Dissertations / Theses on the topic 'Nominal interest rates'

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Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.

This study explores the inter relationships between the nominal interest rates of Australia and its principal trading partners. The analysis focus on the short end of the yield curve --specifically, rates of up to one year to maturity. In essence, the study comprises a suite of essays, which together provide an overall understanding of the relevant relationship that is, in both depth and scope, greater than the sum of the individual essays. The inquiry begins with an investigation of the impact of the overnight information content of international interest rates upon the Australian domestic money market. The results indicate that the strongest information impact on Australian interest rates is from the overnight interest and exchange rates of the United States. This is followed, in the second essay, by an investigation of the relationship between domestically and internationally traded Australian dollar denominated, financial assets. The results indicate that a Euro-Australian dollar inter-bank deposit and Australian bank accepted bills are effectively the same assets. Based on this result the third essay investigates the extent to which the short-term nominal interest rates of Australia, the United Kingdom, the United States and Japan are consistent with the expectations theory of the interest rate term structure. The results indicate that nominal inter-bank deposit rates in all four currencies are broadly consistent with the expectations theory. In addition, two common stochastic trends are identified, which can be associated with the markets of the United States and Japan. The forth essay focuses on the bilateral relationships between the nominal interest rates of Australia, the United States, the United Kingdom and Japan, and aims at establishing the extent to which the observed data is consistent with interest rate parity conditions. It was found that, in the long run, and with some exceptions, there is strong support for all three of the usual parity conditions. These relationships are interpreted as a measure of the efficiency with which the interest rates are simultaneously determined across the four markets. The final essay brings together insights gained in the preceeding essays to help analysis the interactions between each of the four markets at each of the four maturities selected within the consistent framework of a single model. The results indicate that the system can be usefully conceptualised as interactions between two sub-systems. The first sub-system models the nexus between Australia and the United States, and the second sub-system, that between the United Kingdom and Japan. The interactions within and between these two sub-systems are found to change as the maturity increases. At the shortest maturity, Australian interest rates are directly affected by both sub-systems. In contrast, at the longest maturity, Australian interest rates anticipate those of the United States and are not directly affected by the second sub-system.

This study explores the inter relationships between the nominal interest rates of Australia and its principal trading partners. The analysis focus on the short end of the yield curve --specifically, rates of up to one year to maturity. In essence, the study comprises a suite of essays, which together provide an overall understanding of the relevant relationship that is, in both depth and scope, greater than the sum of the individual essays. The inquiry begins with an investigation of the impact of the overnight information content of international interest rates upon the Australian domestic money market. The results indicate that the strongest information impact on Australian interest rates is from the overnight interest and exchange rates of the United States. This is followed, in the second essay, by an investigation of the relationship between domestically and internationally traded Australian dollar denominated, financial assets. The results indicate that a Euro-Australian dollar inter-bank deposit and Australian bank accepted bills are effectively the same assets. Based on this result the third essay investigates the extent to which the short-term nominal interest rates of Australia, the United Kingdom, the United States and Japan are consistent with the expectations theory of the interest rate term structure. The results indicate that nominal inter-bank deposit rates in all four currencies are broadly consistent with the expectations theory. In addition, two common stochastic trends are identified, which can be associated with the markets of the United States and Japan. The forth essay focuses on the bilateral relationships between the nominal interest rates of Australia, the United States, the United Kingdom and Japan, and aims at establishing the extent to which the observed data is consistent with interest rate parity conditions. It was found that, in the long run, and with some exceptions, there is strong support for all three of the usual parity conditions. These relationships are interpreted as a measure of the efficiency with which the interest rates are simultaneously determined across the four markets. The final essay brings together insights gained in the preceeding essays to help analysis the interactions between each of the four markets at each of the four maturities selected within the consistent framework of a single model. The results indicate that the system can be usefully conceptualised as interactions between two sub-systems. The first sub-system models the nexus between Australia and the United States, and the second sub-system, that between the United Kingdom and Japan. The interactions within and between these two sub-systems are found to change as the maturity increases. At the shortest maturity, Australian interest rates are directly affected by both sub-systems. In contrast, at the longest maturity, Australian interest rates anticipate those of the United States and are not directly affected by the second sub-system.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
School of Economics
Full Text

