Bakgrund: Den svenska värdepappersmarknaden utgörs av en komplex marknadsstruktur med många intermediärer. En av de senast introducerade teknikerna är blockkedjetekniken, som ska förenkla interaktionen mellan aktörer. Tekniken är en distribuerad databas som byg- ger på en kedja av block där transaktioner och information kan registreras utan inblandning av tredje part. Finansiella aktörer undersöker blockkedjeteknikens användningsområden och potential, men som med alla innovationer uppkommer även utmaningar. Det är således av relevans att undersöka vilka användningsområden, utmaningar och påverkan som identi- fieras för blockkedjetekniken på värdepappersmarknaden. Syfte: Studien syftar till att undersöka vilka användningsområden, utmaningar samt påver- kan på marknaden och dess intermediärer som identifieras för blockkedjetekniken på den svenska värdepappersmarknaden. Metod: För att besvara studiens syfte har en kvalitativ ansats tillämpats för att erhålla en djupare förståelse för fenomenet. Det genomfördes fem stycken semistrukturerade intervjuer med verksamma aktörer på den svenska värdepappersmarknaden och en intervju med en sakkunnig inom blockkedjeteknik. Slutsats: Studien visar att blockkedjetekniken har potential att automatisera och effektivi- sera manuella processer. Men teknikens fulla potential begränsas av rådande regelverk och en begränsad volymkapacitet. I studien framgår det att tekniken inte är applicerbar på de affärsområden som omfattar stora volymer, exempelvis clearing och avveckling av aktier. Vid implementering av enbart en blockkedja minskar informationsasymmetrier och transakt- ionskostnader. Men för närvarande finns ingen teknisk lösning för en interaktion mellan olika blockkedjor, vilket kan bidra till en ökad grad av informationsasymmetri. Studien har således bidragit till en ökad förståelse för blockkedjeteknikens potentiella applicerbarhet och påverkan på den svenska värdepappersmarknaden. / Background: The Swedish Securities Market structure is complex with many intermediar- ies. Blockchain is one of the latest introduced technologies, which offers a new way of inter- action. It is a distributed ledger which builds on a chain of blocks where transactions and information is registered without the need for a third party. Financial market players are in- vestigating the potential of the technology and its applications, but as with all new innova- tions there will be challenges. Thus it is of relevance to investigate applications, challenges and potential impact of the Blockchain technology in the Swedish Securities Market. Aim: The study aims to examine potential applications, challenges and impact the Block- chain technology can have on the Swedish Securities Market and its intermediaries. Completion: To fulfill the aim of the study and attain a deeper knowledge about Blockchain a qualitative research method has been applied. Five semi structured interviews were con- ducted with market players operating on the Swedish Securities Market. Furthermore one semi structured interview has been conducted with a Blockchain expert. Conclusion: The study concludes that Blockchain has the potential to automate and streamline manually performed processes. However the full potential is restrained by pre- vailing regulations and technical limitations concerning the volume capacity. The study con- cludes that Blockchain cannot be implemented for business areas which includes large amount of volume transactions, for example clearing and settlement of shares. If only one single Blockchain is implemented the information asymmetry and the transaction costs can be reduced. However there is no solution for enabling interaction between multiple Block- chains, which can increase the degree of information asymmetry. The contribution of the study is an increased knowledge of Blockchain and its potential for the Swedish Securities Market.

