Cette thèse est une tentative de mieux comprendre l’impact des différentes mesures prises par les banques centrales depuis 2008, et en particulier en zone Euro. Elle se concentre sur les effets des différents politiques non-conventionnelles sur le marché monétaire. Le chapitre 1 montre comment la fragmentation du marché interbancaire perturbe la transmission de la politique monétaire. Le phénomène de fragmentation est introduit dans un modèle standard de marché interbancaire. On voit alors que de la liquidité excédentaire apparaît de façon endogène dans le modèle. Cela conduit les taux d’intérêt à court terme à s’éloigner du taux de la banque centrale. Le modèle est utilisé pour analyser les politiques conventionnelles et non conventionnelles de l’Eurosystème. Le chapitre 2 explique comment le programme d’achat de titres souverains de l’Eurosystème (le PSPP) a poussé certains taux du marché monétaire en dessous du taux de la facilité de dépôt de l’Eurosystème, qui est pourtant sensé être un plancher. Le chapitre explore empiriquement les interactions entre le PSPP et les taux d’intérêts collatéralisés. Le chapitre 3 montre comment des régulations très proches de celles de Bâle III étaient utilisées par les banques centrales dans les trois décennies qui ont suivi la Seconde Guerre mondiale. A l’époque ces régulations étaient utilisées pour stabiliser l’inflation et la production, un rôle qui serait aujourd’hui typiquement attribué à la politique monétaire (et non à la régulation bancaire). Les expériences historiques que nous décrivons montrent clairement que la régulation de la liquidité a des effets restrictifs sur l’activité. / The first chapter shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location,have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on cross-border financial flows and monetary policy operations,it is shown that this mechanism has been at work in the Euro-Area since 2008. The model is used to analyze conventional and unconventional monetary policy measures. The second chapter shows how the Euro area money market rates have been standing below the deposit facility rate since 2015, which financial markets perceive as a byproduct of Eurosystem's public sector purchase program (PSPP). This paper explores empirically the interactions between the PSPP and short term secured money market rates (repo rates). We document different channels through which asset purchases may affect the various segments of the Euro area repo market. Using proprietary data from the PSPP and individual repo transactions made on the repo market for specific securities, our results show that the PSPP has contributed to push down repo rates. Purchasing 1% of a bond outstanding is associated with a decline in its repo rate of -0.75 bps.

A Selic, uma das mais elevadas taxas básicas de juros do mundo, tem sido utilizada pelo Governo Brasileiro com o intuído de controlar a inflação. No entanto, tal mecanismo tem gerado importantes impactos na economia brasileira, principalmente sobre os outros agregados macroeconômicos, como a dívida pública, as exportações, os investimentos e o câmbio. O presente trabalho pretende explicar como os elevados índices da Taxa Selic, enquanto mecanismo de controle da inflação, tem repercutido na economia brasileira, mostrando seus impactos sobre os agregados macroeconômicos acima mencionados. Em um primeiro momento são analisados as funções e determinações dos juros para duas escolas de pensamento econômico, a keynesiana e a monetarista. Posteriormente, será estudada a composição e a estrutura do Sistema Financeiro Brasileiro e a taxa de juros básica (SELIC), ressaltando alguns de seus impactos. No capítulo seguinte, será feita uma breve análise da dívida pública brasileira, considerando seu caráter externo até meados da década de 1990 e a mudança para o caráter interno, após esse período. Nesse momento, buscar-se-á explicar como ocorreu essa alteração de importância do alto endividamento externo em relação ao PIB em um primeiro momento, para um alto endividamento interno, expresso na dívida mobiliária federal. Em uma última análise, algumas soluções serão propostas, almejando minimizar os efeitos negativos da política de juros sobre a dívida pública. / The SELIC, one of the highest interest rates of the world has been used for the Brazilian Government with the goal to keep the control of the inflation. However, such mechanism has generated important impacts in the Brazilian Economy, mainly on another macroeconomics agregates as public debt, exports, investments and exchange. The present work wants explain how the highest SELIC rates, like a inflation mechanism control has influenced in Brazilian Economy showing the impacts over the macroeconomic agregates mentioned above. In a first moment will be describe the interest function and determinations for two schools of economic thought the Keynesianism and Monetarism. Later will be analized the composition and structure of the Brazilian Financial System and the interest rate (SELIC) detaching some of the impacts. In the next chapter, a brief analisys of the Brazilian public debt, considering the external caracter until the midle of the years 1990 and the change to a domestic caracter after this period. At this moment, it will be explaining how this change of importance has been occured from the highest extern debt, as a GDP proportion, in a first moment, to the highest domestic public debt composed mainly of federal movable debt. At the least, some alternative solution will be proposed, looking for minimize the effects of the interest rates over the public debt.

