71 |
Essays in macro finance and monetary economicsSomé, Modeste Yirbèhogré 01 1900 (has links)
Les questions abordées dans les deux premiers articles de ma thèse cherchent à comprendre les facteurs économiques qui affectent la structure à terme des taux d'intérêt et la prime de risque. Je construis des modèles non linéaires d'équilibre général en y intégrant des obligations de différentes échéances. Spécifiquement, le premier article a pour objectif de comprendre la relation entre les facteurs macroéconomiques et le niveau de prime de risque dans un cadre Néo-keynésien d'équilibre général avec incertitude. L'incertitude dans le modèle provient de trois sources : les chocs de productivité, les chocs monétaires et les chocs de préférences. Le modèle comporte deux types de rigidités réelles à savoir la formation des habitudes dans les préférences et les coûts d'ajustement du stock de capital. Le modèle est résolu par la méthode des perturbations à l'ordre deux et calibré à l'économie américaine. Puisque la prime de risque est par nature une compensation pour le risque, l'approximation d'ordre deux implique que la prime de risque est une combinaison linéaire des volatilités des trois chocs. Les résultats montrent qu'avec les paramètres calibrés, les chocs réels (productivité et préférences) jouent un rôle plus important dans la détermination du niveau de la prime de risque relativement aux chocs monétaires. Je montre que contrairement aux travaux précédents (dans lesquels le capital de production est fixe), l'effet du paramètre de la formation des habitudes sur la prime de risque dépend du degré des coûts d'ajustement du capital. Lorsque les coûts d'ajustement du capital sont élevés au point que le stock de capital est fixe à l'équilibre, une augmentation du paramètre de formation des habitudes entraine une augmentation de la prime de risque. Par contre, lorsque les agents peuvent librement ajuster le stock de capital sans coûts, l'effet du paramètre de la formation des habitudes sur la prime de risque est négligeable. Ce résultat s'explique par le fait que lorsque le stock de capital peut être ajusté sans coûts, cela ouvre un canal additionnel de lissage de consommation pour les agents. Par conséquent, l'effet de la formation des habitudes sur la prime de risque est amoindri. En outre, les résultats montrent que la façon dont la banque centrale conduit sa politique monétaire a un effet sur la prime de risque. Plus la banque centrale est agressive vis-à-vis de l'inflation, plus la prime de risque diminue et vice versa. Cela est due au fait que lorsque la banque centrale combat l'inflation cela entraine une baisse de la variance de l'inflation. Par suite, la prime de risque due au risque d'inflation diminue.
Dans le deuxième article, je fais une extension du premier article en utilisant des préférences récursives de type Epstein -- Zin et en permettant aux volatilités conditionnelles des chocs de varier avec le temps. L'emploi de ce cadre est motivé par deux raisons. D'abord des études récentes (Doh, 2010, Rudebusch and Swanson, 2012) ont montré que ces préférences sont appropriées pour l'analyse du prix des actifs dans les modèles d'équilibre général. Ensuite, l'hétéroscedasticité est une caractéristique courante des données économiques et financières. Cela implique que contrairement au premier article, l'incertitude varie dans le temps. Le cadre dans cet article est donc plus général et plus réaliste que celui du premier article. L'objectif principal de cet article est d'examiner l'impact des chocs de volatilités conditionnelles sur le niveau et la dynamique des taux d'intérêt et de la prime de risque. Puisque la prime de risque est constante a l'approximation d'ordre deux, le modèle est résolu par la méthode des perturbations avec une approximation d'ordre trois. Ainsi on obtient une prime de risque qui varie dans le temps. L'avantage d'introduire des chocs de volatilités conditionnelles est que cela induit des variables d'état supplémentaires qui apportent une contribution additionnelle à la dynamique de la prime de risque. Je montre que l'approximation d'ordre trois implique que les primes de risque ont une représentation de type ARCH-M (Autoregressive Conditional Heteroscedasticty in Mean) comme celui introduit par Engle, Lilien et Robins (1987). La différence est que dans ce modèle les paramètres sont structurels et les volatilités sont des volatilités conditionnelles de chocs économiques et non celles des variables elles-mêmes. J'estime les paramètres du modèle par la méthode des moments simulés (SMM) en utilisant des données de l'économie américaine. Les résultats de l'estimation montrent qu'il y a une évidence de volatilité stochastique dans les trois chocs. De plus, la contribution des volatilités conditionnelles des chocs au niveau et à la dynamique de la prime de risque est significative. En particulier, les effets des volatilités conditionnelles des chocs de productivité et de préférences sont significatifs. La volatilité conditionnelle du choc de productivité contribue positivement aux moyennes et aux écart-types des primes de risque. Ces contributions varient avec la maturité des bonds. La volatilité conditionnelle du choc de préférences quant à elle contribue négativement aux moyennes et positivement aux variances des primes de risque. Quant au choc de volatilité de la politique monétaire, son impact sur les primes de risque est négligeable.
