Estimating risk premia has been at the forefront of the financial economics' literature due to their informational content. Risk premia are of particular interest to academics, policymakers and practitioners given the information they disclose on expected asset returns for a given level of risk, their contribution in asset pricing and their ability to disentangle the different sources of risk. However, risk premia are unobserved and their estimates strongly differ from one study to another, as they are highly sensitive to the specification of the underlying model, sparking hence a strong interest in their analysis. The aim of the thesis is to estimate risk premia in a dynamic term structure model setting. The first part of the thesis comprises of an overview of a particular class of dynamic term structure models, namely affine term structure models. The overview will include important concepts and definitions. The second part of the thesis uses a risk-averse formulation of the uncovered interest rate parity to determine exchange rates through interest rate differentials, and ultimately extract currency risk premia. The method proposed consists of developing an affine Arbitrage-Free class of dynamic Nelson-Siegel term structure models (AFNS) with stochastic volatility to obtain the domestic and foreign discount rate variations, which in turn are used to derive a representation of exchange rate depreciations and risk premia. The third part of the thesis studies both the nominal and real UK term structure of interest rates using a Gaussian dynamic term structure model, which imposes the non-negativity of nominal short maturity rates. Estimates of the term premia, inflation risk premia and market-implied inflation expectations are provided.

In this thesis, I study the transmission of monetary policy through the term structure of interest rates. This is an important topic because, with short-term nominal interest rates in many advanced economies close to their effective lower bound since 2008-2009, central banks have used `unconventional' monetary policies, such as large-scale asset purchases and forward guidance, to stimulate macroeconomic activity by, inter alia, placing downward pressure on longer-term interest rates. I focus on the mechanisms through which monetary policy influences bond yields, domestically and globally, with reference to a canonical decomposition of longer-term interest rates into expectations of future short-term interest rates, and term premia. After an introduction in chapter 1, chapter 2 appraises the use of overnight indexed swap (OIS) rates as measures of expected future monetary policy. Unlike federal funds futures (FFFs), which have regularly been used to construct measures of US interest rate expectations, OIS rates are available in many countries. I find that US OIS rates provide measures of interest rate expectations that are as good as those from FFFs, and that US, UK, Eurozone and Japanese OIS rates up to a 2-year horizon tend to accurately measure interest rate expectations, providing comparable cross-country measures of monetary policy expectations. In chapter 3, I propose a novel method for estimating interest rate expectations and term premia at short and long-term horizons: a no-arbitrage Gaussian affine dynamic term structure model (GADTSM) augmented with OIS rates. Using 3 to 24-month OIS rates, the OIS-augmented model generates estimates of the expected path of short-term interest rates out to a 10-year horizon that closely correspond to those implied by FFFs rates and survey expectations, outperforming existing GADTSMs. I study the transmission of US unconventional monetary policies in chapter 4. Using the OIS-augmented GADTSM, I carry out an event study to demonstrate that US unconventional monetary policy announcements between November 2008 and April 2013 did significantly reduce US longer-term interest rates by affecting expectations and term premia. As a result of these declines, unconventional monetary policies aided US real economic outcomes. Using a structural vector autoregression, I show that changes in interest rate expectations, linked to monetary policy signalling, had more expansionary effects on US real economic outcomes than changes in term premia, associated with portfolio rebalancing. Chapter 5 assesses the international transmission of monetary policy through the term structure of interest rates between advanced economies. I present a micro-founded, two-country model with endogenous portfolio choice amongst country-specific short and long-term bonds, and equity. Within the model, US monetary policy has sizeable effects on longer-term interest rates in other advanced economies, which are similar to empirical estimates. Using the OIS-augmented GADTSM in an event study, I show that US monetary policy has led to changes in interest rate expectations in other advanced economies that amplify global spillovers, which have been partly mitigated by changes in term premia through portfolio rebalancing.

本研究主要是針對投資型年金之資產負債管理作探討，其中是就規避利率風險對於資產負債管理上的影響以及分析資產配置最適化作為研究的架構，而所利用的研究方法乃是取決於建構利率隨機模型並輔以免疫理論與Markowitz投資組合理論，以期在規避利率風險的同時，亦能將資產配置達至最佳化。 首先，為實際模擬出符合現實經濟環境變動下的隨機利率期間模型，本研究利用C.I.R利率期間結構模型來建構年金保單期間的利率結構，並且由於投資型年金之保單價值的累積特性，因此本研究同時亦建構出連接保單價值的投資資產之報酬率型態，進而模擬出各期之現金流量以及各項投資資產的存續期間；再者，藉由Markowitz投資組合理論，以在免疫條件之限制下進行最適資產配置之評估。 最後，以某知名的保險公司所推出的投資型年金商品作為本研究之實證對象，透過模擬之方法，將研究模型中之各項參數予以評估，並且根據上述之研究過程將免疫理論與投資組合理論相連接，以檢視投資型年金商品在規避利率風險的狀態下，其最適之資產配置比例是否與現行法令之規範相牴觸，而能給予適時之建議。另外，由本實證結果可知，經由本研究的分析流程，可以有效地給予年金管理者規劃出年金資產負債管理時的最適投資組合比例，並且在增加外國投資資產時，更能有效的增加年金資產之報酬，同時也不影響保險法對於投資資產的比例與總金額之限制。再者，對於探討規避利率風險前後之資產組合之資產報酬之變化時，可以進一步了解到，當年金管理者在運用免疫策略來規避利率風險時，其所面對的風險成本之多寡，以作為制定避險決策時的依據。 / This research explores the asset-liability management (ALM) for the Investment-Link-Annuity. Two aspects investigated in this research are the interest rate risk and the optimal asset allocation. Moreover, the major issue investigated here is the trade-off between the optimal investment return and the hedge of interest rate risk. We refer this trade-off as ALM cost. By using stochastic interest rate model, Immunization theory and Portfolio Selection Model, we construct an ALM model to achieve the optimal asset allocation given on hedging the interest rate risk under the immunization strategies for the insurance company. First, we utilize the public trading data for investment market in Taiwan and in USA from 1985 to 2000 and the investment-link annuity product of a well-know insurance company in Taiwan to simulate the cash flow and demonstrate the implementation of our model. By analyzing different simulations under various scenarios, the empirical results are as the followings: 1.The ALM cost for immunization strategies is very small, and is estimated to be about 1% to 2%. Therefore, we suggest that insurance companies should start to undertake the asset liability management as soon as possible. 2.If relaxing the investment restrictions of Insurance Law or allowing insurance company to invest in foreign investment market, the overall investment return will be increased and the ALM cost will be reduced effectively.

This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as the discount factors. Finally, the new framework (after financial crisis in 2008), under the collateral agreement (CSA) has been taken into consideration.