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Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.
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This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.
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Yi, Chong-ŭn. "International integration, growth, and the World Real Interest Rate." Thesis, Queen Mary, University of London, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.299727.
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GOTTLIEB, JULIA WROBEL FOLESCU. "THE NEUTRAL REAL INTEREST RATE IN BRAZIL: ESTIMATES AND DETERMINANTS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25521@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
A taxa de juros real neutra é umbenchmarkfundamental para caracterizar a orientação da política monetária em determinado período do tempo. Ela varia de acordo com fatores estruturais e conjunturais da economia. O objetivo principal desta dissertação é, a partir de diferentes estimativas econometricas, determinar a evolucao da taxa de juros neutra da economia brasileira e tentar explicar quanto da queda recente se deve às mudanças estruturais, como o processo de estabilização, e quanto se deve a fatores conjunturais e temporários, como a recessão mundial e a flexibilização de política monetária no mundo. De posse dessas estimativas, é possível caracterizar a postura da autoridade monetária nos últimos anos e quão sustentável é adotar uma estratégia de queda de juros baseada na queda da taxa de juros neutra. Além disso, estimamos de diferentes maneiras a taxa de desemprego natural da economia e concluímos que o Brasil passou por mudanças estruturais que motivaram sua queda e a queda da taxa de juros neutra.
The neutral real interest rate is used as a benchmark to characterize the stance of monetary policy in a given period of time. It varies according to structural and cyclical factors in the economy. The main objective of this MSc Thesis is to uncover the neutral interest rate of the Brazilian economy from different estimates and try to explain if the recent decline is due to structural changes, such as the stabilization process, or if it is due to cyclical and temporary factors, such as the global recession and the easy monetary policies around the world. Given this estimates, it is possible characterize the monetary policy stanceduring the last years and evaluate if the decrease in the basic rate (Selic), that started in September, 2011, is sustainable, i.e., ifit is based on the decrease of neutral interest rate. Furthermore, the natural rate of unemployment for the Brazilian economy is also estimated in different ways and it follows that Brazil went through structural changes that allowed the natural unemployment rate and neutral interest rate to fall.
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van, de Wiel Wimjan, and Bock Felix Kristopher. "Real Estate Financing and Interest Rate Hedging : A quantitative real estate investment case study." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36235.
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Background: The expansive monetary policy of the European Central Bank has been leading to all-time-low interest rates and to a strong move into real estate investment. Low interest rates can work in favor of the investor (due to low interest rate expenditures), but increasing interest rates can jeopardize real estate investments. Since changes in interest rates are unpredictable, an investor needs to deal with this volatility. The capital market offers several financial instruments (so-called “derivatives”) to overcome the above-mentioned obstacle. There is no “one-size-fits-all” strategy. The investor needs to decide which financing structure to combine with which form of derivative. Purpose: The investigation not only explains and shows how real estate financing and hedging strategies on a given project in Germany can work but also explains why it is crucial to link these segments. To achieve this purpose, the return on equity and return cash flows at risk are numerically estimated. The evaluative purpose will be served by using the above-mentioned ratios and cash flows to derive recommendations of action. In doing so, this study will illustrate the importance of hedging, particularly for real estate investors and investors in general. Method: Interest rates on a monthly basis for the period of June 1990 until March 2017 from Thomson Reuters Eikon and real life data from a German real estate investor and a German financial institution were collected. Thereafter, these numbers were used as a basis to perform interest rate and cash flow simulations (Monte Carlo). The simulations were used to determine superior financing and hedging strategies for the investor. Conclusion: The results of this study highlight the benefits from leveraged financing and the necessity of interest rate risk management (hedging) to obtain stabilized future cash flows and reduce volatility caused by fluctuating interest rates. Fixed rate loans offer protection against rising interest rates, but lack flexibility. Floating loans offer more flexibility but are riskier due to the unhedged interest rate exposure.
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Thirumurthy, Harsha. "Household saving behavior and the real interest rate: an empirical study." Oberlin College Honors Theses / OhioLINK, 1998. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354811060.
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Wang, Zhiyuan. "Study the relationship between real exchange rate and interest rate differential – United States and Sweden." Thesis, University of Skövde, School of Technology and Society, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-83.
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This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.
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Stubblebine, Michael A. "An Empirical Test of the Real Interest Rate in Germany, 1970-2000." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/34866.
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This thesis is a empirical test of the constancy of the real rate of interest in Germany over the period of 1970 to 2000. The methodology, based on Mishkin (1981), employs Ordinary Least Squares regressions to search for correlation in movements of real rates with lagged inflation, time trends, and ten other variables that commonly appear in the literature. Overall results reject the hypothesis of the constancy of the real rate. The Fisher Effect (Fisher, 1930), that movements in nominal interest rates reflect changes in expected inflation, is found to be only moderate for Germany. The monetary policy implication is that nominal interest rates contain little information about real interest rates and therefore on the tightness of monetary policy. Overall lack of significance in the test results may (as Mishkin found) be because there is so little variation in real rate movements.Master of Arts
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Petersson, Annsofie. "Identifying the Determinants of Exchange Rate Movements : Evaluating the Real Interest Differential Model." Thesis, Jönköping University, JIBS, Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-246.
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Ferreira, Alex Luiz. "The real interest rate parity hypothesis : an investigation for developed and emerging markets." Thesis, University of Kent, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418553.
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Ogunc, Fethi. "Estimating The Neutral Real Interest Rate For Turkey By Using An Unobserved Components Model." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/12607426/index.pdf.
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In this study, neutral real interest rate gap and output gap are estimated jointly under two
different multivariate unobserved components models with the motivation to provide
empirical measures that can be used to analyze the amount of stimulus that monetary
policy is passing on to the economy, and to understand historical macroeconomic
developments. In the analyses, Kalman filter technique is applied to a small-scale
macroeconomic model of the Turkish economy to estimate the unobserved variables for
the period 1989-2005. In addition, two alternative specifications for neutral real interest
rate are used in the analyses. The first model uses a random walk model for the neutral
real interest rate, whereas the second one employs more structural specification, which
specifically links the neutral real rate with the trend growth rate and the long-term course
of the risk premium. Comparison of the models developed by using various performance
criteria clearly indicates the use of more structural specification against random walk
specification. Results suggest that though there is relatively high uncertainty surrounding
the neutral real interest rate estimates to use them directly in the policy-making process,
estimates appear to be very useful for ex-post monetary policy evaluations.
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Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Ajagunna, Peter Adegbola. "Real exchange rate and ageing population of the G20 countries." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14459.
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Mestrado em Economia Monetária e FinanceiraNosso estudo é com base na recolha de dados relevantes das economias do G20 com a inclusão da Grécia, Portugal, Espanha e Nigéria. Os dados coletados são variados em um período de 35 anos (1980 - 2015) e a metodologia empregada é a Técnica de Regressão Linear na qual três modelos foram estimado, nomeadamente: modelos OLS agrupados, efeitos aleatórios (RE) e efeito fixo (FE). O FE modelo que é nosso modelo preferido e ótimo mostra que a coorte da população em idade de trabalhar - que se diz serem produtivas, têm uma associação depreciadora ao RER doméstico. No entanto, a relação da antiga coorte dependente parece ser ambígua, pois mostra que temos um efeito depreciador sobre o RER doméstico no modelo de referência, tendo uma apreciação efeito sobre o RER doméstico após executar um modelo de forma reduzida - um modelo baseado em dados demográficos variável e termos de troca. Isso só foi interpretado como sendo que nosso modelo não é muito robusto para mostram consistentemente a associação entre a coorte do envelhecimento e o RER de uma economia.
Our study is based on the collection of relevant data from the G20 economies with the inclusion of Greece, Portugal, Spain and Nigeria. The data collected is ranged over a period of 35 years (1980 - 2015) and the methodology employed is the Linear Regression Technique in which three models were estimated, namely: Pooled OLS, Random Effect (RE), and Fixed Effect (FE) models. The FE model which is our preferred and optimal model shows that the working age population cohort - which are said to be productive have a depreciating association to the domestic country RER. However, the relation of the old dependant cohort seems to be ambiguous as it shows us to have a depreciating effect on the domestic RER in the benchmark model while having an appreciating effect on the domestic RER after running a reduced form model - a model based on demographic variable and terms of trade. This was only interpreted to be that our model is not very robust to consistently show the association between the ageing cohort and the RER of an economy.
info:eu-repo/semantics/publishedVersion
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Ismail, Safir, and Truc Axel Kristola. "The negative intereste rate’s effect on the real estate market and its participents." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191305.