Le troisième article (coécrit avec Eric Schaling, Alain Kabundi, révisé et resoumis au journal of Economic Modelling) traite de l'hétérogénéité dans la formation des attentes d'inflation de divers groupes économiques et de leur impact sur la politique monétaire en Afrique du sud. La question principale est d'examiner si différents groupes d'agents économiques forment leurs attentes d'inflation de la même façon et s'ils perçoivent de la même façon la politique monétaire de la banque centrale (South African Reserve Bank). Ainsi on spécifie un modèle de prédiction d'inflation qui nous permet de tester l'arrimage des attentes d'inflation à la bande d'inflation cible (3% - 6%) de la banque centrale. Les données utilisées sont des données d'enquête réalisée par la banque centrale auprès de trois groupes d'agents : les analystes financiers, les firmes et les syndicats. On exploite donc la structure de panel des données pour tester l'hétérogénéité dans les attentes d'inflation et déduire leur perception de la politique monétaire. Les résultats montrent qu'il y a évidence d'hétérogénéité dans la manière dont les différents groupes forment leurs attentes. Les attentes des analystes financiers sont arrimées à la bande d'inflation cible alors que celles des firmes et des syndicats ne sont pas arrimées. En effet, les firmes et les syndicats accordent un poids significatif à l'inflation retardée d'une période et leurs prédictions varient avec l'inflation réalisée (retardée). Ce qui dénote un manque de crédibilité parfaite de la banque centrale au vu de ces agents. / This thesis consists of three essays in the areas of macro finance and monetary economics. The first two essays deal with the analysis of the term structure of interest rates in dynamic and stochastic general equilibrium (DSGE) models. The third essay explores inflation expectations formation across different economic groups in South Africa.
Interest rates are one channel through which monetary policy affects the real economy. Typically, central banks implement monetary policy by influencing short term interest rates. Theoretically, the interest rate on a long-term bond is the average of expected future short term interest rates over the maturity period, plus a risk premium demanded by the holder of the bond to compensate for the risk involved in holding a longer maturity bond. Therefore, any changes in the target rate of the central bank and the risk premium affect long -- term interest rates, such as mortgage rates and interest rates on certain durable goods. It is then important for the central bank to understand the economic factors that affect both components of long - term interest namely the market expectations about the short - term rates and the risk premium. For example, recently in the U.S. economy, between June 2004 and June 2006, the ineffectiveness of monetary policy to affect long - term interest rates has been attributed to a decline in risk premium over this period, which has offset the effect of the increase in the target rate of the Federal Reserve (Fed). In the implementation of its monetary policy, the central bank can more or less control agents' expectations through transparent communication. However, the risk premium is endogenous and unobservable and therefore can not be fully controlled by the central bank. On the other hand, achieving the goal of prices stability in an inflation targeting framework depends on the credibility of the central bank.
