditure avoidance, then monitoring is inefficient and it leads to an increase of potential resource waste, and for these reasons, it is optimal to relax the restricted amount of harmful behavior. The conclusion is that, whenever there is a valid reason to assume that the agent is willing to increase his expenditure on avoidance as a response to monitoring, regulators might be better off with a somewhat more lenient restriction on the amount of harmful behavior instead of a strict one.
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(2014)This thesis examines the theory and empirics of dealing with externalities associated with waste, namely municipal solid waste (MSW) generated by households and small businesses. The aim is to study how these externalities can be incroporated in market prices. The amount and properties of MSW, and thus the externalities created by its disposal, are affected by both private and public agents. Because of this, I approach the subject by first discussing the point of views of consumers and producers, and then that of a welfare-maximizing government. Most theoretical models on the subject set their emphasis on changing the existing opportunity cost structure in order to perform this internalization. Hence, these models support the view that instruments such as unit pricing on garbage collection and deposit-refund schemes are capable of reaching the socially optimal amount of waste. A central observation proposed by several researchers is that deposit-refund, though equivalent to unit pricing in theory, is usually the superior choice between these instruments as it does not encourage illicit dumping. Clear conclusions on the empirical success of these instruments are not feasible as the results are varying on the effectiveness of unit pricing and scarce on deposit-refund schemes. Since there is evidence that consumers often have positive willingness-to-pay for recycling programs (Kinnaman, 2009), I discuss the role of social norms and intrinsic motivations in relation with consumer decision-making. The literature on these phenomena recommends influencing the consumers' preferences through social norms as an alternative and/or complement for manipulating their opportunity costs. Finally, I present a framework to illustrate the theoretical connection between Extended Producer Responsibility (EPR) instruments, which represents a promising way of incentivizing firms to reduce waste management costs. The idea behind this mechanism is to place producers in financial responsibility for the disposal of their products to incentivize them to produce more durable goods.
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(2016)The theory about fiscal foresight suggests that, when it is present, the econometric analysis will face substantial challenges; and the shocks received can be nonfundamental if the information in the model is not sufficient. This thesis introduces fiscal foresight into a conventional vector autoregression (VAR) analysis and examines the dynamic effects of unanticipated and anticipated government expenditure shocks with Finnish data. However, since VAR models base only on present and past information, including a forward looking variable into a VAR may cause issues that lead to misspecifications of the model and into wrong conclusions. To measure government expenditure anticipations I create a news variable by using Bank of Finland’s government expenditure forecast data. The idea is that this variable should capture the effects when the future government expenditure increase is anticipated by the forecasters and assumably by the agents in the economy. By including this news variable in the VARs information set the recovered shocks should describe more accurately the identified shocks in the economy. I show with a simple example and with information sufficiency tests that this news variable overcomes the issues that fiscal foresight may cause to the VAR analysis and that this variable makes the VAR analysis more accurate. I will investigate if including this news variable in a conventional VAR model will change the outcomes on government expenditure, tax revenues, private consumption, private investment and output; first when the unanticipated government expenditure increase causes the shock and second when the positive shock comes from the news that can be interpreted to be an anticipated government expenditure increase. In most cases the literature either supports the Keynesian or neoclassical theory since there exist disagreements on the government expenditure effects on private consumption and investment. These effects are also in the centre of my thesis and the first result is that whether or not the news variable is included to the VAR model the unanticipated government expenditure shock does not crowd out private economic activity. Instead the effects are positive and persistent and they support the Keynesian view. Second result is that when the shock to the system comes from the news, the effects on private economic activity are quite the opposite and they support the neoclassical view. This would mean that if government expenditure increase is anticipated by the agents, they will postpone their consumption and investment decisions until the government expenditure increase is implemented and the expenditure starts to return back to its unshocked path. Results all together suggest that government expenditure increase as an expansionary fiscal policy action is effective if the increase is not anticipated by the agents in the economy. If announcements on future government expenditure increases is done, the hoped expansionary effect after implementation can actually retard the economy for a few years.
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(2013)For an active investor it is important to know cross-asset correlation dynamics in order to invest efficiently by using a multi-asset portfolio. Stocks and interest rates are two main asset classes and their relation has witnessed a positive development in the past decade indicating a negative return relation between stocks and government bonds. Stock and bond return relationship is well studied in the past. Long-term relationship is found to be modestly positive, but it seems that something has changed in this relationship in the late 1990s. The assumption is that the stock-bond relation is dominated by investment behavior in which the uncertainty causes rapid movement of funds from riskier assets to safe assets. Further, this investment behavior causes large variations in short-term return relation, but has also affected the long-term relation of the two in the past decade. Combining the daily stock-bond return data and uncertainty measurement it can be shown that depending on the stock market uncertainty factor the return relation varies from positive (low uncertainty) to negative (high uncertainty) on the average. This relationship can be well presented with two-state regime switching logistic smooth transition regression model, where the stock market uncertainty is used as an observable variable defining the regime switching. Results are supporting previous studies and practical experience. The long-term return relation seems to be shifted from positive to negative and the short-term variation is associated with stock market uncertainty. Two-state regime switching smooth transition regression function results also supports the long-term change especially when the data is modeled in two separate sub periods.
