Tesi sul tema "Bonds (Government)"
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1
Minella, Carmine Mattia <1994>. "Connectedness in European government bonds: an empirical analysis". Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19575.
Testo completoAbstract (sommario):
In this thesis we propose to discuss and analyse the correlation between the spot rates of bonds of ten European countries (Portugal, Netherlands, Belgium, France, Italy, Germany, Spain, Finland, Ireland, Austria) for three different maturities (two, five and ten years). In order to achieve this we use the variance decomposition method already used in the works of Diebold and Yilmaz in the Journal of econometrics of 2014. The analysis consists o f two parts: a first, static, analysis that takes into account the entirety of the data set (monthly returns from 2000 to 2021) and a second, dynamic, analysis that takes into account a rolling window subset of the data. The goal of the thesis is to show which countries have a greater influence over the others within the sample and to study how the correlation changes over time through periods of stability and crises and what is the impact of the ECB policies on correlation.
2
Cox, David Anthony. "Computable equilibria in the UK government bond market with non-neutral tax rules". Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.313056.
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Sernova, Elena V. "Adiós to the long-bond will we miss it? /". Diss., Restricted to subscribing institutions, 2005. http://proquest.umi.com/pqdweb?did=921022491&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Huff, Richard F. "Achieving High Performance in Local Government: Linking Government Outcomes with Human Resource Management Practices". VCU Scholars Compass, 2007. http://hdl.handle.net/10156/2064.
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5
Voss, Maj-Lis A. "The term structure of interest rates : U.S. government bonds, 1955-1989 /". Thesis, This resource online, 1990. http://scholar.lib.vt.edu/theses/available/etd-03032009-040609/.
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6
Silva, Teresa Gaspar. "The effect of quantitative easing programmes on long-term government bonds". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14611.
Testo completoAbstract (sommario):
Mestrado em Economia Monetária e FinanceiraO objectivo desta dissertação é apresentar os programas de Quantitative Easing levados a cabo nos Estados Unidos da América, Reino Unido, Zona Euro e no Japão durante a Crise Financeira de 2007-2009 e avaliar o seu impacto na variação das taxas de juro de longo prazo para títulos do Governo, usando dados mensais e trimestrais. A analise empírica consiste em quatro equações para cada frequência temporal usando um estimador OLS. No caso dos USA, foi encontrado suporte de que as politicas de QE diminuem a taxa de juro de longo prazo para títulos do Governo. A mesma relação foi encontrada para o Reino Unido, no entanto com menos assertividade. Os resultados para a Zona Euro e para o Japão foram ambíguos, não foi possível determinar o impacto das medidas de QE para estes países.
The aim of this dissertation is to clarify the Quantitative Easing programmes employed by the United States of America, United Kingdom, Euro Area and Japan during the financial crisis of 2007-2009 and assess its impact into the variation of the long-term Government bond yield, using monthly and quarterly based data. The empirical analysis consisted in four equations for each timeframe using an OLS estimator. It was found evidence supporting that QE diminishes the variation of the long-term Government bond yield in the US. On the UK case, it was found evidence that QE measures reduces the explained variable but with modest strength. In the EA and in Japan the results were ambiguous and one cannot be assertive about the impact of QE policies for both economies.
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7
Begg, Anne, e n/a. "Bicultural nationhood in the bonds of capital". University of Otago. Department of Communication Studies, 2006. http://adt.otago.ac.nz./public/adt-NZDU20070508.142710.
Testo completoAbstract (sommario):
This thesis approaches the issue of bicultural nationhood as articulated through a Maori/Pakeha binary in Aotearoa/New Zealand by interrogating the deeply entrenched social forms that inform liberal democracy and that institutionalize capitalism in the modern nation-state. More specifically, it explores the concepts of �self-governing people�, �public sphere� and �free market� as three forms of collective agency that discursively construct �society� within the social imaginary and that interact to set the terms of democratic citizenship. Central to this discussion is the indigenous/non-indigenous binary constituting biculturalism and the manifestation of �indigeneity� as both unassimilable difference in the project of modernity and as political struggle for recognition and power. This study elaborates through the mediated texts of the mediasphere and argues that there is a constant relation between nation, culture and class wherein culture-as-difference provides a framework for masking class struggle in capitalist relations of production as well as for enabling the dominant group to discursively construct their own ethnicity as national cultural identity.