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When the Riksbank took the historic decision to cut the repo rate below zero, forecast at the same time was that it would be back on positive ground by the end of 2016. Now that the repo rate is adjusted down further Riksbank predicts that interest rates will remain negative until at least the turn of the year 2017-2018. The phenomenon of "negative interest rate" has thus become more than just the short paranthesis as it was initially meant to be. The purpose of this paper is therefore to examine how the low interest rates in general, and the negative interest rate in particular, affects the real estate market and its participants. Furthermore, it is investigated whether some participants relate to the negative interest rate differently than others, and if their expectations of the interest rate and the market's future development are different. The negative interest rate is a highly topical and new phenomenon and this kind of study has not been done before. The work is mainly built on qualitative interviews founded on a phenomenographical research approach, which aims to, based on an expert but heterogeneous respondent group, try to draw general conclusions on the basis of the answers received. Representatives from real estate funds, listed real estate companies, institutional real estate company, KTH, a real estate consultant and a bank were interviewed, in order to highlight the phenomenon from as many perspectives as possible. Quantitative surveys are also used to enhance reliability of the essay and its internal validity. The obtained empirical data shows that the only direct effect that the negative interest rates has is that the companies using leverage get a "mismatch" when they tie their interest rates with interest rate swaps- This is due to the STIBOR-floor that banks have put in place, which basically means they get higher interest costs, the more negative the interest rate is. Further, listed property companies are considered to be the investor category that has benefited most from low interest rate environment, this because of their relatively high leverage ratios, but also as they have effectively been able to use the capital market as an alternative source of funding. The low interest rates have meant that property values have risen rapidly, but all increases are not considered as justified. As for the respondents’ approach towards the market, it can be stated that the listed real estate companies have begun to position themselves for a possible touchdown on the market while the unleveraged institutional investors, continued to seek higher real estate exposure. In terms of the respondents’ future expectation about interest rate developments, it is clear from the response that the majority expect that low interest rates may be for a while but should then return to more normal levels, while the other two believed that the low interest rates instead may become the new normal.När Riksbanken tog det historiska beslutet att sänka reporäntan under nollstrecket prognostiserades samtidigt att densamma skulle vara tillbaka på positiv mark redan i slutet av 2016. När nu reporäntan justerats ner ytterligare spår Riksbanken att räntan kommer att vara fortsatt negativ minst fram till årsskiftet 2017-2018. Fenomenet "minusränta" har således blivit mer än bara den korta parentes som det initialt var tänkt att vara. Uppsatsens syfte är följaktligen att undersöka på vilket sätt de låga räntorna i allmänhet, och den negativa räntan i synnerhet, inverkar på fastighetsmarknaden och dess aktörer. Vidare utreds huruvida vissa aktörer upplever/förhåller sig till den negativa räntan på annorlunda sätt än andra, samt ifall deras förväntingar om räntans och marknadens framtida utveckling skiljer sig åt. Minusräntan är ett högst aktuellt och nytt fenomen och denna typ av studie som belyser dess konsekvenser på fastighetsmarknaden har inte gjorts tidigare. Arbetet bygger främst på kvalitativa intervjuer baserade på en fenomenografisk forskningsansats, vilken syftar till att, utifrån en sakkunnig men heterogen respondentgrupp, försöka dra generella slutsatser med utgångspunkt i de mottagna svaren. Representanter från fastighetsfonder, börsnoterade fastighetsbolag, institutionellt ägda fastighetsföretag, KTH, en fastighetskonsult och en bank intervjuades för att belysa fenomenet ur så många perspektiv som möjligt. Kvantitativa enkäter används vidare för att stärka uppsatsens reliabilitet och dess inre validitet. Den erhållna empirin visar att den enda direkta effekten som just minusräntan har är att de belånade fastighetsaktörerna får en "missmatch" när de binder sina räntor med ränteswappar. Detta på grund av det STIBOR-golv som bankerna har infört, vilket i princip innebär att de får högre räntekostnader ju mer negativ räntan är. Vidare anses börsnoterade fastighetsbolag vara den investerarkategori som har gynnats mest av lågräntemiljön, detta delvis tack vare deras relativt höga belåningsgrader, men även då de effektivt har kunnat utnyttja kapitalmarknaden som alternativ finansieringskälla. De låga räntorna har inneburit att fastighetsvärdena snabbt har stigit, men alla höjningar anses inte vara lika befogade. Vad gäller aktörernas ställningstagande gentemot marknaden kan det fastläggas att de börsnoterade fastighetsbolagen har börjat positionera sig inför en eventuell sättning på marknaden medan de obelånade institutionella investerarna å sin sida fortsatt söker ökad fastighetsexponering. I fråga om respondenternas framtida förväntingar om räntans utveckling framgår av gensvaret att majoriteten förväntar sig att de låga räntorna kan bestå ett tag till för att sedan återgå till mer historiskt normala nivåer, medan de övriga två tror att de låga räntorna istället kan komma att bli det nya normala.
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Gaspar, João Victor Santos Costa. "The impact of real estate market in financial stability : commercial banks exposure." Master's thesis, FEUC, 2016. http://hdl.handle.net/10316/30728.
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Dissertação de mestrado em Economia, apresentada à Faculdade de Economia da Universidade de Coimbra, sob a orientação de Hélder Sebastião.This paper studies key factors and spillovers concerning the real estate market connection to the banking system, in four very different European countries. Nowadays, banks are strongly engaged in housing related activities, therefore changes in real estate value most probably have a non-trivial impact on bank´s profitability, either through direct investment or due to housing related loans. Using monthly data since 2000 until 2014 for four countries (France, Portugal, Sweden and United Kingdom) I found evidence that indeed the real estate is an important factor when one measures the costs and profits related to the banking system, it is also noticed that direct banking investment in this sector or massive engagement in mortgages related loans, are variables more important to control than the interest rate, for these European cases. My findings also suggest that the monetary policy in Europe should take into account this relationship between banking and the real estate market.
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Hasic, Dino, and Ajdin Pasic. "Ränteswappar i svenska fastighetsbolag : en kvalitativ studie som diskuterar hur användandet av ränteswappar ser ut idag bland svenska fastighetsbolag." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-297555.
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Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. För att besvara studiens problemformulering har en kvalitativ metod använts, där fem semistrukturerade intervjuer med både fastighetsbolag och en bank varit utgångspunkten till arbetets slutsats. Studiens resultat visar att samtliga tillfrågade fastighetsbolag har en egen räntesäkringsstrategi och egna preferenser vad gäller räntederivat. Idag använder en klar majoritet av svenska fastighetsbolag ränteswappar i sina räntesäkringsstrategier, men studien tyder på att mindre aktörer på marknaden eventuellt i framtiden kommer söka sig till simplare lösningar. Vidare visar studien att varken coronapandemin, IFRS regelverket eller Swestr påverkar fastighetsbolagens förhållningssätt till ränteswappar. Däremot kan det externa ratingbetyget indirekt ha en koppling till hur ett fastighetsbolag väljer att hedga sig mot räntefluktuationer. Studiens område är fortsatt vagt undersökt och ämnet kommer förbli intressant att forska vidare på i framtiden.This study deals with the factors that affect Swedish real estate companies´ views on interest rate swaps and whether the corona pandemic, the IFRS regulations, the new reference interest rate Swestr or the companies external rating have any significance in this. The study further examines how the demand for interest rate swaps has changed and how the future looks like. To fulfill the purpose of the study, a qualitative method has been used, with five semi-structured interviews with both real estate companies and a bank. The collected answers have formed the basis of this paper's conclusion. The results of the study show that all real estate companies surveyed have their own interest rate hedging strategy, and their own preferences on interest rate derivatives. A majority of Swedish real estate companies use interest rate swaps today in their interest rate hedging strategies, but this study indicates that smaller real estate corporations in the market may seek more simple solutions in the future. Furthermore, the study indicates that neither the coronavirus pandemic, the IFRS regulations nor Swestr has an impact in the real estate companies´ approach towards interest rate swaps. On the other hand, the external rating can indirectly be a reason why real estate companies choose to hedge with interest rate derivatives against interest rate fluctuations. The field of study is still vaguely researched and the subject will remain interesting to research in the future.