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(2015)Nowcasting is generally defined as the prediction of the present. Nowcasting is required in economics as many economic variables have a publishing lag and the publishing frequency of the variables can be lower than desired. Therefore it is often necessary to estimate the current values of economic variables through nowcasting models. The aim of the thesis is to find out if Swedish private consumption can be nowcasted more accurately with models that include Google search data as explanatory variables. Traditionally private consumption is nowcasted with consumer confidence index and in the thesis models based on consumer confidence index are compared to models based on Google search data. Google search data for the thesis is downloaded from Google Trends, which is a service provided by Google Inc. through which the public can access the search word statistics of each country. The Google search data is available on a weekly frequency, which in this thesis is aggregated into monthly frequency. The Swedish private consumption data for the study is downloaded from OECD Statistics. The private consumption data from OECD is available on a quarterly frequency, which is disaggregated into monthly frequency using the Chow-Lin procedure and Swedish retail trade data as an indicator series. The Swedish retail trade data is downloaded from the Swedish Statistics and the Swedish consumer confidence index from the National Institute of Economic Research. All the time series used in the nowcasting models are on a monthly frequency and cover a period from January 2005 to June 2014. The main methods used in the thesis include principal component analysis, which is applied for the Google search data and dynamic linear regression based on which the nowcasting models are formed. Two types of nowcasting models for the private consumption are formed in the thesis. Google Trends service uses an algorithm to categorize the search words automatically based on the subject and the first type of the models uses these automated search categories as explanatory variables in the nowcasting model. The second type uses the most popular search words as explanatory variables. Only search categories and search words related to private consumption are included in the models. The models based on search words are found to be more accurate compared to the models based on search categories. However, the model based on consumer confidence index is still found to produce more accurate nowcasts compare to the model including Google search words. In an in-sample nowcast the model including both Google search words and consumer confidence index as explanatory variables slightly outperforms the model including only consumer confidence index. The performance of the nowcasting model including both Google search words and consumer confidence as explanatory variables is then tested in an out-of-sample nowcast in which case the model performs worse compared to the model including only consumer confidence index. Based on the results of the thesis it can be concluded that the method of using Google search words in nowcasting models showed some potential, but in an out-of-sample nowcast the traditional model including only consumer confidence index still outperformed the model including Google search words. Therefore further studies are required in order to fully determine the usefulness of Google search word data for nowcasting of Swedish private consumption.
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(2017)In this thesis, early estimates of turnover of trade published by Statistics Finland are constructed in order to make forecasts more accurate and available earlier than they currently are. The term for making early estimates is called nowcasting, and it comes from words now and forecasting. The idea is to use information which is published early and possibly at higher frequencies to obtain early estimates before the official information is published. This subject is important because policymakers and researchers follow forecasts when making decisions about fiscal and monetary policies or testing economic models. Also central banks, public and private entities and statistical agencies collect a vast amount of economic data every year. The lags of current forecasts can be quite long; the lags of Statistics Finland’s turnover of trade is 45 days and 75 days. The data used in this work for nowcasting is sales inquiry, consumer survey and first registrations of motor vehicles collected by Statistics Finland and retail trade’s confidence indicator published by Confederation of Finnish Industries. The nowcasting target, the turnover of trade, is divided to four activities, which are estimated separately: total trade, wholesale and retail trade and repair of motor vehicles and motorcycles (vehicles), wholesale trade and retail trade. The methods used in this thesis are dynamic factor model, least absolute shrinkage and selection operator, ridge regression and elastic net. These models in question are chosen by the fact that they try to avoid the problem of overparameterization, which is the case with the data used in this thesis. The nowcasts are made using sales inquiry including all sectors, sales inquiry including only trade sector, sales inquiry including consumer survey balance figure about own economic situation now, when nowcasting target is retail trade, and sales inquiry including first registrations of motor vehicles data, when nowcasting target is vehicles. The estimation period starts from January 2010 and ends in December 2016 and the time series are from January 2000 to December 2016. The estimations are made for four time lags: t+5, t+10, t+20 and t+26. That is, the sales inquiry used for nowcasting is tested after accumulating 5, 10, 20 and 26 days from the beginning of each month. Every time lag is tested with the four models used in this thesis. The nowcasting results are compared to actual values of every activity using mean absolute error and a naïve ARIMA-forecasts are used as benchmarks. Before consumer survey data and first registrations are added in the models, their prediction power is tested using ARIMA-forecasts. The results showed that sales inquiry including all sectors gave better estimations than sales inquiry including only trade. Nowcasts made from sales inquiry including all sectors gave good results when estimating retail trade, somewhat good results when predicting total trade and wholesale trade and worse results when nowcasting vehicles. Consumer survey’s question about own economic situation now did not outperform the sales inquiry estimations when the target is retail trade and when forecasted with ARIMA-model one step ahead. When the consumer survey data was added to the nowcasting models, the results did not improve. First registrations of motor vehicles with vehicles series outperformed the sales inquiry nowcasting results, when forecasted with ARIMA-model one step ahead. The results were quite similar and only slightly better than with sales inquiry data only, when first registrations of motor vehicles was added in the nowcasting models. Retail trade’s confidence indicator published by Confederation of Finnish Industries was left out of further examination, because it did not perform as well as consumer survey. Retail trade nowcast results gave mean absolute errors under 1% at time lags t+20 and t+26 using elastic net method. There is not much difference between t+20 and t+26 and the time lag t+20 seems appropriate for making nowcasts. Consumer survey data did not improve these results, and therefore it can be left out from the nowcasting models. Nowcasting results for vehicles gave the highest mean absolute errors and adding the first registrations data in the models did not significantly improve the results. Other data sources could be considered adding to the models. Nowcasting results from total trade and wholesale trade gave 1%-2% mean absolute errors, but they were not examined with additional data sources. Sales inquiry including all sectors seemed appropriate for nowcasting retail trade, but total trade, wholesale trade and vehicles need more examination.
