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Politique de ciblage d’inflation : règles de conduites, efficacité, performance / Inflation targeting policy : optimal rules, relevance, performanceFtiti, Zied 24 February 2010 (has links)
Depuis 1990, bon nombres de pays industrialisés et émergents ont adopté la politique de ciblage d’inflation. Ce régime monétaire a été adopté sans théorie adjacente dans la mesure où il a démarré comme une solution alternative à la recherche sans fin d’un système d’ancrage nominal suite aux échecs répétés des politiques antérieurs. Ce retard théorique fait naître de nombreux débats économiques sur la conduite de ce régime monétaire dont les plus importants feront l’objet d’une discussion approfondie au sein de cette thèse. Dans un premier chapitre, nous définissons la politique de ciblage d’inflation. Dans un second chapitre nous abordons la question de la conduite optimale de ce régime d’un point de vue théorique et empirique. Nous montrons que la règle optimale est une règle à la Taylor de type Forward-Looking dont elle peut avoir un comportement asymétrique. Dans un troisième chapitre, nous abordons la question de l’efficacité de la politique de ciblage d’inflation. Pour ce faire, nous avons étudié l’effet d’intervention de ce régime sur la dynamique d’inflation. Nous avons recours à la théorie spectrale évolutive afin de modéliser la série de l’inflation dans le but de tester son évolution. Les résultats sont en faveur de l’efficacité de ciblage d’inflation. Le dernier axe de cette thèse s’intéresse à la question de la performance économique de ce régime monétaire. Pour ce faire nous développons une méthodologie originale évaluée selon une approche économétrique originale. En effet, nous qualifions le ciblage d’inflation comme économiquement performant s’il génère une stabilité de l’environnement de la politique monétaire. Le fondement de cette idée fera l’objet du quatrième chapitre. Quant au chapitre cinq, il développera l’approche économétrique basée sur la théorie co-spectrale pour mesure le degré de stabilité de cet environnement. Les résultats montrent que le ciblage d’inflation est économiquement performant. / The inflation targeting policy (ITP) was born after the failure of many monetary policies. However, the ITP was adopted without inherent theory which raised many discussions. In this dissertation, we study the most important debates. In the first chapter, we defined the ITP. Then, we treat the question of the optimal rule conduct. We show that the optimal monetary rule is a type Taylor rule under a Forward-Looking version and which can be linear or nonlinear. In the third chapter, we focus on the discussion about the relevance of the inflation targeting policy. To study this point we use the evolutionary spectral analysis to model the inflation series and we test then, if the ITP cause a structural break. Our results show the relevance of the ITP. The last discussion in this work is to check the macroeconomic performance of the ITP. The main idea is to consider the ITP as economically efficient when it generates a stable monetary environment. The latter is considered as stable when a long-run equilibrium exists to which the paths of economic variables (inflation rate, interest rate and GDP growth) converge. The convergence of the variables’ paths implies that these variables are more predictable and implies a less uncertainty in the economic environment. To measure the degree of convergence between economic variables, we propose, in this paper, a dynamic time-varying variable presented in the frequency approach named cohesion. This variable is estimated from the evolutionary co-spectral theory. The results show that the ITP is a relevance policy and generate a good performance.
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前瞻性績效衡量值運用於全權委託投資業務之經濟分析 / Economics Analysis for the Application of Forward-Looking Performance Measure to the Discretion Account Business陳燕錫, Chen,Yahn-Shir Unknown Date (has links)
全權委託投資業務(俗稱代客操作),在證券市場中提供專業投資管理服務。我國證期會於民國81年,政策性地決定將開放此項業務。雖然整個規範體系已在民國87年建立,但它忽略掉經濟層面之考量,勢必造成全權委託投資契約無效率。
目前規範體系所允許之委託報酬的計算方法,稱之為「固定佣金制度」,由於此制度無法對業者提供經濟誘因,它會引發業者有嚴重之道德危險發生。因此,為解決誘因問題,應該使用「績效佣金制度」,不過在目前股市環境下,此一制度則引入過高之風險。因此,為解決兩種制度所帶來之問題,本文提出「改良式績效佣金制度」,在此制度下,委託報酬除基於傳統財務績效衡量值外,並基於非財務性績效衡量值,本文稱之為前瞻性績效衡量值(簡稱F-LPM)。
本文使用兩期之「主理人-代理人」模型,推導出最適委託報酬制度以及相關之比較靜態。在基本模式之下,本文進一步探討F-LPM之相關屬性及功能。所得結果與相關文獻一致,首先是,在最適委託報酬制度下,納入F-LPM可降低業者過度地重視短期,因而犧牲了委任人之報酬,這表示F-LPM具有增額資訊內涵。其次,無成本地提高F-LPM之精確度,可增加委任人之報酬。最後,改良式績效佣金制度優於固定佣金制度與績效佣金制度,因為它可降低風險,因而帶給委任人之報酬增加。
第壹章 緒論
第一節 / Discretion account business provides professional investment management service in the securities market. The Securities and Futures Commission decides in policy to approve the business in 1992. Althrough the regulation system of the discretion account business has been established, it will make the advisory contract inefficient with the negligence of economic consideration. The form of advisory fees permitted by the regulation system is 'constant fee system'. Under the system, advisory contract provides no incentive and serious moral harazd will occur. In order to solve the motivation problem, 'performance fee system' should be used. Under the circumstance of Taipei securities market, however, the performance fee system will bring in high risk. Hence, this paper suggests the 'improved performance fee system' to overcome the dilemma born by the performance fee system. In the improved system, advisory fees are based on the traditional performance measure and the fordward-looking performance measure (hereafter F-LPM).
