During the last decade several Japanese life insurance companies failed mainly due to interest losses. In fact, interest rate risk dominates mortality risk for a portfolio of business in force. When the interest rates are modelled as random variables, the yields on bonds are the sum of expected short spot rates and a risk premium for random bond prices. However, in our study, we assume a risk-neutral environment, i.e. zero risk premiums. As tools to deal with stochastic interest rates, various interest rate term structure models are considered. The Vasicek model, the Heath-Jarrow-Morton (hereafter “HJM”) approach and Cairns’ model are explained in detail. The history and nature of the very low interest rate environment in Japan is described in line with the monetary policy framework of the central bank. An unusual interest rate movement in the very low interest rate environment is identified. A modified HJM approach and Cairns’ model are chosen in our study. Cairns’ model is used to graduate the initial yield curve. The HJM approach with a specific volatility function and modified to deal with very low interest rates is used for simulating subsequent developments of the initial yield curve. After the introduction of various concepts needed to investigate a life insurance policy portfolio, we prepare for simulation by collecting information and by fitting parameters to market observations. The Yen swap curve is chosen as a base yield curve. The simulation results show how much initial capital and/or margins are needed in order to avoid the ruin of a portfolio.

This diploma thesis deals with a new discord in the Austrian economic theory about the effects of maturity mismatching practiced by banks on the shape of the yield curve and defines the not yet established concept of the natural yield curve. The conflicting contributions of Austrian authors are compared for that purpose. Based on this comparison, a coherent theory of the effects of maturity mismatching is presented in a framework of the loanable funds market. A definition of the natural yield curve is then produced by a synthesis of the above-mentioned findings and the Austrian theory of the natural rate of interest. Theoretical research leads to the conclusion that one form of maturity mismatching inevitably results in an Austrian business cycle. The empirical section examines the question of yield curve´s behavior under the influence of maturity mismatching. An explanation concerning the selected hypotheses and their lack of confirmation is given.

In this thesis, the interest rates derivatives and their valuation based on the future development of interest rates are presented. The Hull-White model focusing on the modeling of the instantaneous spot rates is described in detail. The model is calibrated to the market caplet volatilities and is used to evaluate various interest rates derivatives. The main emphasis is put on the LIBOR market model describing the development of set of forward rates. There are presented and in detail discussed results of the calibration of LMM model on the market swaption volatilities. At the end the two models are compared.

Development and description of the nominal exchange rate of the dollar since 1945. Specification of determinants, which affected dollar exchange rate in the period. Consequences for United states economy and stability of the world fiscal system. Relation between dollar exchange rate and price of gold, relation between dollar exchange rate and price of crude oil. Relation betweén dollar exchange rate and significant financial crisis. Deskripce vývoje nominálního kursu dolaru v období od r. 1945 do současnosti. Určení faktorů, které tento vývoj ovlivňovaly. Důsledky pro ekonomiku USA a stabilitu světového finančního systému. Souvislost vývoje kursu dolaru se změnami cen zlata a ropy. Souvislost s významnějšími finančními krizemi.

This thesis deals with company capital structure, that is characterized according to methods of horizontal and vertical analysis. Then it deals with prices of particular capital items, costs for capital and influeces on business performance, it means with the calculation of economic value added. Theoretical part describes capital structure items in general, prices of particular items of capital, costs for capital and particular methods for EVA calculation, it means both EVA entity and EVA equity. Practical part characterizes individual items of capital structure and application of chosen model, that is the second model for EVA calculation {--} EVA equity {--} on a concrete company. This calculation was processed through benchmarking on websides of Departement of industry and Trade. The model was applicated on a company, that deals with production of motor and joining vehicles, machines production, machineries production and means of transport repairs {--} ČZ, a.s.

Submitted by Débora Morais (morais.debora@gmail.com) on 2012-09-04T00:04:09Z No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 320015 bytes, checksum: 22c924dfc03055e0ea63193844dbcc2c (MD5) / Rejected by Vitor Souza (vitor.souza@fgv.br), reason: Falta a folha de aprovação no arquivo digital. on 2012-09-04T18:05:15Z (GMT) / Submitted by Débora Morais (morais.debora@gmail.com) on 2012-09-04T19:40:28Z No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2012-09-04T19:43:07Z (GMT) No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) / Made available in DSpace on 2012-10-15T18:18:52Z (GMT). No. of bitstreams: 1 Dissertação - Debora Morais - Versão final.pdf: 609808 bytes, checksum: f80fedee58a73f391a6746106c39359b (MD5) Previous issue date: 2012-05-28 / This study aims to estimate a natural real rate of interest quarterly series for Brazil through a Dynamic Stochastic General Equilibrium (DSGE) model, from 2000´s first quarter to 2011´s fourth. The model represents a closed economy with households maximizing CRRA, profit maximizing firms in imperfect competition and a government with a balanced budget fiscal policy and a Taylor type monetary policy rule, in a context of price rigidity. In this framework, the neutral real interest rate was calculated based on productivity and government spending shocks, which were considered the most appropriate ones for the Brazilian economy. Moreover, we analyze the responses of the natural rate to productivity and government spending shocks, its behavior thru the estimated period and its sensibility to alternative calibrations. Finally, by comparing the behavior of the interest rate gap and inflation, we found negative correlations of 56% and 83% for the full period estimated and for a latter-day sample (from 2006´s first quarter to 2011´s last), respectively, indicating some reliability in the obtained series. / Este trabalho objetiva estimar uma série trimestral para a taxa de juros real neutra brasileira via modelo de Equilíbrio Geral Dinâmico Estocástico (DSGE), para o período compreendido entre o primeiro trimestre de 2000 e o último de 2011. O modelo representa uma economia fechada, com famílias maximizando utilidade do tipo CRRA, firmas maximizando lucro em um mercado de concorrência imperfeita e um governo com política fiscal de orçamento equilibrado e regra de política monetária à la Taylor, em um contexto de rigidez de preços. Neste arcabouço, a taxa de juros real neutra foi calculada com base nos choques de produtividade e de gastos de governo, que foram considerados os mais relevantes para a economia brasileira. Adicionalmente, analisou-se o impacto dos choques de produtividade e gastos do governo sobre a taxa neutra, assim como seu comportamento ao longo do período estimado e sua sensibilidade a calibragens alternativas. Por fim, ao comparar o comportamento do hiato de taxa de juros vis-à-vis à inflação, encontramos correlações negativas de 56% e 83% para todo o período estimado e para uma amostra mais recente (do primeiro trimestre de 2006 até o último de 2011), respectivamente, indicando certa consistência na série obtida.