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(2013)Pääoma on pankeille keskeinen suojautumis- ja varautumisväline liiketoiminnan tappioiden varalta. Pankin pääomavarautumisen kannalta on keskeistä, että pankki kykenee ennustamaan luotettavasti liiketoimintansa mahdollisten suurimpien tappioiden todennäköisyyden ja suuruusluokan. Vastaavasti pankkisääntelyn keskeinen haaste on löytää oikea minimipääoman taso, joka pankeilta velvoitetaan varaamaan suurimpien tappioiden varalle, sillä nämä tappiot voivat uhata pankin olemassaoloa ja aiheuttaa tappioiden leviämisen järjestelmäriskin kautta koko pankkisektorille. Tutkimuksen kappaleissa 1–5 otetaan kantaa yleisesti käytettyjen pankkien riskimallien kykyyn ja tapaan ennustaa suurimpia tappioita, niin yksittäisten omistuspositioiden, kuin koko pankin taseen omistusten tasolla. Näin tutkimuksen keskiöön nousee kysymys, kuinka pankki mallintaa yksittäisten markkinoiden suurimpien negatiivisten arvomuutosten lisäksi markkinoiden väliset riippuvuudet varsinkin kriisien aikana. Kappaleessa 6 käsitellään erityisesti pankeilta vaadittua minimipääoma-asetuksen tasoa Basel II ja tulevassa Basel III -pankkisääntelykehikossa. Tämä on pankkisääntelyn ehkä tärkein asetus ja sääntelymenetelmä ehkäistä pankkisektorin järjestelmäriskiä. Keskeinen kysymys tutkimuksessa on se, onko järjestelmälle tärkeiden pankkien vaadittu minimipääoman tason asetus riittävä standardi pankkien suojautumiseksi suurimmilta tappioilta ja pankkisektorin suojautumiseksi pankkikriiseiltä. Tutkimuksen lopussa kappaleessa 7 pureudutaan pankkisääntelyn mahdollisuuksiin hallita moraalikato-ongelmia järjestelmälle tärkeiden pankkien päätöksenteossa. Oikean tasoisten pääomavaatimusten lisäksi tutkimuksessa nostetaan esiin pankin kannusteiden hallinta pankin riskipitoisten päätösten negatiivisten ulkoisvaikutusten ehkäisemiseksi. Tutkimuksessa esitellään kuinka järjestelmälle tärkeiden pankkien sääntelyn moraalikato-ongelmaa voidaan analysoida moraalikatotutkimuksen tutkimusperinteen mukaisesti analyyttisesti paksuhäntäisissä toimintaympäristöissä. Tutkimuksen keskeinen johtopäätös on, että mikäli markkinoiden suurimmat negatiiviset arvonmuutokset ja kriisimarkkinoiden väliset normaalimarkkinoista poikkeavat riippuvuudet eivät ole huomioitu luotettavasti pankin tilastollisissa riskimalleissa, on tällä merkittävä vaikutus pankin kykyyn ennustaa tappiontasoa, niin yksittäisten positioiden, kuin koko pankin taseen arvonmuutosten osalta. Tutkimuksen yksi keskeinen väite onkin, että pankkien sisäisten riskimallien puutteilla on ollut merkittävä vaikutus pankkien heikkoon kykyyn suojautua talouskriisin aiheuttamilta tappioilta. Tutkimuksen suosituksena on merkittävä muutos pankin ja sääntelyn metodologioihin mallintaa kvantitatiivisesti riskiä. Tutkimuksen mukaan pankkien ohuen pääomituksen, paksujen häntien ja pankkisektorin kriisiytymisen välillä on selkeä yhteys. Koskien järjestelmälle tärkeän pankin sääntelyä tutkimuksen keskeinen johtopäätös on, että jos sääntelijä pyrkii vaikuttamaan suoraan järjestelmälle tärkeän pankin luonnollisiin kannustimiin ottaa riskiä, voi tällä olla merkittävä vaikutus pankin päätöksentekoon, moraalikato-ongelman ratkaisuun ja siten järjestelmäriskin hallintaan paksuhäntäisissä toimintaympäristöissä pankkisektorilla.
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(2013)Corporate credit risk in fixed income markets refers to risk that debt issuing company will default before the maturity of the debt or to decrease in the market value of debt due to decreasing credit quality. A number of quantitative credit risk models have been developed to measure probability of default and/or credit spreads of fixed income investments. These models can be roughly divided into two categories based on their approach to credit risk modelling; structural and reduced form models. Several commercial applications have been developed based on both model branches and used in financial markets as tool for analyzing real life investment decisions. The aim of this thesis is to introduce the theoretical framework behind structural and reduced form credit risk models and present a comparative analysis on the strengths and weaknesses of different models. A base case model for structural (Merton 1974) and for reduced form (Jarrow-Turnbull 1995) is presented in more detail and differences are discussed based on earlier academic research in the area. Even the objectives of the models are similar the two approaches are totally different from the theoretical point of view. Structural models are based on Merton´s model and use Black- Scholes option pricing framework as foundation of credit risk analysis. Reduced form models instead can be considered as a statistical approach to credit risk modelling using market data on bond prices and credit spreads to measure probability of default. Empirical part of the thesis consists of review of several empirical studies testing the empirical soundness of different structural and reduced form models. The aim of this part is to find reasoning to recommend either structural or reduced form models for investor use. Main findings suggest that when choosing credit risk model the purpose of the use becomes a decisive factor. It can be argued that structural models in general are more suitable for analyzing credit risk of individual companies with company specific needs due to their ability to offer economic causality. In the other hand the reduced form models could be recommended to use for trading and hedging purposes for traders and credit managers working with liquid bond markets. Reduced form models are highly data sensitive and need high quality market data. Several studies suggest that structural models perform better when working with lower rated bonds (below investment grade) whereas reduced form models are more suitable for higher rated bonds (investment grade). Reduced form models can be seen as more modern approach to credit risk modelling.
