O aumento da participação dos títulos públicos pré-fixados no total da dívida pública sempre foi um objetivo perseguido pelas autoridades brasileiras. No entanto, isto só foi possível durante os primeiros anos do Plano Real. Muitos trabalhos empíricos foram realizados recentemente com o intuito de testar alguns pressupostos da teoria de leilões, porém, Silva (2002) foi o único trabalho realizado usando o Brasil como exemplo. O presente trabalho utiliza estatísticas mais confiáveis que Silva (2002), além de realizar testes empíricos relacionando o mercado primário de títulos públicos ao mercado secundário. A principal conclusão a que chegamos é que nos leilões de títulos públicos préfixados os pressupostos teóricos não são válidos, podendo ser fruto da pequena liquidez presente no mercado primário. / The increase of the share of fixed-rate bills in the public debt was always a goal to be pursued by the Brazilian authorities; nevertheless, this was only possible during a short period of time in the first years of the Real Plan. Many empirical works were recently elaborated with the intent to test the auction theory hypothesis, but only Silva (2002) used Brazilian data. This present dissertation uses more trustworthy figures than Silva’s work, beyond the realization of empirical tests relating the primary market to the secondary market. The most important contribution is that in the fixed rate Brazilian’s treasury auction, the estimated theoreticians do not function, and this could be due to the primary market’s low liquidity.

O aumento da participação dos títulos públicos pré-fixados no total da dívida pública sempre foi um objetivo perseguido pelas autoridades brasileiras. No entanto, isto só foi possível durante os primeiros anos do Plano Real. Muitos trabalhos empíricos foram realizados recentemente com o intuito de testar alguns pressupostos da teoria de leilões, porém, Silva (2002) foi o único trabalho realizado usando o Brasil como exemplo. O presente trabalho utiliza estatísticas mais confiáveis que Silva (2002), além de realizar testes empíricos relacionando o mercado primário de títulos públicos ao mercado secundário. A principal conclusão a que chegamos é que nos leilões de títulos públicos préfixados os pressupostos teóricos não são válidos, podendo ser fruto da pequena liquidez presente no mercado primário. / The increase of the share of fixed-rate bills in the public debt was always a goal to be pursued by the Brazilian authorities; nevertheless, this was only possible during a short period of time in the first years of the Real Plan. Many empirical works were recently elaborated with the intent to test the auction theory hypothesis, but only Silva (2002) used Brazilian data. This present dissertation uses more trustworthy figures than Silva’s work, beyond the realization of empirical tests relating the primary market to the secondary market. The most important contribution is that in the fixed rate Brazilian’s treasury auction, the estimated theoreticians do not function, and this could be due to the primary market’s low liquidity.

This thesis deals with debt management carried out in the Czech Republic. Financial instruments (treasury bills, treasury bonds) which are used to manage state debt are described. Analysis for the Czech Republic encompasses period between years 1993 and 2008. It also contains comparison of debt management with selected OECD countries.

This diploma thesis surveys debt instruments used in OECD and European Union member countries for financing central government deficits and the techniques of selling government bonds. The volume and structure of the central government deficit and debt in the Czech Republic as well as organization of debt management office are subjected to a detailed analysis. Debt management accomplishments are confronted with the set out strategy and its objectives. The thesis also consists of the characteristics of securities in use (treasury bills, medium-term and long-term government bonds) as well as of legal regulations of auctions by which the securities are placed on the domestic market. An independent subchapter is dedicated to foreign issues of bonds.

This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. The analysis includes stocks, bonds, treasury bills, foreign bonds, real estate, gold, and gold futures for 43 countries and covers investment horizons up to five years. For developed countries it is found that gold, gold futures and bonds are the besthedge against inflation, both in the short and long run. Treasury bills have a relatively modest performance in the short term but improve with horizons to a great hedge. For emerging countries all asset classes provide a decent hedge, with a slight favor for treasury bills and a slightdisadvantage for real estate in the short and long run. All asset classes are poor hedges to unexpected inflation with an exception for real estate in longer investment horizons. The best hedge against unexpected inflation shocks is inflation-linked bonds. / Den här uppsatsen är i stort en uppdatering av en artikel av Bekaert och Wang från 2010 kallad Inflation risk and the inflation risk premium. Syftet är att hitta insikter i inflationsskyddande egenskaperna för de stora tillgångsklasserna. Analysen inkluderar aktier, obligationer, statsskuldväxlar, utländska obligationer, fastigheter, guld och guldterminer för 43 länder och täcker investeringshorisonter upp till fem år. För utvecklade länder finner vi att guld, guldterminer och obligationer är bästa skyddet mot inflation, både på kort och lång sikt. Statsskuldväxlar är ett relativt dåligt inflationsskydd på kort sikt, men blir ett bra skydd över längre horisonter. För tillväxtländer ger alla tillgångsslag en skapligt skydd, med en liten fördel för statsskuldväxlar och en liten nackdel för fastigheter i kort och långt perspektiv. Alla tillgångsklasser är dåliga skydd mot oväntad inflation, med ett undantag för fastigheter i längre investeringshorisonter. Det bästa skyddet emot oväntade inflationschocker är inflationskopplade obligationer.