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CARTER, SABRINA, and JOHANNA LARSSON. "Index-Linked Mortgages in Sweden : A Study of an Alternative Mortgage Structure." Thesis, KTH, Entreprenörskap och Innovation, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147789.
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Households generally have little or no possibility to unload their real estate risk, which constitutes a large part of their total portfolio risk. The aim of this study is to analyze a way for households to unload this risk through a socalled index-linked mortgage financed by a fund. The study examines how such a mortgage could be structured, and how it will affect he bank, the borrower and the fund investor compared to a conventional mortgage. The ominal loan value and therefore also the interest payments of the studied index-linked ortgage will vary according to the HOX Flats Stockholm Index. Through linear optimization, the structure is optimized from a borrower’s perspective but is subject to a set of constraints on the bank’s and the fund’s profitability and risk levels. The optimal structure is tested through a scenario analysis for different outcomes of apartment price developments and also hrough a sensitivity analysis to test the effect of shifting conventional mortgage rates. The esults show that the interest rate payment burden will consistently be lower for the index-linked mortgage than for the conventional mortgage. The borrower is insured against house price drops but have to give up some of the upside potential on the property investment if house prices increase. The fund gets a satisfactory payoff in relation to the real estate arket movement while it is somewhat protected when house prices decline. The bank issuing the mortgages will always experience a profit, but the conventional mortgage is more profitable or negative index scenarios. Furthermore, the probability of default decreases for the index- inked mortgage holder when prices drop as the loan to value ratio (LTV) always remains elow 100 percent for index decreases up to 40 percent. The structure is appropriate for owincome households who will have difficulties paying back the loan when apartment prices rops. This study contributes to theory in hedging of real estate risk, mortgage risk and inancial innovation.Hushåll har generellt få möjligheter att försäkra sig mot husprisrisk som idag utgör en stor del av hushållens totala portföljrisk. Denna studie undersöker en möjlighet för hushåll att försäkra sig mot sådan risk genom ett så kallat index-länkat bolån som finansieras genom en fond. Studien kontrollerar hur ett index-länkat lån kan struktureras och hur det påverkar banken, låntagaren och fondinvesteraren i jämförelse med ett traditionellt bolån. Lånets nominella värde och därmed även räntebetalningarna som är kopplade till lånet varierar enligt förändringar i HOX Flats Stockholm Index. Lånestrukturen optimerats genom linjär optimering med hänsyn till låntagarens lönsamhet och med bivillkor på bankens och fondens risktagande respektive lönsamhet. Den optimerade strukturen testas genom scenarioanalys för olika utfall av lägenhetsprisutveckling samt genom en känslighetsanalys av den raditionella bolåneräntan. Resultaten visar att den månatliga betalningsbördan för räntebetalningarna alltid kommer att vara lägre för hushåll som håller ett index-länkade bolånet än för de som innehar ett vanligt lån. Det index-länkade lånet innebär att bolånetagare får ge upp en viss del av vinsten då bostadspriser stiger i förhållande till ett vanligt bolån men ger ett skydd mot förluster vid en nedgång i bostadspriser. Fonden visar sig kunna ge en god avkastning i relation till indexets utveckling och ger ett visst skydd mot fall i bostadsmarknaden. Banken som ger ut indexlänkade bolån kommer alltid att gå med vinst, dock är vanliga bolån mer lönsamma vid nedgång i huspriser. Fortsättningsvis minskar risken att ”defaulta” för hushåll med det index-länkade bolånet då huspriser faller eftersom strukturen innebär ett loan to value ratio (LTV) under 100 procent upp till en prisnedgång på 40 procent. Resultatet visar att index-länkade lån passar låginkomsttagare och hushåll som ommer att ha svårt att betala tillbaka sitt lån om bostadspriserna faller. Studien bidrar till teori inom husprisriskförsäkring samt till teori inom finansiell innovation
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Chernavsky, Emilio. "Sobre a construção da política econômica: uma discussão dos determinantes da taxa real de juros no Brasil." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-22052007-160330/.
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As taxas reais de juro básicas que têm sido praticadas no Brasil ao longo de um período de já quase quinze anos têm se mantido de forma permanente em níveis extremamente elevados quando comparadas com as taxas historicamente praticadas no país, ou quanto colocadas em uma perspectiva internacional. Neste trabalho, procurou-se proceder a uma análise crítica sistemática das principais teorias sugeridas pelo campo ortodoxo da teoria econômica com o objetivo de explicar a situação excepcional do Brasil, examinando os resultados empíricos por elas obtidos. De um modo geral, a análise conduzida não encontrou evidências satisfatórias capazes de sustentar a relevância ou por vezes a própria validade das teorias examinadas, as quais demonstraram claramente ser tanto teórica quanto empiricamente insuficientes para justificar a manutenção dos níveis das taxas reais de juro praticados no país. Assim, as conclusões e recomendações de política construídas a partir do conjunto de teorias aqui analisado cuja adequação para o caso brasileiro é posta em dúvida neste trabalho devem ser normalmente vistas com reserva. Por outro lado, procedeu-se a uma análise crítica dos fundamentos teóricos e empíricos sobre os quais se apóia a maneira em que a política monetária tem sido conduzida no país, de forma a verificar se as excepcionais taxas reais de juro brasileiras não decorreriam das necessidades impostas por uma política cujo principal objetivo declarado é manter o controle da inflação. Após proceder ao exame desses fundamentos, não se encontraram na condução da política monetária os elementos que pudessem justificar a particularidade daquelas taxas. Tendo a abordagem ortodoxa se mostrado globalmente insatisfatória como forma de explicar as taxas reais de juro brasileiras, é introduzida uma abordagem alternativa baseada na economia das convenções, a qual se mostrou a princípio capaz de fornecer bons indicativos para resolver a questão.The basic real interest rates which have been in place in Brazil throughout a period of almost fifteen years remained at extremely high levels when compared against those rates historically valid in the country or when placed into an international perspective. This work has tried to proceed to a systematic analysis of the main theories suggested by the economic orthodoxy, which aim to explain the exceptional situation of Brazil, examining the empirical results such theories have obtained. In a general manner, the analysis has not found satisfactory evidences able to support the relevance or even in some cases the validity for the examined theories, which have clearly demonstrated being both theoretically and empirically insufficient to explain the maintenance of the levels of real interest rates in Brazil. Thus, the conclusions and policy recommendations built from such theories whose capacity of fitting to the Brazilian case was challenged in this work must be taken with particular care. By the other hand, it was performed an analysis on the theoretical and empirical grounds of the manner in which monetary policy was conducted in the country, in order to verify whether the exceptional Brazilian real interest rates could not be originated from the requirements imposed by a policy whose main declared target consists in maintaining the control of the inflation level. After examining those fundamentals, no elements on the monetary policy conduction were found which could justify the peculiarity of those rates. As the orthodox approach turned to be globally unsatisfactory as a way of explaining the Brazilian real interest rates, it was introduced an alternative approach, based on the economics of conventions, which showed itself as being able at first to provide useful insights to help to solve the question.
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Liu, John. "Diferencial de juros e taxa de câmbio: um estudo empírico sobre o Brasil pós-plano real." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/2054.
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Previous issue date: 2007-02-05T00:00:00ZThis thesis examines the relationship between interest rates and exchange rate movements using the Uncovered Interest Rate Parity (UIP). Assuming rational expectations, we evaluated Brazilian data from Plano Real (July 1986) until August 2006. We found evidences that lead to reject UIP in the long run. Furthermore, we investigated the presence of UIP without the assumption of rational expectations. We used market surveys of future exchange, published at the Boletim Focus. We also found evidences that give no support to UIP hypothesis.
