The aim of this study was to investigate how the amortization requirements of 2016 and 2018 haveaffected the housing prices in Stockholm county, using an event-study approach and a regressionanalysis. Furthermore, the paper studies how the regulations have affected single-family housescompared to tenant-owned apartments, if the effect was different for tenant-owned apartments ofdifferent sizes and if existing housing compared to newly produced housing were affected differently.The reasoning behind the introduction of amortization requirements was to regulate and decreasegrowing household indebtedness that was making Swedish households vulnerable to changes in theoverall economy. The second requirement aimed to further regulate household indebtedness and wasexpected to lower housing prices, which it received criticism for. The report is limited to thedevelopment of house prices for single-family houses and tenant-owned apartments betweenDecember 2013 and February 2019.The primary findings of this report are that the amortization requirements have resulted in decreasedexpected returns. Consistent with previous literature, the introduction of macroprudential policiesreduced the price growth for existing tenant-owned apartments and decreased the housing prices ofsingle-family houses and newly produced homes. The amortization requirements accomplished theFinancial Supervisory Authority’s aim of reducing household indebtedness, but increased the averageloan-to-value ratios for households. Lastly, it has become increasingly difficult for younger householdsto finance their housing purchase due to increased monthly payments and thereby failing to pass theleft-to-live-on computations created by lenders. At the same time, the rental housing market remainslimited. / Syftet med denna studie är att undersöka hur amorteringskraven som infördes under 2016 and 2018,påverkade bostadspriserna i Stockholms län. Genom att tillämpa en eventstudie och enregressionsanalys försöker denna studie förklara hur regleringarna har påverkat priserna för småhusjämfört med bostadsrätter, om påverkan på priserna skilde sig mellan bostadsrätter av olika storlekaroch om påverkan skilde sig mellan befintligt bestånd och nyproducerade bostäder. Motivationenbakom amorteringskraven var att reglera och minska hushållens skulder, eftersom de gjorde hushållensårbara för ekonomiska störningar. Det andra amorteringskravet förväntades även sänkabostadspriserna och mottog därför en del kritik. Denna rapport är begränsad till utvecklingen avsmåhus- och bostadsrättspriser mellan december 2013 och februari 2019.De huvudsakliga slutsatserna i denna rapport är att amorteringskraven har minskat förväntade vinster.I tidigare litteratur har makroekonomiska regleringar minskat prisökningen, vilket också är resultatetför denna studie. För småhus och nyproducerade bostäder minskade också priserna jämfört medföregående period. Amorteringskraven har uppnått Finansinspektionens mål om att minska hushållensskulder men har samtidigt ökat skuldkvoten bland hushåll. Avslutningsvis har det blivit svårare förunga hushåll att finansiera sitt bostadsköp då amorteringskraven ökar månadsbetalningarna och gör attde inte klarar av kvar-att-leva-på-kalkylerna hos bankerna. Samtidigt är hyresmarknaden ärsvåråtkomlig och begränsar därmed bostadsalternativen på marknaden.

This thesis consists of three papers that makes independent contributions to the fields of forecast evaluation and financial econometrics. As such, the papers, chapter 1-3, can be read independently of each other. In Chapter 1, “Inferring an agent’s loss function based on a term structure of forecasts”, we provide conditions for identification, estimation and inference of an agent’s loss function based on an observed term structure of point forecasts. The loss function specification is flexible as we allow the preferences to be both asymmetric and to vary non-linearly across the forecast horizon. In addition, we introduce a novel forecast rationality test based on the estimated loss function. We employ the approach to analyse the U.S. Government’s preferences over budget surplus forecast errors. Interestingly, we find that it is relatively more costly for the government to underestimate the budget surplus and that this asymmetry is stronger at long forecast horizons. In Chapter 2, “Monitoring Systemic Risk”, we define systemic risk as the conditional probability of a systemic banking crisis. This conditional probability is modelled in a fixed effect binary response panel-model framework that allows for cross-sectional dependence (e.g. due to contagion effects). In the empirical application we identify several risk factors and it is shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, we illustrate how the forecasts of systemic risk map into dynamic policy thresholds in this framework. Finally, by conducting a pseudo out-of-sample exercise we find that the systemic risk estimates provided reliable early-warning signals ahead of the recent financial crisis for several economies. Finally, in Chapter 3, “Equity Premium Predictability”, we reassess the evidence of out-of- sample equity premium predictability. The empirical finance literature has identified several financial variables that appear to predict the equity premium in-sample. However, Welch & Goyal (2008) find that none of these variables have any predictive power out-of-sample. We show that the equity premium is predictable out-of-sample once you impose certain shrinkage restrictions on the model parameters. The approach is motivated by the observation that many of the proposed financial variables can be characterised as ’weak predictors’ and this suggest that a James-Stein type estimator will provide a substantial risk reduction. The out-of-sample explanatory power is small, but we show that it is, in fact, economically meaningful to an investor with time-invariant risk aversion. Using a shrinkage decomposition we also show that standard combination forecast techniques tends to ’overshrink’ the model parameters leading to suboptimal model forecasts.

