This thesis concerns with speculative carry trade strategy. Carry trade is based on breach of Uncovered Interest Parity. The theoretical part is focused on traditional fundamental analysis. This thesis deals with the identification of carry trade existence and capture their expressions in the financial markets, verification profitability and attractiveness of carry trade operations, analysis of conditions for carry trade on financial markets before and after global financial crisis 2008. Important part of the work was also description of the consequences of carry trade transactions and their effects on the exchange rate and financial situation

One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. The reason for studying these relationships is to further explain the causes of the uncovered interest parity puzzle, thus adding our contribution to the academic field through this thesis.To accomplish our goals, data was gathered for daily quotes of 16 different currency pairs, grouped by interest differentials, and two equity indexes, the S&P 500 and FTSE All-World, along with data for the VIX volatility index, for the 2003-2012 period. The data was collected from Thomson Reuters Datastream and the selected ten year span was divided into three different periods. This was done in order to discover the differences on how equity indexes relate to typical carry trade currency pairs, depending on market developments before, during and after the world financial crisis.The tests conducted on the collected data measured the correlations, influences and sensitivity for the 16 different currency pairs with the S&P 500 Index, the FTSE All-World index, and the volatility index between the years of 2003-2012. For influences and sensitivity, we performed Maximum Likelihood (ML) regressions with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) [1,1], in Eviews software.After analyzing the results, we found that, during our chosen time period, the majority of currency pair daily returns are positively correlated with the equity indexes and that the FX pairs show greater correlation with the FTSE All-World, than with the S&P 500. Factors such as the interest rate of a currency and the choice of funding currency played an important role in the foreign exchange markets, during the ten year time span, for every yield group of FX pairs.Regarding the influence and sensitivity between currency pairs and the S&P 500 with its VIX index, we found that our models explanatory power seems to be stronger when the interest rate differential between the currency pairs is smaller. Our regression analysis also uncovered that the characteristics of an individual currency can show noticeable effects for the relationship between its pair and the two indexes.

Submitted by joao barbosa campbell penna (joao.penna@vale.com) on 2015-02-20T19:44:37Z No. of bitstreams: 1 TESEFINAL_20022015.pdf: 1480842 bytes, checksum: 11e3f73bc5b243b7ed4a73b63fe90c59 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-06-08T18:42:08Z (GMT) No. of bitstreams: 1 TESEFINAL_20022015.pdf: 1480842 bytes, checksum: 11e3f73bc5b243b7ed4a73b63fe90c59 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-06-12T17:55:33Z (GMT) No. of bitstreams: 1 TESEFINAL_20022015.pdf: 1480842 bytes, checksum: 11e3f73bc5b243b7ed4a73b63fe90c59 (MD5) / Made available in DSpace on 2015-06-12T17:56:53Z (GMT). No. of bitstreams: 1 TESEFINAL_20022015.pdf: 1480842 bytes, checksum: 11e3f73bc5b243b7ed4a73b63fe90c59 (MD5) Previous issue date: 2014-12-20 / Medimos a validade da paridade descoberta de juros – PDJ - para o mercado brasileiro no período de janeiro de 2010 a julho de 2014. Testamos a equação clássica da PDJ usando o Método dos Mínimos Quadrados Ordinários. Após a estimação dos parâmetros, aplicamos o Teste de Wald e verificamos que a paridade descoberta de juros não foi validada. Estendemos a equação tradicional da PDJ para uma especificação alternativa que captura medidas de risco Brasil e de alteração na liquidez internacional. Especificamente, acrescentamos três variáveis de controle: duas variáveis dummy que capturam condições de liquidez externa e o índice de commoditie CRB, que captura o risco Brasil. Com a especificação alternativa, a hipótese de que os retornos das taxas de juros em Real, dolarizadas, são iguais aos retornos da taxas de juros contratadas em dólares, ambas sujeitas ao risco Brasil, não foi rejeitada. Em complemento à análise das taxas representativas do mercado brasileiro, procurou-se avaliar a predominância da PDJ nas operações de swap cambial realizadas pela Vale S.A.. Para tanto, a série de taxa de juros em dólares do mercado brasileiro foi substituída pela taxa em dólar dos swaps contratados pela Vale. Os resultados encontrados demonstram que, quando comparado ao comportamento do mercado, as taxas em dólares da VALE são mais sensíveis às variações das taxas em Reais. / We measure the validity of uncovered interest parity - UIP - for the Brazilian market from January, 2010 to July, 2014. We tested the classical equation of UIP using the ordinary least squares method. After the estimation, we apply the Wald test and we verify that the uncovered interest parity has not been validated. We extend the traditional UIP equation for an alternative specification that captures Brazil risk and changes in liquidity of the international market. Specifically, we add three control variables: two dummy variables that capture external liquidity conditions and the commodity index CRB, which captures Brazil risk. With the alternative specification, the hypothesis that the returns in interest rates in Real, dollarized, are equal to the return of interest rate contracted in dollars, both subject to Brazil risk, was not rejected. To complement the analysis using the interest rates existing in the Brazilian market, we tried to evaluate the prevalence of UIP in cross currency interest rate swaps carried out by Vale SA. The interest rate in dollar of the Brazilian market was replaced by the dollar rate of swaps contracted by Vale. The results show that, when compared to market behavior, the dollar rates of Vale SA. are more sensitive to changes in Reais interest rates.