With a two-period principal-agent model, this paper develops the optimal reward system and related comparative static. Following the basic model, the paper examines the attributes and function of F-LPM. The findings are consistent with the related literature. First, the inclusion of a F-LPM in reward system can mitigate the potential for the advisor to focus excessively on the short-term at the expense of the investor. That is, F-LPM is incremental informative. Second, costless increases in precision of F-LPM will lead to increase in payoffs for the inveator. Finally, the improved performance fee system is superior to the constant fee system and the performance fee system in that it can reduce risk and results in higher payoffs to the investor.
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市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management :the case of financial holding company周士偉, Chou, Jacky Unknown Date (has links)
2008年次貸風暴橫掃全球金融市場,Basel II制度歷經多年的實施,卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報,亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透,市場風險管理到底出了什麼問題?這是被極度關心的現象,產官學界也對此現象提出了許多議題。2012年的現在,次貸的風暴尚未遠去,新的歐債危機也正在蔓延,若金融風暴再次來臨,市場風險管理是否能克服次貸風暴後所凸顯的缺失,市場風險管理的價值除被動管理外,是否還可以進階到主動預警,以作為經營決策的重要參考資訊?這些都是國內金融機構需積極面對的急迫的市場風險管理議題。
個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍,並將市場風險管理的價值由被動管理角色進階到主動預警角色,以期作為經營決策的重要參考。經過多年的淬煉,其發展理念與經驗應具相當參考價值,故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究,除分析個案金控市場風險管理機制的基礎架構外,也將研究重心放在個案金控如何在此基礎架構下,開發多種進階市場風險量化管理功能。
本論文除研究個案金控如何完善市場風險值量化機制外,也對各量化功能的實施結果進行分析,以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。
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A promise kept: the mystical reach through lossCollins, Jody 04 October 2019 (has links)
The meaning of loss is love. I know this through attention to experience. Whether loss or love is experienced in abundance or in absence, the meaning is mystical with an opening of body, mind, heart and soul to spirit. And so, in the style of a memoir, in the way of contemplative prayer, I contemplate and share my soul as a promise kept in the mystical reach through loss. With the first, initiating loss, the loss of my nine-year-old nephew, Caleb, I experience an epiphany that gives me spiritual instructions that will not be ignored. I experience loss as an abundance of meaning that comes to me as gnosis, as “knowledge of the heart” according to Elaine Pagels or divine revelation in what Evelyn Underhill calls mystical illumination in the experience of “losing-to-find” in union with the divine. Then, with gnostic import, in leaving the ordinary for the extraordinary, I enter the empty room in the painful yet liberating experience of the loss of my self. In the embrace of emptiness, I proceed to the first wall, the second wall, the third wall, the dark corner of denial, the return to centre, and, finally, to breaking the fourth wall in the empty room so as to keep my promise to you. Who are “you”? You are God. You are Caleb. You are spirit. You are my higher soul or self. And, you are the reader. You are my dear companion in silence. And then, through a series of broken promises and more loss, within what John of the Cross calls, “the dark night of the soul,” I am stopped by the ineffability of the dark corner of denial, the horror of separation and the absence of meaning, which is depicted as the grueling gap between the spiritual abyss and the breakthrough. What does it mean to keep going through a solemn succession of losses? I don’t know. In going into the empty room, I simply put pain to work in order to reach you. Through loss, though there are infinite manifestations, there is only one way: keep going. And so, in a triumph of the spirit, I keep going so as to be: a promise kept in the mystical reach through loss. As for you, through my illumined and dark experiences of loss, what is my promise to you? I keep going to reach the unreachable you. In the loss of self, with embodied emptiness, in going into the dark corner of denial, with a return to the divine centre of my emptied self, in an invitation to you, I give my soul to you in union with you. / Graduate / 2020-06-25
