The main purpose of this study is not only to prove the impact of loan interest rates on the poor in the case of Tigray, Northern Ethiopia but also to recommend improvements to address the negative effects of interest rates that could benefit both the borrowers and the lenders. Combinations of quantitative and qualitative analytical tools were used; the data were collected through administration of a questionnaire to a sample of 471 respondents from three regulated MCIs, one cooperative enterprise, and one unregulated NGO. Results were analysed by using SPSS software. A multi-dimensional approach with respect to demand for credit, return on loan, loan repayment, savings, indebtedness, multiple loans, graduation process, and wellbeing was used and results were triangulated to obtain a full picture. The study has concluded that the interest rate in general, primarily charged by DECSI, eroded the envisaged profits that poor borrowers expected to gain. This caused diversified negative impacts on the poor, those who were entrusted to MCIs. It thus brings into question the efficacy of the social responsibility of MCIs. From a simple analysis, it is found that there is a trade-off between servicing the poor with a low loan cost and securing MCIs operational self-sufficiency. Furthermore, the poor are not only sensitive to the loan interest rate but also to the saving interest rate. Therefore, not only access but also the cost of credit and savings matters to the poor. Moreover, the study identified a positive relationship between the financial capacity of MCIs and lending interest rates. Institutions with higher profitability tend to offer lower interest rates on micro loans but not when commercialization is an issue. The study grasped that socially oriented and responsible MCIs can reach the poorest without compromising financial performances, a “win-win proposition”. Finally, the study offers comprehensive recommendations on policy and practice that address potential changes to how MCIs redesign their loan and savings interest rate. The recommendations also address how MCIs develop graduation processes and self-revolving credit scheme frameworks that strengthen pro-poor microcredit modality. Additionally, the study provides a way forward in the design of future microcredit that could help MCIs deliver on their core social mandate. / Development Studies / D. Litt. et Phil (Development Studies)

-Les dynamiques du taux de change en présence de frictions sur les marchés financiers.Cette analyse est une extension du modéle du surajustement « Overshooting » de Dornbusch. Il s'éloigne du modéle de base en faisant l'hypothèse que les marchés financiers ne s'ajustent pas instantanément, « generalised interest parity condition ». Le modele de taux de change sous cette hypothèse, reproduit le surajustement retarde du taux de change nominal. Notre modele arrive aussi a capturer la variation en forme de bosse du taux de change reel et suite a un choc monetaire.-Électorale Cycle de taux de change en CoréeCe papier analyse empiriquement les variations du taux de change reel en Coree du Sud, a l'approche des elections et un peu apres de celles-ci. Nous remarquons que le taux de change baisse juste avant les election mais nous n'avons pu deceler de tendance nette apres. Ce resultat est a l'oppose de celui trouve lors de l'étude des cycles électorales en Amérique latine. Nous expliquons cette divergence par des différences dans la structure économique entre la Corée du Sud et les pays d'Amerique latine-Le régime de change, l'ouverture des marchés de la capitale et de la politique monétaire; Le trilemme en CoréeCet article teste la proposition trilemme en effectuant une étude empirique de Corée. La Corée possède périodes distinctes de toutes les combinaisons de régime de taux de change et l'ouverture du marché des capitaux dans le trilemme: rattaché au régime de taux de change sous le contrôle des capitaux, rattaché au régime de taux de change sous libre circulation des capitaux et des taux de change flottant régime en vertu libre circulation des capitaux. Nous vérifions si l'autonomie monétaire existe dans chacune des trois combinaisons différentes. Nous constatons que l'autonomie monétaire existé au cours des périodes où les contrôles de capitaux et les périodes de régime de taux de change flottant. Pour les périodes avec le régime de parité fixe et libre circulation des capitaux, l'autonomie monétaire a été limitée. En outre, nous identifions que, juste avant la crise financière, le gouvernement a poursuivi la politique monétaire autonome sous le régime de taux de change arrimé et libre circulation des capitaux, défiant ainsi le trilemme. / -Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing “generalized interest parity condition”, which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis paper empirically investigates the real exchange rate behavior around elections in Korea. We find that the real exchange rate depreciates more before the elections but there is no clear pattern found after the elections. Interestingly, this result is the opposite of the electoral cycle found in Latin American countries. To explain this results we should consider the difference between economic backgrounds of Korea and Latin American countries.-Exchange Rate Regime, Capital Market Openness and Monetary Policy; The Trilemma in KoreaThis paper tests the trilemma proposition by performing an empirical study of Korea. Korea has distinct periods of all combinations of exchange rate regime and capital market openness in trilemma: pegged exchange rate regime under capital controls, pegged exchange rate regime under free capital mobility, and floating exchange rate regime under free capital mobility. We check whether monetary autonomy exists in each of the three different combinations. We find that monetary autonomy existed over the periods with capital controls and the periods with floating exchange rate regime. For the periods with the pegged exchange rate regime and free capital mobility, monetary autonomy was limited. In addition, we identify that just before the financial crisis the government pursued autonomic monetary policy under pegged exchange rate regime and free capital mobility, thereby defying the trilemma.

