published_or_final_version / Law / Master / Master of Laws in Corporate & Financial Law

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In the first essay of this thesis I test long-run monetary neutrality (LRMN) using the longhorizon approach of Fisher and Seater [18]. Using United States' data on M 2 and Net National Product they reject LRMN for the sample 1869-1975. However, I show that this result is not robust to the use of the monetary base instead of M2. Nor is it robust to the use of United Kingdom data instead of United States data. These results are consistent with the interpretation that Fisher and Seater's result is a consequence of the financial crisis of the 1930s causing inside money and output to move together. Using a Monte Carlo study I show that Fisher and Seater's rejection of LRMN can also be accounted for by size distortion in their test statistic. This study also shows that at longer horizons, power is very low. In the second essay I consider the financial crisis of the 1930s in the United States as change in regime. Using a bivariate version of Hamilton's [24] Markov switching model I estimate the probability that the underlying regime was one of financial crisis at each point in time. I argue that there was a shift to the financial crisis regime following the first banking crisis of 1930. The crucial reform in ending the financial crisis appears to have been the introduction of the Federal Deposit Insurance Corporation in January 1934.1 also find that the time series of probabilities over the state of the financial sector contain marginal explanatory power for output fluctuations in the inter-war period. A problem when testing the null hypothesis of a linear model against the alternative of the Markov switching model is the presence of nuisance parameters. Consequently, the likelihood ratio test statistic does not possess the standard chi-squared distribution. In my third essay I perform a Monte Carlo experiment to explore the small sample properties of the pseudo likelihood ratio test statistic under the non-standard conditions. I find no evidence of size distortion. However, I do find that size adjusted power is very poor in small samples.

The first essay examines cross-sectional differences between money market mutual funds (MMMFs), in the context of the sponsoring fund family. While extant studies have shown that fund family characteristics impact the management of open-end equity mutual funds, results of this study’s analysis find that fund family characteristics also affect the management of MMMF assets, contributing to differences in the maturity of the fund’s holdings, expenses, and realized returns. I find that an MMMF is not simply a transitional account with a short-term low-risk investment objective, but rather, a critical role player within the fund family. Differences in maturity, yield, and expenses in MMMFs can be explained by family-specific characteristics, including diversification and cash management strategies at the family level. The second essay examines implications of substitutability of two similar financial assets: conventional index mutual funds and exchange traded funds (ETFs). I seek to explain the coexistence of these fund types, since both offer a claim on the same underlying index return process, but have different organizational structures. This study compares conventional open-end index funds with matched ETFs on various underlying indexes. Aggregate flows are used to detect substitution and clientele effects. I show that conventional funds and ETFs are substitutes, while ETFs have smaller tracking errors and lower fund expenses. However, I find that these fund types are not perfect substitutes, and their coexistence can be explained by a clientele effect that segregates them into different market niches.