The aim of this diploma thesis is based on the empirical analysis to identify the relationship between the exchange rate and the interest rates in selected countries and verify the validity of the uncovered interest rate parity. In the first part, the author deals with basic theoretical and exchange rate determinants from a fundamental analysis point of view, which attempts to explain the causality between these two variables. The actual analysis was performed at three levels on monthly time series from 2010 to 2016. Graphical analysis was selected as the first stage of the analysis, also including verification of the validity of the Fisher International Effect. Later, regression and vector autoregressive analysis followed. However, the conclusions of the individual empirical parts show that the exchange rate is determined by many factors, not only by the interest rate differential, as assumed the theory of uncovered interest rate parity. These results are also related to the low quality of the estimated models. Uncovered interest rate parity has been confirmed in very few cases, but none of the monitored currency pairs has been validated at all three levels of empirical analysis at the same time. The work offers valuable insight into the trend appreciation or depreciation of the exchange rates at the positive interest rate differential in the selected period.

The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. The only necessary condition is that the deviationsfrom rational expectations and risk neutrality are uncorrelated with the interestrate differential (Chinn and Meredith 2004, p. 412). We find no evidence for the interestrate differentials to be unbiased predictors of the percentage change in nominalexchange rates. With 3- and 6-month maturity interest rates, the signs are positivealthough not statistically different from zero.

In this paper, we discuss bond financing as an interesting source of debt finance for listed real estate companies in Sweden. Furthermore, we compare 10 bonds issued by Swedish real estate companies in 2013. These bonds are analysed from different perspectives and the pricing of each bond is discussed. In addition, this paper will describe the real estate companies’ business concepts and business activities in order to relate these concepts and activities to the size of the coupon rates the issuing real estate firms have to pay. The analysis discusses the pricing of the bonds from the following perspectives: • Company size • Number of issues • Average debt financing costs • Underlying assets • Covered vs. uncovered Our conclusion regarding the pricing of bonds in the real estate sector is that it is dependable on most of the variables above and the interaction between them. As an investor in the bond market, the main focus should be on the issuer’s payment capacity regarding the coupons as well as the principal. / I denna uppsats fördjupar vi oss inom ämnet obligationsfinansiering. Arbetet ska ge en djupare insyn i hur obligationsfinansiering går till samt ge kunskap om andra typer av skuldinstrument som används. Arbetet lägger stor tyngd vid analys och beskrivning av obligationsfinansiering på den svenska fastighetsmarknaden. I analysen jämförs 10 obligationer som emitterats av svenska fastighetsbolag under 2013. Dessa obligationer analyseras ur olika perspektiv och prissättningen på varje enskild obligation diskuteras. Dessutom ska uppsatsen ge en fördjupning av de ingående fastighetsbolagens verksamheter samt affärsidéer, med syfte att söka eventuella samband mellan bolagens verksamheter och storleken på kupongräntor som olika fastighetsbolag får betala. Följande aspekter har beaktats i analysen av hur prissättningen av obligationerna har gått till: • Bolagets storlek • Antal emissioner • Genomsnittliga finansieringskostnader • Bolagets tillgångar • Säkerställda jämfört med icke säkerställda obligationer. Uppsatsen studerar framförallt skillnaden mellan säkerställda och icke-säkerställda obligationer. Hur stor skillnad bör det vara i riskpremie vid investering i en obligation som saknar säkerhet jämfört med en säkerställd obligation från samma emittent? Vår slutsats kring prissättningen av obligationer i fastighetssektorn är att den är beroende av flertalet av faktorerna ovan och samspelet mellan dessa. Som investerare i obligationsmarknaden handlar det dock om att kunna förutse och analysera emittentens betalningsförmåga gällande kuponger (räntor) och återbetalning av obligationernas nominella belopp

本文主要在探討在較為短的時間段以及不同的金融環境之下，是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子－平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本；總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後，依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下，仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而，利差報酬則不然。在銀行危機期間，利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始，利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。 / This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns.

