This diploma thesis introduces the measures of network connectedness in the context of asset pricing. It proposes an asset pricing model in which the factor of connectedness is included as one of the risk factors together with the three Fama-French factors. The goal of the analysis is to examine whether the con- nectedness represents a signifcant risk factor that should be considered while determining the risk premium of the portfolio in diferent sectors in the market. Using the realized volatilities and returns of 496 assets of SP 500 index over the period 2005 - 2018, that are divided into 11 sectors, we frstly determine the linkages of connectedness between the assets in the same sector. Applying Fama-MacBeth two-step regression model, we explore the signifcance of the connectedness factor for the determination of the risk premium. We argue that the sector overall connectedness represents a signifcant risk in most of the sec- tors and should be therefore taken into account by the investors in all sectors. Moreover, the total directional connectedness that captures the spillover of shocks to one asset from the other assets in the sector, is a signifcant risk fac- tor that should increase the risk premium of the portfolio, especially in sectors such as the fnancial, health care, consumer...

[pt] Neste artigo estudamos o impacto de surpresas monetárias sobre um conjunto de preços de ativo no mercado financeiro Brasileiro. Devido a fatores institucionais que impedem a identificação deste impacto através de associações entre o choque monetário e variações de preços de ativos em pequenos intervalos ao redor de anúncios de política monetária, utilizamos uma abordagem de estudo de eventos em frequência diária, controlando por fatores domésticos e externos que afetam os preços de ativos relevantes. Os resultados indicam que a surpresa monetária contracionista possui um impacto negativo significativo sobre retornos da bolsa de valores, e o impacto sobre a curva de juros é positivo, atingindo um máximo ao vértice de 6 meses. Diferente de grande parte da literatura focada ao Brasil, os resultados apontam a uma apreciação do Real em reação a esta surpresa monetária contracionista, o que é consistente com reações de moedas de países desenvolvidos a surpresas monetárias. Por mais que obtenhamos um regime no qual a taxa de câmbio não reage significativamente à surpresa monetária, não há forte evidência de que a causa por trás deste regime é de natureza fiscal. / [en] In this paper we study the impact of monetary surprises on a class of asset prices in the Brazilian financial market. Due to institutional factors that prevent identification of this impact through the association between the monetary surprise and asset price movements in short windows around monetary policy announcements, we use an event study framework at daily frequency, controlling for both domestic and foreign factors that may affect the asset prices under analysis. We find that a surprise monetary tightening has a strong negative impact on stock market returns, and its effect on the yield curve is positive and hump-shaped, reaching a maximum on the 6 months yield. Unlike most of the previous literature focused on Brazil, we find that the Brazilian Real appreciates in response to this monetary tightening, which is consistent with the reactions found for currencies of developed economies. Moreover, while we obtain a regime in which the exchange rate is irresponsive to the monetary surprise, the evidence supporting a fiscal cause behind this regime is not strong.

[pt] Estudamos se as intervenções cambiais do Banco Central do Brasil impactam, além da taxa de câmbio, outros preços de ativos (taxas de juros e preços de ações). Fazemos isso classificando as intervenções em três tipos, de acordo com o nível de surpresa, e usando dados minuto a minuto. Nossos resultados mostram que, tanto para a venda de USD (ou emissão de swap) quanto para a compra de USD (ou emissão de swap reverso), o BRL/USD reage na direção esperada, os preços das ações aumentam e as taxas de juros também aumentam. Vale ressaltar que o anúncio impacta muito mais do que a própria intervenção. Além disso, os vértices longos dos juros tendem a responder mais as intervenções do que os vértices curtos. Finalmente, entre os tipos de intervenções, encontramos uma notável heterogeneidade em termos de movimentação dos preços dos ativos dentro de uma janela de meia hora, como em termos de sustentação do movimento por uma janela de nove horas (duração do pregão). / [en] We study if the FX interventions of the Central Bank of Brazil impact other asset prices beyond the exchange rate, e.g., interest rates or stock prices. We do that by classifying the interventions into three types, according to the surprise level, and by using minute-by-minute data. Our results show that, for both USD sales (or swap issuance) and USD purchase (or reverse swap issuance), the BRL/USD reacts in the expected direction, the stock prices increase, and the interest rates increase as well. Noteworthy, the announcement impacts much more than the intervention itself. Furthermore, longer-dated rates yields tend to present greater responses to the interventions than shorter-term yields. Finally, across the interventions types, we find remarkably heterogeneity in terms of moving asset prices within a half-hour window, as in terms of sustaining the movement for a nine hours (trading day) window.

