Abstract This paper presents a simple and transparent framework for the monetary transmission mechanism of the South African economy based on the model by Rudebusch and Svensson (1999). This model is extended to consider the long rate and the credit channel in the transmission mechanism. Firstly, we find that the credit channel plays a significant role in the transmission mechanism. Secondly, despite the backward looking nature of the model, impulse responses reveal that the term spread predicts output and inflation in the South African economy.

This thesis consists of two parts: the first examines the Expectations Hypothesis of the Term Structure for New Zealand, and the latter examines the predictive power of the term spread on future economic activity in New Zealand. For both parts, I divide the sample period into two sub-sample periods – the pre-OCR period and the OCR period. Using Mankiw & Miron’s (1986) approach for testing the expectations hypothesis, the findings in this paper suggest that the theory is consistent with New Zealand data during the OCR period. I attribute the success of the theory to the introduction of the Official Cash Rate system in March 1999. The change from targeting the settlement cash balance to targeting an interest rate variable has substantially improved the predictability of short-term interest rates. In regards to the predictive power of the spread, the findings in this paper support the conventional view that the spread is positively related to future economic activity. Using Hamilton & Kim’s (2002) approach, I decomposed the term spread into an expectation component and a term premium in an attempt to find out whether these two variables have distinctly separate effect on future economic activity. My findings are in contrast to that reported by Hamilton & Kim. In particular, I find that the term premium in some cases is significant and negatively related to future economic activity in New Zealand. I attribute the negative relationship to lower long-term interest rates and a fallen term premium in New Zealand.

由於1980年代開始，期間利差(term spread)被發現對於預測未來經濟狀況，存在良好的預測能力，也奠定了期間利差在對於預測未來經濟研究中的地位。因此，本文主要著重於檢視利用台灣利率資料所建構出的期間利差對於預測台灣實質經濟產出，是否也扮演著如此重要的角色。 我們利用台灣過往的利率資料，從2002年第一季開始到2013年第四季，台灣十年期中央政府公債殖利率與31-90天期國庫券次級市場利率所建構之期間利差，除了使用樣本內(in-sample)結果的分析與樣本外(out-of-sample)的預測結果，搭配Haubrich and Dombrosky (1996)的預測方程式與均方根誤差RMSE(Root Mean Square Error)來檢視期間利差的預測實質經濟狀況的能力是否良好。 實證結果發現，樣本內的結果顯示，期間利差的解釋能力大約延續的三個季度；而樣本外的預測結果雖不理想，但期間利差在預測方程式中仍可扮演良好的預測變數之一。 本文發現，雖然在2007第三季發生結構性的轉變，但期間利差對於實質經濟成長率仍有良好的解釋能力，這並不影響預測的結果。而造成預測能力不佳的因素可能有幾點：第一，由Smets and Tsatsaronis(1997)所稱的總和供給面與總和需求面的衝擊導致期間利率的預測能力下降相同；第二，Wright(2006)所稱期間溢酬(term premium)在相對較低情況下，導致預測能力下降；第三，美國的貨幣政策與台灣的貨幣政策執行上有所不同。

Eventi come l’ultima crisi finanziaria sono una delle principali cause di perdite inattese negli investimenti finanziari. Infatti, durante una crisi finanziaria, la volatilità dei rendimenti azionari aumenta a causa degli shock dei mercati, incrementando la probabilità di perdita. Per fronteggiare gli effetti della crisi gli investitori , sfruttando possibili informazioni provenienti dai mercati, dovrebbero impostare con anticipo le proprie strategie di investimento e gestirli in modo appropriato per limitare gli effetti degli shock. In base a tali considerazioni si è analizzato, con tale studio, la capacità di predizione da parte di alcune variabili finanziarie/economiche ( BSEYD e Term Yield Spread) dell’andamento dei principali mercati europei ( Germania, Francia e Spagna) e si è definita un appropriata strategia di investimento per i periodi di crisi, costruendo un modello di portafoglio neutrale agli shock. I periodi analizzati sono stati rispettivamente : 1994-2013 e 2003-2014. I risultati hanno dimostrato che le variabili analizzate presentano diverso potere di predizione dei mercati considerati e che la perfomance del portafoglio neutrale agli shock di mercato è migliore di quella del portafoglio market neutral nei periodi di crisi. / Events like the last financial crisis are one of the principal causes of unexpected loss in investments. During a financial crisis period the stock return volatility increases for effect of internal and external shocks and the probability of reaching the expected return become lower , increasing the probability of loss. To face crisis effects, international investors should consider possible signals and information present in the market about possible crashes or declining period to set in advance their investment strategies and to manage them properly to limit the shock effects. On the basis of these considerations, with this study, we analyzed the predictive power of 2 economic/ financial variables( BSEYD and Term spread yield) on principal European stock markets (France, Germany and Spain) and defined a proper investment strategy for financial crisis period, building a portfolio model that is neutral to the international market shocks. The study has been conducted in two periods: 1994-2013 ( prediction analysis) and 2003-2014 (shock neutral portfolio mode). Results show different predictive power on the of the variables on the different markets analyzed and a better performance of the shock neutral portfolio than the market neutral portfolio strategy in declining period of the market.

