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Kirriakopoulos, Konstantinos. "Optimal portfolios with constrained sensitivities in the interest rate market." Thesis, Imperial College London, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362717.
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Howard, Scott T. "Optimal Interest Rate for a Borrower with Estimated Default and Prepayment Risk." Diss., CLICK HERE for online access, 2008. http://contentdm.lib.byu.edu/ETD/image/etd2400.pdf.
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Gúth, Ondřej. "Is the European Monetary Union an optimal currency area? An empirical analysis of interest rate and inflation differentials across the Eurozone." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-201906.
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The economic crisis of 2008 had substantial impacts on the global economy. The European Monetary Union was affected as well, however, the economic impacts also stirred up political discussions concerning functioning of the European Union and its unity as divergence of economic means among the member countries intensified during the crisis. Inflation and real interest rate differentials have to substantial degree the ability to measure the divergence among the member countries of a monetary union. A number of empirical studies measuring the differentials in the Euro area were conducted since the start of the financial crisis in 2008. These studies show growing inflation and real interest rate differentials among the countries of the Euro area, argue that the European Monetary Union is becoming less stable and often question its future. This paper conducts similar empirical analysis; however, it differs from the above mentioned works of other authors by the larger time gap between the start of financial crisis and the time of conducting the analysis as it uses data until the year of 2013. This paper also contributes to current literature by the methodology it uses. The inflation and interest rate differentials in EMU are calculated by two methods and their results are subsequently compared, which has not been done before. The inflation and interest rate differentials are calculated for the USA as well in order to have an entity which can be considered as a hypothetical optimum currency area and to which the differentials of EMU could be compared. The results of the analysis in this paper will state whether the magnitude of inflation and interest rate differentials is too high and it will also either confirm the trend of divergence of inflation and real interest rates within the Euro area or show that this divergence is only a short-time period phenomenon of after-crisis years. As this is an important and very recent issue of European Monetary Union the results of this paper should form interesting contribution to current literature on this topic.
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Muller, Grant Envar. "Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks." University of the Western Cape, 2015. http://hdl.handle.net/11394/4755.
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Philosophiae Doctor - PhDIn this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.
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Panajotovová, Monika. "Stanovení optimálních parametrů úvěrů na realitním trhu a jejich praktické využití v budoucnu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-232554.
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This master´s thesis examines the development of real estate financing in relation to the credit crunch. Accordnig to main causes of fluctuations in history, comparing interest rates, mortgage loans, property development and investment in time, it models the evolution of optimal interest rates of real estate market. The loans’ optimal parameters with combination of types of bank financing in the real estate market with regard to its sustainable development as a separate and independent global market with strong inclusion among the other market sectors, are formed there. In this dissertation the analysis of financing methods will be used, comparative method of commercial banks‘ interest rate and analysis of commercial interest rates‘ structure. The result of the work we expect to be optimistic, realistic and pessimistic scenarios of futher development of real estate finance market and the model of the optimal interest rates‘ structure.
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Aragón, Edilean Kleber da Silva Bejarano. "Três ensaios sobre política monetária no Brasil : assimetrias nos efeitos reais de choques monetários, preferências do Banco Central e regras monetárias ótimas." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2008. http://hdl.handle.net/10183/14268.
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Esta tese é composta de três ensaios. No primeiro ensaio, nós examinamos se os efeitos reais das ações de política monetária no Brasil são assimétricos. Para isto, estimamos modelos Markov-switching que permitem que os choques monetários positivos e negativos afetem a taxa de crescimento do produto de forma assimétrica nos estados de expansão e recessão econômica. Os resultados obtidos mostram que: i) quando as ações de política monetária são mensuradas através das inovações ortogonalizadas para a taxa Selic em um modelo VAR, os efeitos reais de choques monetários negativos são maiores do que os de choques positivos no estado de expansão e os efeitos reais de choque negativos são maiores em expansão do que em recessão econômica; ii) quando a variação na taxa de juros Selic é tomada como medida de política monetária, nós constatamos também assimetrias entre os efeitos reais de variações positivas e negativas na taxa Selic durante a fase de recessão, e entre os efeitos reais de variações negativas na taxa Selic entre as fases do ciclo de negócios. No segundo ensaio, nós procuramos aperfeiçoar o entendimento da política monetária brasileira sob o regime de metas de inflação através da calibração das preferências do Banco Central. m específico, nós calibramos a função perda do policymaker escolhendo, de uma ampla classe de políticas alternativas, os valores dos parâmetros de preferência que minimizam o desvio entre a trajetória ótima e a trajetória verdadeira da taxa