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(2013)The study addresses an estimation problem faced by a large borrower, such as a government, related to an interest rate risk measure known as Cost-at-Risk, or CaR. The term denotes a threshold level of debt costs such that the actual debt costs incurred in a given time (say, one year) will be less than this threshold level with a given probability (say, 95 %). The main obstacle to determining CaR is that the probability distribution of future levels of interest rates is unknown. For this purpose, various models of the term structure of interest rates have been developed. This study takes one particular term structure model, the Longstaff–Schwartz model, under examination in order to determine its inherent suitability for the estimation of CaR. The model is an affine two-factor equilibrium model with analytic solutions for bond and option prices. The accuracy of the model is studied by simulating interest rate pseudo-data using a simulation program which corresponds exactly to the model’s assumptions, and then recalibrating the model to the pseudo-data. Given that the properties of the data-generating process (DGP) are known exactly, this approach allows us to compare the CaR estimates implied by the recalibrated model against the CaR implied by the actual properties of the DGP. Particular attention is paid to the methods by which the model is calibrated to data. In an effort to improve the accuracy of the Longstaff–Schwartz model, a new calibration method is developed. In order to appraise the accuracy of the Longstaff–Schwartz model, we compare its performance to that of a simpler benchmark model based on the Nelson–Siegel decomposition of the yield curve. The accuracy of the CaR estimates given by the two models is compared both in an environment where the DGP is of the Longstaff–Schwartz type, and in another environment where the DGP is of the Nelson–Siegel type. The results of the comparison can be summarized as follows. The new calibration method for the Longstaff–Schwartz model is highly accurate when the DGP is of the LS type, but is useless in the NS-type environment. When the LS model is calibrated using the technique proposed by Longstaff and Schwartz themselves, it turns out that the model gets no advantage from being correctly specified. When correctly specified, it fails to calibrate to data in about 25% of all cases, but when it is misspecified, the failure rate drops to 2.4%, and its accuracy improves and surpasses that of the NS model. These results are highly unexpected. It is possible that they are specific to the parameter values used in the simulations, but this issue is left for further research.
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(2015)Tässä tutkielmassa tarkastellaan opintotuen tulorajorajojen vaikutusta korkeakouluopiskelijoiden työn tarjontaan. Opiskelijat poikkeavat muusta väestöstä huomattavasti, koska opintotuen tarkoitus on mahdollistaa päätoiminen opiskelu ja siten opintotuen tulorajojen käyttäytymisvaikutukset voivat olla jossain mielessä jopa toivottavia. Siksi tutkielmassa tarkastellaankin myös opiskelijoiden työssäkäynnin ja opintotuen tulorajojen vaikutusta myös opintojen etenemiseen. Opintotuen tulorajojen käyttäytymisvaikutukset ovat huomattavia, mutta toisaalta opiskelijat eivät selvästi joko voi tai pysty vaikuttamaan tuloihinsa tulorajojen aiheuttamien kannustimien näkökulmasta optimaalisella tarkkuudella. Tästä johtuen opiskelijoiden tulojen jousto verojen suhteen jää varsin pieneksi, ollen noin 0.1. Estimaatti on kirjallisuuden keskimääräisiin arvioihin verrattuna melko pieni, mutta toisaalta selitettävissä opiskelijoiden poikkeavilla motiiveilla tehdä töitä muuhun väestöön verrattuna. Aineiston perusteella opintojenaikainen työssäkäynti näyttää olevan negatiivisessa, joskin heikossa yhteydessä opintojen etenemiseen. Joustoksi tulojen ja opintopisteiden välille saadaan noin -0.1, tarkoittaen, että opiskelijoiden keskituloa 50 prosenttia enemmän tienaava opiskelija suorittaisi vuodessa suurin piirtein yhden kurssin vähemmän. Toisaalta erityisesti tulorajoihin reagoivat opiskelijat näyttävät suorittavan opintoja niin ikään tulorajat marginaalisesti ylittäviä opiskelijoita hieman enemmän. On kuitenkin selvää, etteivät käytetyt menetelmät opintojen ja työssäkäynnin yhteydestä muodosta puhdasta koeasetelmaa ja siksi kausaalitulkintojen tekeminen tällä perusteella ei ole mahdollista.
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(2014)The need to understand causes behind business cycles and inflation, and their link to prevailing monetary policy is today essential. During recent years, the family of Dynamic Stochastic General Equilibrium (DSGE) models has emerged as the workhorse for characterizing these phenomena and their interlinkage, allowing a detailed, structurally microfounded modelling of economys general equilibrium and its dynamic response to exogenous, stochastic shocks. Traditionally, a central bank is assumed to be able to carry out its monetary policy influence towards the economy by altering the value of its conventional instrument, the nominal short-term interest rate. In the light of the recent financial crisis pushing those interest rates very low towards their zero lower bound, there has been a need, and correspondingly significant research towards designing unconventional instruments, with which a control could be retained also in the event of short-term interest rates becoming ineffective. One of these alternatives is called quantitative easing, which involves buying of government issued bonds. This Thesis presents a stylized, closed economy DSGE macromodel with nominal Calvo rigidities both in prices and wages. The model also incorporates a stylized financial sector. It then discusses how monetary policy instruments, namely the conventional nominal short-term interest rate, but also more unconventional government asset purchases, can be used in steering the economy in the presence of an exogenous shock shifting it away from its initial equilibrium. We simulate the developed macrosystem in the presence of exogenous shocks, and optimize the rules according to which the central bank uses its two instruments. Our results indicate that co-ordination between interest rate setting and quantitative easing is optimal, but before concluding on any specific policy principles, care should be taken in calibrating both the model of the economy and the metric evaluating welfare effects of the policy.