Diese Dissertation besteht aus einer Einleitung und drei empirischen Kapiteln, die sich mit verschiedenen Aspekten der Offenmarktgeschäfte der Bank of England in der Zwischenkriegszeit befassen. Offenmarktgeschäfte sind der Kauf und Verkauf von kurzfristigen Staatsanleihen. Die Einleitung definiert Instrumente und Ziele der Geldpolitik und beschreibt welche Folgen die veränderte Rolle Großbritanniens in der Welt nach dem 1. Weltkrieg für die Geldpolitik hatte. Das zweite Kapitel zeigt, wie Offenmarktgeschäfte die verfügbare Liquidität auf dem Londoner Geldmarkt erhöhen oder senken können. Dies erlaubt die kurzfristigen Marktzinsen relativ zum Leitzins zu steuern, was wiederum häufige Änderungen der Leitzinsen unnötig machte. Die empirische Analyse zeigt, dass Offenmarktgeschäfte die Wahrscheinlichkeit verändern können, dass Marktteilnehmer sich Geld bei der Diskontfazilität leihen müssen. Das dritte Kapitel zeigt, dass Offenmarktgeschäfte noch weitere Zwecke erfüllen. In der Finanzkrise von 1931 trugen Offenmarktgeschäfte dazu bei die größten Geschäftsbanken in London vor größerem Schaden zu bewahren. Der Verlust von Goldreserven wurde durch Offenmarktgeschäfte in großem Maße kompensiert und stabilisierte so die Liquidität der Geschäftsbanken. Das vierte Kapitel zeigt, dass Offenmarktgeschäfte zudem eine entscheidende Rolle bei der Stabilisierung der kurzfristigen Marktzinsen nach Kriegsausbruch 1939 spielten. Die empirische Analyse zeigt wie sorgfältig gewählte Laufzeiten von Offenmarktgeschäften dazu beigetragen haben, übermäßige Schwankungen der kurzfristigen Marktzinsen zu verhindern. Insgesamt deutet diese Dissertation darauf hin, dass die Bank of England in der Zwischenkriegszeit ähnlich einer modernen Zentralbank agierte. Kurzfristige Marktzinsen waren das operatives Ziel der Geldpolitik und nicht die Zentralbankgeldmenge. Im Jahr 1931 zog die Bank of England es vor die Geschäftsbanken zu stützen, auch wenn dies die Aufgabe des festen Wechselkurses bedeutete. / This dissertation consists of an introductory chapter and three empirical chapters which deal with various aspects of open-market operations by the Bank of England during the interwar period. Open-market operations are the purchase and sale of Treasury bills. The introduction defines monetary policy implementation and describes the economic circumstances after World War I and outlines what consequences the changing role of Britain in the world had for monetary policy. The second chapter shows how open-market operations could add or drain liquidity in the London money market and help steer short-term market rates relative to the Bank rate, which made frequent changes in the Bank Rate unnecessary. The empirical analysis shows that open-market operations could change the probability of market participants having to borrow at the discount facility. The third chapter argues that in time of crisis the purpose of open-market operations goes further. During the financial crisis of 1931 open-market operations most likely helped to protect the largest clearing banks in London from severe harm. The empirical analysis shows how open-market operations offset the effect of reserves losses at an unprecedented scale and stabilized the liquidity of the London clearing banks. Chapter four examines the role of open-market operation after the outbreak of war in 1939. Open-market operations played a crucial role in stabilizing short-term market rates and preserving the London money market in its original form, most notably the London discount houses and clearing banks. The descriptive evidence shown suggests how carefully chosen maturities of open-market operations helped offset any undue disturbances to short-term market rates after the outbreak of war. Overall, this dissertation suggests that the Bank of England, not unlike modern central banks, targeted short-term market rates, not some monetary quantity, and chose banking stability over a fixed exchange rate in 1931.