Selic. Nossos resultados mostram que o Banco Central tem adotado um regime de metas de inflação flexível e dado um maior peso à estabilização da inflação. Nós constatamos também que a preocupação da autoridade monetária com a suavização da taxa de juros tem sido maior do que com a estabilização do produto. O terceiro ensaio investiga a existência de possíveis assimetrias nos objetivos do Banco Central. Assumindo que a função perda é assimétrica em relação a desvios positivos e negativos do gap do produto e da taxa de inflação em relação à meta, nós estimamos uma função de reação não-linear que permite identificar e testar a significância estatística dos parâmetros de assimetrias nas preferências da autoridade monetária. Para o período de 2000-2007, os resultados indicaram que o Banco Central brasileiro apresentou uma preferência assimétrica a favor de uma inflação acima da meta. Visto que este comportamento pode ser decorrente das decisões de política em momentos de fortes crises (tais como as de 2001 e 2002), nós delimitamos a nossa amostra para o período de 2004-2007. Para este período, nós não encontramos evidências empíricas apontando para qualquer tipo de assimetria nas preferências sobre a estabilização da inflação e do gap do produto.This thesis is composed of three essays. In the first essay, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. Results show that: i) when monetary policy actions are measured by means of orthogonalized innovations for the Selic rate in a VAR model, the real effects of negative monetary shocks are larger than those of positive shocks in an expansion and the real effects of negative shocks are greater in an expansion than in a recession; ii) when the variation in the Selic rate is used to measure monetary policy, we also have asymmetries between the real effects of positive and negative variations in the Selic rate during a recession, and between the real effects of negative variations of the Selic rate between the states of the business cycle. In the second essay, we seek to further elucidate the Brazilian monetary policy under the inflation targeting regime by calibrating Central Bank preferences. More specifically, we calibrate the policymaker’s loss function by choosing the preference parameter values which minimize the deviation between the optimal and actual paths of the basic interest rate (Selic). Our results indicate that the Central Bank has adopted a flexible inflation target regime and placed some greater weight upon inflation stabilization. We also find out that the monetary authority’s concern with interest rate smoothing has been far deeper than with output stabilization. The third essay investigates the existence of possible asymmetries in the Central Bank of Brazil’s objectives. By assuming that the loss function is asymmetric with regard to positive and negative deviations of the output gap and of the inflation rate from its target, we estimated a nonlinear reaction function which allows identifying and checking the statistical significance of asymmetric parameters in the monetary authority’s preferences. For years 2000 to 2007, results indicate that the Central Bank of Brazil showed asymmetric preference over an above-target inflation rate. Given that this behavior may stem from policy decisions in periods of severe crises (e.g., in 2001 and in 2002), we restricted our sample to the 2004-2007 period. We did not find any empirical evidence of any type of asymmetry in the preferences over the stabilization of inflation and of the output gap for this period.
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Hörmann, Markus [Verfasser]. "Liquidity, interest rates and optimal monetary policy / Markus Hörmann." Dortmund : Universitätsbibliothek Technische Universität Dortmund, 2011. http://d-nb.info/1011568276/34.
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Kraft, Holger. "Optimal portfolios with stochastic interest rates and defaultable assets /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004103617-d.html.
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Strejc, Daniel. "Monetary policy and the ECB." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4174.
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The thesis evaluates the ECB's monetary policy during the past decade by using policy rules and compares the suitability to particular members of the Eurozone. It examines the central bank's reaction function regarding the output and inflation. The work is divided into two main parts. First, gives the theoretical introduction of monetary policy and evaluation of the Eurozone regarding the theory of optimal currency area. In the second part it provides the econometric models and estimates. As a conclusion the results of two different OLS models show that, we cannot precisely decide to which variable the ECB reacted, as obtained two statistically significant models but with different results. For two models is used different variables GDP gap and IPI gap. The results have also shown that the ECB's monetary policy mostly suits to biggest economies within the Eurozone.
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Holmberg, Andreas, and Christoffer Bengtsson. "Portugal and the European Monetary Union. : Investigating an alternative interest rate development using the Taylor Rule." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-17173.
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The objective of this study is to investigate how the development regarding the short-term nominal interest rate in Portugal would have differed from that set by the ECB 1999-2011 in a situation where they did not enter the European Monetary Union. To do this, we use the Taylor rule, which incorporates economic activities such as inflation and output and how these deviates from their target. Constructing the Taylor rule, we estimate its reaction functions using an Ordinary Least Square Regression on annual data from the period 1988-1998. The reaction functions serve as weights on the deviations for inflation and output. The result reached is that the interest rate set by the ECB since 1999 is far below that interest rate required by the Portuguese economic situation. Further, we discuss how the influence in the setting of the ECB interest rate differs considering the member countries size.