Esta dissertação procura examinar a relação entre taxas de juros e os movimentos da taxa de câmbio, a partir da paridade descoberta de juros (PDJ). Foi utilizado o procedimento pressupondo expectativas racionais e foi testada a validade da PDJ com dados da economia brasileira desde o Plano Real (julho de 1994) até agosto de 2006. Encontramos evidências que levam à rejeição da PDJ no longo prazo. Além disso, foi examinada a validade da PDJ sem a necessidade de utilizar a hipótese de expectativas racionais, foram utilizadas as previsões de câmbio dos analistas financeiros, publicadas no Boletim Focus de novembro de 2001 a novembro de 2006. Também encontramos evidências que levam à rejeição da PDJ no Brasil.
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Roihjert, Samuel, and Viktor Åhlander. "Real estate as an investment alternative in an environment with low interest rates and inflation – A comparison between Japan and Sweden." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-190176.
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Today’s market situation for real estate and property developers in Sweden is very unique. It is characterized by low to negative interest rates and low to no inflation. However, many of the existing economic theories are based on positive interest rates and a positive inflation. This has resulted in uncertainties for investors and market players how to assess this new situation and be able to adequately predict how this will affect the real estate market. The purpose of this thesis has been to investigate how a low interest rate and inflation environment affects real estate, as an investment alternative. The thesis looks closer on the Japanese market since they have had a low interest rate and inflation environment from the middle of 1990’s. The thesis has investigated what kind of relationship that exists between the return but also the prices from real estate and different macroeconomic variables such as the interest rate, the inflation and the GDP growth. The thesis has been performed at Vasakronan, a leading property company in Sweden. Vasakronan management has provided valuable guidance and assisted in making prioritizations of the very extensive data material. Real estate can be considered a good investment alternative and that they still generate a rate of return over time in a low interest rate and inflation environment. Furthermore the findings show that the interest rates and the inflation do not have any direct effect on the real estate returns in a low interest rate and inflation environment. However, we have found that it exist other variables that affect the real estate returns which in turn are affected by the interest rates and the inflation meaning that the returns for real estate are indirectly influenced by the interest rates and inflation. One of the most important variables is the GDP growth, which has an influential impact on the real estate returns. The demand and supply for real estate as well as the expectation concerning the future is also variables that influence the real estate market and returns. As long as the economy is growing as well as the demand is high and future expectations is positive, real estate can still be considered to be a relative secure and good investment.Dagens situation på fastighetsmarknaden är väldigt unik. Den är präglad av låga och negativa räntor och låg inflation. Många av de existerande ekonomiska teorierna är baserade på positiva räntor och en positiv inflation. Detta har resulterat i osäkerheter på marknaden hur denna situation kan komma att påverka fastighetsmarknaden i framtiden. Syftet med detta arbete är att undersöka hur fastigheter som ett investeringsalternativ uppför sig i en miljö med låga räntor och inflation. I arbetet undersöker vi närmare Japans fastighetsmarknad eftersom de har haft låga räntor och inflation enda sedan mitten av 1990-talet. Vi kommer vidare undersöka vad för relation som existerar mellan både avkastningen på fastigheter och fastighetspriserna gentemot olika makroekonomiska variabler. De makroekonomiska variablerna är räntan, inflationen och ekonomisk tillväxt i form av BNP. Detta arbete har skrivits i sammarbete med Vasakronan, Sveriges största fastighetsbolag där de har assisterat oss I nödvänding vägledning under arbetsprocessen. Beträffande hur fastigheter uppför sig i en miljö med låga räntor och inflation som är observerat idag har vi funnit att de fortfarande genererar en avkastning över tid och kan anses som ett bra investeringsalternativ. Vi har funnit att räntorna och inflationen inte verkar ha samma direkta effekt som kunde förväntas gällande avkastningarna för fastigheter i en miljö med låga räntor och inflation. Däremot har vi funnit att det existerar andra variabler som påverkar fastigheters avkastning, vilka är direkt påverkade av räntorna och inflationen. Det betyder att räntorna och inflationen ändå indirekt påverkar fastigheters avkastningar. En av de viktigaste faktorerna är den ekonomiska tillväxten som har en tydlig påverkan på fastigheters avkastning och priser. Utbud och efterfråga tillsammans med framtida förväntningar är också viktiga variabler som påverkar fastighetsmarknaden och deras avkastningar. Så länge det existerar ekonomisk tillväxt tillsammans med optimistiska förväntningar på framtiden och en hög efterfrågan så kan fastigheter betraktas som en god och ett säkert investeringsalternativ
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Moscoso, Rubino Eduardo. "Extremely Low and Variable Bandwidth Image Compression with Region of Interest Applied to Real Time Underwater Robotic Interventions." Doctoral thesis, Universitat Jaume I, 2018. http://hdl.handle.net/10803/482217.
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A new fast and progressive set-partitioning image compression parallel algorithm with Region Of Interest (ROI) which outputs an embedded bit oriented rate-distortion optimized stream and addresses very low bit rate compression is presented.User defined variable packet sizes make it suitable for the implementation of any communications protocols, either underwater or in any other scenario, while remaining competitive with current state-of-the-art compressors at higher bit rates.A parallel algorithm for the Discrete Wavelet Transform (DWT) based on the lifting scheme is also presented and it is shown to be optimal in the sense that no other implementation may be faster if memory saturation is achieved.The best ordering for the significant and refinement bits of the transform coefficients is derived, using the Mean Squared Error (MSE) as the error measure, by fitting a Probability Density Function (PDF) to the transform coefficients and weighting the error for each range of coefficients by its respective DWT subband gain.A general scheme for Region Of Interest (ROI), including a non-linear scaling ROI, is presented in which the lower bitplanes of the foreground coefficients are delayed in exchange for better background reconstruction, achieving a more effective blending of foreground and background information.Finally, an implementation for both 32-bit and 64-bit ARM and x86 architectures was validated in an actual wireless underwater robotic teleoperation context.Se presenta un nuevo algoritmo rápido y progresivo de compresión de imagen con Region De Interés (ROI) que emite un flujo optimizado de distorsión y trata una compresión de tasa de bits muy baja. Los tamaños de paquete variables definidos por el usuario lo hacen adecuado para el implementación de cualquier protocolo de comunicación, ya sea bajo el agua o en cualquier otro escenario, sin dejar de ser competitivo con los actuales compresores de última generación a mayores tasas de bits. Un algoritmo paralelo para la Transformada Wavelet Discreta (DWT) basado en el esquema de lifting es también presentado y se muestra como óptimo en el sentido de que ninguna otra implementación puede ser más rápida si se logra la saturación de la memoria. Se obtiene el mejor orden para los bits significativos y de refinamiento de los coeficientes de transformación, usando el Error Cuadrático Medio (MSE), al ajustar una función de densidad de probabilidad (PDF) a los coeficientes de transformación y ponderar el error para cada rango de coeficientes por su respectiva ganancia de subbanda DWT. Se presenta un esquema general para la Región de Interés (ROI), incluyendo un ROI de escalado no lineal, en el cual los planos de bit más bajos de los coeficientes de primer plano se retrasan a cambio de una mejor reconstrucción de fondo, logrando una efectiva combinación de información de fondo y de frente. Finalmente, se validó una implementación para las arquitecturas ARM y x86 de 32 bits y de 64 bits en un contexto de teleoperación robótica bajo el agua real.
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Jonasson, Jesper, and Tobias Rosén. "The influence of real estate price fluctuations on real estate stocks : An analysis of Swedish asset classes." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44330.
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With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure would treat the investor with an additional return beyond the return given from stock market exposure; hence, real estate price development has contributed to real estate stock returns.
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Ekici, Tufan. "An investigation of credit card debt." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1141228519.
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Thesis (Ph. D.)--Ohio State University, 2006.An investigation of credit card debt: the effect of price and income expectations and the impact on consumption. Includes bibliographical references (p. 108-111).
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Matulovic, Marcio Oliveira. "Os determinantes macroeconômicos do spread bancário para pessoas físicas e jurídicas no Brasil: uma análise do período pós plano real." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13508.