What is at stake in this discussion is the contrast between cultural difference as it emerges in the performance of everyday life and as reaction to issues of economic marginalization and cultural difference as it is contrived by the nation-state in terms of a Maori/Pakeha binary. The aim of this thesis is to highlight the necessity of difference in cultural identified, labeled and marketed as a fixed concept, but is an ephemeral by-product of ongoing social struggle for survival, recognition and political power. The objective is to undercut current ideological propositions and demand a just, equitable and democratic approach to the conceptualization of nationhood in Aotearoa/New Zealand.
8
Machac, Erik, e Renato Cucurnia. "The attraction of foreign government bonds from the perspective of swedish investors". Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1285.
Testo completoAbstract (sommario):
Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. Swedish investors are not the exception and the issue of the attraction of foreign fixed income securities is highlighted even more when we have found out there is lack of academic research about the topic from the perspective of Swedish investors. To narrow down the research subject and provide a reader with an interesting approach, we decided to examine the attraction of foreign government bonds from the perspective of Swedish investors.
At the beginning of the paper we raised three research questions and defined the objective of the paper in questioning the existence of reasons to invest in foreign government bonds. Another research question was defined as identifying our local investor, who is entering the global market and last, but not least, what investing strategy do we recommend him to follow.
Along the paper we proposed to apply a decent level of informative as well as a scientific approach to provide a reader with a valuable study concerning pre-defined topic. To reach more concrete outcomes of the study we have accepted couple of assumtions which we have identified ourselves with and we have stressed them especially during the theoretical part of the paper.
After conducting the comprehensive analysis of the Swedish market for government bonds we have identified a huge gap between the demand and supply for such bonds and based on the discussion concerning the opportunities and risks connected with such investments we have defined our investor. Under given assumptions, as the most probable case of occurance we consider a rational investor, who is offsetting the balance of interest rate sensitive assets and liabilities simultaneously looking for the best possible yield, the lowest possible risk and sound level of diversification.
During the empirical analysis, namely examination of the national yield curves we set first, however very limited investment strategy. After the incorporation of the portfolio theory, currency rate risk and the existence of instruments covering the foreign currency exposure we have come into a conclusion that our investor does not have to necessarily prefer a security from the depicted efficient frontier, but he can employ other securities as well. As a consequence, when using 100% hedging he can use whichever security on the global market.
At the conclusion, stated findings imply another investigation, since our research was based on very strong assumptions presented during the study. Thus it by far does not provide the reader with a comprehensive investment analysis, which some readers might be interested in. However, even from the beginning we claimed that we do not have such an ambitious goal.
9
Correia, Alexandra Coelho. "The impact of fiscal rules on government performance and borrowing costs". Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20618.
Testo completoAbstract (sommario):
Mestrado em Economia Monetária e FinanceiraWe assess the impact of numerical fiscal rules on budget balances and sovereign yields, as well as the impact of expenditure rules on primary expenditure. The panel data covers 28 EU countries for the period of 1990-2018. The results show that numerical fiscal rules improve government performance leading to a reduction of budget deficits and lowers sovereign bond yields. Distinctively, expenditure rules hold a significant impact on primary expenditure.
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Coelho, Miguel de Campos Pinto. "Credit ratings and government bonds: evidence before, during and after european debt crisis". Master's thesis, reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10362/120122.
Testo completoAbstract (sommario):
This project investigates if there was any influence of credit rating agencies and long-termgovernment bond yields on each other before, during and after Europe’s sovereign debt crisis. This is addressed by estimating the relationship and causality between sovereign debt ratings or bond yields and macroeconomic and structural variables following a different procedure to explain ratings and bond yields. It is found evidence that, in distressed periods, ratings and yields do affect one another. This suggests that a rating downgrade might create a self-fulfilling prophecy, leading relatively stable countries to default.
11
Favaretto, Federico. "Essays in International Macroeconomics:". Thesis, Boston College, 2021. http://hdl.handle.net/2345/bc-ir:109208.
