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Dissertations / Theses on the topic 'Treasury Bond'

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Published: 4 June 2021

Last updated: 26 July 2025

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1

Freixa, Carlos Miguel Silva. "Treasury bond returns and U.S. political cycles." Master's thesis, NSBE - UNL, 2009. http://hdl.handle.net/10362/9478.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>This work-project complements the existing studies on the linkage between financial investments returns and the political cycles, by relating Treasury bond returns and Presidential cycles. Previous research shows that stock market tends to behave better during Democratic presidencies, and in this work it is shown a compatible result, with long-term Treasury bonds having higher absolute, and excess returns during Republican Administrati

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2

Karimi, Niousha, and Isac Lago. "Green Bond’s co-movement with the treasury bond, corporate bond, stock, and carbon markets during an economic recession." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52683.

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Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. Purpose: This study aims to use the economic contraction catalyzed by the 2020’s Covid-19 pandemic as a means to investigate the co-movements between the GB and the treasury bond, corporate bond, stock, and carbon markets during an economic r

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3

Sigaux, Jean-David. "Essays on Sovereign Bond Markets." Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLH005/document.

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Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui condu

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4

Sugiyarto, Wawan. "An analysis of the performance of the Indonesian treasuries market." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/206023/1/Wawan_Sugiyarto_Thesis.pdf.

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This thesis examines the performance of the discriminatory-price auction relative to the uniform-price auction in the Indonesian treasuries’ market. Employing a counterfactual analysis, it derives optimal bidding conditions for both auction methods. For a large sample of Islamic (Sukuk) and conventional treasury bill auctions between 2003 and 2017, the results show that switching from a discriminatory-price auction to a uniform-price auction is expected to improve both auction revenue and efficiency. These benefits are especially pronounced during times of high market uncertainty, but decline

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Grill, Tomas, and Håkan Östberg. "A Financial Optimization Approach to Quantitative Analysis of Long Term Government Debt Management in Sweden." Thesis, Linköping University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2223.

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<p>The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. The debt management problem is to choose currency composition and maturity profile - a problem made difficult because of the many stochastic factors involved. </p><p>The SNDO has created a simulation model to quantitatively analyze different aspects of this problem by evaluating a set of static strategies in a great number of simulated futures. This approach has

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Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generall

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7

Scalia, Antonio. "Market microstructure and information : an empirical analysis of trading on Italian treasury bonds." Thesis, London Business School (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.244127.

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8

Juhászová, Jana. "Statistical Arbitrage in Algorithmic Trading of US Bonds." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359481.

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This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algor

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9

Tiozzo, Pezzoli Luca. "Specification analysis of interest rates factors : an international perspective." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00999298.

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The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solve

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10

Kunc, Vojtěch. "Státní dluh ČR, jeho financování a srovnání s vybranými státy." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-10507.

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This thesis deals with debt management carried out in the Czech Republic. Financial instruments (treasury bills, treasury bonds) which are used to manage state debt are described. Analysis for the Czech Republic encompasses period between years 1993 and 2008. It also contains comparison of debt management with selected OECD countries.

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Novák, Alexander. "Financování schodku státního rozpočtu prostřednictvím emise dluhopisů." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4596.

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This diploma thesis surveys debt instruments used in OECD and European Union member countries for financing central government deficits and the techniques of selling government bonds. The volume and structure of the central government deficit and debt in the Czech Republic as well as organization of debt management office are subjected to a detailed analysis. Debt management accomplishments are confronted with the set out strategy and its objectives. The thesis also consists of the characteristics of securities in use (treasury bills, medium-term and long-term government bonds) as well as of l

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12

Harmon, Jacob. "Effects of inflation and interest rates on land pricing." Thesis, Kansas State University, 2011. http://hdl.handle.net/2097/9256.

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Master of Agribusiness<br>Department of Agricultural Economics<br>Allen M. Featherstone<br>Land is typically the highest value category of assets that farmers and ranchers have on their balance sheets. The value of land is affected by inflation. Understanding the effect of inflation on the land market helps farmers make better land pricing decisions and better asset management decisions. Using Treasury Bills and Farm Credit Bonds, future inflation expectations and agricultural risk premiums can be estimated. With the recent government stimulation of the economy and the resulting large amou

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Lazar, Stefan-Alexandru. "Quantitative Easing and its impact on wealth inequality." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264417.

