This dissertation investigates the impact of central banks' asset purchase programs on the economy and the role of frictions in the corporate loan markets. It builds a series of models with trading and information frictions in goods market and credit market. Chapter 1 introduces the main idea in this thesis and presents a review on central banks' asset purchase programs and unconventional monetary policies. Chapter 2 constructs a model of the monetary economy with multiple nominal assets. Assets differ in terms of the liquidity services they provide. I show that the central bank can control the overall liquidity and welfare of the economy by changing the relative supply of assets. A liquidity trap exists away from the Friedman rule that has a positive real interest rate; the central bank's asset purchase/sale programs may be ineffective in instances of low enough inflation rates. My model also enables me to study the welfare effects of a restriction on trading with government bonds. Chapter 3 investigates the effects of open-market operations on the distributions of assets and prices. It offers a theoretical framework to incorporate multiple asset holdings in a tractable heterogeneous-agent model. This model features competitive search, which produces distributions of money and bond holdings as well as price dispersion among submarkets. At a high enough bond supply, the equilibrium shows segmentation in the asset market; only households with good income shocks participate in the bond market. Segmentation in the asset market is generated endogenously without assuming any rigidities or frictions in the asset market. Numerical exercises show that when the asset market is segmented, the central bank can improve welfare by purchasing bonds and supplying money. Chapter 4 develops a model of loan markets in which lenders post an array of heterogeneous contracts, then borrowers tradeoff terms of loan contracts and matching probability between themselves. I show that a unique separating equilibrium exists where each type of borrower applies to a certain type of contract. Chapter 4 also provides empirical evidence of both price dispersion and credit rationing in the corporate loan market. Chapter 5 offers concluding remarks and possible extensions. / Thesis (Ph.D, Economics) -- Queen's University, 2014-02-03 10:31:40.883

Since the end of October 2010, the Bank of Japan has been pursuing a new Asset Purchase Programme, which includes, among other things, direct intervention in the domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s exchange-traded fund purchase programme on market returns using an event study methodology. An investigation into a sample of 33 intervention events in the Nikkei 400 exchangetraded fund and 303 intervention events in the Nikkei 225 exchange-traded fund, found that the average abnormal one-day return is -1.36% for the Nikkei 400 exchange-traded fund and -1.39% for the Nikkei 225 exchange-traded fund, while the average abnormal five-day return is -0.63% and -1.11% for each exchange-traded fund respectively. Due to the high volatility, statistically the returns are indistinguishable from zero. However, this study presents evidence that the Bank of Japan intervenes predominantly during large decreases in the market. Hence, there is suggestive evidence that the Bank of Japan’s policy is effective at reducing market losses, but is not extensive enough to significantly increase returns.

Made available in DSpace on 2016-04-26T20:20:57Z (GMT). No. of bitstreams: 1 Pedro Henrique Laranjeira Barbosa.pdf: 473669 bytes, checksum: 886efe3190d09f7b71b642b9d46db20e (MD5) Previous issue date: 2012-05-31 / This paper have as it main topic the discussion about succession in asset purchase acquisitions with goodwill. It starts with the presentation of the subject within its economic background. After, it shows the definition of succession under the private law theory and its consequences in the market for corporate control. It appears that under the Brazilian law there are two legal doctrines of the institute. The first is established by the Civil Code, taken here as the general successor doctrine. The second, defined by the provisions of the Bankruptcy law is the special successor doctrine. Finally, the work concludes with a critique of both doctrines / A presente dissertação tem como escopo a discussão da sucessão empresarial na alienação do estabelecimento empresarial. Inicia-se o debate apresentando o assunto em seu contexto econômico. Após, passa-se à análise da definição de sucessão empresarial, com base na teoria geral do direito privado, mostrando-se, logo em seguida, o impacto que tem sobre o mercado de empresas. Verifica-se que no direito positivo brasileiro existe dois regimes jurídicos distintos do instituto. O primeiro tratase daquele estabelecido pelas regras jurídicas do Código Civil, tido neste trabalho como regime geral da sucessão empresarial. Já o segundo, definido pelas disposições da Lei de Recuperação de Empresas e Falência, é o regime especial da sucessão empresarial. Por derradeiro, conclui-se o trabalho com uma crítica a ambos os regimes

The master thesis focuses on the economical development of Europe after the fi-nancial crisis and the steps used by the ECB needed for the recovery of the Europe-an economy. The empirical part analyzes the quantitative easing of the ECB and its delayed impact on inflation. The second part of the empirical master thesis re-searches the quantitative easing of the ECB and its impact on the rentability of commercial banks in the Eurozone (Deutsche Bank, BNP Paribas) and identifies factors with the strongest impact on the chosen commercial banks as well. The rentability analysis of commercial banks and the impact on inflation is made by a regression time-series analysis.