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This research aims to empirically analyze the macroeconomic factors that determined the bank spread levels charged to individuals and legal entities in Brazil in the Real Plan postadoption period through December 2012. In order to do it a vector autoregression model was used with representative variables of macroeconomic factors. The research also shares some characteristics of the banking industry in Brazil and the credit market particularities for individuals and legal entities. These results suggest that: (i) the discount interest rate of the Central Bank of Brazil was the main macroeconomic determinant factor of the bank spread to individuals and legal entities; (ii) While an impact on the inflation level had greater influence on the spread practiced for individuals, an impact on the volatility of the discount interest rate of the Central Bank of Brazil had positive influence on the spread used for legal entities.
Este trabalho tem por objetivo a análise empírica dos fatores macroeconômicos que determinaram os níveis de spread bancário para pessoas físicas e pessoas jurídicas no Brasil no período pós-adoção do Plano Real até dezembro de 2012. Para isso foi utilizado um modelo de auto regressão vetorial com variáveis representativas de fatores macroeconômicos. O Trabalho expõe ainda algumas características da indústria bancária no Brasil e as particularidades do mercado de crédito praticado para pessoas físicas e pessoas jurídicas. Os resultados deste trabalho evidenciaram que: (i) a taxa básica de juros foi o principal fator macroeconômico de influência do spread praticado tanto para pessoas físicas quanto para pessoas jurídicas; (ii) Enquanto um impacto no nível de inflação ocasionou maior influência no spread para pessoas físicas, um impacto na volatilidade da taxa básica de juros influenciou positivamente o spread para pessoas jurídicas.
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Lopes, Sara Bárbara Dutra. "Real World Economic Scenario Generator." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21442.
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Doutoramento em Matemática Aplicada à Economia e GestãoNeste trabalho apresentamos uma metodologia para simular a evolução das taxas de juros sob medida de probabilidade real. Mais precisamente, usando o modelo de mercado Shifted Lognormal LIBOR multidimensional e uma especificação do vetor do preço de mercado do risco, explicamos como realizar simulações das taxas de juro futuras, usando o método de Euler-Maruyama com preditor-corretor. A metodologia proposta permite acomodar a presença de taxas de juro negativas, tal como é observado atualmente em vários mercados. Após definir a estrutura livre de default, generalizamos os resultados para incorporar a existência de risco de crédito nos mercados financeiros e desenvolvemos um modelo LIBOR para obrigações com risco de crédito classificadas por ratings. Neste trabalho modelamos diretamente os spreads entre as classificações de ratings de acordo com uma dinâmica estocástica que garante a monotonicidade dos preços dos títulos relativamente às classificações por ratings.
In this work, we present a methodology to simulate the evolution of interest rates under real world probability measure. More precisely, using the multidimensional Shifted Lognormal LIBOR market model and a specification of the market price of risk vector process, we explain how to perform simulations of the real world forward rates in the future, using the Euler-Maruyama scheme with a predictor-corrector strategy. The proposed methodology allows for the presence of negative interest rates as currently observed in many markets. After setting the default-free framework we generalize the results to incorporate the existence of credit risk to our model and develop a LIBOR model for defaultable bonds with credit ratings. We model directly the inter-rating spreads according to a stochastic dynamic that guarantees the monotonicity of bond prices with respect to the credit ratings.
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Panajotovová, Monika. "Stanovení optimálních parametrů úvěrů na realitním trhu a jejich praktické využití v budoucnu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-232554.
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This master´s thesis examines the development of real estate financing in relation to the credit crunch. Accordnig to main causes of fluctuations in history, comparing interest rates, mortgage loans, property development and investment in time, it models the evolution of optimal interest rates of real estate market. The loans’ optimal parameters with combination of types of bank financing in the real estate market with regard to its sustainable development as a separate and independent global market with strong inclusion among the other market sectors, are formed there. In this dissertation the analysis of financing methods will be used, comparative method of commercial banks‘ interest rate and analysis of commercial interest rates‘ structure. The result of the work we expect to be optimistic, realistic and pessimistic scenarios of futher development of real estate finance market and the model of the optimal interest rates‘ structure.
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Cruz, Andre Pires da. "Impactos de fatores condicionantes do volume de crédito." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-04122005-115445/.
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O fato de haver na economia brasileira um baixo volume de crédito ao setor privado, tornando mais difícil o acesso das empresas a financiamentos que lhes possibilitem aceitar projetos de investimentos que as faria maiores e mais lucrativas, desenvolvendo o setor empresarial e a sociedade como um todo, é a motivação deste trabalho que busca avaliar o impacto de três fatores específicos no nível de crédito ao setor privado existente em um país: (i) o nível de eficiência jurídica; (ii) o grau de instabilidade econômica; e (iii) o volume de poupança total. A importância de tais fatores é fundamentada na revisão da literatura e sua análise, através do uso de regressões simples e múltiplas do tipo cross-section envolvendo 207 países, confirmou em todas as especificações a hipótese de que quanto mais eficiente for o sistema jurídico de um país, maior será o volume de crédito nele disponível. O grau de instabilidade econômica e o nível de poupança se mostraram também fatores condicionantes do volume de crédito, mas não em todas as especificações e com um impacto menor ao verificado para o sistema jurídico. Estimativas mostraram que o volume de crédito ao setor privado no Brasil seria 43% superior ao observado caso houvesse uma melhoria de apenas meio desvio padrão nas medidas referentes às três variáveis independentes acima citadas. Fatores adicionais foram brevemente avaliados como o nível da taxa de juros real, o grau de participação nos fluxos internacionais de comércio e o nível de desenvolvimento. Esses fatores se mostraram também importantes e merecem estudos que os tenham como foco. Espera-se com este estudo contribuir para a compreensão do funcionamento do mercado de crédito e para a discussão a respeito de medidas e posturas que possam ser adotadas no Brasil e no mundo visando seu desenvolvimento, que se reflete no desenvolvimento das empresas e da sociedade.The fact that the Brazilian economy has a low volume of credit available to the private sector, making it difficult for the companies to have access to loans which would able them to accept investment projects and could make them larger and more profitable companies, developing the business sector and the society, is the motivation of this work that reaches to evaluate the impact of three specific factors in the credit volume existing in one country to the private sector: (i) the level of the legal system efficiency; (ii) the economic instability level; and (iii) the total volume of savings accounts. Those factors importance are based on the literature review and its analysis, by the use of simple and multiple cross-section regressions involving (two hundred and seven) 207 countries, have confirmed in all of the specifications that as more efficient is its legal system, higher will be the volume of credit available in such country. The economic instability level and the total volume of savings accounts have showed also to be factors related to the credit volume, but not in all specifications and with a lower impact compared to the impact verified by the legal system. Estimations have showed that the credit volume to the private sector in Brazil would be 43% higher than the actual in case an improvement of only half standard deviation in the measures referred to the 3 independent variables above mentioned. Additional factors were also briefly evaluated, like the real interest rate level, the participation on the international trade flow and the development level. Such factors have also showed importance and do deserve studies of their own. It is a purpose of this study to contribute for the understanding of the credit market and its performance and for the discussion of measures and postures, which could be adopted in Brazil and in the world objecting its development that reflects on the companies and the society development.
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Hertel, Kelly Santana. "A taxa básica de juros e seu impacto sobre o endividamento público : uma análise do período pós-Plano Real." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2006. http://hdl.handle.net/10183/10800.
