U.S. money market securities have been found to exhibit behavior consistent with preferred habitat for liquidity around year-ends (Griffiths and Winters (1997, 2004)). In particular, repurchase agreement and commercial paper yields tend to increase when the security begins to mature across the end of the year, and return to normal levels after the year-end obligations have been paid but before the calendar year-end. The competing hypothesis, window dressing by financial intermediaries around disclosure dates, requires that the increase in yields be sustained until after the turn of the year. This study is aimed at finding whether the behavior of international money markets around year-ends and quarter-ends is more consistent with preferred habitat for liquidity or window dressing. This is done by analyzing changes in LIBOR for different currencies around quarter-ends. A second part of the study considers the effect of preferred habitat on the term structure of short-term interest rates. The expectations hypothesis of the term structure posits that future expected interest rates are implied by the current term structure. Empirical research suggests that the expectations hypothesis often does not hold, especially at the short end of the term structure. Preferred habitat for liquidity in short-term rates may be one of the reasons for the failure of expectations. The same LIBOR data set is used to test for the expectations in the presence of preferred habitat for liquidity. The empirical results of this study suggest that preferred habitat for liquidity in the short-term rates around quarter-ends and year-ends is not responsible for the failure of the expectations hypothesis in the data.

Submitted by João Valente (joaopaulovalente@hotmail.com) on 2013-09-21T14:35:40Z No. of bitstreams: 1 Tese_FINAL.pdf: 645576 bytes, checksum: 5dcd3933e691c9eb4d85777d7f20904f (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2013-09-27T13:44:20Z (GMT) No. of bitstreams: 1 Tese_FINAL.pdf: 645576 bytes, checksum: 5dcd3933e691c9eb4d85777d7f20904f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-09-30T12:35:01Z (GMT) No. of bitstreams: 1 Tese_FINAL.pdf: 645576 bytes, checksum: 5dcd3933e691c9eb4d85777d7f20904f (MD5) / Made available in DSpace on 2013-09-30T12:35:14Z (GMT). No. of bitstreams: 1 Tese_FINAL.pdf: 645576 bytes, checksum: 5dcd3933e691c9eb4d85777d7f20904f (MD5) Previous issue date: 2013-06-19 / Neste trabalho, propusemos um modelo DSGE que busca responder algumas questões sobre políticas de afrouxamento monetário (Quantitative Easing - QE) recentemente implementadas em resposta à crise de 2008. Desenvolvemos um modelo DSGE com agentes heterogêneos e preferred-habitat nas compras de títulos do governo. Nosso modelo permite o estudo da otimalidade da compra de portfolio (em termos de duration dos títulos) para os bancos centrais quando estão implementando a política. Além disso, a estrutura heterogênea nos permite olhar para distribuição de renda provocada pelas compras de títulos. Nossos resultados preliminares evidenciam o efeito distributivo do QE. No entanto, nosso modelo expandido apresentou alguns problemas de estabilidade. / In this paper, we proposed a DSGE model that seeks to answer some questions about the recent implemented Quantitative Easing (QE) programs. Our framework is a DSGE model with heterogeneous agents and preferred-habitat in purchases of government bonds. It allows the study of optimality purchasing portfolio (in terms of duration of the bonds) for central banks when they are implementing the policy. Furthermore, the heterogeneous structure allows us to look at income distribution caused by purchases of these securities. Our preliminary results show some distributive effect of QE. However, our expanded model showed some stability problems.

