This thesis aims to study how much of price appreciations on the Swedish real-estate market in recent times have been fundamentally warranted, as well as if the unconventional monetary policies implemented by the Swedish central bank have had any interaction with these price escalations. The methodology employed to research this is divided into two parts. Firstly, a bubble component time series has been computed using a Kalman filtering technique in a state-space model in which the bubble is inferred from a fundamental equation. The next step involves studying the dynamics between the bubble element vis-a-vis the quantitative easing policies implemented by Riksbanken. This procedure involves estimating vector autoregressive models in which several policy variables are included in the nexus and analyzed simultaneously to better grasp how QE transmits and impacts the component for the bubble. The empirical results from the first segment designate that price inflation on the Swedish housing market has become more and more principally unjustifiable throughout the sample. However, no significant inference may be made in this stage as to whether or not the market is influenced by a speculative bubble. In the dynamic system, some, yet thin evidence is found of quantitative easing policies preceding the evolvement of exuberance in house prices. Conclusively, this thesis affirms most of the growth in the non-fundamental part of prices to an expansion of credit, which in turn cannot be accredited to the policies of the Swedish Riksbank. Only a slight expectational effect is found and therefore we conclude that quantitative easing only has a trivial impact on the development of a speculative bubble in the market for real-estate.

This licentiate thesis is a collection of two essays that utilize time-series econometric methods in real estate finance. The first essay applies econometric modelling on Real Estate Investment Trust (REIT) index returns, focusing on estimating the effect of the quantitative easing (QE) and quantitative tightening (QT) programmes on U.S. equity REIT index returns, while controlling for several other important macro-financial factors. The second essay instead focuses on forecasting U.S. equity REIT index returns empirically, where the performance of a traditional econometric model (ARIMA) is compared to a modern state-of-the-art deep learning-based model (LSTM). Digitalization, which encompasses a broad range of technological advancements, is the main factor that we study for its impact on REIT investments. One perspective on the impact of digitalization on REITs is its effect on inflation. Digitalization has the potential to increase productivity and reduce costs, which could help to keep inflation low. This, in turn, has in the recent decades provided a supportive environment for REIT investments through lower interest rates, which we partly investigate in the first essay. Another perspective is that digitalization has not only led, but is also expected to lead, to significant innovations in the field of artificial intelligence (AI) and machine learning (ML), including deep learning (DL), which is a subset of ML. Many researchers and market practitioners are currently working to develop models that can use large amounts of data to make better forecasts and investment decisions. If successful, these models could significantly improve the performance of REIT investments. Can DL models be trained to make better forecasts for making investments? This is a question we ask ourselves in the second essay. The study of digitalization and its effects on inflation has been a growing area of interest in recent years, with researchers exploring the potential impact of technological advancements on macroeconomic trends, which founded the base to our studies. However, recent developments in the global economy have shifted the focus of this research, as inflation levels have unexpectedly risen from what was previously believed to be a low and stable environment. As a result, the setting and framework for our research on digitalization and inflation have been significantly altered, as we have tried to adapt to this changing landscape. / Denna licentiatuppsats är en samling av två forskningsartiklar som använder tidsserieekonometriska metoder inom finansiell ekonomi med fokus på fastighetsaktier. Den första artikeln tillämpar ekonometriska metoder på tidsseriedata för amerikanska börsnoterade fastighetsfonder, Real Estate Investment Trusts (REITs), med fokus på att uppskatta effekten av icke-konventionella penningpolitiska aktiviteter (kvantitativa lättnader och kvantitativ åtstramning) på avkastningsserierna, samtidigt som vi kontrollerar för andra viktiga makroekonomiska och finansiella variabler. Den andra artikeln fokuserar istället på att bygga modeller för prognoser av avkastningen på avkastningsserierna empiriskt, där prognosfelen för en traditionell ekonometrisk modell (ARIMA) jämförs med en modern djupinlärningsbaserad modell (LSTM). Digitalisering, som omfattar ett brett spektrum av tekniska framsteg, är den viktigaste faktorn som vi studerar för dess inverkan på REIT-investeringar. Ett perspektiv på digitaliseringens inverkan på REITs är dess effekt på inflationen. Digitalisering har potential att öka produktiviteten och minska kostnaderna, vilket kan bidra till att hålla inflationen låg. Detta har i sin tur under de senaste decennierna varit fördelaktigt för REIT-investeringar genom lägre räntor, vilket vi delvis undersöker i den första uppsatsen. Ett annat perspektiv är att digitaliseringen inte bara har lett, utan också förväntas leda, till betydande innovationer inom området artificiell intelligens (AI) och maskininlärning (ML), inklusive djupinlärning (DL), som är en delmängd av ML. Många forskare och professionella aktörer arbetar just nu med att utveckla modeller som kan använda stora mängder data för att göra bättre prognoser och investeringsbeslut. Om de lyckas kan dessa modeller förbättra resultatet för REITinvesteringar avsevärt. Kan DL-modeller tränas för att förbättra möjligheterna till att göra mer tillförlitliga prognoser och därmed öka chanserna till att göra mer lönsamma investeringar? Det är en fråga vi ställer oss i den andra artikeln. Digitalisering och dess effekter på inflationen har varit ett starkt växande fält inom såväl forskning som praktisk tillämpning de senaste åren, med forskare som undersöker den potentiella inverkan av tekniska framsteg på makroekonomiska trender, vilket har legat till grund för våra studier. Den senaste tidens utveckling i den globala ekonomin har dock flyttat fokus för denna forskning, eftersom inflationsnivåerna oväntat har stigit från vad som tidigare ansågs vara en låg och stabil miljö. Som ett resultat har miljön och ramarna för vår forskning om digitalisering och inflation ändrats avsevärt, eftersom vi har försökt anpassa oss till detta föränderliga landskap. / <p>QC 20231201</p>

