Tesis sobre el tema "Money market"
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1
Schnadt, Norbert. "Alternative monetary regimes : are they operational?" Master's thesis, University of Cape Town, 1990. http://hdl.handle.net/11427/15977.
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Bibliography: pages 77-82.Although the proposed alternative monetary regimes have received critical attention from White (1984), McCallum (1985), O' Driscoll ( 1987) and Hoover ( 1988), we are not aware of any systematic and coherent critical appraisal. The main motivation for this paper is that neither the originators nor the critics seem thus far to have provided satisfactory treatments of the 'operationality' of the above proposals. Considering that most of the proposed payments systems are forwarded as potential alternatives to existing fiat currency systems, this is a serious shortcoming. For each proposed payments system that this paper considers, the analytical method which is adopted for this objective is as follows: (I) The institutional arrangements defining the proposed payments system are specified. (II) This payments system is then embedded in an economy in which pricing decisions are made by agents in decentralised markets.
2
Nie, Jing. "Three essays on the empirical market microstructure of money market derivatives". Thesis, Durham University, 2016. http://etheses.dur.ac.uk/11614/.
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This thesis is the first directly to study the entire limit order book of a large market. Herein, I conduct a population study on the microstructure of the Eurodollar future market, to my knowledge this is a) the first study of its type and b) the largest microstructure study ever conducted. I will build a data-drive model that incorporates information from the entire population of quotes updates and transactions on this type of future market. This thesis aims to provide a comprehensive understanding of the market microstructure on money market derivatives and the impact of high-speed algorithmic trading activity on the market characteristics and quality. I apply a broad battery of market volatility and liquidity measurements, and gauge the proportion of high-frequency algorithmic traders in the market. This thesis provides a standard asymmetric information based theoretical model to predict the relation on the term structure of Eurodollar future contracts. The prediction is a non-linear relation between the saturation of algorithmic traders (ATs) versus the impacts on the quality of the market. Therefore, I develop a novel semi-parametric estimator and model the non-linear relation between the impact of the fraction of algorithmic trading and a large set of different market quality indicators including volatility, liquidity and price informativeness. Finally, I consider the efficiency and the speed of high-frequency prices formation by implementing the return autocorrelations and vector autoregression, and also make a contribution to the trade classification algorithm using the order book data. My findings are fourfold. First, the impact of high-frequency trading (HFT) on market quality is a non-linear by implementing the semi-parametric model. This may partially explain why prior studies have found contradictory results regarding the impact of high-frequency traders (HFTs) on market characteristics. Second, prior studies only including the inside quotes or best bid best ask are limited to reflect all the information in the market. My findings suggest that the second level quoting in the limit order book is by far the most rapidly quoted element of the order book. Furthermore, I find that wavelet variance covariance of the bid and the ask side changes substantially over the term structure; providing further supporting evidence of the non-linear impact of HFTs. Finally, the adjustment time of the trade prices formation process is within one second, and the quote prices are even faster within 200 milliseconds (ms). The mid-quoted return autocorrelation is positive and gradually increase from the shortest time interval to the longest time interval. The trade prices are less sensitive to new information as the contract approaches its maturity.
3
Santorum, Anita. "Money, consumption and prices in China". Thesis, Birkbeck (University of London), 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.310903.
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Haegler, Urs. "Money, reputation and inventories under credit market imperfections". Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/2862/.
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This thesis analyses the way in which credit market imperfections affect the behaviour of economic agents, and examines how a variety of tangible or intangible assets such as fiat money, reputation and inventories, facilitate bilateral exchange and influence investment decisions of firms under such circumstances. The first chapter of the thesis deals with the role of fiat money as a medium of exchange in a model in which agents hold consumable goods or nonconsumable cash. The physical environment of pairwise random matching for bilateral trade, however, prevents them from issuing debt certificates. Unlike fiat money, consumables have uncertain quality characteristics, and agents can only detect the quality of a subset of goods. As a consequence, barter is plagued by asymmetric information, whereas monetary exchange involving generally recognisable legal tender is not. This suggests that it is because of, rather than despite, its intrinsic uselessness that, as a medium of exchange, fiat money is superior to goods or assets subject to some form of quality uncertainty. The second chapter examines the effects of reputation and internal finance on a firm's investment incentives. An entrepreneur with unknown productivity finances risky production with a combination of internal finance and funds from external investors who, just like himself, are able to learn about his true productivity over time, a process that influences their willingness to lend. However, investment decisions taken by the entrepreneur, are not observable to outsiders. This information problem leads not only to underinvestment but also to premature liquidation. It is shown that the acquisition of reputation and internal funds may counteract such undesirable outcomes. On the other hand, it becomes clear that when assets are low, incentives to invest are disrupted because of a high probability of liquidation in the near future. Young firms appear to be particularly susceptible to effects of this type. Finally, the third chapter studies inventory investment and internal-finance decisions of a financially constrained firm facing an uncertain demand process. The model gives an explanation for the stylised fact that production is more volatile than sales. Assuming that firms have limited access to capital markets they are forced to rely on internal finance. However, following a series of unfavourable sales realisations such funds possibly are so low that firms find themselves unable to re-establish the old inventory level in subsequent periods. Conversely, after a series of high sales the firm has a substantive amount of money to finance output quantities that may be in excess of sales.
5
Gallagher, Emily A. "Money market funds, shareholder behavior, and financial stability". Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010028.
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Fonds du marché monétaire, comportement des actionnaires et stabilité financièreIn the five business days following the default of Lehman Brothers in September 2008, U.S. prime money market funds (MMFs) experienced outflows totaling over 300 billion of dollars, representing 15% of their total assets. In order to generate cash to service outflows, some MMFs sold assets and stopped rolling their investments. Many have argued that these outflows exacerbated the financial crisis by contributing to a freezing of commercial paper markets. In 2010, in an effort to improve the resiliency of MMFs to withstand severe market stresses, the Securities and Exchange Commission (SEC) adopted a number of substantial reforms. Since 2010, many regulators have called for further reforms of MMFs, citing the eurozone crisis of 2011 as evidence that MMFs remain a financial stability concern. Over June, July and August 2011, MMFs experienced outflows of 162 billion of dollars, representing 10% of their total assets. Some contend that the size and timing of these outflows indicate that MMF investors continue to react to, and perhaps exacerbate, stresses in the financial markets. According to this view, yield sensitive investors incent MMFs to take risk through foreign bank investments and then cut and run once those risks escalate, resulting in a sudden loss of funding available to credit-worthy U.S. firms. Using the eurozone crisis of 2011 as an acid test, this thesis evaluates the validity of this narrative and, more broadly, the stability of U.S. MMFs after the 2008 financial crisis and resulting reforms. (...)
6
Neubert, Timothy Miles James A. "Money market funds vs. ultra-short bond funds". [University Park, Pa.] : Pennsylvania State University, 2009. http://honors.libraries.psu.edu/theses/approved/WorldWideIndex/EHT-35/index.html.
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Ganguli, Alakananda. "Globalization of financial markets and the demand for international reserves : the case of the industrialized countries". Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=28447.