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Boukrami, Othmane. "Les effets de la diversification sur le risque de change non couvert par les marchés financiers : estimation de la rentabilité du portefeuille dans un système d'informatio optimal." Thesis, Lyon 3, 2011. http://www.theses.fr/2011LYO30024.
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Dans les conditions actuelles du marché, les entreprises dans les pays émergeants ont le choix entre une dette à court terme en monnaie locale et un financement à long terme en devise forte provenant de sources internationales pour financer leurs investissements à long terme. Ceci crée un gap de taux ou de change. Cette thèse se situe dans la continuité des travaux de recherche qui ont déjà étudié la question de la diversification des risques de change dans les marchés financiers matures. A la différence des approches existantes, cette recherche se concentre sur les monnaies des pays émergeants pour lesquels il n’existe pas ou peu d’instruments de couverture du risque de change et de taux. Le modèle proposé repose sur une conception fondamentalement différente des modèles de risque existants, cherchant à atténuer les risques internes grâce à la diversification du portefeuille, plutôt que par l’adéquation entre l'offre et la demande. Ceci en étudiant à la fois les corrélations entre les monnaies des pays des marchés émergeants constituées dans un portefeuille composé de monnaies des pays africains, asiatiques, sud-américains et d’Europe de l’Est ainsi que l’effet de la diversification sur la réduction du risque de marché. Le choix des monnaies n’a pas une incidence significative sur les résultats du moment que les limites régionales proposées sont respectées. L’objectif principal de cette thèse est de contribuer à la spécification et à l’identification d’un modèle de diversification des risques tout en démontrant que la constitution d’un portefeuille diversifié et non couvert des produits dérivés de change sur les monnaies des marchés émergents est une activité lucrative à long terme. En s’appuyant sur un Système d’Information performant, le model proposé tente de démontrer l’effet qu’auraient de tels produits de couverture sur la réduction du risque de crédit de l’emprunteur et par conséquent celui des bailleurs de fonds. Afin d’atteindre cet objectif, les différents risques liés à ces activités ont été définis tout en choisissant les méthodes pour une gestion efficace de ces risques ainsi que la modélisation d’expositions hypothétiques créées par cette activité. L’impact de la réduction de l’exposition au risque de marché par l’usage des produits de couverture du risque de change et de taux, sur le risque de crédit des entreprises dans les pays émergeants a aussi été modélisé. Les résultats de la simulation proposée montrent qu’une gestion optimale des risques de changes et de taux générés, à travers l’offre de couvertures sur les monnaies des pays émergeants, peut être une activité lucrative pour les banques car l’atténuation des risques peut se faire en diversifiant efficacement le portefeuilleIn current market conditions, companies in emerging markets have the choice between a short-term debt in local currency and a long-term hard currency financing from international sources to finance their long-term investments. This practice would create either an interest rate gap or a currency gap. As an extent of previous researches and studies covering the question of currency risks diversification in mature financial markets, this thesis is quite distinctive from the existing literature as it focuses on emerging market currencies for which there are little or no hedging options of currency and interest rate risks. The proposed model is based on a fundamentally different approach from existing risk models, seeking to mitigate risks internally through portfolio diversification, rather than by matching supply and demand. This, by analyzing both correlations between emerging market currencies in a portfolio composed of African, Asian, South American and Eastern Europe currencies and the effect of diversification on market risk reduction. The main objective of this thesis is to contribute to the specification and the identification of a risk diversification model while demonstrating that the establishment of a diversified portfolio of emerging market currencies not covered by the commercial banks is a lucrative business over the long-term. With an efficient information system, the proposed model attempts to demonstrate the effect that such hedging products would have on reducing the credit risk of borrowers and hence the lenders. To achieve this aim, the different risks associated with these activities have been identified while choosing the methods for their effective management as well as the modeling of hypothetical exposures created by this activity. The impact of reducing market risk exposure through the usage of interest rate and currency hedging products on the credit risk rating of companies in emerging countries has also been modeled. The current research claims that the choice of currencies does not significantly impact the results as long as the proposed regional limits are respected. The simulation’ results show that managing a diversified currency portfolio under an optimal risk management guidelines can be a lucrative business for banks as the risk mitigation can be effectively done through portfolio diversification
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Engler, Tina [Verfasser], Wilfried [Akademischer Betreuer] Grecksch, and Ralf [Akademischer Betreuer] Wunderlich. "Worst-case optimal investment and consumption : a study with stochastic interest rates / Tina Engler. Betreuer: Wilfried Grecksch ; Ralf Wunderlich." Halle, Saale : Universitäts- und Landesbibliothek Sachsen-Anhalt, 2015. http://d-nb.info/1078017387/34.
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Diallo, Ibrahima. "Some topics in mathematical finance: Asian basket option pricing, Optimal investment strategies." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210165.