The aim of this thesis is monetary policy of the Federal Reserve during the global financial crisis and its impact on the U.S. economy. Intensively carried out the financial crisis in 2007 - 2009. At that time, the Fed has created several tools to support liquidity of depository institutions and primary dealers, which are represented mainly by investment banks and other businesses, such as money market funds. The balance sheet of the central bank has fundamentally transformed. Securities accepted in open market operations have expanded and amount of the balance sheet has increased several times. Operations that change size of liabilities and composition of assets are called quantitative easing. After the interventions of the U.S. central bank the financial markets stabilized and Fed set aside some of the new tools. From December 2007 to June 2009 was the U.S. economy officially in recession. Since then has economic activity been growing but only very slowly.

Made available in DSpace on 2016-04-29T14:16:36Z (GMT). No. of bitstreams: 1 Solange Monteiro Amador.pdf: 860317 bytes, checksum: 72b0bff2792d45bfd1e12fc3bcfdce9e (MD5) Previous issue date: 2014-11-17 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This thesis focuses on the work category in the Brazilian production and social reproduction. This category was examined through the prism of Bolivian immigrants, workers and residents in the sewing factories in the city of São Paulo, in order to understand the modern slave labor. The research, both theoretical and empirical, consists on the study of references about the Brazilian historical process, highlighting the debate over the slave and free labor, the implementation of neoliberal ideology, the flexibility of labor, the expansion of informal work, the repetition on forms of organization and labor relations and the resulting deregulation of rights, beyond the perpetuation of slave labor. The productive restructuring in the textile garment sector enables the Bolivian legal and illegal immigration, encouraged by the demand for labor in the sewing garages, forming the modern slave labor. The research relies on interviews with four Bolivians who work in sewing shops in the city of São Paulo, one of whom, owner of the garage. The display of the results of field research supports all bibliographic review, focusing on the concrete social process. São Paulo registered 17.960 Bolivians living in the city in 2013. This number represents an increase of 173 % since 2000 and puts the Bolivian immigrant colony in second position in the city, whose leadership is Portuguese. Many Bolivians who live and work in sewing garages in the central districts of São Paulo city are part of the 21 million slave laborers in 2013 around the world. This manpower army generated a profit to the private economy about 330 billion reais according to the ILO, which also revealed this amount as twice the value generated by the international drug dealing. Slavery abolished in Brazil in 1888 with the Golden Law reveals itself under a new guise, positioning the work category at the center of debate / Esta tese versa sobre a categoria trabalho no processo de produção e reprodução social brasileiro. Tal categoria foi examinada pelo prisma dos imigrantes bolivianos, trabalhadores da costura e residentes nas oficinas da cidade de São Paulo, com o intuito de compreender o trabalho escravo moderno. A pesquisa, de natureza teórico-empírica, constitui-se do estudo de referências bibliográficas sobre o processo histórico brasileiro, com destaque ao debate acerca do trabalho escravo e livre, da implementação do ideário neoliberal, da flexibilização do trabalho, da ampliação do trabalho informal, do rebatimento nas formas de organização e relações do trabalho e da decorrente desregulamentação de direitos, além da perpetuação do trabalho escravo. A reestruturação produtiva do setor-têxtil-vestuário viabiliza a imigração boliviana legal e clandestina, alimentadas pela demanda de mão de obra nas oficinas de costuras, compondo o trabalho escravo moderno. A pesquisa conta com entrevistas realizadas com quatro bolivianos