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The purpose of this thesis is to explain theoretically and empirically the demand for international reserves by the major industrialized countries in the context of the present highly integrated and extremely volatile international financial system. The reserves demand behaviour of each of the G7 countries along with seven non-G7 industrialized countries have been empirically examined. The demand functions are estimated using the cointegration approach on autoregressive distributed lag and simple distributed lag models.This study has revealed that a country's reserve demand is significantly influenced by its level of capital flows in addition to the traditionally used trade flow variables. It is shown that the greater the external vulnerability of an economy as measured by its net capital flows in relation to its GNP, the higher is its demand for international reserves. The results have striking similarity for all the 14 industrialized countries despite their structural and institutional differences.
This study points to the need of international monetary policy coordination to reduce large fluctuations in exchange rates and lessen massive flows of speculative capital which carry a potential threat of becoming inflationary.
8
Chye, Eleanor. "Love, money and power in the Singaporean household economy". Thesis, University of Oxford, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.340788.
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Wan, Wai-choi Benny. "An empirical study of the Hong Kong money market : term structure, term preimum and uncovered interest parity /". [Hong Kong : University of Hong Kong], 1991. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13005637.
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Guiloff, Scarneo Ian. "Optimización de la Liquidez de Fondo Mutuo del “Money Market”". Tesis, Universidad de Chile, 2010. http://www.repositorio.uchile.cl/handle/2250/102260.
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Chandrasekaran, Abhijit. "Impact of money market funds on commercial paper markets in United States and South Korea". Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72874.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 32-34).
The focus of this study is on Commercial Paper markets which are used by financial and non financial firms to manage working capital and maturity transformation. We explore how the primary investors in CP in the US, the Money Market Mutual Funds (MMMFs) have influenced the markets. We see how CP usage has changed post the advent of MMMFs and how they have grown with growth in MMMFs assets. We also try to understand what made MMMFs in the US successful and what has led to their tremendous growth. We then move on to study South Korean CP markets and try to see if there are similar characteristics emerging in the markets with the establishment of short term money funds. South Korea gives a window into Asia to judge if it would be prudent for Asian countries to adapt from the US market structure to spur the CP markets locally. With the tremendous growth taking place in emerging Asia, the requirement for short term capital markets is growing and hence the importance of adapting from successful markets. We do see from the study that post MMMFs establishment there is a greater use of CP among business in both economies. There is also a greater holding of CP as assets by firms in the economy. MMMFs tend to hold large volumes of CP and may have led to greater CP market access for firms. Liquidity, yield and safety come out as the vital characteristics which make MMMFs a preferred investment conduit for money market instruments.
by Abhijit Chandrasekaran.
S.M.
12
Dayyat, Rasha Abdullah. "The impact of the monetary policy on the capital markets : the case of Jordan". Thesis, Coventry University, 2006. http://curve.coventry.ac.uk/open/items/2483843b-c240-a4a9-0446-3f06d15fb134/1.
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This study is concerned with investigating the impact of the monetary policy on the capital markets during the period (1989-2004). Specifically, there are three major objectives of this study: (1) To examine the impact of the money supply on the government bonds and treasury bills (supplies and rates) in Jordan and compare it with Bahrain, (2) To examine the relationship between the treasury bills and the government bonds in Jordan, and (3) To examine the effect of the money supply on the stocks price index in Jordan and compare this impact with the one in Bahrain. To accomplish the objectives of this study, a quantitative approach is employed. The quantitative approach is represented here by the econometric analysis (Time Series Analysis) of documentary secondary data. The research hypotheses were set up to examine the relationship between the money supply and a number of explanatory variables (treasury bills rates and issues, government bonds rates and issues, and stock price index). These hypotheses were tested using time series analysis (VAR method). The analysis was conducted for two countries: Jordan and Bahrain. The data covered the period (1989-2004) monthly data in Jordan, and 2000:9-2004:12) in Bahrain. The tests that have been used in this research in VAR model will include: selection of the lag length, unit root test, granger causality test, variance decomposition, and impulse response function. These tests will be examined by using Eviews (release 5.0) package and RATS (Regression Analysis of Time Series (release 6.0) software. The findings in Jordan revealed that there isn't any relationship between the money supply and the treasury bills rates and government bonds rates. However, there is a positive relationship between the money supply and issuance of the treasury bills and the government bonds. These findings lead to the quantity adjustment in the absence of the price adjustment. Moreover, the results indicate that there is a significant negative relationship between the treasury bills issuance and the government bonds issuance. And the last result in Jordan concluded that there is a positive relationship between the money supply and the stock price index. The finding in Bahrain were different from the findings in Jordan because of the difference in the financial system in the two countries, as Bahrain follows an Islamic financial system whereas Jordan's finanacial system is not an Islamic one. The prohibition of the interst rate in some cases in Bahrain and that Bahrain's economy is more open economy would lead to the conclusion that there isn't any relationship between the money supply and the stock market index and the money market instruments (treasury bills) and that it follows international capital flow adjustment. Also, it is important to mention that Bahrain Monetary Agency has issued Islamic instruments (long and short-term sukuk) beside the conventional instruments.
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Penalva, Daniel [UNESP]. "Dinâmica de correlações no mercado financeiro Bovespa&BMF". Universidade Estadual Paulista (UNESP), 2011. http://hdl.handle.net/11449/92035.
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Em sistemas onde muitos agentes interagem, permitindo obter medidas que podem se apresentar intermitentes, muitas vezes podemos extrair padrões que denotam comportamento de grupo destes agentes, este é o caso do mercado financeiro e sua estrutura de correlações emergentes. Este trabalho visa reproduzir e sintetizar o que é entendido como estrutura de correlações no mercado financeiro. A análise da estrutura consistirá de 2 partes, uma dinâmica, acessando dependências temporais, e outra topológica e economica, acessando a importância das conexões entre ações. Na análise dinâmica são investigadas a correlação instantânea, quanto o comportamento ao longo das escalas de tempo , e a não instantânea, quanto ao decaimento temporal em relação ao máximo de correlação. A topologia é analisada obtendo-se um grafo a partir da matrix de correlação instantânea e analisando a conectividade dos vértices, partindo do mais conectado(chama-se raíz) analisa-se os diversos clusteres de ações obtidos, comparando com a classificação economica conhecida. A analise topológica é feita em várias escalas de correlação instantânea visando a comparação entre elas. Introduzo noções gerais de sistemas complexos no capítulo 1. No capítulo 2 dou uma breve descrição do mercado através das varíaveis mais importantes e seu comportamento, i.e. as escalas de preços e de tempo. O capítulo 3 descreve os métodos utilizados para análise da estrutura de correlação do mercado, é apresentado o estimador de Pearson para correlação linear bem como o método de Kruskal, utilizado para obter o grafo árvore que contém todas ações e minimizar a soma das arestas (ponderadas pela distância definida a partir da correlação). No capítulo 4 apresento os resultados referentes à análise da estrutura de correlações para o mercado Bovespa
In systems where many agents interact, allowing for measures that may be erratic, many times we can extract behavior patterns that denote a group of agents, this is the case of financial market and its emerging structure of correlations. This work aims to reproduce and synthesize what is perceived as a correlation structure in financial markets. Analysis of the structure will consist of 2 parts, one dynamic, accessing temporal dependencies, and other topological and economical by accessing the importance of connections between assets. In analysis of dynamics are investigated instantaneous correlation, it’s behavior across scales of time, and the not instantaneous, it’s decay from the maximum correlation. The topology is analyzed by a graph from the instantaneous correlation matrix and analyzing the connectivity of vertices, starting from the most connected (called root) analyzes the various clusters of shares obtained by comparing with known economic classification. The topological analysis is performed at several scales of correlation in order to instantly compare them. Introduce general notions of complex systems in Chapter 1. In Chapter 2 give a brief description of market through the most important variables and their behavior, ie the ranges of price and time. Chapter 3 describes the methods used for analysis the correlation structure of the market, the estimator is presented by Pearson’s linear correlation and the Kruskal method is used to obtain the graph tree containing all assets and to minimize the sum of edges (weighted by the distance defined from the correlation). In Chapter 4 I present the results of the analysis of correlation structure for the market Bovespa
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Nascimento, AÌlvaro J. B. do. "The interbank money market in Portugal : liquidity provision and monetary policy". Thesis, City University London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.433418.