O presente trabalho tem como objetivo analisar a persistência inflacionária no Brasil entre 1999 e 2016, isto é, investigar as suas causas, seus mecanismos e estimar o seu grau. A hipótese geral é que há um grau significativo de resiliência na inflação mesmo após a implantação do regime de metas, o que dá indícios de que existem causas de pressão inflacionária que estão sendo desconsideradas. De forma a responder à pergunta “por que a inflação ainda tem persistência no Brasil?” e cumprir o objetivo, este estudo se constrói em perspectiva tanto teórica quanto empírica. Em um primeiro momento, realiza uma revisão de literatura entre as abordagens convencional, keynesiana e estruturalista do processo inflacionário, de modo a compreender as diferenças entre os postulados teóricos destas vertentes e, posteriormente, introduz aos conceitos de persistência. Em seguida, são discutidas as várias fontes de inflação (sejam elas relacionadas ao agregado monetário ou não), a evolução das expectativas, a eficácia da taxa de juros como instrumento de política antiinflacionária e algumas políticas não-monetárias que contribuem para a estabilidade de preços. Por fim, através de estimadores GPH, Whittle, Expoente de Hurst e um modelo autorregressivo de integração fracionada (ARFIMA), é estimado o grau de tal resiliência no caso brasileiro. / The present study aims to analyze the inflationary persistence in Brazil between 1999 and 2016, which means to investigate its causes, its mechanisms and to estimate its degree. The general hypothesis is that there is a significant degree of resilience in inflation even after the implementation of the targets, which gives indications that there are causes of inflationary pressures being disregarded. In order to answer the question “Why is inflation still persistent in Brazil?” and fulfill its goal, this work is built on both theoretical and empirical perspective. At first, it performs a literature review between the conventional, keynesian and structuralist approaches of inflationary process, in order to understand the differences among the theoretical postulates of these strands and later introduces to the concepts of persistence. Next, the various sources of inflation (whether them related to the monetary aggregate or not), the evolution of expectations, the effectiveness of the interest rate as an instrument of anti-inflationary policy and some non-monetary policies that contribute to price stability are discussed. Finally, through GPH and Whittle estimators, Hurst Exponent and an autoregressive fractionally integrated model (ARFIMA), it is estimated the degree of such resilience in the Brazilian case.

Submitted by Noeme Timbo (noeme.timbo@metodista.br) on 2016-08-09T19:03:15Z No. of bitstreams: 1 Rogerio Ambrosio2.pdf: 1668585 bytes, checksum: cb0c1cd04de06e9546f2eea472687311 (MD5) / Made available in DSpace on 2016-08-09T19:03:15Z (GMT). No. of bitstreams: 1 Rogerio Ambrosio2.pdf: 1668585 bytes, checksum: cb0c1cd04de06e9546f2eea472687311 (MD5) Previous issue date: 2015-12-16 / This thesis aims to analyse a macroeconomic analysis of Brazil, especially with regard to the ratio of monthly indices of the volumes of exports and imports with the monthly volumes of GDP, the interest rate and foreign exchange rates, according to data collected from January 2004 to December 2014, through literary research relating to historical on each concept involved within the macroeconomics of the studied variables. A case study grounded in government data sites was held in defined period, using the linear regression method, based on the theory of Pearson correlation, showing the results obtained during the study period for the studied variables. In this way, he managed to study and how to analyze the dependent variable (response): volume of export and import volumes may be related to the independent variables (explanatory): GDP interest rate and exchange rate. The results obtained in this study allowed us to identify that there is moderate and negative correlation, when analyzed the Selic rate and the exchange rates with the volumes of exports and imports, while GDP shows strong positive correlation in the analysis with export volumes and imports. / Esta dissertação visa deslumbrar uma análise macroeconômica do Brasil, especialmente no que se refere à relação dos índices mensais dos volumes das exportações e das importações com os volumes mensais do PIB, da Taxa SELIC e as Taxas de Câmbio, conforme dados coletados no período de janeiro de 2004 a dezembro de 2014, através de pesquisa literária referente aos históricos sobre cada conceito envolvido no âmbito da macroeconomia das varáveis estudadas. Foi realizado um estudo de caso embasado em dados de sites governamentais, no período delimitado, empregando-se o método de regressão linear, com base na Teoria da correlação de Pearson, demonstrando os resultados obtidos no período do estudo para as varáveis estudadas. Desta maneira, conseguiu-se estudar e analisar como as variáveis dependentes (resposta): volume das exportações e volume das importações estão relacionadas com as varáveis independentes (explicativas): PIB, Taxa Selic e taxa de Câmbio. Os resultados apurados no presente estudo permitem identificar que existe correlação moderada e negativa, quando analisadas a Taxa Selic e a Taxa de Câmbio com os volumes das exportações e das importações, enquanto o PIB apresenta correlação forte e positiva na análise com os volumes das exportações e das importações. Palavras-