In the first two essays I explore the economic factors of the term structure of interest rates and risk premiums. I build a non-linear dynamic stochastic general equilibrium (DSGE) models whereby I incorporate a range of bonds with different maturities. Specifically, the goal of the first essay is to understand the relationship between macroeconomic factors and the level of risk premium in a New Keynesian general equilibrium framework. Uncertainty in the model comes from three sources: productivity, monetary policy and, preferences shocks. The model has two types of real rigidities namely habit formation in preferences and adjustment costs in capital stock. The model is solved by perturbation method up to second order and calibrated to the U.S. economy. Since the risk premium is by nature a compensation for risk, the second - order approximation implies that the risk premium is a linear combination of the volatility of the three shocks. Results show that at the calibrated parameters, real shocks (productivity and preferences) play a more important role in determining the level of the risk premium relative to monetary shocks. I show that, contrary to previous work (where production capital is fixed), the effect of habit formation on the risk premium depends on the degree of capital adjustment cost. When capital adjustment costs are so high that the capital stock is fixed in equilibrium, an increase in the parameter of habit formation leads to an increase in the risk premium. However, when agents can freely adjust the capital stock without cost, the effect of the habit formation parameter on the risk premium is negligible. This result is explained by the fact that when the capital stock can be adjusted without cost, it opens an additional channel to the agents for consumption smoothing. Therefore, the effect of habit formation on the risk premium is reduced. In addition, the results show that the way the central bank conducts its monetary policy has an effect on the risk premium. The more aggressive the central bank vis-à-vis inflation, the lower the risk premium and vice versa. This is due to the fact that when the central bank fights against inflation it leads to a decrease in the variance of inflation. As a result, the risk premium due to inflation risk decreases.
In the second essay, I extend the analysis of the first essay by using recursive preferences (as those proposed by Epstein - Zin) and by allowing the conditional volatility of the shocks to be time - varying. The use of this framework is motivated by two reasons. First, recent studies (Doh, 2010, Rudebusch and Swanson, 2012) showed that these preferences are appropriate for the analysis of asset prices in general equilibrium models. Second, heteroscedasticity is a prominent feature of economic and financial data. This implies that, contrary to the first essay, the uncertainty here is time - varying. Thus, the framework in this essay is more general and realistic than in the first essay. The main objective of this paper is to examine the impact of uncertainty due to conditional volatility of the shocks on the level and the dynamics of interest rates and risk premiums. Since the risk premium is constant at second order approximation, the model is solved by the perturbation method with an approximation of order three in order to get a time - varying risk premium. The advantage of introducing shocks conditional volatilities is that , it induces additional state variables that provide an additional contribution to the dynamics of the risk premium. I show that the risk premiums implied by the third -- order approximate solution have an ARCH-M (Autoregressive Conditional Heteroscedasticty in Mean) type representation as that introduced by Engle, Lilien and Robins (1987). The difference is that in this model the parameters are structural and the volatilities are conditional volatility of economic shocks and not those of the variables themselves. I estimate the model parameters by Simulated Method of Moments (SMM) using U.S. data. The estimation results show that there is evidence of stochastic volatility in the three shocks. Moreover, the contribution of conditional shocks volatility to the level and the dynamics of the risk premium is significant. In particular, the effects of the conditional volatility of productivity and preferences shocks are important. The conditional volatility of the productivity shock contributes positively to the means and standard deviations of risk premiums. These contributions vary with the maturity of the bonds. Conditional volatility of the preferences shock contributes negatively to the averages and positively to the variances of risk premiums. As for the impact of volatility of monetary policy shock, its impact on the risk premium is negligible.
The third article (coauthored with Eric Schaling and Alain Kabundi, revised and resubmitted to the journal of Economic Modelling) deals with heterogeneity in inflation expectations of different economic agents and its impact on monetary policy in South Africa. The main question is to examine whether different groups of economic agents form their inflation expectations in the same way and if they perceive the central bank (South African Reserve Bank) monetary policy in the say way. We specify an inflation expectation model that allows us to directly test whether inflation expectations are anchored or not to the inflation target band (3% - 6%). The data used are inflation expectations data from surveys conducted by the central bank. There are three groups of agents: financial analysts, businesses and trade unions. We therefore exploits the panel structure of the data to test the heterogeneity in inflation expectations and derive their perceived inflation targets. Results show that there is evidence of heterogeneity in the way the three groups form their expectations. The expectations of financial analysts are well anchored to the central bank target band while those of businesses and trade unions are not. In fact, businesses and trade unions put a higher weight on lagged realized inflation in their expectations. This Indicates a lack of full credibility of the central bank.
