This thesis considers the link between financialisation and emerging market government policy autonomy. It analyses the government bond markets of three case study countries: Brazil, Lebanon and Turkey. Using extensive interview data in the three countries, and interviews with financial market actors in London and New York, the study explores the investment behaviour of a range of investors: commercial banks; individual investors; mutual funds; pension funds and hedge funds. The thesis uses the framework of financialisation – measured by the ability to trade risk – to analyse both international and domestic investors. The study shows that increased financialisation, of both financial market actors and the structure of government bond markets, generally serves to reduce loyalty and therefore reduces government policy autonomy. However, it is demonstrated that initial financialisation – the development of pension and mutual funds – serves to increase autonomy. This is captured by the construction of an ‘autonomy curve’. The conclusions suggest an updating the use of Hirschman’s concept of voice, exit and loyalty in the analysis of financial markets, to give a greater emphasis on loyalty and to include the use of ‘disloyalty’, the ability to short securities. It is also argued that financialisation is the appropriate framework to analyse processes of change in financial markets. The thesis also makes observations as to the true extent of government policy autonomy in emerging market countries, and policy recommendations regarding those governments’ attitude to financialisation.

Thesis submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment in the faculty of Commerce, Law and Management, Wits Businesss School, University of the Witwatersrand, 2012. / Idiosyncratic considerations relevant to South Africa’s economic and legal framework, as well as determining factors taken from the financial markets and the asset being auctioned are used to critically review the current auction mechanism used by the South African government to borrow funds publicly. A logistic regression with panel data is used in the empirical analysis. The dependent variable has a dichotomous outcome of uniform-price and discriminatory auction mechanisms. Data from 43 different countries over the period 2005 to 2011 are used for the analysis. It was hypothesized that countries with higher uncertainty about the price of their public debt, should use the auction mechanism that reduces under-pricing. Results from the logit regression supported this view. Upon comparing South Africa’s profile with the logit regression results, alongside a review of the literature, it becomes apparent that the proposed model does not provide a definitive answer. However, the model does aid policymakers’ decision on which auction mechanism should be preferred over the other for South Africa.

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This work deals with the financing of the state budget deficit in the Czech Republic through the issue of government bonds. There is listed the characteristics of each type of government bonds, the allocation of government bonds according to the type of instrument, by type of holder, and according to maturity and development in the years 1997 - 2008. It is also monitoring the impact of financial crisis on the market of government bonds mainly in 2008. The last part of this work is focused on the government bond market in the Slovak Republic for the purpose of comparison with the Czech Republic.

Les marchés obligataires d’État occupent une place centrale dans les sphères monétaires et financières. L’attractivité des titres d’État s’accentue en période de crise financières vu leur statut de valeurs refuges. La présente thèse se propose d’étudier l’organisation des échanges et les dynamiques des prix sur les marchés obligataires européen et chinois. Le choix du marché chinois est motivé par sa croissance soutenue. Nous avons essayé de voir si la croissance de ce marché obligataire émergent se réalise en concordance avec deux principaux marchés obligataires. Pour cela, nous avons articulé cette thèse en deux parties. Les deux 1er chapitres constituent la première partie en proposant d’étudier les particularités des marchés obligataires en Europe et en Chine en termes de microstructure et de formation des prix. La deuxième partie de la thèse, composée des deux derniers chapitres est consacrée à l’interrelation des marchés étudiés. Le 3ème chapitre propose de tester la cointégration entre ces marchés. Le dernier chapitre s’intéresse à l’explication de cette tendance commune à travers l’exploitation de la piste des chocs monétaires non anticipés. Nos résultats prouvent l’intégration du marché chinois. Cette intégration a été accompagnée par une succession de réformes visant la standardisation des échanges sur le marché chinois.L’intégration de ce marché se caractérise par son ajustement aux principales tendances communes du système de cointégration dominés par les marchés obligataires américain et allemand. Les résultats empiriques montrent que les chocs monétaires non anticipés américains et européen influencent les anticipations sur les marchés obligataires étudiés. / Government bond markets play a central role in financial and monetary spheres. The government bonds become more attractive during financial crises, when capitals migrate to sovereign debt markets. The attractiveness of government bonds can be motivated by their safety status. In this thesis, we studied market microstructure and price discovery in Chinese and European sovereign bond markets. Our interest in the emergent Chinese bond market is motivated by his rapid and important growth. We tried to study the relationship between the evolutions of this market and developed ones. To reach our purpose, we organized this research in two sections. In the first two chapters we studied the specificities of the European and Chinese government bond market regarding to the market microstructure and price formation. The second part of this thesis was reserved to study the interdependencies between bond markets. In the third chapter we tested the cointegration between US, German, Chinese and Honk Kong government bond markets. In the last chapter we tried to explain the role of monetary policy surprises in the international bond markets integration. Our results indicate the existence of international integration of the Chinese bond market. This integration may be explained by the succession of reforms in the direction of the standardization of the rules of exchanges in this emergent market. Cointegration tests results chow that the Chinese bond market is adjusting to the principal common trends dominated by the US and the German markets. Our empirical results indicate that the US and the European monetary policy surprises tend to influence anticipations on the studied bond markets.