Financial inclusion is a public policy objective that fosters development through access to financial services for all. Financial inclusion can be defined as access, usage and quality of financial services. Inclusion of individuals and small enterprises has made considerable progress but it has also reached excesses in some situations. Regulatory changes and technological innovation have helped the expansion of financial services. Our contribution to the literature is threefold. First, we expand the large body of research that focuses on financial inclusion based on access to credit, through our analysis of payments. We provide an unique analysis of the quality dimension of payments, which we define as a catalyst between the access and usage dimensions. Second, we provide a detailed analysis of the Brazilian payment market, which transacts close to $400bn per year, in the scarce literature on developing countries. Third, we isolate the determinants of electronic payments through statistical methods, including a principal component analysis and auto regressive models (SARIMA, SARIMAX), which have not yet been used by researchers. We find that four macro characteristicshave a strong explanatory power: bank credit card lending, active population, retail sales and cash-in-circulation. Suprisingly, we find that cash-in-circulation presents a positive relationship with electronic payments, suggesting a possible distrust of citizens towards the banking system, high levels of informality, and shedding a new light on the precautionary principle described by Keynes. Our analysis is based on monthly deflated card payment data for Brazil from January 2007 to March 2017. / A Inclusão financeira é um objetivo de política pública que procura desenvolvimento através do acesso de todos aos serviços financeiros. Esse conceito pode ser definido com as suas três dimensões de acesso, uso e qualidade dos serviços. A inclusão de indivíduos e empresas conheceu uma melhora significativa, e em algum casos, apresentou excessos. Adaptações regulatórias e inovação tecnológica serviram de pano de fundo para a inclusão. Apresentamos as três contribuições da nossa pesquisa. Primeiro, existe ampla literatura sobre inclusão financeira com foco em crédito, e apresentamos um estudo original sobre pagamentos e sua dimensão de qualidade, definida como o catalisador entre acesso e uso. Segundo: nossa pesquisa apresenta uma análise única do setor de pagamentos no Brasil, um setor com faturamento de mais de R$1.2 trilhões de reais anuais, no âmbito da escassa literatura sobre economias em desenvolvimento. A terceira contribuição apresenta os determinantes dos meios de pagamentos eletrônicos, usando modelos estatísticos originais, como componentes principais e modelos auto regressivos (SARIMA, SARIMAX), que não tinham sido usados na literatura de inclusão financeira. Identificamos quatro características com significância para explicar meios eletrônicos: crédito bancário, população ativa, vendas do varejo e dinheiro em posse das famílias. De maneira surpreendente, dinheiro em posse das famílias apresentou correlação positiva com meios eletrônicos, sinalizando uma desconfiança dos consumidores com o setor bancário ou um maior grau de informalidade da economia brasileira, e trazendo uma interpretação original ao princípio de precaução descrito por Keynes. Nossa pesquisa se baseou em dados agregados e deflacionados de pagamentos para o Brasil entre Janeiro de 2007 e Março de 2017.

Cette dissertation est constituée de trois chapitres distincts, qui visent à analyser empiriquement l'innovation financière dans des champs différents: la finance des ménages, la finance publique, et le secteur financier. Le premier chapitre, effectué en collaboration avec Claire Célérier, analyse la complexité croissante des produits financiers offerts aux investisseurs particuliers et suggère que cette complexité est utilisée par les banques pour réduire la pression concurentielle.Le deuxième chapitre, écrit avec Christophe Pérignon, porte sur les emprunts toxiques émis par les collectivités locales, et comment leur utilisation s'inscrit dans un système d'incitation politique. Le troisième chapitre étudie en quoi l'adoption d'un type d'obligations innovantes représentant un capital conditionnel, peut contribuer à solutionner le dilemne sur le levier bancaire / This dissertation is made of three distinct chapters that empirically investigate financial innovation in different fields: household finance, public finance and financial institutions. The first chapter presents a work joint with Claire Célérier,analyzing the growing complexity of retail structured products, and how bank use complexity to mitigate competitive pressure.The second chapter, joint with Christophe Pérignon, studies how local governments strategically use toxic loans according to their political incentives. The third chapter explores the effects of exercising contingent capital, and how these instruments can contribute to solving the bank leverage dilemna

En el presente trabajo se abordarán investigaciones realizadas en los últimos 20 años acerca del uso de los derivados financieros en las empresas y que beneficios o aportes generan en las mismas. En la primera parte de la literatura analizada, se detalla la definición y tipos de derivados, así como los tipos de riesgos a los que una empresa puede ser más sensible dependiente del sector en el que se encuentre. Entre estos, destaca el riesgo de tipo de cambio, de precio, de tasa de interés. En otro momento, se revisan las investigaciones que analizan los principales usos de los derivados en las empresas, lo cuales van desde los temas de cobertura y especulación, hasta los beneficios que genera el uso de estos derivados, considerando su uso tanto en países de economías desarrolladas como de economías emergentes y la regulación que siguen ambos bloques. Finalmente, se desarrollará la participación