Šiuolaikinis pasaulis sukuria vartotojams naujas priemones – galimybę gauti virtualiame pasaulyje visas įsivaizduojamas paslaugas. Siekiant tokias paslaugas padaryti prieinamesnes, supaprastinti pirkimo/pardavimo procedūras kuriamos įvairios elektroninių pinigų formos. „elektroniniai pinigai – tai pinigų vertė, išreikšta kaip pretenzija emitentui: kuri yra saugoma elektroninėse laikmenose; kuri leidžiama gavus lėšas, kurių suma yra ne mažesnės vertės už išleistą pinigų vertę; kurią įmonės, kurios nėra emitentas, priima kaip mokėjimų priemonę“. Darytina svari prielaida, kad ši pinigų rūšis taps pagrindinėmis valiutomis ir atsiskaitymo priemonėmis. Valstybės jau dabar bando perimti elektroninių pinigų kontrolę, tačiau taikomi kontrolės režimai leidžia kompanijoms kurti iš esmės savo “virtualias valstybes“, siekiama savo vartotojus išlaikyti, pasiūlyti jiems geresnes sąlygas, o kartu užtikrinti jų lojalumą, pradedamos kurti savotiškos simbolines struktūras, taip įtvirtindamos naujas vertybes. Dabartiniame pasaulyje yra kompanijų siūlančių naudotis jų sukurtais elektroniniais pinigais, pirkti jų sukurtose virtualiuose parduotuvėse, baisiausia tai, kad kompanijos atstovauja skirtingas ideologijas, kuria savo stilius taip patraukdami vartotoją. Tokį pasaulį galima sutapatinti su į decentralizuotu pasauliu, kur atskiros kompanijos kaip valstybės turi savo pinigus, savo simbolika, kuria manipuliavimo modelius. Tai patraukia vartojimą į orientuotą kultūrą. / One technology that has been described at this work is "electronic money". E-money is a smart card that actually stores money rather than account information. Such a card could be loaded with cash at an ATM just like a traditional purse or wallet. The cardholder could spend the money just like cash at any shops with the appropriate reader. Electronic money technology holds promise to replace the last area where cash is dominant – small-value transactions. It is costly to the merchant to process transactions for only a few cents with checks or credit cards because of the fixed transaction costs they incur for processing. Because they would not require approval, electronic purse transactions would be as cheap to process as cash. In order for these new technologies to revolutionize how we pay, lots of obstacles must be overcome. New technologies usually mean costly new equipment for merchants to install. They will not be persuaded to undertake this investment unless they think many customers will use them or that they will save processing costs. With new technologies, there are usually several versions vying for dominance. However, payment systems work best if everyone is compatible with everyone else. Agreeing on which of these technologies is to become the standard and licensing its widespread use can impede adoption. Finally, we have to be confident that the new technology is beneficial, private, and safe. Only when all of these hurdles have been overcome can a new... [to full text]

Tobulėjant mobiliesiems telefonams ir kitoms technologijoms, atsiranda galimybė pakeisti arba papildyti rinkoje naudojamus grynuosius pinigus jiems ekvivalenčiais elektroniniais pinigais. Elektroniniai pinigai yra viena naujausių atsiskaitymo formų ir jos realizacija rinkoje yra ribota. Darbe buvo realizuotas Stefan Brands elektroninių pinigų modelis naudojant Java platformas kompiuteryje ir mobiliajame telefone. Buvo ištirtas šių realizacijų efektyvumas ir pastebėta, kad realizacija kompiuteryje yra 100 kartų greitesnė negu mobiliajame telefone. Buvo pasiūlyta ir realizuota aritmetinių funkcijų (sudėties, skirtumo, modulio, modulinės eksponentės, postūmio į dešinę) klasė Java Card platformoje. Modulinė eksponentė buvo realizuota RSA algoritmo pagalba. Darbe pateiktas šios realizacijos greičio įvertis. Dėl lėto funkcijų vykdymo pasiūlytas mišrus vartotojo dalies protokolų realizacijos modelis. Darbe pateikiama techninės ir programinės įrangos analizė, reikalinga norint atlikti elektroninių pinigų realizaciją. Taip pat atlikta kriptografinių ir matematinių metodų apžvalga, naudojamų Stefan Brands elektroninių pinigų modelyje. / As mobile phones and technology advance new opportunities for implementation of elektronic money systems become possible. Electronic money is one of the latest methods for paying for goods and there are just a few implementations. In this work implementation of Stefan Brands electronic money model was performed. Stefan Brands protocol was implemented using Java langauge in standard computer and in mobile phone. Efficiency of these implementations was estimated and it was found that implementation on mobile phone is approximetly 100 times slower using Java ME platform. A library for for doing arithmetic operations like addition, subraction, modulus, modular exponentiation, right shift, etc. was implemented using smart card enviroment. As it is not possible to use cryptographic processor directly, RSA encryption scheme was used to perform modular exponention. Results of implementation speed were given and it was concluded that whole client side implementation using Java Card enviroment was two slow so mixed model was suggested. This work also consist of technical and software analysis needed to perform electronic money implementation. Also a brief review of cryptographic ant mathematic methods used in Stefan Brands digital cash system was performed.

In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating national debt. The transmission from public debt to inflation through money supply and long-term interest rate will be shown in the paper. Based on these theoretical thoughts, the variables public debt, consumer price index, money supply m3 and long-term interest rate will be analysed within a vector error correction model estimated by Johansen approach. In the empirical part of the article, quarterly data for Germany from 1991 by 2010 are to be examined.

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