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This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates.In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151–168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3–33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55–57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51–90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1–52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity
In Chapter 3, we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of Curran M. (1994) [Valuing Asian and portfolio by conditioning on the geometric mean price”, Management science, 40, 1705-1711] and of Deelstra G. Liinev J. and Vanmaele M. (2004) [Pricing of arithmetic basket options by conditioning”, Insurance: Mathematics & Economics] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but also with a log-extended-skew-normal random variable. We also improve the bounds of Deelstra G. Diallo I. and Vanmaele M. (2008). [Bounds for Asian basket options”, Journal of Computational and Applied Mathematics, 218, 215-228]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and
time-to-maturity.
In Chapter 4, we use the stochastic dynamic programming approach in order to extend
Brennan and Xia’s unconstrained optimal portfolio strategies by investigating the case in which interest rates and inflation rates follow affine dynamics which combine the model of Cox et al. (1985) [A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-408] and the model of Vasicek (1977) [An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188]. We first derive the nominal price of a zero coupon bond by using the evolution PDE which can be solved by reducing the problem to the solution of three ordinary differential equations (ODE). To solve the corresponding control problems we apply a verification theorem without the usual Lipschitz assumption given in Korn R. and Kraft H.(2001)[A Stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4), 1250-1269] or Kraft(2004)[Optimal Portfolio with Stochastic Interest Rates and Defaultable Assets, Springer, Berlin].
Doctorat en Sciences
info:eu-repo/semantics/nonPublished
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Adolph, Marc-Patrick [Verfasser], Christian [Akademischer Betreuer] Bauer, Matthias [Akademischer Betreuer] Neuenkirch, Christian [Gutachter] Bauer, and Matthias [Gutachter] Neuenkirch. "Structured Eurobonds - Optimal Construction, Impact on the Euro and the Influence of Interest Rates / Marc-Patrick Adolph ; Gutachter: Christian Bauer, Matthias Neuenkirch ; Christian Bauer, Matthias Neuenkirch." Trier : Universität Trier, 2020. http://d-nb.info/1215904967/34.
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Wallberg, Martin, and David La. "Optimal kapitalstruktur : En undersökning tillämpad på skandinaviska och tyska företag." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-156767.
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This paper describes and develops a trade off model of optimal capital structure by Bradley et al. (1984). The model is then tested to examine how changes in corporate tax rates affect the optimal capital structure of firms. Based on theoretical implications of the model, four hypotheses are derived stating that firms’ optimal debt-to-value ratio is (1) negatively related to financial distress costs, (2) negatively related to non-debt tax shields, (3) negatively related to firm volatility and (4) positively related to the corporate tax rate. Based on the results of two regression models applied on 753 Scandinavian and German firms, we find empirical support for hypothesis 1 and 3 while we find no empirical support for hypothesis 2 and 4. These results can be explained by problematic empirical proxies and in the light of the pecking-order theory.
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Caetano, Sidney Martins. "Ensaios sobre política monetária e fiscal no Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12461.
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Esta tese apresenta três ensaios sobre política monetária e fiscal dentro do atual regime de metas de inflação. O primeiro ensaio buscou estudar uma possível integração monetária-fiscal ao determinar uma regra ótima de política monetária com restrição fiscal, analisando os efeitos de diversas preferências sobre a regra ótima em função da alteração dos pesos dados para os desvios da razão superávit primário/PIB em relação à sua meta pré-estabelecida. Os resultados mostraram que a regra ótima obtida apresenta uma resposta negativa das taxas de juros aos choques na relação dívida/PIB. Ainda, superávits primários/PIB maiores permitiriam reduções maiores nas taxas de juros e proporcionais aos pesos que essa variávelobjetivo teria na função de perda social. Do ponto de vista tradicional do mecanismo de transmissão da política monetária, a resposta positiva das taxas de juros a uma desvalorização real do câmbio e a uma elevação do prêmio de risco seria mantida. Portanto, os resultados sugerem que a adoção de uma meta explícita para o superávit primário/PIB tem conseqüências positivas sobre a regra ótima de política monetária e para a redução da taxa de juros, bem como na eficiência do atual instrumento de política monetária. O segundo ensaio buscou analisar a relação risco default através do modelo de regressão beta, bem como os impactos que os superávits primários podem trazer sobre o prêmio de risco e, consequentemente, sobre o câmbio. Do ponto de vista da relação default risk, ancorada no modelo de Blanchard (2004/2005), as estimativas baseadas no modelo de regressão beta para as quatro relações propostas neste ensaio apresentaram sinais estatisticamente significativos e compatíveis com a teoria. O fato interessante nos resultados referente ao período do regime de metas de inflação é que as estimativas indicaram uma relação direta e forte entre o superávit primário/PIB e a probabilidade de