y evolución de los derivados financieros como parte de la innovación financiera, así como la aparición y funcionalidad de nuevos productos derivados. Se entiende que estos productos han sido claves para la gestión y el crecimiento para las áreas de desarrollo e innovación en las empresas alrededor del mundo. / This paper focus in literature produced at the last 20 years on the use of financial derivatives in companies and the benefits or contributions they generate for them. The first part of the literature analyzed details the definition and types of derivatives, as well as the types of risks to which a company may be more sensitive, depending on the sector in which it operates. These include exchange rate, price and interest rate risk. In another moment, research that analyzes the main uses of derivatives in companies will be reviewed, ranging from hedging and speculation issues to the benefits generated by the use of these derivatives, considering their use in both developed and emerging economies and the regulations followed by both blocks. Finally, the participation and evolution of financial derivatives as part of financial innovation will be developed, as well as the appearance and functionality of new derivative products. It is understood that these products have been key to the management and growth for the development and innovation areas in companies around the world. / Trabajo de Suficiencia Profesional

La thèse se compose de deux parties, une première partie sur la question de la définition des fonds spéculatifs et une deuxième partie sur la question de la gouvernance en relation au risque systémique. La première partie se compose de deux sous-parties. Une première est vouée à l'analyse de certains problèmes liminaires, comme les questions de méthode et d'autres de questions liées à la fonction économique des hedge funds. Dans cette sous-partie est également traitée la question des différents éléments qui concourent à définir les hedge funds (notamment la stratégie d'investissements, la structure légale, des questions contractuelles, la structure de la compensation des managers). Dans une deuxième sous-partie la question de la définition amène à une analyse des différentes juridictions des principaux états membres, suivie d'une étude comparative entre le système américain et européen.La deuxième partie est également structurée en deux-sous parties. Dans la première sous-partie, sont analysées les questions liées à la relation entre les hedge funds et la crise financière, la définition du risque systémique et les possibles options de gouvernance de la régulation. Dans la deuxième sous-partie est analysée le modèle de gouvernance de fonds spéculatifs qui émerge de la directive AIFM et autres dispositions. la question principale étant de savoir si un modèle de gouvernance d'inspiration bancaire peut être efficient dans le contexte de la régulation des hedge funds. / No English summary available.

Recent reports from the Swedish Financial supervisory authority and the Swedish competition agency suggest that while bank profitability is high in Sweden, the dominant position of a handful of actors have created a situation where consumers are left displeased. The mortgage market has been highlighted as one of the most concerning markets and yet, gross margins on mortgages are reaching record levels. However, as of recent, two new actors have announced their intention to challenge the incumbent banks by importing a new mortgage financing method from the Netherlands. The financing model is rooted in the creation of a mortgage fund and could have several particularly interesting implications for the Swedish mortgage market. Thus, the purpose of this thesis is to examine mortgage funds and its ability to change current market structures in Sweden. By examining the relationship between return on assets and cost-to-income ratios for Swedish mortgage brokers during 2011-2017, the level of competition on the Swedish mortgage market is estimated and examined in relation to the introduction of mortgage funds. It is found that the introduction of mortgage funds in Sweden have caused a structural shift of the market by altering the value-chain of Swedish mortgages. The conclusion of this study is that mortgage funds, if managed correctly, can be a helpful addition to the Swedish mortgage market by bolstering competition and diversity. / Finansinspektionen och konkurrensverket har nyligen konstaterat en rad problematiska områden gällande den svenska bolånemarknaden. I sina rapporter konstateras det bland annat att den dominanta positionen som storbankerna håller hämmar konkursen och begränsar konsumenternas valmöjligheter. Samtidigt har storbankerna genererat rekordvinster med just bolån som kassako under det senaste året. Emellertid så har ett antal nya nisch aktörer börja dyka upp på marknaden, där vissa använder sig av alternativa finansieringsmetoder som konkurrensfördel. En sådan finansieringsform är bolånefonder där utgivandet av bolån finanserna genom en fond som riktar sig till institutionella investerare. Modellen med bolånefonder är intressant utifrån et flertal perspektiv, inte minst för dess framgångar på den holländska marknaden där det den lyckats öppna bryta upp marknaden. Syftet med denna studie är således att undersöka bolån som finansieringsmetod i Sverige samt dess möjligheter att bryta upp konkurrensen på den svenska bolånemarknaden. Genom att undersöka förhållandet mellan avkastning på eget kapital och kostnadsinkomstförhållande bland svenska bolåneaktörer under 2011–2017 uppskattas konkurrensen på den svenska bolånemarknaden i relation till bolånefonder. Resultaten indikerar att bolånefonder är ett tydligt exempel på ett skifte av värdekedjan för bolån. Vidare så visar studien att bolånefonder under rätt förhållanden kan vara ett positivt tillskott till den svenskan bolånemarknaden genom att öka effektiviteten och främja konkurrensen.