This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates.The pricing of interest rate swaps An interest rate swap is an agreement between two parties to exchange fix for floating interest rate payments for a certain period of time. Floating rate payments are made at a floating-rate index, e.g. the three-month interbank rate, while the fixed rate payment, the swap rate, is determined on the market. The swap rate may include a compensation for credit risk depending on the counterparty's credit quality, but in the standard agreement there is no exchange of principal, only interest is transacted, and this effectively reduces concerns about credit risk. The swap spread for a given maturity is the difference between the swap rate and the risk-free rate, measured as the yield on a government bond with similar cash flows. If the standard swap agreement entails negligible credit risk one might expect swap spreads to be low and stable, but market swap spreads vary over time. There are periods when swap spreads are low in accordance with the general theory, but there are also periods when swap spreads reach levels that seem high.The first chapter of this dissertation examines a setting where a positive swap spread arises as part of an equilibrium in a perfectly competitive capital market. The model is one of insurance under adverse selection. A firm that seeks debt financing can insure itself against interest rate risk either by borrowing long-term or by borrowing short-term and entering a pay fix - receive float interest rate swap. The latter alternative allows for a partial hedge as the firm can choose to swap only a fraction of the nominal amount. In this setting, if firms' credit quality and interest rate risk tolerance are correlated creditors can use the pricing of interest rate swaps as a screening device. A low-risk firm, being a firm with favorable private information, selects short-term borrowing and partial insurance. A high-risk firm, being a firm with less favorable prospects, is by assumption also less risk tolerant. It therefore has a higher demand for insurance and the equilibrium swap spread is set such that the high-risk firm finds it more beneficial to borrow long-term at a cost that exceeds the expected cost from short-term financing, but that provides a full insurance to interest rate risk. Monetary policy and the term structure of interest rates Taken separately monetary policy and term structure modeling are two well-established research areas each comprising a substantial amount of research. But relatively few attempts have been made to integrate the two. The last two chapters of this dissertation take the view that the conduct of monetary policy is an essential element in the determination of the term structure of interest rates, and that explicitly considering the role of amonetary authority in the analysis has a potential of enhancing our understanding of term structure dynamics, and its relation to macro-economic fundamentals in particular. This approach to the term structure is supported by the fact that the analytical framework developed in the literature on optimal monetary policy translates conveniently into a setting well suited for term structure analysis. Chapter 2 makes the point in the simplest setting. A standard model of optimal monetary policy is reformulated in continuous time. Combined with a parameterized form for the market price of risk this produces a standard term structure model with well-known characteristics. This model is estimated on US data for the period 1987 - 2002, treating state variables as latent factors of the term structure. The parameters that are estimated comprise parameters describing the monetary transmission mechanism, parameters describing the monetary authority's preferences and parameters describing the market price of risk. Our estimation technique differs from comparable estimations in the monetary policy literature as these typically take state variables to be directly observable measures of macro-economic aggregates. The results using term structure data are both similar and different to previous findings. The main difference when using term structure data is that the central bank's estimated policy is more aggressive, i.e. more responsive to changes in the underlying state variables.Chapter 3 is devoted to the zero bound on nominal interest rates. While the zero bound is well recognized in the literature on term structure modeling, not much has been said about term structure dynamics under the special circumstance that the short rate is close to zero. I find the optimal monetary policy approach to be particularly well suited for this analysis. The chapter studies a continuous time reduced form version of the monetary transmission mechanism. The monetary authority's optimization problem is formed according to two specifications, interest rate stabilization and interest rate smoothing. For the former the optimization problem is solved analytically, while numerical procedures are adopted forthe latter. The chapter then turns to study implications for the term structure under risk-neutrality. Term structure equations are solved numerically and implications for the term structure are discussed. Data for a low-interest rate country like Japan for 1996 - 2003 exhibits s-shaped yield curves and yield volatility curves. This shape is found to be consistent with a smoothing objective for the short rate.

Diss. Stockholm : Handelshögskolan, 2004

Esta dissertação é um estudo empírico que relaciona variáveis fiscais como dívida pública e déficit primário com a taxa de juros nominal de longo prazo, relação, que na literatura empírica como um todo, é bastante ambígua. Quando separamos, desta literatura, os trabalhos que incluem expectativas de déficits, obtemos resultados positivos e significantes, ou seja, que a contenção fiscal reduz a taxa de juros de longo prazo. Ainda nesta literatura, poucos trabalhos fazem uso de dados de painel devido à pouca disponibilidade de dados. Dessa forma, usamos um painel com 25 países e dados anuais entre 1980 e 2009. Assim, estimam-se modelos estáticos e dinâmicos em que a taxa de juros nominal de longo prazo é explicada pela dívida pública e, principalmente, o déficit primário, controlando a existência de efeitos fixos para países e anos. Utilizamos, em seguida, modelos não-lineares, para captar efeitos das variáveis fiscais de forma não-linear e com variáveis interativas. Encontra-se uma relação positiva entre as variáveis, indicando que um aumento no déficit primário leva a um aumento na taxa de juros nominal de longo prazo. A magnitude do efeito estimado é semelhante a outros estudos feitos com dados em painel. Os resultados apontam que um aumento em um ponto percentual do déficit primário leva a um aumento de zero a 10 bps sobre a taxa de juros nominal de longo prazo. Já para a dívida pública encontramos que, ao contrário do que esperaríamos pela teoria, que seu efeito sobre a taxa de juros nominal de longo prazo é insignificante e menor do que o encontrado na maior parte da literatura, menos de 2 bps, mas semelhante aos de outros trabalhos. Ao contrário de toda literatura para dados em painel, incluímos também a expectativa de déficits, variável que deveria incorporar mais informação do que somente o déficit corrente e, por isso, nossos resultados deveriam ser mais significantes. No entanto, estas variáveis não estão disponíveis para muito anos e, portanto, para esta parte do trabalho nossa amostra se reduz para 1996-2009. Contudo, ao fazermos as mesmas estimações que as anteriores, mas com a expectativa de déficit obtemos coeficientes para o déficit primário insignificantes, nem sempre positivos e baixos. Este resultado parece ser devido à amostra reduzida que temos para expectativa de déficit.
This dissertation is an empirical study that tries to capture the relationship between fiscal variables, such as the public debt and the primary deficit, and the long-term nominal interest rates, a relationship that in the empirical literature as a whole is very ambiguous. However, when, in this literature, we look only at papers that include expected deficits, we obtain positive and significant results. In the same set of studies, few use panel data due to low data availability. We use a panel with 25 countries and annual data between 1980 and 2009. We estimate static and dynamic models in which the long-term nominal interest rate is explained by the public debt and, especially, the primary deficit by controlling for the existence of fixed effects for countries and years. We then estimate non-linear models to capture the non-linear and interactive effects of fiscal variables on interest rates. We find a positive and statistically significant relationship between these variables, indicating that the primary deficit has a positive impact on the long-term nominal interest rate. The magnitude of the estimated effect is similar to other studies with panel data. They show that a one percentage point increase in the primary deficit leads to an increase from zero to 10 bps in the long-term nominal interest rate. As for the public debt, we find that, contrary to what we would expect from economic theory, its effect on the long-term nominal interest rate is negligible and smaller than that found in most of the literature, less than 2 bps, but similar to other panel studies. Unlike the rest of the literature that uses panel data, we included deficit expectations that would incorporate more information than just the current primary deficit and would, therefore, give us more statistically significant results. However, these variables are not available for large periods of time for a panel of countries and, therefore, for this part of our study, our sample is reduced to the period 1996-2009. This time, even though we estimate the same models, but now with the deficit expectations, we now obtain statistically insignificant, sometimes negative and lower coefficients for the primary deficit. Nevertheless, these results seem to be due to the small sample size we have for deficit expectations.

