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.

Submitted by daniel palaia (daniel.r.palaia@itau-unibanco.com.br) on 2014-12-08T17:13:17Z No. of bitstreams: 1 Tese.pdf: 1714771 bytes, checksum: d7dffa1b861621b14266ec6baa643b10 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-12-08T17:46:25Z (GMT) No. of bitstreams: 1 Tese.pdf: 1714771 bytes, checksum: d7dffa1b861621b14266ec6baa643b10 (MD5) / Made available in DSpace on 2014-12-08T18:39:25Z (GMT). No. of bitstreams: 1 Tese.pdf: 1714771 bytes, checksum: d7dffa1b861621b14266ec6baa643b10 (MD5) Previous issue date: 2014-12-01 / Este trabalho é composto por três capítulos que se dedicam a discutir aspectos distintos a respeito do importante mercado de títulos corporativos norte-americano. No primeiro capítulo, 'Mercado de Títulos Corporativos Norte-Americano: Evolução e Fatos Estilizados', mostramos como se deu a evolução do mercado de crédito norte-americano nas últimas décadas no que diz respeito à sua relevância para a economia. Nesse estudo mostramos também as principais mudanças regulatórias que afetaram de forma relevante esse mercado nos últimos anos. Trabalhos recentes encontraram evidências de que mudanças regulatórias no mercado de títulos corporativos provocam redução dos spreads e diminuem a liquidez dos ativos de crédito. Finalmente, ilustramos nesse capítulo as principais correntes teóricas e alguns fatos estilizados a respeito de curvas de juros e de spreads de títulos corporativos. No segundo capítulo, 'Fatores Latentes Globais e Idiossincráticos na Estrutura a Termo da Curva de Juros de Títulos Corporativos', analisamos a maneira como fatores globais e idiossincráticos influenciam a estrutura a termo das curvas de juros de emissores corporativos norte-americanos para diferentes níveis de classificação de risco, setor de atividade e período de análise. Os resultados são inéditos, pois a metodologia utilizada nunca foi aplicada anteriormente para essa classe de ativos, e indicam que a influência dos componentes latentes globais nos fatores de nível é menor quanto pior a classificação de risco. Um segundo resultado importante é que as curvas de setores de atividade distintos como o financeiro e industrial são influenciadas de maneira distinta pelos fatores globais e idiossincráticos no que diz respeito aos componentes de nível e inclinação. No terceiro capítulo, 'Estrutura a Termo da Curva de Spreads de Títulos Corporativos', estudamos as variáveis que influenciaram os fatores de nível e inclinação das curvas de spreads corporativos nos Estados Unidos. O modelo estimado nesse estudo incorpora, ao contrário de estudos anteriores, fatores latentes das curvas de juros do tesouro e de spreads, variáveis macroeconômicas e setoriais. Concluímos que o componente de nível da curva de juros norte-americana afeta positivamente o nível dos spreads. Os resultados diferem da literatura tradicional, mas estão em linha com estudos recentes que controlam períodos de elevada volatilidade de ativos com quebras estruturais. Palavras-chave: Spreads; Classificação de risco; Curva de juros; Títulos corporativos / This work consists of three chapter dedicated to discussing different aspects of the important North American market for corporate bonds. In the first chapter, we show the evolution of the American credit market in recent decades, concerning its relevance to the economy. In this study we also show major regulatory changes that significantly affected the market in recent decades, as well as some references that indicate how these changes impacted the price and liquidity of credit assets. Finally, this chapter illustrates the main theoretical works and their contributions in the area of spreads and term structure of the corporate yield curve. In the second chapter, "Global and Idiosyncratic Latent Factor in the Term Structure of Corporate Yield Curve Bonds", we analyze, in an unprecedented way, how global and idiosyncratic factors influence the term structure of the yield curves for corporate issuers from different ratings, activity sector and period of analysis. The results are unprecedented for this asset class because they had never been applied before to sovereign curves. The results indicate that the influence of global components decrease as the rating worsens. A second important result is that curves, for different sectors such as financial and industrial, are influenced differently by global and idiosyncratic factors regarding the level components and slope. In the third chapter, "Term Structure of Corporate Bond Spreads Curve" we study the determinants of level and slope factors in corporate spreads in the United States from February 2002 to September 2012. The estimated model incorporates, unlike previous studies, latent factors of yield curves and treasuries spreads, macroeconomic and sectoral variables. We conclude that the level component of the treasury yield curve positively affects the level of spreads. The results differ from traditional literature, but are in line with recent studies that control periods of high assets volatility with structural breaks.

