This thesis demonstrates that optimal hedge ratios using futures contracts for Ontario and Alberta feedlot operators were low for live cattle and feeder cattle, and shows that the risk reduction from using US based live and feeder cattle futures was lower than 30% in most cases. Abstracting from the mean variance theoretical framework, constant optimal hedge ratios were estimated using OLS and SUR models. Time-varying optimal hedge ratios were estimated by GARCH models and the rolling window technique. Hedging effectiveness was measured by the variance reduction of hedged portfolios compared with a no-hedging position. Results suggested that hedging in the CME futures market reduced corn price variation by more than 50%. However, the optimal hedge ratios for cattle and barley in general were found to be low. Results also indicated that time-varying hedge ratios eliminated more risk than constant hedge ratios at the cost of frequently adjusting hedging positions. Higher optimal hedge ratios were obtained in the pre-BSE period than in the post-BSE period in both the commodity market and the currency market for joint hedging live cattle and the exchange rate. Both time-varying hedging and joint hedging strategies may generate additional transaction costs, which have negative impacts on the benefit from the potential higher risk reduction. / Ontario Ministry of Agriculture, Food and Rural Affairs (OMAFRA) Canadian Agricultural Trade Policy Research Network (CATPRN)

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets. The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios. Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015. There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.

Wetter stellt für die Landwirtschaft einen Hauptunsicherheitsfaktor dar. Angesichts der Kli-maveränderung gilt es als wahrscheinlich, dass Wetterschwankungen und die Häufigkeit extremer Wetterereignisse in Zukunft zunehmen werden. Vor diesem Hintergrund spielt die Entwicklung von Wetterrisikomanagementinstrumenten eine wichtige Rolle zur Einkom-mensstabilisierung in der Landwirtschaft sowohl in entwickelten Volkswirtschaften als auch in Entwicklungsländern. Seit Mitte der neunziger Jahre werden auf Finanzmärkten sogenannte Wetterderivate angebo-ten, die den Austausch von Wetterrisiken zwischen Marktteilnehmern ermöglichen. Zielsetzung der vorliegenden Arbeits ist es, die Einsatzmöglichkeiten von Wetterderivaten in der Landwirtschaft zu untersuchen. Dazu sind verschiedene methodische Vorarbeiten zu leisten. Erstens, wird ein statistisches Modell benötigt, das die Unsicherheit des betrachteten Wetterereignisses (z.B. Temperatur oder Niederschlag) beschreibt. Zweitens, muss der Zusammenhang zwischen Wetter und landwirtschaftlicher Produkti-on abgebildet werden. Drittens, schließlich bedarf es eines theoretischen Modells, um das Wetterderivat zu bepreisen. Liegen die genannten Modellkomponenten vor, kann die Hedgingeffektivität eines Wetterde-rivats aus Sicht eines landwirtschaftlichen Produzenten bestimmt werden. Dies geschieht in der vorliegenden Arbeit beispielhaft für Getreideproduzenten in Deutschland. Es zeigt sich, dass die Hedgigeffektivität und damit die Zahlungsbereitschaft für Wetterderivate produkt- und regionsspezifisch ist. Angesichts eines ausgeprägten Basisrisikos ist es unwahrscheinlich, dass Wetterderivate in Deutschland eine breite Anwendung durch Landwirte erfahren werden. Ihr Anwendungspotenzial bei landwirtschaftlichen Versicherern und Rückversicheren er-scheint dagegen höher, da diese mit Hilfe von Wetterderivaten einen Teil ihres systematischen Risikos aus landwirtschaftlichen Ertragsversicherungen auf den Kapitalmarkt transferieren können. / Weather is a major factor of uncertainty for agriculture. The effects of climate change means that it is likely that in the future there will be increased fluctuations in weather patterns and extreme meteorological events will become more regular. In this context, the development of weather risk management instruments plays an important role in the stabilising of incomes in the agricultural sector, both in developed economies as well as in developing countries. Since the mid-nineties, so-called weather derivatives have been emerged on the market which enables participants in the market to exchange weather risks. This work aims to investigate the implementation possibilities of weather derivatives in agriculture. A range of methodological preliminary investigations will be carried out. First of all it is necessary to find a statistical model which describes the uncertainty of observed weather events (e.g. temperature or precipitation). Secondly, the relationship between weather and agricultural production needs to be mapped. Thirdly, a theoretical model needs to be devised which is capable of pricing the weather derivatives. The hedging effectiveness of a weather derivative can be determined from the point of view of an agricultural producer using the model components described above. This study will use the example of grain producers in Germany. It will demonstrate that hedging effectiveness and with it willingness to pay for weather derivatives depends on the product and region. A pronounced basis risk means that it is unlikely that weather derivatives will be widely used by farmers in Germany. Their application potential for agricultural insurers and reinsurers, however, seems greater, since they can use weather derivatives to transfer a part of their systematic risk from agricultural income insurance onto the capital market.