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Alves-Dos-Santos, Mariana Figueiras. "In portfolio : market attachments, money and capital in private wealth management". Thesis, Durham University, 2018. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.753752.
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Unequivocally tied to the protection and accumulation of private fortunes over time, the wealth management industry has mostly been portrayed in media and academic accounts in terms of exotic practices taking place in unreachable, offshore worlds. This thesis seeks to explore this sector of finance as a market that targets and serves the super-rich and as a key site where capital is reproduced, but by attending to the more ordinary practices, procedures and experiences typically obscured in those accounts. More precisely, this is a market that seeks to capture and retain private wealth in the form of a portfolio of financial market products. Doing so, as a tradition of research on marketization has shown, involves multiple processes whereby suppliers and their products/services adapt and co-evolve with clients and their worlds. Through a range of qualitative and ethnographic methods and materials collected across different wealth management contexts (i.e. Lisbon, London, Geneva and Zurich), the aim is to account for those adaptations and attachments as pragmatic, situated lived experience that demands forms of cognitive and calculative engagement but always exceed it in significant ways. Namely, this is a market for financial products and services that clients become attached to by seeing them as adequate ways of holding and growing money. In this sense, this thesis is also about money – and how modes of qualifying products/services for holding and growing money reveal something constitutive of what money is that unsettles dominant theories. A market that is all about the money reveals – performs - money not as a means for lubricating exchange, but as the embodiment of a nexus between value and future. Thus, accounting for the ways in which private wealth becomes attached in the financial portfolio, and animated by the ‘spirit’ of money, is ultimately a story about capital - how it is provoked, accomplished and demonstrated in and through the financial portfolio but also a variety of other services, and how its mark is inscribed in lifeworlds attached thereby.
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Fadiran, Gideon Oluwatobi. "South African money market volatility, asymmetry and retail interest pass-through". Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002728.
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The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM-EGARCH (1, 1), negative volatility impact and leverage effect are present and influential only in the deposit interest rate adjustment process in South Africa.
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Patel, Aadil Suleman. "Development of the South African monetary banking sector and money market". Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002732.
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This thesis presents a theoretical analysis of developments in the South African monetary banking sector and money market. In the first section, evolution of the political, social and economic environments over the past few decades are discussed to provide the reader with an idea of some factors responsible for the underdeveloped nature of this market. It has been argued that the domestic political and economic landscape is relatively stable. Nevertheless, factors such as Zimbabwe’s political and ensuing economic turmoil, coupled with numerous financial crises in other developing nations have had negative consequences on domestic financial market development and economic growth. The current state of monetary policy is also analysed, within the economic environment, and various policy considerations have been put forth concerning the inflation targeting policy. The thesis then goes on to scrutinise the statutory and institutional environments within which the monetary banking institutions operate. Recent changes in the regulations governing the operations of these institutions are identified, together with the consequences of such laws on banking institutions and possible amendments have been suggested. In particular, a system of Asset Based Reserve Requirements (ABRR) has been recommended, in place of the current cash reserve requirement, to ensure regulators create a level playing field in the financial sector. The system can also provide authorities with the necessary control required to direct funds to the most desirable sectors of the economy. Development of the interbank market and the effect of reduced banking competition on the efficacy of the South African Reserve Bank’s refinancing operations and inflation targeting policy are also considered. Finally, the thesis analyses some effects of financial development on the South African economy, and whether it is in the best interests of the country to pursue financial reforms with such vigour. While financial development may bring South Africa closer to international standards of best practice, the timing and extent of the reforms will be critical to guarantee success.
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Zhao, Huimin. "Testing interest rate models for China's repo market /". View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?FINA%202005%20ZHAO.
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Dey, Debashree. "Domestic financial market integration : a study on inter-linkage amongst Indian money, capital and foreign exchange market". Thesis, University of North Bengal, 2022. http://ir.nbu.ac.in/handle/123456789/4808.
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Hilton, Henry. "Money Creation, Banks and Macroeconomic Instability". Thesis, Griffith University, 2008. http://hdl.handle.net/10072/368086.
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The function of money creation by banks remains a mystery to many. Galbraith remarked "The process by which banks create money is so simple that the mind is repelled." (Galbraith 1975: 18) Creating money ex nihilo is an extraordinary phenomenon which has profound economic consequences.
Curiously though, orthodox economic theory relegates money creation to the periphery. The convention is that the role of banks in macro-theories is solely to facilitate the conversion of savings into investment via the money market. Major macroeconomic schools maintain that governments (or central banks) have control over the money supply, that the money supply exhibits inelasticity and that the financial sector is a benign responder to the decisions taken by authorities. Although the genesis of macroeconomic instability is hotly contested, the role of banks is generally regarded as passive rather than active.
In the history of economic thought, however, some notable economists have taken a very different view. They argued that the role of banks as money creators is the principal cause of macroeconomic instability. Banks are not passive agents whose balance sheets are directed by external causes. Rather banks are seen by them as the engine that drives the business cycle.
What sparked this dissertation was my surprise discovery that Leon Walras identified banks as the chief cause of macroeconomic instability. Walras is well remembered for his derivation of the general equilibrium framework through which is demonstrated the efficient operations and optimality of a free-market system. So it came as a revelation to learn that Walras did not support the application of the free-market principles he had espoused for goods and services markets to financial markets. Walras stated unreservedly: "So the industry of credit and discount with the issue of bank notes is not an industry like any other; it is an industry that must be regulated and not given freedom." (Walras 1936: 368, emphasis added)
Other eminent mainstream economists who came to a similar conclusion as Walras were Irving Fisher and members of the Chicago School – Henry Simons, Frank Knight, Lloyd Mints and Jacob Viner. They were all strongly committed to a policy of laissez faire with one crucial exception, the creation and supply of money. Milton Friedman also accepted the position but did not actively endorse it for practical and theoretical reasons.
The argument put forward by Walras and others to arrest the institutionalized nature of money creation by private banks, stands in stark contrast to the widespread deregulation of banking and financial markets that began in the 1980’s. This deregulation effectively dismantled the constraints imposed by governments to support and sustain their countries’ economies in the face of the difficulties posed by deep recessions or depressions. The great monetary and banking debates in England through the course of the 19th century had linked those disturbances with the operations of financial markets and the British Parliament opted for regulatory measures in order to stave off similar events. Other nations in the developed world took Britain’s lead and also imposed regulatory measures upon banks for the same reasons. Yet the current orthodoxy it seems has either ignored those reasons or no longer deems them valid.