|
72 |
O vztahu mezi spotovou a forwardovou cenou elektřiny: Komparativní analýza efektivnosti německého a maďarského trhu / On the Link between Spot and Forward Power Prices: A Comparative Analysis of German and Hungarian Power Market EfficiencyHarnych, Pavel January 2015 (has links)
This thesis examines the impact of shocks in spot prices on long-term forward contracts in power markets. A unique comparison of efficiency of German and Hungarian power markets is provided. The risk premium on week-ahead forward contract is scrutinized by both data inspection and by unbiased forward rate hypothesis (UFRH) testing. Additionally, the ex-post market's prediction error for this product is explained by main drivers of spot electricity price, which are presented in section devoted to introduction to power markets. Expectedly, Hungarian forwards with longer time-to-delivery are found to react heavily on spot market shocks after controlling for changes in short-run marginal costs of conventional power plants. Such outcome applies both to intra-day and weekly time horizons. However, this evidence was not found for German market. These results point out to immaturity and the presence of inefficiencies in Hungarian power market. However, Hungarian risk premia on week-ahead and day-ahead forward products turn out to be considerably lower than for Germany. This was confirmed by UFRH tests on week-ahead forward contracts, where a significant risk premium was found in Germany as opposed to Hungarian risk premium. This finding is surprising since Hungarian spot prices are more prone to upward...
|
73 |
臺灣上櫃股票市場系統流動性風險訂價之實證探討 / The pricing of systematic liquidity risk on Taiwan OTC stock market沈士堯 Unknown Date (has links)
本文以1997年6月至2016年7月臺灣上櫃股票市場做為研究樣本,透過建立一Bivariate Diagonal BEKK GARCH (1,1)-in-mean模型,並以大盤週轉率形成之總合流動性指標與大盤超額報酬率之共變異數做為系統流動性風險之衡量指標,觀察系統流動性風險在臺灣上櫃股票市場是否有被訂價。結論除發現系統流動性風險有確實被訂價外,系統流動性風險溢價還兼具穩定性,且對市場超額報酬率有顯著的影響力。 / By constructing a bivariate diagonal BEKK Garch (1,1)-in-mean model and using the covariance between the excess market return and turnover rate as aggregate systematic liquidity proxy, the study tries to examine whether systematic liquidity risk was priced on Taiwan OTC stock market during the period of June 1997-July 2016. Based on monthly data, the findings suggest that not only the systematic liquidity risk was well priced on Taiwan OTC stock market, but the phenomenon also possessed stability and could have significant impact on stock returns.
|
74 |
Testování Fed modelu / Fed Model TestingHříbalová, Pavlína January 2010 (has links)
Diploma Thesis focuses on Fed Model testing and its credibility on market data. The research is based on Gordon Model and Capital Asset Pricing Model (CAPM), it explains, what the basic features of the Fed Model are and describes its derivation from Gordon Model. The Thesis shows possible Fed Model limitation. It uses the US market, Great Britain and Germany 1979 -- 2011 data to demonstrate validity of the model. Eventually possible reasons of Fed Model development in period 2002 -- 2011 are presented.
