實證證據顯示商品價格有均值回歸和跳躍的特性。由於一些商品期權收益涉及歷史商品價格的算術平均，因此我們求出算術亞式期權在均值回歸跳躍擴散過程下的分析解。比分析解是對資產價格最終值和實際平均值的聯合特徽函數進行快速傅立葉變換獲得。我們通過數值模擬研究來檢驗此建議方法的準確度和計算效率。 / Empirical evidence indicates that commodity prices are mean reverting and exhibit jumps. As some commodity option payoff involves the arithmetic average of historical commodity prices, we derive an analytical solution to arithmetic Asian options under a mean reverting jump diffusion process. The analytical solution is implemented with the fast Fourier transform based on the joint characteristic function of the terminal asset price and the realized average value. We also examine the accuracy and computational efficiency of the proposed method through numerical studies. / Detailed summary in vernacular field only. / Chung, Shing Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 40-42). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Model with constant parameters --- p.5 / Chapter 2.1 --- Model specification --- p.6 / Chapter 2.2 --- Joint characteristic function --- p.8 / Chapter 3 --- Model with time-dependent parameters --- p.12 / Chapter 3.1 --- Model specification --- p.13 / Chapter 3.2 --- Joint characteristic function --- p.13 / Chapter 4 --- Fast Fourier transform on Asian option prices --- p.18 / Chapter 5 --- Numerical results --- p.20 / Chapter 5.1 --- Comparison of the analytical solution and Monte Carlo simulation . --- p.20 / Chapter 5.2 --- Price sensitivity and model parameters --- p.26 / Chapter 5.3 --- Price sensitivity and payoff structure --- p.26 / Chapter 6 --- Conclusion --- p.33 / Chapter A --- Normally distributed jump size --- p.34 / Bibliography --- p.40

Made available in DSpace on 2016-04-26T20:49:00Z (GMT). No. of bitstreams: 1 Anderson Rodrigues dos Santos.pdf: 692521 bytes, checksum: e36185a3085ddc7f3cb3dec644dbf6ad (MD5) Previous issue date: 2010-05-20 / Banco Daycoval S.A. / This work aims to understand what are the main determinants and behavior of commodity prices since the end of the Bretton Woods System , in 1971. Among the main factors usually found in the literature as influential in commodity prices, we have supply expansion resulting from the integration of the soviet cowntries to the world economy, the increase in demand, as a result of economic growth in Asia, particularly China, the interest low levels and exchange rate relationship between the dollar and other reserve currencies and the demand for speculative reason. It also describes changes in the prices of commoditites between 1971 and 2008, enclosed in large frame movements, the first high from 1971 until the shock of Volker, the second of stagnation, due to high interest rates and oversupply commoditites, the third, lift, in response to low real interest rates, rapid economic growth and excess of international liquidity, and finally, the decline, reflecting the effects of global financial crisis in 2007-08. To complement the analysis, commodity prices are arrelated to key macroeconomic variables, to study the behavior of the data, considering the factors mentioned as determinants / Este trabalho visa compreender quais são os principais determinantes e o comportamento dos preços das commodities, desde o fim do Sistema Bretton Woods, em 1971 até 2009. Entre os principais fatores apontados na literatura como influentes nos preços de commodities estão a expansão da oferta, decorrente da integração da ex-URSS à economia mundial; o aumento da demanda, em conseqüência do crescimento asiático, chinês em particular; a manutenção dos juros em patamares baixos e a relação cambial entre o dólar e as outras moedas de reserva, além da demanda por motivo especulação. Também são descritas as variações nos preços das commoditites no mesmo período, delimitadas em quatro grandes movimentos: o primeiro de alta, de 1971 até o choque de Volker, em 1980; o segundo de estagnação, devido à taxa de juros elevada e o excesso de oferta de commoditites; o terceiro, de elevação, em resposta aos juros reais baixos, crescimento econômico acelerado e excesso de liquidez internacional; e por último, o declínio, refletindo os efeitos da crise financeira mundial de 2007-08. Para complementar a análise, relaciona-se os preços das commodities às principais variáveis macroeconômicas, para estudar o comportamento dos dados, considerando os fatores apontados como determinantes