This dissertation explores and extends Walras’ original insight in the context of the contemporary deregulated financial environment. Mainstream macro-theories are critically assessed and it is argued that insufficient regard is being paid in them to the role of money creation by private banks. A descriptive model of the money market is presented which highlights the effect of money creation. Finally, a policy proposal is offered as a solution for limiting financial sector sourced macroeconomic instability.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Department of Accounting, Finance and Economics
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Burn, Gary. "The role of the British state in the re-emergence of global capital". Thesis, University of Sussex, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341080.
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Penalva, Daniel. "Dinâmica de correlações no mercado financeiro Bovespa&BMF /". São Paulo : [s.n.], 2011. http://hdl.handle.net/11449/92035.
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Orientador: Gerson FranciscoBanca: Fernando Fagundes Ferreira
Banca: Antônio Fernando Crepaldi
Resumo: Em sistemas onde muitos agentes interagem, permitindo obter medidas que podem se apresentar intermitentes, muitas vezes podemos extrair padrões que denotam comportamento de grupo destes agentes, este é o caso do mercado financeiro e sua estrutura de correlações emergentes. Este trabalho visa reproduzir e sintetizar o que é entendido como estrutura de correlações no mercado financeiro. A análise da estrutura consistirá de 2 partes, uma dinâmica, acessando dependências temporais, e outra topológica e economica, acessando a importância das conexões entre ações. Na análise dinâmica são investigadas a correlação instantânea, quanto o comportamento ao longo das escalas de tempo , e a não instantânea, quanto ao decaimento temporal em relação ao máximo de correlação. A topologia é analisada obtendo-se um grafo a partir da matrix de correlação instantânea e analisando a conectividade dos vértices, partindo do mais conectado(chama-se raíz) analisa-se os diversos clusteres de ações obtidos, comparando com a classificação economica conhecida. A analise topológica é feita em várias escalas de correlação instantânea visando a comparação entre elas. Introduzo noções gerais de sistemas complexos no capítulo 1. No capítulo 2 dou uma breve descrição do mercado através das varíaveis mais importantes e seu comportamento, i.e. as escalas de preços e de tempo. O capítulo 3 descreve os métodos utilizados para análise da estrutura de correlação do mercado, é apresentado o estimador de Pearson para correlação linear bem como o método de Kruskal, utilizado para obter o grafo árvore que contém todas ações e minimizar a soma das arestas (ponderadas pela distância definida a partir da correlação). No capítulo 4 apresento os resultados referentes à análise da estrutura de correlações para o mercado Bovespa
Abstract: In systems where many agents interact, allowing for measures that may be erratic, many times we can extract behavior patterns that denote a group of agents, this is the case of financial market and its emerging structure of correlations. This work aims to reproduce and synthesize what is perceived as a correlation structure in financial markets. Analysis of the structure will consist of 2 parts, one dynamic, accessing temporal dependencies, and other topological and economical by accessing the importance of connections between assets. In analysis of dynamics are investigated instantaneous correlation, it's behavior across scales of time, and the not instantaneous, it's decay from the maximum correlation. The topology is analyzed by a graph from the instantaneous correlation matrix and analyzing the connectivity of vertices, starting from the most connected (called root) analyzes the various clusters of shares obtained by comparing with known economic classification. The topological analysis is performed at several scales of correlation in order to instantly compare them. Introduce general notions of complex systems in Chapter 1. In Chapter 2 give a brief description of market through the most important variables and their behavior, ie the ranges of price and time. Chapter 3 describes the methods used for analysis the correlation structure of the market, the estimator is presented by Pearson's linear correlation and the Kruskal method is used to obtain the graph tree containing all assets and to minimize the sum of edges (weighted by the distance defined from the correlation). In Chapter 4 I present the results of the analysis of correlation structure for the market Bovespa
Mestre
23
Kramer, Michael. "Making money with poor people the business strategies of foreign retail companies in China /". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607679002/$FILE/02607679002.pdf.
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Ulug, Mehmet. "ESSAYS ON MONEY AND CREDIT IN MACROECONOMICS". Doctoral thesis, Università di Siena, 2021. http://hdl.handle.net/11365/1151988.
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The thesis consists of three independent chapters on the role of endogenous money on shadow banking and international finance. In the first chapter (Endogenous Money, Eurodollar, and the Shadow Banking System), I examine the consequence of endogenous money for banks and shadow banks at both the national and international level by considering the importance that the Eurodollar market played in the emergence of shadow banking. In the second chapter (The shadow banking system in a stock-flow consistent framework), I develop an SFC model that includes complex financial markets and important components of the shadow banking sector, which enables us to explore the relationship between core commercial banks and shadow banks. Building a complete financial sector and its interaction with the real sectors within an SFC framework allowed us to shed light on the role that shadow banking plays in the origination of credit. In the third chapter (Repo lending and its implications for the central bank monetary policy and government debt issues), I examine the transformation of money markets over the past four decades and the implications of this transformation for the implementation of monetary policy and government debt issues.
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Handschin, Marco. "Exploiting the Forward Rate Bias in the Swiss Money Market An Arbitrage Strategy /". St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00924878001/$FILE/00924878001.pdf.
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Kabiri, Ali. "Wall St. 1929 : Contemporary valuation models, money market arbitrage and liquidity Black Holes". Thesis, City University London, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.509120.
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Godbolt, Åsne Lund. "Market, Money and Morals : The Ambiguous Shaping of Energy Consumption in Norwegian Households". Doctoral thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for tverrfaglige kulturstudier, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-27264.