Submitted by FAUSTO JOSE ARAUJO VIEIRA (ytcfausto@yahoo.com.br) on 2017-04-28T21:36:08Z No. of bitstreams: 1 tese_final.pdf: 2272430 bytes, checksum: df5f5e915ef009c6c4008d83f8789967 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2017-04-28T22:15:52Z (GMT) No. of bitstreams: 1 tese_final.pdf: 2272430 bytes, checksum: df5f5e915ef009c6c4008d83f8789967 (MD5) / Made available in DSpace on 2017-05-02T12:04:19Z (GMT). No. of bitstreams: 1 tese_final.pdf: 2272430 bytes, checksum: df5f5e915ef009c6c4008d83f8789967 (MD5) Previous issue date: 2017-04-19 / This thesis presents three chapters about forward-looking indicators. In the first two chapters, we propose a factor augmented VAR that combines Nelson and Siegel yield curve factors and principal components extracted from a large dataset. We find that the factor augmented VAR models do a very good job in fitting the level, slope and curvature of the yield curve. The out-of-sample forecasting using principal components beats consistently the predictions from autoregressive and extant literature models in the short- and long-term horizons. We apply this methodology for Brazilian and US economy in the first and second chapter, respectively. Despite the differences between these countries, the results are quite similar. Additionally, we show that forecasting improvement comes from the nature of our dataset that gather mainly forward-looking series. In the last chapter, we study the behavior of macroeconomic predictions made by professional forecasters, specifically, 1-year inflation expectation. We conclude that apart of biased and inefficient forecasting, forecasters misestimate the inflation seasonality. This conclusion is not a country specific. We find seasonality in 1-year inflation for Brazil, Chile, Israel, New Zealand, US and Euro Zone. / Esta tese apresenta três capítulos sobre indicadores antecedentes. Nos dois primeiros, propomos um modelo VAR aumentado por fatores, que combina os fatores latentes da curva de juros sugerido por Nelson e Siegel com os principais componentes extraídos de uma ampla base de dados. O modelo VAR aumentado por fatores apresenta um bom ajuste para o nível, inclinação e curvatura da curva de juros. As projeções fora da amostra para o modelo com principais componentes é significativamente superior às previsões feitas pelos modelos auto-regressivos e pelos sugeridos na literatura, tanto nos horizontes de curto e de longo prazo. Aplicamos esta metodologia para o Brasil e os Estados Unidos no primeiro e segundo capítulo, respectivamente. Apesar das diferenças entre estes países, os resultados encontrados são semelhantes. Adicionalmente, mostramos que a melhora nas projeções é resultado da natureza da nossa base de dados, que coleta indicadores antecedentes. No último capítulo, discutimos o comportamento de projeções macroeconômicas feitas por analistas profissionais, especificamente, as estimações para a inflação 1 ano à frente. Concluímos que além das previsões serem viesadas e ineficientes, os analistas erram a estimação da sazonalidade da inflação. Esta conclusão não é algo específico para um único país. Encontramos sazonalidade na expectativa de inflação 1 ano à frente para o Brasil, Chile, Israel, Nova Zelândia, Estados Unidos e Zona do Euro.