The goal of the paper is to compare impacts of interest rate risk measuring meth-ods on capital requirements. The first section identifies methods for measuring interest rate risk and capital requirements for interest rate risk set by regulators. The second section compares capital requirements of model portfolio calculated by using standardized methods as well as internal models.

Made available in DSpace on 2010-04-20T20:54:48Z (GMT). No. of bitstreams: 0 Previous issue date: 2002-09-16T00:00:00Z / The aim of this paper is to test whether the correction of the interest parity conditions by market expectancy (uncovered parity) and by risk premium (covered and uncovered parity) results in a (close) econometric validation of the non-arbitrage relationship. In order to accomplish this goal, we combined domestic and non-domestic fixed rate instruments and applied time series econometrics. To start with, we tested the traditional interest parity condition (covered and uncovered). In the next step, we tested again but with risk premium incorporated. In the case of UIP (uncovered interest parity), we didn't obtain satisfactory results, even adjusting for risk premium. This adjustment led to correct coefficient signals, but the magnitude of the exchange devaluation coefficient got too high. Even though we had obtained CIP (covered interest parity) validity, this result was not expected, as this would imply that the country risk premium was null along this period. After adjusting the CIP for default risk premium, the series don't cointegrate any longer, i.e., the default risk premium would have a behavior independent from future premium and interest differential. The possible reasons for the non-expected results are: sample intervalless than 3 years, data measurement error or simuItaneous control of exchange rate and interest rate by monetary policy authorities. / O objetivo deste trabalho é verificar se o ajustamento das condições de paridade de juros por expectativa do mercado (paridade descoberta) e por prêmios de risco (paridades coberta e descoberta) leva à validação da relação de não-arbitragem subjacente, ou pelo menos a resultados econométricos mais próximos de sua validação. Para isso, combinamos taxas de retornos de instrumentos de renda fixa domésticos e norte-americanos e aplicamos o arcabouço econométrico de séries de tempo. Como primeiro passo de investigação, aplicamos a paridade de juros (descoberta e coberta) na sua forma tradicional. No passo seguinte aplicamos os testes econométricos às condições de paridade ajustadas por um prêmio de risco. No caso da PDJ, não obtivemos resultados satisfatórios, mesmo ajustando pelos prêmios de risco. Esse ajuste propiciou uma mudança nos sinais dos coeficientes na direção correta, mas a magnitude do coeficiente da desvalorização cambial efetiva passou a destoar bastante da magnitude das outras séries. Apesar de termos obtido a validade da PCJ na forma tradicional, não esperaríamos este resultado, pois isso implicaria que o prêmio de risco país seria nulo para este período. Ajustando a PCJ pelo prêmio de risco de não-pagamento passa-se a não obter co integração entre as séries, ou seja, o prêmio de risco de não-pagamento teria um comportamento independente do prêmio futuro e do diferencial de juros. As possíveis causas para a não obtenção dos resultados esperados são: intervalo amostraI menor que 3 anos, erro de medida dos dados de survey ou tentativa do Banco Central de controlar a taxa de câmbio nominal e as taxas de juros domésticas simultaneamente.