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(2017)Crude ol is the most traded commodity in the world. Oil and oil products are very important mediums of trade, and therefore these mediums are also traded in the derivative markets. The value of derivatives and “paper oil” markets is nowadays many times higher than the value of the physical crude oil market. Oil refineries, the end-users of oil products and investors plus speculators have all a significant impact on the market, and together they create the balance of price level. In this thesis, the difference between present spot prices and future forward prices was researched. The results show whether the oil refinery could make a profit by using forwards instead of spot prices for purchasing crude oil and for selling the refined oil products. A general hypothesis is that, on average, forwards are not profitable. This hypothesis holds only if the markets are efficient and all the participants have equivalent information at their disposal. If this is not the case, the markets do not work efficiently, or the balance of supply and demand is not stable. In this thesis, both realized prices and forward prices are examined for the period between 2010 and 2016. The prices and forwards are European market prices, and they are based on the Brent crude oil and Brent-based products. Monthly averages for prices, calculated by daily prices, are used in all the tests and the analysis. The maturities of forwards varied from 1 month to 12 months. The results show that the refiner would have made extra profit by selling especially jet and diesel by using long-run (12 months) forwards. The error term of spot and forward prices was systematic and statistically significant. Hedging the sales of heavy fuel oil (HSFO) by using forwards would also have been, on average, profitable. Nevertheless, the fundament of HSFO is not as clear as jet and diesel. Jet, diesel and HSFO constitute about 2/3 parts of the total production capacity (by volume) of Company X. By hedging the jet, diesel and HSFO, the company could have increased the gross margin by approximately 18 % between 3/2012-12/2016. This means that the gross marging would have increased by about 2 USD/bbl (11.3 vs 13.3 USD/bbl). The results clearly state that the demand for specific forwards (and products) exceeded the supply side in the period studied. This was evident in the higher forward prices compared to realized spot prices. The reason for these findings might be the fact that the end users of jet, diesel and HSFO typically want to secure the level of costs in advance. Airline companies, for example, have to know their cost of fuel to be able to set the price of flight tickets up to one year beforehand. In addition, it is important to notice that Europe is dependent on imported jet and diesel. On the oher hand, the results can be interpreted in a way that the refiners do not want to sell their production in advance. In general, this can be seen in the way that the producers are always waiting for a sudden unexpected shock in the demand side, and therefore the pricing position is kept open. Based on the findings, the supply of crude oil was not profitable. Many estimations of the price of crude oil have been made based on different data sets, and based on the literature, forecasting is very difficult. In addition, hedging gasoline or naphtha production by forwards was not, on average, profitable. Nevertheless, by short run maturities (3–4 months), and in certain conditions, hedging the gasoline would have been profitable. The time period investigated in this thesis saw extreme fluctuation in crude oil pricing. Brent price varied from 35 USD/bbl to 125 USD/bbl. In addition, the time period included both extreme increases and decreases in price. The results might be partly explained by the fluctuations and relatively high level of the price of crude oil. Brent crude oil as an explanatory variable for the price of oil products was also tested in this research. The price of crude oil has explanatory power for the forward values of jet, diesel and HSFO. However, the Brent price could not be used as an explanatory variable for the profitabily of hedging those above-mentioned cracks. Other products (gasoline, naphtha and DFL) did not depend on the price of crude oil as much. In this case, it can be assumed that hedging jet, diesel (and gasoil) and HSFO would be profitable in the near future as well. Then again, many global, political and economical aspects certainly have an effect on the oil markets. Analyzing these aspects is considered to be nearly impossible, and this causes some uncertainty to the forecasting process.
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(2019)Tutkielmassa perehdytään teknologisen kehityksen, maailmantalouden integraation, osaamisen ja kaupungistumisen välisiin suhteisiin. Alkuperäisenä motivaationa on ollut tutkia taloudellisen toimeliaisuuden tilallisen kasautumisen teoreettisia premissejä sekä kaupungistumisen megatrendiä kehittyneen talouden ja sen alueiden tulokulmasta lähestyen. Tämän seurauksena on päädytty tarkastelemaan sitä, kuinka teknologisen kehityksen ja talouden globalisaation seurauksena kehittyneet taloudet perustavat kilpailukykyään keskeisesti osaamiseen. Osaamisen itsensä tarkastelun lisäksi tavoitellaan sen tilalliseen ulottuvuuteen syventymistä. Toisin sanoen tutkitaan sen kasautumisen potentiaalisia syitä ja seurauksia. Lisäksi pyritään integroimaan työ- ja asuntomarkkinakysymyksiä. Kyseessä on kirjallisuuskatsaus, jonka aineisto koostuu pitkälti alue- ja kaupunkitaloustieteen keskeisten kontribuutioiden esiin nostamista huomioista. Lisäksi erityisesti työmarkkinoihin ja niiden muutosta seuraavaan talouden rakennemuutokseen liittyvä kirjallisuus on tutkielman kannalta avainasemassa. Aihetta lähestytään vahvasti nimenomaan osaamisen ja teknologisen kehityksen näkökulmasta. Niiden merkitystä voidaan pitää kehittyneen talouden työmarkkinoiden ja tilallisen järjestymisen kannalta kokonaisuudessaan hyvinkin huomattavana. Synteesinä tutkielma koostaa tutkimusalojensa keskeisiä teorioita ja löydöksiä sekä pyrkii kokonaisvaltaisen näkökulman kasaamista tavoitellen asettumaan tutkimiensa taloustieteen kenttien rajapintaan. Tutkielman keskeiset havainnot viittaavat siihen, kuinka osaamiseen ja sen hyödyntämiseen yhdistyvät huomattavan suuret kasautumisedut, minkä merkitys korostuu teknologian ollessa osaamisen kanssa komplementaarista ja sen kehityksen osaamista suosivaa. Etenkin osaamisen näkökulmasta myös kasvokkain tapahtuva vuorovaikutus on monilla tavoin hyvin tärkeää. Liikenneteknologisesta kehityksestä huolimatta matkanteon aikakustannuksilla voidaan historiallisen saavutettavuuden maailmassakin nähdä olevan keskeinen vaikutus osaavaan suurkaupungistumiseen. Suurkaupunkien tiheyteen liittyy voimakkaita keskinäisriippuvuuksia ja takaisinkytkentöjä, jotka voivat entisestään vahvistaa kasautumisvoimia suhteessa hajautumisvoimiin. Pienten kuljetus- ja kommunikaatiokustannusten maailmassa sijainnin merkitys onkin inhimillisestä näkökulmasta usein hyvin keskeinen. Kasvun paikallisuus korostuu luonnonoloista vapaan toiminnan kasvaessa. Toiminnan jopa globaalin skaalauksen helpottumisen seurauksena enimmäkseen markkinatekijöihin perustuvat paikalliset edut ovat usein ratkaisevia. Toisaalta kaupungit ovat asukkaidensa lisäksi fyysisiä rakenteita, mikä tarkoittaa, että niiden tilalliset rajoitteet sekä joustamattomuus toimivat kasvun pullonkaulana. Niihin liittyvät kysymykset ovatkin omiaan korostumaan hyvinkin paikallisen kasvun myötä. Myös elämälaatua tuottavilla mukavuuksilla on keskeinen merkitys aluekehityksen ja kaupunkirakenteiden kannalta. Etenkin paikallinen maa on väistämättä rajallista, mutta yhdyskuntarakenteen joustamattomuuden keventämiseen kykenemisellä voi olla huomattaviakin vaikutuksia tuottavuuteen, kilpailukykyyn ja hyvinvointiin. Luomiensa mahdollisuuksien lisäksi muuttunut toimintaympäristö saattaa kuitenkin aiheuttaa kansantalouksille myös haasteita niiden alueellisestikin epätasaisen kehityksen kautta. Sekä työmarkkinoihin että elämänlaatuun liittyvällä houkuttelevuudellaan suurkaupunkiseudut voivat erottua merkittävällä tavalla muusta kansallisvaltion muista aluetalouksista. Osaltaan ongelmia saattaa aiheuttaa myös huippuosaamisen globaali niukkuus.