由於國內金融自由化的起步較歐美、等先進國家晚，因此，金融創新的活動在國內金融市場一直落後其他先進國家。在瞭解近三十年來金融創新的發展過程，透過學習歐、美等先進國家在金融創新產品上的發展經驗，將可以縮短我國金融業者在金融創新活動上的摸索時間，進而加速提升其金融創新的開發能力。 美林證券在1977年首先推出「現金管理帳戶」（Cash Management Account；簡稱CMA），該帳戶主要提供的服務包括：買賣貨幣市場共同基金、證券交易管理帳戶、簽發支票、信用卡服務、融資權益、與自動提款機提款等功能。國內之華信銀行於民國89年也率先推出類似「現金管理帳戶」的金融創新產品，稱為「投資管理帳戶」（Money Management Account；簡稱MMA）。美林證券在成功開發「現金管理帳戶」之後，更將該產品結合美林證券本身在財務專業上的優勢，提供全面性的財務金融規劃，根據每個投資人其生命週期中的潛在資金需求及收入，例如：退休基金、結婚基金、子女教育基金等，設計出最適合該投資人的投資理財計畫。 由於美林證券「現金管理帳戶」的推出，打破了美國Glass-Steagall Act長久以來商業銀行與投資銀行業務分離的限制，因此，本論文也將從美國G-S法案的立法精神與基本原理出發，探討美國商業銀行跨足證券業務的發展過程以及G-S法案存在的必要性。並且透過美林證券成功開發「現金管理帳戶」的經驗，來探討我國證券商目前若開發該創新產品，可能會面臨到的障礙並且提供相關建議。 最後，透過寄發問卷的研究方式，從我國證券商的角度分析未來「現金管理帳戶」在我國金融市場上發展的可行性，得出實證結論如下： 1.我國證券商對於承作現金管理帳戶的意願受限於國內金融相關法規的限制。 2.多數證券商看好未來現金管理帳戶之發展，並同意承作現金管理帳戶能實際發揮證券商的投資理財專業。 3.未來主管機關應朝向建立公平競爭的金融環境、強化我國自律組織功能發展。 4.國內多數券商皆非常注重專業人才之培訓，因此，未來在開發現金管理帳戶之專業領域上，必會有更大的發揮空間。

晚近金融環境快速變化，金融商品不斷的開發及付款方式不斷的革新，逐漸改變消費者持有現金作為支付工具的習性，使得傳統上只用所得和利率來解釋貨幣需求函數已不太具解釋能力。因此本文將「金融創新」的影響納入貨幣需求函數。 本文實證的變數選擇方面，採用通貨和信用卡的使用分別代表貨幣需求和金融創新以作為分析的重點。實證方法方面，同時採用一般常用的「聯立方程式」－Johansen Procedure和「單迴歸方程式」－OLS、動態OLS(Saikkonen's OLS及Phillips and Loretan's NLS)及FM-OLS來估計信用卡和通貨的關係，並比較這些方法得出的結果。 實證結果比較，發現使用OLS所估計的係數值及圖型均較採用動態OLS及Johansen為佳。在OLS估計時，發現季節性虛擬變數對於估計有重要的影響。 由於使用OLS估計法，在變數為單根時，無法使用一般統計檢定係數顯著性，因此多加入FM-OLS和OLS實證結果的比較，以達能充分了解各變數對於通貨需求的真實影響。 採用FM-OLS實證結果，得到信用卡卡數cn、利率r和實質所得rgnp對於實質通貨淨額rcur的影響顯著，其估計值分別為-0.0025、-0.22與0.60左右。結果顯示當信用卡使用增加、利率增加與所得減少，均會減少通貨的持有，與理論相符。 在採用FM-OLS實證時，發現匯率ex對於通貨需求rcur的影響不顯著，與以往實證結果不符。推測可能原因為(1)通貨持有動機為交易目的，甚少當做投資的工具；(2)過去實證所選取的貨幣需求量為更廣義的M1A、M1B及M2。 第一章　導論 1 第一節 研究動機 1 第二節 研究方法與目的 4 第三節 研究架構 6 第二章 信用卡發展、意義及影響 7 第一節 信用卡的發展 7 第二節 信用卡的意義 9 第三節 信用卡對經濟的影響 11 第三章 貨幣需求理論與文獻回顧 14 第一節 貨幣需求理論 14 1.Baumol and Tobin存貨理論 14 2.Hafiz Akhand and Ross Milbourne 16 第二節 國外實證文獻 21 第三節 國內實證文獻 26 第四章 研究方法 33 第一節 單根檢定 33 1.ADF Test 33 2.Phillips-Perron Test 35 3.Perron Test 36 第二節 共積理論－Johansen Procedure估計法 39 第三節 動態OLS估計法 43 1.Saikkonen's OLS估計法 43 2.Phillips and Loretan's NLS估計法 44 第四節 Fully Modified OLS(FM-OLS)估計法 45 第五章 實證結果 48 第一節 資料說明與處理 48 第二節 單根檢定 50 第三節 Johansen Procedure估計法 53 第四節 OLS及動態OLS的估計及比較 63 1.OLS估計法 63 2.Saikkonen's OLS估計法 69 3.Phillips and Loretan's NLS估計法 78 4.小結 83 第五節 Johansen 與OLS估計結果比較 85 第六節 FM-OLS實證結果與OLS比較 87 第七節 本章實證結果 93 第六章 結論與建議 94

This dissertation studies the effects of Information and Communication Technologies (ICT) on the banking sector and the payments system. It provides insight into how technology-induced changes occur, by exploring both the nature and scope of main technology innovations and evidencing their economic implications for banks and payment systems. Some parts in the dissertation are descriptive. They summarise the main technological developments in the field of finance and link them to economic policies. These parts are complemented with sections of the study that focus on assessing the extent of technology