L’après-crise et l’évolution de la réglementation confrontent les banques à un cadre nouveau, replaçant la performance financière au cœur de leur modèle. A l’exception des risques associés aux opérations financières propres, les effets de la structure des revenus sur la rentabilité et la stabilité des résultats sont toutefois débattus. Le présent travail doctoral propose une poursuite de la recherche sur la performance des banques en s’intéressant à l’influence des conditions économiques et de marchés. Une telle influence est peu explorée au-delà des risques de crédit et de trading. Les conditions économiques et de marchés semblent à même d’expliquer d’importantes variations sur la plupart des postes du résultat des banques. La projection des résultats possibles, et plus généralement la mesure des aléas, requièrent la considération de l’ensemble de la structure des revenus ainsi que des volatilités et corrélations des variables d’influence.Plus avant sur un plan stratégique, la recherche est ensuite orientée vers l’estimation de la performance, selon l’environnement, des activités de banque « traditionnelle » et des services financiers à la clientèle. Enfin, la performance attendue des activités (espérances de rentabilité et de volatilité) ainsi que les écarts possibles à ces attentes sont évalués à l’aide de scénarios multiples. Il apparait que la diversification vers les services financiers, ainsi que des stratégies prudentes de transformation d’échéances de taux entre passifs et actifs, améliorent l’attente de performance vis-à-vis de la banque traditionnelle considérée seule. L’incertitude globale de performance associée à une banque ainsi diversifiée semble également contenue en regard des bénéfices attendus. Si l’influence des conditions économiques et financières est exogène, le choix de la structure des activités parait ainsi offrir des opportunités de mitigation des risques et de soutien au rendement-risque. / The post-crisis and regulatory changes face banks with a new framework, replacing financial performance at the heart of their model. With the exception of risks associated with proprietary financial transactions, effects of the structure of income on the profitability and the stability of results, however, are debated. This doctoral study proposes a further research on bank performance through the influence of economic and financial markets conditions. Such influence is little explored beyond credit risk and trading. Economic and financial markets conditions may explain significant variations for most components of earnings. Hence appraising possible earnings, and more broadly measuring uncertainties, require the consideration of the whole income structure as well as of volatilities and correlations of influencing variables.Further on a strategic level, the research then turns to the estimation of the performance, owing to the environment, of "traditional" banking services and of customers’ financial services. Finally, expectations of performance (profitability, volatility) as well as possible deviations are assessed throughout multiple scenarios. It appears that diversification into customers’ financial services, and prudent interest rate mismatch strategies, improve performance related to traditional banking services alone. Further, the overall uncertainty of performance associated with such a diversified bank seems to be contained when weighted by expected benefits. The influence of economic and financial conditions is exogenous; results however suggest that the choice of the business mix may provide with opportunities for risk mitigation and enhancement of risk-return.

O presente trabalho tem como objetivo analisar a persistência inflacionária no Brasil entre 1999 e 2016, isto é, investigar as suas causas, seus mecanismos e estimar o seu grau. A hipótese geral é que há um grau significativo de resiliência na inflação mesmo após a implantação do regime de metas, o que dá indícios de que existem causas de pressão inflacionária que estão sendo desconsideradas. De forma a responder à pergunta “por que a inflação ainda tem persistência no Brasil?” e cumprir o objetivo, este estudo se constrói em perspectiva tanto teórica quanto empírica. Em um primeiro momento, realiza uma revisão de literatura entre as abordagens convencional, keynesiana e estruturalista do processo inflacionário, de modo a compreender as diferenças entre os postulados teóricos destas vertentes e, posteriormente, introduz aos conceitos de persistência. Em seguida, são discutidas as várias fontes de inflação (sejam elas relacionadas ao agregado monetário ou não), a evolução das expectativas, a eficácia da taxa de juros como instrumento de política antiinflacionária e algumas políticas não-monetárias que contribuem para a estabilidade de preços. Por fim, através de estimadores GPH, Whittle, Expoente de Hurst e um modelo autorregressivo de integração fracionada (ARFIMA), é estimado o grau de tal resiliência no caso brasileiro. / The present study aims to analyze the inflationary persistence in Brazil between 1999 and 2016, which means to investigate its causes, its mechanisms and to estimate its degree. The general hypothesis is that there is a significant degree of resilience in inflation even after the implementation of the targets, which gives indications that there are causes of inflationary pressures being disregarded. In order to answer the question “Why is inflation still persistent in Brazil?” and fulfill its goal, this work is built on both theoretical and empirical perspective. At first, it performs a literature review between the conventional, keynesian and structuralist approaches of inflationary process, in order to understand the differences among the theoretical postulates of these strands and later introduces to the concepts of persistence. Next, the various sources of inflation (whether them related to the monetary aggregate or not), the evolution of expectations, the effectiveness of the interest rate as an instrument of anti-inflationary policy and some non-monetary policies that contribute to price stability are discussed. Finally, through GPH and Whittle estimators, Hurst Exponent and an autoregressive fractionally integrated model (ARFIMA), it is estimated the degree of such resilience in the Brazilian case.