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.

Nas duas últimas décadas, o Brasil vem praticando elevadas taxas de juros nominais em relação à taxa de inflação existente. Isso encarece o crédito, aumenta o endividamento e prejudica o crescimento econômico sustentado. Além disso, fatores como a implementação de políticas econômicas de combate à inflação, a aceleração do processo de abertura e internacionalização econômicas criam um mix variáveis que se relacionam com a taxa de juros e deixam explícita a necessidade de se analisar os principais determinantes da taxa de juros nominal no Brasil e sua relação com a taxa de câmbio, objetos de estudos do presente trabalho. O modelo teórico apresentado, expandido para incluir uma equação de Fisher adequada à economia brasileira e o risco de default, foi estimado seguindo os seguintes passos: 1) testes de raiz unitária de Dickey-Pantula, Dickey-Fuller, raiz unitária sazonal e raiz unitária com quebra estrutural foram realizados de modo a saber o grau de integração de cada variável e, assim, como cada uma deve ser considerada nos modelos; 2) regressões para taxa de juros e taxa de câmbio foram, inicialmente, estimadas pelo método de Mínimos Quadrados Ordinários e, caso tenham sido constatados problemas de heteroscedasticidade e autocorrelação dos resíduos, as regressões foram reestimadas pelo método dos Mínimos Quadrados Ponderados, Mínimos Quadrados Ponderados com modelo não-linear de correção da autocorrelação dos resíduos e/ou Mínimos Quadrados Ponderados com estimativas consistentes da variância de White ou Newey-West. Inicialmente utilizaram-se dados com periodicidade mensal, mas os resultados não foram robustos. Por isso, foram usados dados com periodicidade trimestral, obtendo melhores resultados. Apenas as melhores regressões são apresentadas no texto, apresentando dois grupos de estimativas para os determinantes das taxas de juros e de câmbio, sendo o primeiro para o período de 1990 a 2006 sem risco de default e o segundo para o período em que há dados sobre risco de default (os melhores resultados incluindo a variável risco ocorreram para o período de 1995 a 2006). Essas regressões fundamentam a definição de quatro modelos VAR (Vetor Autorregressivo). Esta última, ao ser estimada usando a decomposição de Choleski, permite chegar a conclusões convergentes aos das regressões selecionadas. Tanto a análise de regressão quanto o VAR reforçam o papel das variáveis externas em afetar a taxa de juros CDI a partir de 1995, em detrimento das variáveis domésticas, especialmente a taxa de inflação. O modelo para a taxa de câmbio sinaliza para uma conclusão semelhante, sendo a variável CDI a mais importante quando considerado todo o período em análise, mas perdendo poder explicativo sobre a taxa de câmbio quando inserida a variável risco de default. Pode-se afirmar que a conta capital e financeira do Balanço de Pagamentos é semi-aberta e que os fatores externos possuem impactos expressivos sobre a taxa de juros CDI, principalmente após a implementação do Plano Real. Em especial, o risco de default percebido pelos investidores externos possui um papel importante em mostrar a seguinte dinâmica: sob maior risco de default, um aumento da taxa de juros (via política monetária restritiva) pode provocar um efeito perverso, pois ao invés de atrair capital externo (e, assim, poder cumprir com as obrigações financeiras), provoca uma saída de capital e desvaloriza a taxa de câmbio, aumentando a inflação. Esses resultados são de extrema importância para o exercício da política monetária, tal como exposto nas conclusões do trabalho.
During the last two decades, Brazil has been practicing high nominal interest rates, comparing to the observed inflation rate. This fact has a negative impact on credit, increases public debt and reduces the economic growth. In addition, the implementation of economic policies that aim to decrease the inflation rate, together with the economic globalization process, generate a set of variables that are related to the interest rate and, also, explicitly show how important is to analyze the main variables that have impacts on the interest rate determination and its relation with the exchange rate, which are the aim of this dissertation. Theoretical models for interest rate and exchange rate determination for a small and partially open economy were expanded to incorporate not only a suitable Fisher equation to the Brazilian economy, but also the default risk, and they were estimated in the following sequence: 1) Dickey-Pantula, Dickey-Fuller and seasonal unit root tests, and also unit root test with structural changes, were used to verify the integration degree for each variable and how each of them should be considered in the models; 2) interest rate and exchange rate regressions were first estimated by Ordinary Least Squares or, in case of heteroskedasticity and residuals autocorrelations problems, the regressions were reestimated using Weighted Least Squares, Weighted Least Squares with non-linear correction for residuals autocorrelation or Weighted Least Squares with Newey-West or White consistent covariance estimates. Initially, the models were estimated using monthly aggregated data, but they did not present robust results. In sequence, models were estimated using quarterly aggregated data, which had better estimations results and the best results are presented in this thesis. This dissertation presents two groups of results for each determination model of interest and exchange rates, considering the period from 1990 to 2006 without default risk and starting from a year that are default risk data available (the best results including default risk variable happened from 1995 to 2006). These regressions are the base for four VAR (Vector Autoregression) models. Both regression and VAR analysis strengthen the role of external variables in affecting the CDI interest rate for the period starting from 1995, while domestic variables reduced their effect on this process, specially the inflation rate. The results for the exchange rate determination model indicate a similar conclusion because, for the whole period analyzed, CDI interest rate was the most important variable; however, it reduced its influence on exchange rate when the default risk was inserted into the estimations. According to the results, there is evidence that the Brazilian economy is partially open and that the external factors have strong effect on CDI interest rate determination, especially after the implementation of Plano Real (Real Plan). More importantly, the international investors\' default risk perception has an important role showing the following dynamic: under default risk conditions, a larger interest rate (by a restricted monetary policy) can have a perverse effect, because, higher interest rate instead of attracting external capital inflows (which permits financial obligations to be honored) can lead on an external capital outflows, which depreciates the exchange rate and, as a result, increases the inflation rate. These results are extremely important to be considered for monetary policy implementation, as shown on the conclusions of this thesis.