Le pilotage technique des risques en Afrique subsaharienne francophone est une notion souvent absente dans la pratique. En effet, dans cette zone, il est très facile de rencontrer des banques, compagnies d'assurance et institutions de retraite, menées leurs activités sans intégrer le risque1 au coeur de leur gestion. Cette situation explique, a priori, l'absence des bases de données fiables pour des études quantitatives. La présente thèse, qui se veut complémentaire aux travaux de KAMEGA A2., s'intéresse à la conception des outils actuariels pertinents adaptés au pilotage technique des risques en Afrique subsaharienne francophone, qui peuvent être utilisés aussi bien par les gouvernements de cette zone que dans l'industrie des assurances et des banques. Au regard du développement progressif des pays de la zone CIPRES, nous estimons que le générateur de scénarios économiques (GSE) est l'outil commun au pilotage technique des risques liés aux activités des États et de l'industrie des banques et des assurances. Notons que le GSE est un outil capable de projeter les variables économiques et financières dans un système cohérent. Cette information riche permettra, par exemple, aux gouvernements de ces pays, d'élaborer leurs budgets, de mobiliser des ressources sur le marché financier local et de piloter techniquement la dette publique. Dans le contexte de la conception du GSE, l'apport de cette thèse consiste à spécifier dans un premier temps des modèles mathématiques, adaptés au contexte de la zone CIPRES, couvrant un nombre important de variables économiques et financières. Dans un second temps, des méthodes de calibrage sont présentées dans le contexte d'absence de données (avis des experts) ou de présence des données (approches statistiques). Une attention particulière est accordée à l'extension du GSE dans l'optique de prendre en compte les besoins futurs des professionnels de la zone CIPRES. Cette thèse accorde également une importance aux application du GSE dans le développement des pays de la zone CIPRES à travers l'apport de la courbe des taux dans l'analyse et la conduite de la politique monétaire, la prévision des grandeurs économiques et financières, l'estimation des probabilités de défaut implicites et des taux de recouvrement des États et des entreprises dans un contexte de notation en monnaie locale et d'application du dispositif Bâle II/III dans le courant de 2018. Dans le cadre des régimes de retraite, ces outils actuariels sont utiles pour déterminer les paramètres de pilotage du régime, notamment l'évaluation « best estimate » des engagements du régime, le financement et la stratégie d'allocation des actifs / The technical management of risks in Francophone Sub-Saharan Africa is often lacking in practice. In fact, in this zone, it is very easy to meet banks, insurance companies and pension institutions, doing their activities without integrating risk at the core of their management. This situation explains, a priori, the absence of reliable databases for quantitative studies. This thesis, which is complementary to work of KAMEGA A., focuses on the design of relevant actuarial tools adapted to technical risk management in sub-Saharan Africa, which can be used by both the governments of this zone and the insurance and banks industry. In view of the gradual development of the countries in the CIPRES zone, we believe that the economic scenario generator (ESG) is the common tool for the technical management of risks linked to the activities of the states and the banking and insurance industry. Note that the GSE is a tool able to forecast the economic and financial variables into a coherent system. This rich information will allow, for example, the governments of these countries to draw up their budgets mobilize resources on the local financial market and manage technically the public debt. In the context of the design of the GSE, the contribution of this thesis consists to specify initially mathematical models, adapted to the context of the CIPRES zone, covering a large number of economic and financial variables. In a second step, calibration methods are presented in the context of lack of data (expert opinion) or presence of data (statistical approaches). Particular attention is given to the extension of the GSE in order to take into account the future needs of professionals of the CIPRES zone. This thesis also gives importance to the application of the GSE in the development of the countries of the CIPRES zone through the contribution of the yield curve in the analysis and conduct of monetary policy, the forecasting of economic and financial quantities, Estimation of the probabilities of implicit defaults and the recovery rates of states and firms in the context of a local currency rating and the application of the Basel II / III framework in the course of 2018. Under the pension plans, these actuarial tools are useful in determining of the management parameters of the plan, including the "best estimate" of plan commitments, funding and asset allocation strategy