The goal of this diploma work was comparison the conditions of providing the mortgage loans before and during the financial crisis. In the first part of this work I define the basic parameter of the mortgage loans as a category of this loans, period of interest, interest rate, repaying and ensuring mortgage loans and also state assistaence. In the second part of this work I analyzed the current situation in the mortgage market in the Czech Republic with a period before the financial crisis especially with the year 2007. I also compared the conditions of the concrete mortgage loan from the year 2006 with the year 2012, which provided Hypoteční banka, a.s.In a model comparison I compared offers of mortgage loans in selected banks (Česká spořitelna, a.s, Komerční banka, a.s., Hypoteční banka, a.s, Raiffeisenbank, a.s., and Wüstenrot, a.s. to find out which bank has a best conditions for the applicants for mortgage loans.I compared the mortgage loans for purchase and reconstruction.

This thesis deals with current issues relating to the mortgage market. The aim of the thesis is to analyse factors which influence the mortgage market in the Czech Republic and to describe their influence on the quantities of mortgages within last 10 years (2002-2011). The theoretical part introduces basic concepts related to the mortgage market, the legislation and chosen factors that could have an influence on the quantities of mortgages. Among these factors were chosen GDP, the rate of unemployment, the inflation rate and the interest rate of mortgage loans. One part deals with mortgage crises which came into existence in the USA in 2007 and had an impact on economics of other countries. In practical part there is an introduction into development of chosen factors and then there is finding out whether these factors influence the quantity of mortgages.

The aim of this thesis was to analyze consumer credit and mortgage loans during the financial crisis in selected commercial bank. In the theoretical part I define important terms. I differentiate between types of loans, explain types of banking risks and their current management. In the practical part I analyzed the survey data and the volume of borrowed finances and the failure rates of individual loans. Were the proposed new methodology aimed at eliminating risks in the bank.