L’int´erˆet pour la liquidit´e mondiale s’est accru ces derni`eres ann´ees, motiv´e essentiellement parla complexit´e de ce concept et ces effets encore peu connus sur l’´economie, les march´es financierset les ´economies ´emergentes. Les travaux de cette th`ese visent `a contribuer `a cette litt´eratureen ´etudiant, dans un premier temps, les facteurs macro´economiques et financiers `a l’origine dela dynamique de la liquidit´e mondiale et de son allocation sur les diff´erents march´es du globe.Dans un second temps, quelques effets de l’´evolution de la liquidit´e mondiale sont analys´esen se focalisant sur les ´economies ´emergentes et les d´es´equilibres globaux. Nous montronstout d’abord que l’´etat de l’´economie r´eelle ainsi que celui des march´es financiers d´eterminentconsid´erablement l’´evolution de la liquidit´e mondiale avec des nuances selon qu’il s’agit d’unep´eriode de crise ou d’une p´eriode de croissance. Les autorit´es mon´etaires, et dans une grandemesure la R´eserve F´ed´erale am´ericaine, ont un rˆole tr`es important dans cette dynamique globaleet sa r´epartition dans le monde. Les pays ´emergents, receveurs de capitaux, sont impact´es parces flux qui affectent consid´erablement leur ´economie r´eelle. Toutefois, l’effet sur les march´esfinanciers dans ces pays reste limit´e, contrebalanc´e par les acquisitions d’actifs libell´es en devises´etrang`eres d´etenus par les investisseurs locaux. Quant aux d´es´equilibres globaux, la liquidit´emondiale pourrait ˆetre int´egr´ee aux indicateurs avanc´es permettant d’expliquer l’´evolution deces d´es´equilibres. L’int´erˆet pour la liquidit´e mondiale et son suivi sont donc tout `a fait justifi´es. / The interest in Global Liquidity has increased in recent years due essentially to the complexityof the concept and its less known effects on the real economy, the financial markets, and theemerging economies. This dissertation contributes to the Global Liquidity literature by studying,firstly, the macroeconomic and financial determinants, which drive global liquidity dynamicsand its allocation on different markets of the world. Secondly, some of global liquidity effects,focusing on emerging economies and global imbalances are analysed. The results of these worksprove that the state of real economy as well as those of financial markets impact dramaticallythe global liquidity dynamics depending on boom and bust periods. The monetary authorities,and to a greater extent the U.S. Federal Reserve, have a significant role in this global dynamicsand its global allocation. The real activity in emerging economies is significantly impacted bycapital inflows. However, the effects on financial markets are dampened by the offsetting effectsof assets purchased in foreign currencies from local investors. In regard to global imbalancesissues, global liquidity can be added to leading indicators, which help explaining the dynamicsof these imbalances. It is therefore, useful to track the dynamics of global liquidity.

The worldwide economic downturn and recession in the second half of 2008 were mainly the result of the crises that influenced the world‟s financial markets. After the financial crisis, the extended period of rapid credit growth that was driven by asset price increases, especially property prices, came to an end. This identified two problems central to the theme of this study. The first problem was illustrated through the recent crisis, which showed that problems in the financial sector have a potentially destabilising effect on the economy, to such an extent that they also affect the real economy. The second problem highlighted by the recent financial crisis pertains to the current macroeconomic framework, which indicates policy failure to detect and deal with financial sector instabilities. The objective of this study was to develop a framework in which the influence that rapidly growing credit and asset prices have on financial stability could be determined. Two distinct empirical models were estimated in order to reach the main objective of this study. The first model established the influence that asset prices and credit growth have on the real economy. It concluded that a long-run relationship exists between inflation, real GDP, credit extended to the private sector, house prices and share prices. A bi-directional relationship was found between house and share price, which indicates the interdependence of asset prices in SA. The transmission channels assume that credit is influenced by interest rates, but the results also found that interest rates are largely influenced by credit. The second model determined the influence of asset prices and credit on financial stability. A significant long-run relationship was found between financial stability, share and house prices, and between share prices, credit and financial stability. It was found that credit and share prices can be used to signal financial instability, and share prices can help to determine future credit extended to the private sector. In addition, the empirical analysis indicated that a credit market squeeze will be experienced after a decrease in financial stability. Lastly, credit extended will increase as a result of shock to house and share prices and financial stability will decrease when there is a shock to share and house prices. / MCom (Economics), North-West University, Potchefstroom Campus, 2013