default; evidências que destacam a importância dos efeitos indiretos que o superávit pode gerar sobre o juro doméstico. O terceiro ensaio analisou a dinâmica discreta da taxa de juros SELIC-meta definida nas reuniões do Comitê de Política Monetária (COPOM). Dois métodos foram utilizados para estudar a possibilidade de o COPOM reduzir/manter/aumentar a taxa de juros básica: probit binomial e probit multinomial. Os resultados mostraram que os desvios de inflação e o hiato do produto são variáveis relevantes para explicar as decisões do COPOM. O modelo probit binomial aplicado para os casos de aumento e redução da taxa SELIC-meta mostraram que a inclusão da variável fiscal gerou melhores resultados. Para o caso agregado, método probit multinomial, os resultados indicaram que a inclusão da variável fiscal combinada com a expectativa de inflação gerou os melhores resultados relativamente aos demais casos. Assim, a resposta do COPOM a resultados fiscais bem como às expectativas do mercado quanto à inflação demonstraram ser os sinais que devem ser observados pelo mercado.This thesis presents three essays on monetary and fiscal policy of the current regimen of inflation targeting. The first essay searched to study an integration monetary-fiscal when determining an optimal rule of monetary policy with fiscal restriction, analyzing the effect of diverse preferences on the optimal rule in function of the alteration of the weights given for the deviations of the surplus primary as a fraction of GDP in relation to its established targets. The results show that the gotten optimal rule presents a negative reply of the interest rates to the shocks in the debtto- GDP ratio. Primary surplus still bigger would allow bigger reductions in the interest rates and proportional to the weights that this variable-objective would have in the function of social loss. Of the traditional point of view of the mechanism of transmission of the monetary policy, the positive reply of the interest rates to a real depreciation of the exchange and to a rise of the risk premium it would be kept. Therefore, the results suggest that the adoption of explicit targets for the primary surplus in percentage of the GDP has positive consequences on the optimal rule of monetary policy and for the reduction of the interest rates, as well as in the efficiency of the current instrument of monetary policy. The second essay searched to analyze the relation default risk through of the beta regression model, as well as the impacts that primary surplus can bring on the risk premium and, consequently, on the exchange rate. Of the point of view of the relation default risk, anchored in the model of Blanchard (2004/2005), the estimates based on the beta regression model for the four relations proposals in the study had presented significant and compatible signals with the theory. The interesting fact in the results referring to the period of the regimen of inflation targeting is that the estimates had indicated a negative and strong relation between the primary surplus/GDP and the probability of default, evidences that detaching the importance of the positive and indirect impact of the surplus in relation to the interests rate domestic. The third analyzes the discrete dynamics of the SELIC interest rates-target defined in the meetings of the Brazilian Monetary Policy Council (COPOM). Two methods were applied in order to study the possibility of COPOM to reduce/maintain/increase the interest rates: probit model and multinomial probit. It was verified that the deviations of inflation and the GDP gap must be considered importants variables to explain the COPOM’s decisions. The probit model was applied to the cases of the increases probabilies and reduces probabilities showing that the inclusion of a fiscal variable generates better results. To the aggregated case, multinominal probit method, the results indicates that the inclusion of a fiscal variables combined with the inflation expectations generates better results than other possibilities. So, the responses of COPOM to the fiscal results as well as inflation expectations were the reals signs to be considered for the market.
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CHIU, HSIAO-CHING, and 邱筱晴. "Foreign Interest Rate、Currency Crisis and Optimal Monetary Policy." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/62041066008421222685.
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Yen, Lin Ming, and 林明彥. "Pricing the Interest Rate Derivatives Under the Optimal Yield Curves." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/48027914054351864483.
Full textAbstract:
碩士國立彰化師範大學
商業教育學系
91
This study has a discussion on the process of using the Hull & White interest rate trinomial tree to price the interest rate derivatives. This study includes the choice of interest rate models, the construction of interest rate models, the analysis of B-spline function , the fitting of Taiwanese Government Bonds yield curves, and the fitting of IRS yield curves. Finally , it shows a process of pricing interest rate derivatives. The main purpose of this study presented as following: 1. Constructing the interest rate models in this study on the basis of interest rate trinomial tree provided by Hull & White(2000). 2. Fitting the yield curves , which is the input of Hull & White interest rate model to price interest rate derivatives. The findings of this study are as following : 1. The side of fitting yield curves: it begins with using traditional B-spline function and Powell B-spline function to fit Taiwanese Government Bonds yield curves, respectively . 2. Hull & White(2000) interest rate model is implemented by using a tree method . Furthermore, interest rate swaptions are evaluated.Using the forward induction method provided by Jamshidiam(1991) and the Arrow-Debreu security price to calibrate the interest rate tree and construct the Arrow-Debreu price tree. Next, pricing the interest rate swaptions.