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This thesis explores the energy consumption and energy efficiency efforts of Norwegian households. How do consumers relate to energy consumption, and how do they make sense of energy efficiency issues? In order to understand the dynamics of household energy consumption in relation to the surrounding context, these matters are investigated from different perspectives, representing policymakers, economists and consumers. This involves an analysis of the political-economic shaping of energy consumption and an investigation of how households think and act with respect to their energy use. The thesis demonstrates that there is a gap between policymakers´ and consumers´ understanding of energy consumption, which makes energy efficiency policies less effective. Another important finding is that households seem to be motivated for energy efficiency by arguments focusing on climate change, comfort and convenience rather than on purely economic concerns. The four research papers, which take different approaches to this area of concern , draw an ambiguous picture of public and private efforts to increase energy efficiency in Norwegian households. The first article shows how consumers were expected to act in relation to electricity consumption over a period of 30 years. The second paper investigates how energy consumption is framed, from the perspectives of both economists and consumers. It analyzes, especially, consumer responses with respect to the intentions of the electricity market, and examines the ways in which consumers view themselves as market actors (or not). The third article compares Norwegian energy cultures in the early 1990s and the late 2000s. It argues that global warming has changed the symbolic domestication of energy consumption. Finally, the fourth paper examines the sense-making processes of households through the concept of “ethos,” which refers to a set of guiding beliefs or values. This paper shows the importance of moral arguments when consumers deal with energy issues in their everyday lives.Denne avhandlingen utforsker energibruk og energieffektivitet i norske husholdninger: Hva kjennetegner norske husholdningers energiforståelse? For å fange dynamikken i husholdningers energiatferd i sammenheng med omgivelsene rundt, undersøkes temaet fra både politikeres, økonomers og forbrukeres perspektiver. Jeg har analysert den politisk-økonomiske formingen av energibruk i norske husholdninger og undersøkt forbrukernes praksis og holdninger til eget energiforbruk og tiltak for energieffektivisering. Avhandlingen viser at det er stor avstand mellom forbrukernes og politikernes/ekspertenes forståelse av energibruk og energieffektivitet. Dette må ses som en viktig årsak til at politiske energieffektiviseringstiltak rettet mot husholdninger så langt ikke har vært mer vellykket. Et annet sentralt funn er at husholdningsforbrukere motiveres til energieffektivisering i større grad av argumenter orientert mot miljø, klima og komfort enn av økonomiske hensyn. De fire artiklene har ulike tilnærminger til temaet og tegner et sammensatt bilde av husholdningers energibruk. Den første artikkelen tar for seg hvordan norske politikere konstruerte husholdningsforbrukere over en 30-års periode (1975-2006), og viser hvordan forbrukere er forventet å oppføre seg i forhold til strømforbruk. Den andre artikkelen gir innsikt i hvordan energiøkonomer og forbrukere rammer inn energibruk på ulike vis. Analysen legger særlig vekt på forbrukerreaksjoner sett i lys av intensjonene ved kraftmarkedet, og undersøker i hvilken grad forbrukere anser seg selv som markedsaktører (eller ikke). Den tredje artikkelen utforsker dynamikken i energibruk og energieffektivitet over en 20-års periode, og sammenligner norske energikulturer i 1991-1995 og 2006-2009. Artikkelen drøfter hvorvidt fokuset på global oppvarming har endret domestiseringen av energibruk, både når det gjelder holdninger og praksis. Fjerde og siste artikkel undersøker hvordan husholdninger forstår energibruk gjennom konseptet ”etos”, som refererer til et sett med verdier og oppfatninger. Denne artikkelen viser at moralske argumenter spiller en viktig rolle i forbrukernes forståelser av energibruk og energieffektivitet i hverdagen
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Otero, Jesús Gilberto. "Coffee, the money market, the real exchange rate, and economic fluctuations in Colombia". Thesis, University of Warwick, 1998. http://wrap.warwick.ac.uk/59428/.
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This thesis analyses the effects of coffee booms on the money market, the real exchange rate, and the business cycle in Colombia. Chapter 2 presents an overview of the coffee sector in the country, including a brief description of its macroeconomic role, and unique institutional structure. Chapter 3 investigates, from a simulation perspective, two empirical difficulties that arise in econometric modelling when using quarterly data, as is done in chapters 4 and 5. The first practical concern is whether to conduct the econometric analysis on data that have been subjected to seasonal adjustment or in terms of unadjusted data. The simulation results provide a justification for using seasonally unadjusted data, as the use of filters reduces the power of the Dickey-Fuller and Phillips-Perron cointegration tests. The second difficulty concerns an empirical regularity encountered when analysing the Colombian quarterly series of money supply and GDP, both of which exhibit a structural break (or change) in the seasonal pattern. We find that these structural breaks bias both unit root and seasonal root tests, so that new critical values must be tabulated allowing for a change in either the level and/or the seasonal pattern of the underlying series. Chapter 4 examines the monetary consequences of coffee booms. The theoretical work on this subject shows that under a regime of fixed exchange rates, export booms affect both the demand and the supply for money. Within this theoretical framework, we assess whether the coffee booms of the second half of the seventies and mid eighties led to excess money supply in Colombia. We find a direct association between coffee export booms and excess money supply, implying that external disturbances jeopardise the ability of the economic authorities to carry out successful monetary policy. Chapter 5 uses the Johansen procedure to estimate a real exchange rate determination model for Colombia. We find one cointegrating vector, which can be thought of as a long-run real exchange rate equation. The deviations of the real exchange rate from its long-run equilibrium relationship, after correcting for the short-run dynamics, are interpreted as a measure of real exchange rate misalignment. The simulation performance of the model, during the period of estimation and three years into the future, is particularly good, with the simulated real exchange rate reproducing the general long-run behaviour of the actual series. Chapter 6 develops an intertemporal disequilibrium model in order to analyse the effects of temporary, anticipated, and permanent coffee price shocks on a small open economy under Keynesian unemployment. Our results indicate that a coffee price boom (whether temporary, anticipated or permanent) increases nontradable output in the short and long run (a similar result is obtained when we discuss other disequilibrium regimes). The basic model is then extended by including a government sector that administers a coffee price stabilisation fund, and by allowing capital market imperfections. Our results indicate that when the government is able to borrow on more favourable terms in international capital markets than households, the stabilisation fund neutralises part of the short-term effect of a temporary coffee price boom. On the other hand, when the government and the private sector borrow on the same terms, the stabilisation fund turns out to be redundant.
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Adams, James F. "Money and finance in East Central Europe : from central planning to the market". The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1291051397.
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Кубах, Тетяна Григорівна, Татьяна Григорьевна Кубах y Tetiana Hryhorivna Kubakh. "Економічні аспекти категорії ринок". Thesis, Education and Science, 2013. http://essuir.sumdu.edu.ua/handle/123456789/59058.
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В економічній літературі поняття "ринок" дуалістичний карактер. У широкому розумінні слова, дана категорія розглядається, як система організації економіки, що виникла в результаті природного розвитку, еволюції економічних відносин.In the economic literature, the term "market" dual karakter. In the broadest sense, this category is seen as a system of economy, resulting from natural evolution, the evolution of economic relations.
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Vari, Miklos. "The impact of central bank policies on money markets". Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E062.
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Cette thèse est une tentative de mieux comprendre l’impact des différentes mesures prises par les banques centrales depuis 2008, et en particulier en zone Euro. Elle se concentre sur les effets des différents politiques non-conventionnelles sur le marché monétaire. Le chapitre 1 montre comment la fragmentation du marché interbancaire perturbe la transmission de la politique monétaire. Le phénomène de fragmentation est introduit dans un modèle standard de marché interbancaire. On voit alors que de la liquidité excédentaire apparaît de façon endogène dans le modèle. Cela conduit les taux d’intérêt à court terme à s’éloigner du taux de la banque centrale. Le modèle est utilisé pour analyser les politiques conventionnelles et non conventionnelles de l’Eurosystème. Le chapitre 2 explique comment le programme d’achat de titres souverains de l’Eurosystème (le PSPP) a poussé certains taux du marché monétaire en dessous du taux de la facilité de dépôt de l’Eurosystème, qui est pourtant sensé être un plancher. Le chapitre explore empiriquement les interactions entre le PSPP et les taux d’intérêts collatéralisés. Le chapitre 3 montre comment des régulations très proches de celles de Bâle III étaient utilisées par les banques centrales dans les trois décennies qui ont suivi la Seconde Guerre mondiale. A l’époque ces régulations étaient utilisées pour stabiliser l’inflation et la production, un rôle qui serait aujourd’hui typiquement attribué à la politique monétaire (et non à la régulation bancaire). Les expériences historiques que nous décrivons montrent clairement que la régulation de la liquidité a des effets restrictifs sur l’activitéThe first chapter shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location,have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on cross-border financial flows and monetary policy operations,it is shown that this mechanism has been at work in the Euro-Area since 2008. The model is used to analyze conventional and unconventional monetary policy measures. The second chapter shows how the Euro area money market rates have been standing below the deposit facility rate since 2015, which financial markets perceive as a byproduct of Eurosystem's public sector purchase program (PSPP). This paper explores empirically the interactions between the PSPP and short term secured money market rates (repo rates). We document different channels through which asset purchases may affect the various segments of the Euro area repo market. Using proprietary data from the PSPP and individual repo transactions made on the repo market for specific securities, our results show that the PSPP has contributed to push down repo rates. Purchasing 1% of a bond outstanding is associated with a decline in its repo rate of -0.75 bps
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Cooray, Arusha Economics Australian School of Business UNSW. "The impact of deregulation on financial market efficiency in Sri Lanka". Awarded by:University of New South Wales. School of Economics, 2000. http://handle.unsw.edu.au/1959.4/17885.