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The aim of this thesis is to show how the unconventional monetary policy rounds of Quantitative Easing introduced in the United States between 2008 and 2014 have led to an increase in wealth inequality. The need for the thesis arises due to the uncharted nature of QE and because of more and more information is surfacing to light which points to this connection. By analysing the distribution of these funds and adding it to the then base distribution of money supply, this study was able to determine a significant 10 % increase in the Gini Index. Furthermore it highlights how a large portion of w

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Gubareva, Mariya. "Flight-to-Quality phenomenon as a source of financial instability." Doctoral thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/5108.

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Doutoramento em Economia<br>A general theoretical framework is proposed to analyse Flight-to-Quality events, defined as a mass investment migration from risky to safe assets. The model consists of only two asset classes, risky and safe. The framework is applied to Flights-to-Quality from emerging market public debt to U.S. treasuries, in the period 1998-2010. An alarm signal system is designed to warn of upcoming Flights-to-Quality and their terminations, and is applied: (i) to delimiting hypothetical Flights-to-Quality on an ex-ante basis, which are compared with historically observed episod

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Ke, Wen-Xuan, and 柯文選. "The Efficiency Study in Taiwan Treasury Bond Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/73788695595823646425.

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碩士<br>國立中正大學<br>財務金融研究所<br>99<br>Efficient markets hypothesis was proposed by Fama in 1970.The phenomenon of overreaction or underreaction is caused by investor’s irrational behavior when facing information. The representation of prior research in this area are the overreaction hypothesis that was proposed by De Bondt and Thaler in 1985 and the underreaction hypothesis advanced by Jegadeesh and Titman in 1993. The purpose of this paper is to ascertain whether there is information leakage ahead of central bank’s announcement of rediscount rate adjustments and whether Treasury bond price reactio

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Rodrigues, Andrea Sofia Meireles. "The quality option for treasury inflation-linked bond futures." Master's thesis, 2009. http://hdl.handle.net/10451/3956.

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Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2009<br>Em Janeiro de 1997, o Tesouro norte-americano introduziu o seu programa de Treasury Inflation-Protected Securities (TIPS). Tal como o seu nome indica, estas obrigações estão indexadas `a inflação na medida em que os seus cupões são constantemente ajustados através de um índice de preços. Deste modo, ao proporcionarem uma exposição consideravelmente mais reduzida a variações inesperadas do nível de preços, estas obrigações permitem reduzir os riscos associados a taxas de inflação variáveis, oferecend

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Lin, I.-YIN, and 林怡瑩. "Analysis of Term Premium on Bond''s Yield Spread--Taiwan Treasury Bond''s Example." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/69559959176511415036.

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碩士<br>銘傳大學<br>金融研究所<br>88<br>This article is to estimate the term premiums between the long-term bonds and short-term bonds in our treasury market, and to find out the factors that affect the term premiums. The result shows that there exist obvious term premiums in our treasury market and are affected by liquidity, inventory''s change, monetary policy''s change, and so on.

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Chien, Chia-Ying, and 簡嘉瑛. "The Correlations between Business Cycle and U.S. Treasury Bond Yields." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/28812304830803183851.

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碩士<br>國立中央大學<br>財務金融研究所<br>97<br>Some financial analysts emphasize the connections between macroeconomy and bond yields when they are making the strategic decisions about bond investments. This paper explores the relations between the term to maturities and the yields, and incorporates macro variables to predict Treasury bond yields of different maturities. This paper follows the work of Vereda et al. (2007) and explores the relations between US-Treasury bond yields and economic leading indicators. VAR models and Granger Causality Test are used to analyze the mutual influences among Treasury b

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19

Antunes, Vera Cristina Vaz. "Quality and timing option value in US treasury bond futures markets." Master's thesis, 2010. http://hdl.handle.net/10071/3957.

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This dissertation describes a quasi-analytical solution to price bond futures with delivery options in the context of stochastic interest rates, assuming that the dynamic of interest rates is described under the Heath-Jarrow-Morton specification.The initial structure of interest rates is specified by a consistent family with the proposed model. It also provides an analytical solution for an estimator for the embedded quality and timing option for treasury bond futures. Under these assumptions, a set of CBOT treasury bond futures are priced and an estimate of quality and timing options ar

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Chih-Kuang, Lin, and 林致光. "The relationship between the delivery options and treasury-bond futures hedge ratios." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/88753815523419696913.

