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Bank loan supply, quantitative easing and corporate bond issuance : evidence from the UKBvirindi, Tinashe January 2018 (has links)
This thesis makes two main contributions to the literature. The first is to establish the existence of a capital supply channel, in particular a bank lending channel of monetary policy transmission in the UK using a clean measure of bank loan supply. In this study we exploit the revealed debt preferences of debt issuing firms by using the Becker and Ivashina (2014) fixed effects framework to isolate the impact of credit supply. By conditioning the sample on non-financial firms whose debt issuance is observed, we are able to eliminate the effects of credit demand and to isolate a clean measure for bank loan supply. In this thesis, we find that the tendency by unconstrained, non-financial firms to substitute corporate bonds for bank loans at different points of the financial cycle reflects changes in bank loan supply. We also find that the patterns of substitutability are consistent among more granular classifications of heterogeneous debt. Our results reveal that among unconstrained firms, the proportion of new bank loan issuance declines, while the proportions of corporate bonds and program debt issuance tend to increase, when faced with unfavourable credit market conditions. We then create a loan to bond substitution measure based on observed substitution behaviour of unconstrained firms. We find that this measure explains the out of sample bank loan issuance behaviour of constrained firms. As a result we conclude that the measure is able to cleanly capture changes in bank loan supply. We extend the study to examine the impact of bank loan supply on the financing, hiring and investment decisions of UK non-financial corporations. We find that bank loan supply disruptions significantly and disproportionately affect the hiring and inventory investment decisions of bank dependent firms relative to those of non-bank dependent firms. The propensity to invest or hire among bank dependent UK non-financial firms declines relative to non-bank dependent firms when bank loan supply deteriorates. Moreover, the fixed investment decisions of non-bank dependent firms tend to decline following adverse bank loan supply shocks. These results confirm the existence of a bank lending channel among UK non-financial firms, and the findings are in line with the narrow credit view of monetary policy transmission. Our second central contribution is to analyse the impact of orthogonal QE shocks, credit supply shocks, credit demand shocks, and monetary policy shocks on the aggregate debt issuance behaviour of UK non-financial firms. Using structural vector error correction models (SVECM), we show that QE shocks increase corporate bond issuance and compress term spreads, but have no effect on the policy rate. Moreover, we observe that unexpected increases in the monetary policy rate lead to a decline in corporate bonds in the short term. While credit supply shocks move aggregate bank lending and aggregate corporate bond issuance in the same direction, corporate bond issuance responds with a lag to fluctuation in credit supply. This implies that adverse credit supply shocks may produce amplified negative effects on capital supply as both corporate bonds and bank loan decline. We also establish a counterfactual for corporate bonds and bank loan issues based on our structural model. We find that the QE policies result in the Bank of England averting a decline in corporate bond issuance of between 3% and 10% during the QE period. Our findings in this thesis point towards the existence of a portfolio balance channel of QE that operates in the UK corporate bond markets during the QE period.