Testo completoAbstract (sommario):
Thesis advisor: Peter IrelandThesis advisor: Rosen Valchev
This dissertation consists in three chapters, each making a distinct contribution. Chapter 1 empirically tests classic and new Uncovered Interest Parity puzzle in an innovative way. Findings suggest that government debt is significant and economically relevant for UIP puzzles estimation.Chapter 2 shows that a class of macroeconomic models reproduce the UIP puzzle under a standard parametrization and adding convenience yields exogenous dynamics. Chapter 3 is a theoretical model that links financial crises to the election of populists parties, matching empirical evidence from Europe
Thesis (PhD) — Boston College, 2021
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
12
Vilas-Boas, João Pinto Teixeira. "Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market". Master's thesis, NSBE - UNL, 2013. http://hdl.handle.net/10362/9852.
Testo completoAbstract (sommario):
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis study is an assessment of the existence of deviations of the Law of One Price in the UK sovereign debt market. UK government issues two types of debt instruments: nominal gilts and inflation-linked (IL) gilts. Constructing a synthetic bond comprising the IL bonds and also inflation-swaps and gilt strips I was able to build a portfolio that pays to investor exactly the same cash-flow as nominal gilts, with the same maturity. I found that the weighted-average mispricing throughout the period of 2006-11 is only £0,155 per £100 notional. Though, if I restrain my analysis to the 2008-09 crisis period, this amount raises to £4,5 per £100 invested. The weighted-average mispricing can reach values of £21 per £100 notional or, if measured in yield terms, 235 basis points. I have also found evidence that available liquidity on the market and increases on index-linked gilts supply do play a significant role on monthly changes of mispricing in the UK market. I concluded that, although the global mispricing is not significant on UK gilt market, every pair of bonds in the sample presented huge and significant arbitrage opportunities in downturn periods.
13
Santarlasci, Lapo <1995>. "Network Connectedness Analysis on European Corporate and Government Bonds: reading through latest global financial crises". Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19230.
Testo completoAbstract (sommario):
Analysis on a sample of European corporate and government bonds. Study of geographic interconnections by modeling individual securities Yield to Maturity time series (bonds with homogeneous maturities), in order to define a network structure from which to derive market behavior drivers and crisis signals. Focus on the latest global crises, including the most recent from the spread of the Covid-19 virus. Main use of Forecast Error Variance Decomposition for the derivation of interconnection measures. Data collected through Bloomberg data providers, and modeled by applying R programming techniques, graphics and figures produced using the same techniques through the use of dedicated open source functional libraries.
14
Petrovic, Katarina. "Government Debt : Why Has the Government Debt Increased? An Analysis of What Factors Influence the Long-Term Interest Rate?" Thesis, Karlstads universitet, Fakulteten för ekonomi, kommunikation och IT, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-29051.
Testo completoAbstract (sommario):
This paper analyzes what factors influence the long-term interest rate, in order to give an understanding of why the government debt has increased in EU member states. It is a statistical study of panel data analyzed by the fixed effect model. The research of the 27 EU member states is based on secondary data from the European Commission; Eurostat and EconStats. The results by the fixed effect model show that government debt, budget deficit and presidential system are significant and have a positive relationship with the long- term interest rate. The growth rate is significant, having a negative relationship with the long-term interest rate and the financial crisis did not increase the long-term interest rate. The results were not entirely consistent with theories and previous studies.
15
Embree, Larry Dennis 1955. "ESTIMATING THE IMPACT OF SMALL BUSINESS ADMINISTRATION LOANS AND INDUSTRIAL REVENUE BONDS ON RURAL ARIZONA INCOMES AND EMPLOYMENT". Thesis, The University of Arizona, 1986. http://hdl.handle.net/10150/277148.
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Novák, Alexander. "Financování schodku státního rozpočtu prostřednictvím emise dluhopisů". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4596.
Testo completoAbstract (sommario):
This diploma thesis surveys debt instruments used in OECD and European Union member countries for financing central government deficits and the techniques of selling government bonds. The volume and structure of the central government deficit and debt in the Czech Republic as well as organization of debt management office are subjected to a detailed analysis. Debt management accomplishments are confronted with the set out strategy and its objectives. The thesis also consists of the characteristics of securities in use (treasury bills, medium-term and long-term government bonds) as well as of legal regulations of auctions by which the securities are placed on the domestic market. An independent subchapter is dedicated to foreign issues of bonds.
