This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whether futures prices are excessively volatile for the market to be efficient. Regression tests investigate whether futures prices are unbiased predictors of future spot prices. The study was limited to analysis of the first three futures contracts, using weekly price data as reported in the Wall Street Journal from March, 1976 to December, 1984. Testing of the first CIR model involved determination of whether changes in futures-forward price differences are related to changes in local covariances between T-bill futures and bond prices. The same procedure applied in testing the second model with respect to changes in futures-forward price differences, local covariances between T-bill spot and bond prices, and local variances of bond prices. Volatility tests of market efficiency involved comparison of mean variances on both sides of two inequality equations. Regression tests involved determination of whether slope coefficients are significantly different from zero.

Research report, presented to the SBL, Unisa, Midrand / In the midst of a global recession, this study explored whether the act of obtaining motor vehicle finance has become more onerous since the implementation of the National Credit Act, 2005, (NCA), and to determine which variables are contributing to the phenomenon of declining motor finance figures. A quantitative research methodology was applied whereby a portion of the analysis was based on historical motor finance application data attained from a medium sized motor finance institution. Another portion considered survey data obtained from 152 South African consumers and 42 Credit Analysts collected by way of self administered questionnaires. Various statistical tools, including Independent Sample t-Tests and Pearson product-moment correlation tests were applied to the data. The results of the study indicate that the act of obtaining motor finance has indeed become more complex since the inception of the NCA. Of the variables tested, motor vehicle retail prices and general living costs were identified as the main impediments limiting the amount of motor finance granted in the South African motor finance sector.

The effectiveness of interest rate pass-through is crucial when shaping monetary policy. In this paper we use error correction framework in order to estimate the speed and the completeness of pass through in Slovakia. Our thesis brings a unique research on how the financial crisis and Euro adoption affect the pass-through. In Slovakia those events occur at the same time; we attempt to distinguish between what phenomenon has greater impact. We also distinguish between what bank characteristics have impact on individual bank's spread during financial crisis. Our results suggest that the interest rate pass-through completeness increases in long term. We however found evidence of decreasing pass-through in case of deposit rates during crisis. Banks are unwiling to lower them and hence harm their competitve position. The pass-through in Slovakia is found to be relatively fast and consistent throughout periods. With the crisis, the speed for mortgages rates however decreases. We conclude that the impact of financial crisis outweights the impact of Euro adoption. Concerning the banks' characteristics, we conclude that higher portion of loans on assets, higher costs over income and better liquidity position decrease the spread. This is explained by the size of Slovakian banking market; banks lower their spread to...

This research focuses mainly on the evaluation of interest rates predictions (predictions of 3M PRIBOR rate) published by Czech national bank. In the first part of the thesis reasons and potential central bank's benefits of the publishing of interest rate predictions are presented, based on the current academic literature. In the next chapters econometric and non-econometric evaluation of Czech national bank forecasts is provided. Furthermore, predictions from Czech Treasury, random walk process and my own autoregressive and vector autoregressive predictions were evaluated as well. It has been concluded that Czech national bank produces and publishes the most accurate based on non-econometric and econometric evaluation of all examined predictions. Moreover during the F-test evaluation procedure, the forecasts of Czech national bank proved themselves to be unbiased for the longest time horizon of all examined predictions. Powered by TCPDF (www.tcpdf.org)

The thesis is presents in detail selected financial derivatives, including interest and currency swaps and other appropriate tools to hedge against interest rate and currency risk. It also shows the accounting and valuation procedures and also leads to the classification of risks associated with the selected instruments. Interpretation and analysis are focused on the economic environment in the Czech Republic and is based on the conventions of the local capital market. Theoretical aspects apply a simple model of interest-sensitive portfolios and examine the effectiveness and validity of two basic methods of quantification and risk management - duration and gap analysis. The aim is to demonstrate the importance of the use of derivatives in risk management in the domestic banking system and to identify strengths and weaknesses in the whole process of applying the two compared methods.