The zero coupon yield curve is one of the most fundamental tools in finance and is essential in the pricing of various fixed-income securities. Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal with approximations of empirical data to create yield curves it is necessary to choose suitable mathematical functions. We discuss the following methods: the methods based on cubic spline functions, methods employing linear combination of the Fourier or exponential basis functions and the parametric model of Nelson and Siegel. The current mathematical apparatus employed for this kind of approximation is outlined. In order to find parameters of the models we employ the least squares minimization of computed and observed prices. The theoretical background is applied to an estimation of the zero-coupon yield curves derived from the Czech coupon bond market. Application of proper smoothing functions and weights of bonds is crucial if we want to select a method which performs best according to given criteria. The best performance is obtained for Bspline models with smoothing.

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 thesis is focused on finding the most appropriate method for constructing the yield curve which will meet the criteria of Solvency II and also the selected evaluation criteria. An overview of advantages of each method is obtained by comparing these methods. Yield curves are constructed using the Czech interest rate swap data from 2007 to 2013. The selection of the evaluated methods respects their public availability and their practical application in life insurance or central banks. This thesis is divided into two parts. The first part describes the theoretical background which is necessary to understand the examined issues. In the second part the analysis of selected methods was carried out with detailed evaluation.

The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financial indicators. In the third chapter, I analyse the link between macroeconomic data in real-time and the yield curve of interest rates, constructing a forecasting model which takes into account the peculiar characteristics of the macroeconomic data flow. In the last chapter, I present a Bayesian Vector Autoregression model built in order to analyse the last two crisis in the Eurozone (2008-09, and 2011-12) identifying their unique characteristics with respect to historical regularities, an issue of great importance from a policy perspective. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

The implementation of International Accounting Standard 32 Financial Instruments: Disclosure and Presentation (lAS 32), International Accounting Standard 39 Financial Instruments: Recognition and Measurement (lAS 39) and International Financial Reporting Standard 7 Financial Instruments: Disclosures (IFRS 7) by developing countries has been met with mixed reactions largely due to the extensive use of the fair value concept by the three accounting standards. The use of the fair value concept in developing countries has proved to be a significant challenge due to either a Jack of formal capital market systems or very thinly traded capital markets. This study investigates the obstacles to determining fair values of equity share investments, government bonds and corporate bonds, treasury bills and loan advances in Mozambique. The study was done through a combination of literature review and empirical research using a questionnaire. The trading statistics of the financial instruments on the Mozambique Stock Exchange and the prospectuses of bonds were used. The empirical research was carried out using a type of non-probability sampling technique called purposive sampling. A subcategory of purposive sampling called expert sampling was used to select the eventual sample which was composed of people with specialised knowledge on the capital market system in Mozambique. The results of the empirical research were analysed using pie charts to summarise the responses. The research concluded that the Mozambique Stock Exchange is an inactive market for financial instruments characterised by thin trading in both equity shares and bonds. The estimation of fair values evidenced by observable market transactions is therefore impossible. The absence of credit rating agencies in Mozambique presents a significant challenge in assigning credit risk and pricing financial instruments such as bonds. The research also noted that significant volatility of the main economic indicators such as treasury bills interest rates and inflation made it difficult to determine fair values of financial instruments using financial modelling techniques. Due to the above obstacles to determining fair values of certain financial instruments in Mozambique, the best alternatives are to value these financial instruments at either cost or amortised cost. / Financial Accounting / M. Com. (Accounting)

The diploma thesis deals mostly with interest rate risk issue. It describes the basic methods of interest rate risk measurement with use of analyses executing by Asset Liability Management department in banks. Such analyses as repricing GAP, net interest income analysis, market value of equity and sensitivity analyses to interest rate movements. There is an analysis of Czech crown yield curve as well, in order to deeper insight of its probability behaviour. Results of this analysis are used for advanced techniques in ALM. Especially knowledge of volatilities of particular yield points and theirs relations is used in these methods. There was also a multi equation model for predictions of yield curve development created. One of the variables in the model there is the 2-week repo rate of Czech National Bank included.