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Cardozo, Pamela. "Bidders’ Behaviour and Theory of Share Auctions with Applications to the Colombian Primary Bond Market." Thesis, 2010. http://hdl.handle.net/1974/5391.

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Although most governments sell their bonds through a share auction, little is known about behaviour of bidders in these auctions. This thesis analyzes the literature on government securities auctions, focusing primarily on structural empirical estimation. Additionally, it examines bidders behaviour in Colombian government bond auctions during 2007, including the additional sale done after the auction. The thesis summarizes the different structural methodologies that have been developed to determine what the best auction for a particular case is. It discusses the advantages and disadvantages o

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JU, CHIEN LI, and 簡理汝. "Influences of Institutional Investor’s Holding and Trading on Taiwan Treasury Bond Market Liquidity." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/02244656646237963135.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>This article is intended to explore the correlation between Taiwan's government bond liquidity and financial institutional investors’ holdings. The research period was ten years from January 2001 to February 2010. The analysis applies time-series models to conduct data analysis by using ADF uni-root test. This article conducted multiple regression analysis with Eviews. To measure liquidity we rely on the data of trading amount and turnover collected from the market. First , we consider the industry of Chunghwa Post Co, banking, securities firms and bill finance com

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Ma, Yung-Chien, and 馬永健. "The development of China''s treasury bond market & potential entering strategy for foreign securities companies." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/11642892721369713773.

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碩士<br>輔仁大學<br>金融研究所<br>91<br>While the move on the three major world-wide economic systems, namely Europe, USA and Japan, are faltering, Chinese economic performance is contrary to the global economic performance. Its economic growth rate measured up to 8% in 2002. Following the development in economy, the capital market scale will consequentially develop and get deepgoing relatively. Given this, a turning point for the future investment in Chinese capital market appears to be faintly visible. The movement to treat the treasury bond market as a market where the Government controls the econ

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Bai, Yu-Shuang, and 白玉霜. "The Relation Between Liquidity Risk and Credit Risk on the Treasury Yield and Corporate Bond Yield Spread." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/82133468829683572685.

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碩士<br>元智大學<br>管理研究所<br>90<br>Abstract General speaking, yield spread on fixed-income securities is in terms of three major characters:(i) the default risk that the firm can’t pay or pays off less than promised pa- yment, i.e., credit risk ;(ii) bond price is sensitive to interest rate change, i.e., interest rate risk ; and (iii) the risk that the holder will be unable to sell the instrument, i.e., li- quidity risk. Therefore, we are interesting in the relation between liquidity and credit risk on yield spread of treasury and corporate bond, after controlling interest rate risk.

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Silva, Carolina Forte do Carmo. "Coronavirus: bond market and growth expectations." Master's thesis, 2021. http://hdl.handle.net/10071/23462.

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The pandemic triggered exceptional monetary policy interventions by the Federal Reserve, which in March 2020 cut the target rate. This thesis makes progress in understanding the impact of COVID-19 on the treasuries market by examining the behaviour of the determinants of the term structure of bond yields in the United States. For this, we use the Nelson-Siegel (1987) approach to the term structure of interest rates. Findings suggest that the treasury yields closely follow the cut in target rate. Hence, revealing as a good economic predictor.<br>A pandemia desencadeou intervenções exc

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Powell, Nicole Andrea. "A comparitive [i.e. comparative] study of supervised and unsupervised learning methods in forecasting the U.S. 30-Year Treasury bond yield." 2008. http://etd.lib.fsu.edu/theses/available/etd-11102008-154733.

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Thesis (M.S.)--Florida State University, 2008.<br>Advisor: Simon Y. Foo, Florida State University, FAMU-FSU College of Engineering, Dept. of Electrical and Computer Engineering. Title and description from dissertation home page (viewed March 2, 2009). Document formatted into pages; contains ix, 49 pages. Includes bibliographical references.

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HUANG, KUN-MING, and 黃坤銘. "A Study on the Dynamic Correlations Among US Stock, Treasury Bond andTreasury Bond Futures Markets under the Crisis of Subprime Mortgage and Financial Tsunami：The Application of VEC DCC GJR-GARCH Model andVEC Copula GJR-GARCH-skewed-t Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/00285305031586744297.