O objetivo deste trabalho é analisar as transformações por que passou a teoria econômica no período entre-guerras, relacionando-as às mudanças econômicas e políticas que caracterizam o capitalismo da época. O ponto de partida é o contraste realizado por Karl Polanyi entre os conservadores anos 1920 e os revolucionários anos 1930. Argumenta-se que os conflitos em tomo do restabelecimento e do posterior abandono do padrão-ouro, que representaram a tentativa de restauração do liberalismo econômico e sua subseqüente frustração, foram determinantes nas disputas políticas e teóricas do período. A obra de Friedrich von Hayek é relacionada aos conservadores anos 1920, enquanto a obra de John Maynard Keynes é associada às transformações da década de 1930. São enfatizados os contrastes entre os conceitos de equilíbrio e taxa de juros adotados pelos dois autores. Além disso, argumenta-se que as transformações da teoria econômica não se restringiram a alterações de conceitos e hipóteses, mas envolveram também um deslocamento do papel desempenhado pela teoria na reprodução da sociedade, com a emergência da gestão macroeconômica do capitalismo. / The aim of this work is to analyse the transformation that economics has been through in the interwar years, relating it to the economic and political transformation of the period\'s capitalism. The point of departure is Karl Polanyi\'s contrast between the conservative 1920s and the revolutionary 1930s. It is argued that the conflicts around the reestablishment and the abandonment of the gold-standard, which represented the attempt (and its subsequent frustration) to restore economic liberalism, exercised a great influence on the political and theoretic disputes of the time. Friedrich von Hayek\'s work is related to the conservative 1920s, while John Maynard Keynes\' work is connected with the transformations of the 1930s. The contrasts between the authors\' concepts of equilibrium and interest rate are particularly emphasized. Finally, it is maintained that the transformation of economics was not restricted to changes of concepts and hypotheses, but involved also a transformation of the role fulfilled by this theory in the reproduction of society, with the emergence of the macroeconomic management of capitalism.

A operação de hedge tem como função primária a proteção contra as oscilações de mercado, tais oscilações são subdivididas principalmente em variação da taxa de juros, taxa de câmbio e preço de commodities. Uma das maneiras para se operacionalizar o hedge é por meio da utilização de derivativos. Assim, é do interesse de credores, investidores e demais interessados obter mais informações acerca dessas operações, surgindo o seguinte questionamento: em empresas brasileiras de capital aberto, quais fatores possuem relação com a utilização de derivativos para fins de hedge de variação de taxa de juros e hedge de variação cambial? Dessa forma, o presente estudo busca apresentar as principais características de empresas brasileiras de capital aberto que fazem uso dos derivativos para fins de hedge, de câmbio e de taxa de juros, no período de 2010 a 2014. Primeiramente, foi verificado se o uso do derivativo pelas empresas tinha finalidade de proteção ou especulação. Essa verificação foi espelhada nos trabalhos de Allayannis e Ofek (2001) e Chernenko e Faulkender (2011). O modelo adaptado de Allayannis e Ofek (2001) baseou-se em uma análise em dois estágios para obter a informação sobre a finalidade do uso dos derivativos pela empresa. Já o modelo de Chernenko e Faulkender (2011) utilizou dados em painel e estimadores diferentes (between e within) para obter informações acerca das características das empresas relacionadas ao uso do derivativo para fins de hedge ou especulação. Agrupou-se ao modelo de Cherneko e Faulkender (2011) uma adaptação do modelo apresentado por Carneiro e Sherris (2008). O modelo utilizado por Carneiro e Sherris (2008) destacou-se por apresentar uma variável alternativa à tradicionalmente utilizada nos estudos das características relacionadas à operação de hedge. Portanto, o objetivo desse modelo agrupado foi obter as características das empresas, distinguindo-as quanto à finalidade do uso do derivativo (proteção ou especulação), com foco na proteção. Destaca-se, entre os resultados, que o montante das dívidas atreladas à moeda estrangeira foi apontado como uma característica relacionada ao uso de derivativos para fins de hedge. No entanto, há evidências de que as empresas mais alavancadas utilizaram os derivativos para fins de especulação no período analisado. Conclui-se, portanto, que, no período analisado, nem todas as empresas utilizaram os derivativos exclusivamente para fins de hedge. / The primary function of the hedge is to protect against market fluctuations. Such oscillations are mainly divided in changes in interest, exchange rates and commodity prices. One way to operationalize the hedge is through the use of derivatives. Thus, it is interesting for creditors, investors and other interested parties to obtain more information about these operations. In light of this, the following question arises: in Brazilian public companies, which factors are related to the use of derivatives for hedging purposes of interest rate and exchange rate variations? Thus, this study aims to present the main characteristics of Brazilian public companies that influence the use of derivatives for hedging purposes, for both currency exchange and interest rate variations, in the period between 2010 and 2014. First, it was checked if the use of derivative by companies had hedging or speculation purposes. This procedure was mirrored in the works of Allayannis and Ofek (2001) and Chernenko and Faulkender (2011). The model adapted from Allayannis and Ofek (2001) was based on a two stage analisys that obtains information about the purpose of the derivative use by the company. The Chernenko and Faulkender (2011) model used panel data and different estimators (between and Within) to obtain information about the firm characteristics that are related to the use of derivatives for hedging or speculation purposes. An adaptation of the model presented by Carneiro and Sherris (2008) was grouped in the Cherneko and Faulkender (2011) model. The model used by Carneiro and Sherris (2008) stood out for presenting an alternative variable to the ones traditionally used in studies of the hedging related characteristics. Therefore, the objective of this model was to determine the characteristics of firms that use derivatives, distinguishing them by the purpose of derivative use (protection or speculation), with a grater focus on protection. One of the main results is that the amount of debt linked to foreign currency was pointed as a characteristic related to the use of derivatives for hedging purposes. However, there is evidence that the most leveraged companies used derivatives for speculative purposes during the period. In conclusion, not all companies used derivatives solely for hedging purposes in the analysed period.

