美日歐等先進國家在傳統貨幣政策提振經濟的效果逐漸失靈後，開始大膽啓用量化寛鬆(Quantitative Easing, QE)等非傳統貨幣政策(unconventional monetary policy)。本研究以此為背景，透過大量數據蒐集、整理與分析，比較國際金融市場在量化寛鬆貨幣政策前後的變化。 2007年美國次貸風暴引發全球金融危機後，FED於2008年開始實施密集、快速的QE政策，全面利用央行資產負債表與獨特而絕對在貨幣價格及數量的無限權力。本研究試圖從債券市場、股票市場、外匯市場、信貸與投資市場、各部門負債與去槓桿化程度與全球通貨膨脹現況等不同面向切入，嘗試以較長時間的統計資料比較並說明QE的有效性與侷限性。 在美日歐相繼實行規模程度不一的QE政策後，研究發現美國市場的各個層面已有顯著的改進，特別是在就業市場部分，其中失業率已逼近自然失業率的充分就業狀況，代表美國將逼近升息的時間點，並且不是只有單次調高基準利率(Fed Fund Rate，FFR)，而是一個升息循環的開始，預期FFR將在未來數年內逐漸調高到正常經濟的水平。 與此同時，開發中國家則在資金外流回到美元體系的大環境下，呈現匯率貶值、股市表現不佳與主權債利差變大的金融現象，反應出國際金融市場風險正移轉至新興市場；尤其令人不安的是新興市場持續累積相對龐大的負債，以及國際商品大跌，嚴重衝擊以出口這些商品為主的新興經濟體與生產製造商。在各國央行貨幣政策趨於分岐，特別是美國啟動升息周期將成為美元持續走強的驅動力，龐大國際資金的流動亦會顯著帶來市場風險的移轉。 本研究蒐集各種不同領域的報告及資料，進行分析，主要結果整理如下： 一、量化寬鬆政策(Quantitative Easing)將在一開始造成實施國的貨幣明顯貶值。 二、量化寬鬆政策將造成實施國的股票市場持續走揚。 三、量化寬鬆政策將造成實施國的主權債券殖利率明顯下跌，特別是短天期的部分(short-end)。若實施國進一步採行負利率政策，短天期主權債券收益率亦會由正轉負。 四、量化寬鬆政策帶動全球通貨膨脹脫離偏低水準的效果不明顯，無論已開發或開發中國家都仍深陷通貨緊縮的壓力。 五、在美日歐相繼實施量化寬鬆政策後，全球各商品(市場)的波動趨於一致，呈現越來越高的關聯性。 六、全球金融市場流動性有逐漸降低的趨勢(受到各國管理金融業法規趨嚴影響)，對照市場波動性時大時小，流動性風險影響國際資金的資產配置與流動成為一個重要議題。

This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.

This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.

När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. När emittenten av obligationen inte kan återbetala överenskommen utdelning eller principiellt lånebelopp så klassas detta som en betalningsinställelse. Eftersom det generellt sett är större risk för en betalningsinställelse för ett företag än för en stat, så vill investerare bli kompenserade för den extra risken de tar sig an. Den totala risken som utgör skillnaden i avkastning kan i sin tur delas upp i flera olika riskkomponenter. Syftet med vår uppsats är att undersöka ifall likviditetsrisk, ränterisk och kreditrisk har en effekt på kreditspread för företagsobligationer på den svenska marknaden. Med detta som bakgrund så har vi samlat in historiska data på förfallna obligationer under de senaste 10 åren via databaserna Thomson Reuter Datastream och Eikon. Vi har sedan laddat ned obligationsspecifika egenskaper i form av finansiella nyckeltal för samtliga obligationer. Dessa nyckeltal har valts för att till bästa förmåga representera och mäta respektive risk. Exempelvis så har vi använt oss av nyckeltalet “bid-ask-spread” för att mäta likviditetsrisk hos en obligation. För att undersöka sambandet mellan våra valda risker och kreditspread så genomförde vi ett hypotestest. Vi skapade en nollhypotes och en alternativhypotes som vi sedan testade med hjälp av en multipel regression. Nollhypotes (H0): Studiens utvalda variabler har inte en effekt på den kreditspread hos svenska företagsobligationer Alternativhypotes (Ha): Studiens utvalda variabler har en effekt på den kreditspread hos svenska företagsobligationer Slutsatsen var att vi kunde statistiskt påvisa ett positivt samband mellan riskernas storlek och storleken på obligationens kreditspread. Detta gjordes både för riskerna var för sig och för modellen när den blev testad i sin helhet. Den bakomliggande teorin bakom variablerna kunde därför antas vara korrekt även vid applicering på svenska marknaden för det senaste decenniet. Vi har som ambition att denna studie skall kunna agera som ett verktyg för fundamental analys för framtida investerare samt vidare studier inom området obligationer på svenska marknaden