Made available in DSpace on 2017-07-10T19:25:17Z (GMT). No. of bitstreams: 1 Clori Antonio Pontello.pdf: 3010074 bytes, checksum: 5e0d1daabf222439b9ee242e767883cf (MD5) Previous issue date: 2005-05-31 / Manioca starch mills generate a high amount of outflow and environmental concerns due to its high pollutant wastewater. Use of stabilization ponds is very common for the treatment of wastewater on the transformation of manioca root sector. However, in winter time, coincidently with the harvesting and crushing period a fall on the treatment system may occur due to the decreasing of environmental temperature. The present study aims at evaluating the effect of plastic canvass on the stability and keeping the anaerobic pond temperature treating the outflow of cassava. The system consisted of two reactors simultaneously supplied, with net volume of 15.98m3 each, 10 day hydraulic retaining time, continuously supplied, without pH correction and without temperature control. Air temperature and daily outflowing and inflowing of the reactors were monitorized for a period of one year. Both physical and chemical analyses were performed measuring pH, BOD5, COD, TSS, FSS, and VSS of the reactors outflowing and iinflowing in monthly frequency. The daily temperatures measured on the covered reactors were superior than on the uncovered ones. An efficiency of 10% on COD, and 15% on BOD5 were observed on the covered reactor. The plastic canvass covered reactor showed less oscilations with greater stability in keeping temperatures, mainly in periods of low temperature, showing a better performance on the treatment of cassava processing outflow. / As fecularias de mandioca geram um volume de efluente significativo e de elevada preocupação ambiental, devido a sua elevada carga poluidora. É muito comum a utilização de lagoas de estabilização para o tratamento de águas residuárias do setor de transformação de raiz de mandioca. Entretanto, nos períodos de inverno, coincidindo com o período de safra e esmagamento, observa-se uma queda na eficiência dos sistemas de tratamento que podem ocorrer em razão da diminuição da temperatura ambiente. O presente trabalho buscou avaliar o efeito da cobertura plástica na estabilidade e manutenção da temperatura de lagoa anaeróbia, tratando efluente de fecularia de mandioca. O sistema foi constituído de dois reatores alimentados em paralelos, com volume útil de 15,98m3 cada, tempo de detenção hidráulico de 10 dias, alimentação contínua, sem correção de pH e sem controle de temperatura. Durante o período de um ano, foram monitoradas as temperaturas do ar, entrada e saída dos reatores com medições realizadas diariamente. Efetuou-se análise físicoquímica medindo-se o pH, DBO5, DQO, SSS, SST, SSF e SSV do afluente e efluente dos reatores com freqüência mensal. As temperaturas diárias medidas no reator coberto foram superiores ao descoberto. Observou-se eficiência de 10% na DQO e 15% na DBO5 superiores para o reator coberto. O coberto com lona plástica apresentou menores oscilações com maior estabilidade na manutenção das temperaturas, principalmente nos períodos de baixas temperaturas, mostrando maior desempenho no tratamento de efluente de fecularia de mandioca.

Made available in DSpace on 2017-05-12T14:48:41Z (GMT). No. of bitstreams: 1 Clori Antonio Pontello.pdf: 3010074 bytes, checksum: 5e0d1daabf222439b9ee242e767883cf (MD5) Previous issue date: 2005-05-31 / Manioca starch mills generate a high amount of outflow and environmental concerns due to its high pollutant wastewater. Use of stabilization ponds is very common for the treatment of wastewater on the transformation of manioca root sector. However, in winter time, coincidently with the harvesting and crushing period a fall on the treatment system may occur due to the decreasing of environmental temperature. The present study aims at evaluating the effect of plastic canvass on the stability and keeping the anaerobic pond temperature treating the outflow of cassava. The system consisted of two reactors simultaneously supplied, with net volume of 15.98m3 each, 10 day hydraulic retaining time, continuously supplied, without pH correction and without temperature control. Air temperature and daily outflowing and inflowing of the reactors were monitorized for a period of one year. Both physical and chemical analyses were performed measuring pH, BOD5, COD, TSS, FSS, and VSS of the reactors outflowing and iinflowing in monthly frequency. The daily temperatures measured on the covered reactors were superior than on the uncovered ones. An efficiency of 10% on COD, and 15% on BOD5 were observed on the covered reactor. The plastic canvass covered reactor showed less oscilations with greater stability in keeping temperatures, mainly in periods of low temperature, showing a better performance on the treatment of cassava processing outflow. / As fecularias de mandioca geram um volume de efluente significativo e de elevada preocupação ambiental, devido a sua elevada carga poluidora. É muito comum a utilização de lagoas de estabilização para o tratamento de águas residuárias do setor de transformação de raiz de mandioca. Entretanto, nos períodos de inverno, coincidindo com o período de safra e esmagamento, observa-se uma queda na eficiência dos sistemas de tratamento que podem ocorrer em razão da diminuição da temperatura ambiente. O presente trabalho buscou avaliar o efeito da cobertura plástica na estabilidade e manutenção da temperatura de lagoa anaeróbia, tratando efluente de fecularia de mandioca. O sistema foi constituído de dois reatores alimentados em paralelos, com volume útil de 15,98m3 cada, tempo de detenção hidráulico de 10 dias, alimentação contínua, sem correção de pH e sem controle de temperatura. Durante o período de um ano, foram monitoradas as temperaturas do ar, entrada e saída dos reatores com medições realizadas diariamente. Efetuou-se análise físicoquímica medindo-se o pH, DBO5, DQO, SSS, SST, SSF e SSV do afluente e efluente dos reatores com freqüência mensal. As temperaturas diárias medidas no reator coberto foram superiores ao descoberto. Observou-se eficiência de 10% na DQO e 15% na DBO5 superiores para o reator coberto. O coberto com lona plástica apresentou menores oscilações com maior estabilidade na manutenção das temperaturas, principalmente nos períodos de baixas temperaturas, mostrando maior desempenho no tratamento de efluente de fecularia de mandioca.