17
Singla, Akheil. "Financial Crises & Financial Derivatives: Government Use of Interest Rate Swaps From 2003 - 2012". The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1437058804.
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Špaček, Lukáš. "Ekonomická analýza systému maloobchodního prodeje státních dluhopisů". Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76891.
Testo completoAbstract (sommario):
The goal of this paper is to analyze alternative instrument for financing of government debt, the system of selling retail government bonds. These would be intended solely for individuals. In this work I try to characterize and quantify revenues and costs of implementation and operation of the system, also I mention the possible risks, which the system could bring. In conclusion, I appraise the latest variant of the system presented by the Ministry of Finance of the Czech Republic and introduce my own proposal of the system, which is based on previous economic analysis.
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Cook, David. "Pricing Bond Yields in the European Bond Market". Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/9.
Testo completoAbstract (sommario):
This paper analyzes macroeconomic factors and their effect on 2-year government bonds of 11 countries in the European Monetary Union. I specifically looked at how a simultaneous budget and trade surplus effect a country's bond yield spread relative to Germany's bond yield. My model showed that double surplus countries have a larger yield spread than countries that do not have a double surplus.
20
Hánová, Lucie. "Vývoj a financování státního dluhu České republiky ve srovnání s ostatními zeměmi Visegrádské čtyřky". Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359698.
Testo completoAbstract (sommario):
This thesis deals with the development and structure of Czech Government Debt in comparison with other countries of Visegrad group. In the first part, there is a description of debt management, the institutional arrangement and financial instruments. In the second part, there is a comparison with Government Debts of Slovakia, Poland and Hungary.
21
Wilkinson, Carter J. "Do Public Pensions Affect City Borrowing Costs? The Impact of Local Government Pension Contributions on Municipal Debt Yield Spreads". Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/973.
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This paper utilizes a sample of 6,185 locally-issued, general obligation municipal bonds to examine the relationship between a city’s cumulative pension contributions and its cost of borrowing. Following the Great Recession unfunded public pension liabilities have soared to record highs, which, in theory, represent additional credit risks and may hinder local governments’ ability to service their outstanding debt. After controlling for bond characteristics, bond ratings, and issuer characteristics, the empirical analysis finds a statistically significant correlation between pension costs and borrowing costs, defined as the spread between the effective offering yield on municipal debt and the yield on a maturity-matched treasury on the municipal bond’s date of issuance. The results suggest that a 1% increase in cumulative city pension costs as a percent of city revenue is associated with an increase in yield spreads ranging from 1.2 to 3.5 basis points. These findings indicate that municipal bond investors do in fact consider pension expenses when pricing municipal bonds and suggest that addressing unfunded pension liabilities by mandating higher annual contributions will lead to higher borrowing costs for local governments.
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Machač, Erik. "Atraktivita českých státních dluhopisů pro zahraniční investory". Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-15437.
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Thesis deals with the attraction of Czech government bonds from the perspective of foreign investors in relation with the current economic development in CEE region, and further in the rest of the world. Analysis is targeted to issue of the Czech government bonds in turn of 2009 and 2010. After the analysis and description of foreign investors representing huge part of the entire demand for the Czech government bonds on the domestic and foreign markets the paper further covers individual pros and cons of the instrument. The empirical analysis is conducted as the comparison of the yields and risk of Czech goventment bonds with the similar instruments issued by Hungarian and Slovakian governments. Separate part of the thesis covers the characteristics of used instruments (Czech T-Notes and T-Bills) and legal adjustments of the auctions through which these instruments are placed on the domestic market. Thesis also contains a separate chapters covering the results of former issues of the Czech government bonds abroad and the analysis of tax consequences resulting from holding and selling the Czech government bonds by foreign investors.
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Антонюк, Наталія Анатоліївна, Наталия Анатольевна Антонюк, Nataliia Anatoliivna Antoniuk, К. А. Дарченко e О. А. Золотар. "Аналіз динаміки ринку ОВДП в Україні". Thesis, Сумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/78853.