Households availability to accrue debt remains a major factor affecting both consumption and savings on an aggregate level. The financial crises at the end of 2007 echoed through the Atlantic ocean and hit the European economies, wrecking havoc as it went. Both nominal and real interest rates plummeted as centrals banks tried to conduct damage control in their respective regions. With some nominal interest rates falling past the zero lower bound and inflation hovering around zero percentage points. The recovery of American and European economies is still ongoing but this process is largely dependent on monetary and fiscal policies by central banks and governments. This thesis examines the relationship between the nominal interest rate and the availability of debt for households, using secondary cross sectional survey data and recorded financial data accumulated over a period of ten years collected every other year. This study limits itself to the country of Sweden and includes different independent variables separate of the nominal interest rate, accounting for some variation and internal effects of the data as well as theoretical considerations. In consensus with previous studies the relationship between the availability of household debt and the nominal interest rate is negative and statistically significant in nature. Indicating that the validity of the classical relationship between nominal interest rate, savings and consumption is affirmed.

Mestrado em Economia Monetária e Financeira
Tipicamente os Bancos Centrais usam as taxas de juro para inverter os efeitos das crises económicas. No entanto, temos observado que se as taxas de juro nominais já estiverem muito próximo de zero, então a capacidade que estes têm de usar este mecanismo para estimular a actividade económica é reduzida. O principal objectivo desta dissertação é estudar se aumentando o nível médio de inflação, aumenta a capacidade do bancos centrais em inverter crises económicas. Especificamente, iremos estudar se a taxa de juro real diminui mais para valores médios mais elevados da taxa de inflação, quando um choque exógeno na taxa de juro nominal ocorre. Para tal, iremos utilizar um modelo de equilíbrio geral, onde os agentes são heterogéneos na quantidade de moeda que detêm. O nosso modelo sugere que aumentar o target da inflação não aumenta o estímulo provocado pela taxa de juro real, quando um choque de 1 ponto-percentual ocorre sobre a taxa de juro nominal. De facto, o que se verifica é que a taxa de juro real diminui mais quanto menor for o nível médio de inflação. Isto ocorre porque o grau de price stickiness é menor para níveis mais elevados do target da inflação.
Typically when central banks face economic slowdowns they use the interest rate channel to boost economies. However, we have seen that if the nominal interest rate is already at low levels, then their capacity to invert such economic slowdowns is little. The main objective of this dissertation is to study whether increasing the inflation target can increase the capacity of central banks to invert economic downturns. Specifically, we will study whether the real interest rate decreases more when the inflation target is higher, as a response to a negative shock in the nominal interest rate. To study this we use a general equilibrium model, where agents are heterogeneous in their amount of money holdings. Our model suggests that increasing the inflation target does not increase the real stimulus of central banks when they decrease the nominal interest rate by one percentage-point. In fact, the real interest rate declines more, the lower the target. This occurs because the degree of price stickiness is lower for higher levels of inflation.
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This work make an analysis of the Brazilian interest rates, and the main features of the sovereign nominal rates curve, with emphasis on fixed income securities issued by the government in local currency (Reais), in both the domestic and foreign markets, where we note the occurrence of a phenomenon quite peculiar, which is the diferential in the yield and the maturity existing between the two markets. Arida, Bacha and Lara-Resende (2004) conjecture about the existence of an inherent risk to the country, called 'jurisdictional uncertainty' related to Brazilian institutions, and that would be behind the high interest rates and the absence of a long-term domestic credit market. It is also done a more detailed diagnosis of the possible causes of the longer maturity phenomenon and lower yield on securities issued in foreign markets compared to securities issued in the local market, noting that both phenomena - the high Brazilian interest rates and the absence of a market long-term interest rates - are directly related. The conclusions on the possible causes of the yield differential between local and foreign securities issued in Reais envolve both quantitative factors, related to investment costs in Brazil and convertibility risk, which in part contributes to increase required yields for local securities, as well as qualitative factors, such as worse institutions in Brazil compared to the external institutions. The difference in the maturity of the two securities also comes from institutional issues, which, to some extent, reaffirms the theory of 'jurisdictional uncertainty' to explain this phenomenon.
O trabalho faz uma análise sobre as taxas de juros brasileiras, além das principais características da curva soberana de juros nominais, dando ênfase aos títulos pré-fixados emitidos pelo governo em moeda local, no mercado doméstico e externo, onde notamos a ocorrência de um fenômeno bastante peculiar, que é o diferencial de rendimento e de maturidade existentes entre os dois mercados. Arida, Bacha e Lara-Resende (2004) conjecturam sobre a existência de um risco inerente ao país, chamado por eles de 'incerteza jurisdicional', relacionado às instituições brasileiras, e que estaria por trás das altas taxas de juros e da inexistência de um mercado de crédito doméstico de longo prazo. É feito um diagnóstico mais detalhado sobre as possíveis causas do fenômeno de maior maturidade e menor rendimento dos títulos emitidos no mercado externo em relação aos títulos do mercado interno, notando-se que ambos os fenômenos – dos altos juros brasileiros e da inexistência de um mercado juros de longo prazo – estão diretamente relacionados. As conclusões sobre as possíveis causas para o diferencial de rendimento entre os títulos locais e externos emitidos em Reais dizem respeito tanto aos fatores quantitativos, relacionados aos custos de investimento no Brasil e ao risco de conversibilidade, que contribuem em parte para aumentar as taxas exigidas para os títulos locais, bem como aos fatores qualitativos, como piores instituições no Brasil em relação às instituições externas. A diferença de maturidade entre os títulos também advém de questões institucionais, o que reafirma de certo modo a teoria de 'incerteza jurisdicional' para explicar este fenômeno.

碩士
國立暨南國際大學
經濟學系
100
This paper investigates the stationarity properties of nominal interest rates for 17 APEC countries by using the CF test advocated by Tsong (2012). The CF test exams the unit root null against the alternative of asymmetric STAR nonlinearity with correlated covariates for power boost. The selected covariates are based on economic theory, including – inflation rate, real interest rates, GDP deflator, and unemployment rate. When implementing CF test, we include a single covariate each time and reported the corresponding result. The empirical results reveal strong evidence that the nominal interest rates, are mean reverting, rejecting the unit root null for 14 out of the 17 countries when the covariate is the differenced nominal interest rate. Moreover, most of the nominal interest rates are tested to display asymmetries in the adjustment process towards their equilibrium values.

碩士
世新大學
財務金融學研究所(含碩專班)
97
In this paper we examine the stochastic properties of short-run nominal interest rate in several emerging countries using numerous unit root tests. For that purpose, this paper employs conventional unit root tests as well as panel unit root tests that explicitly allow for cross-sectional independence and dependence. We use panel unit root tests, which increase power by exploiting the cross-sectional variability of the data. Since standard panel unit tests failing to control for cross-sectional correlation, we employ the recently developed panel unit root tests developed by Chang (2002) and Pesaran (2007) which explicitly allow for cross-sectional dependence. For the sake of robustness, we also apply our battery of tests for OECD. Empirical results indicate that we tend to fail to reject the unit root null at conventional levels. Nevertheless, the overwhelming evidence in favor of non-stationary may derive from the well-known low power of conventional unit root tests. However, the most panel unit root tests show the nominal interest rate mean reversion.

In this work project we evaluate the impact of the main unconventional monetary policy tool adopted by the ECB in September 2014, namely the negative interest rates policy (NIRP). What is the impact on the economy of Eurozone countries and is this policy the best and efficient? We first explain the reasons behind the use of these measures and then examine the effectiveness of the monetary policy conducted by the ECB. We also assess whether, due to the introduction of negative interest rates, the effects of monetary policy on the real economy are characterized by a structural break. The main conclusion of the analysis is that the introduction of NIRP seems to have been ineffective.