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Boiardo lettore di Dante. Comunicazione letteraria e intertestualità a Ferrara nella loro dimensione storicaCazzato, Matteo 29 May 2024 (has links)
La tesi si propone di indagare l’intertestualità dantesca nell’opera volgare di Matteo Maria Boiardo. Il fenomeno è già stato oggetto di studi – indirizzati soprattutto al poema cavalleresco, e in misura minore (specie negli ultimi anni) al canzoniere lirico – che si sono mossi però nell’alveo dell’impostazione strutturalista, con una considerazione della memoria poetica da un punto di vista formalista e tipologico. Questa corrente ha consentito sviluppi importanti negli studi filologici, ma porta a vedere il fatto letterario staccato dal suo contesto di riferimento. Se questo esito in Italia è stato arginato da una forte base storicista, va detto che gli studi sulle riprese poetiche hanno però vissuto una situazione particolare. Da una parte, infatti, lo strutturalismo fra anni ’60 e ’70 ha imposto anche in Italia, attraverso una serie di importanti lavori, il suo modo di trattare la questione, senza poi che il successivo approdo semiotico incidesse in maniera significativa. Dall’altra, la reazione di chi voleva agganciare il fenomeno al dato storico ha riportato il problema all’impostazione erudita della critica delle fonti, privilegiando la raccolta dati da mettere in relazione con le informazioni sulla storia della tradizione e della circolazione. L’obbiettivo di questa tesi è fare un passo avanti, nella convinzione che per lo studio di questi fenomeni di riuso sia la circolazione manoscritta che i dati testuali e formali vadano letti in una piena prospettiva semiotica: guardare ai fenomeni di tradizione e trasmissione testuale nell’ottica dei processi ricettivi, e considerare le scelte di memoria poetica come atti comunicativi, con un valore pragmatico. La ricerca ha l’intento di giungere ad una maggior comprensione del rapporto del dotto poeta umanistico con il modello dantesco, un’interpretazione più chiara delle strategie di riuso, determinate dal particolare modo di leggere la Commedia nel contesto specifico, e perciò attraverso un preciso filtro fra quelli disponibili al tempo. Accanto all’insieme di informazioni filologiche sulle attestazioni manoscritte nelle biblioteche del tempo, l’indagine qui condotta consente – anche da un punto di vista che potremmo definire attributivo – di indicare in Benvenuto da Imola l’esegeta di riferimento per Boiardo e il suo pubblico, proprio perché l’osservazione ravvicinata dei testi e dei loro legami fa emergere questa tradizione interpretativa come la più attiva nell’elaborazione boiardesca rivolta ai lettori. Il lavoro non ha preso le mosse da un afflato teorico, teso a riconcettualizzare l’intertestualità, ma da un intento di chiarificazione sui testi e alcuni loro aspetti che non sembravano però trovare una spiegazione soddisfacente all’interno del quadro metodologico diffuso. Il lavoro, allora, ha assunto poco alla volta anche una vena metodologica sorta dall’osservazione dei fenomeni in modo nuovo. E così, accanto all’indagine storico-letteraria, e in stretta relazione con essa, è stato possibile avanzare alcune proposte ermeneutiche sui meccanismi intertestuali in base alle dinamiche della comunicazione letteraria. E nelle pagine che seguono il percorso si articola attorno a nuclei diversi ma interconnessi: da una parte la riflessione generale a carattere semiotico sui fenomeni di memoria poetica, che vengono concettualizzati grazie agli apporti di discipline come la pragmatica; segue una ricognizione storica sulle modalità di lettura e ricezione del modello dantesco – e non solo – in base alla circolazione dei testi e dei loro apparati esegetici; si arriva poi al nucleo del lavoro con l’affondo diretto su opere e paratesti esegetici con le loro relazioni, che si instaurano all’interno del laboratorio d’autore e poi da lì arrivano al pubblico.
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