In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime.We find evidence which support the occurrence of LPPL-patterns leading up to the change in regime; asset prices during bubble periods seem to oscillate around a faster-than-exponential growth. In most cases the estimation yields accurate predictions, although we conclude that the predictions are quite dependent on at which point in time the prediction is conducted. We also find that the end of a speculative bubble seems to be influenced by both endogenous speculative growth and exogenous factors. For this reason we propose a new way of interpreting the predictions of the model, where the end dates should be interpreted as the start of a time period where the asset prices are especially sensitive to exogenous events. We propose that negative news during this time period results in a regime shift of the bubble. This study is the first to address both the possibilities and the limitations of the LPPL-model, and should therefore be considered as a contribution to the academia.

La tesi si colloca nel filone di letteratura dell' Acceleratore Finanziario, che si è sviluppato a partire dagli anni 90. Il lavoro prende le mosse dai modelli di Kiyotaki e Moore (KM,1997, 2002) e di Greenwald e Stiglitz (GS 1993, 2003). L'obiettivo è quello di tentare di rispondere ad alcuni quesiti che sorgono spontaneamente dallo studio di questa tipologia di modelli, inquadrando le idee proposte in una modellistica teorica adeguata. La tesi si compone di 7 capitoli. Nei primi due capitoli viene presentato e discusso, sia in chiave microeconomica che in chiave macroeconomica, il framework proposto da KM. Nel capitolo 3 si introduce il problema della bancarotta e si esplorano gli effetti di eventuali bancarotte sui mercati dei beni e sui mercati finanziari. Nel capitolo 4 viene presentato e discusso un articolo di Cordoba e Ripoll (2004a) nel quale gli autori sviluppano un modello à la KM introducendo il ruolo della moneta tramite l'approccio del Cash In Advance (CIA) constraint . Nel quinto capitolo viene presentato e discusso un contributo originale che introduce il ruolo della moneta nel modello di KM tramite l'approccio della Moneta nella Funzione di Utilità. Il modello è relativamente semplice possono emergere equilibri multipli e permette di esplorare gli effetti della politica monetaria sulle variabili macroeconomiche. Nel capitolo 6 si presenta un modello a generazioni sovrapposte à la Diamond-Samuelson utilizzando il framework di KM. In tale contesto la moneta ha essenzialmente il ruolo di riserva di valore (permette di incrementare il consumo e il bequest da vecchi), mentre il bequest rappresenta una risorsa a disposizione del giovane. In fine il modello presentato nel capitolo 7 è un esempio di un modello macroeconomico microfondato con vincoli finanziari e agenti eterogenei à la Greenwald-Stiglitz. Viene presentata una procedura di aggregazione che permette di ottenere le variabili macroeconomiche tenendo in considerazione il comportamento individuale degli agenti. Il modello può essere studiato tramite delle simulazioni in una struttura Agent-Based. / The dissertation could be traced back to the so called Financial Accelerator literature, that has been developed during the 90's. In particular it is essentially an attempt to adapt, modify or even subvert the basic framework proposed by Kiyotaki and Moore (KM,1997, 2002) and by Greenwald and Stiglitz (GS 1993, 2003) in order to provide answers to some questions that naturally arise from the study of these types of models. The thesis is divided into 7 chapters. Chapters 1 and 2 present and discuss the benchmark model, i.e. the framework put forward by KM, at the micro level (optimization problems of the different types of agents, market equilibrium) and at the macro level (laws of motion of macro state variables) respectively. In chapter 3 we study the conditions under which bankruptcy can occur and we explore the consequences of actual bankruptcies in terms of disruption of financial and goods markets. In chapter 4 we present and discuss a paper by Cordoba and Ripoll in which the role of money in a framework à la KM is introduced by means of the Cash In Advance (CIA) constraint approach. In chapter 5 we follow the Money In the Utility function (MIU) approach to introduce money in the original KM framework. The model seems very promising because is relatively simple, there can be multiple equilibria and the effect of a monetary injection can be explored in a straightforward way. In chapter 6 we model a KM economy in an OLG setting à la Diamond-Samuelson in which money plays basically the role of a store of value, which allows to increase consumption and bequest when old and bequest plays the role of internal resources for the young. The model presented in chapter 7 is an example of a microfounded macroeconomic model with financing constraints and heterogeneous agents of the Greenwald-Stiglitz type. An aggregation procedure is proposed in order to go from the individual to the aggregate variable. The model can be explored by means of simulations in an Agent-Based setting.

The thesis addresses the instabilities in stock markets in the USA. There are many factors that may increase the price volatility, or even cause a panic. During these turbulent times investors can seek shelter in investment safe havens that allow protecting their portfolio against significant financial losses. The focus is put on identifying the situations where it is appropriate to use the safe havens and how to properly time all transactions. Historical insight, events study and investigating economic cycles are the integral part of the work.