La spécificité de la tradition monétaire de Henry Thornton, Ralph George Hawtrey, John Maynard Keynes et John Richard Hicks, est de considérer le taux d'intérêt comme une variable influencée par la banque centrale. Ces auteurs peuvent être rattachés à une même tradition monétaire, différente de celle de Knut Wicksell, où le taux d'intérêt est déterminé par une variable réelle: le taux de profit. Dans la tradition de Thornton, le prêt et l'emprunt renvoient une vente et un achat de titres de dette. Ces derniers prennent une forme différente selon la période étudiée. Au dix-neuvième siècle, Thornton proposait que la Banque d'Angleterre contrôle, par des variations de son taux d'escompte, le prix de la liquidité de court-terme, étant la substituabilité des traites commerciales en monnaie. Un siècle plus tard, cette influence était effective. Cependant, au XXe siècle, avec le développement des marchés financiers, d'autre canaux de transmissions de la politique monétaire sont apparus. Bien que négligée par 1 littérature, une des controverses les plus représentatives de cette époque est celle d'Hawtre Keynes et Hicks. Ils conviennent que le taux court est un phénomène monétaire. En revanche, ils ne s'accordent pas sur la nature du taux long. Les débats portent sur la théorie pionnière d Keynes de la structure par terme des taux d'intérêt, les effets d'annonces, ainsi que les limite de l'arbitrage. / The specificity of the monetary tradition of Henry Thornton, Ralph George Hawtrey, John Maynard Keynes and John Richard Hicks is to consider the interest rate as mainly determined by the monetary policy. Those authors are part of the same monetary tradition, different that Knut Wicksell for whom the interest rate is a real variable: the rate of profit. The process of borrowing and lending, in the monetary tradition analyzed in my PhD thesis, corresponds to a sale and a purchase of debts. Debts take a different form according to the period studied. ln the nineteenth century, Thornton wrote that the Bank of England should be able to manage, by varying its discount rate, the price of short-term liquidity, which is the substitution of bills againt money. ln the twentieth century, other transmission channels of monetary policy appeared wit the evolution of financial markets. Although neglected by the literature, one of the most representative controversy at that time was between Hawtrey, Keynes and Hicks. All made a theory in which the short-term rate is a monetary phenomenon. They however disagreed on the nature of the long-term rate. The debate is on Keynes's pioneering theory of the term structur of interest rates, the announcement effects, and the limits to arbitrage.

Submitted by Daniela Kubudi Glasman (dkubudi@gmail.com) on 2014-06-23T17:18:45Z No. of bitstreams: 1 tese_DanielaKubudi_final.pdf: 1329488 bytes, checksum: 78a5e9b2527544313ec47b6425dbeb07 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2014-10-27T16:31:57Z (GMT) No. of bitstreams: 1 tese_DanielaKubudi_final.pdf: 1329488 bytes, checksum: 78a5e9b2527544313ec47b6425dbeb07 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2014-11-13T13:38:37Z (GMT) No. of bitstreams: 1 tese_DanielaKubudi_final.pdf: 1329488 bytes, checksum: 78a5e9b2527544313ec47b6425dbeb07 (MD5) / Made available in DSpace on 2014-11-13T13:39:30Z (GMT). No. of bitstreams: 1 tese_DanielaKubudi_final.pdf: 1329488 bytes, checksum: 78a5e9b2527544313ec47b6425dbeb07 (MD5) Previous issue date: 2013-02-25 / This thesis consists of three works that analyses the term structure of interest rates using different datasets and models. Chapter 1 proposes a parametric interest rate model that allows for segmentation and local shocks in the term structure. Adopting U.S. Treasury data, two versions of this segmented model are implemented. Based on a sequence of 142 forecasting experiments, the proposed models are compared to established benchrnarks and find that they outperform in out-of-sample forecasting results, specially for short-term maturities and for the 12-month horizon forecast. Chapter 2 adds no-arbitrage restrictions when estimating a dynamic gaussian polynomial term structure model for the Brazilian interest rate market. This article propose an important approximation of the time series of term structure risk factors, that allows to extract the risk premium embedded in interest rate zero coupon instruments without having to run a fui! optimization of a dynamic model. This methodology has the advantage to be easily implemented and provides a good approximation for the term structure risk premia that can be used in many applications. Chapter 3 models the joint dynamic of nominal and real yields using an affine macro-finance no-arbitrage term structure model in order to decompose the break even inflation rates into inflation risk premiums and inflation expectations in the US market. The Yields-Only and the Macro version of this model are implemented and the estimated inflation risk premiums obtained are small and quite stable during the sample period, but have differences when comparing the two versions of the model. / Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.