application to banking and payment activities. Finally, it includes also some work which borrows from the economic literature on banking. The need for an interdisciplinary approach arises from the complexity of the topic and the rapid path of change to which it is subject.The first chapter provides an overview of the influence of developments in ICT on the evolution of financial services and international capital flows. We include main indicators and discuss innovation in the financial sector, exchange rates and international capital flows. The chapter concludes with impact analysis and policy options regarding the international financial architecture, some monetary policy issues and the role of international institutions. The second chapter is a technology assessment study that focuses on the relationship between technology and money. The application of technology to payments systems is transforming the way we use money and, in some instances, is blurring the definition of what constitutes money. This chapter surveys the developments in electronic forms of payment and their relationship to the banking system. It also analyses the challenges posed by electronic money for regulators and policy makers, and in particular the opportunities created by two simultaneous processes: the Economic and Monetary Union and the increasing use of electronic payment instruments.The third chapter deals with the implications of developments in ICT on relationship banking. The financial intermediation literature explains relationship banking as a type of financial intermediation characterised by proprietary information and multiple interactions with customers. This form of banking is important for the financing of small and medium-sized enterprises. We discuss the effects of ICT on the banking sector as a whole and then apply these developments to the case of relationship banking.The fourth chapter is an empirical study of the effects of technology on the banking business, using a sample of data from the Spanish banking industry. The design of the study is based on some of the events described in the previous chapters, and also draws from the economic literature on banking. The study shows that developments in information management have differential effects on wholesale and retail banking activities. Finally, the last chapter is a technology assessment study on electronic payments systems in Spain and the European Union. It contains an analysis of existing payment systems and ongoing or planned initiatives in Spain. It forms part of a broader project comprising a series of country-specific analyses covering ten European countries. The main issues raised across the countries serve as the starting point to discuss implications of the development of electronic money for regulation and policies, and in particular, for monetary-policy making.

