Nas duas últimas décadas, o Brasil vem praticando elevadas taxas de juros nominais em relação à taxa de inflação existente. Isso encarece o crédito, aumenta o endividamento e prejudica o crescimento econômico sustentado. Além disso, fatores como a implementação de políticas econômicas de combate à inflação, a aceleração do processo de abertura e internacionalização econômicas criam um mix variáveis que se relacionam com a taxa de juros e deixam explícita a necessidade de se analisar os principais determinantes da taxa de juros nominal no Brasil e sua relação com a taxa de câmbio, objetos de estudos do presente trabalho. O modelo teórico apresentado, expandido para incluir uma equação de Fisher adequada à economia brasileira e o risco de default, foi estimado seguindo os seguintes passos: 1) testes de raiz unitária de Dickey-Pantula, Dickey-Fuller, raiz unitária sazonal e raiz unitária com quebra estrutural foram realizados de modo a saber o grau de integração de cada variável e, assim, como cada uma deve ser considerada nos modelos; 2) regressões para taxa de juros e taxa de câmbio foram, inicialmente, estimadas pelo método de Mínimos Quadrados Ordinários e, caso tenham sido constatados problemas de heteroscedasticidade e autocorrelação dos resíduos, as regressões foram reestimadas pelo método dos Mínimos Quadrados Ponderados, Mínimos Quadrados Ponderados com modelo não-linear de correção da autocorrelação dos resíduos e/ou Mínimos Quadrados Ponderados com estimativas consistentes da variância de White ou Newey-West. Inicialmente utilizaram-se dados com periodicidade mensal, mas os resultados não foram robustos. Por isso, foram usados dados com periodicidade trimestral, obtendo melhores resultados. Apenas as melhores regressões são apresentadas no texto, apresentando dois grupos de estimativas para os determinantes das taxas de juros e de câmbio, sendo o primeiro para o período de 1990 a 2006 sem risco de default e o segundo para o período em que há dados sobre risco de default (os melhores resultados incluindo a variável risco ocorreram para o período de 1995 a 2006). Essas regressões fundamentam a definição de quatro modelos VAR (Vetor Autorregressivo). Esta última, ao ser estimada usando a decomposição de Choleski, permite chegar a conclusões convergentes aos das regressões selecionadas. Tanto a análise de regressão quanto o VAR reforçam o papel das variáveis externas em afetar a taxa de juros CDI a partir de 1995, em detrimento das variáveis domésticas, especialmente a taxa de inflação. O modelo para a taxa de câmbio sinaliza para uma conclusão semelhante, sendo a variável CDI a mais importante quando considerado todo o período em análise, mas perdendo poder explicativo sobre a taxa de câmbio quando inserida a variável risco de default. Pode-se afirmar que a conta capital e financeira do Balanço de Pagamentos é semi-aberta e que os fatores externos possuem impactos expressivos sobre a taxa de juros CDI, principalmente após a implementação do Plano Real. Em especial, o risco de default percebido pelos investidores externos possui um papel importante em mostrar a seguinte dinâmica: sob maior risco de default, um aumento da taxa de juros (via política monetária restritiva) pode provocar um efeito perverso, pois ao invés de atrair capital externo (e, assim, poder cumprir com as obrigações financeiras), provoca uma saída de capital e desvaloriza a taxa de câmbio, aumentando a inflação. Esses resultados são de extrema importância para o exercício da política monetária, tal como exposto nas conclusões do trabalho. / During