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Lee, Lu-Han, and 李如翰. "The Optimal Option Trading Strategies under Different Volatilities and Interest Rate." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/34144811827133516897.
Full textAbstract:
碩士國立高雄應用科技大學
商務經營研究所
97
Within the past research in the field of finance, volatility has always been a significant subject of discussion. The application of volatility concepts to design option trading strategies has been actively explored. Investors should have certain understanding in volatility as to select their proper trading strategy, their long or short position, and their timing of trade. It is known that option investors utilize volatility as a trading indicator and combine it with trading strategies to maximize trading profits. This thesis starts of with a basic introduction of option trading strategies. We then perform a Monte Carlo simulation to produce simulated stock prices and input them into the Black-Scholes formula to calculate the the oretical profit outcomes of different stock option trading strategies. While varying stock return volatility and interest rates, we investigate the strategies that produce the maximum profits, and finally analyze and discuss the results. We find that after 10,000 simulations, the average rate of return of “Straddles” and “Strangles” are positive, and “Short Straddles” show a higher rate of return when volatility is low. For “Spreads,” the outcomes are dubious. Simulations also show that “Straddles” and “Strangles” are more sensitive to volatility, whereas “Spreads” are less sensitive to volatility. We conclude that regardless of the value of volatility, “Short Straddles” should be applied since return outcomes are better than “Short Strangles” strategies. When interest rates are low, “Short Straddles” also produce higher returns.
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YAN, JING-LING, and 顏靖玲. "The Model of Optimal Housing Price: Interest Rate and Credit Constraint." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/57501100030763920035.
Full textAbstract:
碩士國立高雄第一科技大學
金融系碩士班
105
Most of us would accept that housing price has dramatically soared over the past decades. While the relationship between interest rate and housing price has been extensively investigated, there is relatively little discussion on optimal housing price. Therefore, the purpose of this article attempts to explore how interest rate and credit constraint changes are related to optimal housing prices. Via Campbell and Cocco’s theoretical model of rational utility-maximizing household to simulate difference credit conditions and control for baseline parameters, the result shows that market interest rate is negatively correlated with optimal housing prices. In addition, this study investigates different levels of household income and housing growth rate, showing a positive correlation. The better performance under borrowers’ credit constraints seems to be eligible for a lower mortgage rate and affords a higher optimal housing price. In conclusion, we hope that the clear demonstrates may provide the banking financial advisors a guideline for their customers’ decision on their home purchase.
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Chang, Jong-guang, and 張中光. "Strategic Research on Optimal Futures Hedge in Considering Structures of Exchange Rate and Stochastic Interest Rates." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/05073746342664229814.
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Chang, Jui-Luan, and 張瑞欒. "The Optimal Interest Rate Transmission of Monetary Policy -An Empirical Study of Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/98912537171851987359.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
95
In the early stage the goal of CBC operations is to control reserve currency. Because every country decreases the deposit reserve rate and the depth of direct finance is getting more popular, CBC is losing the power to dominate monetary change. When the effect of pricing is completely workable, the interest rate becomes CBC’s favorable tool in each country. That is, the channel of transmission in interest rate plays a key role in monetary policy. In this paper, there are three hypotheses, including analysis of correlation, Granger causal relationship test, and analysis of regression, to explore whether our CBC can help lead target achievement by the policy rate. Thus, this research is aimed to analyze the influence of monetary policy operations on finance and real sector based on the structure of the traditional monetary policy. In addition, we can use impulse response function and forecast error variance decomposition to know the impact on macroeconomy finance and the variance relation when the policy rate changes. This period of the study is by monthly data basis from Mar 1996 to Feb 2006. The results of the study are summarized as follows: 1、Depending on the interbank call-loan rates and excess reserve, CBC conducts open market operations. However, our financial markets can efficiently respond to the changes in CBC’s operation policies in time. Therefore CBC could change operative targets from controlling quantities to controlling prices. 2、Although all sorts of interest rates and CBC’s policy trends are said nearly unanimous, 10-year government bond yield is affected by more complex consideration factors. So CBC does not only control its yields. 3、In the future when CBC wants to regard interest rate as operating target, change in interbank call-loan rates and change on the average lending rate of the five major domestic banks represent the best short- and long-term interest rate separately in interest rate transmission mechanism of monetary policy. 4、Interbank call-loan rates affect the average lending rate of the five major domestic banks quickly and significantly. However, the relationship between the average lending rate of the five major domestic banks and stock market is insignificant, which means there is no causality between them. By means of real GDP channel, CBC’s policy intention could transfer to CPI and stock market to ensure whole transmission completely. 5、CBC adjusts interbank call-loan rates soon affect not only market or banks rates but also real GDP, CPI, and stock market. But the reaction period of various variables is not long. Therefore, the CBC has to continually conduct the above policy so that the effect can last.