The purpose of this study is to develop an indebtedness framework that explains the effects of financialisation and household indebtedness on economic development. For this purpose, the study empirically examines annual South African data covering the years 1990-2017 to look at the effect of financialisation before and after the 2007/08 financial crisis. South Africa adopted an inflation targeting monetary policy regime in the 1990s before the global economic crisis in response to the global financial crisis of 2007-08. Examining data from 1990-2017 made it possible to look at the effects of financial deregulation policies that were introduced post the 2007-08 financial meltdown. The study addressed three objectives. The first objective sought to establish the extent of financialisation in the South African economy pre and post the 2008 financial crisis. To achieve this objective, annual time series data from 1990-2017 on financialisation variables was split into two, before and after the financial crisis. Graphical presentations of the four financialisation variables (financial deregulation, foreign financial inflows, asset price volatility, and shift to market-based finance) showed that there was a difference in financialisation before and after the 2008 financial crisis. Analysis of variance showed that there is a statistically significant difference between the foreign financial inflows’ series before and after the financial meltdown of 2008 (t-test value -6.527, p ≤ 0.0001). (1990-2008). The findings also showed that there was no statistically significant difference between asset price volatility before and after the financial meltdown of 2008. Interestingly, there is a statistically significant difference between stock market value traded in the period from 1990-2008 and 20092017 after the financial crisis (t = -4.295, p ≤0.001). The second objective sought to examine the causal direction between financialisation and household indebtedness. Contrary to a priori expectations, the findings showed that financial deregulation, foreign financial inflows and shift to market-based finance do not Granger cause indebtedness. However, the findings showed that the null hypothesis that asset price does not Granger cause household indebtedness was rejected. This implies that there is a causal direction between asset price volatility and household indebtedness Lastly, the third objective of this study was to explain the effects of financialisation and indebtedness on economic development to inform the indebtedness framework that this study set out to develop. Using annual data for the period of 1990 to 2017, the third objective was addressed by examining the effect of household indebtedness and financialisation on economic development. These effects were tested using OLS regression and error correction modelling technique (ECM) for each of the four financialisation variable: (1) financial deregulation measured using the financial reform index; (2) foreign financial inflows measured using stock of foreign liabilities as percentage of GDP; (3) asset price volatility; and (4) shift to market-based finance, measured using stock market value traded as percentage of GDP. The findings showed that foreign financial inflows and asset price index when regressed with household indebtedness showed a statistically significant effect on economic development in a long-run model. The indebtedness framework was duly presented showing that economic development is likely to be negatively and strongly affected by financialisation as experienced in asset price volatility and foreign financial inflows. / Graduate School of Business Leadership / D.B.L.

日本經濟自1990年起，由「日本第一」落入「流動性陷阱」，而陷入長達10多年的不景氣，主因是日本股市及不動產市場重挫，企業向銀行貸款所提供之擔保品價值下滑，卻因在低利率時代已過度借貸，又經營不善面臨虧損，發生償債困難，一旦財務有所改善，只想提前償還貸款，而無增加貸款意願，故稱為「資產負債表的衰退」（Balance Sheet Recession）。整體經濟景氣蕭條，國內需求不振，亦使振興經濟之寬鬆貨幣政策無法達到預期效果。 日本資產泡沫的破滅使銀行體系的逾放問題日益嚴重。日本政府為了加強銀行體系的健全性，實施金融改革（Big Bang）。使原本以傳統存、放款業務為主的銀行，在面臨國際化浪潮時，也能同時經營證券、保險業務，並將新金融商品引進日本。並由隸屬於內閣府的金融廳(Financial Services Agency)來監督日本銀行及證券業務，負責金融檢查及金融法規企劃業務，落實金融與財政分離之原則。但日本金融業務日益多元化，及衍生性金融商品日趨複雜，對金融監理機關之專業能力，形成新的挑戰。以上所述為日本國內的經濟與金融問題。 至於日圓對外幣的匯率方面，由於日圓利率偏低，套利交易(carry trade) 盛行。投資人趁著日本央行維持低利率之際，借入低成本的日圓資金，然後換成利率較高的外幣轉戰國際市場，追逐收益較高的資產，同時賺取利差、匯率及資產升值的價差，使日圓匯率的走勢疲弱，也造成全球金融市場的波動。 本論文的分析包含： ㄧ、日本經濟不景氣問題剖析：股市及不動產資產泡沫化 二、日本金融危機形成原因：資產價格下跌，影響抵押品價值，企業償債能力變差，故使銀行不良債權增加。 三、日本總體經濟近況（GDP、CPI、失業率的變化）及經濟復甦後日本央行貨幣政策的改變 四、日本金融市場如股市、房地產市場及日本政府債券（JGB）市場的分析及展望。 五、探討日本銀行業獲利能力、不良債權問題、資本適足率以及銀行業股價指數的變化。 六、根據台灣以及日本最近的發展對金融監理單位及銀行業提出應有的改革與建議。 / The Japanese economy fell into a “liquidity trap” in 1990. Due to the stock market and real estate market plunge, the deep recession has lasted for over 10 years. The bursting of asset bubbles caused the balance sheets of enterprises to become weaker and weaker. All companies hoped to reduce their debt to banks if they were profitable. They had no intention to reinvest any more. So it was called - Balance Sheet Recession. Even though the Bank of Japan adopted an easy monetary policy, the financial system remained vulnerable. With the bad debt of commercial banks increasing, the NPL (non-performing loan) problem has been a major concern for city banks and regional banks. Japan's "Big Bang" reforms radically altered its financial marketplace. The barriers separating banks, securities, and insurance companies were lowered. The Financial Services Agency replaced Ministry of Finance to oversee banking, securities and exchange and insurance in order to ensure the stability of the financial system. As for financial business diversified and derivative products complicated, there were many great challenges facing the financial regulatory authorities. During the past decade, the yen carry trade has become a target for many investors or speculators. Traders using this strategy attempt to capture the difference between the interest rates of two currencies. Taking USD/Yen for example, they borrowed the cheaper yen and invested in U.S. Treasuries yielding a higher interest rate. It causes the depreciation of Japanese Yen and increases the volatility of financial markets. This essay describes Japanese financial crisis, Japanese monetary policy, stock market, and real estate market. Besides, I analyze the profitability, capital adequacy, and non-performing problems of Japanese banks. Finally, I give my personal opinions on Taiwan and Japan’s banking industry.