Esta tese é composta de três ensaios. No primeiro ensaio, nós examinamos se os efeitos reais das ações de política monetária no Brasil são assimétricos. Para isto, estimamos modelos Markov-switching que permitem que os choques monetários positivos e negativos afetem a taxa de crescimento do produto de forma assimétrica nos estados de expansão e recessão econômica. Os resultados obtidos mostram que: i) quando as ações de política monetária são mensuradas através das inovações ortogonalizadas para a taxa Selic em um modelo VAR, os efeitos reais de choques monetários negativos são maiores do que os de choques positivos no estado de expansão e os efeitos reais de choque negativos são maiores em expansão do que em recessão econômica; ii) quando a variação na taxa de juros Selic é tomada como medida de política monetária, nós constatamos também assimetrias entre os efeitos reais de variações positivas e negativas na taxa Selic durante a fase de recessão, e entre os efeitos reais de variações negativas na taxa Selic entre as fases do ciclo de negócios. No segundo ensaio, nós procuramos aperfeiçoar o entendimento da política monetária brasileira sob o regime de metas de inflação através da calibração das preferências do Banco Central. m específico, nós calibramos a função perda do policymaker escolhendo, de uma ampla classe de políticas alternativas, os valores dos parâmetros de preferência que minimizam o desvio entre a trajetória ótima e a trajetória verdadeira da taxa Selic. Nossos resultados mostram que o Banco Central tem adotado um regime de metas de inflação flexível e dado um maior peso à estabilização da inflação. Nós constatamos também que a preocupação da autoridade monetária com a suavização da taxa de juros tem sido maior do que com a estabilização do produto. O terceiro ensaio investiga a existência de possíveis assimetrias nos objetivos do Banco Central. Assumindo que a função perda é assimétrica em relação a desvios positivos e negativos do gap do produto e da taxa de inflação em relação à meta, nós estimamos uma função de reação não-linear que permite identificar e testar a significância estatística dos parâmetros de assimetrias nas preferências da autoridade monetária. Para o período de 2000-2007, os resultados indicaram que o Banco Central brasileiro apresentou uma preferência assimétrica a favor de uma inflação acima da meta. Visto que este comportamento pode ser decorrente das decisões de política em momentos de fortes crises (tais como as de 2001 e 2002), nós delimitamos a nossa amostra para o período de 2004-2007. Para este período, nós não encontramos evidências empíricas apontando para qualquer tipo de assimetria nas preferências sobre a estabilização da inflação e do gap do produto. / This thesis is composed of three essays. In the first essay, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. Results show that: i) when monetary policy actions are measured by means of orthogonalized innovations for the Selic rate in a VAR model, the real effects of negative monetary shocks are larger than those of positive shocks in an expansion and the real effects of negative shocks are greater in an expansion than in a recession; ii) when the variation in the Selic rate is used to measure monetary policy, we also have asymmetries between the real effects of positive and negative variations in the Selic rate during a recession, and between the real effects of negative variations of the Selic rate between the states of the business cycle. In the second essay, we seek to further elucidate the Brazilian monetary policy under the inflation targeting regime by calibrating Central Bank preferences. More specifically, we calibrate the policymaker’s loss function by choosing the preference parameter values which minimize the deviation between the optimal and actual paths of the basic interest rate (Selic). Our results indicate that the Central Bank has adopted a flexible inflation target regime and placed some greater weight upon inflation stabilization. We also find out that the monetary authority’s concern with interest rate smoothing has been far deeper than with output stabilization. The third essay investigates the existence of possible asymmetries in the Central Bank of Brazil’s objectives. By assuming that the loss function is asymmetric with regard to positive and negative deviations of the output gap and of the inflation rate from its target, we estimated a nonlinear reaction function which allows identifying and checking the statistical significance of asymmetric parameters in the monetary authority’s preferences. For years 2000 to 2007, results indicate that the Central Bank of Brazil showed asymmetric preference over an above-target inflation rate. Given that this behavior may stem from policy decisions in periods of severe crises (e.g., in 2001 and in 2002), we restricted our sample to the 2004-2007 period. We did not find any empirical evidence of any type of asymmetry in the preferences over the stabilization of inflation and of the output gap for this period.

This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...

Conselho Nacional de Desenvolvimento Científico e Tecnológico / The analysis of macro-economic variables through time-series models is widely used in the literature supporting economic theory, showing the actual behaviour of these variables. One of these macroeconomic variables have two variables that interfere with eou has relationships with other variables justifying the relevance in studying their behaviors. The first is the interest rate, which is very important in driving the economy, influencing the intention to spend and save of all economic agents, whether personal, commercial or industrial level (State or private). The second is the exchange rate, where its buoyancy determines the level of imports and exports affecting the trade balance. In this context the present research aims to describe the behavior of SELIC interest rates and Brazilian Exchange from January 1974 to June 2012 and January 1980 to may 2012, respectively. To this end, at first was used the Box-Jenkins model where the models showed through the analysis of residues which both had conditional heteroscedasticity in the waste of the models. Then joint modeling was used to the level of the process and the process variance (ARCH family models). The results showed that, for the SELIC interest rate series, the model selected was an ARIMA (1,1,1)-EGARCH (3,1) and, to the exchange rate, an ARIMA (0,1,1)-EGARCH (1,1). It is evidenced through these models that there is asymmetry of information, yet there was the leverage effect. In a second moment was chosen a model representing each one of the models of family ARCH (ARCH, GARCH, TARCH, EGARCH) and later held the combination of prediction by methods: ACP, middle and MMQO. The results obtained show that, in General, the performance measures MAPE, MSE and U-THEIL are superior to the combinations of prediction. In addition, the combination of forecast for different weights with ACP to check which of the types of weights provide better results. Therefore, it is concluded that the different weights allow the researcher to achieve greater accuracy in the choice of models combined, allowing aid managers in prior decision of the behavior of these variables that affect so scathing the health of the Brazilian economy. / A análise de variáveis macroeconômicas por meio de modelos de séries temporais é amplamente utilizada na literatura dando suporte à teoria econômica, mostrando o real comportamento dessas variáveis. Dentre essas variáveis macroeconômicas tem-se duas variáveis que interferem e/ou tem relações com outras variáveis justificando-se assim a relevância em estudar seus comportamentos. A primeira é a taxa de juros, que é muito importante na condução da economia, influenciando a intenção de gastar e poupar de todos os agentes econômicos, seja no nível pessoal, comercial ou industrial (privado e/ou estatal). A segunda é a taxa de câmbio, onde sua flutuação determina o nível das importações e exportações afetando assim a balança comercial. Nesse contexto a presente pesquisa tem como objetivo descrever o comportamento das taxas de juros SELIC e câmbio brasileiras no período de janeiro de 1974 a junho de 2012 e de janeiro de 1980 a maio de 2012, respectivamente. Para tanto, num primeiro momento foi utilizada a modelagem Box-Jenkins onde os modelos evidenciaram por meio da análise de resíduos que ambos possuíam heterocedasticidade condicional nos resíduos dos modelos. Em seguida, utilizou-se a modelagem conjunta para o nível do processo e para a variância do processo (modelos da família ARCH). Os resultados obtidos mostraram que, para a série da taxa de juros SELIC, o modelo elegido foi um ARIMA (1,1,1)- EGARCH (3,1) e, para a taxa de câmbio, um ARIMA (0,1,1)- EGARCH (1,1). Evidencia-se por meio destes modelos que há assimetria das informações, contudo não se verificou o efeito de alavancagem. Num segundo momento foi escolhido um modelo representando cada um dos modelos da família ARCH (ARCH, GARCH, EGARCH, TARCH) e posteriormente realizada a combinação de previsão pelos métodos: ACP, Média e MMQO. Os resultados obtidos evidenciam que, no geral, as medidas de desempenho MAPE, MSE e U-THEIL são superiores para as combinações de previsão. Além disso, foi realizada a combinação de previsão por ACP com ponderações diferentes para verificar qual dos tipos de ponderações propiciam resultados melhores. Logo, conclui-se que as diferentes ponderações permitem ao pesquisador conseguir maior acurácia na escolha dos modelos combinados, permitindo auxiliar gestores na decisão prévia do comportamento dessas variáveis que afetam de maneira contundente a saúde da economia brasileira.