The goal of this paper is to analyze alternative instrument for financing of government debt, the system of selling retail government bonds. These would be intended solely for individuals. In this work I try to characterize and quantify revenues and costs of implementation and operation of the system, also I mention the possible risks, which the system could bring. In conclusion, I appraise the latest variant of the system presented by the Ministry of Finance of the Czech Republic and introduce my own proposal of the system, which is based on previous economic analysis.

<p>Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. Swedish investors are not the exception and the issue of the attraction of foreign fixed income securities is highlighted even more when we have found out there is lack of academic research about the topic from the perspective of Swedish investors. To narrow down the research subject and provide a reader with an interesting approach, we decided to examine the attraction of foreign government bonds from the perspective of Swedish investors.</p><p>At the beginning of the paper we raised three research questions and defined the objective of the paper in questioning the existence of reasons to invest in foreign government bonds. Another research question was defined as identifying our local investor, who is entering the global market and last, but not least, what investing strategy do we recommend him to follow.</p><p>Along the paper we proposed to apply a decent level of informative as well as a scientific approach to provide a reader with a valuable study concerning pre-defined topic. To reach more concrete outcomes of the study we have accepted couple of assumtions which we have identified ourselves with and we have stressed them especially during the theoretical part of the paper.</p><p>After conducting the comprehensive analysis of the Swedish market for government bonds we have identified a huge gap between the demand and supply for such bonds and based on the discussion concerning the opportunities and risks connected with such investments we have defined our investor. Under given assumptions, as the most probable case of occurance we consider a rational investor, who is offsetting the balance of interest rate sensitive assets and liabilities simultaneously looking for the best possible yield, the lowest possible risk and sound level of diversification.</p><p>During the empirical analysis, namely examination of the national yield curves we set first, however very limited investment strategy. After the incorporation of the portfolio theory, currency rate risk and the existence of instruments covering the foreign currency exposure we have come into a conclusion that our investor does not have to necessarily prefer a security from the depicted efficient frontier, but he can employ other securities as well. As a consequence, when using 100% hedging he can use whichever security on the global market.</p><p>At the conclusion, stated findings imply another investigation, since our research was based on very strong assumptions presented during the study. Thus it by far does not provide the reader with a comprehensive investment analysis, which some readers might be interested in. However, even from the beginning we claimed that we do not have such an ambitious goal.</p>

Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. Swedish investors are not the exception and the issue of the attraction of foreign fixed income securities is highlighted even more when we have found out there is lack of academic research about the topic from the perspective of Swedish investors. To narrow down the research subject and provide a reader with an interesting approach, we decided to examine the attraction of foreign government bonds from the perspective of Swedish investors. At the beginning of the paper we raised three research questions and defined the objective of the paper in questioning the existence of reasons to invest in foreign government bonds. Another research question was defined as identifying our local investor, who is entering the global market and last, but not least, what investing strategy do we recommend him to follow. Along the paper we proposed to apply a decent level of informative as well as a scientific approach to provide a reader with a valuable study concerning pre-defined topic. To reach more concrete outcomes of the study we have accepted couple of assumtions which we have identified ourselves with and we have stressed them especially during the theoretical part of the paper. After conducting the comprehensive analysis of the Swedish market for government bonds we have identified a huge gap between the demand and supply for such bonds and based on the discussion concerning the opportunities and risks connected with such investments we have defined our investor. Under given assumptions, as the most probable case of occurance we consider a rational investor, who is offsetting the balance of interest rate sensitive assets and liabilities simultaneously looking for the best possible yield, the lowest possible risk and sound level of diversification. During the empirical analysis, namely examination of the national yield curves we set first, however very limited investment strategy. After the incorporation of the portfolio theory, currency rate risk and the existence of instruments covering the foreign currency exposure we have come into a conclusion that our investor does not have to necessarily prefer a security from the depicted efficient frontier, but he can employ other securities as well. As a consequence, when using 100% hedging he can use whichever security on the global market. At the conclusion, stated findings imply another investigation, since our research was based on very strong assumptions presented during the study. Thus it by far does not provide the reader with a comprehensive investment analysis, which some readers might be interested in. However, even from the beginning we claimed that we do not have such an ambitious goal.

