Made available in DSpace on 2010-04-20T21:00:21Z (GMT). No. of bitstreams: 3 pauloscapriglioneturma2004.pdf.jpg: 17878 bytes, checksum: 62db78580852e1aec5f9e9adadca7649 (MD5) pauloscapriglioneturma2004.pdf: 567121 bytes, checksum: 360501d099349894175f3ef6c09f1942 (MD5) pauloscapriglioneturma2004.pdf.txt: 202500 bytes, checksum: 7057b29047d6373cc8414ebeab14aa6d (MD5) Previous issue date: 2007-03-23T00:00:00Z / De todas as anomalias documentadas na literatura de finanças internacionais, a sistemática violação da Paridade Descoberta de Juros, ou como é mais conhecida – viés nas taxas futuras câmbio - é sem dúvida um assunto no campo de finanças internacionais que chamou muita atenção e gerou inúmeros estudos nos últimos 30 anos. A questão tratada neste trabalho é se estratégias designadas a explorar a violação da Paridade Descoberta de Juros são lucrativas o suficiente de forma a torná-las uma nova classe de ativos entre os investidores no mercado de câmbio, principalmente os especuladores. Segundo um relatório do Bank for International Settlements (BIS) de 2004, o mercado de moedas tornou-se uma nova classe de ativos por duas razões: violação sistemática da Paridade Descoberta de Juros e alterações macroeconômicas que geraram movimentos de valorização ou desvalorização de longa duração. Apresentamos primeiramente uma revisão da extensa literatura que trata da violação da Paridade Descoberta de Juros e posteriormente um estudo sobre tal violação para uma série de moedas escolhidas conforme sua relevância no volume de negociações médias diárias no mercado de câmbio internacional. Observamos que a violação, assim como já evidenciada em outros estudos, realmente existiu tanto para países desenvolvidos como para países em desenvolvimento. A parte final do trabalho mostrou que as operações destinadas a explorar tal violação não são lucrativas quando analisadas do ponto de vista de uma única moeda. Apesar disso, quando se utilizam modelos de otimização de carteiras, percebem-se não somente retornos comparáveis a outras classes de ativos comumente utilizadas pelos especuladores, mas também com uma relação risco retorno sensivelmente maior. Concluiu-se então que carteiras ótimas de moedas designadas a explorar a violação da hipótese de mercado eficiente são lucrativas, e tal prática pode realmente explicar o aumento nas negociações diárias de diversas moedas nos últimos anos.

This thesis improves our understanding of asset prices and returns as it documents a regime shift risk premium in currencies, corrects the estimation bias in the term premium of bond yields, and shows the impact of ambiguity aversion towards parameter uncertainty on equities. The thesis consists of three essays. The first essay "The Yen Risk Premiums: A Story of Regime Shifts in Bond Markets" documents a new monetary mechanism, namely the shift of monetary policies, to account for the forward premium puzzle in the USD-JPY currency pair. The shift of monetary policy regimes is modelled by a regime switching dynamic term structure model where the risk of regime shifts is priced. Our model estimation characterises two policy regimes in the Japanese bond market---a conventional monetary policy regime and an unconventional policy regime of quantitative easing. Using foreign exchange data from 1985 to 2009, we find that the shift of monetary policies generates currency risk: the yen excess return is predicted by the Japanese regime shift premium, and the emergence of the yen carry trade in the mid 1990s is associated with the transition from the conventional to the unconventional monetary policy in Japan. The second essay "Correcting Estimation Bias in Regime Switching Dynamic Term Structure Models" examines the small sample bias in the estimation of a regime switching dynamic term structure model. Using US data from 1971 to 2009, we document two regimes driven by the conditional volatility of bond yields and risk factors. In both regimes, the process of bond yields is highly persistent, which is the source of estimation bias when the sample size is small. After bias correction, the inference about expectations of future policy rates and long-maturity term premia changes dramatically in two high-volatility episodes: the 1979--1982 monetary experiment and the recent financial crisis. Empirical findings are supported by Monte Carlo simulation, which shows that correcting small sample bias leads to more accurate inference about expectations of future policy rates and term premia compared to before bias correction. The third essay "Learning about the Persistence of Recessions under Ambiguity Aversion" incorporates ambiguity aversion into the process of parameter learning and assess the asset pricing implications of the model. Ambiguity is characterised by the unknown parameter that governs the persistence of recessions, and the representative investor learns about this parameter while being ambiguity averse towards parameter uncertainty. We examine model-implied conditional moments and simulated moments of asset prices and returns, and document an uncertainty effect that characterises the difference between learning under ambiguity aversion and learning under standard recursive utility. This uncertainty effect is asymmetric across economic expansions and recessions, and this asymmetry generates in simulation a sharp increase in the equity premium at the onset of recessions, as in the recent financial crisis.