本研究以天真避險、傳統OLS模型、OLS共整合模型及Bivariate GARCH模型探討SIMEX及OSE所交易的日經225 (Nikkei 225)股價指數期貨對日本及台灣股市風險的避險效果，測試在台灣股價指數期貨尚未推出之際，投資人是否可能採用鄰近國家，如日本的日經股價指數期貨，來規避台灣股市風險。本研究採用每週三週報酬資料，研究期間自1988年9月3日起至1995年12月底止，全部樣本期間共有376筆資料，劃分為兩個子期間，並以第二子期間做樣本外測試，避險期間分為一週、兩週及四週。 　　實證結果發現： 　　(1) SIMEX日經指數期約、OSE日經指數期約、日經股價指數及台灣股價指數的時間數列均非常態分配。經一階差分之後，上述四個時間數列才會為定態數列。日經股價指數期貨與日經股價指數之間有共整合關係，此乃表示現貨與期貨價格之間存在有長期均衡關係，但日經股價指數期貨與台灣股價指數之間並無共整合關係。 　　(2) Bivariate GARCH模式在各研究期間所得到的各參數的估計值，大多顯著，這說明不論在日本或台灣市場，以日經股價指數期貨規避股票市場風險時，期貨與現貨分配會有隨時間而變動的現象。 　　(3) 在日經指數的現貨市場中： 　　1. OLS共整合模型的避險比率較傳統OLS模型為高。使用SIMEX期貨契約避險所需要的避險比率較使用OSE期貨契約為避險工具時為小，而且不論使用SIMEX或OSE期貨契約避險，當避險期間越長，避險比率越大。 　　2. 在樣本內實證中，以OSE期貨契約避險所造成的投資組合變異數較使用SIMEX期約為大，而且投資組合變異數隨避險期間的增長而有下降的趨勢，但在樣本外的期間中，卻無如此的明顯趨勢。 　　3. 除了在日本股市大崩盤之前的實證期間顯示不論是使用SIMEX或OSE期貨契約，Bivariate GARCH模型的避險效果均較好之外，在其他的實證期間中，GARCH模型大約只比天真避險模式效果好，卻比其他模型效果差，而這種情況在使用OSE期貨契約時更為明顯，不過不論使用哪種模型，都能比不避險時減少大部份現貨的風險。 　　4. 從樣本內實證期間發現SIMEX與OSE契約在避險效果上是有差別的，但樣本外實證卻未發現避險效果上有明顯差別。 　　(4)在台灣股價指數的現貨市場下： 　　1. 不論使用SIMEX或OSE期貨契約避險在崩盤前所需要的避險比率均較崩盤後為高，而不論使用SIMEX或OSE期貨契約避險，避險比率均差不多。 　　2. 樣本內或樣本外實證都發現，若使用天真避險模式避險還不如不避險的好。除了在大崩盤後的樣本內實證中，GARCH模式的組合變異比傳統OLS模式為高之外，Bivariate GARCH模式的確優於其他避險模式。但日經指數期約與台灣股價指數所形成的投資組合變異數比在日本市場時高出甚多，且使用OLS或GARCH模式只能略微降低不避險狀態下所造成的變異數。不論是參數的估計值或避險績效都支持日經指數期貨與台灣股價指數間存在有GARCH效果。

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Submitted by Odilon Jose de Oliveira Neto (professorodilon@yahoo.com.br) on 2013-09-27T20:34:42Z No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2013-09-27T20:50:10Z (GMT) No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) / Made available in DSpace on 2013-09-27T21:19:03Z (GMT). No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) Previous issue date: 2013-09-20 / Several attempts of negotiation of future contracts and price indexes of beef cattle in Argentina and in Uruguay were frustrated along the years. The derivatives issued failed in a short period of time due to lack of liquidity. That scenery and other particularities of the live cattle spot market turned the administration of risk of prices into a problem for the economical agents of the meat chain. In this context, the following question emerged: the cross hedging with future contracts of Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange (BM&FBovespa) is effective for the administration of risk of prices of beef steers in the Argentinian and Uruguayan spot market? In an effort to answer this question, it was proposed to verify if it is possible to mitigate the risk of the price volatility of the spot market of Argentinian and Uruguayan beef steers through of cross hedging in the futures market for Brazilian live cattle in the BM&FBovespa. For