This dissertation aims to illustrate the impact of the Zero Lower Bound (ZLB) on nominal interest rates, based on a deterministic simulation of Fernández-Villaverde and Rubio-Ramírez’ (2006) DSGE model of the U.S. economy. I calibrate the model for 2 different steady states, the first based on historical data (old steady state) and the second matching the most recent data, with lower inflation and lower real interest rates (new steady state). Within these calibrations I simulate the impact of a set of representative shocks. The ZLB appears to be of minor relevance in the old steady state while it is found to be a significant constraint in the new steady state. The associated impact on activity is relatively small but not negligible. My results are robust assuming alternative monetary policy rules. Hence, I conclude that conventional monetary policy tools are insufficient to anticipate the increased risk of hitting the ZLB in the new steady state. Further analysis of the exact transmission mechanism is warranted due to the simplified assumptions underlying this dissertation.
Esta dissertação pretende ilustrar o impacto do limiar inferior das taxas de juros nominais (ZLB), com base numa simulação determinística do modelo DSGE para os EUA apresentado em Fernández-Villaverde e Rubio-Ramírez (2006). O modelo é calibrado para 2 estados estacionários, o primeiro com base em dados históricos (antigo estado estacionário) e o segundo com base em dados recentes, caracterizados por uma menor inflação e taxas de juros reais mais baixas (novo estado estacionário). Com base nesta calibrações, é simulado o impacto de um conjunto de choques representativos. O ZLB parece ser de menor relevância no antigo estado estacionário enquanto se verifica ser uma restrição significativa no novo estado estacionário. O impacto associado na atividade é relativamente pequeno, mas não negligenciável. Os resultados são robustos a regras de política monetária alternativas. Assim, concluo que os instrumentos convencionais de política monetária são insuficientes para evitar o maior risco de atingir o ZLB no novo estado estacionário. Mais investigação sobre o mecanismo de transmissão monetária próximo do ZLB é necessário, dadas as hipóteses simplificadoras subjacentes a esta dissertação.

碩士
國立中山大學
經濟學研究所
94
Beginning with the paper of Zhang (2000), we develop a pecuniary transactions cost (TC) approach to build up a monetary endogenous growth model and examine the principal relationships and results concerning nominal interest rate targeting and growth. Meanwhile, according to Hahn (1991) and Eriksson (1995) pointed out there has been a trend decline in labor supply, we introduce the labor-leisure choice of Turnovsky (2000) to amend the utility function and the production function. In the comparison of two macro-models, we can conclude: 1. Under the inelastic labor supply endogenous growth model, if the central bank raises the nominal interest rate targeting will damage to the growth rate. 2. Under the elastic labor supply endogenous growth model, if the central bank raise the nominal interest rate targeting will induce ambiguous effect of the growth rate depending on the labor-leisure choice reaction of nominal interest rate, the bigger reaction may get the higher growth rate.

碩士
輔仁大學
經濟學研究所
99
In this paper, within the endogenous growth of small open economy model, we consider endogenous labour supply, capital externality and the transaction cost of production. The monetary policy expressed that an anticipated permanent increase in nominal interest rate how to affect the relevant economic variables and choice optimal nominal interest rate to achieve social welfare maximization. According to the conclusion we know： (1) Considering endogenous labor supply and production with transaction cost, long run balanced output growth rate equal to consumption growth rate, and the anticipated permanent increase in nominal interest rate not influencing long run balanced output growth rate. This is different from the result of Shaw, Lai and Chang (2005) indicated that long run balanced consumption growth rate converges to fixed value, and monetary policy expressed that an increase of anticipated money supply growth rate let long run balanced economic growth rate decline. (2) Although we consider capital externality, the non-arbitrage condition between physical capital and foreign bond known that capital externality doesnt bring distortion to an open economy. So the optimal nominal interest rate is maintained to zero and this is conformable to the Friedman rule. We also can seek out optimal money supply growth rate which is satisfied social welfare maximization and reduces inflation to let the utility of economic system upgrade.

碩士
世新大學
經濟學研究所(含碩專班)
93
This text puts three assets models of Branson (1976 ) into the stock and expands as four assets models, in order to discuss monetary policy , financial policy and foreign interest rate change impact on exchange rate , interest rate and stock price,In addition to compare with Branson with the static expected, and this text used static expected, too .This text used perfect expected examines the impact of money supplies and financial policy on exchange rate , interest rate and stock price. Found finally that compared with three assets models of Branson (1976 ), when the government carried out the monetary policy, the change is relatively large in range when the exchange rate is in Branson. But both influence to the interest rate are the same. When the government carries out the financial policy, the changes of exchange rate and interest rate, Branson and this research are as good as. At the change, exchange rate range relatively heavy change have among model of Branson as foreign countries interest rate, and the interest rate is influenced by the foreign interest rate elasticity of the national currency and bond demand. So, when assets that the people can choose increase, if happens, the people's rate of returns of assets will be more diversified . When the government implements the policy, no matter the people are static expected or perfect expected, the exchange rate must present the phenomenon of excessive adjustment , and stock price and interest rate may adjust insufficient or excessivly or because of the people's expectancy in a short time jump to balanced to no change. It look at copies of national debt certificate , currency and foreign interest rate elastic size , stock of demand and make to need at this moment. On the other hand, as the government implements the policy, at the time of static expectancy, stock price and interest rate will not be adjusted and checked to a new equilibrium because of the change of F for a long time, but at the time of complete expectancy, stock price and interest rate will follow F change to adjust and check to the new equilibrium .