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The purpose of this study is to investigate the impact of deregulation on financial market efficiency in Sri Lanka. The concept of efficiency used here is due to Fama (1970) who defines an efficient market as one in which prices fully reflect all available information. Given the significant expansion of Sri Lanka???s financial markets in the post deregulation period, efficiency is investigated in the context of these markets. To this end, the study employs a number of standard tests for market efficiency including; the expectations hypothesis of the term structure, the Fisher hypothesis, uncovered interest parity, speculative efficiency, real interest rate equalization and tests of capital mobility. Although the overall results presented in this study suggest that Sri Lanka???s financial markets are not fully efficient, the evidence provides significant insight to the performance of these markets. The main policy lesson to be learnt from this analysis is that financial deregulation will not automatically promote market efficiency unless accompanied by positive policy action to reinforce the impact of these reforms. In conclusion therefore, the study makes a number of recommendations which could help to reinforce the impact of financial deregulation on market efficiency.
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Baklanova, Viktoria. "Money market funds in the US and the EU : a legal and comparative analysis". Thesis, University of Westminster, 2012. https://westminsterresearch.westminster.ac.uk/item/8z40w/money-market-funds-in-the-us-and-the-eu-a-legal-and-comparative-analysis.
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The failure of the Reserve Primary Fund, a US money market fund, in September 2008 triggered a widespread withdrawal of assets from other money market funds in the US. The withdrawals led the US Government to adopt emergency measures to maintain market stability. The ability of money market funds to rapidly withdraw funding from the financial system also showed during the European sovereign debt crisis in the summer of 2011. The crisis prompted further regulatory debate on both sides of the Atlantic on how to make money market funds more resilient to investors’ runs and systemic shocks. The solutions that are currently discussed propose to eliminate the essential bank-like feature of money market funds – their ability to transact at a stable share price – and thereby reduce their attractiveness to investors seeking cash management options outside the banking system. This thesis detaches from those discussions originally enquiring on how should money market funds be regulated in the US and in the EU. As a theoretical premise, this research identifies two overarching goals for money market funds regulation, namely, investor protection and systemic stability. The prevalent proposals for regulation are thus seen as misguided because the change in money market funds pricing mechanisms and the accounting convention would demonstrably not satisfy these goals. In order to formulate the new propositions for the regulation of money market funds in the US and the EU, therefore, this thesis first critically evaluates the existing US and EU regulatory frameworks applicable to money market funds from the standpoint of the dual policy goal of investor protection and systemic stability. Secondly, it introduces an alternative path for achieving this dual goal. It is argued that the blueprint of the international money market fund regulation ought to focus on full disclosure of the funds’ assets and liabilities – portfolio holdings and fund investors – as the primary measure of investor protection. Such disclosure also addresses systemic stability concerns by empowering regulators to properly monitor the transmission channels of funding risk. While my study does not purport to do away with risk limiting rules for money market funds, it cautions against copying the US-centric view of the investment standards to the much shallower European markets under the banners of harmonisation. Instead, this thesis advocates a harmonised international approach to the transparency of money market fund activities and the creation of a global database of market 5 exposures that would subject asset managers to public scrutiny and enable regulators to monitor the major risk transmitting channels. By these means the dual regulatory goal in money market fund regulation – investor protection and systemic stability – shall be upheld.
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Reynard, Samuel. "Financial market participation and money demand /". 2002. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:3048416.
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Chang, Fu-Hao y 張富豪. "Money, Inflation and Stock Market Activity". Thesis, 1996. http://ndltd.ncl.edu.tw/handle/52925292605820151879.
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Wei, Ching-Lin y 魏慶林. "A Dynamic Analysis of Money market and Stock Market Bubbles". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/36338306818838882068.
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碩士國立高雄大學
應用經濟學系碩士班
98
Since the financial market posses the feature of the self-fulfilling prophecy, the growth and collapse of stock market bubbles reflects the amplification and diminishing of the beliefs of bubbles. The financial instability hypothesis proposed by Minsky (1992) suggested that the fluctuation in the economy may be resulted from the instability of financial market and such instability could be triggered without exogenous disturbances. As the money market dominates the increases and decreases in stock market funds and the impact of credit amplification on the future expectation of the economy, the money market may be capable of dominating the expectation of bubbles in stock market if the economy system is characterized sufficiently by the financial instability hypothesis. Due to that the rational expectation hypothesis is unable to illustrate endogenous fluctuations in the economy and the reoccurrence of bubbles after complete collapse, the goal of this thesis is to examine whether the belief of repeated crash and arise on bubbles is dominated by the money market following the structure of the financial instability hypothesis. Therefore, this thesis derives cointegration vectors which represent existing intrinsic bubbles and market fundamentals. These vectors can be utilized to filter out the market participant’s belief about bubbles. By using Probit model, the influence of monetary variables on the prior belief of bubbles can be depicted. These vectors and Probit model can be estimated by combining Bayesian econometric framework and Markov Regime-switching approach. The empirical result can display the dynamic process of beliefs of repeat crash and arise on bubbles and show how money market does play a crucial role to dominate these beliefs.
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Liou, Chi-Sin y 柳志欣. "The Interaction of Exchange Market Pressure and Money Market Pressure". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/16255385511341138780.
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碩士東海大學
財務金融學系
103
In 2008, the financial tsunami had significant influence on global economic system. Then, the US Federal Reserve Board resorted to the quantitative easing (QE) money policy as the plan to rescue the economy, so that a protruding fluctuation occurred in the Asian money market as well as the foreign exchange market due to movement of massive influx. Under such premise, this thesis intends to construct the money market pressure (MMP) index and the exchange market pressure (EMP) index for observation of the causal relationship between the MMP and EMP in Asian region from the financial tsunami in 2008 to the exit of the QE money policy in US. The empirical results from the monthly data show that the EMP in each country had direct effect on the MMP, and rather than vice versa. For multinational dromotropism, the estimation result demonstrates that there was multinational dromotropism on the EMP in Taiwan, Japan, and South Korea, showing the existence of contagion effect of the national crisis. In this thesis, the short-term dynamic transmission is further analyzed. It is found that there was significantly interactive influence between the domestic EMP and the MMP, and the volatility was transmitted from the exchange market to the money market. On the other hand, the effect of multinational EMP's transmission was relatively more significant, while the EMP's transmission effect in the Northeast Asia was slightly stronger than the EMP's in Southeast Asia.
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Hua, Kuo Ling y 郭綾華. "The Transmission on the Raw Materials Market and Money Market". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/80707292666323870440.
