Ye, Guofeng. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 33-34). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / Chapter 1 --- INTRODUCTION --- p.5 / Chapter 2 --- LITERATURE REVIEW ON MONETARY TRANSMISSION MECHANISM …… --- p.8 / Chapter 3 --- THE EFFECT OF SHORT-TERM INTEREST RATE ON THE ECONOMY …… --- p.13 / Chapter 4 --- METHODOLOGY --- p.16 / Chapter 4.1 --- The Structural Vector Autoregressive Model --- p.16 / Chapter 4.2 --- The Error Correction Model --- p.18 / Chapter 4.3 --- The Alternative Model --- p.19 / Chapter 5 --- DATA --- p.20 / Chapter 5.1 --- Data Description --- p.20 / Chapter 5.2 --- Data Source --- p.20 / Chapter 6 --- EMPIRICAL RESULTS --- p.21 / Chapter 6.1 --- The Structural Vector Autoregressive Model --- p.21 / Chapter 6.2 --- The Error Correction Model --- p.28 / Chapter 6.3 --- The Alternative Model --- p.30 / REFERENCES --- p.33 / APPENDIX --- p.35 / Table 1 --- p.35 / Table 2 (SVAR: 1-3 years) --- p.36 / Table 3 (SVAR: 3-5 years) --- p.37 / Table 4 (SVAR: 5-7 years) --- p.38 / Table 5 --- p.39 / Table 6 (Error Correction Model: 1-3 years) --- p.40 / Table 7 (Error Correction Model: 3-5 years) --- p.41 / Table 8 (Error Correction Model: 5-7 years) --- p.42 / Table 9 --- p.43 / Table 10 (Money Supply: M0) --- p.44 / Table 11 (Money Supply: M 1) --- p.46 / Table 12 (Money Supply: M2) --- p.48

Thesis (Ph. D.)--University of California, San Diego, 2002. / Vita. Includes bibliographical references.

published_or_final_version / Economics / Master / Master of Social Sciences

The successful launch of the European Monetary Union (EMU) raised an already ever growing interest in the economics of monetary integration and the formation of monetary unions around the world. Following the EMU experience, countries have considered forming a monetary union amongst themselves. The East African Community (EAC), comprising the three original member countries Kenya, Tanzania and Uganda and now including Burundi and Rwanda, is an example of such a group of countries that seek to form a monetary union. This study aims to identify the current level of financial integration amongst the East African countries. In order to do so the study examines whether the pass-through of monetary policy in the five countries has become similar over time. This is to provide an indication of the extent to which the nominal convergence criteria amongst the member countries have been met. The results of the study provide an indication of whether the formation of a monetary union in East Africa is possible. The empirical analysis used in this study included stationarity tests, four tests of co integration and an asymmetric error correction model to investigate whether the pass-through of monetary policy transmission in the five countries has become more similar over the ten year sample period from 1999 to 2008. The analysis uses three interest rates and 6-year rolling windows to identify the extent of macroeconomic convergence that prevails within the EAC, and consequently whether the formation of a monetary union is possible. The results suggest that the magnitude of the convergence amongst the countries remain low and there are significant rigidities in the deposit and lending rates over time, however the passthrough has improved with respect to the lending rate but not the deposit rate. The overall conclusion of the study suggests that an EAC wide monetary union is currently not possible based on the evidence provided from the pass-through analysis.