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A Selic, uma das mais elevadas taxas básicas de juros do mundo, tem sido utilizada pelo Governo Brasileiro com o intuído de controlar a inflação. No entanto, tal mecanismo tem gerado importantes impactos na economia brasileira, principalmente sobre os outros agregados macroeconômicos, como a dívida pública, as exportações, os investimentos e o câmbio. O presente trabalho pretende explicar como os elevados índices da Taxa Selic, enquanto mecanismo de controle da inflação, tem repercutido na economia brasileira, mostrando seus impactos sobre os agregados macroeconômicos acima mencionados. Em um primeiro momento são analisados as funções e determinações dos juros para duas escolas de pensamento econômico, a keynesiana e a monetarista. Posteriormente, será estudada a composição e a estrutura do Sistema Financeiro Brasileiro e a taxa de juros básica (SELIC), ressaltando alguns de seus impactos. No capítulo seguinte, será feita uma breve análise da dívida pública brasileira, considerando seu caráter externo até meados da década de 1990 e a mudança para o caráter interno, após esse período. Nesse momento, buscar-se-á explicar como ocorreu essa alteração de importância do alto endividamento externo em relação ao PIB em um primeiro momento, para um alto endividamento interno, expresso na dívida mobiliária federal. Em uma última análise, algumas soluções serão propostas, almejando minimizar os efeitos negativos da política de juros sobre a dívida pública.The SELIC, one of the highest interest rates of the world has been used for the Brazilian Government with the goal to keep the control of the inflation. However, such mechanism has generated important impacts in the Brazilian Economy, mainly on another macroeconomics agregates as public debt, exports, investments and exchange. The present work wants explain how the highest SELIC rates, like a inflation mechanism control has influenced in Brazilian Economy showing the impacts over the macroeconomic agregates mentioned above. In a first moment will be describe the interest function and determinations for two schools of economic thought the Keynesianism and Monetarism. Later will be analized the composition and structure of the Brazilian Financial System and the interest rate (SELIC) detaching some of the impacts. In the next chapter, a brief analisys of the Brazilian public debt, considering the external caracter until the midle of the years 1990 and the change to a domestic caracter after this period. At this moment, it will be explaining how this change of importance has been occured from the highest extern debt, as a GDP proportion, in a first moment, to the highest domestic public debt composed mainly of federal movable debt. At the least, some alternative solution will be proposed, looking for minimize the effects of the interest rates over the public debt.
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Silveira, Thais Hae Ok Brandini Park. "O Plano Real e o balanço de pagamentos do Brasil." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/2/2133/tde-31072015-175436/.
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Este trabalho tem como objetivo analisar o Plano Real e o Balanço de Pagamentos do Brasil. O que se pretende verificar é se o Plano Real é consentâneo ao sistema de Direito Brasileiro. Para tanto, a análise foi dividida em três blocos. No primeiro, que compreende os Capítulos I e II, foram apresentadas noções indispensáveis para a compreensão do assunto: de preço, poder de compra da moeda e taxa de câmbio. Na oportunidade, também se esclareceu que o Plano Real tinha como principal objetivo combater a inflação no país causada, segundo seus idealizadores, pela indexação da economia e pelo déficit público. A partir deste diagnóstico, o Plano Real é elaborado com base em três principais medidas: ajuste fiscal, criação da Unidade Real de Valor (URV) e adoção de uma âncora cambial. O segundo bloco deste trabalho, integrado pelos Capítulos III a V, vai esmiuçar esta última medida e seus efeitos, bem como as alterações legislativas provocadas pelo Plano Real (principalmente Emendas Constitucionais nº 5 a 9, todas de 1995, e Lei nº 9.069/1995). Aqui também se demonstrará como o Plano Real consagrou a ideologia preconizada pelo Consenso de Washington. No último bloco, composto pelo Capítulo VI, são analisados os efeitos provocados no nível de endividamento público decorrentes das medidas adotadas pelo Plano Real e a alteração das regras jurídicas que tratam da dívida pública que vieram ao encontro dele (principalmente Lei Complementar n° 101/2000). Neste ponto, a partir de um estudo sobre os princípios jurídicos que regem a atividade da administração pública, concluímos que o sistema jurídico brasileiro oferece fundamento suficiente para superação das regras jurídicas (e ideologia) adotadas no país com o advento do Plano Real.The purpose of this thesis is to analyze the Real Plan, the Brazilian Balance of Payments and if the Real Plan is supported by the Brazilian law system. The analysis is divided into three blocks. First, in Chapters I and II, some indispensable concepts are presented: price, purchasing power of money and exchange rate. On the occasion, it was clarified that the Real Plan had as its main objective fight inflation in the country caused by, according to its creators, the indexation of the economy and the public deficit. Based on that diagnosis, the Real Plan counted on three measures: fiscal adjustment, creation of the Real Value Unit (URV) and adoption of a fixed exchange rate. The second block, through Chapters III to V, scrutinizes the latter measure and its effects, as well as legislative changes brought by the Real Plan (mainly Constitutional Amendments 5-9, all of 1995, and Law nº 9.069/1995). It also demonstrates that the Real Plan established the ideology advocated by the Washington Consensus. In the final section, composed of Chapter VI, the effects of Real Plan on public debt and the change of legal rules on that matter (mainly Law nº 101/2000) are analyzed. At this point, from a study of constitutional principles, we conclude that the Brazilian legal system provides sufficient basis to overcome the legal rules (and ideology) adopted in the country with the advent of the Real Plan.
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Morais, Débora Itagiba de. "Estimando a taxa de juros real neutra brasileira via modelo DSGE." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10147.
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This study aims to estimate a natural real rate of interest quarterly series for Brazil through a Dynamic Stochastic General Equilibrium (DSGE) model, from 2000´s first quarter to 2011´s fourth. The model represents a closed economy with households maximizing CRRA, profit maximizing firms in imperfect competition and a government with a balanced budget fiscal policy and a Taylor type monetary policy rule, in a context of price rigidity. In this framework, the neutral real interest rate was calculated based on productivity and government spending shocks, which were considered the most appropriate ones for the Brazilian economy. Moreover, we analyze the responses of the natural rate to productivity and government spending shocks, its behavior thru the estimated period and its sensibility to alternative calibrations. Finally, by comparing the behavior of the interest rate gap and inflation, we found negative correlations of 56% and 83% for the full period estimated and for a latter-day sample (from 2006´s first quarter to 2011´s last), respectively, indicating some reliability in the obtained series.
Este trabalho objetiva estimar uma série trimestral para a taxa de juros real neutra brasileira via modelo de Equilíbrio Geral Dinâmico Estocástico (DSGE), para o período compreendido entre o primeiro trimestre de 2000 e o último de 2011. O modelo representa uma economia fechada, com famílias maximizando utilidade do tipo CRRA, firmas maximizando lucro em um mercado de concorrência imperfeita e um governo com política fiscal de orçamento equilibrado e regra de política monetária à la Taylor, em um contexto de rigidez de preços. Neste arcabouço, a taxa de juros real neutra foi calculada com base nos choques de produtividade e de gastos de governo, que foram considerados os mais relevantes para a economia brasileira. Adicionalmente, analisou-se o impacto dos choques de produtividade e gastos do governo sobre a taxa neutra, assim como seu comportamento ao longo do período estimado e sua sensibilidade a calibragens alternativas. Por fim, ao comparar o comportamento do hiato de taxa de juros vis-à-vis à inflação, encontramos correlações negativas de 56% e 83% para todo o período estimado e para uma amostra mais recente (do primeiro trimestre de 2006 até o último de 2011), respectivamente, indicando certa consistência na série obtida.
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Königová, Jaroslava. "Hypoteční úvěry v České republice." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-7661.
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The thesis summarizes the situation on mortgage market in the Czech republic from the 90th of the 20th century till present time, reasons for the mortgage boom. It informs about the state support of housing (incentives, state programmes), state residential conception.It defines kinds of morgage and gives its characteristics, informes about the phases of mortgage arrangement, scoring method for client evaluation and regulative standards for bank risk management. It shows housing and mortgage in statistics.There are mentioned the actual results of financial competition and influence of American mortgage crisis on the Czech mortgage market.In conclusion,it states the trends in the Czech mortgage market.
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Kellnerová, Gabriela. "Metodický postup převodu členských práv a povinností u družstevního bytu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402100.
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The thesis deals with the issue of co-operative ownership of immovable property and the specifics of its financing through a mortgage loan. The first part of the thesis contains an explanation of basic terms concerning housing cooperatives, mortgage loans and the overall process of purchase and financing of immovable property. The second part of the thesis then evaluates the optimal financing of a particular cooperative apartment, taking into account the risks associated with it. The conclusion of the thesis contains recommendations for reducing the analyzed risks, both from the perspective of the applicant and from the perspective of the bank.
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Augusto, Felipe Verceze. "Variação no tempo da taxa neutra de juro real no Brasil." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24638.