The worldwide economic downturn and recession in the second half of 2008 were mainly the result of the crises that influenced the world‟s financial markets. After the financial crisis, the extended period of rapid credit growth that was driven by asset price increases, especially property prices, came to an end. This identified two problems central to the theme of this study. The first problem was illustrated through the recent crisis, which showed that problems in the financial sector have a potentially destabilising effect on the economy, to such an extent that they also affect the real economy. The second problem highlighted by the recent financial crisis pertains to the current macroeconomic framework, which indicates policy failure to detect and deal with financial sector instabilities. The objective of this study was to develop a framework in which the influence that rapidly growing credit and asset prices have on financial stability could be determined. Two distinct empirical models were estimated in order to reach the main objective of this study. The first model established the influence that asset prices and credit growth have on the real economy. It concluded that a long-run relationship exists between inflation, real GDP, credit extended to the private sector, house prices and share prices. A bi-directional relationship was found between house and share price, which indicates the interdependence of asset prices in SA. The transmission channels assume that credit is influenced by interest rates, but the results also found that interest rates are largely influenced by credit. The second model determined the influence of asset prices and credit on financial stability. A significant long-run relationship was found between financial stability, share and house prices, and between share prices, credit and financial stability. It was found that credit and share prices can be used to signal financial instability, and share prices can help to determine future credit extended to the private sector. In addition, the empirical analysis indicated that a credit market squeeze will be experienced after a decrease in financial stability. Lastly, credit extended will increase as a result of shock to house and share prices and financial stability will decrease when there is a shock to share and house prices. / MCom (Economics), North-West University, Potchefstroom Campus, 2013

Cette thèse tente d’analyser qualitativement et quantitativement les impacts, parfois déstabilisateurs, de l’excès de liquidité mondiale sur les prix des actifs des marchés émergents. Cet excès de liquidité mondiale s’est notamment matérialisé par un essor des investissements de portefeuille vers les marchés émergents, essor dont l’étude est devenue un thème central que ce soit pour les décideurs politiques ou pour l’industrie de la gestion d’actifs. A ce titre, nous nous proposons de contourner les faiblesses des données de la Balance des Paiements en construisant un indicateur non-retardé et à haute fréquence des flux de portefeuille, et ce, grâce aux données EPFR. La dynamique de recherche de rendement induite par la mise en place de politiques monétaires non conventionnelles par les principales banques centrales des marchés développés a eu pour effet une forte inflation des prix des actifs, au premier rang desquels figurent les marchés d’actions émergents, marchés sur lesquels de potentielles bulles ont pu faire leur apparition dans la période qualifiée de « Nouvelle Normale ». / This thesis aims to qualitatively and quantitatively analyse the sometimes destabilising impacts of global excess liquidity on emerging markets asset prices. This global excess liquidity has particularly manifested in a rise in portfolio capital flows towards emerging markets. The study of this rise has become a central topic both for policymakers and asset managers. As such, we propose to circumvent the Balance of Payments weaknesses by building a non-lagging and high frequency indicator of portfolio capital flows using the data provided by EPFR. The search for yield trend caused by the unconventional monetary policies undertaken by the main developed markets central banks has caused significant inflation in asset prices, most prominently in emerging equity markets, where potential bubbles have appeared during the so-called “New Normal” period.

[pt] Desde sua proposição, na decada de 60, o modelo de apreçamento de ativos de capital e suas expansões, em particular a modelagem proposta por Fama e French entre os anos de 1992 e 2015, causou um entusiasmado debate sobre a interpretação econômica de seus fatores. Foi demonstrado na literatura acadêmica que variaveis que descrevem o conjunto das futuras oportunidades de investimento devem comandar um prêmio de risco e deveriam ser correlacionadas com os fatores de Fama e French. Uma outra questão sempre discutida é a aplicação desse tipo de modelagem à mercados emergentes. Economias mais fracas e menos estruturadas seguiriam a mesma racionalidade de mercados desenvolvidos? As expansões de Fama-French acrescentam ao modelo do CAPM fatores que representam o tamanho, o valor, a lucratividade operacional e a politica de investimento das empresas, em duas versões básicas de modelo. A primeira, proposta em 1993, acrescenta ao excesso de retorno de mercado um fator de tamanho e um fator de valor. É normalmente chamada de modelo de três fatores. A segunda, proposta em 2015, acrescenta a versão de três fatores um fator de lucratividade operacional e um fator de politica de investimentos das empresas. É normalmente chamada de modelo de cinco fatores. Com o uso desses modelos e dos conceitos financeiros envolvidos, esta tese estuda a possibilidade de que as inovações na variância média do mercado, decomposta em dois fatores, um representando a variação média do mercado e outro representando a correlação média do mercado, pudesse aumentar a capacidade explicativa do modelo de três fatores no que se refere aos excessos de retornos de portfólios de ações. Ela também estuda a capacidade do modelo de cinco fatores de melhor explicar o retornos dos portfolios de ações, em blocos econômicos de mercados emergentes, em relação ao CAPM original e ao modelo de três fatores. Finalmente, o estudo mostra que as inovações no indice de inflação e as inovações da inclinação da curva de juros são proxies para os fatores de tamanho, valor, lucratividade e investimento, e, em conjunto com o excesso de retorno do mercado, conseguem explicar o cross-section dos excessos de retornos dos portfólios de ações melhor do que o modelo de cinco fatores. / [en] Since its proposition in the 1960s, the capital asset pricing model and its expansions, in particular the modeling proposed by Fama and French between the years 1992 and 2015, caused an enthusiastic debate about the economic interpretation of its factors. It has been demonstrated in the academic literature that variables describing the set of future investment opportunities should command a risk premium and should be correlated with the Fama and French factors. Another issue that has always been discussed is the application of this type of modeling to emerging markets. Weaker and less structured economies would follow the same rationality of developed markets? Fama-French s expansions add to the CAPM model factors that represent size, value, operating profitability, and corporate investment policy in two basic model versions. The first, proposed in 1993, adds to the excess market return a factor of size and a factor of value. It is usually called the three-factor model. The second, proposed in 2015, adds to the three-factor version a factor of operational profitability and a factor of companies investment policy. It is usually called the five-factor model. With the use of these models and the financial concepts involved, this thesis studies the possibility that the innovations in the average market variance, decomposed into two factors, one representing the average market variation and another representing the average market correlation, could increase the explanatory capacity of the three-factor model with respect to the excess returns of stock portfolios. It also studies the ability of the five-factor model to best explain stock portfolio returns in emerging market economic blocks relative to the original CAPM and the three-factor model. Finally, the study shows that innovations in the inflation index and innovations in the slope of the interest curve are proxies for size, value, profitability, and investment factors, and, together with excess market returns, explains cross-section of excess returns on stock portfolios better than the five-factor model.