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(2012)Tutkielmassa tutustutaan aikariippuvaisia korrelaatioita mallintavaan DCC-malliin. Aluksi kuvaillaan mallin linkittyminen rahoitusteorian peruspilareihin, minkä jälkeen itse malli. Mallin toimivuutta arvioidaan empiirisessä osiossa käyttäen vertailukohtana otoskorrelaatiota. Mallin toimivuutta tutkitaan neljän alueellisen indeksin viikottaisen tuottodatan avulla. Päätelmät mallien suoriutumisesta tehdään VaR – tunnuslukujen osuvuuden sekä mallien avulla tehtyjen sijoitusten tuottojen perusteella. Lopputulemana on, että DCC-malli toimii kohtalaisen hyvin VaR-tunnuslukujen ennustamisessa ja otoskorrelaatioon verrattuna myös sijoitusallokaatioiden muodostamisessa. Erot testituloksissa korrelaatioennusteiden välillä olivat kuitenkin pieniä ja korrelaatioita määräävämpänä tekijänä on todennäköisesti kovarianssien muodostamisessa käytetty varianssiennuste.
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(2013)Tässä tutkielmassa tutkimuksen kohteena ovat päästökauppa, sen kustannustehokkuus sekä markkinaepätäydellisyyksien vaikutus päästökaupan toimintaan taloustieteellisestä näkökulmasta. Tutkielman tavoitteena on tarkastella päästökaupan perusteita teoreettisesti ja selvittää, onko päästökauppa toimivin ja kustannustehokkain menetelmä päästöjen kontrolloimiseksi. Lisäksi tutkitaan, miten markkinavoima ja epävarmuus vaikuttavat päästökaupassa mukana olevan yrityksen tuotantoon ja päästöjen vähentämiseen. Tutkielma pohjautuu vuonna 2010 hyväksyttyyn kandidaatin tutkielmaani, jota olen tässä yhteydessä laajentanut ja muokannut pro gradu –tutkielmaan sopivaksi. Aiemmat osat työstä perustuvat pääasiassa taloustieteen kirjallisuudessa esiin nousseisiin näkökohtiin. Nyt kerätty uusi aineisto sisältää lähinnä vuoden 2000 jälkeen julkaistuja artikkeleja, painottuen suurimmaksi osaksi viime aikaisimpiin tutkimuksiin. Kaikki tutkielmassa käytettävät matemaattiset mallit perustuvat yrityksen voiton maksimoinnille. Päästökaupan tavoitteena on tuottaa yhteiskunnan haluama vähennys päästöihin mahdollisimman kustannustehokkaasti. Päästökauppa johtaa kustannustehokkaaseen lopputulokseen, kun yritykset saavat itse minimoida päästöjen vähentämisen kustannukset. Päästöihin yritykset voivat vaikuttaa investoimalla tehokkaampaan puhdistusteknologiaan, vähentämällä tuotantoa tai käymällä kauppaa päästöluvilla. Kaupankäynnin seurauksena muodostuva päästöluvan hinta ja yrityksen rajapuhdistuskustannukset ohjaavat yrityksiä valintojen tekemisessä. Kiintiökauppajärjestelmien kustannustehokkuutta käsitellään tutkielmassa pääosin Tietenbergin (2006) julkaisun pohjalta. Tulosten perusteella päästöjen kustannustehokas vähentäminen riippuu saasteiden leviämisestä ja ympäristöön kasautumisesta. Päästöjen kasautuessa päästökontrollia on jatkuvasti kiristettävä. Kaikki kolme kiintiökauppajärjestelmää johtavat oikein mitoitettuna kustannustehokkaaseen lopputulokseen. Ohjauskeinojen keskinäinen vertailu osoittaa, että päästökauppa on muutamaa poikkeusta lukuun ottamatta kustannustehokkain keino päästöjen vähentämiseen kuin määrärajoite tai päästövero. Päästökaupan kustannustehokkuus ja siitä saatavat hyödyt perustuvat oletukseen tuotanto- ja päästölupamarkkinoiden täydellisyydestä. Reaalimaailmassa markkinat toimivat kuitenkin epätäydellisesti, joten ehto kustannustehokkuudelle voi jäädä toteutumatta. Kaikki kolme työssä esiteltävää markkinaepätäydellisyyttä heikentävät päästökaupan toimintaa. Transaktiokustannukset ja epävarmuus laskevat muun muassa päästökaupan volyymia ja markkinavoima yritysten kannustin investoida puhdistusteknologiaan. Päästökaupan toiminnan parantamiseksi järjestelmästä tulisi luoda mahdollisimman joustava ja yksinkertainen sekä sillä tulisi olla selkeät ja pysyvät säännöt. Päästöluvat olisi paras jakaa huutokauppaamalla ja kaupankäynnin luvilla tulisi olla yksinkertaista ja nopeaa. Markkinoiden kilpailullisuutta pitäisi edistää ja julkisen vallan tulisi puuttua markkinoiden toimintaan mahdollisimman vähän. Täydellisen kilpailun päästölupamarkkinoita tutkitaan Baumolin ja Oatesin (1988) päästöveroa ja päästötukea käsittelevien mallien pohjalta. Täydellisen kilpailun mallin tarkastelu osoittaa, että ominaispäästökertoimen ja päästöluvan hinnan kasvu lisäävät päästöjen puhdistamista ja laskevat tuotantoa. Tuotoksen hinnan nousu johtaa päinvastaisiin tuloksiin. Päästöjen määrä vähenee päästöluvan hinnan kasvaessa ja lisääntyy tuotannon hinnan noustessa. Markkinavoiman vaikutusta yrityksen tuotantoon ja päästöjen