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碩士國立彰化師範大學
企業管理學系
100
This paper investigates the BEKK-GARCH model, was used to analyze the return and volatility spillover effects from the Oil, Gold and US dollars. The empirical findings from examining our data for the period of 2001 to 2010 imply that from spillover analysis to the Oil, Gold and US dollars. Unlike traditional literature on the components that usually use only two to analyze, we use three indicators of the components has to look at the benefits that they had the correlation of each other; we integrate and present some evidence of validity presented. The results strongly support the oil is the highest intensity changes the presence of return spillover effects; the gold is the highest intensity changes the presence of volatility spillover effects from the BEKK-GARCH model and all variables based on significant. Therefore, the evidence indicates that these findings have important message was displayed for investors when making the best investment and selecting the sensitive component to develop the best portfolio strategy.
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LIN, YU-CHEN y 林玉珍. "EUROPEAN SIGLE MONEY MARKET INTEGRATED EMPIRICAL STUDY". Thesis, 2002. http://ndltd.ncl.edu.tw/handle/91402510603903020048.
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Chang, Yu-hsin y 張禹欣. "Investment portfolio for Money Market Performance analysis". Thesis, 2008. http://ndltd.ncl.edu.tw/handle/49fnv2.
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碩士東吳大學
商用數學系
96
The most effective way for Banks money market operations, including reinvestment of finance Asset, is to utilize daily spare funds and gain the maximum margin. From the concept of best allocated investment portfolio, margin purchase funds can invest two parts; one part do yielding and the other part do reinvestment which suit for invest in fixed income products because of lower risk. Furthermore, the most effective way to reduce portfolio risk depends on two factors, tenor and proportion. The useful investment products of money market include treasury bills, Commercial Acceptance Bills (BA), Negotiable Certificate of Deposit (NCD), Commercial Paper (CP), Repurchase Agreement (RP) and Bond Fund. For any investment portfolio, many factors need to be considered, such as revenue, risk and tax which have to evaluate. This article focuses on the behavior of doing Repurchase Agreement to obtain margin purchase funds and reinvest the margins in homogeneous financial products to earn higher premium. The main theory this article uses is the Mean-Variance model proposed by Markowitz and effective frontier of investment portfolio. First of all, the regulations change of tax that increases the cost of margin purchase funds need to be considered. The common knowledge of the money market interest rates depends on the financial market funds. The monetary operations of banks attempt to maintain stable premium when they invest in financial products and keep their profit not influenced by the financial market funds flows. Finally, the correlation between financial markets and margin premium, include stock, foreign exchange and bond market, and margin premium is also consider in this article. I apply the theory of Pearson Product Moment Correlation Coefficient to achieve the result. This research shows that the correlation between moment of financial markets and investment portfolio, which includes 91 days of NCD of center bank and 180 days of CP2, is lowest among all the portfolios, also the Sharp radio is the higest we have investigated. Moreover, this portfolio also demonstrates the ability to diversify risk as well as enhancing revenue. The ideal target of money market operations from banks proves on the result of this article.
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HO, TE-KUANG y 何德光. "Explore the Money Market Funds Investor Behavior". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/84078406041275395531.
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碩士佛光大學
應用經濟學系
104
Since mutual funds have low entry barrier and managed by professional expert, most of the investors would prefer to opt for this type of investment. In terms of scale, currency mutual funds would perhaps be one of the most significant funds. The purpose of this study is to investigate the relationship between investor’s cash against the influence of mutual fund purchase placement and mutual fund performance. In addition, research method uses Quantile Regression & Ordinary Least Squares. The results indicate: 1.For currency mutual funds investors, the result indicates that when investor is low in cash ratio, fund redemption would occur, whereas, when cash ratio reaches 60th the quantity for fund purchase would increase. However, on the other hand, for stock mutual funds investors, the result indicates that when investor is low in cash ratio the quantity for fund purchase would increase and vice versa. 2.In terms of the correlation between cash ratio and currency mutual funds, the result indicates that low cash ratio would have a positive correlation; however, structure change would occur after 50th (from positive to negative correlation). Whereas for stock mutual fund the correlation is negative. 3.Most of the investors prefer currency and stock mutual funds with large scale and low management fees, however, in terms of performance, large scale with high management fees are generally the ones which perform the best
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Ritter, Moritz. "Essays on Money, Trade and the Labour Market". Thesis, 2010. http://hdl.handle.net/1807/24378.
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This dissertation consists of three essays in Macroeconomics. The first essay assesses the impact of offshoring on aggregate productivity and on labour market outcomes by developing a dynamic general equilibrium model in which workers acquire task-specific human capital. The dynamic nature of the model allows for differentiation between short and long run effects. While the welfare effects are unambiguously positive and independent of the skill-content of the offshored and inshored tasks, the distribution of the gains from trade critically depends on the time horizon. Workers with human capital specific to the inshored tasks gain over those performing offshored tasks in the short term. In the long run, the gains from trade are equally distributed among ex-ante identical agents. The model is calibrated to the U.S. economy; welfare gains from increased offshoring are found to be substantial even after taking into account losses in specific human capital for workers in the offshored occupations along the transition path.
The second essay integrates the insight that exporting firms are typically more productive and employ higher skilled workers into a directed search model of the labour market. The model generates a skill premium as well as residual wage inequality among identical workers. Trade liberalization will cause a reallocation of workers both within and across industries, which will affect both types of inequality in a way that is consistent with findings from the empirical literature on trade and inequality. A calibrated version of the model can account for much of the effect of the Canada-U.S. Free Trade Agreement on the Canadian labour market.
The final essay incorporates a distortionary tax into the microfoundations of money framework and revisits the optimum quantity of money. An optimal policy may consist of both a positive tax rate and a positive nominal interest rate: if the buyer's surplus share is inefficiently small, the intensive margin is distorted and the constrained optimal policy combines a sales tax with a money growth rate above that prescribed by the Friedman rule. Monetary, but not fiscal, policy alters the agent's bargaining position, leaving a special role for a deviation from the Friedman rule.
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Kang, Chia-Ying y 康家瑛. "Time varying term premia in Taiwan money market". Thesis, 2001. http://ndltd.ncl.edu.tw/handle/38991800409416925665.
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碩士淡江大學
財務金融學系
89
The most prevalent explanation fo fluctuations in the yield curve is the expectations theory, which posits that the slope of the yielf curve reflects the market expectation of the future in interest rates. Numerous studies in Taiwan, however, reject expectations theory. We find that the rejection maybe result from three solutions:(1)Term premia is varying with time. (2)Measurement errors from the lack of long term market. (3)over- and underreaction. We use the prevalent explanation─term premia is varying with time, and choose commercial paper interest rates in Taiwan market from 1990.3 to 2001.2. We use Campbell and Shiller(1991)’ model, and hypothesis that one term of premia would reflect with the other terms of premia. And the hypothesis use Heston(1992) model. To ensure the results are consistent, we use generalized method of moments. We got some results:(1)From the observation of term premia in Taiwan money market, we find term premia were varying with time. If we use lag excess holding returns as extra explanation variables, term preima in different terms of model is the same. (2)Excess holding return is an important factor in term premia of Taiwan money market. (3) Using Campbell and Shiller(1991) and Heston(1992)’ model in Taiwan money market, the results could not reject the expect theory. Furthermore, the ability of forcasting future short term interest rates is better than that of forcasting future long term interest rates.
