Neste trabalho, discutimos brevemente o papel da comunicação e transparência na condução da política monetária. A seguir, construímos um índice que quantifica a informação qualitativa das atas do Comitê de Política Monetária (COPOM). Nossos principais achados são: i) a comunicação do COPOM é consistente, no sentido de que suas palavras são seguidas por ações; ii) a comunicação do COPOM ajuda a compreender as decisões de taxas de juros e iii) a comunicação da autoridade monetária, por meio de suas atas, produz um efeito significativo nas taxas de juros de mercado, acompanhadas de uma redução da volatilidade. / In this work, we briefly discuss the issue of transparency and communication in monetary policy. Next, we look at the minutes of COPOM meetings and build a glossary, that translates the qualitative information in an ordered scale, similar to the one built by Rosa and Verga(2005). Our main findings can be summarized as follows. First, we found evidence of a consitent behaviour by COPOM, in the sense that words are followed by actions. Second, based on estimates of Taylor rules, we found that words are helpful to understant interest rate setting behaviour of the Brazilian Central Bank. An third, we found evidence of a significant impact of COPOM minutes on market interest rates, along with reduced volatility.

A literatura recente descreve o comportamento das autoridades monetárias através de funções de reação do banco central, que capturam a relação entre o instrumento de política monetária, a taxa de juros, e as variáveis econômicas relevantes. Os coeficientes ótimos de resposta à taxa de inflação e ao produto dependem dos parâmetros estruturais da economia e da importância relativa atribuída pelas autoridades monetárias aos objetivos conflitantes de política: estabilização da inflação ou do produto. Tanto as preferências do banco central como o conhecimento que as autoridades monetárias possuem da estrutura, ou do funcionamento, da economia podem se alterar ao longo do tempo. Os testes realizados reforçam a hipótese de que os parâmetros da função de reação variaram ao longo do período. Esta dissertação estima uma função de reação para o Banco Central do Brasil pelo método Time Varying Parameter, no qual se permite que os seus coeficientes variem período a período seguindo um processo de random walk. De acordo com os resultados obtidos, podemos dividir a condução da política monetária entre 1995 e 2006 em dois períodos. No primeiro período (1995-1999), relativo ao regime de câmbio administrado, a taxa de juros reagiu mais fortemente ao hiato do produto e à variação das reservas cambiais. Observamos, neste período, que a resposta ao produto dependeu do próprio nível desta variável. No segundo período (1999-2006), associado ao regime de metas de inflação, a taxa de juros reagiu principalmente às expectativas de inflação. No entanto, a reação não foi constante ao longo deste período. / Recent literature describes the behavior of the monetary authorities through reaction functions of the central bank that capture the relation between the instrument of monetary politicy, the interest rate, and economics variables. The optimal coefficients of reaction to inflation rate and the output gap depend on the structural parameters of the economy and the relative importance attributed by the monetary authorities to the conflicting objectives of politicy: stabilization of the inflation or the output. The preferences of the central bank and the knowledge that the monetary authorities possess of the structure of the economy can change over time. The applied tests strengthen the hypothesis of that the parameters of the reaction function had varied throughout the period. This dissertation estimates a reaction function for the Brazilian Central Bank for the method Time Varying Parameter, in which it allows that its coefficients vary period the period following a random walk process. In accordance with the results, we can divide the conduction of the monetary politicy between 1995 and 2006 in two periods. In the first period (1995-1999), relative to fixed exchange rate regime, the interest rate reacted mainly to output gap and international reserves. In this period, the reply to the output gap depended on the proper level of this variable. In the second period (1999-2006), associate to inflation targeting regime, the interest rate reacted mainly to the inflation expectations. However, this reaction was not constant over this period.

Exchange rate risk, interest rate risk and oil price fluctuations are the most demonstrated risks in the GCC (Gulf Cooperation Council) countries (Arouri and Nguyen, 2010). Research, however, in this area is still underdeveloped. The importance of this study is to contribute to this research gap. This research aims to show how these three risks affect firms' market values by examining 473 listed firms in Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates for the period January 2007 to June 2012. The research further examines the determinants of these risks. The study uses the AR (1) EGARCH-M model. The results indicate that stock returns in GCC countries are influenced by the exchange rate risk, interest rate risk and oil price risk. However, the exposure was highest for exchange rate risk and lowest for interest rate risk. While the effects of these risks were mixed, overall, exchange rate risk and oil price risk showed more positive significance as compared to the interest rate risk that showed more negatively significant effect on firm values. The level of the effect of these risk also differed from country to country. However, firms in United Arab Emirates revealed the highest exposure to all the three risks while those in Saudi Arabia showed the least exposed to the three risks. Oman firms also showed high exposure to exchange rate and interest rate risks. The segregated results overall showed lower exposure of financial firms as compared to non-financial firms. However, the non-financial firms in Bahrain were more exposed to the risks than the financial firms. In Saudi Arabia, the financial firms revealed the least exposure to the risk suggesting effective risk management practices. In addition, foreign operations and firm size had a significant influence on the extent of the firms’ exposure to all the three risks. Leverage also influenced the level of exposure to interest rate risk. Profitability, growth and liquidity did not reveal a significant influence on the level of exposure. Further, increasing the risk does not lead to increased returns in most of the GCC countries. The risk-return parameters were largely negative. However, positive news increases return volatility more than negative news in most countries. Also, the current volatility of most GCC firms’ returns are time varying, are a function or past innovation and past volatility. The volatility of stock returns, which is affected by changes in the risk factors, could demonstrate the non-prioritisation of risk management by firms.