Submitted by Jéssica Ventura da Silva null (ventura_jessica24@hotmail.com) on 2018-03-12T21:07:06Z No. of bitstreams: 1 Jessica_Ventura Dissertaçao.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) / Approved for entry into archive by Claudia Adriana Spindola null (claudia@fct.unesp.br) on 2018-03-13T11:48:39Z (GMT) No. of bitstreams: 1 silva_jv_me_prud.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) / Made available in DSpace on 2018-03-13T11:48:39Z (GMT). No. of bitstreams: 1 silva_jv_me_prud.pdf: 1678176 bytes, checksum: df62ed33ac2d6f5dcd5513fb137e1125 (MD5) Previous issue date: 2018-02-23 / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / Com o objetivo de determinar o comportamento das raízes de alguns tipos de equações trinomiais, que aparecem em determinados problemas relacionados à Matemática Financeira, esta dissertação apresenta o estudo de resultados clássicos que determinam regiões do plano complexo onde os zeros de um determinado polinômio estão localizados, bem como o estudo de resultados específicos sobre a distribuição das raízes de equações trinomiais no plano complexo, de acordo com seus argumentos e módulos. Uma vez que, a grande aplicação dos resultados sobre trinômios está relacionada à determinação da taxa de juros I de séries uniformes de pagamentos antecipadas, postecipadas e diferidas, este trabalho também apresenta o estudo das funções financeiras que envolvem juros compostos. Assim, por meio de toda teoria apresentada, determinamos uma região anelar do plano complexo onde estão localizadas as raízes das equações trinomiais e quadrinomiais relacionadas a determinação da taxa de juros I. Além disso mostramos, sob certas condições, que as raízes das equações trinomiais são simples e determinamos setores do plano complexo que contém exatamente uma raiz destas equações trinomiais. / In order to determine the behavior of the roots of some kinds of trinomial equations, which appear in certain problems related to Financial Mathematics, this work presents the study of classical results that determine regions of the complex plane where the zeros of a given polynomial are located, as well as the study of specific results on the distribution of the roots of trinomial equations in the complex plane, according to their arguments and modules. Since the large application of the results on trinomials is related to the determination of the interest rate I of a uniform series of payments, this work also presents the study of financial functions involving compound interest. Then using all presented theory, we determine an annular region of the complex plane where are located the roots of the trinomial and quadrinomial equations related to the determination of the interest rate I. Furthermore we show, under certain conditions, that the roots of the trinomial equations are simple and we determine the sectors of the complex plane that contain exactly one root of these trinomial equations. / FAPESP: 2015/23752-3

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