This thesis aims to investigate the long-term behaviour of the Swedish stock market under quantitative easing (QE) between the years 2015-2019 in comparison to an equally long period before the implementation of QE. The relationship is analysed within the framework of transmission channels of monetary policy and with considerations for previous research on the topic. By the means of an autoregressive distributed lag (ARDL) model, we conduct a regression analysis using the price level of the OMX Stockholm 30 (OMXS30), the value of Riksbank’s assets, the short-term interest rate and the industrial production index. The results show significant but weak evidence of a positive relationship between the OMXS30 index and the Riksbank’s assets value. Furthermore, we analyse the findings to provide an insight into the transmission of unconventional monetary policy to the stock market in a small open economy. Finally, we present some broad implications of our study, as well as suggestions for future research on the topic.

Les trois chapitres de cette thèse ont pour objectif de contribuer à une meilleure compréhension de la manière dont les politiques non-conventionnelles affectent les prix d’actifs. Ils revisitent également de manière empirique la question de l’impact de l’offre sur les prix d’actifs, et plus généralement des limites imposées à l’arbitrage, des frictions dans la réallocation des portefeuilles. Chaque chapitre présente de nouvelles données permettant de quantifier les mécanismes à l’œuvre dans le cas du programme d’achat d’actifs de l’Eurosystème (APP). Le chapitre 1 propose un modèle de portefeuille simple permettant de penser les mesures non conventionnelles dans un cadre cohérent. Les exercices empiriques confirment l’existence de plusieurs canaux de transmission des prix et évaluent l’impact de l’APP. Le chapitre 2 jette un nouvel éclairage sur le canal du rééquilibrage de portefeuille. Les fortes frictions liées à la réallocation, la forte demande d’“habitat préféré” et le faible niveau de substituabilité entre actifs permettent d’avoir un impact sur les prix, tout en limitant possiblement les retombées sur l’économie. Le chapitre 3 suggère que l’effet des achats de titres passe également si ce n’est en premier lieu par l’augmentation du coût d’emprunt de ces titres, ce qui a des répercussions sur la dispersion des taux du marché monétaire à court terme et pourrait rendre difficile à l’avenir la transmission de la politique monétaire conventionnelle si les taux autrefois considérés comme sans risque et contrôlables par la banque centrale ne pouvaient pas être contrôlés aussi précisément qu’auparavant. / The three chapters contained in this PhD thesis aim at contributing to a better understanding of how unconventional monetary policies and in particular asset purchases affect asset prices. As such, they also revisit the question of the impact of bond supply on bond prices, and more broadly the questions of limits to arbitrage, frictions in portfolio reallocation and the role of intermediaries. Each chapter brings new original data to quantify the effect on bond prices, on the short term rates, and on the portfolio reallocation of investors. Chapter 1 built a simple portfolio model allows to think of them in a consistent framework, and suggests that the type of asset purchased, the degree of risk aversion or how assets covary are important. The empirical exercises confirm the existence of several transmission channels to prices and assess the impact of the European APP. Chapter 2 sheds a new light on portfolio rebalancing in terms of asset classes and shows it is more limited than previously thought. Heavy frictions to reallocation, strong “preferred habitat” demand and low level of substituability between assets allow for price impact of central bank asset purchases but at the same time possibly limit the spillovers on the economy. The main channel through which APP affects price might be even be more indirect that one thought: chapter 3 suggests that it might come from reducing asset supply and increasing the cost of borrowing them. This has repercussions on the dispersion of short term money market rates and might be challenging in the future if rates once considered as risk free and controllable by the central bank cannot be controlled as precisely as before. In other terms, controlling the long end of the yield curve might in part comes at the cost of loosing part of the control on the short end.

Goal of master thesis Specifics of Quantitave Easing of ECB and exit strategy is to analyse monetary policy called Quantitative easing and its exit strategy. Largest part of thesis addresses this monetary policy on example of European central bank but there is also summary transmission mechanisms and opinions of effectivness of this monetary policy on examples of other central banks. On example of ECB this work describes process of quantitative easing. Also there is empicital analysis of impacts of purchases under Securities market programme on yields of goverment bonds. Result of this anylsis is finding that SMP was effective only partly, mainly at time of its announcement. Further the work analysis current balance sheet of ECB from the perspective of exit from quantitative easing concluding that ECB would be able to execute exit strategy to these days.

This diploma thesis deals with mechanisms which can be used to resolve crisis of a bank. The first chapter introduces the reader to essential theoretical background and basis for following chapters. The second chapter describes and analyzes measures used by governments to support their financial sectors in 2008 -- 2012. The first part of third chapter deals with insolvency regimes for banks and general description of new recovery and resolution regimes. The other part of third chapter contains qualitative analysis of recovery and resolution regimes adopted by European Union member states in the form of BRRD. Final chapter analyzes on the sample of ten systematically important banks applicability of bail-in tool to resolution of their crisis.