殖利率曲線為描述零息債卷的殖利率與其到期日間之關係，一般來說其形狀應為正斜率，而一旦殖利率曲線反轉而呈現負斜率時，許多人將之解讀為未來經濟即將走弱的訊號。本論文主要是以Probit Model呈現期間利差與重貼現率的預測能力，並將結果區分為樣本內與樣本外呈現。實證結果發現，與國外文獻比較起來，台灣殖利率曲線斜率捕捉景氣蕭條的能力遜色許多，可能與兩國在經濟體質或是央行政策執行依據上的不同有關。而相較於殖利率曲線的斜率，重貼現率對於台灣景氣的影響更為明顯，顯示出台灣的經濟深受央行政策影響。而不論是在樣本內或樣本外的結果方面，皆顯示期間利差搭配重貼現率的預測能力會較只有期間利差單一解釋變數時來的好。

本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。 / We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria.

This doctoral thesis is a collection of four papers on the analysis of the term structure of interest rates with a focus at the intersection of macroeconomics and finance. "Risk in Macroeconomic Fundamentals and Bond Return Predictability" documents that factors related to risks underlying the macroeconomy such as expectations, uncertainty and downside (upside) macroeconomic risks are able to explain variation in bond risk premia. The information provided is found to be, to a large extent, unrelated to that contained in forward rates and current macroeconomic conditions. "Out-of-sample bond excess returns predictability" provides evidence that macroeconomic variables, risks in macroeconomic outcomes as well as the combination of these different sources of information are able to generate statistical as well as economic bond excess returns predictability in an out-of-sample setting. Results suggest that this finding is not driven by revisions in macroeconomic data. The term spread (yield curve slope) is largely used as an indicator of future economic activity. "Re-examining the predictive power of the yield curve with quantile regression" provides new evidence on the predictive ability of the term spread by studying the whole conditional distribution of GDP growth. "Modeling and forecasting the yield curve by extended Nelson-Siegel class of models: a quantile regression approach" deals with yield curve prediction. More flexible Nelson-Siegel models are found to provide better fitting to the data, even when penalizing for additional model complexity. For the forecasting exercise, quantile-based models are found to overcome all competitors. / <p>Diss. Stockholm :  Stockholm School of Economics, 2014. Introduction together with 4 papers.</p>

本文利用向量自我迴歸模型所得出來的殘差值來模擬未預期到的總體經濟訊息，以期限利差和一個月定存利率來捕捉殖利率曲線，以違約利差和股利收益率來描繪資產報酬的條件機率分布，本文實證未預期到的期限利差和未預期到的違約風險與淨值市價比因子和市值規模因子包含相同的訊息，因此後續檢驗這些能夠捕捉未來投資機會的總體經濟訊息比起Fama-French三因子模型是否對台灣股票橫斷面的平均報酬更具有解釋能力。 實證方法採用Fama-MacBeth(1973)兩階段迴歸方法，Fama-French三因子模型實證結果顯示台灣股票市場存在著負向的淨值市價比效果，但卻不存在著規模效果，這與國外一些學者研究1980年代之後規模效果逐漸消失的結論相同。在實證未預期到的總體經濟訊息模型時，由於被解釋變數為股票超額報酬率，因此常數項應該為不顯著的關係，但此假設強烈的被未預期到的總體經濟訊息模型拒絕，代表此模型可能遺漏了重要的解釋變數。因此，Fama-French 三因子模型對台灣股票橫斷面平均報酬率的解釋能力比未預期到的總體經濟訊息模型更佳。 / The Fama and French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. I find that shocks to term spread and shocks to default spread have the same information with the Fama and French factors HML and SMB. This paper investigates whether a model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month deposit interest rate can explain the cross section of average return on Taiwan stock market as well as the Fama and French can. Using the Fama-MacBeth (1973) two steps cross-sectional regressions, I find there exists the negative book-to-market effect on Taiwan stock market, but the size effect disappears. Since the dependent variables in the regression is excess returns, the intercept of the cross-sectional regression should be zero. This hypothesis is strongly rejected in the case of the model includes shocks to the Macroeconomics variables and the market portfolio. It means this model omits some important variables, so the Fama and French three-factor model can explain the cross section of average returns better.