by Lam Kang Hung, Roger. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 63). / Abstract --- p.ii / Table of Contents --- p.iii / List of Tables --- p.v / List of Figures --- p.vi / Acknowledgements --- p.vii / Chapter Chapter I --- --- Introduction --- p.1 / Scope --- p.1-2 / Chapter Chapter II--- --- Methodology --- p.3 / Chapter Chapter III--- --- What Is Risk Management --- p.4 / Chapter Chapter IV --- --- What Is Interest Risk Management --- p.5 / Chapter Chapter V --- --- Importance Of Interest Rate Risk Management --- p.7 / Chapter Chapter VI --- --- Techniques Used In Interest Rate Risk Management --- p.10 / Gap Analysis --- p.10 / Limitations --- p.12 / Duration Analysis --- p.13 / Limitations --- p.15 / Simulation Analysis --- p.16 / Limitations --- p.17 / Chapter Chapter VII --- --- Treasury Tools Available --- p.18 / Interest Rate Swap --- p.18 / Futures Markets --- p.22 / Forward Rate Agreements --- p.25 / Options Markets --- p.27 / Exchange Traded Versus Over The Counter Options --- p.31 / Interest Rate Cap --- p.32 / Interest Rate Floor --- p.34 / Interest Rate Collar --- p.35 / Interest Rate Swaptions --- p.38 / Synthetic Products --- p.38 / Chapter 1. --- Asset Swaps --- p.38 / Chapter 2. --- Equity Swaps --- p.39 / Chapter Chapter VIII --- --- Hedging Strategies --- p.40 / Strategy 1: Remain Unhedged --- p.40 / Strategy 2: Interest Rate Swaps --- p.40 / Strategy 3: Interest Rate Caps --- p.41 / Strategy 4: Interest Rate Collars --- p.41 / Strategy 5: Interest Rate Swaptions --- p.41 / Chapter Chapter IX --- --- Risk Management In M.T.R. and K.C.R --- p.45 / Mass Transit Railway Corporation --- p.45 / Background --- p.45 / Financial Strategy --- p.47 / Debt Management --- p.47 / Techniques Employed --- p.49 / Kowloon-Canton Railway Corporation --- p.51 / Principal Activities --- p.51 / Financial Management --- p.52 / Chapter Chapter X --- --- Concluding Remarks --- p.54 / Appendices / Chapter Appendix I --- Selected Financial Information of M.T.R --- p.57 / Chapter Appendix II --- Selected .Financial Information of K.C.R.C --- p.58 / Chapter Appendix III --- Interest Rate --- p.59 / Chapter Appendix IV --- Capital Market Instruments Employed By MTRC --- p.60 / Bibliography --- p.62

Lam Man Kin, Wong Yim Pan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / ACKNOWLEDGEMENTS --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- A BRIEF REVIEW OF THE MODELS FOR FOREIGN EXCHANGE DETERMINATION --- p.6 / Purchasing Power Parity --- p.6 / Flexible Price Monetary Model --- p.9 / Sticky Price Monetary Model -Exchange Rate Dynamics --- p.11 / Portfolio Balance Approach --- p.14 / Insights --- p.16 / Chapter III. --- THE LINKED EXCHANGE RATE SYSTEM --- p.18 / A Brief Historical Account --- p.18 / The Linked Exchange Rate System and Interest Rate --- p.19 / The Linked Exchange Rate System and Inflation Rate --- p.21 / The Pattern of Interest Rate Since Oct. 1983 --- p.22 / "The Pattern of Inflation Rate Since Oct., 1983" --- p.23 / "The Change of Real Exchange Rate Since Oct.,1983" --- p.23 / Chapter VI. --- METHODOLOGIES FOR THE EMPIRICAL STUDIES --- p.31 / The Data --- p.31 / Statistical Techniques --- p.32 / Models to be studied --- p.32 / Absolute PPP --- p.32 / Relative PPP --- p.33 / Augmented PPP Model --- p.34 / Hong Kong Inflation and US Inflation --- p.35 / Hong Kong Interest Rate and US Interest Rate --- p.36 / Interest Rate and Inflation Rate of Hong Kong --- p.36 / Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.38 / PPP Model --- p.38 / Absolute PPP --- p.38 / Relationship between Exchange Rate and Price Levels --- p.43 / Relative PPP --- p.43 / Inflations of Hong Kong and the US --- p.45 / Percentage change of exchange rate and inflation --- p.46 / Augmented PPP Model: Incorporate Interest Rates in PPP Model --- p.47 / Absolute PPP --- p.47 / Interest Rates and Short Term Fluctuation of Exchange Rate --- p.48 / Relative PPP --- p.49 / Interest Rates and the Percentage Change of Exchange Rate --- p.51 / Hong Kong Inflation and US Inflation --- p.51 / The Divergence of Two Inflation Rates --- p.52 / Hong Kong Interest Rate and US Interest Rate --- p.53 / Hong Kong Inflation and Hong Kong Interest Rates --- p.55 / Chapter VI. --- CONCLUSION --- p.57 / Limitations --- p.59 / APPENDIX / I --- p.61 / II --- p.67 / BIBLIOGRAPHY --- p.78