The thesis examines foreign currency (FX) loans in Hungary and tries to compare them to leverage investment strategy known as carry trade. FX loans in Hungary after 2003 enjoyed great development, but only until the outbreak of the global financial crisis in 2008, which fully revealed the negatives associated with this type of financing, which resulted in a threat to the stability of the whole financial sector in the country. This thesis describes the situation in Hungary and examines the consequences connected with mass development of FX loans. There is an analysis of the currency crisis in 2008 as a part of the thesis. At the same time, the thesis aims to analyze the causes that were behind the unusually rapid growth of FX loans. The factors are divided on the demand and supply motivated factors.

The currency carry trade – whereby one simultaneously borrows in a currency with low interest rate and invests in a currency with high interest rate – is estimated to be at least USD 2.0 trillion in emerging markets alone. By some characterised as “picking up nickels in front of a steam roller”, the carry trade is subject to pronounced periods of disadvantageous currency depreciations. Although the carry trade has been profitable historically, these sudden depreciations at least attenuate, if not completely eradicate returns. The search for yield has led contemporary investors to emerging markets where the volatility is higher, thereby increasing risk and prospective return. The purpose of this thesis is to investigate how quantitative risk indicators can be constructed in order to detect market-reversals, mitigate currency depreciations, and ultimately improve the profitability of the emerging market currency carry trade. For this purpose risk has been categorised into two dichotomous risk classes, global and idiosyncratic; the former referring to systematic, non-country specific risk; the latter to residual, country specific risk. Each risk has been modelled separately. By optimising carry trade return conditioned on a number of distinctive risk measures, attributable to the respective risks, it was concluded that a broad weighted global risk indicator provide substantially augmented risk-adjusted return in an emerging market carry trade, while idiosyncratic indicators might require a bespoke framework for each currency at hand. / Valuta carry-handeln (carry trade) – vari en investerare lånar i en valuta med låga räntor och investerar i en valuta med höga räntor – beräknas omfatta åtminstone två biljoner USD enbart i tillväxtmarknader. Karakteriserat av vissa som att ”plocka upp kronor framför en ångvält” [författarnas översättning], är carry-handeln utsatt för tydliga perioder av ogynnsamma valutadeprecieringar. Trots carry-handelns historiska lönsamhet, dämpar, om inte helt raderar, dessa nedgångar avkastningen. Sökandet efter avkastning har fått investerare att alltmer vända sig till tillväxtmarknader, där volatiliteten är högre och därmed risken samt den förväntade avkastningen. Syftet med denna uppsats är att utforska hur kvantitativa riskindikatorer kan konstrueras för att förekomma marknadsvändningar, dämpa effekten av valutadeprecieringar, och slutligen stärka carry-handels lönsamheten i tillväxtmarknader. I detta syfte har risk kategoriserats i två tudelade riskklasser, global och idiosynkratisk; den förra hänsyftar systematisk, icke-landspecifik risk; den senare osystematisk, landspecifik risk. Vardera risken har modellerats separat. Genom att optimera carry-handelns avkastning villkorat under ett antal distinkta riskmått hänförbara till respektive risk, drogs slutsatsen att en bred, viktad, global riskindikator gav carry-handeln i tillväxtmarknader väsentligt förbättrad riskjusterad avkastning, medan idiosynkratiska riskindikatorer kräver speciellt anpassat tillvägagångssätt för vardera valutan.

