Throughout the last century there has been an extensve discussion regarding the optimal capital structure.Excessive research has further been conducted to understand the relationbetween the market debt and equity on an aggregated market-level. However, it is observed that the research on thefirm-specific co-movement of stock and bondsis scarce. Since the last financial crisis,the bond market has especiallyseen a rapid growth. The growthstemsfrom the low interest rate climate togetherwithmore restrictive lending policies from banks. Based on this discussion the purpose of this research is to investigate if Swedish corporationsare making the optimal capital structure decision. This based on a potential co-movement of stocks and bonds. To answer the purpose the research question was therefore: What is therelationship between a corporation’s bond returnand stock return?The scientific method that was used in this research is a quantitative method witha deductive process and a positivistic angle. Because the research uses the whole population that is available, this is a censusstudy. In the population companies that have been active on the stock and the bond market sometime during the period from 2008 to 2018. Although, companies that have been delisted during this period have been excluded. From a population of 75 companies and 1972 observations, two regressions were made due to the inconclusive results regarding the dependency of stock return and bond return. No significant result between the returns was found. However, a significant result between marketcapitalizationand the returns togheter with stock standard deviation and the returns was found. Based on the result, the authors could conclude that there seems to be a demand for the issuance of both stocks and bonds. This follows a discussion regarding the possibility of diversification of the securities based on the modern portfolio theory. Further, the authors can conclude that the theories regardin the irrelevance of capital structure are applicable. Finally,the authors can conclude that the stakeholder theory can explain the value creation in a more appropriate fashion in relation to the result. The authors canthereforeconclude that the debt-equity dilemma still is present and further research within the area is required.

The main purpose of this thesis is to assess the potential of emerging stock markets and commodity markets in attracting the attention of international investors who utilize various portfolio diversification strategies to reduce the cumulative risk of their portfolio. A successful portfolio diversification strategy requires low correlation among financial markets. However, it is now well documented that the correlations among financial markets in developed countries are very high and hence the benefits of international portfolio diversification among these markets have been very limited. This fact suggests that investors should look for alternative markets whose correlations with developed markets are low (or even negative if possible) and which have high growth potentials. In this thesis, two emerging countries&#039 / stock markets and two commodity markets are considered as alternative markets. Among emerging countries, Turkey and China are chosen due to their promising growth performance since the mid-2000s. As commodity markets, agricultural commodity and precious metal markets are selected because of the outstanding performance of the former and the &quot / safe harbor&quot / property of the latter. The structures and properties of dependence between these markets and stock markets in developed countries are examined by modeling the conditional correlation in the dynamic conditional correlation framework. The results reveal that upward trend hypothesis is valid for almost all correlations among market pairs and market volatility plays significant role in time varying structures of correlations.