|
75 |
[en] RISK PREMIUM EVIDENCES IN THE BRAZILIAN FOREIGN EXCHANGE MARKET / [pt] EVIDÊNCIAS DO PRÊMIO DE RISCO NO MERCADO DE CÂMBIO BRASILEIROMARCELO BITTENCOURT COELHO DOS SANTOS 22 August 2013 (has links)
[pt] Esta dissertação tem como objetivo buscar evidências de prêmio de risco a partir do mercado de opções e de futuro de dólar no Brasil. Para isso dois ensaios foram realizados: um que mede o prêmio de risco por volatilidade no mercado de opções e outro que mede o prêmio de risco cambial no mercado futuro. No primeiro caso, o prêmio é estimado como o excesso de retorno de um portfolio protegido. No segundo caso, o prêmio é estimado com base na Teoria da Paridade de Juros ajustada a risco pelo modelo CGARCH-M. Verificou-se evidências de forward bias puzzle e de prêmio de risco por volatilidade e cambial ambos negativos e variantes no tempo. O primeiro é responsável por aumento nos preços das opções de moeda enquanto o segundo é consistente com a teoria de média-variância, ou seja, o investidor avesso ao risco requer mais retorno com o aumento do risco. Além disso, choques não antecipados possuem influência na determinação do componente de longo prazo da volatilidade do prêmio de risco cambial. Em momentos de incerteza global no mercado e aumento nas restrições de liquidez a volatilidade de curto prazo se eleva. Entretanto somente com o prêmio de risco não é possível explicar os preços viesados. Portanto, são necessários estudos futuros que envolvam tanto custo de transação, quanto o desenvolvimento de modelo econômico mais tratável para determinação da taxa de câmbio. / [en] This work aims to seek evidence of risk premium in the option and future foreign exchange markets of dollar in Brazil. For that we used two essays: one that measures the premium for volatility risk in the option market and other which measures the currency risk premium in the future market. In the first case, the premium is estimated as excess return of hedge portfolio. In the second case, the premium is estimated based on risk-adjusted Interest Rate Parity Theory from a CGARCH-M model. There was evidence of forward bias puzzle and premium for volatility and for currency risk both negative and time-varying. The first is responsible for increasing currency option price, while the second is consistent with the mean-variance theory, so risk averse investors required more return when they face higher risk. In addition, unanticipated shocks have an influence in determining the long-term volatility component of currency risk premium. In times of global market uncertainty and increasing liquidity constraints the short-term volatility raises. But only the risk premium can not explain the price biased. So transaction cost and a more effective economic model must be including in futher studies about exchange rate discovering.
|
76 |
[en] ANALYSIS AND VALUATION OF THE EQUITY RISK PREMIUM IN THE BRAZILIAN AND US STOCK MARKETS / [pt] ANÁLISE E AVALIAÇÃO DO PRÊMIO DE RISCO NOS MERCADOS ACIONÁRIOS BRASILEIRO E AMERICANOLUCIANO SNEL CORREA 11 March 2003 (has links)
[pt] O Prêmio de Risco do mercado acionário, infelizmente, não
possui uma definição universalmente aceita. O material já
publicado sobre o tema Prêmio de Risco do mercado acionário
é muito vasto e abrangente, abordando desde análises ex-
post sobre dados históricos (com diversos períodos
amostrais, intervalos de observação, fatores de ajuste e em
diversos países) até estimativas do prêmio ex-ante através
dos mais variados modelos baseados em variáveis tais como
aversão a risco, crescimento do consumo, dados contábeis e
dividend yield, entre outros. O objetivo desta dissertação
será analisarmos uma condensação das várias abordagens
utilizadas, seus resultados e contribuições. Frente as
significativas diferenças encontradas ao se computar o
prêmio de risco, é fundamental o usuário da estimativa do
prêmio de risco saber claramente qual a definição usada na
estimativa e por que tal definição seria apropriada para
seu propósito particular. No final dessa dissertação
realizaremos uma estimativa do prêmio de risco no Brasil
com base em um estudo de 1993 realizado pela
McKinsey e Company, Inc. / [en] Unfortunately, there is no universally accepted definition
of the Equity Risk Premium. Available material on the theme
are very broad and deep, ranging from ex-post analysis on
historical data -with distinct samples in different time
periods- to ex-ante estimates of the equity premium making
use of several models based in variables such as risk
aversion, consumption growth, accounting data and dividend
yield, among others. The objective of this paper will be to
analyze a compilation of several approaches taken, their
results and contributions. In face of the significant
differences presented when computing the equity premium, it
is key for the investor who will make use of the equity
premium estimate to know clearly which definition of the
premium he will be using and why is that definition
appropriate for his particular purpose. In the final
chapter we will estimate the equity risk premium in Brazil
based on a study developed in 1993 by McKinsey and Company, Inc.