the last two decades, Brazil has been practicing high nominal interest rates, comparing to the observed inflation rate. This fact has a negative impact on credit, increases public debt and reduces the economic growth. In addition, the implementation of economic policies that aim to decrease the inflation rate, together with the economic globalization process, generate a set of variables that are related to the interest rate and, also, explicitly show how important is to analyze the main variables that have impacts on the interest rate determination and its relation with the exchange rate, which are the aim of this dissertation. Theoretical models for interest rate and exchange rate determination for a small and partially open economy were expanded to incorporate not only a suitable Fisher equation to the Brazilian economy, but also the default risk, and they were estimated in the following sequence: 1) Dickey-Pantula, Dickey-Fuller and seasonal unit root tests, and also unit root test with structural changes, were used to verify the integration degree for each variable and how each of them should be considered in the models; 2) interest rate and exchange rate regressions were first estimated by Ordinary Least Squares or, in case of heteroskedasticity and residuals autocorrelations problems, the regressions were reestimated using Weighted Least Squares, Weighted Least Squares with non-linear correction for residuals autocorrelation or Weighted Least Squares with Newey-West or White consistent covariance estimates. Initially, the models were estimated using monthly aggregated data, but they did not present robust results. In sequence, models were estimated using quarterly aggregated data, which had better estimations results and the best results are presented in this thesis. This dissertation presents two groups of results for each determination model of interest and exchange rates, considering the period from 1990 to 2006 without default risk and starting from a year that are default risk data available (the best results including default risk variable happened from 1995 to 2006). These regressions are the base for four VAR (Vector Autoregression) models. Both regression and VAR analysis strengthen the role of external variables in affecting the CDI interest rate for the period starting from 1995, while domestic variables reduced their effect on this process, specially the inflation rate. The results for the exchange rate determination model indicate a similar conclusion because, for the whole period analyzed, CDI interest rate was the most important variable; however, it reduced its influence on exchange rate when the default risk was inserted into the estimations. According to the results, there is evidence that the Brazilian economy is partially open and that the external factors have strong effect on CDI interest rate determination, especially after the implementation of Plano Real (Real Plan). More importantly, the international investors\' default risk perception has an important role showing the following dynamic: under default risk conditions, a larger interest rate (by a restricted monetary policy) can have a perverse effect, because, higher interest rate instead of attracting external capital inflows (which permits financial obligations to be honored) can lead on an external capital outflows, which depreciates the exchange rate and, as a result, increases the inflation rate. These results are extremely important to be considered for monetary policy implementation, as shown on the conclusions of this thesis.