Alors que le début de la crise de l'euro a relancé le débat sur l’interdépendance du risque decrédit et la relation dette bancaire-dette souveraine, l’importance du secteur réel est négligéedans l’élaboration des mesures de relance de la croissance économique dans la zone euro. Cettethèse se concentre sur ces questions au sein de la zone euro. D’abord, nous évaluons les effets«spillover» de la crise souveraine sur le coût de crédit des entreprises non financières enprésence des mesures d’austérité (Chapitre-I). Nos résultats indiquent un effet significatif de ladette publique sur le coût des prêts. En outre, en période de crise, les mesures d’austéritéimpactent significativement le coût de crédit tandis qu’avant la crise, on note une petite illustrationde la demande agrégée de Keynes. Ensuite, nous montrons que les fonctions traditionnelles desbanques, notamment celle de création de liquidité fragilisent le secteur souverain (Chapitre-II). Enparticulier, nous montrons que le risque de liquidité des banques agit comme un canal depropagation de l'incertitude vers les sociétés non financières et inversement. Enfin, nousexaminons la dynamique du risque de crédit sur la dette souveraine, les entreprises et lesbanques (Chapitre-III). Nos résultats montrent qu’il existe un risque de contagion sur les secteurset les marchés financiers de l’union monétaire. Par ailleurs, les résultats des simulations dechocs de primes de risque des pays «noyaux» de la zone euro confirment l’existence d’effetsindirects sur le reste de la zone. De plus, nous constatons un phénomène de fuite desinvestisseurs vers les valeurs refuges. / The onset of euro crisis has rekindled the policy debate regarding credit risk interdependenceamong sovereign-bank nexus. In this vein, the importance of real sector is overlooked whileformulating corrective measures for the recovery of economic growth in EMU. This thesispresents a study that examined these issues in euro zone. First, we evaluate spillover effect ofeuro crisis on borrowing cost of non-financial firms in presence of austerity measures (Chapter-I).Our results suggest significant effect especially where creditor rights protection are weak. Inaddition during recent crisis, results indicate presence of credibility channel due to austeritymeasures whereas; there is slight indication of aggregate demand channel before crisis. Second,we find traditional function of bank’s liquidity creation as a significant conduit of sovereign distressto real sector (Chapter-II). Particularly, our main finding shows that bank liquidity risk acts as aconduit which propagates uncertainty towards non-financial firms and re-channels it back torespective government. Finally, we examine cross-market credit risk dynamics among sovereignbank-firm nexus to identify presence of contagion during euro crisis period (Chapter-III). Ourresults report grave evidence of credit risk contagion across sectors and member states incorresponding financial markets in EMU. Moreover like peripheral countries, simulation results toshock in core countries risk premia strongly provide evidence of contagion towards remainingeuro zone.

Research object – Risk of international settlements. The aim of this work is to analyze the process of the management of international settlements risk and foresee the opportunities of risk management in Lithuania. The set tasks for achieving the aim of this research: to introduce the understanding of international settlements risk; to set the kinds of international settlements risk; to set the process of the management of international settlements risk; to set the international settlements risk management means; to set the usage opportunities of these means in Lithuania. There are four kinds of international settlements risk described in this work: political, liquidity, currency rate range and economical risk. There are introduced means of risk management for every kind of risk in this work. There you can also find opportunities of usage of international settlements risk management in Lithuania. Research methods: analysis and synthesis of literature, logical analysis and synthesis, statistics analysis.

Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de causalité entre deux types de tensions: celles liées à des motifs de liquidité et celles liées à des motifs de crédit (chapitre 4). Enfin, l'influence de la politique monétaire sur la courbe des taux est examinée grâce à un modèle dans lequel une utilisation innovante des changements de régime permet de produire des trajectoires réalistes des taux directeurs de la banque centrale (chapitre 5). / This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5).