que trabalham em oficinas de costura da cidade de São Paulo, sendo um dos quais, dono da oficina. A exposição dos resultados da pesquisa de campo acompanha toda a revisão bibliográfica, privilegiando o processo social concreto. São Paulo registrou 17.960 bolivianos vivendo na cidade em 2013. Esse número representa um aumento de 173% desde o ano 2000 e coloca a colônia imigrante boliviana em segunda posição na cidade, cuja liderança é portuguesa. Muitos dos bolivianos que vivem e trabalham em oficinas de costura nos bairros centrais da cidade de São Paulo compõem os 21 milhões de trabalhadores escravos mundiais de 2013. Esse exército de mão de obra gerou um lucro para a economia privada de cerca de 330 bilhões de reais de acordo com a OIT, que revelou ainda, ser esse saldo duas vezes superior ao resultante do tráfico internacional de drogas. A escravidão abolida no Brasil em 1888 com a Lei Áurea se desvela sob uma nova roupagem, posicionando a categoria trabalho no centro do debate

Cette thèse contribue à la littérature sur le défaut souverain en offrant une nouvelle approche d'analyse, réconciliant les approches statistiques et structurelles. Avec comme fil rouge le lien entre crises financières, accumulation de dette et défaut souverain, ce travail répond à trois questions principales.En premier lieu, quand les pays font-ils défaut ? En posant un simple regard sur les principales variables macroéconomiques et les composantes cycliques des défauts souverains, je montre que le défaut se produit quand le pays subit un retournement brutal de croissance, ajouté à un large choc discontinu sur son ratio de dette sur PIB, apporté en majorité par une crise de change ou une crise bancaire.En second lieu, en quoi le risque souverain au sein d'une zone monétaire (par exemple la zone euro) diffère de celui d'une petite économie ouverte en change flexible, majoritairement décrit dans la littérature ? Je construis un modèle DSGE néo-keynésien dans lequel j'introduis du risque souverain ; je mets l'accent sur le rôle clé des comportements de consommation, à la fois dans la préférence pour l'union monétaire et dans la décision de défaut. Je regarde également l'efficacité de certaines politiques fiscales sur la réduction du risque souverain dans une zone monétaire.Enfin, les instruments de politique monétaire ont-ils été efficaces pendant la crise pour réduire les taux souverains ? J'évalue la transmission de la politique monétaire de la BCE, à la fois conventionnelle et non-conventionnelle, aux taux et aux volumes d'émissions de titres souverains pour les quatre plus importantes économies européennes. Je montre que seule la transmission du taux directeur vers les taux souverains a été effective ; les instruments non-conventionnels ont eu des résultats contrastés et essentiellement sur les taux d'intérêt. / This thesis offers a new approach to sovereign default analysis, by tackling both statistical and the structural approaches to sovereign default. Starting from the link between financial crises, debt accumulation and sovereign default, it answers three main questions.First, when do countries default? Taking a simple look at macroeconomic variables and business cycles around default, I show that economic defaults occur when the country experiences a switch from a boom to a bust, combined with a large discontinuous shock on its debt-to-GDP ratio, brought mainly by a currency or a banking crisis.Second, how sovereign risk in a monetary union (e.g. the Eurozone) differs from sovereign default risk in a small open economy usually described in default literature? Constructing a New-Keynesian DSGE model with sovereign default risk, I exhibit the key role of habit persistence in the preference for a monetary union and the default decision. I am also able to test the efficiency of various policy tools on sovereign risk.Third, have monetary policy tools been efficient to reduce sovereign spreads in the Eurozone? I assess the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and bond issuance for the four largest economies of the Euro area. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates.