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Cheng, Ding-Li y 鄭鼎立. "The nonlinear structure in Taiwan''s money market". Thesis, 1995. http://ndltd.ncl.edu.tw/handle/99644243360036795259.
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碩士淡江大學
金融研究所
83
Price and Volume are two important variables in the theory of economic analysis Ying(1966) thinks that these two variables are joint products of a single market mechanism and this opinion could be applied to speculative market.The previous emperical studies about price-volume relationchip in Taiwan speculative market are mostly emphasized on stock market, however , bondarket is also one of speculative market. So,this research concentrates on the relationship between price and volume of government bond market in Taiwan. Thomas W. Epps(1975) has developed an asymmetric model which implies that the ratio of volume to price change for upticks exceeds the absolute value of this ration on downticks. The first goal of this thesis is to test if this theory could bepplied to the study of the Taiwan government bond market. The second goal of this thesis is to investigate the causality of price change and trading volume. The source of the data is the government bond choosed from the center of OTC(over-the-counter). The study interval is fromhe beginning of Nov.1992 to the end of Feb.1995. The methodology for testing asymmetric model adopts Willcoxon rank-sum test snd the Granger''s causality theory(1969) is adopted to test the causality of price change and trading volume. From the empericalesult, we do not find evidence which supports asymmetric model. We do not find evidence which supports Granger''s causality,either We have tried to explain it and there still exit some problem which would be left to future researchers.
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Marumo, Nkhahle. "The impact of shorter settlement period on risk and liquidity: the case of Johannesburg Stock Exchange". Thesis, 2017. https://hdl.handle.net/10539/26885.
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A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment, 2017Capital markets reforms in emerging, and particularly African markets are of a growing concern. Despite various institutional reforms that began in the early 1980s, the capital markets in emerging countries still exhibit signs of illiquidity, high volatility of returns, high concentration levels and inefficiency. Ambiguous results for such reforms have brought into question the affectivity of major capital markets reforms such as change of settlement cycles, particularly in countries where stock markets are sponsored with public funds. This thesis, therefore, intends to assess the effectiveness of capital markets reforms on development of stock markets by looking at the impact of changing settlement cycle on risk and liquidity at JSE. The objective is met through an assessment of a link between institutional structures and stock micro-structural variables, especially liquidity and risk in the literature review and an assessment of past studies on effects of stock market reforms and changes of settlement cycle on liquidity, risk and efficiency of stock markets. The study then tests the effects of settlement cycle on risk by assessing changes in abnormal returns and changes of variance of returns as a result of settlement cycle change at JSE. It also looks at the impact on liquidity by assessing the effects on the illiquidity measure first proposed by Amihund and Mendeison (2002). The study finds that change of settlement cycle at JSE had positive effects of reducing risk and increasing liquidity. The study also finds that there are no effects on trading activity and concludes that changing settlement cycle impacts largely on risk and to a smaller extend liquidity.
MT 2019
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"A study of the Hong Kong dollar money market funds and their impacts on Hong Kong's financial system". Chinese University of Hong Kong, 1987. http://library.cuhk.edu.hk/record=b5885731.
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"The Hong Kong money market : facts, performance and developments". Chinese University of Hong Kong, 1985. http://library.cuhk.edu.hk/record=b5885528.
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Lin, Ya-Zhi y 林雅芝. "Earning Typhoon’s Money? - Evidence from the Taiwan Stock Market". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/s3ppu6.
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碩士佛光大學
應用經濟學系
103
Taiwan, an island country surrounding by ocean which belongs to tropical and subtropical, has its own special geographical location. Not only has the most frequent earthquakes under the polymerization force but also the abundant rainfall makes by monsoon and fronts. However, more and more naturel disasters happen because of these naturel factors. Take for instance, especially in all the disasters that typhoon is the most one and it also makes the most grievous damage every years in Taiwan. When the disaster happen and involve humanity and economy that is worth everyone to investigate it. This study uses the pooled t test and the matched-pair t test to analyses property insurance industry, transportation industry and tourism industry’s volume and turnover of stock market. We divides transportation industry into land transportation, sea transportation and air transport; and that divides tourism industry into hotel, tourism, entertainment and catering industry. As a result of comparison of the effects of typhoons, this study is expected to have a significant impact on the industry segmentation. Further tests whether stock price and volume will change or not. between the typhoons coming and go. So we can understand how typhoons impact on stock market, and according to the above changes in the relationship to know how to earn money from typhoon. The empirical result shows significant positive correlation between typhoons and land transportation or tourism. Other categories in transportation industry or tourism industry does not have any correlation, so it smooth abnormal data. As a whole, there is an insignificant positive correlation between all of the industries and typhoons. But if it divides industries to examines that will be found land transportation and tourism is the most affected by the typhoon. And this study uses Multiple Regression Analysis to tests stock market return in the end, and the result shows significant positive correlation between return and industries. According to our research as above, it confirmed that the typhoons will affect the stock market of tourism category and land change, also presents significant positive correlation, so the upcoming typhoon can be explored more and earn money by human being from typhoon season.
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Sun, Kuo-Jung y 孫國榮. "The Feasibility of Money Market Mutual Funds in Taiwan". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/21285047543517216532.
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碩士國立臺灣大學
財務金融學系
85
Equity funds , bond funds , and money market mutual funds are 3 major classes in fund industry. Money market mutual funds currently are not permitted in Taiwan .However , Taiwan's bond funds have been operating like money market mutual funds because of insufficient liquidity in the bond market and the motivation to tax arbitrage . As Taiwan*s goal to be the Asia-Pacific Financial Center , open and sound financial markets are necessary . Legalizing money market mutual funds is one part of them. This article discusses the possibility and impacts of legalizing money market mutual funds.The pros and cons , the regulations , the fund managers' strategies , and basic knowledge that investors should know are discussed in detail. The conclusions are as follows:1. Disclosure: All money market mutual funds should use the same format of prospectus . The information within the prospectus must be clear, comprehensive, and honest. 2. Tax treatment: For fair competition , Repurchase Agreements are better treated as one of money market instruments .3. Resrve Requirement: (1)Money market mutual funds have the " conduit" feature. (2)Investors didn't use money market mutual funds' check features as they did in the ordinary checkable accounts according to turnover rates. (3)The majority of growing assets of money market mutual funds didn't come from deposit institutions. According to the evidences shown above , we suggest that the Central Bank should not impose reserve requirement on money market mutual funds.4. Liquidity: The viability of money market mutual funds is riding on the sufficient liquidity of underlying assets , esp. in bond and bills markets. So the authorities should try to eliminate structural obstacles and establish the credit rating organizations in order to increase the liquidity .
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Chang, Hung-Yao y 張虹瑤. "The Design of the Analysis System of Money Market". Thesis, 1996. http://ndltd.ncl.edu.tw/handle/95225207599514359383.
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碩士國立臺灣大學
商學系
84
As the money market keeps growing rapidly in Taiwan, the need of tools to analyze the securities of money market will be more requestable. This analysis system is mainly for analysts to manage their securities and initiator to utter. This thesis, "The Design of the analysis system of money market", focuses on researching datas, developing the framework of the system, explaining the design logic of this system, and describing the programming. This system currently at least provides the following functions : (1) the maintenance of the data files, (2) the query function, (3) holding period return calculation, and (4) forward premium calculation.