1 Abstract This master thesis deals with the arrangement of the supervision of the financial system in the European Union. Its content and structure is strongly tied with two principal supervisory pillars - European System of Financial Supervision (ESFS) and Single Supervisory Mechanism (SSM). The first chapter starts with the historical background of the European financial supervision and proceeds to the recent global Great recession which motivated the reforms that led to the current state of the supervisory structure. The operation of the ESFS and SSM is thoroughly explained in chapters two and three respectively, moreover I cover their interaction with national supervisory authorities and special emphasis is put on the role of the Czech National Bank. Several controversial issues are also reflected in the course of the thesis, ie. rather regulatory than supervisory role of the European supervisory authorities which contradicts the initially declared intentions, their low operability or quite illusory legislative demand of extensive independence of national representatives when they stand for their respective home authorities in the European institutions. The emphasis on the Czech Republic is evident from the sub-chapter regarding the potential entry into the close cooperation with the Single Supervisory...

Este trabalho faz uso de um modelo DSGE com fricções financeiras para analisar as consequências da existência de uma modalidade subsidiada de crédito para a recuperação da economia frente a choques. Os resultados indicam que o crédito subsidiado auxilia a mitigar os efeitos de choques que incidem especificamente sobre o mercado de crédito, como é o caso de choques financeiros ou de política macroprudencial. As respostas das principais variáveis da economia a esses choques se tornam menos intensas e duradouras. Para o caso de choque de política monetária, entretanto, a presença do crédito subsidiado não altera de forma significativa as respostas de variáveis reais, como consumo e investimento. / This paper uses a DSGE model with financial frictions to analyze the consequences of the existence of a subsidized credit line for the recovery of the economy against shocks. The results indicate that the subsidized credit helps to mitigate the effects of shocks that are specifically related to the credit market, as in the case of financial shocks or macroprudential policy shocks. The responses of the main variables of the economy to these shocks become shorter and less intense. In the case of monetary policy shock, however, the presence of subsidized credit does not change significantly the responses of real variables, such as consumption and investment.