Brigo與Mercurio提出了三種新的資產價格過程，分別是位移CEV過程、位移對數常態過程與混合對數常態過程。在這三種過程中，資產價格的波動度不再是一個固定的常數，而是時間與資產價格的明確函數。而由這三種過程所推導出來的歐式選擇權評價公式，將會導致隱含波動度曲線呈現傾斜曲線或是微笑曲線，且提供了參數讓我們能夠配適市場的波動度結構。本文利用台指買權來實證Brigo與Mercurio所提出的三種歐式選擇權評價公式，我們發現校準結果以混合對數常態過程優於位移CEV過程，而位移CEV過程則稍優於位移對數常態過程。因此，在實務校準時，我們建議以混合對數常態過程為台指買權的評價模型，以達到較佳的校準結果。 / Brigo and Mercurio proposed three types of asset-price dynamics which are shifted-CEV process, shifted-lognormal process and mixture-of-lognormals process respectively. In these three processes, the volatility of the asset price is no more a constant but a deterministic function of time and asset price. The European option pricing formulas derived from these three processes lead respectively to skew and smile in the term structure of implied volatilities. Also, the pricing formula provides several parameters for fitting the market volatility term structure. The thesis applies Taiwan’s call option to verifying these three pricing formulas proposed by Brigo and Mercurio. We find that the calibration result of mixture-of-lognormals process is better than the result of shifted-CEV process and the calibration result of shifted-CEV process is a little better than the result of shifted-lognormal process. Therefore, we recommend applying the pricing formula derived from mixture-of-lognormals process to getting a better calibration.

This dissertation concentrates on the interplay between politics and financial markets using various empirical tools applied on historical financial statistics. The first essay examines the effect of stock transaction taxation on trading activity and asset prices, specifically focusing on the case of early 20th century Sweden. The main finding is that the tax substantially reduced trading as well as the level of asset prices. In the second essay, modern ex post historical writing is contrasted with the ex ante views of contemporaries which are estimated from historical price data. The specific case study is the events around World War II related to the Nordic countries and Germany. The comparisons point out considerable differences between the assessments of historical events in the ex post and ex ante approaches. The third essay is an empirical study of price controls on asset price movements and how these controls affect asset returns. The study finds that the controls have large significant effects which even may influence estimates of the long-run equity premium. Altogether, this raises concerns about the use of century-long series of asset returns without correcting for the impact of institutional variation and market constraints. Finally, the fourth essay examines the growth effects of international financial liberalization and integration using a large country- industry sample from the 1980s. The main result is that industries highly dependent on external financing do not experience higher value added growth in countries with liberalized financial markets. Liberalization does, however, increase the growth rates of both output and firm creation among externally dependent industries. These results are consistent both with increased competition and increased outsourcing. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2003</p>

Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché, 2 - avec un modèle considérant les participations croisées entres les banques dont les engagements interbancaires sont de différentes séniorités et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché. / Financial crisis pose important theoretical problems on creating reliable indicator of stability of financial systems on which basis the regulators could intervene. The thesis proposes a dynamic model of banking system were the central bank can calculate an indicator of potential defaults taking into consideration the probability for a bank to default and the losses encountered in the financial network, a methodology that can improve the measurement, monitoring, and the management of the systemic risk. The thesis also suggests a clearing mechanisms : 1- in a model with seniority of liabilities and one type of liquid asset whose fire sale has a market impact, 2 - in a model with crossholdings among the banks whose interbank liabilities may be senior and junior and with one liquid asset whose firing sale has a market impact.