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Este trabalho propõe estimar a taxa de juro real neutra para o mercado brasileiro, utilizando uma metodologia abordada por autores como Perreli e Roache (2014) e Goldfajn e Bicalho (2011). Utilizando variáveis estruturais, baseado em fundamentos econômicos e conjunturais, os autores buscam estimar a taxa neutra de juro separando-a de acordo com o período, isto é, em taxa de juro de longo prazo e curto prazo. Após a análise destes estudos, foram estimados modelos a partir da mesma metodologia,isto é, buscando estimar a taxa neutra de juro entre longo e curto prazo, no período de 2003 à 2017. A partir desses estudos analisados foi possível verificar o impacto das variáveis de forma mais didática. Para os resultados de longo prazo, variáveis como crédito e surpresa inflacionária mostraram uma grande siginificância, já para a estimação de curto prazo, foram as variáveis de crédito direcionado e confiança do consumidor que tiveram grande significância, como também veremos nesse trabalho. Como será utilizado uma amostra de 15 anos, é possível fazer essa análise para diversos governos e diferentes gestões do Banco Central brasileiro. Com a estimação feita neste estudo também poderá ser viável acompanhar a condução de política monetária do Banco Central e sua assertividade.
This paper proposes to estimate the real neutral interest rate for the Brazilian market and uses a methodology addressed by authors such as Perreli and Roache (2014) and Goldfajn and Bicalho (2011). Using structural variables, based on economic and conjunctural fundamentals, the authors seek to estimate the neutral interest rate by separating it according to the period, that is, in long-term and short-term interest rates. After analyzing these studies, models were estimated using the same methodology in the period from 2003 to 2017. The studies allowed us to analyze the impact of the variables in a more didactic way. For the long-term results, variables such as credit and inflationary surprise showed a great significance, for the short-term estimation, were the directed credit and consumer confidence variables that had great significance, as we will see in this work. With the estimation made in this work it is also possible to follow the conduct of monetary policy of the Central Bank and its assertiveness. As the work covers a sample of 15 years, we can make this analysis for several governments and different managements of the Brazilian Central Bank.
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SORBO, JACOPO. "INFLATION-INDEXED BONDS IN THE EUROZONE." Doctoral thesis, Università degli Studi di Milano, 2017. http://hdl.handle.net/2434/532164.
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The thesis consists in two papers exploiting thorughly the inflation-indexed bond markets
in the Eurozone. In the first paper, after presenting some empirical stylized facts
about the European sovereign inflation-indexed markets we address the effectiveness of
nominal and real rational expectation hypothesis and of inflation-expectation hypothesis.
Then, we document the existence of a liquidity premium and of a default premium
for France, Italy and Germany, moving from a market based measure of inflation.
The second paper is about yield curve modeling and forecasting. We provide a threefactor
yield curve model delivering estimates for nominal term structure of France,
Germany and Italy, from January 2000 to December 2016 and for real term structure of
France and Italy from July 2003 to December 2016. The framework is the latent factor
model with time varying level, slope and curvature. The overall fitting performances
is good and the identification is consistent with many shapes assumed by the term
structure. After the empirical estimation we forecast the yield curve by forecasting the
factors and we compare them with several standard competitors. Lastly, we document
for the first time a significant liquidity issue on short-term real bond spreads and of
a default premium affecting more heavily real spreads as compared to nominal across
various maturities.
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Spíchal, Rostislav. "Vliv vývoje úrokových sazeb na poptávku po rodinných domech a bytech ve městě Brně." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-233084.
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In this diploma work I deal with the influence of interest rates on mortgage loans for the acquisition of families houses and flats in the city of Brno. In the theoretical part I focus on the basic concepts and laws related to mortgage and real estate market. In the practical part I use the findings from previous chapters and analyze interest rate trends and related factors. In the next part, the real estate market development in the past ten years. In the end I evaluate indicators during the period of ten years from entering the real estate market in Brno and should, in my opinion, a significant influence on the marketability of houses and flats. The final part I deal with the results of my questionnaire, on which I am trying to compile current profile of the typical customer applying for a mortgage loan.
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Kim, Jeong-Hwan. "Wavelet decomposition of relationship between real exchange rates and real interest differentials /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3012987.
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Dybczak, Kamil. "Vliv demografických změn na reálnou úrokovou míru a kapitálové toky." Doctoral thesis, Vysoká škola ekonomická v Praze, 2003. http://www.nusl.cz/ntk/nusl-77139.
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The demographic structure seems to change dramatically over the next 50 years in the Czech Republic. The aim of this study is to assess the impact of expected demographic changes on the future development of a real interest rate and international capital flows. In order to simulate the impact of the expected demographic changes upon the mentioned variables we apply a computable overlapping generations model. The real interest rate development is simulated under a closed economy assumption. As a result of the future expected demographic changes labour-capital ratio tends to fall, i.e. the real interest rate diminishes. The range of a change is significantly affected by a public budget closure rule. In case of an endogenous income tax rate, the real interest rate falls down by 0.5 percentage point. On the contrary, the real interest rate decreases by almost 1 percentage point in case when public transfers adjusted. Assuming an open economy, we simulate the impact of the expected demographic changes on the international capital flows between the domestic economy and the rest of the world. In case of increasing ratio of older agents, the aggregate domestic wealth surpasses the demand for capital by domestic firms. As a result a part of domestic capital is exported abroad. Increasing level of net foreign assets contributes to positive change in ratio of the balance of payment to the domestic production in a range from 2 to 5 percentage points over next 40 years if income taxes or public transfers change respectively.
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Almgren, My, and Charlotte Mörkeberg. "Dagens kommersiella fastighetsmarknad : En studie av branschen och dess riskfaktorers påverkan på delmarknaderna kontor och butik i Stockholm CBD." Thesis, KTH, Fastigheter och byggande, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231813.
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Hyresmarknaden för lokaler i Stockholm CBD har de senaste åren präglats av en hög efterfrågan, svagt ökande utbud och en stark hyresutveckling till följd av en stadig BNP-tillväxt i Sverige. Vi har historiskt sett mycket låga räntor och direktavkastningskrav. De låga räntorna har bidragit till att mycket kapital sökt sig till fastighetsbranschen då alternativen för placeringar är få i den lågräntemiljö vi befinner oss i. Detta i kombination med branschaktörernas förväntningar om ökade hyresintäkter har lett till en snabb värdeökning på kommersiella fastigheter och sänkta direktavkastningskrav. Marknaden påvisar idag tecken på att hyrestillväxten och värdeökningen nått sin topp och att vi snart kommer att se en stagnering eller rentav nedgång på marknaden. En lång konjunkturuppgång samt ovanligt låga räntor och politiska strömningar skapar tillsammans osäkerhet i branschen, eftersom fastighetsmarknaden är konjunktur- och räntekänslig. Trots en medvetenhet om en nedgång framöver, med lägre tillväxt, ökade vakansnivåer och därmed minskade hyresintäkter som konsekvens, har aktörer på marknaden paradoxalt nog fortfarande förväntningar om en fortsatt positiv utveckling, om än något svagare än tidigare. De risker som kan urskiljas på dagens kommersiella fastighetsmarknad är ett flertal. Ökade räntekostnader utgör en risk för fastighetsbolagen. Till exempel kommer lagförslaget om minskade ränteavdragsmöjligheter påverka bolagens resultat negativt. En höjning av de långa räntorna skulle även slå hårt mot aktörerna på marknaden. Därför är det klokt att minska belåningsgrader samt sprida sina källor till finansiering. Ytterligare en risk är en ökad digitalisering och konkurrens från exempelvis e-handeln, vilket påverkar hyresgästernas krav och förutsättningar. Vi kan i framtiden vänta oss en omvälvning av utformningen av lokaler för såväl butik som kontor. Dessutom kan de höga hyrorna som observeras på delmarknaderna för kontor och butik i Stockholm CBD driva ut hyresgäster till närliggande förorter eller andra storstäder. På grund av dessa två faktorer gäller det då för fastighetsbolag att ständigt arbeta flexibelt och långsiktigt för att möta den förändrande efterfrågan och fånga upp eventuella rörelser i ett tidigt skede.The rental market for commercial properties in Stockholm CBD has been characterized by high demand, weak growth in supply and a robust development of rental revenues due to Sweden’s stable GDP growth in recent years. Yields and interest rates are historically low. Low interest rates have contributed to attracting capital to property since alternatives are few in a low-interest rate environment. This combined with property owners’ expectations of increased rental revenues has resulted in an accelerated increase in the value of commercial properties and lower yields. There are signs today that the growth in rental revenues and the increase in property values have reached their peaks, and that we will soon see stagnation or even a downward trend in the market. Taken together, a long period of growth, unusually low interest rates, and political developments has created uncertainty in the market, given that the real estate market is sensitive to changes in business cycles and interest rates. Despite being aware of a future slow-down, with lower growth, increased vacancies, and therefore, lower rental revenues, market actors paradoxically still have positive expectations of continuing favourable developments on the market, albeit at a slower pace. Several threats to the current property market can be identified. Increased interest rate costs constitute a risk for real estate companies. For example, the proposed legislation to reduce the possibilities of interest deductions will have a negative impact on profits. Moreover, a raise in long-term interest rates would have a severe impact on the market. Consequently, it would be wise to lower loan-to-value ratios, and to diversify sources of capital. An additional uncertainty is increased digitalization and competition from e-commerce, which affect both the demands and requirements that tenants may have. In the future, we may expect considerable changes in the design of spaces for both retail properties and offices. Furthermore, the high rents that may be observed on today’s retail and office rental market in Stockholm CBD could result in tenants choosing to relocate to nearby suburbs or other cities. Real estate companies must therefore constantly have a flexible and long-term strategy in order to meet changes in demand and detect market changes at an early stage.