Cette thèse se compose de trois articles qui s’insèrent dans une même problématique sur les interrelations entre les secteurs financier et réel en Corée du sud. Notre analyse empirique a vérifié le bon fonctionnement de certains composants du mécanisme de transmission entre les secteurs financier et réel. Tout d'abord, nous avons constaté que le canal du crédit bancaire a fonctionné comme l'un des canaux de transmission de la politique monétaire (Chapitre1). Ensuite, nous avons vérifié empiriquement que la capitalisation des banques est un facteur important dans la transmission des chocs de politique monétaire (Chapitre2). Enfin, notre analyse sur l’interaction entre le prix de l’immobilier et le crédit bancaire a montré qu’il existait une relation à long terme entre les prix de l'immobilier et les prêts bancaires (Chapitre 3). Comme vérifié empiriquement dans notre analyse, le secteur financier et le secteur réel sont étroitement liés par le choc financier ou réel. Les résultats mettent en valeur les points suivants vis-à-vis des politiques monétaires et de supervision. Premièrement, il est important que la politique monétaire prenne en compte la régulation du capital et son effet sur l’économie. Deuxièmement, en prenant en compte le fait que le prêt hypothécaire est très étroitement lié à la conjoncture économique en Corée, l’instrument de la politique macroprudentielle pour réduire la procyclicité est nécessaire. La banque centrale et l’autorité prudentielle peuvent collaborer à développer ces instruments. / This thesis consists of three Articles that fit into the same issue on the interrelationships between the financial and real sectors in South Korea. Our empirical analysis has verified the correct functioning of certain components of the transmission mechanism between the financial and real sectors. Firstly, we found that the bank lending channel has functioned as one of the transmission channels of monetary policy (Chapter 1). Then, we verified empirically that the capitalization of banks is an important factor in the transmission of monetary policy shocks (Chapter 2). Finally, our analysis of the interaction between property prices and bank lending has shown that there is a long-term relationship between property prices and bank lending (Chapter 3). As empirically verified in our analysis, the financial sector and the real sector are closely linked through shocks, either financial or real. The results highlight the following points vis-à-vis the monetary policy and macroprudential policy. First, it is important that monetary policy takes into account the capital regulation and its effect on the economy. Second, taking into account the fact that the mortgage is very closely linked to the economic situation in Korea, macroprudential policy instruments is required to reduce procyclicality. The central bank and the supervisory authority can collaborate to develop these instruments.

This thesis analyzes spillover effects of prudential policies on cross-border capital flows in the period from 2000 until 2014 for 64 countries. It estimates the size of the effect, which 9 most common prudential policy tools had on capital flows based on BIS LBS. The findings show spillover effect of general capital requirements and consumer credit capital requirements on the cross-border capital flows. This work provides analysis of spillover effects in several groups of countries with special accent on CEE countries. JEL Classification F32, F34, G21 Keywords Macroprudential policies; Prudential and supervisory measures; Cross-border banking flows; Leakages; Regulatory arbitrage; CEE Author's e-mail ilyshar@gmail.com Supervisor's e-mail adam.gersl@gmail.com

L'étude vise principalement à analyser l'origine de la crise financière globale de 2007 (2007 GFC) au États-Unis et dans les autres économies avancées (AE), ses impacts macroéconomiques sur les économies (de marché) émergentes (EME) ainsi qu'un examen critique de leurs réponses en termes de politique économique. L'étude met en évidence les défis en matière de régulation post crise et discute des implications des réformes qui ont été récemment introduites dans les EME. A cette fin, la thèse se décline en quatre chapitres. Le premier chapitre établit le contexte théorique de la thèse et présente un exposé critique des approches orthodoxe (dominante/néolibérale) et hétérodoxe concernant la fragilité financière et la crise. Après avoir examiné l'approche orthodoxe, on met en évidence le mérite et la pertinence du cadre d'analyse de Minsky connu en tant que « Hypothèses d'instabilité financières » (FIH), afin de comprendre la question de la fragilité dans les économies de marché. Dans le deuxième chapitre, la thèse propose un compte rendu exhaustif des explications et des conséquences de la crise de 2007 en mettant l'accent sur ses prémisses qui se trouvent sur le marché immobilier américain. On met également en évidence les principaux dysfonctionnements du marché financier et du système de régulation qui se trouvent à l'origine de la crise. Le troisième chapitre présente une analyse approfondie du processus de transmission de la crise de 2007 aux EME. Par la suite, on met en évidence les réactions en matière de politique économique (monétaire) de certaines EME sous forme d'étude comparative. Le quatrième chapitre analyse les diverses réformes de régulation financière introduites après la crise. L'examen indique que ces réformes (la loi Dodd Franck Act de 2011 et les nouveaux standards Bâle III) sont d'inspiration néolibérale