this, it was used static and dynamic models to estimate of the optimal cross hedge ratio and effectiveness of risk mitigation. The results of the hypothesis test of risk mitigating allow to assure that there are strong empirical evidences of effectiveness of the futures market of Brazilian live cattle in protection against the prices risk of the spot market of Argentinian and Uruguayan steers. Complementarily, it was analyzed the hypothesis of the futures market efficiency. The results present empirical evidence of a stochastic relationship common in long-term between spot and futures prices, and efficiency in predicting short-term price, which suggest that the future contracts of Brazilian live cattle in the BM&FBovespa allow adequate hedge of price for the Argentinian and Uruguayan steers in spot market. / Na Argentina e no Uruguai, diversas tentativas de negociação de contratos futuros e de índice de preços de carne bovina foram frustradas ao longo dos anos, tendo os derivativos lançados fracassado, em um curto espaço de tempo, por falta de liquidez. Esse cenário, somado a outras particularidades do mercado físico da carne bovina, torna o gerenciamento de risco de preços um problema para os agentes econômicos que atuam nessa cadeia produtiva. Nesse contexto, emergiu a seguinte questão: a proteção cruzada com contratos futuros de boi gordo brasileiro da Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa) é efetiva para a administração do risco de preços dos novilhos de corte no mercado a vista argentino e uruguaio? Com a finalidade de responder a essa questão, propôs-se a verificar se é possível mitigar o risco da volatilidade de preços no mercado a vista dos novilhos de corte argentinos e uruguaios por meio do cross hedging no mercado futuro do boi gordo brasileiro na BM&FBovespa. Para tanto, foram utilizados modelos estáticos e dinâmicos de estimação da razão de cross hedge ótima e efetividade em mitigação do risco. Os resultados do teste de hipóteses de mitigação do risco permitiram assegurar que são fortes as evidências de efetividade do mercado futuro do boi gordo brasileiro na proteção contra o risco de preços do mercado a vista dos novilhos argentinos e uruguaios. Complementarmente, verificou-se a hipótese de eficiência do mercado futuro. Os resultados apresentaram evidências de um relacionamento estocástico comum no longo prazo entre os preços a vista e futuros, e de eficiência na predição dos preços no curto prazo, o que sugere que os contratos futuros de boi gordo brasileiro da BM&FBovespa permitem uma trava adequada de cotação-preço para os novilhos argentinos e uruguaios no mercado a vista.