La crise financière de ces dernières années a relancé le débat sur le caractère dit « sans risque de défaut » des obligations souveraines. Face aux enjeux économiques et financiers, les établissements de crédit et les Institutions Financières ont du revoir les méthodes d’évaluation des obligations. Cette thèse a pour objectif la modélisation et la Gestion des prix obligataires et s’articule autour de quatre points. Dans le premier point, nous avons présenté les approches théoriques portant sur les modèles traditionnels des taux d’intérêt. Dans le second point, nous avons conçu un modèle test nommé M-M en discrétisant les modèles à temps continu du taux d’intérêt court et en recourant aux modèles de la famille GARCH. Ce modèle est construit en incorporant les effets niveau des taux d’intérêt à court terme et GARCH (1,1). Les résultats de l’estimation du modèle M-M suggère la nécessité de tenir compte des deux effets pour la modélisation des rendements des bons du Trésor américain. Le troisième point consiste à extraire les facteurs que l’on peut interpréter comme le niveau, la pente et la courbure. Ces facteurs sont extraits à partir de deux modèles qui sont des extensions dynamiques de la fonctionnelle de Nelson et Siegel. Les courbes des taux utilisés sont celles des Etats-Unis, de la France et de l’Afrique du Sud. La présence de l’Afrique du Sud dans cette étude est due à notre envie de traiter la structure par terme des taux d’intérêt d’un pays africain et aussi son économie émergente. A l’aide des proxies, et d’une ACP sur la courbe des taux de ces trois pays, ces facteurs ont été analysés sur la base de leur qualité d’ajustement. Le dernier point a pour but de traiter les indicateurs macroéconomiques et financiers qui peuvent expliquer les facteurs endogènes extraits. / The financial crisis of recent years has re-opened the debate of the so-called "risk-free" government bonds. Faced with economic and financial issues, credit institutions and financial institutions had reviewed the methods of bonds evaluation. The aim of this thesis is the modeling and management of the bonds prices and is organized on four points. In the first point, we present theoretical approaches on traditional models of interest rates. In the second point, we design a test model named M-M by discretizing the continuous-time models of the short interest rate and using the GARCH family models. This model is constructed by incorporating the level effect of the short term interest rates and GARCH (1,1) effect. The M-M estimation results suggest considering both effects for modeling Treasury bills yields. The third point determines the factors that can be interpreted as the level, slope and curvature, these factors are extracted from two models that are dynamics extensions of the Nelson and Siegel functional. We use Yield Curves of the United States, France and South Africa. The presence of South Africa in this study is due to our desire to treat the term structure of interest rates in an African country which is an emerging economy as well. These factors were analyzed on the basis of their goodness of fit. The last point aims to address macroeconomic and financial indicators that can explain the endogenous factors.