本文主旨在了解在台灣與民生息息相關的銀行、郵局的存放款利率，是有什麼樣程度的受到債券市場的影響。本文使用Eviews研究2000/01~2015/05公債殖利率、央行利率對於其他變數是否有顯著相關。首先檢驗資料是否為定態後，考量差分後資料無經濟意義，便以變動率取代原始資料，以最小平方法進行單、多因子迴歸。結果顯示從理論或實證都能證明中央銀行透過貨幣政策、公開市場操作來影響利率，從本文研究可看出其影響力更甚於十年期公債殖利率。配合相關係數來看，可推測央行的操作不僅直接的影響著銀行及郵局的利率，也透過這些利率再去影響其他利率，使得利率間互相影響使效果增強，唯一例外是十年期公債殖利率在十五年期房貸利率上有更好的影響以及解釋力。 / The main topic of the thesis is to understand whether the bond market in Taiwan has influence on the bank saving rates and lending rates. Considering the data will lose its economics meaning after the first order difference, we use churn rate instead of the original data to construct single and multi-factor regression using. The result comes out that both theories and the paper’s result can show that the central bank has strong power over the rates. The central bank interest rate is a more significant explanatory variable than the ten-year bond yield and has positive impact on other dependent variables. The only exception is that the ten-year bond yield has the best explanatory power over the 15-year mortgage rates than other variables.

This study is among the first to provide insight into the assessment of the Swedish central bank’s (Riksbank) three unconventional monetary policies (UMPs) and their influence on Swedish commercial banks. The three UMPs include forward guidance (FG), quantitative easing (QE) and negative interest rate policy (repo rate). Riksbank introduced the UMPs in order to revive inflation and support Sweden’s economic recovery. The banks’ ability to certainly forecast their operations is highly dependent on the communication availed by the Riksbank on its expected future monetary policies through FG. QE is paramount because this is when commercial banks sell government bonds to the Riksbank. Repo rate determines interest rates set by banks. Four indicators (uncertainty, government bond yields, bank interest rates, borrowing and lending) were used in this study to investigate the perception of the commercial banks on the three UMPs. There are limited studies on Swedish banks’ perception of the UMPs which leaves a research gap in this area.Previous studies indicate that dominant banks in terms of asset shares and deposits are more sensitive to monetary policy shocks. The four dominant commercial banks studied include: Nordea, Handelsbanken, Swedbank and Skandinaviska Enskilda Banken. This thesis considers the evidence of the results from previous empirical studies. Empirical material for this study was collected through semi-structured interviews from respondents by the Riksbank and the four commercial banks. A deductive approach was used to interpret the information collected.Our results presents various perceptions of the dominant commercial banks on the three UMPs in relation to the four indicators. Some commercial banks perceived the increased transparency and clarity during the increased FG to have reduced their uncertainty. Other banks perceived that FG had increased their uncertainty. They questioned the credibility of the FG since they could not predict Riksbank’s monetary policies with the FG availed. In regards to the perception of QE on uncertainty, an increased signalling channel during QE implementation had resulted in a decline of their uncertainty since they were experiencing a surplus of liquidity in the banking sector. However, they stated other factors that increased market volatility during QE. The increased market volatility during QE increased their uncertainty. The four commercial banks agreed that the demand for government bonds increased while the yields of the government bonds declined. They perceived these changes to have been influenced by QE. The commercial banks’ lending, deposit and interbank interest rates have declined systematically correlating the trend of the declining repo rate. The four banks experienced a decline in their average net interest income, an improved flow of credit through higher lending volumes and stable lending margins to households and firms. Commercial banks perceived these changes to have resulted from the declining market interest rates because of the negative repo rate.Riksbank can use this study to assess the effectiveness of its UMPs on commercial banks based on the perception of the employees from these respective banks. This study discusses implications of the findings for commercial banks and the Riksbank, as well as academics in the realm of implementations and influences of UMPs.