Testo completoAbstract (sommario):
Досліджено загрози стійкості фінансової системи України, що зумовлено значним ростом обсягу емітованих облігацій внутрішньої державної позики, які підлягають погашенню у найближчий термін. Проведений аналіз динаміки обсягу емісії державних облігацій. Обгрунтовано, що терміновим є питання визначення альтернативних джерел погашення відсотків та номіналу державних облігацій.Исследованы угрозы устойчивости финансовой системы Украины, что обусловлено значительным ростом объема эмитированных облигаций внутреннего государственного займа, которые подлежат погашению в ближайшие сроки. Проведен анализ динамики объема эмиссии государственных облигаций. Обосновано, что срочным является вопрос определения альтернативных источников погашения процентов и номинала государственных облигаций.
Threats to the stability of Ukraine's financial system, which is due to a significant increase in the volume of domestic government bonds issued, which are to be repaid in the near future, have been studied. The analysis of the dynamics of the volume of government bond issues is carried out. It is substantiated that the issue of determining alternative sources of interest and face value of government bonds is urgent.
24
Pohl, Martin. "Czech Swap Curve, Economic Fundamentals and Financial Markets". Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-124968.
Testo completoAbstract (sommario):
We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.
25
Kalantari, Arian. "Government yield spread determinants in the eurozone and the effect of the European debt crisis". Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264178.
Testo completoAbstract (sommario):
The inception of the economic and monetary union (EMU) in January 1999 created new conditions for government debt. By eliminating currency exchange rate risk between the member states, the hope was to achieve a more sustainable and integrated government debt market in the euro area. Even though we witnessed relative stability for several years, the financial turmoil starting in 2008 and more so the European government debt crisis starting in late 2009 led to higher and more volatile yield differentials between the member states. This thesis explores the European government bond market to find the fundamental determinants of yield spreads and to see if the impact of these determinants changed since the start of the debt crisis. Financial theory suggests that there are three main fundamental drivers of government bond yields and as such lay the framework for finding the explanatory variables. By using a fixed-effect panel regression model the empirical findings of this study show that credit risk, liquidity risk, risk aversion all play a significant role in explaining yield spreads in the euro area. Furthermore, we find evidence of increasing marginal effects of all explanatory variables except for global risk aversion since the start of the crisis. We also consider the effect of the statement by the ECB President in 2012 where the ECB committed to quantitative easing as an important reason for the decrease in yields and illustrate this by expanding our model. The contribution of this study is centered around the use of longer timeseries data that provides the significant advantage of fully incorporating the European debt crisis which is something that previous studies were lacking.Införandet av den ekonomiska och monetära unionen (EMU) i januari 1999 skapade nya villkor för statsskuldmarknaden. Genom att eliminera valutakursrisk mellan medlemsstaterna var förhoppningen att skapa en mer hållbar och integrerad statsskuldmarknad i euroområdet. Trots flera år av relativ stabilitet ledde finanskrisen 2008 och eurokrisen i slutet av 2009 till högre och mer volatila ränteskillnader mellan medlemsstaterna. Denna uppsats undersöker den europeiska obligationsmarknaden för att hitta de grundläggande determinanterna för räntespreads och för att se om effekterna av dessa determinanter har förändrats sedan skuldkrisens början. Genom att använda en “fixed-effects” regressionsmodell visar de empiriska resultaten att kreditrisk, likviditetsrisk, riskaversion spelar en viktig roll för att förklara räntespreads i euroområdet. Vidare finner vi bevis på ökande marginaleffekter för alla determinanter med undantag för global riskaversion sedan krisens början. Vi undersöker också effekten av ECB-Presidentens uttalande 2012 som indikerade en hängivenhet till kvantitativ lättnad som en viktig orsak till fallet i räntespread och illustrerar detta genom att utöka vår modell. Bidraget från denna studie är centrerad kring användandet av längre tidsseriedata som ger den stora fördelen att inkorporera den europeiska skuldkrisen vilket är något som tidigare studier ofta saknat.
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Razumnova, Alexandra. "European imbalances and the debt crisis in Europe". Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-197811.
Testo completoAbstract (sommario):
The imbalances within the Euro-zone were the main reasons of the crisis that had led to the growing budget deficits in the Southern Europe resulting in the accumulation of unsustainable debt. The imbalances were caused by the declining competitiveness of the South vis-s-vis the North. The main causes of the declining competitiveness are the differences in unit labor costs invoked by different regulations concerning the labor markets in the Euro-zone countries and the diverging levels of productivity, which is liked with the different levels of technological advancement. The contributing factor is the institutional imperfections of the EMU, that did not allow the countries in Southern Europe to restore their competitiveness by traditional means without providing them with alternatives.