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Carvalho, Alexandre Augusto Zacarias de. "Differences in natural interest rates in the Eurozone." Master's thesis, 2018. http://hdl.handle.net/10362/32470.
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Differences in the natural interest rates across the countries of the Eurozone implies that the monetary policy may not be optimal for each member state individually. This research uses the model developed by Laubach and Williams (2003, 2016) to estimate the natural interest rate for each country of the Eurozone-12. With these estimates I compute the natural interest rate for the Eurozone as a weighted average of the natural rates of each country. The results show that the differences in the natural rate across the Eurozone are higher in periods of asymmetric shocks. Most of the countries also present a large difference between their rates and the Eurozone natural rate. All these estimates are associated to a high degree of uncertainty
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Chi, Jan Tsung, and 詹宗錡. "The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/66075353608070985555.
Full textAbstract:
碩士亞洲大學
經營管理研究所
94
The purpose of this research is to estimate optimal hedge ratio and compare hedge performance by using Naive model , OLS model and VECM model . The data include Taiwan 30-Day Commercial Paper Futures and Taiwan 10-Day , 90-Day , 180-Day Commercial Paper . The major results are as follows： 1. By using unit roots testing of all data , we find that the significance of unit roots and the nonstationarity of the price series . Hence , price series should be differenced to induce stationary . 2. The result of cointegration test has shown that there is a long-run equilibrium relationships between spot and futures prices . Consequently , a cointegration measure can be taken into account in the hedge model . 3. We find the same result in detecting the effects of in-of sample periods and out-of sample periods . The OLS model performs more well than all other hedge models for Taiwan 30-Day Commercial Paper Futures , and the VECM model is the second best . The results also has indicated that the VECM model can not improve the hedge performance . The portfolio including Taiwan 30-Day Commercial Paper Futures and Taiean 90-Day Commercial Paper can make the best hedge performance.
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Neumann, Christian. "Time and cross-sectional differences in the tail behavior of Euro interest rate future returns." Master's thesis, 2017. http://hdl.handle.net/10362/26209.
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As response to the financial crisis in 2007/08 and the European sovereign debt crisis, the
ECB started to conduct expansionary monetary policy on an unprecedented scale. In this
paper I investigate the development of tail risks in the euro interest rate market since the
implementation of this unconventional monetary policy. The focus of the study is on futures
on German government bonds, namely the Bund, Bobl and Schatz, which are among the most
relevant securities in this market. The analysis covers three aspects. First, I investigate if
the daily returns of the futures exhibit fat tails over the period from 1999 to 2016 and if
there are differences among these securities with respect to tail risk, as measured by the tail
index. Second, I analyze if the tail risks are non-constant over the considered time period.
Third, I study if the tail index contains information beyond the conventional risk measure
volatility and its implications for value-at-risk considerations. Anticipating the results, this
paper presents significant evidence for fat tails in the return distribution of the Bund, Bobl
and Schatz future. In contrast to expectations, the results indicate the highest tail risk for
the short-term Schatz future and the lowest for the long-term Bund future. Differences in
market liquidity might be a reason for this. Furthermore, I find comprehensive evidence for
an increase in right tail risk for all three futures around 2008. This increase is most significant
for the long-term Bund future. Surprisingly, evidence for a decrease in left tail risk is found,
although with lower significance. Additionally, the analysis reveals that tail index contains
information, which is not captured by volatility. Thus, the results suggest that the accuracy
of value-at-risk estimates for different long and short positions can be improved by taking into
account the tail index explicitly in the estimation process.
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Sun, Yu Hui, and 孫玉蕙. "The Optimal Overseas Interest Rate Hedging under Floating Exchan- ge rates -- An Empirical Analysis on U. S. T-bills Futures & Tai- wan USD Forward Contract." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/29265426758571121758.
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Tsai, Shu-Jung, and 蔡淑蓉. "Interest Rates and the Optimal Theory of Dividend Smoothing." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/rs5mzk.