|
77 |
Misskötta studielån : Hur mycket förväntas de kosta? / Defaulted student loans : What to expect?Peco, Amina January 2016 (has links)
När propositionen för ett reformerat studiestödssystem lades 1999 poängterades det att studiestödssystemet skulle bära sina egna kostnader. Trots det skrivs stora belopp av. Både Riksrevisionen och Riksgälden har visat att CSN inte använder vedertagna metoder vid beräkningen av det som förväntas gå förlorat på grund av misskötta betalningar. Uppsatsens syfte har varit att skatta vad misskötta betalningar väntas kosta staten i form av framtida avskrivningar samt beräkna vad det skulle innebära för individen att istället bära kostnaden. Som en del i det arbetet har även faktorer som påverkar sannolikheten för misskötta betalningar av studielån identifierats. Resultaten av denna uppsats har bland annat visat att sannolikheten för misskötta betalningar är lägre för individer med eftergymnasial utbildning, hög skuld och låg ålder. Statens kreditförluster på studielån för till exempel individer som blev återbetalningsskyldiga under 2012 förväntas bli mellan 100 och 338 miljoner kronor. Om denna kostnad istället skulle bäras av årskullen innebär det en kostnadsökning på 2,2-7,8 procent för en individ med genomsnittlig skuld.
|
78 |
不同景氣循環階段下信用暨時間風險貼水差異之實證研究-兼論動態避險策略之選取 / How does Business Indicators Explain Bond Credit and Term Premium?-And How does it contribute to the Selection of Immunization Strategies?陳啟運, Chen, Chii Yuhn Unknown Date (has links)
本研究兩個研究主題(1)在不同景氣變動狀態下,殖利率曲線變動與動態避險策略的選擇;(2)不同景氣循環下,債券風險貼水的變動情形。景氣領先指標是一簡單明確訊號,其對於債市參與者改善投資、避險決策之效度應是有趣課題。景氣變動程度不同時,殖利率曲線變動情形亦有所不同;投資人需視殖利率曲線變動情形,選擇不同動態避險策略。當景氣上升時,殖利率曲線短期利率波動幅度大於長期利率波動幅度,以Khang(1979)模式建構動態避險策略;景氣波動程度不大,長短期利率波動方向不一,以多因子模式建構動態避險策略;而當景氣大幅度下降,短期利率下降幅度小於長期利率下降幅度,建議以Bierwag(1977)模式建構動態避險策略。國內動態避險實證分析上,黃慶堂與王芳妮(民80)以Macaulay(1938)、Bierwag(1979)、Khang(1979)與Chambers et al.(1988)模式作分析,Chambers et al.(1988)表現較傳統Macaulay(1938)模式優;史綱與丁子雲(民80)發現以Macaulay1938)模式建構動態避險策略,與長期持有公債收益率無顯著差異。所以Macaulay(1938)模式無法應付國內債券市場的需求,機構投資人應該因應殖利率曲線隨景氣變動情形,選擇較佳動態避險策略規避風險。
隨著發行與交易規模的快速成長,以及景氣狀況遞移,我國債市各工具殖利率結構在未來勢必會改變,景氣狀況變化之可能影響,是本研究試圖勾勒的要項;市場結構改變,會造成未來殖利率曲線大幅變化。本文只是推介數種存續期間模式,並討論如何增加嚴謹度。
不同景氣循環下,時間風險貼水隨景氣繁榮而擴大,使得公債市場上多為附買回保證金交易形式,投資期長多為固定(附買回契約的期長),投資人所賺取的多為長短期利差;而景氣衰退時,利率相對較低,債券價格高漲,投資人所賺取的多為債券價差,投資期長較不一定;信用風險貼水則因台電公司債稀釋效果、流動性貼水的變動以及信用風險貼水看法不一,而無法確定其與景氣循環的關係;而交易成本貼水方面,證交稅及交易規範形成進入公司債市場的障礙,景氣衰退時,由股市釋出資金,大多進入公債市場,形成短期避險資金,所以當股市出現轉機時,資金轉入股票市場;所以當景氣衰退,公債與公司債殖利率的差距會擴大。本研究副產品是發現公司債稀釋效果顯著,一般公司債發行金額均為五千萬元左右,而台電在四次發行公司債時,金額在五億上下,當台電公司債增加發行量時,台電公司債整體價格下降,殖利率上升,使得一般公司債與台電債券間殖利率差距縮小。銀行擔保效果方面,雖然發行公司會考慮到本身市場評價,選擇公民營銀行作擔保機構,讓其公司債信用等級與其他公司債的信用等級一致,但是公營銀行擔保的公司債殖利率較無擔保公司債低,民營銀行擔保效果亦為統計顯著,而且公民營銀行擔保效果有顯著的差異。
|
79 |