碩士
國立交通大學
財務金融研究所
96
This paper proposes an accurate Multi-nomial Interest Rate Tree Model for Hull-White Term structural Model that can effectively decrease the pricing error from distribution error and nonlinearity error introduced by the lattices method. The quadrature method is use to extend the H-W trinomial tree model to a multi-nomial one to reduce the distribution error. A novel tree adjustment method is introduced to reduce the nonlinearity error. Numerical experiments on the bond options and the Cap verify the superiority of the proposed model.

碩士
嶺東科技大學
財務金融研究所
99
This research explains that replacement the central bank president the effects of monetary policy changes. The analysis methods used Chang and Lai (2000) established by the monetary endogenous growth model. The chief announcement change for the fixed nominal interest rate in the future economic systems. The results showed that: regardless of which nominal indicators, monetary policy will not affect long-term output growth rate but the results will lead to changes in short-term output growth. The path changes have two different types: one is the nominal money growth rate is less than return of capital externality effect. The first output growth rate is to fall and then rise back to the original level. The other is greater than the nominal money growth rate of the capital externality effect. The output growth rate is increased and then return to previous levels until the fall.

碩士
僑光科技大學
財務金融研究所
105
This study investigates all rates in short, medium and long terms by taking Taiwan area as an example. The samples of this paper taken from the Taiwan Economic Report database, by season frequency data for the analysis, were used by ADF unit root test, Johansen cointegration, Two stage cointegration test, Threshold cointegration test and Threshold Vector Error correction model, and so on for the purpose of this study. We use the regression analysis and find that retail interest rates respond from overnight interbank call-loan rate existence the presence of not complete pass-through of mark-up pricing mechanisms; and the longer the period of the deposit, the pass–through of degree greater. The basic lending rate, whether it is the use of TAR model or MTAR model, with overnight interbank call-loan rate are asymmetric threshold cointegration each other. And the nominal economic growth rate for the threshold variable is detected by the threshold. When adding the nominal economic growth rate as a threshold variable to consider the phenomenon of asymmetric interest rate in adjustment, we find that demand deposit rate will showed up, while basic lending rate, demand deposit interest rate, one month time deposit, three months time deposit, six months time deposit, nine months time deposit, one year time deposit, two years time deposit, one year time save deposit and two years time save deposit will present downward.