[pt] A literatura teórica sobre taxas de câmbio apresenta uma série de resultados de difícil respaldo empírico como o forecasting puzzle da taxa de câmbio. Ao realizarmos previsões dentro da amostra e fora da amostra para as taxas de câmbio, nominal e real, e para o índice de preços de commodities do Brasil, encontramos evidências empíricas que comprovam algumas das explicações para este puzzle. Basicamente, os resultados dentro e fora da amostra apontam que o câmbio nominal apresenta um forte componente forward looking, o que poderia explicar o fracasso de muitos modelos em prever esta variável. Os valores passados do câmbio nominal conseguem gerar previsões para preços de commodities substancialmente melhores que a de um passeio aleatório, tanto no curto quanto no longo prazo, embora a relação reversa não se verifique. Uma análise comparando as previsões de nosso modelo a um modelo autorregressivo univariado mostra que esta evidência é mais fraca do que constatamos inicialmente. Para a taxa de câmbio real estendemos a análise feita na literatura de commodity currencies para medir o poder preditivo dos modelos utilizados. Considerando o exercício dentro da amostra, os preços de commodities contribuem significativamente para as previsões da taxa de câmbio, mas a causalidade no sentido contrário também ocorre. Já para as previsões fora da amostra, o modelo de correção de erros não conseguiu superar o passeio aleatório para nenhuma variável, nem mesmo no longo prazo. Os resultados são robustos à presença de quebras estruturais. / [en] In the theoretical literature on exchange rates we find many results with little empirical support. This paper seeks to contribute to a better understanding on one of the main issues that were not fully answered: the forecasting puzzle on exchange rates. By analyzing in-sample and out-of-sample forecasts for nominal and real exchange rates and the commodity price index of Brazil, we find empirical evidence on some of the explanations for this puzzle. The results insample and out-of-sample indicate that the Brazilian nominal exchange rate has an important forward looking component, which could explain the failure of many models to predict this variable. Past values of nominal exchange rate forecasts commodity prices substantially better than a random walk, both in short and long term horizons, while the reverse relation does not hold. An additional analysis in which we compare our model with a univariate autoregressive one suggests that the evidences may not be as robust as we thought at first. For the real exchange rate we extend the analysis made in the literature on commodity currencies to measure the predictive power of these models. Considering the in-sample exercise, commodity prices play an important role in predicting the Brazilian real exchange rate. However, there is also Granger causality in the opposite direction. Regarding the out-of-sample forecasts, our error correction model could not overcome the random walk model. Our results are robust to structural breaks.

This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.

No description available.

[pt] A partir do método de Rigobon (2001) para identificação de um sistema de equações simultâneas na presença de heterocedasticidade, aprofundamos a discussão sobre a relação entre os preços internacionais de commodities e o câmbio real para países com determinadas características. Ao contrário da abordagem tradicional da literatura de commodity currency nesta dissertação admitimos a possibilidade dos preços de commodities serem endógenos em relação à taxa de câmbio, trabalhamos com séries que incorporam mais de um regime cambial e, através de diversas simulações, encontramos evidências de que hipóteses sobre a estacionariedade das séries, em torno da raiz unitária, não afetam significativamente os resultados do exercício empírico. Salvo algumas restrições, os resultados derivados sugerem que o câmbio real do Brasil deve apreciar em resposta a elevações nos preços internacionais das principais commodities que exporta, mas a elasticidade dos preços de commodities em relação ao câmbio não pode ser considerada estatisticamente diferente de zero. Para a Nova Zelândia, as evidências indicam que os efeitos contemporâneos dos movimentos da taxa de câmbio sobre os preços das suas principais commodities exportadas é significativo, embora o efeito dos preços das commodities sobre o câmbio deva ser considerado estatisticamente igual a zero. / [en] Using Rigobons (2001) identification method for simultaneous equations models, based on the heteroskedasticity of the structural shocks, we analyze the relationship between the exchange rate and commodity prices for specific countries. Instead of the traditional approach of the commodity currency literature, we allow for endogenous effects of the exchange rates on the commodity prices, and we work with series that span two exchange rate regimes. From the results of some simulations, we also find out that the lack of assumptions about the stationarity of the series, close to the unity root, do not harm the conclusions of the empirical exercise. In spite of some caveats, the results of the empirical investigation suggest that the real exchange rate of Brazil should appreciate in response to a rise in the prices of its most important export commodities. However, the elasticity of the commodity prices to the exchange rate can not be considered different from zero, implicating that the country does not have much market power in the trade of these commodities. For New Zealand, the evidence indicates that exchange rate variations are important for the determination of the commodity prices, although the impact of commodity prices on the exchange rate is statistically equal to zero.

Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-01T19:42:19Z No. of bitstreams: 1 Dissertacao_Joao_Lazzaro.pdf: 438996 bytes, checksum: fa5de7c51b56f54e091b16462c9082ac (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde João Guilherme, Por favor, Nome da Fundação e Escola na cada, contra-cara tirar nome da fundação e escola, as palavras agradecimento, Abstract e resumo em caixa alta. Caso tenha dúvida verifique um trabalho de colega na biblioteca digital por favor. Grata. Suzi 3799-7876 on 2017-06-02T19:02:46Z (GMT) / Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-05T13:07:03Z No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-06-05T13:31:02Z (GMT) No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) / Made available in DSpace on 2017-06-05T20:35:34Z (GMT). No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) Previous issue date: 2017-05-12 / Country risk is known to be an important driver of emerging economies business cycles. Existing studies of macroeconomics effects of commodities prices on emerging economies' country risk assume an exogenous negative relation between these two variables. This work presents a model to explain endogenously this relation built upon the sovereign debt literature deriving from Arellano (2008). Our framework is then used to assess quantitatively the importance of the country risk effect of commodity prices on output volatility. We find that although this effect is negligible for economies with a high share of commodities on GDP but low indebtedness, the effect is important in indebted economies with a lower share of commodities in GDP. / O risco país é conhecido por ser um motor importante dos ciclos econômicos das economias emergentes. Os estudos existentes sobre os efeitos macroeconômicos dos preços das commodities sobre o risco país das economias emergentes assumem uma relação negativa exógena entre essas duas variáveis. Este trabalho apresenta um modelo para explicar endogenamente esta relação baseado na literatura de dívida soberana derivada de Arellano (2008). Este arcabouço é então utilizado para avaliar quantitativamente a importância efeito do risco país dos preços de commodities sobre a volatilidade do produto. Descobre-se que, embora este efeito seja insignificante para economias com uma alta proporção de commodities em relação ao PIB e baixo endividamento, o efeito é importante em economias endividadas com menor participação de commodities no PIB.