The theme of this thesis is mortgage market and its development in Czech Republic. Introductory part focuses on clarifying basic concepts and processes related to mortgage loans supplemented by information about Czech mortgage market. The second part deals with the current state of the Czech mortgage market. In the third part is done a comparison of the offers of several mortgage lenders, including its evaluation. The following part compares official bids with real offers. The fifth and last part is focused on development of the mortgage market. The attention isn´t concentrated on historical development, but on news and product innovations that are shaping the current domestic mortgage market and its future form.

The object of the Diploma thesis is the analysis of mortgage loan parameters on the Czech market, their subsequent comparison and evaluation of the most advantage variants of housing financing. The thesis also deals with the conditions of mortgage loans providing. The comprarison is made on the most significant providers of mortgage loans, who have controlled in the long term 90 % of the market. Within the Diploma thesis is compared five mortgage products offered by Hypoteční banka, a. s., Česká spořitelna, a. s., Komerční banka, a. s., Raiffeisenbank, a. s. a UniCredit Bank, a. s. For analysis was compiled form that includes parameters, basic interest rates and charges for mortgage loans. The parameters are obtained from external and internal bank materials and structured interviews with mortgage specialists. The evaluation of products is used to assess the flexibility, complexity and costs of particular product. I find Hypotéka České spořitelny to be the most comprehensive and flexible product. The lowest interest rates offer Komerční bank with Hypoteční úvěr Plus and UniCredit Bank with Hypoteční úvěr Individual, the highest interest rates has Hypoteční banka with Hypoteční úvěr do 100 %. Hypotéka Klasik offered by Raiffeisenbank is the charges most gentle, the most demanding on charges is Hypoteční úvěr do 100 % offered by Hypoteční banka. The most advantageous mortgage loan can't be unequivocally evaluated. It depends on whether the client prefers the lowest repayment or the most comprehensive and flexible product by which is possible, for example, pay the extraordinary instalment.

In my thesis I focuse on comparing the mortgages in Czech Republic in detail. In the first part I focuse on dependance of amout provided mortgages on unemployment and Gross domestic product. In another part of my thesis I focuse on various types of mortgages and the different factors for providing. In the last part I refer the differences on real examples.