Le modèle GARCH à changement de régimes est le fondement de cette thèse. Ce modèle offre de riches dynamiques pour modéliser les données financières en combinant une structure GARCH avec des paramètres qui varient dans le temps. Cette flexibilité donne malheureusement lieu à un problème de path dependence, qui a empêché l'estimation du modèle par le maximum de vraisemblance depuis son introduction, il y a déjà près de 20 ans. La première moitié de cette thèse procure une solution à ce problème en développant deux méthodologies permettant de calculer l'estimateur du maximum de vraisemblance du modèle GARCH à changement de régimes. La première technique d'estimation proposée est basée sur l'algorithme Monte Carlo EM et sur l'échantillonnage préférentiel, tandis que la deuxième consiste en la généralisation des approximations du modèle introduites dans les deux dernières décennies, connues sous le nom de collapsing procedures. Cette généralisation permet d'établir un lien méthodologique entre ces approximations et le filtre particulaire. La découverte de cette relation est importante, car elle permet de justifier la validité de l'approche dite par collapsing pour estimer le modèle GARCH à changement de régimes. La deuxième moitié de cette thèse tire sa motivation de la crise financière de la fin des années 2000 pendant laquelle une mauvaise évaluation des risques au sein de plusieurs compagnies financières a entraîné de nombreux échecs institutionnels. À l'aide d'un large éventail de 78 modèles économétriques, dont plusieurs généralisations du modèle GARCH à changement de régimes, il est démontré que le risque de modèle joue un rôle très important dans l'évaluation et la gestion du risque d'investissement à long terme dans le cadre des fonds distincts. Bien que la littérature financière a dévoué beaucoup de recherche pour faire progresser les modèles économétriques dans le but d'améliorer la tarification et la couverture des produits financiers, les approches permettant de mesurer l'efficacité d'une stratégie de couverture dynamique ont peu évolué. Cette thèse offre une contribution méthodologique dans ce domaine en proposant un cadre statistique, basé sur la régression, permettant de mieux mesurer cette efficacité. / The Markov-switching GARCH model is the foundation of this thesis. This model offers rich dynamics to model financial data by allowing for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path dependence problem which has prevented maximum likelihood estimation of this model since its introduction, almost 20 years ago. The first half of this thesis provides a solution to this problem by developing two original estimation approaches allowing us to calculate the maximum likelihood estimator of the Markov-switching GARCH model. The first method is based on both the Monte Carlo expectation-maximization algorithm and importance sampling, while the second consists of a generalization of previously proposed approximations of the model, known as collapsing procedures. This generalization establishes a novel relationship in the econometric literature between particle filtering and collapsing procedures. The discovery of this relationship is important because it provides the missing link needed to justify the validity of the collapsing approach for estimating the Markov-switching GARCH model. The second half of this thesis is motivated by the events of the financial crisis of the late 2000s during which numerous institutional failures occurred because risk exposures were inappropriately measured. Using 78 different econometric models, including many generalizations of the Markov-switching GARCH model, it is shown that model risk plays an important role in the measurement and management of long-term investment risk in the context of variable annuities. Although the finance literature has devoted a lot of research into the development of advanced models for improving pricing and hedging performance, the approaches for measuring dynamic hedging effectiveness have evolved little. This thesis offers a methodological contribution in this area by proposing a statistical framework, based on regression analysis, for measuring the effectiveness of dynamic hedges for long-term investment guarantees.

Le modèle GARCH à changement de régimes est le fondement de cette thèse. Ce modèle offre de riches dynamiques pour modéliser les données financières en combinant une structure GARCH avec des paramètres qui varient dans le temps. Cette flexibilité donne malheureusement lieu à un problème de path dependence, qui a empêché l'estimation du modèle par le maximum de vraisemblance depuis son introduction, il y a déjà près de 20 ans. La première moitié de cette thèse procure une solution à ce problème en développant deux méthodologies permettant de calculer l'estimateur du maximum de vraisemblance du modèle GARCH à changement de régimes. La première technique d'estimation proposée est basée sur l'algorithme Monte Carlo EM et sur l'échantillonnage préférentiel, tandis que la deuxième consiste en la généralisation des approximations du modèle introduites dans les deux dernières décennies, connues sous le nom de