This diploma thesis focuses on providing complete characteristics of European electroenergetic industry by sample of 28 most important companies from 28 countries. Analyzing these companies, their financial results and relations to surroundings during terms from 2001 to 2010 is made by means of financial analysis, then output analysis and statistical analysis to prove relations between companies' financial results and macroeconomic and microeconomic factors. As a result of partial analyses there are several findings, of which the most interesting ones are following. Financial results were getting better during observating period, indebtedness was decreased in spite of low level of indebtedness at the beginning, however companies didn't show high profitability of their capital. Companies from southeastern part of Europe had worse results than the others. By statistical analysis there wasn't observed significant influence of prices of input commodities necessary for electricity production. On the other side the positive connection between domestic product with price index and development of these companies was found significant. During this period the decrease of portion of these companies in electricity production in domestic economies was found with average partial privatization.

[pt] Esta tese é composta por três artigos independentes relacionados a macroeconomia. No primeiro artigo, nós aumentamos um modelo dinâmico de equilíbrio geral relativamente padrão com fricções financeiras, a fim de quantificar os efeitos macroeconômicos da expansão de credito observado no Brasil. No modelo, um estilizado setor bancário intermedia credito das famílias pacientes para as famílias impacientes e empresas. A novidade fundamental deste artigo é que nós modelamos a restrição de crédito enfrentada por (impacientes) famílias em função do rendimento do trabalho futuro. No modelo calibrado, expansão de crédito gera apenas modestos resultados sobre o crescimento acima do potencial do consumo, investimento e PIB. No segundo artigo, documentamos que a associação entre o crescimento do consumo médio per capita e a expansão do crédito é mais forte em países com maior desigualdade de renda. Nós usamos um modelo de mercados incompletos com famílias heterogêneas, risco idiossincrático e restrições ao crédito para verificar em que medida este arcabouço teórico pode racionalizar a evidencia empírica. Mostramos que, quando a fonte de desigualdade de renda vem do menor nível de capital humano fixo das famílias, o nosso modelo pode racionalizar a evidência empírica encontrada. Uma vez que as outras fontes de desigualdade de renda consideradas, o resultado oposto corre. Finalmente, no terceiro artigo, nós usamos um modelo de vetor auto-regressivo com fator aumentado (FAVAR) para estimar o impacto de um choque na taxa de juros internacional e de choque de preços de commodities na economia peruana. Nossos resultados sugerem que um choque positivo de taxa de juros internacional tem efeitos contracionistas, reduzindo o PIB, a taxa de inflação e gerando uma depreciação cambial, aumentando a taxa de juros interna e uma redução das reservas internacionais. No caso de choque de precos de commodities, encontramos que os nossos resultados são consistentes com a literatura, em que um choque positivo expande o PIB, as exportações líquidas e taxa de inflação. / [en] This thesis is comprised of three articles independent related to macroeconomics. In the first article, we augment a relatively standard dynamic, general equilibrium model with financial frictions, in order to quantify the macroeconomic effects of the credit deepening process observed in Brazil. In the model, a stylized banking sector intermediates credit from patient households to impatient households and firms. The key novelty of the paper is to model the credit constraint faced by (impatient) households as a function of future labor income. In the calibrated model, credit deepening generates only modest above-trend growth in consumption, investment, and GDP. In the second article, we documented that the association between consumption growth and credit expansion is stronger in countries with higher income inequality. We use an incomplete markets model with heterogeneous households, idiosyncratic risk and borrowing constraints to check in which extent this theoretical framework can rationalize the empirical finding. We show that when the source of income inequality comes from households lowest fixed level of human capital, our model can rationalize the empirical evidence. Once other sources of income inequality are considered, the opposite occurs. Finally, in the third article, we use a Factor-Augmented Vector Autoregressive (FAVAR) model to estimate the impact of an international interest rate shock and a commodities price shock on the Peruvian economy. Our results suggest that a positive international interest rate shock has contractive effects, it reduces GDP and inflation rate and generates an exchange rate depreciation, an increase of the domestic interest rate and a reduction of international reserves. In the case of commodity price shock, we find that its effects are consistent with the previous literature in which a positive shock expands GDP, net exports and inflation rate.