風險貼水與技術交易報酬-台幣/美元之實証分析 / Risk premium and technical trading return-ntd/usd empirical study邱怡璇, Chiu, Yi Hsuan Unknown Date (has links)
本文主要針對台幣兌換美元的匯價,採用移動平均法則給定的交易訊號模擬交易,透過模擬交易得到顯著異於零的超額報酬,試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示:在傳統資本資產定價模型下,超額報酬無法透過承擔風險所獲得風險貼水來解釋,但加入金融危機事件的影響後,發現在金融危機期間,市場風險係數下降,異常報酬增加,表示在此期間,即使市場大盤表現不佳,技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢,使金融危機期間的技術交易報酬平均高於金融危機前後。
|
80 |
Anleiherating und Bonitätsrisiko / eine empirische Untersuchung der Renditespreads am deutschen MarktAubel, Peter van 26 January 2001 (has links) (PDF)
Die Arbeit ANLEIHERATING UND BONITÄTSRISIKO untersucht die Zusammenhänge zwischen dem Rating von Anleihen, dem Risiko dieser Anleihen sowie ihren Risikoprämien (Spreads). Dazu wird in einem ersten Schritt - auf analytischer Ebene - untersucht, wie Ratings vergeben werden und welchen Einschränkungen sie unterliegen. Die wichtigsten Einschränkungen für den Kapitalmarkt hinsichtlich der Ableitung von quantitativen Risikogrößen (Ausfallwahrscheinlichkeit und ggf. Ausfallschwere) sind: Ordinalität und Relativität der verwendeten Skalen; die Zeitverzögerungen bei Ratingänderungen; die Intransparenz, Subjektivität und Urteilsunabhängigkeit des Ratingverfahrens bzw. der Ratingagenturen; die Erstellung von auftragslosen Ratings; die mangelnde Vergleichbarkeit von Ratings (zeitlich, zwischen Emissionen und zwischen Agenturen); die fehlende Äquidistanz von Ratings; das Risiko fehlerhafter Ratings. In einem zweiten Schritt wird empirisch untersucht, in welcher Höhe vom Markt Spreads (Überrenditen gegenüber den als risikolos geltenden Bundesanleihen) - je nach Rating - für bestimmte Anleihen gefordert werden. Datenbasis sind Kupon-Anleihen (ohne Sonderrechte) des DM-Euromarktes mit täglichen Kursen im Zeitraum Januar 1990 bis Dezember 1995. Die Untersuchungen bestätigen die Relativität: Ratings definieren nur im langfristigen Durchschnitt die Renditeabstände zwischen den verschiedenen Klassen. Kurzfristige Veränderungen der Spreads hingegen hängen von Veränderungen des allgemeinen Zinsniveaus und dem Verlauf der Zinsstrukturkurve ab. Diese beiden Größen weisen dabei einen negativen Einfluß auf, d.h. Zinserhöhungen führen zu Verringerungen der Spreads. Grundsätzlich gilt dabei aber, dass diese Effekte umso stärker ausfallen, je geringer die Bonität der Anleihen ist. Zusätzlich hängen die Spreadänderungen auch (positiv) von Veränderungen der Spreads der jeweils anderen Klassen ab. Als mögliche Erklärungsansätze bieten sich für diese Beobachtung auch an, dass der Markt Schwankungen der erwarteten Ausfallwahrscheinlichkeiten antizipiert und/oder Veränderungen der allgemeinen Risikoeinstellung vorliegen.
|
Page generated in 0.0737 seconds