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Mormando, Filippo. "Liquidity and regulation of sovereign bond markets after the great recession". Doctoral thesis, Università degli studi di Padova, 2018. http://hdl.handle.net/11577/3426817.
Testo completoAbstract (sommario):
This research investigates some aspects of the structure of European sovereign bond secondary market. European government bonds are standard financial instruments, traded in highly transparent markets. A good functioning of these markets provides an essential supportive environment for the primary market, by which Sovereign entities issue their bonds among investors. During the last decade, many factors have potentially affected the bond market’s structure: the US and UK financial crisis, the European sovereign crisis, the deflation and the non-standard monetary policies of ECB and other central banks, new regulatory frameworks for financial markets and banks (e.g., MIFID II and MIFIR). Looking at the period of the European debt crisis, the pricing in financial markets of sovereign credit risk has been a central topic for empirical research. In the first chapter, we study the links between credit default swaps (CDS) and bond spreads, the differences in the set of relevant determinants, the price discovery of sovereign credit risk and the impact of the entry into force of the European ban on naked CDS, approved by European authorities to contrast speculative activity against national public debts. Secondly, we focus on the Italian case. The wholesale secondary market of its securities
is MTS. We provide an extensive study on the evolution of the microstructural liquidity conditions over the last decade. In order to investigate different dimensions of the market liquidity (quoting, trading and resiliency), we propose an analysis on several liquidity measures. The large set of measures on a unique dataset provides a complete view of the market structure, market makers’ behavior and price takers’ preferences. This analysis clearly highlights trends, causes and timing of structural variations in market liquidity in the last decade. Lastly, since MTS Italy is the secondary market that operates under the specialist system, the last chapter investigates some peculiar aspects of the incentives that probably affect specialists’ behavior. Differently from other markets, the Italian Treasury monitors the performance of specialists on MTS, in order to push them to provide high level of liquidity. Monitoring rules represent a sort of soft regulation applied on Italian government bond market. We investigate whether these rules and the correspondent public ranking system effectively affect market makers in their quoting decisions and, consequently, the liquidity conditions of order books. To the best of our knowledge, this is one of the very first studies to statistically assess the impact of this regime on specialists’ quoting preferences.
28
Lin, Therese. "Modelling Swedish bond market activity : A liquidity proxy using potential and executed trades". Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-284796.
Testo completoAbstract (sommario):
Bond markets are crucial for the stability and efficiency of the national financial system. Low liquidity prevents market developments and makes investors reluctant to trade actively. It is therefore crucial to maintain liquidity in bond markets. This thesis aims to investigate investor activity and liquidity in the Swedish government and mortgage bond markets. By creating indices using a combination of public trading data (actual trades) and private trading data (potential trades) to measure investor activity, a new liquidity proxy is created. The indices capture two aspects of investor activity, both the quantity of the bonds as well as the trading frequency. High levels of activity imply a liquid market and low levels of activity imply a lack of liquidity. Since Swedish and international investors are exposed to different risks even when investing in the same market, this thesis has segmented investors into four groups: Swedish investors in the government bond market, Swedish investors in the mortgage bond market, foreign investors in the government bond market and foreign investors in the mortgage bond market. To further understand the driving factors of market activity, regression analysis is conducted. From the existing literature a total of 11 potential explanatory variables have been identified. Due to the various market conditions in each investor group, it is no surprise that the variables influence the groups differently. Bond market return, short term interest rate and term risk structure are found to be highly significant for all investor groups. Moreover, stock market return and macroeconomic news are identified to be relevant variables when explaining shifts in investor behaviour. Positive developments in bond and stock market returns boost investor activity, while negative developments halt activity. Short term interest rate and the term risk spread are found to have similar effects, positive