本文主要在探討在較為短的時間段以及不同的金融環境之下，是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子－平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本；總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後，依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下，仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而，利差報酬則不然。在銀行危機期間，利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始，利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。 / This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns.

Nous étudions des stratégies d'investissement dont l'utilisation s'est généralisée sur les marchés financiers, et leur impact sur le prix des actifs et le risque de marché.Dans le premier chapitre nous nous intéressons aux stratégies de diversification de portefeuille. Nous montronsau travers d'un modèle théorique que si la diversification a un effet positif au niveau individuel pour l'investisseur,elle crée également des liens entre les différents investisseurs et titres, qui peuvent se révéler dangereux d'un pointde vue systémique. Nous mesurons les deux effets afin de discuter de la désirabilité globale de la diversification.Le second chapitre considère les stratégies d'investissement basées sur le groupement de titres financierspartageant certaines caractéristiques en différentes classes, ou styles. Nous postulons que ces stratégies créentun co-mouvement excessif entre titres d'un même style, qui seront vendus et achetés ensemble au sein d'une mêmeclasse. Appliquant cette intuition aux notes des agences sur les obligations, nous montrons qu'une obligation quichange de note se met en effet à varier comme sa nouvelle note, même quand les fondamentaux économiques ne lejustifient pas.Dans le troisième chapitre nous étudions trois types d'investisseurs opérant sur le marché des changes : les carry traders, les chartistes et les fondamentalistes. Notre modèle théorique suggère que l'interaction entre cestrois règles d'investissement peut expliquer la déconnexion bien documentée entre le taux de change et sa valeurfondamentale, ainsi que provoquer un effondrement endogène des taux de change. / We study how popular investment rules in financial markets may induce endogenous movements inasset prices, leading to higher market risk.In the first chapter, we focus on portfolio diversification. We show through a theoretical model that this strategyis beneficial at the individual investor level, but also creates endogenous links between assets and investors, whichcan be dangerous from a systemic perspective. We measure both effects in order to discuss the overall desirabilityof diversification.The second chapter considers strategies based on grouping assets that share common characteristics intodifferent classes, or styles. We postulate that these strategies create excess comovement between assets of asimilar style, as they are traded together as part of the same class. Applying this reasoning to bond credit ratings,we show that bonds joining a new rating class indeed start comoving more with the bonds of this rating, evenwhen fundamental factors suggest otherwise.In the third chapter, we study three investors who operate in the foreign exchange market: carry traders,chartists and fundamentalists. We provide a theoretical model which suggests that the interaction between thesetrading rules may explain the well documented exchange rate disconnect from its fundamental value, and lead toendogenous currency crashes.