Nas duas últimas décadas, o Brasil vem praticando elevadas taxas de juros nominais em relação à taxa de inflação existente. Isso encarece o crédito, aumenta o endividamento e prejudica o crescimento econômico sustentado. Além disso, fatores como a implementação de políticas econômicas de combate à inflação, a aceleração do processo de abertura e internacionalização econômicas criam um mix variáveis que se relacionam com a taxa de juros e deixam explícita a necessidade de se analisar os principais determinantes da taxa de juros nominal no Brasil e sua relação com a taxa de câmbio, objetos de estudos do presente trabalho. O modelo teórico apresentado, expandido para incluir uma equação de Fisher adequada à economia brasileira e o risco de default, foi estimado seguindo os seguintes passos: 1) testes de raiz unitária de Dickey-Pantula, Dickey-Fuller, raiz unitária sazonal e raiz unitária com quebra estrutural foram realizados de modo a saber o grau de integração de cada variável e, assim, como cada uma deve ser considerada nos modelos; 2) regressões para taxa de juros e taxa de câmbio foram, inicialmente, estimadas pelo método de Mínimos Quadrados Ordinários e, caso tenham sido constatados problemas de heteroscedasticidade e autocorrelação dos resíduos, as regressões foram reestimadas pelo método dos Mínimos Quadrados Ponderados, Mínimos Quadrados Ponderados com modelo não-linear de correção da autocorrelação dos resíduos e/ou Mínimos Quadrados Ponderados com estimativas consistentes da variância de White ou Newey-West. Inicialmente utilizaram-se dados com periodicidade mensal, mas os resultados não foram robustos. Por isso, foram usados dados com periodicidade trimestral, obtendo melhores resultados. Apenas as melhores regressões são apresentadas no texto, apresentando dois grupos de estimativas para os determinantes das taxas de juros e de câmbio, sendo o primeiro para o período de 1990 a 2006 sem risco de default e o segundo para o período em que há dados sobre risco de default (os melhores resultados incluindo a variável risco ocorreram para o período de 1995 a 2006). Essas regressões fundamentam a definição de quatro modelos VAR (Vetor Autorregressivo). Esta última, ao ser estimada usando a decomposição de Choleski, permite chegar a conclusões convergentes aos das regressões selecionadas. Tanto a análise de regressão quanto o VAR reforçam o papel das variáveis externas em afetar a taxa de juros CDI a partir de 1995, em detrimento das variáveis domésticas, especialmente a taxa de inflação. O modelo para a taxa de câmbio sinaliza para uma conclusão semelhante, sendo a variável CDI a mais importante quando considerado todo o período em análise, mas perdendo poder explicativo sobre a taxa de câmbio quando inserida a variável risco de default. Pode-se afirmar que a conta capital e financeira do Balanço de Pagamentos é semi-aberta e que os fatores externos possuem impactos expressivos sobre a taxa de juros CDI, principalmente após a implementação do Plano Real. Em especial, o risco de default percebido pelos investidores externos possui um papel importante em mostrar a seguinte dinâmica: sob maior risco de default, um aumento da taxa de juros (via política monetária restritiva) pode provocar um efeito perverso, pois ao invés de atrair capital externo (e, assim, poder cumprir com as obrigações financeiras), provoca uma saída de capital e desvaloriza a taxa de câmbio, aumentando a inflação. Esses resultados são de extrema importância para o exercício da política monetária, tal como exposto nas conclusões do trabalho. / During the last two decades, Brazil has been practicing high nominal interest rates, comparing to the observed inflation rate. This fact has a negative impact on credit, increases public debt and reduces the economic growth. In addition, the implementation of economic policies that aim to decrease the inflation rate, together with the economic globalization process, generate a set of variables that are related to the interest rate and, also, explicitly show how important is to analyze the main variables that have impacts on the interest rate determination and its relation with the exchange rate, which are the aim of this dissertation. Theoretical models for interest rate and exchange rate determination for a small and partially open economy were expanded to incorporate not only a suitable Fisher equation to the Brazilian economy, but also the default risk, and they were estimated in the following sequence: 1) Dickey-Pantula, Dickey-Fuller and seasonal unit root tests, and also unit root test with structural changes, were used to verify the integration degree for each variable and how each of them should be considered in the models; 2) interest rate and exchange rate regressions were first estimated by Ordinary Least Squares or, in case of heteroskedasticity and residuals autocorrelations problems, the regressions were reestimated using Weighted Least Squares, Weighted Least Squares with non-linear correction for residuals autocorrelation or Weighted Least Squares with Newey-West or White consistent covariance estimates. Initially, the models were estimated using monthly aggregated data, but they did not present robust results. In sequence, models were estimated using quarterly aggregated data, which had better estimations results and the best results are presented in this thesis. This dissertation presents two groups of results for each determination model of interest and exchange rates, considering the period from 1990 to 2006 without default risk and starting from a year that are default risk data available (the best results including default risk variable happened from 1995 to 2006). These regressions are the base for four VAR (Vector Autoregression) models. Both regression and VAR analysis strengthen the role of external variables in affecting the CDI interest rate for the period starting from 1995, while domestic variables reduced their effect on this process, specially the inflation rate. The results for the exchange rate determination model indicate a similar conclusion because, for the whole period analyzed, CDI interest rate was the most important variable; however, it reduced its influence on exchange rate when the default risk was inserted into the estimations. According to the results, there is evidence that the Brazilian economy is partially open and that the external factors have strong effect on CDI interest rate determination, especially after the implementation of Plano Real (Real Plan). More importantly, the international investors\' default risk perception has an important role showing the following dynamic: under default risk conditions, a larger interest rate (by a restricted monetary policy) can have a perverse effect, because, higher interest rate instead of attracting external capital inflows (which permits financial obligations to be honored) can lead on an external capital outflows, which depreciates the exchange rate and, as a result, increases the inflation rate. These results are extremely important to be considered for monetary policy implementation, as shown on the conclusions of this thesis.