With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. By starting at the basic rate instrument, bonds, we will work our waytowards the pricing formula for a swaption, the Black76 model. The Black76model is a variant of the Nobel prize winning formula Black-Scholes-Merton.With the pricing model we can start looking at the main scope of this thesis,a hedging strategy against swaptions from a clearinghouse perspective.Clearinghouses are central to the modern financial market. They act asa middleman in order to clear trades from clearing members and have anoversight of the financial market. In case a clearing member defaults, theclearinghouse will gain control over the defaulted portfolio. The clearing-house will host an auction of the portfolio which they strive to hold after5 to 15 days. When they hold the portfolio, they are exposed to the risksand therefore it’s of great importance to be able to hedge the assets in theportfolio. In this thesis a strategy and algorithm have been developed todelta-hedge swaptions in order to be delta-neutral under stable market con-ditions.In the thesis we will consider two cases. The first case is when the clear-inghouse receives the portfolio long before the swaptions maturity. In thiscase forward swaps are used to hedge and in order to reduce the number offorward swaps obtained, compression is used. The second case is when theswaption maturity will be reached within the period the clearinghouse holdsthe portfolio. For the days before maturity is reached, forward swaps andcompression is used. After maturity is reached interest rate swaps is used tohedge.For both cases the result is very close to achieving delta-neutrality. Withnormalized deltas with respect to the notional amount the mean delta ex-posure is of the magnitude 10−4 for the first case and 10−6 for the second.However, one thing to keep in mind is that everything is based on simu-lated values under some simplifying assumptions. This thesis should be asolid ground for future studies where more extreme scenarios are considered.With more extreme scenarios one could investigate the possibility to hedgewith Gamma or another Greek such as Vega. / Med den ökande användningen av ränteswappar är det av stor vikt att förståswaptioner, vilket är en option på en ränteswapp. En swaption kan användasbåde för spekulativa syften och för att hedgea mot risker i ränteförändringar.Det viktigaste att förstå är hur man prissätter en swaption. Eftersom swap-tioner baseras på underliggande tillgångar så kommer vi börja med det mestgrundläggande, obligationer, och arbeta oss fram till modellen vi kommer an-vända, Black76. Black76-modellen är en variant av den nobelprisvinnandemodellen Black-Scholes-Merton. Med denna modell kan vi börja undersökadet huvudsakliga syftet med avhandlingen, en hedgningsstrategi för swap-tioner från perspektivet av ett clearingshus.Clearinghus är en central del av den moderna finansmarknaden. De agerarsom en mellanhand för att hantera affärer mellan clearingmedlemmar ochhar en översikt över marknaden. Ifall en clearingmedlem går i konkurs,kommer clearinghuset att ta över portföljen med tillgångar. Clearinghusetkommer att hålla en auktion för att sälja av portföljen. De strävar efteratt hålla auktionen så snabbt som möjligt och det sker generellt efter 5 till15 dagar. Medan de har portföljen så är de exponerade mot riskerna i till-gångarna och därför är det av största vikt att kunna hedga tillgångarna. Iden här avhandlingen har en strategi och en algorithm tagits fram för attanvända delta-hedging för att uppnå delta-neutralitet under normala mark-nadsrörelser.Vi kommer att undersöka två olika fall. Det första fallet är när portföljen tasöver när det är lång tid kvar till swaptionens förfallodatum. Då kommer viatt använda forward swaps för att hedgea och för att minska antalet swapparkommer vi att använda kompression. Det andra fallet är när förfallodatumetuppnås under tiden som clearinghuset håller i portföljen. Dagarna innan för-fallodatumet kommer vi hedgea med forward swaps med kompression. Närdatumet är nått så kommer vi istället att använda ränteswappar.I båda fallen är resultaten nära att uppnå delta-neutralitet. Med normalis-erade deltan med avsenende på det nominella beloppet är medelvärdet avdelta-exponeringen av magnituden 10−4 för det första fallet och 10−6 för detandra. Men, det är värt att komma ihåg att allting är baserat på simuler-ade värden under förenklade antaganden. Denna avhandling bör utgöra enbra grund för vidare studier där man kan undersöka mer extrema mark-nadsrörelser. Med extremare rörelser skulle man kunna undersöka hedgn-ingsstrategier med andra Greker som till exempel Gamma och Vega.

Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. This report is concerned with the trying to provide prices for options written on these rates, in particular for swaptions that are not at-the-money (atm) utilizing prices in the cap market. Different methods have been suggested in the literature for solving this problem. In particular we study the method suggested by Hagan et al where one calibrates a SABR model to the caplet surface with the same expiry as the swaption. One then assumes that the swaption contract with the same expiry follows the same SABR dynamics as the caplet, but with a recalibrated initial volatility to fit the atm point. We also study the approach suggested by Rebonato and Jäckel. They derive a model for swaption prices based on the individual volatilities of the forward rates that the underlying interest rate swap consists of, as well as the correlation between the forward rates.  Both of these approaches are studied empirically for the STIBOR market. The data set span between 2016 and 2021 and consists of the yield curve, flat cap volatilities and swaption volatilities. We use the 1Y1Y and 5Y5Y swaption surfaces, where the prices are not only quoted atm, to verify our model. We conclude that despite the SABR model being able to fit the caplet prices well, the method suggested by Hagan does not capture the swaption smile. The Rebonato and Jäckel approach also falls short of capturing the smile and produces similar results as the Hagan et al method. This is suggested to be due to the Hagan method capturing the caplet smile well, and the constant correlation assumption made in this thesis.

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This thesis is concerned with a brief summary of the theory of Pade approximants and one of its applications to Finance. Proofs of most of the theorems are omitted and many developments could not be mentioned due to the vastness of the field of Pade approximations. We provide reference to research papers and books that contain exhaustive treatment of the subject. This thesis is mainly divided into two parts. In the first part we derive a general expression of the Pade approximants and some of the results that will be related to the work on the second part of the thesis. The Aitken's method for quick convergence of series is highlighted as Pade[L/1] . We explore the criteria for convergence of a series approximated by Pade approximants and obtain its relationship to numerical analysis with the help of the Crank-Nicholson method. The second part shows how Pade approximants can be a smooth method to model the term structure of interest rates using stochastic processes and the no arbitrage argument. Pade approximants have been considered by physicists to be appropriate for approximating large classes of functions. This fact is used here to compare Pade approximants with very low indices and two parameters to interest rates variations provided by the Federal Reserve System in the United States.