Indicatori di correlazione e di disordine basati sul concetto di entropia

The aim of this work is to carry out an applicative, comparative and exhaustive study between several entropy based indicators of independence and correlation. We considered some indicators characterized by a wide and consolidate literature, like mutual information, joint entropy, relative entropy or Kullback Leibler distance, and others, more recently introduced, like Granger, Maasoumi and racine entropy, also called Sρ, or utilized in more restricted domains, like Pincus approximate entropy or ApEn. We studied the behaviour of such indicators applying them to binary series. The series was designed to simulate a wide range of situations in order to characterize indicators limit and capability and to identify, case by case, the more useful and trustworthy ones. Our target was not only to study if such indicators were able to discriminate between dependence and independence because, especially for mutual information and Granger, Maasoumi and Racine, that was already demonstrated and reported in literature, but also to verify if and how they were able to provide information about structure, complexity and disorder of the series they were applied to. Special attention was paid on Pincus approximate entropy, that is said by the author to be able to provide information regarding the level of randomness, regularity and complexity of a series. By means of a focused and extensive research, we furthermore tried to clear the meaning of ApEn applied to a couple of different series. In such situation the indicator is named in literature as cross-ApEn. The cross-ApEn meaning and the interpretation of its results is often not simple nor univocal and the matter is scarcely delved into by literature, thereby users can easily leaded up to a misleading conclusion, especially if the indicator is employed, as often unfortunately it happens, in uncritical manner. In order to plug some cross-ApEn gaps and limits clearly brought out during the experimentation, we developed and applied to the already considered cases a further indicator we called “correspondence index”. The correspondence index is perfectly integrated into the cross-ApEn computational algorithm and it is able to provide, at least for binary data, accurate information about the intensity and the direction of an eventual correlation, even not linear, existing between two different series allowing, in the meanwhile, to detect an eventual condition of independence between the series themselves.

Financial Development and Economic Growth: Time Series Evidence from Albania

The main objective of this thesis is to explore the short and long run causality patterns in the finance – growth nexus and finance-growth-trade nexus before and after the global financial crisis, in the case of Albania. To this end we use quarterly data on real GDP, 13 proxy measures for financial development and the trade openness indicator for the period 1998Q1 – 2013Q2 and 1998Q1-2008Q3. Causality patterns will be explored in a VAR-VECM framework. For this purpose we will proceed as follows: (i) testing for the integration order of the variables; (ii) cointegration analysis and (iii) performing Granger causality tests in a VAR-VECM framework. In the finance-growth nexus, empirical evidence suggests for a positive long run relationship between finance and economic growth, with causality running from financial development to economic growth. The global financial crisis seems to have not affected the causality direction in the finance and growth nexus, thus supporting the finance led growth hypothesis in the long run in the case of Albania. In the finance-growth-trade openness nexus, we found evidence for a positive long run relationship the variables, with causality direction depending on the proxy used for financial development. When the pre-crisis sample is considered, we find evidence for causality running from financial development and trade openness to economic growth. The global financial crisis seems to have affected somewhat the causality direction in the finance-growth-trade nexus, which has become sensible to the proxy used for financial development. On the short run, empirical evidence suggests for a clear unidirectional relationship between finance and growth, with causality mostly running from economic growth to financial development. When we consider the per-crisis sub sample results are mixed, depending on the proxy used for financial development. The same results are confirmed when trade openness is taken into account.