Funkcjonowanie Europejskiej Unii Walutowej (UGW) jest jedną z najważniejszych kwestii dla krajów w niej uczestniczących oraz dla tych, które przyjmą wspólną walutę w przyszłości. Doświadczenia strefy euro są również ważne dla pozostałych grup krajów, które chcą utworzyć podobne obszary walutowe. Prezentowane rozprawa próbuje zbadać jedno z potencjalnych zagrożeń dla stabilności takich grup: dywergencje wybranych wskaźników ekonomicznych. Główna hipoteza jest następująca: utworzenie unii monetarnej skutkuje trwałą konwergencją stóp inflacji i długoterminowych stóp procentowych. Z obserwacji wydaje się, że hipoteza ta jest fałszywa i w wyniku przedstawionych badań powinna być zanegowana. Pierwsza część rozprawy skupia na teoretycznych aspektach funkcjonowania unii monetarnej. Część ta jest nie tylko prostym przeglądem podstawowej literatury, ale ze względu na brak głównego nurtu w teorii unii monetarnej lub nawet brak takiej teorii w ogóle, próbuje wybrać z różnych publikacji, te elementy, które mogą opisać funkcjonowanie takich postaci ekonomicznej integracji. Oczywiście zostały zaprezentowane tylko te teorie, które opisują możliwe przyczyny i skutki dywergencji nominalnych (zgodnie z tematem rozprawy). W szczególności teoria optymalnych obszarów walutowych, modele oparte na założeniach neoklasycznych oraz nowych modeli optymalizacji międzyokresowej zostały uwzględnione. Ten rozdział opisuje również wybrane empiryczne prace, które były inspiracją i punktem wyjścia dla własnych badań autora. Te publikacje często zawierają również interesujące wnioski teoretyczne. W drugiej części pracy doktorskiej analizowano dwa wybrane nominalne wskaźniki ekonomiczne ważne dla funkcjonowania Europejskiej Unii Monetarnej: stopę inflacji oraz długoterminowe stopy procentowe (rentowność 10 letnich rządowych papierów dłużnych). Wybór tych wskaźników został oparta nie tylko na teoretycznych wskazówkach, ale także na praktyce funkcjonowania UGW, to jest na kryteriach konwergencji z Maastricht. W odróżnieniu od wielu podobnych badań, w przedstawionej pracy, analizy zostały oparte na interdyscyplinarnych metodach zaczerpniętych z Geograficznych Systemów Informacyjnych (GIS). Dlatego jedną z kluczowych informacji w danych ekonomicznych była lokalizacja, lub lepiej sąsiedztwo, badanej jednostki. Podejście to powoduje, że wiele wyników można przedstawić w postaci map (kartogramów), co pozwala na łatwiejszą ich percepcję, ale także umożliwia zawarcie dużej ilość informacji. Analizy przestrzenne były również uzupełniane innymi narzędziami, na przykład macierzami przejść, które uzupełniały badania o wymiar czasowy (dynamiczny). Ze względu na fakt, że w poprzedniej części rozprawy zostały znalezione silne dowody na istnienie trwałych różnic w stopie inflacji w strefie euro – w przeciwieństwie do stóp procentowych – ostatni rozdział skupia się jedynie na tym wskaźniku i głęboko analizuje dynamiczne procesy wysokości ceny zmiany w obrębie wybranej próby krajów. Badanie przeprowadzono przy użyciu zaawansowanych narzędzi statystycznych i ekonometrycznych, takich jak analiza kointegracji. W celu zapewnienia zgodności z wcześniej użytymi metodami, zdecydowano się na uwzględnienie czynnika przestrzennego w badanych szeregach czasowych. Jest to nowe podejście w tego typu analizach. Kointegrację badano między szeregami inflacji dla każdego kraju i odpowiedniego opóźnienia przestrzennego, w drugiej części pomiędzy szeregami czasowych inflacji dla każdej pary krajów. W wyniku badań, w oparciu o doświadczenia w strefie euro w latach 1997-2007 dla 13 krajów, które posługiwały się wspólną walutą do końca 2007r., można stwierdzić, że utworzenie unii monetarnej może przyczynić się do konwergencji długoterminowych stóp procentowych, natomiast krajowe stopy inflacji utrzymują zwykle trwałe różnice, a niekiedy wykazują tendencję do rozbieżności. Hipoteza określona na początku może być więc tylko częściowo potwierdzona. Ze względu na to, że obecnie istnieje tylko jeden przykład nowoczesnej unii monetarnej, jest za wcześnie na wyciągnięcie ogólnych wniosków, co do funkcjonowania takich form integracji ekonomicznej. Niewątpliwie jednak prezentowana rozprawa doktorska, poprzez użycie nietypowych narzędzi badawczych w zaproponowanej analizie, rzuca nowe światło na opisywane zagadnienia i może być punktem wyjścia do dalszych badań.