et qu'elles ne peuvent pas résoudre le problème de fragilité et de crise financière. Sur la base de notre analyse développée au travers de ces quatre chapitres on met en évidence deux principaux résultats. Premièrement, les marchés financiers ne devraient pas être laissés aux vicissitudes des marchés (libres). Il faudrait mettre en place un cadre de régulation pertinent assorti des principes macroprudentiels qui puissent remplacer l'approche dominante de marchés libres efficients. Les orientations de politique et d'analyse de « gouvernement puissant » et de « banque centrale puissante », assumées par l'économiste hétérodoxe Hyman Minsky, semblent appropriées pour comprendre et contenir la fragilité des économies de marché. Ensuite, il est recommandable pour les EME d'adopter des politiques cohérentes avec leurs propres caractéristiques macroéconomiques et avec leur niveau de développement financier et non de s'attacher à une croyance aveugle dans la libéralisation du marché ou dans le paradigme néolibéral. / This study mainly aims to investigate the origin of the global financial crisis of 2007 (2007 GFC) in United States and in other advanced economies(AEs),its macroeconomic impact on the Emerging Market Economies(EMEs) and the critical analysis of their policy response. Study highlights the regulatory challenges of the post-crisis period and discusses the implications of newly introduced regulatory reforms for the EMEs.In this aim the thesis is delineated into four chapters. First chapter of the thesis sets the theoretical context of the dissertation and presents a critical review of orthodox (mainstream/neoliberal) and the heterodox approaches on financial fragility and crisis. After giving a critique of the orthodox approach, merits and relevance of Minsky's framework known as “Financial Instability Hypothesis”(FIH) are emphasized to understand the issue of fragility in capitalist economies. Second chapter of the thesis provides a compelling compendium of various explanations and consequences of the 2007 GFC focusing on its origination in the US housing market. Main dysfunctions of the financial markets and the regulatory system that led to the eruption of financial crisis are highlighted. Third chapter presents an in-depth analysis of the contagion of the 2007 GFC to EMEs. A comparative case studies analysis highlights the policy response of selected EMEs. Fourth chapter of the thesis investigates the various financial regulatory reforms introduced in the aftermath of the 2007 GFC. Analysis in this chapter indicates that introduced reforms (The Dodd- Franck Act of 2011 and the new Basel III Banking Standards) are rooted in neoliberal philosophy so would be unable to solve the issues of fragility and financial crisis. On the basis of our analysis in these four chapters, two major conclusions are emphasized. Firstly, the financial markets should not be left to the vicissitudes of free markets, and a relevant regulatory framework having macroprudential orientations must be implemented to replace the dominant free-market-based approach. Analytical and policy insights (“big government” and “big central bank”) endorsed by heterodox economist Hyman Minsky seem appropriate to understand and constrain the fragility of capitalist market economies. Secondly, it is advisable for EMEs to adopt policies keeping in view their own macroeconomic characteristics and the level of financial development and not by the blind faith in market liberalisation or the neoliberal policy paradigm.

Les pratiques des banques centrales se sont graduellement ajustées, depuis les années 90, aux principes fondamentaux de la Nouvelle synthèse, et ont convergé vers une normalisation qui a fait ses preuves. D'une part, cette normalisation se fonde sur la doctrine de stabilité des prix, déployée sous la forme du système de ciblage d'inflation. D'autre part, elle s'accompagne de pratiques afin de renforcer la crédibilité et la transparence. De plus, la représentation DSGE de l'économie adoptée par la Nouvelle synthèse, et du fait de sa cohérence théorique, s'est aussi imposée comme un cadre analytique central de politique monétaire, particulièrement adapté pour des analyses de scenarii et pour générer des prévisions de variables d'intérêt. En parallèle, les banques centrales ont tenté de favoriser un environnement financier stable, à travers leur rôle de prêteur en dernier ressort. Et grâce au principe d'efficience des marchés, l'utilisation de la politique monétaire face aux bulles spéculatives a été déconseillée. Cependant, la dimension de stabilité financière a souffert d'une absence de définition consensuelle, conduisant à une multiplication des méthodologies pour la quantification des risques, la prévention des crises et l'évaluation du système financier. La crise de 2007 a remis en cause ce consensus naissant. Tout d'abord, l'apparition de perturbations financières dans un environnement de stabilité des prix a semblé invalider les principes théoriques de la politique monétaire. Ensuite, l'adoption d'une série de mesures dites non conventionnelles, suite à l'atteinte du taux plancher zéro, a montré l'insuffisance des instruments usuels de politique monétaire pour contrer la crise et favoriser une reprise durable. Enfin, le traitement résiduel réservé à la sphère financière, dans le modèle canonique NK n'a pas permis d'appréhender les régularités du cycle d'affaires, les vulnérabilités financières, le manque de liquidité ou la procyclicité des systèmes financiers. Les critiques adressées à la