Made available in DSpace on 2010-04-20T20:48:33Z (GMT). No. of bitstreams: 3 107984.pdf.jpg: 12765 bytes, checksum: 5d4cdda4904fd3d64f1b98e1cce1c1f6 (MD5) 107984.pdf: 1037424 bytes, checksum: b58290ed3c6d905a1910ca947de28c79 (MD5) 107984.pdf.txt: 236519 bytes, checksum: fd11a827a48f7fb1f697282cb1d59511 (MD5) Previous issue date: 2007-01-24T00:00:00Z / This work develops an integrated model for optimal asset allocation in commercial banks that incorporates uncertain liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts for the opportunity cost of risky assets, what may even incorporate a liquidity discount, it neglects the risk of failure due to the lack of sufficient funds to cope with unexpected cash demands arising from bank runs, drawdowns, or market, credit and operational losses, what may happen along with credit rationing episodes or systemic level dry ups. Given a liquidity constraint that can incorporate those factors, there is a probability Pf that there will be a fail and the liquidity constraint will not hold, resulting in a value loss for the bank, represented by a stochastic failure loss Lf. The total economic profit, given the possibility of loss due to the lack of liquidity, is then optimized, resulting in a short-term asset allocation scheme that integrates market, credit and operational risks in the liquidity management of banks. Even though a general approach is suggested through simulation, it is provided a closed form solution, under some simplifying assumptions, that is thoroughly discussed. An analysis of stylized facts about liquidity in Brazil suggests that the current decreasing trend in interest rates have some influence in the reduction of liquid assets as a proportion of deposits, increasing the relevance of liquidity management models such as the one proposed in this work. The model was then applied to Brazilian banks data resulting in an estimated 8.5% yearly gain over the optimization without liquidity considerations. Even though it is not possible to establish the significance of this result due to the approximations used, its sensibility to changes in the parameters is not high. After increasing and decreasing all parameters by 20%, the gain change ranged from 6.3% to 8.8%. Gains may reach 11.1% if the amount of liquid resources available for allocation is multiplied by four, and even if the loss given failure is reduced by 8.6 times there still are gains of about 0.5% a year in the return on equity, giving empirical indications that the model may have a relevant impact over the value creation in banks. / Neste trabalho é desenvolvido um modelo integrado para alocação ótima de ativos em bancos comerciais que incorpora restrições incertas de liquidez, atualmente ignoradas por modelos de RAROC e EVA. Se por um lado o lucro econômico considera o custo de oportunidade de ativos com risco, o que pode inclusive incorporar um prêmio de liquidez, por outro é negligenciado o risco de falha devido à falta de fundos suficientes para enfrentar demandas inesperadas de caixa, oriundas de corridas, saques excepcionais de linhas de crédito, ou perdas de crédito, de mercado, ou operacionais, o que pode ocorrer conjuntamente com episódios de racionamento de crédito interbancário ou crises sistêmicas de liquidez. Dada uma restrição de liquidez que pode incorporar tais fatores, há uma probabilidade Pf de que haja uma falha e a restrição de liquidez não seja obedecida, resultando em perda de valor para o banco, representada pela perda estocástica por falha Lf. O lucro econômico total, dada a possibilidade de perda devido à falta de liquidez, é então dinamicamente otimizado, resultando em um esquema de alocação de curto prazo capaz de integrar riscos de mercado, de crédito e operacionais na gestão de liquidez em bancos comerciais. Embora uma abordagem geral via simulação seja sugerida, também é apresentada uma solução fechada, válida sob certos pressupostos simplificadores, cuja otimização é discutida detalhadamente. Uma análise de fatos estilizados é apresentada a seguir, havendo indícios de que a tendência corrente de redução das taxas de juros no Brasil tem influenciado a queda no nível de ativos líquidos como proporção dos depósitos, aumentando a relevância dos modelos de gestão de liquidez, como o aqui proposto. Também foi feita uma implementação do modelo com dados de bancos brasileiros da qual estimou-se um ganho de cerca de 8,5% ao ano no retorno sobre o patrimônio líquido em relação à otimização que não leva em conta as perdas por falta de liquidez. Embora não seja possível estabelecer a significância do resultado em virtude das aproximações utilizadas, observou-se que a sensibilidade deste ganho não é alta em relação a variações nos parâmetros, que modificados de 20%, para mais e para menos, produziram ganhos entre 6,3% e 8,8% ao ano. Os ganhos chegam a 11,1% se o volume de recursos líquidos disponíveis para alocação for aumentado em quatro vezes e mesmo se a perda dada uma falha for reduzida de 8,6 vezes ainda há ganhos anuais de cerca de 0,5% no retorno sobre o patrimônio líquido, dando indícios empíricos de que o modelo possa ter impacto relevante na criação de valor em bancos.