Små och medelstora företag, fortsatt benämnda SME:s, spelar en viktig roll för den ekonomiska tillväxten, framförallt i de industriella ekonomierna där de utgör 99 procent av alla företag samtidigt som de i särklass bidrar med flest arbetstillfällen. När det kommer till SME:s finansieringsmöjligheter är de väldigt beroende av externt kapital, dels för att kunna driva sin verksamhet, men även för att kunna utvecklas och växa. Problemet är att banker ofta förknippar SME:s med högre risk, lägre lönsamhet och avsaknad av de säkerheter som krävs för att kunna bevilja lån. För de lån som beviljas, sätts ofta en hög ränta för att kompensera för den ökade risken vilket kan förklara den negativa lönsamheten för SME:s.Studien behandlar 197 SME:s i fastighetsbranschen mellan åren 2008–2015. Fokus ligger på hur variablerna ålder, soliditet, storlek, lönsamhet samt ekonomisk kris förklarar skuldräntan för SME:s i fastighetsbranschen. För att kunna undersöka detta, genererades en linjär regressionsmodell utifrån de tidigare nämnda variablerna. Samtliga variabler behandlades också i en korrelationsanalys samt en deskriptiv analys för att undersöka sambanden mellan variablerna samt för att se hur data såg ut under kris och i återhämtningstid. Studien kan bekräfta att ålder, soliditet och ekonomisk kris har en negativ, signifikant relation till ett företags skuldränta. Resultatet pekar även på att SME:s i större utsträckning lider av moral hazard, informationsasymmetri och adverse selection. / Small and medium sized enterprises, further known as SME: s, plays an important role when it comes to economic growth. Especially in the industrial economies where they make up 99 percent out all the companies while they also contribute the most work opportunities. When it comes to financing the SME: s, they are very reliant on external capital. This is to enable further business but also to evolve and grow as a company. The problem is the SME:s tend to be associated with higher risk, lower profitability and a lack of collateral, which banks require in order to grant loans to a reasonable interest rate, or even being granted a loan at all.The study process 197 SME: s in the real estate business, between the years 2008-2015. The focus of the study is on how the variables age, solidity, size, profitability and economic crisis explain the interest rate that SME: s in the real estate business get when granted loans. To examine this empirical, a linear regression model was generated based on the previously mentioned variables. All variables were also processed in a correlation analysis and a descriptive analysis to examine the connections between the variables to see how the data looked during the economic crisis and in the years of financial recovery. The study can confirm that age, solidity and economic crisis has a negative and significant impact on the interest rate. The result also points to that SME: s often, suffer from moral hazard, information asymmetry and adverse selection.

A Selic, uma das mais elevadas taxas básicas de juros do mundo, tem sido utilizada pelo Governo Brasileiro com o intuído de controlar a inflação. No entanto, tal mecanismo tem gerado importantes impactos na economia brasileira, principalmente sobre os outros agregados macroeconômicos, como a dívida pública, as exportações, os investimentos e o câmbio. O presente trabalho pretende explicar como os elevados índices da Taxa Selic, enquanto mecanismo de controle da inflação, tem repercutido na economia brasileira, mostrando seus impactos sobre os agregados macroeconômicos acima mencionados. Em um primeiro momento são analisados as funções e determinações dos juros para duas escolas de pensamento econômico, a keynesiana e a monetarista. Posteriormente, será estudada a composição e a estrutura do Sistema Financeiro Brasileiro e a taxa de juros básica (SELIC), ressaltando alguns de seus impactos. No capítulo seguinte, será feita uma breve análise da dívida pública brasileira, considerando seu caráter externo até meados da década de 1990 e a mudança para o caráter interno, após esse período. Nesse momento, buscar-se-á explicar como ocorreu essa alteração de importância do alto endividamento externo em relação ao PIB em um primeiro momento, para um alto endividamento interno, expresso na dívida mobiliária federal. Em uma última análise, algumas soluções serão propostas, almejando minimizar os efeitos negativos da política de juros sobre a dívida pública. / The SELIC, one of the highest interest rates of the world has been used for the Brazilian Government with the goal to keep the control of the inflation. However, such mechanism has generated important impacts in the Brazilian Economy, mainly on another macroeconomics agregates as public debt, exports, investments and exchange. The present work wants explain how the highest SELIC rates, like a inflation mechanism control has influenced in Brazilian Economy showing the impacts over the macroeconomic agregates mentioned above. In a first moment will be describe the interest function and determinations for two schools of economic thought the Keynesianism and Monetarism. Later will be analized the composition and structure of the Brazilian Financial System and the interest rate (SELIC) detaching some of the impacts. In the next chapter, a brief analisys of the Brazilian public debt, considering the external caracter until the midle of the years 1990 and the change to a domestic caracter after this period. At this moment, it will be explaining how this change of importance has been occured from the highest extern debt, as a GDP proportion, in a first moment, to the highest domestic public debt composed mainly of federal movable debt. At the least, some alternative solution will be proposed, looking for minimize the effects of the interest rates over the public debt.