Kapitalstrukturen betyder hur ett företag väljer sin sammansättning av skuldsättning och eget kapital, och de finansiella teorierna är framtagna ur de större företagens perspektiv. Små och medelstora företag (SME) utgör ungefär 99 % av alla företag i Sverige, och det är därför viktigt att förstå hur dessa företag väljer sin kapitalstruktur. I perioder av ekonomisk recession kan tillgången på kapital bli problematisk för företag av olika anledningar. Generellt sparar landets befolkning på sina pengar, vilket implicerar en lägre tillförsel av kapital till företagen. Långivarna tenderar också att vara mer återhållsam gällande kreditgivning. SME kommer därmed att ha en lägre tillgång till externt kapital, och detta är mer problematiskt för dessa företag eftersom deras relation med långivarna tenderar att involvera högre grader av agentkostnader och informationsasymmetri. Hur dessa mindre företags kapitalstruktur påverkas av en ekonomisk krisperiod är ett forskningsområde som är relativt outforskat. Således är denna studies fokus att undersöka hur SME:s kapitalstruktur i Sverige påverkas av en ekonomisk krisperiod.Studien innefattade 79 916 SME i Sverige under perioden 2007 till 2015, och den analyserade krisperioden är finanskrisen som varade åren 2008 och 2009. För att kunna utröna krisens påverkan på företagens kapitalstruktur problematiserades olika faktorer som hade en relation till denna. Kapitalstrukturen omfattade företagens totala skulder och en uppdelning av dessa i kort- respektive långfristiga skulder. Faktorernas relation till de kort- och långfristiga skulderna var grunden för att studera eventuella förändringar under ekonomisk recession. De totala skulderna användes för att ge ytterligare stöd i analysen. De faktorer som inkluderades i denna studie var: likviditet, lönsamhet, tillgångsstruktur, tillväxtmöjligheter, storlek, den alternativa skatteskölden, räntespread och slutligen den faktor som var av primärt intresse – ekonomisk kris. För att testa detta empiriskt skapades modeller utifrån två olika linjära regressionsmetoder, varav den ena hade fixerade effekter. Modellerna med fixerade effekter var de bestämmande för studiens utfall. Studien visade empiriskt att krisens påverkan på SME:s kapitalstruktur var att företagen hade en högre skuldsättningsgrad under krisperioden. Mer specifikt indikerade resultaten på att företagen hade en högre grad av kortfristiga skulder under den ekonomiska recessionen. Vidare visade studien att flera av faktorerna hade en effekt på både kort- och långfristiga skulder. / Capital structure is how a business selects their mixture of debt and equity, and the financial theories that touches upon this subject is mostly developed from the larger corporations point of view. Small and medium sized enterprises (SME) constitutes approximately 99 % of all enterprises in Sweden, and therefore it’s important to understand how these businesses selects their capital structure. A period of economic crisis is problematic for enterprises to achieve capital in several aspects. The population in that said country is likely to be restrictive with their transactions, which implies a lesser flow of capital to the businesses. The lenders of capital tend to be more conservative in regards to the lending of credit. To this extent, SMEs will have less access to capital, and this is more problematic for small firms due to their relationship with lenders are often connected to larger agency costs and information asymmetry. How the capital structure for these small and medium sized firms affects during a period of economic crisis is a research area that is relatively uncharted – specially in the context of Sweden. Thus, the focus of this study is to examine how a period of crisis affects the capital structure of these small and medium sized enterprises during a period of crisis.The study involved 79 916 SMEs in Sweden during the period 2007 to 2015, and the examined period of crisis was the financial crisis that lasted through 2008 and 2009. To be able to determine how the crisis affected the capital structure several determinants that has a relationship with capital structure was problematized. The capital structure contains the firms total debt, which was divided into short- and long term debt. The determinants relationship with the short- and long term debt were the basis to study possible changes during economic crisis. The total debts were used to give support to the analysis. The determinates that were included in this study was: liquidity, profitability, asset structure, growth opportunities, size, the non-debt tax shield, term spread and finally the primary interest of this study – economic crisis. To test this empiricly, models were created using two different methods of linear regression, and one of these had fixed effects. The models with the fixed effects was the decisive models for the outcome. The study empirically shows that the crisis affected the capital structure of SME’s in regards to that they exhibited a higher debt ratio though the crisis. More specific, the results indicated that SME’s had a higher short-term debt ratio during the crisis than the rest of the macroeconomic periods. Furthermore, the results shows that several of the capital structure determinants had an effect on both short- and long-term debt. / <p>Betyg B, 170619</p>