Instantaneous rate models, although theoretically satisfying, are less so in practice. Instantaneous rates are not observable and calibra- tion to market data is complicated. Hence, the need for a market model where one models LIBOR rates seems imperative. In this modeling process, we aim at regaining the Black-76 formula[7] for pricing caps and °oors since these are the ones used in the market. To regain the Black-76 formula we have to model the LIBOR rates as log-normal processes. The whole construction method means calibration by using market data for caps, °oors and swaptions is straightforward. Brace, Gatarek and Musiela[8] and, Miltersen, Sandmann and Sondermann[25] showed that it is possible to con- struct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process leading to Black-type pricing for- mulae for caps and °oors. The key to their approach is to start directly with modeling observed market rates, LIBOR rates in this case, instead of instantaneous spot rates or forward rates. There- after, the market models, which are consistent and arbitrage-free[6], [22], [8], can be used to price more exotic instruments. This model is known as the LIBOR Market Model. In a similar fashion, Jamshidian[22] (1998) showed how to con- struct an arbitrage-free interest rate model that yields Black-type pricing formulae for a certain set of swaptions. In this particular case, one starts with modeling forward swap rates as log-normal processes. This model is known as the Swap Market Model. Some of the advantages of market models as compared to other traditional models are that market models imply pricing formulae for caplets, °oorlets or swaptions that correspond to market practice. Consequently, calibration of such models is relatively simple[8]. The plan of this work is as follows. Firstly, we present an em- pirical analysis of the standard risk-neutral valuation approach, the forward risk-adjusted valuation approach, and elaborate the pro- cess of computing the forward risk-adjusted measure. Secondly, we present the formulation of the LIBOR and Swap market models based on a ¯nite number of bond prices[6], [8]. The technique used will enable us to formulate and name a new model for the South African market, the SAFEX-JIBAR model. In [5], a new approach for the estimation of the volatility of the instantaneous short interest rate was proposed. A relationship between observed LIBOR rates and certain unobserved instantaneous forward rates was established. Since data are observed discretely in time, the stochastic dynamics for these rates were determined un- der the corresponding risk-neutral measure and a ¯ltering estimation algorithm for the time-discretised interest rate dynamics was pro- posed. Thirdly, the SAFEX-JIBAR market model is formulated based on the assumption that the forward JIBAR rates follow a log-normal process. Formulae of the Black-type are deduced and applied to the pricing of a Rand Merchant Bank cap/°oor. In addition, the corre- sponding formulae for the Greeks are deduced. The JIBAR is then compared to other well known models by numerical results. Lastly, we perform some computational analysis in the following manner. We generate bond and caplet prices using Hull's [19] stan- dard market model and calibrate the LIBOR model to the cap curve, i.e determine the implied volatilities ¾i's which can then be used to assess the volatility most appropriate for pricing the instrument under consideration. Having done that, we calibrate the Ho-Lee model to the bond curve obtained by our standard market model. We numerically compute caplet prices using the Black-76 formula for caplets and compare these prices to the ones obtained using the standard market model. Finally we compute and compare swaption prices obtained by our standard market model and by the LIBOR model. / Economics / D.Phil. (Operations Research)

This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. This study contributes to the literature by examining eleven years of monthly data for the housing prices in the Stockholm region. We find evidence of a long-run relationship between housing prices, stock prices and the interest rate. There is a negative relationship between housing prices and the interest rate as well as between stock prices and the interest rate, but a positive relationship between housing prices and stock prices.  However, the results are somewhat sensitive to model specification and therefore further studies on the topic are encouraged.

Thesis (MSc)--Stellenbosch University / ENGLISH ABSTRACT : In this thesis, we first review the traditional pre-credit crunch approach that considers a single curve to consistently price all instruments. We review the theoretical pricing framework and introduce pricing formulas for plain vanilla interest rate derivatives. We then review the curve construction methodologies (bootstrapping and global methods) to build an interest rate curve using the instruments described previously as inputs. Second, we extend this work in the modern post-credit framework. Third, we review the calibration of the SABR model. Finally we present applications that use interest rate curves and SABR model: stripping implied volatilities, transforming the market observed smile (given quotes for standard tenors) to non-standard tenors (or inversely) and calibrating the market volatility smile coherently with the new market evidences. / AFRIKAANSE OPSOMMING : Geen Afrikaanse opsomming geskikbaar nie