L'objectif de cette thèse est d’étudier à côté du risque défaut, le rôle spécifique des risques de volatilité et de co-volatilité dans la formation des taux longs dans la zone euro. On propose en particulier un modèle théorique de choix de portefeuille à deux pays permettant d’évaluer la contribution des primes de risque de volatilité aux processus de contagion et de fuite vers la qualité dans différents épisodes de la crise de la dette souveraine. Ce modèle permet également d’analyser le rôle des achats d’actifs (QE) de la BCE sur l’équilibre des marchés obligataires. Nos tests empiriques suggèrent que les programmes QE de la BCE à partir de mars 2015 n’ont fait qu’accélérer « une défragmentation » des marchés obligataires de la zone euro, apparue plus tôt dans la crise, dès la mise en place de l’OMT. / This thesis examines the specific role of volatility risks and co-volatility in the formation of long-term interest rates in the euro area. In particular, a two-country theoretical portfolio choice model is proposed to evaluate the volatility risk premia and their contribution to the contagion and flight to quality processes. This model also provides an opportunity to analyze the ECB's role of asset purchases (QE) on the equilibrium of bond markets. Our empirical tests suggest that the ECB's QE programs from March 2015 have accelerated the "defragmentation" of the euro zone bond markets.

The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. We set out to test such claims in our own controlled study. This paper is written from the perspective of a portfolio manager and examines four main variables: share/token prices, log returns, volatility, and trading volumes in a difference-indifference statistical regression in order to compare the performance of sustainable and unsustainable portfolios in the context of the market shock suffered on March 11, 2020. We are using both a traditional asset, stocks, and a non-traditional asset, cryptocurrencies, therefore analysing a total of four investment portfolios. The present study aims to help fill in a gap in the current literature regarding the extension of the flight-to-quality theory to sustainable and unsustainable assets, treating sustainable stocks and cryptocurrencies as our safer assets and unsustainable stocks and cryptocurrencies as our riskier assets. Method results uncover that, on the surface, a sustainable equity portfolio does indeed seem to have lower return volatility and less negative average returns post-WHO announcement compared to an unsustainable equity portfolio, but a deeper statistical analysis indicates that a high ESG score is not the main factor influencing such performance. Sustainable cryptocurrency portfolio results uncover a different picture of significantly lower average returns and higher return volatility post-event compared to the unsustainable crypto portfolio. However, the PoS sustainability factor is not the main suspect in the poor performance indicated by the statistical analysis. The flight-to-quality cannot be extended to sustainable assets due to the lack of significant evidence and the performance dynamics of the average returns. Our analysis finds that the sustainability factor alone does not provide a benefit to portfolio managers and investors in the context of equity and alternative asset classes. This paper contributes empirical evidence to the green finance theory and puts forward relevant advice for investment policy statement consideration.

[pt] Estudei a transmissão da política monetária via canal de crédito com uma base mensal dos balanços dos bancos brasileiros de 2003 a 2017. Concluí que bancos que ofertam mais crédito subsidiado pelo governo e proveniente de captações compulsórias são menos sensíveis a variações da política monetária. Dessa forma, ao manter uma política de incentivo econômico via expansão do crédito, o governo está obstruindo esse canal de transmissão e consequentemente reduzindo a potência da política monetária. Adicionalmente, concluo que os bancos continuam rebalanceando sua carteira de crédito meses após o choque monetário, o que corrobora a visão de Bernanke e Blinder (1992) de que os bancos não desfazem seus contratos de crédito vigentes, mas apenas se recusam a fazer novos. Por fim, verifico um efeito de flight-to-quality em períodos de aperto monetário e menos liquidez na economia. Bancos tendem a reduzir mais seus créditos de alto risco do que os créditos de baixo risco. Entretanto, ao manter um alto volume de crédito subsidiado e proveniente de depósitos compulsórios esse efeito é mitigado. / [en] I have studied monetary policy transmission through the credit channel based on monthly financial statements of Brazilian banks from 2003 to 2017. I have come to the conclusion that banks which offer a higher amount of government subsidized credit originated from compulsory fund raising are less likely to be affected by changes in interest rates. Consequently, by keeping an economic growth policy through credit expansion the government is obstructing this channel of transmission and thus reducing the power of the monetary policy. Additionally, I concluded that banks continue to adjust their loan portfolios until months after the monetary shock, corroborating Bernanke and Blinder (1992), who observed that banks do not cancel existing contracts, but just refuse to create new ones. To finish, I observe a fly-to-quality effect in periods of tight monetary policy and a less liquid economy. Banks tend to cut down on high-risk loans rather than low-risk ones. Nevertheless, by keeping a high amount of government subsidized credit originated from compulsory fund raising, this effect is mitigated.

