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INVESTMENT SPENDING IN THE UNITED STATES: AN ANALYSIS OF SOME ECONOMETRIC ISSUES
Title
INVESTMENT SPENDING IN THE UNITED STATES: AN ANALYSIS OF SOME ECONOMETRIC ISSUES.
Creator
SADIKU, CHRISTIANAH YEMISI., Florida Atlantic University, Stronge, William B., College of Business, Department of Economics
Abstract/Description
This thesis examines the determinants of that part of national gross fixed investment which is undertaken by the private sector. Any investment process is subject to a number of separate time lags,and as a result, lagged explanatory variables were used in this study to explain the past trends and the recent surge in capital spending. The cashflow and q models distinguished themselves from other models as relatively accurate descriptive of investment spending. It should be noted, however, that...
Show moreThis thesis examines the determinants of that part of national gross fixed investment which is undertaken by the private sector. Any investment process is subject to a number of separate time lags,and as a result, lagged explanatory variables were used in this study to explain the past trends and the recent surge in capital spending. The cashflow and q models distinguished themselves from other models as relatively accurate descriptive of investment spending. It should be noted, however, that the description of investment spending that appears to have worked well in the past does not have to work so well in the future because economic conditions change.
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Date Issued
1987
PURL
http://purl.flvc.org/fcla/dt/14375
Subject Headings
Investments--United States--Mathematical models
Format
Document (PDF)
Asymmetric information in fads models in Lâevy markets
Title
Asymmetric information in fads models in Lâevy markets.
Creator
Buckley, Winston S., Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
Abstract/Description
Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of...
Show moreFads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
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Date Issued
2009
PURL
http://purl.flvc.org/FAU/3337187
Subject Headings
Investments, Mathematical models, Capital market, Mathematical models, Finance, Mathematical models, Information theory in economics, Capital asset pricing model, Lâevy processes
Format
Document (PDF)
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
Title
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
Creator
Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
Abstract/Description
For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to...
Show moreFor the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis.
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Date Issued
2016
PURL
http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
Subject Headings
Capital market -- Psychological aspects, Energy industries -- Risk management, Financial risk management -- Mathematical models, Futures, Investment analysis, Petroleum industry and trade -- Economic aspects, Stocks -- Mathematical models
Format
Document (PDF)
Juicing the Potato: The Giffen Effect and Market Volatility
Title
Juicing the Potato: The Giffen Effect and Market Volatility.
Creator
Fiske, Brian, Van Tassel, Eric, Florida Atlantic University
Abstract/Description
The key objective of this thesis is to explain how aggregate agent investment behavior, in the presence of a Giffen Good, leads to excess market volatility. The thesis relies on two microeconomic models. The first model demonstrates how, in the presence of a Giffen Good, the demand curve is discontinuous and upward sloping. By analyzing the demand curve, price regions of potential volatility are identified. Using the first model as a foundation, a second model is introduced in which a...
Show moreThe key objective of this thesis is to explain how aggregate agent investment behavior, in the presence of a Giffen Good, leads to excess market volatility. The thesis relies on two microeconomic models. The first model demonstrates how, in the presence of a Giffen Good, the demand curve is discontinuous and upward sloping. By analyzing the demand curve, price regions of potential volatility are identified. Using the first model as a foundation, a second model is introduced in which a speculator trades in a dynamic setting. In this dynamic framework, opportunities for profit making by the speculator are identified. The speculative behavior aggravates market volatility.
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Date Issued
2007
PURL
http://purl.flvc.org/fau/fd/FA00000302
Subject Headings
Investment analysis--Mathematics, Giffen, Robert,--1837-1910, Consumption (Economics)--Mathematical models--Ireland, Consumer behavior--Ireland, Microeconomics
Format
Document (PDF)
The impact and effectiveness of capital investments in the American Recovery and Reinvestment Act of 2009: an assessment using Keynes economic theory
Title
The impact and effectiveness of capital investments in the American Recovery and Reinvestment Act of 2009: an assessment using Keynes economic theory.
Creator
Byaruhanga, Vincent, Thai, Khi V., Florida Atlantic University, College for Design and Social Inquiry, School of Public Administration
Abstract/Description
The purpose of this study is to find out the effect of government spending on capital investments in the American Recovery and Reinvestment Act (ARRA) of 2009 on GDP and employment growth. This research utilized US quarterly data from 2003 QI to 2013 QII. In the first part the research used variables from the Keynes economic model and utilized two-stage least square analysis to assess the effect of government spending on GDP. The results from the regression analysis indicate that an increase...
Show moreThe purpose of this study is to find out the effect of government spending on capital investments in the American Recovery and Reinvestment Act (ARRA) of 2009 on GDP and employment growth. This research utilized US quarterly data from 2003 QI to 2013 QII. In the first part the research used variables from the Keynes economic model and utilized two-stage least square analysis to assess the effect of government spending on GDP. The results from the regression analysis indicate that an increase of one dollar in government spending increases GDP by 1.569 dollars. The researcher found that the general government spending multiplier was 1.9. The coefficient for government spending in the Recovery Act was 0.383, implying that for every one dollar in government spending, Recovery Act spending on capital investments contributed 0.383 dollars.
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Date Issued
2014
PURL
http://purl.flvc.org/fau/fd/FA00004183, http://purl.flvc.org/fau/fd/FA00004183
Subject Headings
Business cycles -- United States -- History -- 21st century, Investment analysis, Keynes, John Maynard -- 1883-1946, Keynesian economics -- Mathematical models, Solow growth model, Solow, Robert M., United States -- American Recovery and Reinvestment Act of 2009
Format
Document (PDF)