The correct measure and definition of liquidity in finance literature remains an unresolved empirical issue. The main objective of the present study was to develop, validate and test the liquidity mismatch index (LMI) developed by Brunnermeier, Krishnamurthy and Gorton (2012) empirically. Building on the work of these prior studies, the study undertook to develop a measure of liquidity that integrates both market liquidity and funding liquidity within a context of asset liability management. Liquidity mismatch indices were developed and then tested empirically to validate them by regressing them against the known determinants of liquidity. Furthermore, the study investigated the nexus between liquidity and profitability. The unit of analysis was a panel of 12 South African banks over the period 2005–2015. The study developed two liquidity measures – the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) – whose performances were compared to and contrasted with the Basel III liquidity measures and traditional liquidity measures using a generalised method of moments (GMM) model. Overall, the two constructed liquidity indices performed better than other liquidity measures. Significantly, the ALMI provided a better macro-prudential liquidity measure that can be utilised in dynamic stochastic general equilibrium (DSGE) models, thus presenting a major contribution to the body of knowledge. Unlike the LMI, the BLMI and ALMI can be used to evaluate the liquidity of a given bank under liquidity stress events, which are scaled by theoretically motivated and empirically supported liquidity weights. The constructed BLMI contains information regarding the liquidity risk within the context of asset liability mismatches, and the measure used comprehensive data from bank balance sheets and from financial market measures. The newly developed liquidity measures are based on portfolio management theory as they account for the significance of liquidity spirals. Empirical results show that banks increase their liquidity buffers during times of turmoil as both BLMI and ALMI improved during the period 2007–2009. Subsequently, the improvement in economic performance resulted in a rise in ALMI but a decrease in BLMI. We found no evidence to support the theory that banks, which heavily depend on external funding, end up in serious liquidity problems. The findings imply that any policy implemented with the intention of increasing bank capital is good for bank liquidity since the financial fragility–crowding-out hypothesis is outweighed by the risk absorption hypothesis because the relationship between capital and bank liquidity is positive. / Finance, Risk Management and Banking / D. Phil. (Management Studies)

This study examined the determinants of commercial bank liquidity in South Africa. The panel regression approach was used, applying panel data from twelve commercial banks over the period 2006 to 2016. A quantitative research method was used to investigate the relationship between bank liquidity and some microeconomic and bank-specific factors and between bank liquidity and selected macro-economic factors. The regression analysis for four liquidity ratios was conducted using the pooled ordinary least squares regression, fixed effects, random effects and the generalised methods of moments. However, the system generalised methods of moments approach was preferred over the other methods because it eliminated the problem of endogeneity. Results show that capital adequacy, size and gross domestic product have a positive and significant effect on liquidity. Loan growth and non-performing loans had a negative and significant effect on liquidity. Inflation had both a positive and a negative but an insignificant effect on liquidity. The study concluded that South African banks could enhance their liquidity positions by tightening their loan-underwriting criteria and credit policies. Banks should improve their credit risk management frameworks to be more prudent in their lending practices to improve the quality of the loan book to enhance liquidity. They also need to grow their capital levels by embarking on efficient revenue enhancements activities. Banks may also to look at their clients on an overall basis and not on transaction bases, and they need to improve non-interest revenue by introducing innovated products. The South African Reserve Bank could push for policies that might enhance capitalisation by ensuring that the sector is consolidated and thus merging smaller banks to create banks with stronger balance sheets and stronger capital base. This study contributes to the empirical research repository on the determinants of liquidity and more specifically, it identified the significant factors that affect South African commercial bank liquidity. Identifying the determinants of South African commercial bank liquidity will provide the South African Reserve Bank with insight into ways of enhancing liquidity management reforms, to improve the sector’s liquidity management practices and help to maintain a sound and liquid banking sector. / Business Management / M. Com. (Business Management)