collapsing procedures. Cette généralisation permet d'établir un lien méthodologique entre ces approximations et le filtre particulaire. La découverte de cette relation est importante, car elle permet de justifier la validité de l'approche dite par collapsing pour estimer le modèle GARCH à changement de régimes. La deuxième moitié de cette thèse tire sa motivation de la crise financière de la fin des années 2000 pendant laquelle une mauvaise évaluation des risques au sein de plusieurs compagnies financières a entraîné de nombreux échecs institutionnels. À l'aide d'un large éventail de 78 modèles économétriques, dont plusieurs généralisations du modèle GARCH à changement de régimes, il est démontré que le risque de modèle joue un rôle très important dans l'évaluation et la gestion du risque d'investissement à long terme dans le cadre des fonds distincts. Bien que la littérature financière a dévoué beaucoup de recherche pour faire progresser les modèles économétriques dans le but d'améliorer la tarification et la couverture des produits financiers, les approches permettant de mesurer l'efficacité d'une stratégie de couverture dynamique ont peu évolué. Cette thèse offre une contribution méthodologique dans ce domaine en proposant un cadre statistique, basé sur la régression, permettant de mieux mesurer cette efficacité. / The Markov-switching GARCH model is the foundation of this thesis. This model offers rich dynamics to model financial data by allowing for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path dependence problem which has prevented maximum likelihood estimation of this model since its introduction, almost 20 years ago. The first half of this thesis provides a solution to this problem by developing two original estimation approaches allowing us to calculate the maximum likelihood estimator of the Markov-switching GARCH model. The first method is based on both the Monte Carlo expectation-maximization algorithm and importance sampling, while the second consists of a generalization of previously proposed approximations of the model, known as collapsing procedures. This generalization establishes a novel relationship in the econometric literature between particle filtering and collapsing procedures. The discovery of this relationship is important because it provides the missing link needed to justify the validity of the collapsing approach for estimating the Markov-switching GARCH model. The second half of this thesis is motivated by the events of the financial crisis of the late 2000s during which numerous institutional failures occurred because risk exposures were inappropriately measured. Using 78 different econometric models, including many generalizations of the Markov-switching GARCH model, it is shown that model risk plays an important role in the measurement and management of long-term investment risk in the context of variable annuities. Although the finance literature has devoted a lot of research into the development of advanced models for improving pricing and hedging performance, the approaches for measuring dynamic hedging effectiveness have evolved little. This thesis offers a methodological contribution in this area by proposing a statistical framework, based on regression analysis, for measuring the effectiveness of dynamic hedges for long-term investment guarantees.

Denna uppsats undersöker hur effektivt det vore att hedga svenska bostadspriser under tidsperioden 2005–2017 med hjälp av ett bostadsprisindex. Uppsatsen undersöker ickeperiodiserade och periodiserade hedgar genom tre olika hedgingstrategier i form av statisk, dynamisk och optimal hedge. Hedge ratios skattas via tre olika hedgingmetoder bestående av OLS, ECM och en naiv hedge. Genom att både använda ett nationellt och regionalt hedginginstrument analyseras skillnaden i hedgingeffektivitet i respektive region som hedgas. Hedgingeffektiviteterna bedöms i termer av reducerad varians vilket har fastställts genom justerad förklaringsgrad samt en alternativ beräkningsmetod för att presentera rättvisande resultat. Med avstamp i resultatet av hedgingeffektivitet och med hjälp av tidigare litteratur genomförs även en analys av förutsättningar för en bostadsprisderivatmarknad i Sverige. Genom studiens uppbyggda analysmodell påvisar undersökningen att ett nationellt hedginginstrument överlag är mer effektivt än ett regionalt hedginginstrument för att hedga bostadsprisrisken i Sverige för den undersökta tidsperioden. Våra resultat pekar på att svenska bostäder inhyser en stor grad av idiosynkratisk risk där den ohedgbara risken är beroende utav vilket hedginginstrument som används. Sammanfattningsvis finner vi det svårt att hedga all form av bostadsprisrisk på den svenska bostadsmarknaden. I dagsläget finns det ingen möjlighet för svenska hushåll att riskjustera sin exponering mot bostadsprisrisken. Ur ett transaktionskostnadsperspektiv anser vi att finansiell bildning kan vara en av de stora anledningarna till att en marknad för att riskjustera bostadsprisrisken inte finns. Dels saknas det kunskap för att applicera en hedge men bostadsägarna kan sakna vetskap om sitt egna behov av att skydda sig mot bostadsprisrisken.