Nouvelle synthèse ont principalement porté sur des hypothèses spécifiques, et non pas sur le cadre lui-même. Par conséquent, la pertinence du cadre NK semble toujours de mise, du fait de son caractère unique d'absorption de théories au départ fort variées. Ainsi, l'introduction de la possibilité de défaut et de la monnaie a permis la modélisation d'un secteur bancaire actif, afin de comprendre les altérations du mécanisme de transmission des chocs et de considérer l'existence de taux d'intérêts multiples. De même, le rôle du marché interbancaire a été abordé pour étudier le manque de confiance, l'assèchement des liquidités et l'impact du marché sur le financement de l'économie. Enfin, les multiples dimensions des politiques monétaires non conventionnelles ont été intégrées, en vue d'examiner leur efficacité et d'identifier les mécanismes de transmission. Toutefois, il n'existe pas de représentation microéconomiquement fondée, suffisamment générale pour capter, de manière logique et parcimonieuse, la majorité des spécificités associées à la sphère financière. La crise a également permis de dégager des enseignements concernant le secteur financier, en ce qui concerne son rôle en termes d'accentuation des non-linéarités de la dynamique économique, sur les répercussions négatives du taux plancher zéro et, enfin, sur la remise en cause de l'hypothèse de Schwartz. En mettant en évidence les liens entre la politique monétaire et la politiques macroprudentielle, la crise a donc invalidé le principe de dichotomie adopté jusque-là. Ces nouvelles orientations ne sont cependant pas totalement claires. En effet, la gestion de la sortie de la crise économique, et l'impact des plans d'austérité, laissent apparaitre de nouveaux défis : un risque de stagnation similaire à celui qui a touché le Japon ; le retour aux pratiques de transformation des échéances à fort effet de levier; et le flou entourant les stratégies de sortie des banques centrales. / Central banks practices have gradually adjusted, since the 90s, to the fundamental principles of the New synthesis, and converged towards a normalization that has proved its worth. On one hand, this normalization is based on the doctrine of price stability, under the form of an inflation targeting system. On the other hand, it is supplemented with practices intended to enhance credibility and transparency. In addition, and because of its theoretical coherence, the DSGE representation of the economy adopted by the New Synthesis also emerged as a central analytical framework for monetary policy, particularly suitable for scenario analyzes and for generating forecasts of variables of interest. At the same time, central banks have tried to promote a stable financial environment, through their role as lender of last resort. And thanks to the principle of market efficiency, the use of monetary policy in the face of speculative bubbles has been limited. However, the concept of financial stability has been lacking a consensual definition, leading to a proliferation of methodologies for quantifying risk, preventing crisis and evaluating the financial system. The 2007 crisis has challenged this emerging consensus. First, the onset of the financial turmoil, in an environment of price stability, seemed to invalidate the theoretical principles of monetary policy. Then, the adoption of a series of so-called unconventional monetary policy measures, upon reaching the zero lower bound, exposed the inadequacy of conventional monetary policy instruments, in order to counter the crisis and encourage a sustainable recovery. Finally, the residual treatment of the financial sector in the canonical NK model failed to capture the regularities of the business cycle, the financial vulnerability, the lack of liquidity and the procyclicality of financial systems. Critics of the New synthesis focused on specific assumptions, rather than on the framework itself. Therefore, the relevance of the NK framework still seems appropriate, because of its unique capability of absorbing various theories which may initially seem irreconcilable. Thanks to the introduction of money and the possibility of default, the modeling of an active banking sector helped understand the changes in the shocks transmission mechanism, and enabled the introduction of multiple interest rates. Similarly, the interbank market role has been addressed in order to investigate the erosion of confidence, the drying up of liquidity and the impact on the financing of the economy. Finally, the multiple dimensions of unconventional monetary policies have been incorporated in order to assess their effectiveness, and to identify the transmission mechanisms. However, there is no microeconomically based representation general enough to capture, in a logic and parsimonious way, the majority of the financial characteristics. The crisis has also helped to draw lessons about the financial sector, with regards to its role in terms of increased economic non-linearities, the negative impact of the zero lower bound, and the questioning of the Schwartz hypothesis. By highlighting the links between monetary and macroprudential policies, the crisis has then invalidated the dichotomy principle adopted until now. These new guidelines are, however, not entirely clear. Indeed, the economic recovery management and the impact of austerity measures create new challenges: a stagnation risk similar to the one that hit Japan; a return to highly leveraged maturity transformation practices; and blurry central banks exit strategies.