The functioning of the European Monetary Union (EMU) is one of the most important issues for the countries that participate in it and for those who are going to adopt single currency in the future. The experience of the Eurozone are also important for the other groups of countries that want to create similar currency areas. Presented thesis attempts to examine one of the potential threats to the stability of such groups: divergences of some economic indicators. The main hypothesis is as follows: the introduction of the monetary union results in sustainable convergence in inflation rates and long-term interest rates. From what is observed, this statement appears to be false and as a result of presented research should be negated. The first part of the dissertation focuses on the theoretical aspect of the functioning of the monetary union. This part is not only a simple review of the basic literature but, due to the absence of the mainstream in the theory of the monetary union, or even the absence of such theory at all, it tries to choose from different publications those elements that might describe the functioning of such economic integration form. Of course there were presented only those theories which describe the possible causes and effects of nominal divergences (according to the subject of the thesis). In particular the theory of the optimal currency areas, the models based on the neoclassical assumptions and also the new intertemporal optimization models were included. This chapter also describes some empirical works which were the inspiration and starting point for the author's own research. Those papers also contain some interesting theoretical conclusions. In the second part of the dissertation were analysed two chosen nominal economic indicators important for the functioning of the European Monetary Union: the rate of inflation and the long term interest rates (10 years government bond yield). The choice of these indicators was based not only on theoretical guidelines, but also on the practice of functioning of the EMU, that is on the Maastricht convergence criteria. Unlike a lot of similar research, in presented thesis, analysis were based on the interdisciplinary methods taken from the Geographical Information Systems (GIS). Therefore, one of the key information in the economic data was the localization, or better the neighbourhood, of the examined unit. This approach caused that many results could be shown in the form of maps, which allows for easier perception but also demonstrate a large amount of information. Spatial analyses were also supplemented with other tools, for example transition matrices, that include to the analysis the temporal dimension (dynamic dimension). Due to the fact that in the previous part of the thesis were found strong evidences of persistent inflation differentials within the Eurozone – contrary to the interest rates – the last chapter focuses only on that indicator and it deeply analyses the dynamic processes of the rate of price changes within the sample countries. The study was performed using sophisticated statistical and econometric tools such as cointegration analysis. In order to ensure consistency with the methods used previously, it was decided to include spatial factor in the examined time series, which is a novelty in this type of investigation. Cointegration was examined between the inflation time series for each country and the corresponding spatial lag time series and in the second part of research between pairs of the inflation time series for each of two countries. As a result of research, based on the experience of the Euro Area in the years 1997-2007 for the 13 countries that introduced common currency by the end of 2007, it can be concluded that forming of monetary union can contribute to the convergence of long-term interest rates, while national inflation rates tend to maintain persistent differentials, if not divergences. Hypothesis set out in the beginning, therefore, can be only partially confirmed. Due to the fact that currently there is only one example of the modern monetary union, it is too early to draw broad conclusions about the functioning of such forms of economic integration. However, there is no doubt that presented doctoral dissertation, through the use of uncommon research tools, sheds new light on the described issues and may be a starting point for further studies.