How do financial variables, such as firms’ cash flow and banks’ capital, affect macroeconomic variables, such as investment and GDP growth? What are the macroeconomic effects of exchange rate depreciation in countries where firms and households have extensive foreign-currency liabilities? The doctoral thesis Empirical Essays on Macro-Financial Linkages consists of four separate papers in the field of empirical macroeconomics. The first three papers investigate the macroeconomic implications of financial-market imperfections. Imperfect information between borrowers and lenders makes it more costly for firms to finance investments with external funds than with internal funds. The external finance risk premium depends on the strength of firm balance sheets, which hence affects firm investment. The first paper, The Effect of Cash Flow on Investment: An Empirical Test of the Balance Sheet Channel, examines the importance of financial constraints for investment using a large Swedish firm-level data set which includes many smaller firms (where balance sheet effects are likely to be especially important). I find a positive effect of cash flow on investment, controlling for fundamental determinants of investment and any information in cash flow about investment opportunities. As predicted by the balance sheet channel, the estimated effect of cash flow on investment is especially large for firms which, a priori, are more likely to be financially constrained (low-dividend, small and non-group firms). Moreover, the investment-cash flow sensitivity is significantly larger and more persistent during the first half of the sample period, which includes a severe banking crisis and recession. The second paper, Credit Matters: Empirical Evidence on U.S. Macro-Financial Linkages, written jointly with Tamim Bayoumi, estimates the impact of an adverse shock to bank capital on credit availability and spending in the United States, allowing for feedback from spending and income through the balance sheets of banks, firms and households. We find that an exogenous fall in the bank capital/asset ratio by one percentage point reduces real GDP by some 1 ½ percent through its effects on credit availability, while an exogenous fall in demand of 1 percent of GDP is gradually magnified to around 2 percent through financial feedback effects. The third paper, The Effects of Real Exchange Rate Shocks in an Economy with Extreme Liability Dollarization, studies the effects of real exchange rate depreciation in Bolivia, where over 95 percent of bank credit is denominated in dollars. Currency depreciation increases the domestic-currency value of foreign-currency liabilities and the debt service burden, thus adversely affecting firm balance sheets. A key issue for policymakers in countries with widespread foreign-currency borrowing is whether depreciation would have the standard, expansionary effect on output, or if an adverse balance sheet would dominate. I find that real exchange depreciation has negligible effects on output, since a contractionary balance-sheet effect on investment is counteracted by the standard expansionary effect on net exports. The fourth paper, Uncovered Interest Parity in a Partially Dollarized Developing Country: Does UIP Hold in Bolivia? (And If Not, Why Not?), studies another aspect of macro-financial linkages. The so-called uncovered interest parity (UIP) condition states that interest rate differentials compensate for expected exchange rate changes, equalizing the expected returns from holding assets which only differ in terms of currency denomination. Because of data availability problems, there is a lack of empirical tests of UIP for developing countries. The paper studies the case of Bolivia, where there are bank accounts which only differ in terms of currency denomination (bolivianos or U.S. dollars). I find that UIP does not hold in Bolivia, but that the deviations are smaller than in most other studies of developed and emerging economies. / Diss. Stockholm : Handelshögskolan, 2009 Sammanfattning jämte 4 uppsatser