本研究欲探討國家商品貿易特性在匯率報酬評價中扮演的角色，決定匯率報酬的因素非常多，包含利率、市場波動、國際貿易及國家政治等非常廣泛的因素，而國家商品貿易特性也會是影響匯率報酬評價的可能因素之一。本研究以「進口比率」(Import Ratios) 衡量國家的商品貿易特性，也以該數值建構投資組合。研究結果發現，去除商品貿易特性特殊之國家後，進口比例(Import Ratio)越高之投資組合，其遠期外匯貼水也偏高，且外匯超額報酬也隨之遞增。 在Ready, Roussanov, and Ward(2013)論文中認為，國家的商品貿易特性是造成不同國家利率高低差異的原因，所以該作者認為國家商品貿易特性極有可能是利差交易背後的原因。然而，本研究的Fama-Macbeth 兩步驟橫斷面迴歸實證結果發現，國家的商品貿易特性確實是造成國家利率差異的因素之一，但利差交易背後的風險背後的因素，雖然包含國家商品貿易因素，但仍包含其他因素，且商品貿易因子(IMX)無法取代利差交易因子(HML)在外匯超額報酬評價模型中的角色。 此外，本研究亦嘗試在Lustig所提出之市場因子(RX)和利差交易因子(HML)的兩因子模型中，再額外加入商品貿易因子(IMX)，構成匯率評價的三因子模型，但研究結果發現不論是在遠期外匯貼水投資組合或商品貿易投資組合中，三因子模型都沒有優於兩因子模型。 / There are many factors in determinant of exchange rate returns, such as interest rates, market volatility, international trade and politics. The purpose of this research is considering commodity trade in the pricing model of excess return of currency market. This research use “Import Ratios” to measure the characteristic of different countries’ commodity trade. We use import ratios to construct “Import Ratio Sort Portfolio”. After removing the countries which commodity trade characteristics are special, we could see when import ratios is higher, the forward discount and exchange rate return are also higher in import ratio sort portfolio. Ready, Roussanov, and Ward(2013) thought the commodity trade is the reason that cause interest rate differences between countries. In this research, the result of Fama-Macbeth two-step regression show that commodity trade is one of the reasons that cause interest rate differences. It means that there are other risks behind carry trade. In the pricing model of excess return of currency market, HML factor can’t be replaced by IMX factor. We also try to construct three-factor model, which consider excess return, carry trade, and commodity trade simultaneously. But the result shows that three-factor model can not have better explanatory power than Lustig, Roussanov, and Verdelhan(2011)’s two-factor model.

I propose a global risk factor – Currency Traded Risk (CTR). This risk factor is the first to identify the directional link between currencies and equities. CTR captures the genesis of financial globalization, and contains the greatest predictive ability to date for monthly returns on a global stock portfolio. Theoretically, return expectation is intimately linked to time-varying risk premia. Due to the intrinsic scope of currency values in integrating the world’s financial markets, information on time-varying risk premia prices into currencies at greater speed, scale, and global consensus, relative other asset classes. High interest rate currencies proxy as a risk-on asset class. Low interest rate currencies proxy as a risk-off asset class. Innovations in these currencies’ values summarize global risk premia and forecast equity market returns. CTR measures two sources of global risk premia; the difference between averaged spot returns of high interest rate currencies and low interest rate currencies, and the difference between implied and realized volatility of high interest rate currencies. Using recursive regressions, CTR predicts monthly MSCI World Index© returns out of sample, with R2’s consistent at 10% from 2008 to 2017. Currencies track global risk premia, whereas equities respond to it.

The main aim of this diploma thesis is to determine the buying atmosphere of the selected business unit and develop suggestions for improvement based on a marketing research. The first part of the thesis is devoted to literary research to define terms like a trade, a wholesale and a customer behaviour. Then a buying atmosphere and her elements are described. In the next part of the thesis is presented the selected wholesaler - Makro in České Budějovice. Information about buying atmosphere, customers and services of Makro are given. The second part of this work focus on the marketing research specifically on the questionnaire survey and an interview with shop manager Ing. Hana Galisová. The data from survey was acquired online and also in person directly in the store. The survey was attended by 254 respondents and their responses were evaluated using graphs.

This thesis concerns with speculative carry trade strategy. Carry trade is based on breach of Uncovered Interest Parity. The theoretical part is focused on traditional fundamental analysis. This thesis deals with the identification of carry trade existence and capture their expressions in the financial markets, verification profitability and attractiveness of carry trade operations, analysis of conditions for carry trade on financial markets before and after global financial crisis 2008. Important part of the work was also description of the consequences of carry trade transactions and their effects on the exchange rate and financial situation