La question centrale qui chapeaute cette thèse est : quelle sont les sources des fluctuations économiques ? De nombreux articles mettent en évidence le rôle majeur des facteurs et chocs financiers. A partir de ce postulat, j'analyse la capacité des modèles macroéconomiques dynamiques à reproduire les co-mouvements observés dans les données entre la production, la consommation, l'investissement et l'emploi, suite à un choc financier. Le premier chapitre montre que les modèles standards n'arrivent pas à générer ces co-mouvements, car ils impliquent des mouvements opposés entre la consommation et l'investissement. Une solution est de modéliser des banques qui prêtent à la fois aux entreprises et aux ménages, puis de considérer le choc financier comme un resserrement simultané des contraintes de crédit des deux types d'emprunteurs. Le second chapitre est une évaluation quantitative de cette idée. Avec David Gauthier, nous estimons un riche modèle macroéconomique sur données américaines à l'aide de méthodes bayésiennes. Nous motivons notre choc de collatéral par l'observation que les banques américaines ajustent les conditions de crédit de manière similaire pour les firmes et les ménages. Nous trouvons que le choc de collatéral explique une large partie des fluctuations économiques, car il est capable de générer les co-mouvements. Le troisième chapitre est l'étape suivante. Je souhaite endogénéiser les conditions de prêts bancaires. L'idée est de reproduire la récession de 2008, au cours de laquelle un choc dans le marché immobilier affectant initialement les ménages a été transmis au reste de l'économie à travers les banques qui ont diminué le crédit alloué aux entreprises. / The main question at the heart of this thesis is, what drives business cycle fluctuations? A growing body of evidence suggests that financial factors and shocks matter most. Based on this premise, I ask whether financial shocks in dynamic macroeconomic models can generate the positive co-movements in output, consumption, investment, and hours worked observed in the data. The first chapter shows that standard models fail in doing so, because they typically imply a countercyclical response of consumption. One solution is to have banks lend both to firms and households, and to assume, that the financial shock is a common credit tightening on both. The second chapter offers a quantitative analysis of this idea. Together with David Gauthier, we motivate what we call the collateral shock by documenting that banks in the US effectively adjust standards in a similar way regard less if the borrower is a firm or a household. We estimate a rich macroeconomic model with Bayesian methods on US financial and macro data over the 1985-2015 period. We find that the collateral shock is the main driver of economic fluctuations. The reason is the collateral shock is able to generate pro cyclical consumption, investment, hours, and credit to firms and households, which are features of US business cycles. The third chapter attempts to go a step further by making lending standards endogenous. The idea is to have banks act as a propagation channel. A shock that emerges in the housing market and that initially affects households is transmitted to firms by a panic-prone financial sector that tightens credit to businesses. This model would replicate the story of the 2008 recession in the United States.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Este trabalho usa a metodologia de identificaÃÃo de tendÃncias e ciclos comuns de Vahid e Engle (1993) para identificar a presenÃa de co-movimentos de curto e longo prazo entre as atividades industriais dos estados brasileiros. Para cumprir esse devido fim, o trabalho analisa o comportamento mensal do setor industrial dos estados da Bahia, Pernambuco, ParanÃ, Rio de Janeiro, Rio Grande do Sul e SÃo Paulo, no perÃodo de janeiro de 2002 atà outubro de 2014. Os testes comprovam a existÃncia de uma tendÃncia estocÃstica comum e seis ciclos comuns. Os resultados apontam que desvios do equilÃbrio de longo prazo na produÃÃo real da indÃstria em um dado estado à capaz de influenciar a trajetÃria de produÃÃo dos demais estados. As sÃries apresentaram um comportamento prÃ-cÃclico perante aos choques transitÃrios, compartilhando de um comportamento similar de curto prazo. / This work uses the methodology implemented by Vahid and Engle (1993) in order to investigate the presence of co-movements of short and long-run between industrial activities of Brazilian states. To this end, it analyzes the industrial sector monthly behavior for the states of Bahia, Minas Gerais, Pernambuco, ParanÃ, Rio de Janeiro, Rio Grande do Sul e SÃo Paulo during the 2002.1-2014.9 period. The tests has proven the existence of a common stochastic trend and six common cycles between the series. Moreover, the results show that deviaton of long run balance in real production industry in a given state is able to influence the path of production of other states. Finally, the series has a pro-cyclical behavior face transitory shocks, sharing a similar short-term behavior.

La thèse est composée de trois parties. La première présente un certain nombre de mesures de dépendance extrême. Une application sur les actions et les obligations de 49 pays montre que la théorie des valeurs extrêmes multivariées conduit aux résultats différents de ceux issus du coefficient de corrélation, mais relativement proches de ceux obtenus du rho de Spearman conditionnel multivarié. Cette partie évalue aussi le risque de pertes importantes simultanées. La deuxième partie examine les déterminants des co-mouvements extrêmes entre 5 pays core et 49 pays non core. Les mécanismes de transmission des chocs varient de la période moins récente à la période récente, des pays développés aux pays émergents, des chocs normaux aux chocs extrêmes. La troisième partie étudie le rôle de valeur refuge de l’or sur la période 1986-2012. Les gains positifs extrêmes de l'or peuvent être liés aux pertes extrêmes du S&P. Cependant, ce lien n'est pas toujours valable, il évolue dans le temps et serait conditionné par d'autres facteurs. / The thesis consists of three parts. The first part introduces a number of measures of extreme dependency. An application on stock and bond markets of 49 countries shows the multivariate extreme value theory leads to results which are different from those from the correlation coefficient, but relatively close to those obtained from multivariate conditional Spearman's rho. This part also assesses the risk of simultaneous losses. The second part examines the determinants of extreme co-movements between 5 core countries and 49 non-core countries. Transmission mechanisms of shocks vary from less recent to recent period, from developed to emerging markets, from normal to extreme shocks. The third part examines the role of safe haven of gold over the period 1986-2012. Extreme positive gains of gold can be linked to extreme losses of S&P. However, this relationship is not always valid, it evolves over time and could be determined by other factors.