Full textAbstract:
碩士國立暨南國際大學
經濟學系
91
This thesis is based on the viewpoint of intertemporal substitution of dividend smoothing ,we employ the present value model to investigate the effects of a firm''s expected stream of future net earnings growth under variable interest rates on changes of retained earnings or on the smoothing component of cash dividend policy. We apply the theoretical model of intertemporal approach to the current account and its empirical methododlogy ,originally developed by Campbell (1987) and Campbell and Shiller ,to establish a dividend-smoothing model .In general ,the intertemporal model assumes that interest rate fixed over-time .We release this assumption ,and allow for variable interest rates .Our purpose then is to see if the extendend model under variable interest rates will make a better prediction on firm''s retained earnings than the original fixed-interest-rate model does. The derivation of the log-linear intertemporal budget constraint and empirical VAR estimation follow the log-linearization technique and first-order Taylor expansion .This thesis uses the empirical data from seven firms out of the S&P 500 ,to investigate the relationship between the smoothing component of the cash dividend and firm''s expected stream of future net earnings growth under variable interest rates . According to our empirical findings and to the viewpoint of dividend-smoothing ,our extendend model that allows for variable interest rates does enhance the prediction of the path and volatility of the firms'' retained earnings.
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Shin, Min Huang, and 黃世閔. "Optimal Dividend under Variable Interest Rates: a Panel VAR Analysis." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/e2s56b.
Full textAbstract:
碩士國立暨南國際大學
經濟學系
92
This thesis extends the idea of consumption smoothing into firm’s dividend policy, which means the firm’s manager could control its cash dividend as a buffer, when he faces the uncertainties of the future net earnings and interest rates. Under the assumptions of rational expectation and no moral hazard, we show that the firm’s dividend payout ratio, theoretically, positively correlates with the changes of expected future net earnings, and negatively correlates with the manager’s expectation about future interest rates. Furthermore, in order to investigate if there exists a common pattern of dividend policy in the same industry, we utilize the fixed effect Panel VAR to explore the relationship among the firm’s dividend payout ratio, future net earning and interest rate. We could also predict the log of dividend payout ratios under PVAR estimation model and traditional individual VAR model, respectively, and make comparison under these two estimations. The empirical study focuses on ten American financial firms over the period 1998Q1~2003Q3. With variable interest rates, we investigate a firm’s dividend policy. According to our empirical results, there exists not only obvious individual effects but also consist inferences about the theoretical prediction that the dividend payout ratio, indeed, positively correlates with changes of expected future net earnings, however there is no evidence between this ratio and the interest rate. Eventually, we conclude that PVAR estimation outperforms the traditional individual VAR estimation
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Dlamini, Lefu Jonase. "Forecasting emerging markets interest rates using optimal time-varying financial conditions index." Thesis, 2018. https://hdl.handle.net/10539/26250.
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A research report submitted to the Faculty of Commerce, Law and Management, in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment, University of the Witwatersrand, Johannesburg, 2018This paper aims to optimise the financial conditions index (FCI) indicator that best describes the monetary policy interest rate setting behaviour of twelve emerging market central banks. This is achieved by analysing and looking at the background of modelling interest rates and forecasting interest rate setting behaviour from various regions globally. Following the credit crisis of 2008, the conventional wisdom and foundations that prevailed before were profoundly shaken. Particularly the conduct and behaviour of central banks in response to financial conditions assumed centre stage. Consequently, there has been a consensus among economists and policymakers on the importance of financial conditions, and the influence thereof, on the interest rate setting. However, in order for central banks to achieve their financial stability objectives, they need to construct an optimal indicator that best describes financial conditions. To construct such an optimal indicator, this paper firstly investigates whether the central banks of emerging markets follow the Taylor rule in setting their interest rates. Secondly, it investigates whether the FCI with optimal time-varying weights better describes interest rate movements in emerging markets, when incorporated in the Taylor rule. Lastly, it evaluates interest rate predictability by comparing various models that include non-optimized FCIs. The paper finds that the majority of emerging countries follow the Taylor rule. It also finds that most emerging markets take into account the information contained in FCIs and the majority of these countries, optimize the variables that enter the FCIs. When evaluating the forecasting accuracy of these models, the paper finds that the optimized model ranks superior in most countries in terms of forecasting accuracy. The optimization and allocation of the variables that enter the optimized FCI happen in a similar manner that was proposed by Markowitz in portfolio allocation theory.
GR2019
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Carlo, Pietro Scotto Di. "How can airlines optimally hedge fuel price risk? [EDP Energias de Portugal, S.A. – hedging in multinationals: focus on FX and IR risks]." Master's thesis, 2020. http://hdl.handle.net/10362/115199.
Full textAbstract:
This paper is divided in two main parts. The first describes the main aspects of the business project carried on with EDP throughout the semester, namely the benefit of managing interest rate and foreign exchange risks simultaneously. The second explores the complexity of insulating fuel price risk from the airlines point of view, showing that rising fuel costs do not necessarily imply lower cash flows and, thus, hedging by locking in the cost of future fuel purchases is not optimal. In fact, moves in oil prices depends on supply and demand shocks which differently impact airlines’ operations.