本文主要針對金融海嘯前後，亞洲國家資本市場報酬動態相關性的變化進行研究，過去對國際資本市場變化研究，著重於股票市場的關係且多假設相關係數為固定。 本研究應用Cappiello, Engle and Sheppard（2006）提出的AG-DCC GARCH模型（Asymmetric Generalized Dynamic Conditional Correlation GARCH），探討亞洲國家股票與債券市場的動態相關性變化。除了股票市場間報酬相關性的變化之外，同時考量危機發生時可能有flight-to-quality效果，而將台灣、韓國日本之債券市場進行研究，並將資本市場面對正面與負面衝擊時，所可能產生之不同反應納入評估，並採用國際投資者常作為投資參考的MSCI指數與J.P.Morgan指數作為研究資料來源。 研究發現台灣、中國、韓國及日本的股票指數與台灣、韓國及日本的債券市場的相關係數會隨時間變動而變動，並進一步藉由AG-DCC GARCH發現各指數在金融海嘯前後的相關係數趨勢且市場間在金融海嘯後動態相關性有顯著的差異。 投資者進行國際投資組合配置或者投資標的選擇，應考量市場間的動態相關性改變所帶來的影響，並配合本身風險傾向找出最適當的避險方式，避免因忽略市場訊息可能產生的投資風險。對政府而言，制訂政策同時尚需考量國際資本移動產生的衝擊，以及其對政策實際執行的效果影響，進而制訂有效的政策。

Bakgrund: Kapital på börsen förflyttas fram och tillbaka mellan olika tillgångar, vilket ären naturlig del av diversifieringen i portföljer. När osäkerheten ökar i marknaden väljerinvesterare normalt att förflytta kapital från aktier till säkrare tillgångar som exempelvisobligationer, vilket beskrivs som Flight to Quality (FTQ). Däremot har räntorna efter denglobala finanskrisen 2008 varit historiskt låga och under vissa perioder negativa, vilket i sintur försvagar förflyttningen. Sverige har här utmärkt sig, genom att till skillnad från USA,fortsatt att sänka räntan och legat på låga nivåer under en väldigt lång tid. Därmed uppstårfunderingar kring hur förflyttningar av kapital har sett ut i Sverige de senaste 30 åren, samthur det senaste lågränteklimatet påverkar. Syfte: Syftet med studien är att undersöka förhållandet mellan avkastningen på noteradeobligationer och aktier i Sverige från 1993 till 2022. Studien ska även undersöka hur enlågräntemiljö påverkar förhållandet. Metod: OMXSPI samt BMSD10Y har använts för att beräkna avkastningen på aktierrespektive obligationer från databaserna Refinitiv Eikon samt Refinitiv Datastream. Urvaleti studien uppgick till 7271 respektive 1526 observationer. Genom en kvantitativ metod ochdeduktiv ansats har studien utgått från teorin gällande FTQ för att undersöka hurkorrelationen förändrats. Vidare har regressioner använts för att säkerställa påverkan pånivån av korrelationen samt hur ett lågränteklimat påverkar styrkan i FTQ. Slutsats: Studiens resultat påvisar att korrelationen mellan aktier och obligationer undertidsperioden har varit svagt negativ med fyra olika strukturella förändringar under perioden.Vidare visar studiens resultat att ett lågränteklimat under perioden har försvagat styrkan iFTQ:er som inträffat i Sverige mellan 1993 och 2022. Studien bidrar till litteraturen inomområdet korrelation mellan aktier och obligationers avkastningar, samt litteraturen kringlågränteklimats påverkan på finansiella marknader. / Background: Capital on the stock exchange is moved back and forth between differentassets, which is a natural part of the diversification of portfolios. When uncertainty increasesin the market, investors normally choose to move capital from equities to safer assets such asbonds, which is described as Flight to Quality (FTQ). On the other hand, interest rates afterthe global financial crisis in 2008 have been historically low and in some cases negative,which in turn weakens the capital movement. Sweden has distinguished itself, in that unlikethe United States, it has continued to lower its interest rates and have kept them at low levelsfor a very long time. This raises concerns about how capital movements over the past 30 yearshave developed in Sweden, and how the recent low interest rate climate is affecting. Purpose: The purpose of the study is to investigate the relationship between returns onstocks and bonds in Sweden from 1993 to 2022. The study will also investigate how a lowyield environment effects the relationship. Method: OMXSPI and BMSD10Y have been used to calculate the return on stocks andbonds from the databases Refinitiv Eikon and Refinitiv Datastream, respectively. The samplein the study amounted to 7271 and 1526 observations. Through a quantitative method anddeductive approach, the study has been based on the theory regarding FTQ to investigatehow the correlation has changed. Furthermore, regressions have been used to ensure theimpact on the level of the correlation and how a low interest rate climate affects the strengthof the FTQ. Conclusion: The result shows a weak negative correlation between returns on stocks andbonds during the time period, with four different structural breaks during the period.Furthermore, the results show that a low yield environment has weakened the strength of theFlights to Quality that have occurred in Sweden between 1993 and 2022. This studycontributes to the literature in the field of stock-bond return correlation and the field of lowyield effects on financial markets.