puhdistamiseen tutkitaan Hintermannin (2011) oligopolimallin avulla. Saatujen tulosten perusteella tuotoksen ja päästöluvan hinnat vaikuttavat seuraajayrityksen tuotantoon ja päästöihin samoin kuin täydellisen kilpailun mallissa. Johtavan yrityksen tuotanto ja päästölupien kysyntä määräytyvät päästölupien alkujaon perusteella. Jos johtava yritys saa päästölupia alkujaossa liikaa, se manipuloi tuotoksen ja päästöluvan hintaa ylöspäin, minkä seurauksena tuotanto vähenee ja päästöjä vähennetään liian vähän suhteessa täydellisen kilpailun tilanteeseen. Jos johtava yritys saa päästölupia alkujaossa liian vähän, tilanne muuttuu päinvastaiseksi. Manipuloinnin seurauksena seuraajayrityksen kustannukset nousevat ja toiminta vaikeutuu sekä päästökaupan tehokkuus laskee. Tuotoksen ja päästöluvan hinnan epävarmuuden vaikutuksia yrityksen tuotantoon ja päästövähennysinvestointeihin tutkitaan Ollikan ja Ollikaisen (2007) tutkimusten pohjalta. Mallin perusteella tuotoksen hinnan epävarmuus saa riskiä kaihtavan yrityksen tuottamaan ja investoimaan vähemmän kuin varmassa tilanteessa. Päästöluvan hinnan epävarmuus saa riskiä kaihtavan päästölupien ostajan tuottamaan vähemmän ja myyjän enemmän kuin varmassa tilanteessa. Jos tuotannonrajakustannukset ovat suuremmat kuin kaupankäynnin rajakustannukset, on päästölupien ostajalle optimaalista investoida enemmän ja myyjälle vastaavasti vähemmän kuin varmassa tilanteessa. Jos kaupankäynnin rajakustannukset ovat suuremmat kuin tuotannon rajakustannukset, muuttuu tilanne päinvastaiseksi. Tuotoksen ja päästöluvan hintojen yhtäaikainen epävarmuus saa riskiä kaihtavan päästölupien ostajan tuottamaan ja investoimaan enemmän kuin varmassa tilanteessa. Myyjän osalta tulos riippuu vallitsevasta markkinaehdosta. Tutkimuksessa käsiteltävät CFC-yhdistekauppa ja Happosadeohjelma ovat esimerkkejä onnistuneista päästökauppaohjelmista. Euroopan unionin päästökauppajärjestelmä on sitä vastoin kaikista suurin ja merkittävin. Päästökauppaohjelmien avulla on saavutettu merkittäviä päästövähennyksiä ja kustannussäästöjä. Tutkimuksen perusteella voidaan todeta, että päästökauppa on kustannustehokkain keino päästöjen kontrolloimiseksi, etenkin suurten saastuttaja määrien ja globaalien päästöjen tapauksessa ja samalla se kannustaa yrityksiä kehittämään ympäristöystävällisempää tuotantoteknologiaa.
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(2019)This thesis studies possible peer effects in entrepreneurship. Peer effects encompass any effects that membership in a given social group can enact on a person. Peer effects have been studied in many fields of human action, including educational attainment, worker productivity and substance use of minors. Peer effects have a special interest as a peer effects can produce social multipliers. If people react to actions taken by their peers, even small variations in individual behavior can cause large variations at the aggregate level. If peer effects in entrepreneurship are persistent, they would offer a possible explanation for the observation in previous research, that areas with large number of small firms produce an abnormally high level of entrepreneurship. This is interesting for regional developement, as higher levels of entrepreneurship have been linked to stronger subsequent economic and employment growth. I use Finnish employer-employee records to study, if particularly entrepreneurial peer groups produce more entrepreneurs. I have two environments in which I study the effects: workplaces and colleges. Because of the Finnish two tier system of colleges the college population is split in two, students of universities of applied science and students of traditional universities. All estimations are done with a discrete hazard rate model, that estimates if the probability of becoming an entrepreneur is higher in groups with other entrepreneurs. My results give some support to the hypothesis that an entrepreneurial social environment raises the number of entrepreneurs. However, all results are supportive of the hypothesis. Although there is a positive correlation between coworker entrepreneurial experience and the propensity to become an entrepreneur, the models detect a certain level of unobserved homogeneity within the coworker groups, that could explain at least part of the correlation. In the universities of applied science there is also a positive correlation between classmates setting up firms. However, the study of students of traditional universities does not produce statistically significant results.