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Kvantifikace účinků fiskální politiky v ČR pomocí modelu SVECRadkovský, Štěpán January 2006 (has links)
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原物料指數與股市、匯市關聯性的研究 / A study of the relationship between commodity indexes, stock market and foreign exchange陳玉樹, Chen, Yu Shu Unknown Date (has links)
本篇探討在2002年起的原物料多頭浪潮至2011年3月期間,以原物料指數:高盛綜合商品指數(GSCI)、農商品指數(GSCI AG)與股市、匯市為研究對象,利用共整合檢定與向量自我迴歸(VAR)還有向量誤差修正模型(VECM)模型等實證方法,在九個國家中,探討變數間的關聯性。
實證結果顯示,在股、匯市與GSCI的模型中,美國、印度與俄國具有共整合關係;在股、匯與GSCI AG的模型中,美國、澳洲與台灣具有共整合關係。表示這幾個國家變數間存在長期穩定關係。VAR與VECM結果顯示,不管是原物料出口國或是進口國,對於各國股市的影響,皆為顯著正向影響,在Granger 因果檢定上,除了日本以外,所有國家的股市皆具有Granger領先原物料變數的關係,而原物料會Granger領先於股市的國家有日本與俄羅斯,其中俄國股市與原物料GSCI具有雙向因果關係股市也顯著領先原物料指數。在農糧物料部分,股市會Granger領先農糧指數的國家比起綜合商品指數來說大幅減少許多,僅剩中國,印度兩國。在匯率部分,除了美國因為大多商品以美金計價,使得美元貶值與商品價格上漲有著顯著的關係外,其他國家貨幣因為是對美元匯率,所以一致呈現出當原物料價格上漲該國貨幣就會升值的影響。在原物料輸出大國,加拿大與澳洲特別明顯。另外在匯市上,原物料指數對大多數國家匯市具有Granger領先關係,而其中匯市Granger領先股市的國家有台灣與韓國,表示此兩國匯市與原物料具有雙向因果關係。在農糧物料方面,農商指數對大多數國家匯市仍具有Granger領先關係,而其中匯市Granger領先股市的國家僅有俄國,表示此國匯市與原物料具有雙向因果關係。
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Modelling Nonlinearities In European Money Demand: An Application Of Threshold Cointegration ModelKorucu Gumusoglu, Nebile 01 February 2013 (has links) (PDF)
The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This thesis employs both linear and nonlinear estimation methods to investigate the relationship between money demand, GDP, inflation and interest rates for the Euro Area over the period 1980-2010. The aim of this thesis is to compare the European money demand in linear and nonlinear framework. First a vector autoregression (VAR) model has been estimated. Then a threshold cointegration model has been employed and nonlinearity properties of the money demand relationship has been investigated. In contrast to the existing empirical literature, linear VEC model can find evidence of stability, however it has some conflicting results which can be explained by the nonlinearity of the model. Empirical results of MTAR type threshold cointegration specification verifies the nonlinearity in European money demand. The adjustment coefficient of lower regime suggests faster adjustment towards long run equilibrium compared to upper regime in nonlinear model. Moreover, the nonlinear model presents better fit to economic literature than linear model for European money demand.
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Stock Prices and Exchange Rate Dynamics:The Evidence for Asian AreaJian, Mei-yin 15 July 2011 (has links)
This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector.
This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.
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the study of Currency Problems about Dollars. New Taiwan Dollars and RMBsLin, Kung-yu 22 June 2012 (has links)
This study mainly concentrates on the exchange rate problems between Taiwan and China, so cross-strait economic and the evolution of exchange rate regulation regime would be the first work so as to provide some policy suggestions about the cross-strait trading settlement .The empirical work has two parts. The first part is examining the Currency Substitution(CS) of Taiwan, then uses Cointergration and Vector Estimate Correction Model for the short and long run condition. Currency Substitution would cause the volatility of exchange rate, and the next procedure is using the Markov Regime Switch Model to analyze the exchange rate of two countries from 03 January,1994 to 30 April,2012. The main purpose of this study is examining whether the two markets have a significant regime switch or not, then the empirical result finds that both markets have regime switch .Considering the difference of exchange rate regime in two countries, the decision of the cross rate becomes more prudent because China authority may underestimate the exchange to disturb the export of Taiwan.
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Financial transmission between money, bond and equity markets and exchange rates within and between the United States and TaiwanChen, Nai-ning 08 February 2007 (has links)
Financial markets have become increasingly integrated, both domestically and internationally. Asset prices react to other asset price shocks both within and across asset classes. This paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and Taiwan. The empirical model concentrates on monthly return over an 11-year period of 1995-2005 for seven asset prices: short-term interest rates, bond yield and equity market returns in both economies, as well as the exchange rate. The results are as followed:
First, Johansen cointegration test indicates that there is one cointegrating equation between seven variables. This finding means that there is a long-run equilibrium relationship among the variables.