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碩士<br>國立臺北大學<br>國際企業研究所<br>98<br>This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010. The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage

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Harnanto, Stephany, and 陳利唇. "Determining The Correlation of S&P 500, The 30-Year US Treasury Bond Price, CRB Index, USD Index, and HMI during Global Financial Crisis (2006-2011)." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/3c6s82.

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碩士<br>國立清華大學<br>國際專業管理碩士班<br>105<br>The Global Financial Crisis has become one of the worst scenario in history that caused considerable slowdown in most developed countries such as U.S (United States), U.K (United Kingdom), and Europe that occur in 2006. Most developed countries still got the hardest time to recovered their Financial in their country because of that accident. U.S is being considered as one of the center economic of the world, after Financial Crisis that already happen in the past U.S still can’t go back to their glory past. The objective of this research is to evaluate the im

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Lourenço, Catarina De Miranda De Matos. "Portuguese Public Debt Management During The European Sovereign Debt Crisis - a case study." Master's thesis, 2020. http://hdl.handle.net/10362/105567.

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The presentcase study analyses the Portuguese publicdebt management during theEuropeanSovereign debtcrisis, namely the decisions undertook by the Government and by the Portuguese Debt Management Agency.On April 6th,2011, Portugal requestedofficial financial assistance, beginning a three-year period in which market access was severely constrained.This case studyfocus onthe behaviourof relevant parameters,such as the evolution of yieldsand spreads for Government bonds, the shareof public debt held by domestic and non-domestic investors through time, the progressionof Portuguese de

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chu, shang-hao, and 朱商豪. "Examine the Optimal Margin Level for Taiwan Treasure Bond Future." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/86752948761707168999.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險所<br>92<br>The principle for Taiwan Futures Exchange to set the futures margin level is based on if the greatest possible risk area on that day can be covered. Though the overestimated level of futures margin can decrease the risk of breaching the contract and guaranty the safety of futures trading, investors’ transaction cost would be increased indirectly, affecting the activeness of trading in the market. If the futures margin level is set too low, the risk area the margin level can cover will be smaller and the future exchange will face greater risk, whereas affec

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Salvador, Joana Paula. "Inflation-linked bonds: comparação com treasuries e alocação na fronteira eficiente." Master's thesis, 2009. http://hdl.handle.net/10071/1828.

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JEL classification: G11; G12<br>Nesta dissertação é feita uma análise comparativa entre as obrigações indexadas à inflação (TIPS) e as Treasuries nos EUA através da rendibilidade final obtida de cada obrigação. É também realizado um estudo do efeito da inclusão de TIPS em carteiras com estratégias de alocação de recursos a longo prazo. Para o primeiro caso, considerou-se um investimento de $100,000 para a obrigação indexada à inflação e o mesmo valor para a obrigação nominal, ambas pertencentes ao mercado dos EUA com maturidade igual a 10 anos, verificou-se que a rendibilidade da 10-Year Infl

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黃欣裕. "Pricing Convertible Bonds that Paying Converted Shares with Treasury Stocks." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/u78a3d.

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碩士<br>國立交通大學<br>財務金融研究所<br>104<br>This study prices convertible bonds (CB) with tree model that considers dividend expenses, tax benefits, and bankruptcy cost. By taking advantages of the game theory model, we analyze the bond call/conversion strategies and the values of contingent claims from three aspects. The first aspect is the number of CB holders. We analyze the sequential conversion behaviors given that there is only one holder (monopoly scenario) and every holder is a price taker (perfect competitive scenario). Then we compare them with the block conversion setting. Second, we analyze

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Hui, Tsai Shu, and 蔡淑慧. "The Comparsion of Option Pricing Strategies on treasury Bonds of iwan." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/07108690801876250731.

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Hsu, Yu-Ching, and 許玉青. "Analysis of Asset Allocation Between Treasury and Corporate Bonds for Life Insurance Companies." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/48851528360622076509.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>91<br>Credit risk hasn’t been a strange word in the fluctuating financial market and literatures focused on that have bloomed for the recent years. Besides, asset liability management (ALM) has been an important issue for a long time. In addition to interest rate risk, the most mentioned, we attempt to add the analysis of credit risk, or default risk, into the ALM, which is scanty in the relative literatures. In view of this lack, we try to analyze the optimal asset allocation decision between default-risk-free treasury bonds and default-able corporate bonds for a l

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Huang, Jian-Chiang, and 黃建強. "The Value of End-of-Month Options under the Trading Rules and Regulations of U.S. Treasury Bonds." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/78401550535012331056.