Submitted by Edimilson Costa Lucas (costalucas@yahoo.com) on 2015-11-10T13:28:51Z No. of bitstreams: 1 EdimilsonCostaLucas_TESE.pdf: 2525096 bytes, checksum: 88b5fc4a39e14115350d9a7fddece121 (MD5) / Approved for entry into archive by Maria Tereza Fernandes Conselmo (maria.conselmo@fgv.br) on 2015-11-11T12:34:10Z (GMT) No. of bitstreams: 1 EdimilsonCostaLucas_TESE.pdf: 2525096 bytes, checksum: 88b5fc4a39e14115350d9a7fddece121 (MD5) / Made available in DSpace on 2015-11-11T12:38:48Z (GMT). No. of bitstreams: 1 EdimilsonCostaLucas_TESE.pdf: 2525096 bytes, checksum: 88b5fc4a39e14115350d9a7fddece121 (MD5) Previous issue date: 2015-10-19 / The occurrence of extreme weather events, such as increased temperature, hurricanes, floods and droughts has been increasingly common around of the world. The finance literature has documented efforts directed to the assessment of economic impacts from climate change that can bring significant consequences for the world economy. However, especially in Brazil, a key emerging market, little has been studied mainly with a view to assessing the impacts of climate events in the company level. Thus, this thesis analyzes, in an unprecedented manner, the impact of weather events on the value of companies belonging to two high national interest industries, in the form of two essays. First it analyzes the impact of extreme rainfall on the stock price of the Brazilian food sector. Therefore, it is conducted the research using daily data in share prices of six companies of this industry. From the location to the main area of activity of these companies, they are considered their daily data on extreme rainfall. With the use of hybrid methodology ARMA-GARCH-GPD, it was found that the evaluated companies, the extreme rainfall impacted significantly in more than half of the 198 days of extreme rainfall between 02/28/2005 and 12/30/2014, resulting in average losses daily around 1.97% on the day after the heavy rainfall. In terms of market value, this represents total average loss of around US$ 682.15 million in a single day. Second it evaluates the impact of climate variables and location on the value of companies in the energy sector in Brazil, from data on companies in the Brazilian electricity sector, as well as rainfall, temperature and geographical location of the companies. From the analysis of data in static panel and spatial panel, the results suggest that temperature and precipitation have significant effect on the value of these companies. This study can contribute in the process of structuring and creating a weather derivatives market in Brazil. / A ocorrência de eventos climáticos extremos, tais como aumento da temperatura, furacões, enchentes e secas, tem sido cada vez mais frequente ao redor do mundo. A literatura de finanças tem documentado esforços dirigidos à avaliação de impactos econômicos oriundos das variações climáticas, com consequências significantes na economia mundial. Entretanto, especialmente no Brasil, um dos principais mercados emergentes, pouco tem sido pesquisado, sobretudo com vistas à avaliação dos impactos de eventos climáticos no nível das empresas. Sendo assim, esta tese analisa, de forma inédita, o impacto de eventos climáticos sobre o valor de empresas pertencentes a duas indústrias de elevado interesse nacional, sob a forma de dois ensaios. Em primeiro lugar analisa-se o impacto de chuvas extremas sobre o preço de ações do setor de alimentos brasileiro. Para tanto, é conduzida a pesquisa empregando dados diários do preço de ações de seis empresas dessa indústria. A partir da localização da principal região de atuação dessas empresas, são considerados os respectivos dados diários referentes às chuvas extremas. Com o emprego da metodologia híbrida ARMA-GARCH-GPD, constatou-se que, nas empresas avaliadas, as chuvas extremas impactaram significantemente em mais da metade dos 198 dias de chuvas extremas ocorridos entre 28/02/2005 e 30/12/2014, acarretando perdas médias diárias ao redor de 1,97% no dia posterior a chuva extrema. Em termos de valor de mercado, isso representa perda média total ao redor de US$682,15 mi em um único dia. Em segundo lugar avalia-se o impacto de variáveis climáticas e localização sobre o valor das empresas do setor de energia do Brasil, a partir de dados referentes às empresas do setor elétrico brasileiro, bem como precipitação pluviométrica, temperatura e localização geográfica das empresas. A partir da análise de dados em painel estático e painel espacial, os resultados sugerem que temperatura e precipitação pluviométrica têm efeito significante sobre o valor dessas empresas. O presente estudo pode vir a contribuir no processo de estruturação e criação de um mercado de derivativos climáticos no Brasil.