This dissertation presents the results of research focused on the Austrian business cycle theory (ABCT). The main part of the thesis is an econometrical test of five predictions based on ABCT. I used data on the US economy for period 1967 - 2016, which is the longest time period covered in the Austrian empirical literature so far. Since one of the most important variables for ABCT is so called interest rate gap (the difference between market interest rate and natural interest rate), I use three alternative models of this variable. The results of my empirical tests predominantly confirm theoretical predictions of ABCT. It can be shown that the interest rate gap influenced the relative structure of economic activity and resource allocation in a way predicted by ABCT. I also investigate whether the interest rate gap does have a significant impact on stock market valuations (in terms of aggregate level or relative structure), although the results are mostly statistically insignificant. In addition I also described several possible new distortions which may emerge due to unconventional monetary policy. I argue that these distortions should be of primary interest for researchers engaged in the Austrian research program. I devoted special attention to the specifics of monetary policy regime in Japan, where the Bank of Japan regularly intervenes on the stock market. Another theoretical contribution can be found in the second chapter where I respond to the White's (1999) claim that Hayek implicitly repudiated his own version of ABCT in later part of his career, when proposing free competition in money production. I attempt to show that White's conclusion stems from an inadequate interpretation of Hayek's writings. Finally I provide an alternative interpretation of Hayek's work that reveals the compatibility of his early and late theoretical contributions.

En 1965, Allais proposa une reformulation tout à fait originale de la théorie quantitative de la monnaie. Il s’agit de la théorie Héréditaire et Relativiste (HR) de la demande de monnaie. Apparue une décennie après la reformulation friedmanienne et la publication du modèle de Cagan (1956) relatif aux hyperinflations, cette théorie n’a pas réussi à se frayer une voie dans le champ de l’analyse monétaire. Plusieurs raisons ont concouru au non succès de cette théorie dont notamment son cadre conceptuel tout à fait étrange par rapport aux approches alors dominantes. L’objet de notre thèse est d’interroger l’apport de la théorie HR en tant que reformulation de la théorie quantitative et ce par rapport à la question de la stabilité de la demande de monnaie.Cette thèse est composée de trois parties. La première partie développe certains préludes nécessaires à l'analyse de la théorie HR (partie I). Les deux dernières parties contiennent les deux principaux résultats de notre travail. Le premier est que la théorie HR constitue une reformulation « ontologique » de la théorie quantitative, qui passe par la considération du temps psychologique-le temps tel que ressenti par l’ensemble des agents économiques (Partie II). Le second résultat est que la théorie HR, en tant que théorie macroéconomique, est grosse d’un changement paradigmatique qui fait écho à celui introduit en physique par la théorie de la relativité : pour certains phénomènes monétaires, la théorie HR substitue à l’explication par des relations causales entre agrégats une explication par la seule déformation psychologique du temps (Partie III). / In 1965, Allais proposed an original restatement of the quantity theory of money. It is the Hereditary and Relativistic (HR) theory of the money demand. Published a decade after Friedman’s restatement and Cagan’s model of hyperinflations, the HR theory remained unknown. Many reasons contributed to the lack of success of this theory, one of which is related to its conceptual framework which is incongruous with the standard approach. The HR theory is based upon the notion of time relativity from a psychological point of view, and the idea that the behavior of economic agents is conditioned by a hereditary effect of past events.Our thesis aims to investigate the contribution of the HR theory as a restatement of the quantity theory with regard to the question of the stability of money demand.The thesis is composed of three parts. The first part contains necessary preludes to the analysis of the HR theory (Part I). The second and the third part contain the two main results of the thesis. The first one is that the HR theory represents an ontological restatement of the quantity theory based on the notion of “psychological time”- time as experienced by the collectivity as a whole (Part II). The second result is that the HR theory, as a macroeconomic theory, contains a paradigmatic shift which echoes the one introduced in physics by the theory of relativity: in the HR theory, an explanation of some monetary phenomena using the psychological distortion of time is substituted to the explanation through causal relations between aggregates (Part III).

The aim of this diploma thesis is to empirically investigate the explanatory power of Austrian business cycle theory. My dataset consists of US quarterly time series within the period between 1971 and 2009. As regards the NBER classification, this dataset covers six complete business cycles, including the recent global financial crisis. Following Wainhouse (1984), Keeler (2001) and Bjerkenes et al. (2010) I use Granger causality as one of the primary tools of the analysis. Moreover I also add Impulse response functions to discover the direction of observed relationships. As regards my primary group of hypotheses I found significant empirical evidence for the connection between changes in interest rate and structure of production. The secondary group of hypotheses is less successful; however I found the very first empirical illustration of Garrison's version of ABCT.

The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.