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碩士<br>國立中興大學<br>財務金融系所<br>95<br>Given the market boom and the globalization trend in recent years, numerous financial derivatives have emerged in the capital market. Interest rate fluctuations on those derivatives can have a profound impact on domestic investment activities and the economy as a whole; therefore, it is crucial to have an established derivatives market that facilitates trading, strengthens risk management, and stabilizes the development of financial markets and the economy. This research focuses on the study of U.S. Treasury Bonds Futures. This research is established upon the

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Lee, Cheng-Yeh, and 李承曄. "Constructing Trading Strategy on Breakeven Fair Value Model and Liquidity Risk Indicator: A Study of U.S. Treasury Bonds and TIPS." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/8zgx8c.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>105<br>This article derives the method of constructing a trading strategy on Breakeven Fair Value Model and Liquidity Risk Indicator which helps investors earn the breakeven spreads by trading both U.S. Treasury Bonds and Treasury Inflation Protected Securities (TIPS) simultaneously. The model not only takes monetary policy, industrial growth and retail markets into account but also adjusted the strategy rapidly regarding to liquidity condition. The result shows that the logic behind the strategy can help earn a great amount of returns, and the model also possesses

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Kožíšek, Jakub. "Forecasting Term Structure of Government Bonds Using High Frequency Data." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-372957.

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This thesis investigates the use of realized volatility features from high frequency data in com- bination with neural networks to improve forecasts of the yield curve of government bonds. I use high frequency data on futures of four U.S. Treasury securities to estimate the Nelson-Siegel yield curve and realized variance of its parameters over the period of 25 years. The estimated parameters are used in prediction of the level, slope and curvature of the yield curve using an LSTM neural network and compared to the Dynamic Nelson-Siegel model. Results show that the use of realized variance and

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Fonseca, Filipa Garcia Pereira da. "Impacto da alteração das taxas directoras do BCE nos mercados de Obrigações de Tesouro e Acções no período 2000-2011." Master's thesis, 2012. http://hdl.handle.net/10071/7895.

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JEL Classification System: E52, G12<br>Neste trabalho são estudados os impactos das taxas directoras do Banco Central Europeu nos mercados obrigacionistas e accionistas e os efeitos da crise financeira através da aplicação de métodos econométricos. Este impacto é analisado em vinte e uma variáv eis que incluem obrigações de diferentes maturidades e índices de cotação de acções para três países (Portugal, Espanha e Alemanha) , utilizando dados diários, no período de 2000 a 2011. Nos modelos, pela sua volatilidade e correlação com as taxas de referência, foi utilizada a

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Borges, João Miguel Sousa Machado Castilho. "Impacto da política do "Quantitative Easing" num portfólio de investimento." Master's thesis, 2017. http://hdl.handle.net/10071/16101.

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Esta dissertação pretende analisar o impacto da política de "Quantitative Easing" adotada pelo Banco Central Europeu numa carteira de investimento. Com recurso a duas regressões lineares (uma em que existe o efeito de "Quantitative Easing" e outra não), esta tese irá analisar as variações das "yields" das obrigações soberanas da Alemanha, França, Espanha, Portugal, Itália e Irlanda para as maturidades de 2, 5 e 10 anos.<br>This dissertation analyzes the impact of European Central Bank’s Quantitative Easing policy in an investment portfolio. Using two linear regressions (one that has the e

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Cadete, Joaquim António Pereira. "Estimação dos efeitos clientela para o mercado de dívida pública." Master's thesis, 1998. http://hdl.handle.net/10400.5/18506.

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Instituto Superior de Economia e Gestão.<br>O progressivo estreitamento das margens de intermediação financeira, associado ao processo de convergência nominal preparatório para a 3a fase da UEM. origina uma profunda alteração da composição dos lucros do sector bancário, com o consequente reflexo na sua estrutura organizativa. Uma vez que uma parte significativa das maisvalias passa a depender da capacidade técnica das diferentes instituições, para a obtenção dos ganhos de arbitragem, torna-se imperioso um conhecimento profundo da gestão de carteiras, atendendo nomeadamente ao binómio ren

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