Cette thèse traite des interactions entre les sphères financière et réelle de l'économie. Elle se compose de quatre chapitres. Dans les deux premiers chapitres, nous étudions l'existence et les fluctuations d'une bulle spéculative rationnelle, comme source de la volatilité des prix d'actifs, en prenant en compte les imperfections financières dans la modélisation des choix des ménages. L'existence d'un choix de portefeuille et de frictions financières favorisent l'émergence des fluctuations d'une bulle et des cycles économiques endogènes. Dans un tel contexte, nous analysons le rôle stabilisateur des politiques fiscales et/ou monétaires. Dans le chapitre 1, nous montrons qu'une politique monétaire répondant aux prix des actifs permet de stabiliser l'économie dans son ensemble. Dans le chapitre 2, nous comparons les vertus stabilisatrices d'un impôt progressif sur le revenu de capital à celles d'une politique monétaire régie par une règle de Taylor. Nous montrons qu'un impôt progressif sur le capital permet de stabiliser l'économie en réduisant la probabilité d'apparition des fluctuations endogènes, alors qu'une règle de Taylor a des vertus stabilisatrices mitigées. Nous étudions, dans le chapitre 3, l'existence de bulles rationnelles dans une économie ouverte à deux pays et la transmission internationale de leur éclatement. L'éclatement de la bulle dans un pays se transmet nécessairement à l'autre pays. L'effet de l'éclatement peut être positif ou négatif sur l'autre pays. Dans le chapitre 4, nous analysons le rôle de l'hétérogénéité sur la dynamique des prix d'actifs et les inégalités lorsque les agents ont des préférences pour la richesse. / This thesis deals with the interplay between the financial and real sectors of the economy. This thesis consists of four chapters. In the first two chapters, we study the existence and endogenous fluctuations of rational speculative bubbles, as a source of volatility in asset prices, taking into account the financial imperfections at the household level. We argue that the existence of a portfolio choice and financial frictions promote the emergence of bubble fluctuations and endogenous business cycles. In this context, we analyze the stabilizing role of fiscal and/or monetary policies. In Chapter 1, we show that a monetary policy responding to asset prices can stabilize the economy as a whole. In Chapter 2, we compare the stabilizing virtues of a progressive taxation on capital income with those of a monetary policy managed by a Taylor rule. We show that a progressive taxation on capital may rule out endogenous fluctuations, whereas a monetary policy under a Taylor rule has a mitigated stabilizing role. In Chapter 3, we study, the existence of rational bubbles in a two-country economy, and the international transmission of their bursting. A bubble bursting in a country necessarily transmits to the othercountry. The effect of a bubble crash in one country onthe bubble issued by the other country can be positive or negative. In Chapter 4, we analyze the role of heterogeneity on the dynamics of asset prices and inequalities when economic agents have preferences for wealth. Heterogeneity in preferences, but also in income, can heighten social inequalities and increase the asset price in the long run, but also promote asset price volatility in the short run.