influence in the government bond market and negative influence in the mortgage bond market. For international investors, two spreads reflecting Swedish market conditions in relation to international benchmarks are included in the analysis. Both spreads are found to be highly significant, indicating that foreign investors choose to trade in the bond markets with the most desirable conditions.En välfungerande obligationsmarknad är avgörande för ett lands finansiella stabilitet. Brist på likviditet hindrar marknadsutveckling och medför att investerare blir ovilliga att handla aktivt. Det är därför viktigt att behålla likviditeten i obligationsmarknader. Den här uppsatsen undersöker aktiviteten och likviditeten i de svenska marknaderna för statsobligationer och bostadsobligationer. För att mäta aktiviteten har en kombination av offentlig handelsdata (utförda transaktioner) och privat handelsdata (potentiella transaktioner) använts. Den uppmätta aktiviteten avspeglar storleken på transaktionerna såväl som frekvensen av transaktionerna. Hög aktivitet i marknaden indikerar att likviditeten på marknaden är hög, låg aktivitet indikerar att det råder brist på likviditet i marknaden. Svenska och internationella investerare kan uppleva olika marknadsförhållanden och utsättas för olika risker även när man handlar i samma marknad. Därför har den här studien valt att dela upp investerarna i fyra olika grupper; svenska investerare av statsobligationer, svenska investerare av bostadsobligationer, utländska investerare av statsobligationer och utländska investerare av bostadsobligationer. För att förstå de underliggande faktorerna som driver dessa investerargruppen att vara aktiva på marknaden har regressionsanalys med 11 förklarande variabler använts. På grund av de olika marknadsförhållandena för svenska och utländska investerare, skiljer sig även de drivande faktorerna. Avkastning på obligationsmarknaderna, kortfristiga räntesatsen samt löptidsstrukturen för obligationer visar sig vara signifikanta för alla investerargrupper. Dessutom tyder resultaten på att avkastningen på aktiemarknaden och makroekonomiska nyheter också har betydande inflytande på aktivitet. Positiv utveckling i obligationsmarknaden och aktiemarknaden stimulerar marknadsaktivitet. Den kortfristiga räntan och löptidsstrukturen visar sig ha liknande effekter, positivt inflytande på marknaden för statsobligationer och negativt inflytande på marknaden för bostadsobligationer. För internationella investerare har även två spreadar som återspeglar svenska marknadsförhållanden i relation med utländska marknadsförhållanden inkluderats i regressionsanalysen. Båda spreadarna visar sig vara betydande för utländska investerare. Detta tyder på att utländska investerare väljer att vara aktiva i den marknaderna som de anser ha de mest önskvärda handelsförhållandena.
29
Catapani, Marcio Ferro. "O mercado de títulos públicos: desmaterialização e circulação". Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-21082012-091744/.
Testo completoAbstract (sommario):
O Estado, para obter recursos com o objetivo de financiar suas atividades, recorre ao mercado por meio de dois mecanismos: a obtenção de empréstimos individualizados e o lançamento de títulos públicos. Na realidade atual, a dívida mobiliária alcança volume muito superior ao da contratual, tendo em vista algumas vantagens do mecanismo dos títulos públicos. Entre essas vantagens, pode-se citar um universo maior de potenciais compradores, a possibilidade de execução de política monetária, a maior facilidade de controle, o menor custo de negociação e escrituração. Fenômeno também observado nas últimas décadas, em escala mundial, é de que os títulos públicos sejam emitidos de modo escritural e eletrônico. Nesse contexto, não pode ser aplicado a esses valores o ferramental teórico e normativo dos títulos de crédito. Com efeito, se a doutrina tradicional considerava os papéis emitidos pelo Estado como uma espécie desses títulos, tal constatação não mais se sustenta, em especial diante da completa inexistência de um suporte documental dos ativos eletrônicos. As características e institutos próprios dos títulos de crédito, como a cartularidade, a literalidade, o endosso e o aval não são compatíveis com a realidade negocial que hoje conforma os títulos públicos. Um conceito jurídico que pode explicar a natureza atual dos títulos públicos e permitir o regramento das operações que os envolvem é o de instrumento financeiro. Desenvolvido no âmbito do ordenamento comunitário europeu, esse conceito não se encontra perfeitamente delimitado no ordenamento jurídico brasileiro, mas nada impede a sua construção em sede doutrinária. Tomando por base a noção de instrumento financeiro, o foco da normatização deixa de ser cada título considerado em si, para recair sobre o mercado em que eles são negociados. Assim, ganha relevo o estudo da estrutura institucional desses mercados, bem como das principais operações que neles são travadas. Tais operações incluem a emissão e a oferta inicial, a negociação secundária, o resgate, a rolagem