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Procházka, Štěpán. "Návrh financování bydlení v nové bytové výstavbě." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2007. http://www.nusl.cz/ntk/nusl-221559.
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This diploma thesis deals with the analysis of available forms of financing of housing in Czech Republic. The attention is basicly concentrated on mortages and loans provided by building society, including bridging loans. There are also mentioned different types of prospects for financing, concretely loans and backing provided by government. The application example shows financial demands of various products and their possible combinations.
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Holásková, Petra. "Návrh financování bydlení s ohledem na rodinný rozpočet." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2011. http://www.nusl.cz/ntk/nusl-223327.
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This thesis deals with the critical analysis of cash expenditures having an effect on the family budget in case of finance housing. The theoretical part is aimed at defining the basic terms that are needed to the further understanding of the problem. The next parts contain a critical analysis of the expenditures associated with the financing of housing, including the proposals for measures to eliminate risks arising from the unforeseen expenditures associated with housing.
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Begum, Jahanara. "A theoretical and empirical study of real exchange rates and interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ31916.pdf.
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Byeon, Young Hwan. "Empirical analysis of a link between real exchange rates and the term structure of real interest rates." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1281641219.
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Byeon, Young Hwan. "Empirical analyses of a link between real exchange rates and the term structure of real interest rates /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487935573772422.
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Štěrbová, Nikol. "Finanční zdroje na pořízení nemovitosti z pohledu investora." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2019. http://www.nusl.cz/ntk/nusl-392199.
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This diploma thesis focuses on the assessment of financial resources for the acquisition of real estate. Specifically, the thesis deals with the issue of purchasing an apartment using a mortgage loan. In this case, the investor is a young married couple. The diploma thesis consists of two parts. The theoretical part deals with housing, the real estate market, real estate valuation and real estate financing sources in its chapters. The practical part primarily focuses on the choice of the banking institution, which will provide the couple with a mortgage loan, and also the banking institutions, which will provide the consumer with a consumer credit for financing the remaining necessary amount of the flat price.
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Netto, Cássio Roberto Leite. "Condicionantes de preços dos imóveis residenciais nos municípios de São Paulo e Rio de Janeiro e a possibilidade de formação de bolhas imobiliárias." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-12082013-182331/.
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Este estudo tem como objetivo explorar e testar se os preços das moradias nas cidades de Rio de Janeiro e São Paulo podem ser explicados por um conjunto de indicadores econômicos selecionados, que inclui variáveis sociais e de custos de construção. Modelos de previsão de preços das residências foram construídos por meio da aplicação de análise fatorial seguida de regressão linear por mínimos quadrados ordinários. Estes modelos não cumpriram com todos os pressupostos estatísticos necessários. Alternativamente, para cada uma das cidades, foi obtido um modelo ajustado a partir da regressão das séries em estado estacionário, seguida da aplicação da técnica de omissão de variáveis a partir do modelo completo. Finalmente, por meio da cointegração de Johansen, foi elaborado um modelo que evidencia o comportamento de longo prazo dos índices de preços. Este modelo foi utilizado para analisar o risco de existência de bolhas imobiliárias nas cidades estudadas, que se mostrou menor em São Paulo que no Rio de Janeiro onde, no entanto, pode-se observar um movimento de convergência dos preços reais para a curva de preços de longo prazo, indicando redução gradual no sobrepreço dos imóveis, se mantida a tendência.This study aimed at exploring and testing whether house prices in Rio de Janeiro and Sao Paulo could be explained by a set of selected economic indexes, which includes social variables and construction costs. Some prediction models were constructed by applying a factor analysis followed by an ordinary least-squares linear regression. However, these models have failed to comply with all the necessary statistical assumptions. Alternatively, for each of the cities, an accurate model was obtained by applying a stepwise regression technique to a set of steady state variables (first, second and third difference). Finally, it was used the Johansen cointegration to develop a model for the long-term behavior of house prices. The model was used to analyze the risk of real estate bubbles in the studied cities, which was shown to be lower in Sao Paulo than in Rio de Janeiro. However, Rio exhibits a convergence trend in real prices to the long-term price curve, indicating gradual reduction in overpricing, if the trend continues.
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Havlíček, Petr. "Posouzení výhodnosti financování koupě nemovitosti." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2013. http://www.nusl.cz/ntk/nusl-223979.
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This diploma thesis engages in evalution of benefits in financing of real estate. It deals with comparasion of offered forms in financing of loans, especially mortgage loans and their combinations with another products like building savings and unit trusts for needs of model clients. The outcome of a thesis is a proposal and recommendation of the most advantageous variant for financing of given real estate.
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Šafář, Vít. "Inovativní financování pro pořízení nemovitostí." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240158.
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Diploma thesis is focused on innovative financing for acquisition of real estate. The first part contains the basic terms of mortgage loans and mutual funds. The following part describes the methodology for evaluating the effectiveness of funding and the opportunities and risks associated with it. The second part deals with the practical applications of evaluating the effectiveness of the funding. The aim is to compare and optimize various model variants acquisition of real estate.
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Moore, Bryanna. "Real Estate Market Growth in Los Angeles County and New York County." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/741.
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This paper studies the differences in the real estate markets of Los Angeles County and New York County in order to understand what variables contribute most to their growth by using national and local data from the period between 1987 and 2012. I conduct two separate multiple regressions to show that local variables tend to have a bigger impact on real estate growth than national variables. I also find that there is a significant difference between most of the variables depending on location. Overall, it is found that over fifty percent of the observed variables contribute to real estate growth in LA County. However, two thirds of the observed variables lead to real estate market decline in NY County. These findings show that NY County does not see as much growth as LA County.
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Tsang, Kwok Ping. "The nominal and real term structures and the macroeconomy /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/7468.
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Pipatchaipoom, Onsurang Norrbin Stefan C. "The robustness of real interest rate parity tests to alternative measures of real interest rates." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-05262005-140851.
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Thesis (Ph. D.)--Florida State University, 2005.Advisor: Dr. Stefan Norrbin, Florida State University, College of Social Sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 21, 2005). Document formatted into pages; contains xii,163 pages. Includes bibliographical references.
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Chang, Chun-Yu, and 張君瑀. "Re-examination of real interest rate parity." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/23z4d2.
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碩士國立東華大學
經濟學系
102
In this paper we employ monthly interest rate data over the 1973-2013 period to examine the interest linkages across U.S., Japan and eight countries in Asia region, as well as to investigate whether cointegration vector is time-varying or not. We use the Johansen (1988) cointegration test and time-varying cointe- gration advocated by Bierens and Martins (2010) that assumes cointegration vector is time-varying to examine the validity of interest rate parity. The em- pirical results indicate that the influence of interest rate in U.S. on Asia region are more significant than Japan. Furthermore, we find that there exists a time- varying cointegration relationship in interest rate parity. The conception of cointegration vector is not time-invariate anymore.