O presente trabalho versa sobre taxas de juros e spreads bancários no Brasil a partir de 1995, com enfoque em diferentes questões que são abordadas em três ensaios. O primeiro trata da reorganização do Sistema Financeiro Nacional (SFN) – que se caracterizou por desregulamentação com maior concentração da atividade financeira e menor presença do Estado – e da evolução do mercado de crédito. O segundo apresenta taxas de juros e margens de intermediação financeira do Brasil, em perspectiva internacional comparada. O terceiro ensaio apresenta um modelo de determinação do spread bancário, a partir de variáveis microinstitucionais e macroeconômicas. / This paper deals with interest rates and bank spreads in Brazil since 1995, focusing on different issues that are presented in three essays. The first one deals with the reorganization of the Brazilian financial system - which is characterized by deregulation, concentration of activity and a lower presence of the state – and the evolution of the credit market. The second one presents interest rates and net interest margins of Brazil in international comparative perspective. The third one presents a model for determining the banking spread, from microinstitutional and macroeconomic variables.

Diversos são os benefícios e objetivos de um profundo entendimento técnico do comportamento das taxas de juros, tanto de uma economia madura como de uma emergente. Do planejamento à execução de política monetária e da criação de cenários econômicos para tomada de decisão à alocação de recursos baseada somente nesses cenários, esses agentes podem fazer uso do arcabouço teórico que embasa as diferentes hipóteses de mercados eficientes e expectativas racionais, bem como do prêmio de risco, entre outras. Diante desse contexto, faz-se necessário estar em constante contato com o que a comunidade acadêmica desenvolve de tecnologia no estudo de curvas de juros. Este trabalho abordará as relações de cointegração e a possibilidade de elaboração de estratégias de investimentos de recursos financeiros baseadas somente nas relações descobertas. As diferentes modalidades operacionais foram escolhidas buscando replicar empiricamente no mercado de derivativos os fatores mais utilizados nos modelos de estimação e previsão de curva de juros e taxas a termo de juros. Visto que tais estratégias demandam mais sofisticação por parte do investidor, tendem a ser implementadas mais comumente por gestores profissionais e profissionais de bancos, e tentar-se-á mensurar seu potencial de retorno e sua remuneração frente ao risco tomado. / Many benefits and objectives came from a deep understanding of interest rates behavior in developed countries and in emergent markets. From plan to execute monetary policy, to create economics scenarios, the decision that are made based in those scenarios, and for any kind of asset allocation, all market participants can use the theory that underlies the efficient market hypothesis, rational expectations and all kinds of risk premium. In this context, it is necessary to be in touch with academic literature technology about yield curves. This paper addresses the cointegration relations on interest rates and the trading opportunities that came from these relations. The strategies was chosen looking for apply in the markets the most usual models present on yield curve and forward rate estimation and prediction fields. Since these strategies demand a higher sophistication from investors, they tend to be used for professional asset managers and bankers. This work intends measure the potential profits and the return towards the risk of this investment approach.

Despite considerable research on the monetary policy rules, little is known about internal relation between policy rules targets. Research approach frequently consists in estimating parameters or identifying variables to make the rule operate accurately. The overall image that emerges from the literature is that there is no contradiction in attaining the targets once set properly. Dissertation switches attention to mutual feasibility of incorporated targets. To contribute to this strikingly overlooked fact hypothesis is tested. Analyzed are variances of inflation and output representing policy rule targets. Time regression processed throughout OLS technique, gap analysis and calculation of variances are applied as principal analytical tools. Examined are data for 14 countries. Countries are divided into two groups according to size of their economy: small economies (Austria, Belgium, Czech Republic, Hungary, Ireland, The Nederlands and Slovak Republic); large economies (Euro zone, France, Germany, Italy, Spain, Sweden and USA). Results of the analysis show that once monetary authority follows policy rule with multiple targets it faces restriction. Rather than achieving both targets at one time it must respect trade off between them. According to data for selected countries hypothesis is accepted. Variances of output consistently proved to be higher than variances of inflation. Whence it follows that authority need to solve constrained optimization problem. It needs to pick out combination of differently large variances contrary to wining with all reaching low levels.