Second, the error correction terms of the US short-term and long-term interest rates, Taiwan short-term interest rate and exchange rate are significant at the 95% level in the Vector Error Correction Model. The deviation from long-run equilibrium is corrected gradually through a series of partial short-run adjustments.
The third key result of the paper is that there is a feedback relationship between the US short-term interest rate and equity market return by using the Granger Causality test. Also, the US short-term and long-term interest rates Granger-cause Taiwan short-term interest rates. This result underline that the US financial markets are the main driver of global financial markets.
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Tobin’s Q theory and regional housing investment : Empirical analysis on Swedish dataSax Kaijser, Per January 2014 (has links)
This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.
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Analýza výkonností Ruské ekonomiky s ohledem na konkurenceschopnost a fenomén proketí přírodních zdrojů / The analysis of Russian economic performance in the light of competitiveness and natural resource curse phenomenonKuzmenko, Elena January 2016 (has links)
Recent years a lot of debates have been taking place around Russias dependence on natural resources, especially on crude oil and natural gas, and consequent necessity to escape from it through diversification of the Russian economy. The research problem of the present doctoral thesis therefore is to investigate whether Russia demonstrates any success in this process or not. The main goal of the thesis is to analyze Russian economic performance along with Russian producers (representing corresponding economic sectors) relative position towards foreign rivals in external and internal markets and via investigation of the real effective exchange rate of ruble and quality of Russian institutions shed some light on the presence of Natural resource curse phenomenon in the Russian economy. The analysis of Russian economic performance in the light of competitiveness was seen as justified since the results of that analysis may reveal the existence of perspective points of growth in the economy. In the final stage of the research the existence of a long-run interrelationship was checked among the structure of Russian export basket, GDP growth, price of crude oil and the real effective exchange rate of Russian ruble with the use of Johansen cointegration technique.
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Testando a condição descoberta de paridade de juros entre Brasil e Estados Unidos: uma modelagem por meio de GARCH multivariado e volatilidades realizadasVillela, Lucas Moreira 12 June 2017 (has links)
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Previous issue date: 2017-06-12 / This study tests the uncovered interest rate parity between the Brazilian and American markets during the period of June 1986 to August 2016. The validation of the uncovered parity condition implies efficiency between markets. The condition is tested through the VECM methodology proposed in Engle and Granger (1987) utilizing the cointegrating vector testing the uncovered parity on the long term. The Multivariate GARCH model proposed by Bollerslev, Engle and Wooldridge (1988) is used, modeling not only the mean but the variance of the model’s variables, that way controlling the ARCH (autoregressive conditional heteroscedastic) effect in financial series. The variances of the variables are estimated through the Realized Variance estimator, first proposed in Andersen and Bollerslev (1998), in which the authors show it to be a consistent estimate of the integrated variance of a given process. The results validate the uncovered interest parity, showing it to be valid as a long-term equilibrium and that any deviation is corrected in the long term through the exchange rate between Brazil and the United States. / Este estudo propõe-se a testar a condição da paridade descoberta de juros, entre os mercados do Brasil e do Estados Unidos, para o período de Junho de 1986 a Agosto de 2016. A comprovação da condição descoberta implica em eficiência entre os mercados brasileiro e americano. A condição é testada por meio da metodologia de VECM proposta em Engle e Granger (1987) utilizando-se do vetor de cointegração para testar a condição no longo prazo. O modelo de GARCH Multivariado proposto por Bollerslev, Engle e Wooldridge (1988) é utilizado, modelando não só a média das variáveis em questão, mas, também sua variância para controlar o efeito ARCH (autoregressive conditional heteroscedastic) em series financeiras. As variâncias das series são estimadas por meio do estimador de Volatilidade Realizada, proposto em Andersen e Bollerslev (1998), que gera uma estimativa consistente da variância integrada de um processo. Os resultados do modelo comprovam a condição descoberta da paridade de juros, mostrando que essa é válida no longo prazo e que desequilíbrios na condição são corrigidos no longo prazo por meio do câmbio entre o Brasil e Estados Unidos.
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