This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.

<p>In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps).</p>

<p>This paper presents empirical evidence on the determinants of interest rate swap spreads in Sweden during the period 1999-2003. The results suggest that the spread between STIBOR and the general collateral repo rate is positively related to shorter maturity swap spreads. The risk premium associated with commercial bonds is positively related to swap spreads of all maturities. A negative relationship is observed between the term structure of interest rates and swap spreads. The short-term interest rate is positively related to spreads with shorter maturities. Interest rate volatility, stock-market movements and exchange rate movements appear to have no impact on Swedish swap spreads.</p>

<p>This thesis consists of five chapters.</p><p><b>Chapter 1 and 2 </b>The first chapter presents the introduction and the summary and the second chapter provides details on the survey and the data collection.</p><p>Chapter 3 The demand and supply of credit in the rural finance markets are investigated in this paper using data on 989 households, in Orissa, India. The aim is to study the effects of household, farm productive characteristics and the policy variables on the demand and supply of credit. A type 3 Tobit model is estimated which corrects for sample selection and endogeniety bias. In addition, a generalised Double Hurdle model is estimated where the household's access to credit is treated distinctly from decisions about the interest rate charged. The results from the type 3 tobit model suggest that the size of the operational holdings, net-wealth, the dependency ratio, educational level of the household and the wages and output prices are important determinants of the demand and supply of credit. The Double Hurdle model suggests the important result that the size of land owned plays a crucial role in whether the household obtains a loan or not.</p><p>Chapter 4 Based on the 'Rural Credit Market Survey of the Puri district in India', this paper investigates evidence on segmentation in the rural credit markets of Puri district. It further investigates the presence of any systematic association between the type of collateral offered by the household and the rate of interest at which it borrows. The data shows differences in the loan characteristics between the households borrowing from the formal and the informal sector. The empirical results confirm the presence of segmentation in the Puri credit market. For the households borrowing from the informal sector and the moneylenders, evidence also shows that the marketability of the collateral is inversely related to the interest rate. However, no such clear relationship is found for households borrowing from the formal sector.</p><p><b>Chapter 5 </b>In the theoretical and the empirical literature on rural credit markets it is widely assumed that the households are credit rationed in the formal sector, which offers subsidised credit. This view rests on the assumptions that all households have a positive demand for formal credit and that it is the cheaper source of credit. Three different models of formal credit rationing are estimated in this paper. The first model is a conventional credit-rationing model. The second model assumes that the probability to borrow from the formal sector is jointly determined by the demand for credit and the decision of the bank on access. Finally, the third model relaxes both these assumptions and the household chooses between borrowing from the formal or the informal sector. The results confirm that the access to the formal sector in the Puri rural credit markets is limited and that there exists a high demand for credit. This suggests a high degree of effective credit rationing by the formal sector in Puri. </p>

This paper presents empirical evidence on the determinants of interest rate swap spreads in Sweden during the period 1999-2003. The results suggest that the spread between STIBOR and the general collateral repo rate is positively related to shorter maturity swap spreads. The risk premium associated with commercial bonds is positively related to swap spreads of all maturities. A negative relationship is observed between the term structure of interest rates and swap spreads. The short-term interest rate is positively related to spreads with shorter maturities. Interest rate volatility, stock-market movements and exchange rate movements appear to have no impact on Swedish swap spreads.

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Trying to find explanations to movements in the exchange rate is something that econo-mists have been dealing with to a great extend lately. Especially since the break down of the Bretton Wood system in the early 1970’s, when many countries introduced a floating sys-tem instead. One of the most famous and often tested models is Jeffery A. Frankel’s Real Interest Differential (RID) model from 1979. This paper investigates which of the variables included in the model are affecting move-ments in the exchange rate for Sweden, the UK and Japan against the US dollar between January 1995 and December 2004. The variables in question are money supply, industrial production, interest rate and inflation differential. The model has purchasing power parity and uncovered interest parity as underlying theoretical assumptions, two main building blocks of open macro economics, and when combined, they can offer a relationship be-tween changes in the exchange rate and the interest rate differential. The results show that the variable interest rate differential constitutes a significant explana-tory variable for exchange rate movements regarding all three countries included in the model. Both Sweden and the UK have also, in accordance with the RID model, the ex-pected negative sign on the coefficient. The results regarding the other variables are mixed between the countries, but it can in general be said that the model seems to be able to ex-plain movements in the exchange rate to a certain degree.

The focus of this empirical paper is to outline and evaluate certain determinants of lever-aged buyouts (LBOs) in Europe. The paper begins by providing a detailed description of LBOs, with particular emphasis on the European markets. This allows for the development of the four determinants that are studied in greater detail, specifically interest rate, out-standing stock, anti-director rights, and creditor rights. The conclusions indicate that coun-tries with more outstanding stock have larger LBO markets since equity is more liquid in these countries. Further, the results suggest that long-run interest rate is negatively related to the size of the LBO market. The paper goes on to test whether anti-director rights and creditor rights, as developed by La Porta et al. (1998) are related to the size of the LBO markets, but no evidence is found to support this notion. It is thus concluded that deter-minants focused on financing the buyouts play the most significant role in European LBO transactions.