本研究致力於探討美國聯準會(FED)實施量化寬鬆政策(QE)與否，商業銀行資產負債表對於股價的影響。本文藉由總經指標(工業生產指數、製造業採購經理人指數)、利差變數(公司債利差、10年期公司債利差)，以及資產負債表變數(存款、貸款等)，對商業銀行股價進行解釋。並透過量化寬鬆政策(QE)的虛擬變數，了解該政策對股價的影響，以及實施該政策是否能夠改善資產負債表變數的顯著程度和影響方向。方法上，本文採用迴歸分析的方式進行實證分析。首先，研究以總經指標以及利差變數對股價進行解釋，且期間限定為量化寬鬆政策期間，藉此確認這兩類變數對股價的影響。後續則以加入資產負債表變數、量化寬鬆(QE)虛擬變數等，並將期間延伸至15年，以進一步釐清實施量化寬鬆(QE)政策的影響。本文實證結果顯示，美國量化寬鬆政策對於商業銀行股的股價有負面影響，且活期存款對股價的影響亦為負向。 / The thesis focuses on the FED policy – Quantitative Easing (QE) and how the policy affect the S&P 500 commercial bank sub-index return. Based on past researches, the article includes macroeconomic variables (IP, PMI), term structure variables, bank balance sheet variables (deposits and loans), and a QE dummy variable. With these variables, the outcomes are generated by regression. It can be observed that with the implementation of QE policy, stock returns are negative on average. Moreover, large banks would benefit from provide more commercial loans; on the other hand, small banks would obtain a positive return by lending more consumer loans. Demand deposits are another significant variable which would have negative impact on stock returns.

會計作為企業的語言，必須忠實表達企業在期間內的經營成果、財務狀況與現金流量，而物價波動可能導致的資訊扭曲，對外會計報表的允當性面臨挑戰，對內可能導致錯誤的決策，最終將侵害股東的權益，嚴重影響企業的發展與存續。 通貨膨脹會侵蝕以本國貨幣表示的金額、納稅義務的價值及衡量稅基的影響，若沒有經過適當的調整可能會破壞整體稅務體系，不是導致虛盈實稅的現象就是為納稅義務人提供無止盡的避稅管道，嚴重影響國家財政。 近期，美國、歐洲及日本等世界經濟強權為了扭轉國內經濟頹勢，採取貨幣寬鬆政策以期增加民間消費，而高度仰賴國際貿易的台灣，也可能受到貨幣寬鬆政策的影響。本研究蒐集國內外文獻，探討通貨膨脹對財、稅的影響，主張國內應重視通貨膨脹會計的建置及課稅所得的調整。 / Accounting information must reveal companies’ result of operation, financial conditions and cash flow. Price fluctuations, however, could distort the information, challenging the faithfulness of financial statements and leading to improper decisions. Eventually, it will erode stockholders’ right and impair the development of enterprises. Inflation could erode the amounts expressed in national currency, the value of tax obligations and the measurement of tax bases. Without proper adjustment of inflation, it may destroy the tax system, such as providing countless measures for tax avoidance which result in significant impact on national finance. Recently, economic superpower, like the U.S, the EU or Japan adopt monetary quantitative easing policy to stimulate private consumption in order to reverse the depression of the domestic economy. Taiwan, an international-trade-oriented country may be involved in the spillover effects. In this study, we collect literatures and study the impact of inflation on both financial reporting and tax. Our conclusion is that we should pay more attention to construct inflation accounting and the adjustment system on taxable income.

Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In this work, I empirically investigate the macroeconomic determinants of UK ERP. For this I parsimoniously cover a large body of literature stemming from ERP puzzle. I motivate the empirical investigation based on three mutually exclusive theoretical lenses. The thesis is organised in the journal paper format. In the first paper I review the literature on ERP over the past twenty-eight years. In particular, the aim of the paper is three fold. First, to review the methods and techniques, proposed by the literature to estimate ERP. Second, to review the literature that attempts to resolve the ERP puzzle, first coined by Mehra and Prescott (1985), by exploring five different types of modifications to the standard utility framework. And third, to review the literature that investigates and develops relationship between ERP and various macroeconomic and market factors in domestic and international context. I find that ERP puzzle is still a puzzle, within the universe of standard power utility framework and Consumption Capital Asset Pricing Model, a conclusion which is in line with Kocherlakota (1996) and Mehra (2003). In the second paper, I investigate the impact of structural monetary policy shocks on ex-post ERP. More specifically, the aim of this paper is to investigate the whether the response of UK ERP is different to the structural monetary policy shocks, before and after the implementation of Quantitative Easing in the UK. I find that monetary policy shocks negatively affect the ERP at aggregate level. However, at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of Quantitative Easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the Bank of England’s monetary policy before and after the monetary stimulus. In the third paper I examine the impact of aggregate and disaggregate consumption shocks on the ex-post ERP of various FTSE indices and the 25 Fama-French style value-weighted portfolios, constructed on the basis of size and book-to-market characteristics. I extract consumption shocks using Structural Vector Autoregression (SVAR) and investigate its time-series and cross-sectional implications for ERP in the UK. These structural consumption shocks represent deviation of agent’s actual consumption path from its theoretically expected path. Aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, when the actual consumption is less than expected, the ERP rises. Durable and Semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks. In the fourth and final paper I investigate the impact of short and long term market implied volatility on the UK ERP. I also examine the pricing implications of innovations to short and long term implied market volatility in the cross-section of stocks returns. I find that both the short and the long term implied volatility have significant negative impact on the aggregate ERP, while at sectoral level the impact is heterogeneous. I find both short and long term volatility is priced negatively indicating that (i) investors care both short and long term market implied volatility (ii) investors are ready to pay for insurance against these risks.

This dissertation presents the results of research focused on the Austrian business cycle theory (ABCT). The main part of the thesis is an econometrical test of five predictions based on ABCT. I used data on the US economy for period 1967 - 2016, which is the longest time period covered in the Austrian empirical literature so far. Since one of the most important variables for ABCT is so called interest rate gap (the difference between market interest rate and natural interest rate), I use three alternative models of this variable. The results of my empirical tests predominantly confirm theoretical predictions of ABCT. It can be shown that the interest rate gap influenced the relative structure of economic activity and resource allocation in a way predicted by ABCT. I also investigate whether the interest rate gap does have a significant impact on stock market valuations (in terms of aggregate level or relative structure), although the results are mostly statistically insignificant. In addition I also described several possible new distortions which may emerge due to unconventional monetary policy. I argue that these distortions should be of primary interest for researchers engaged in the Austrian research program. I devoted special attention to the specifics of monetary policy regime in Japan, where the Bank of Japan regularly intervenes on the stock market. Another theoretical contribution can be found in the second chapter where I respond to the White's (1999) claim that Hayek implicitly repudiated his own version of ABCT in later part of his career, when proposing free competition in money production. I attempt to show that White's conclusion stems from an inadequate interpretation of Hayek's writings. Finally I provide an alternative interpretation of Hayek's work that reveals the compatibility of his early and late theoretical contributions.

The main aim of this final thesis is to analyze unconventional monetary policy of American central bank, which has been implemented during financial crisis in 2008. Fed used extremely accommodative monetary policy to restore interbank liquidity and to stimulate the real economy. In theoretical part of this thesis is examined the liquidity trap. The thesis describes transmission mechanism of transferring Fed measures to financial markets and real economy as well. Practical part of the thesis analyzes further steps of Federal reserve system, which have been implemented when key interest rates have already been lowered near the zero bound. The thesis is finished by the evaluation of these steps of American monetary authority and behavior of US stock market, which has been directly stimulated and is currently reaching its all-time highs.