This thesis,firstly, studies the impact of financial liberalization and political instability on economic growth and quantitatively examines the relative importance of the identified underling reasons of Argentine riddle by using an innovative econometric methodology and unique data set: it presents power ARCH estimates for Argentina from 1896 to 2000. The main results show that the long-run effect of financial liberalization on economic growth is positive while the short-run effect is negative, albeit substantially smaller. The political instability effects are substantially larger in the short-run than in the long-run. We also investigate potential mechanisms for the effects of financial liberalization and political instability on economic growth: direct impact or happening through the variation of growth volatility. Our results also suggest that financial development, trade openness and political instability are the main factors to explain the Argentine decline. Furthermore, real business cycle variability - growth relationship and the link between inflation and its uncertainty are investigated by using monthly data of four Asian countries/regions (Japan, South Korea, Singapore and Taiwan) and parametric power ARCH methodology to proxy uncertainty. We fnd that more uncertainty about output leads to a higher rate of growth in three of the four countries/regions and the form of the uncertainty matters. Output growth reduces its uncertainty in all countries/regions via inflation uncertainty except Singapore. For all countries/regions, inflation significantly raises inflation uncertainty as predicted by Friedman. On the other hand, increased uncertainty affects inflation positively in Japan and Singapore, which support the Cukierman-Meltzer hypothesis. We find a negative sign for Taiwan which is in accordance with the Holland hypothesis when error term was normally distributed, however, this result is not statistically significant when the student-t distribution is applied. Interestingly, South Korea’s data reveals a positive sign initially, however, it turns around when a structural dummy is incorporated. This dramatic outcome in favour of the Holland hypothesis, and chimes in with Dueker and Kim (1999), who claim that the inflation was strictly controlled by the South Korean monetary authority. In addition, this thesis investigates two-way causal relationships between spread, volatility and volume in the FTSE100 stock index over the period from 1992 to 2004 by using bivariate AR-FI-GARCH model and multiple measurements of risk and spread. The measurements of the spread include relative bid-ask spread, effective bid-ask spread, the inventory cost component of the bid-ask spread and the information cost component of the bid-ask spread. Risk is proxied by two measurements of price volatility: the close-to-close volatility and the range-based volatility. We also take the impact of electronic trading into account. Our results suggest that the spread and volume are positively impacted by volatility simultaneously. In addition, both volatility and volume are negatively affected by the spread. Furthermore, we find that the inventory cost component of the spread has a negative effect on volatility, in contrast, the information component of the spread positively impacts volatility. These results support the argument that speculation generates volatility in the market and higher transaction costs bene t stability of the market.

Darbe atlikta detali aktualių straipsnių, nagrinėjančių įvairių veiksnių įtaka skolos vertybinių popierių pajamingumui, apžvalga. Išskirti keli pagrindiniai pajamingumo pokyčius lemiantys veiksniai: likvidumas, kredito rizika bei bendra makroekonominė padėtis. Siekiant įvertinti nagrinėjamų veiksnių įtaką skolos vertybinių popierių pajamingumo pokyčiams, sukurti vektorinės autoregresijos modeliai skolos vertybinių popierių portfeliams, apibendrinantiems skirtingas skolos vertybinių popierių klases. Palyginus modeliavimo rezultatus, pateikiamos baigiamojo darbo išvados. Darbą sudaro 18 dalių: įvadas, tikslas, uždaviniai, aktualumas, literatūros apžvalga, pagrindiniai skolos vertybinių popierių rinką charakterizuojantys rodikliai, statistiniai metodai, modelio aprašymas, kintamujų aprašymas bei transformacijos, statistinė analizė, trendo išskyrimas, stacionarumo patikrinimas, modeliavimas, modelių palyginimas bei scenarijų analizė, išvados, literatūros sąrašas. / A brief survey of relevant researches on different factors’ impact on bonds’ yields is provided in master thesis. Several main factors were identified: liquidity, credit risk and macroeconomic environment. In order to measure the impact of distinguished factors on the yields’ changes vector autoregressive models for fixed income securities portfolios, generalizing different asset classes, were created. The modeling results are described and analyzed, conclusions are made Structure: introduction, goal, task, relevance, literature overview, the main indicators of sixed income securities market, statistical methods, models’ describtion, variables’ description and transformations, statistical analysis, elimination of the trend, stacionarity check, modeling, models’ comparison and scenario analysis, conclusions, references.