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(2018)This thesis analyses regional differences in alcohol consumption behavior in Finland with respect to real price changes during 1995-2015. Goal of this thesis is to study if differences between regions exist or not. Data for aggregate regional consumption consisting of both restaurant, and retail alcohol consumption and real price index of alcohol used in this thesis is from THL. The approach to analyze differences between regions is firstly, to examine short term changes by price elasticity of demand, and secondly, to analyze correlations, cointegration relations and OLS regression for the full period under the review, and compare the results of each method. The results of empirical analysis indicate that there are differences between regional behavior in alcohol consumption. The results also indicate that in many cases regions in the vicinity of each other have similar behavioral pattern. Further, in some regions such as Lapland and Central Finland, the OLS model for real price index and alcohol consumption has considerably better fit than in other regions.
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(2018)Responsible investing is a topical subject in financial markets. When both environmental and societal concerns are increasing with population growth and growing demand for scarce resources, interest towards responsibility and sustainability matters have become global. This has created new investment markets of responsible investing. The aim of this thesis is to form a comprehensive analysis of the performance of responsible investments compared to non-responsible investments. The thesis analyses the financial performance, the performance under uncertainty and the volatility of responsible investments. The empirical studies are utilised in the analysis. The thesis also aims to form an understanding of the possible sources and explanations of economics for financially profitable performance of responsible investments by introducing and applying theories of economics and academic studies. The thesis creates a theoretical framework for the research question analysis, with Markowitz’s (1952) modern portfolio theory. The theory indicates that by limiting the investment possibilities to cover the preference of responsible investing, an investor faces a constraint. Since opportunities of diversification decrease, responsible investing portfolios cannot be diversified as normal portfolios and responsible investing portfolios are not considered optimal. The theory indicates that responsible investment portfolios yield a worse expected return with the same risk or higher risk with same expected return compared with the optimal portfolios. When analysing the financial performance of responsible investments, the empirical evidence shows that the positive environmental, social governance (ESG) – corporate financial performance (CFP) correlation is higher than the negative ESG–CFP correlation. In addition, when comparing the performance of responsible indices and traditional indices, there are no significant differences in the gross returns or Sharpe ratios. When analysing the performance under uncertainty, companies with high corporate social responsibility (CSR) ratings compared to companies with low CSR ratings, ratings had four to seven percent higher stock returns during the financial crisis period of 2008–2009. In addition, when analysing volatility, the conclusion is that higher ESG rating correlated with lower volatility and the relationship is stronger when market volatility was high. The empirical evidence shows that responsible investing appears to be financially profitable and a rational investing strategy since it does not impose opportunity costs for an investor. In fact, responsible investing can result in good risk-management of a portfolio and yield even better profit expectations than a non-responsible investing strategy. These findings challenge the modern portfolio theory’s indications. Explanations for the research question of why responsible investments perform well, are diverse. When applying the theories of economics, responsibility can be seen as signaling and to bring a competitive advantage for companies that integrate responsibility into the business models. A competitive advantage can occur through lower costs, easier access to capital and through differentiation. The academic studies also recognize the connection between responsibility and trustworthiness as distinct. In addition, responsibility can be seen as anticipating and managing of risks when it comes to possible changes in the institutional environment, for example, in legislation or in regulation framework. Furthermore, an altruistic way of behaviour can be identified among consumers and overall there exists a significant demand for responsibility and responsible products and businesses.
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(2015)This study analyzes a retailer’s possibilities to operate profitably when a supplier enters the end-customer market through a direct channel. The increase of the online selling has reshaped the supply chain enabling faster delivery times, which poses threats, but also opportunities for the traditional retail front. This thesis draws from the article Game theoretical perspectives on dual-channel supply chain competition with price discounts and pricing schemes by Gangshu (George) Cai, Zhe George Zhang and Michael Zhang. It extends its focus by deepening the analysis on the interaction between the supplier and the retailer and compiling a new numerical modeling with a sensitivity analysis. The power structure (i.e. who sets the end-customer price first) between the supplier and the retailer is modeled by a Stackelberg game setup. This study builds three different market setups (neutral, supplier-favorable, and retailer-favorable) in which the profit volume and compositions between the supplier and the retailer are analyzed taking into account the cost structures, pricing setups (consistent and inconsistent), power structure, and the possible pricing contracts between the parties. The retailer highly benefits from the retailer loyal market fraction, but it is not a necessity for operating profitably. Also the increase of the brand loyal customers help the retailer as long as there is a fraction of brand loyal customers preferring the retailer’s channel. The effects of the channel preference is essential for the retailer. When the preference towards the retailer expands, it cuts out the demand-declining effect of the increasing end-customer price, and also the profit component of the retailer increases. The price sensitivity has a lower impact (even though the retailer usually charges higher end-customer prices than the supplier) thanks to the loyal customer base as a one customer group immune to the price differences between the channels. When the retailer’s own delivery costs decrease, the demand for the retailer’s products increase in both the retailer and brand loyal customer bases. Also the profit per item increases. A decrease in the supplier’s costs to deliver the products to the retailer increases the demand in the both of retailer’s channels, and the profit, too. A decrease in the supplier’s costs in his own direct channel has a negative total effect on the retailer’s profit. Regardless of the market setup, when the supplier is the leader in setting the price, the retailer is worse off with the inconsistent than consistent pricing. The retailer also fares better without the supplier entering the end-customer interface, but the supplier has an incentive to do so. When the retailer is the leader, the supplier has an incentive to drive up the wholesale price up to the end-customer price, which is counterproductive also for the supplier in the end. By restricting the wholesale price (to some fraction of the supplier’s end-customer price) with a pricing contract there are possibilities for the retailer to even triple the profit level that would be generated when being a follower. Also the supplier benefits from the contract in the inconsistent pricing setup. When the supplier is the leader, there are various theoretically tempting contract options from the retailer’s viewpoint. However, in the inconsistent pricing setup there are no contract option which would be of use to the supplier. In the consistent pricing setup there are options in which both would be better off with than without a contract. Nevertheless, these are not the most tempting options for the supplier who is the leader. By choosing the best option for him the supplier would, in fact, gain at the retailer’s expense. So, proposing a contract under this power structure is not attractive to the retailer.
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