Este trabalho faz uso de um modelo DSGE com fricções financeiras para analisar as consequências da existência de uma modalidade subsidiada de crédito para a recuperação da economia frente a choques. Os resultados indicam que o crédito subsidiado auxilia a mitigar os efeitos de choques que incidem especificamente sobre o mercado de crédito, como é o caso de choques financeiros ou de política macroprudencial. As respostas das principais variáveis da economia a esses choques se tornam menos intensas e duradouras. Para o caso de choque de política monetária, entretanto, a presença do crédito subsidiado não altera de forma significativa as respostas de variáveis reais, como consumo e investimento. / This paper uses a DSGE model with financial frictions to analyze the consequences of the existence of a subsidized credit line for the recovery of the economy against shocks. The results indicate that the subsidized credit helps to mitigate the effects of shocks that are specifically related to the credit market, as in the case of financial shocks or macroprudential policy shocks. The responses of the main variables of the economy to these shocks become shorter and less intense. In the case of monetary policy shock, however, the presence of subsidized credit does not change significantly the responses of real variables, such as consumption and investment.

Submitted by Mauricio Barbosa Alves (mauricio.alves.b@gmail.com) on 2018-06-14T15:35:01Z No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-06-14T15:46:59Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-06-15T18:00:51Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Made available in DSpace on 2018-06-15T18:00:51Z (GMT). No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) Previous issue date: 2018-05-29 / We study the long-run impact of the adoption of macroprudential tools. We derive a dynamic general equilibrium model featuring endogenous TFP change and allowing banks to choose their balance sheet structure endogenously. Banks choose vulnerable balance sheet structure depending on perceptions about fundamental risk. The design of prudential tools matters because it changes the riskiness of assets in a particular way, possibly increasing banking ability to fund projects. This introduces a novel channel to explain economic growth: risk mitigation.We then use the model to show numerically that there is a non-linear relationship between long-run growth and macroprudential policy intensity for several prudential rules considered in the related literature. We derive a welfare function and show that a welfare-maximizing regulator faces a growth-risk trade-off: welfare is maximized when growth is below its maximum value for each policy design we consider. / Estudamos os impactos de longo prazo da adoção de ferramentas macroprudenciais. Derivamos um modelo de equilíbrio geral dinamico no qual há mudança endógena da PTF e permitindo que os bancos escolham sua estrutura de balanço endogenamente. Os bancos escolhem uma estrutura de balanço vulnerável dependendo das percepções sobre risco fundamental. O desenho de ferramentas prudenciais é importante porque altera o grau de risco dos ativos de uma determinada maneira, possivelmente aumentando a capacidade bancária de financiar projetos. Isso introduz um novo canal para explicar o crescimento econômico: a mitigação de riscos. Em seguida, usamos o modelo para mostrar numericamente que existe uma relação não linear entre o crescimento de longo prazo e a intensidade da política macroprudencial para várias regras prudenciais consideradas na literatura relacionada. Obtemos uma função de bem-estar e mostramos que um regulador que maximiza o bem-estar enfrenta um tradeoff de risco de crescimento: o bem-estar é maximizado quando o crescimento está abaixo de seu valor máximo para cada desenho de política que consideramos.