da dívida, bem como eventuais renegociações e alterações unilaterais nas características dos títulos. Para o desenvolvimento de mercados líquidos e eficientes, algumas condições são imprescindíveis, como, por exemplo, a existência de graus mínimos de estabilidade, previsibilidade e segurança, de uma imagem sólida e confiabilidade das instituições participantes, em especial dos entes estatais emissores etc. Além disso, todo o arcabouço normativo deve ser construído levando-se em consideração os interesses de cada grupo de agentes econômicos envolvidos, como forma de tornar atrativa para estes a alocação de recursos na aquisição de títulos públicos.When the State needs to obtain resources in order to finance its activities, it resorts to the market through two main mechanisms: individual loans or public securities. Nowadays, the debt securities total amount is much higher compared to the debts founded on individual loans, due to some advantages of the technology of public securities. Among such advantages, it can be mentioned a larger universe of potential buyers, the possibility of implementing monetary policy, the easier control, and the lower costs of trading and bookkeeping. In recent decades, it has also been noticed that the public bonds are worldwidely issued in both book-entry and electronic ways. In this context, the theoretical and normative tools regarding negotiable instruments can not be applied to these bonds anymore. Indeed, if the traditional doctrine used to consider the public bonds as negotiable instruments, such understanding can no longer take place, specially taking into account the complete absence of any supporting documentation of electronic assets. The peculiar characteristics and rules related to the negotiable instruments, such as the need of the document to enforce the rights, the respect to the terms of the document, the endorsement, and the guaranty are no longer compatible with the present reality of public bonds. A legal concept that can explain the current nature of the public securities and allows the regulation of operations envolving them is the financial instrument. Developed under the European Community law, this concept is not well defined in the Brazilian legal system yet, but nothing prevents its development in our doctrine. Based on the concept of financial instruments, the focus of regulation is no longer each title considered itself, but the markets in which the financial instruments are traded. Thus it becomes important to study the institutional structure of such markets, as well as the leading operations that are performed in the markets scope. Such operations include the issuance and the initial offering, the secondary trading, the redemption, the debt rollover, the renegotiations of the bonds, and the unilateral changes of their characteristcs. In order to develop efficient and liquid markets, certain conditions are essential, such as the existence of minimal degrees of stability, predictability and security; a solid image and reliability of the participating institutions, in particular of the public issuing bodies etc. Moreover, any regulatory framework should be built taking into consideration the interests of each economic agents groups involved, in order to make the allocation of resources in government securities attractive for them.
30
Suzart, Janilson Antonio da Silva. "Informações contábeis governamentais e o mercado secundário de títulos públicos: um estudo sob a ótica da value relevance no Brasil". Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-20012014-164828/.
Testo completoAbstract (sommario):
A sociedade, em especial a mídia e os investidores, vem demonstrando certa preocupação com a qualidade das informações evidenciadas pelos entes públicos. Ao final do ano de 2012, algumas operações realizadas pelo governo federal brasileiro, com o objetivo de melhorar o superávit fiscal, não foram bem vistas por bancos e consultorias, que questionaram e ajustaram os números governamentais em seus relatórios. No caso brasileiro, a preocupação demonstrada pelo mercado é uma evidência de que esses agentes podem fazer uso das informações contábeis governamentais, além de se preocuparem com o processo gerador dessas informações. A literatura internacional destaca evidências sobre a capacidade preditiva das informações contábeis governamentais em relação aos mercados de títulos de dívida pública, em especial para os títulos dos governos subnacionais. Todavia, há poucas evidências na literatura acerca do papel das informações contábeis dos governos nacionais. A partir da observação dessa lacuna, a presente pesquisa buscou identificar com que intensidade as informações contábeis governamentais influenciam o apreçamento dos títulos públicos emitidos pelo governo federal brasileiro, negociados no mercado secundário. Nesta pesquisa, foram analisadas as negociações realizadas sem a participação direta do governo federal e registradas no Sistema Especial de Liquidação e de Custódia. Foram verificadas as capacidades preditiva e confirmatória das informações contábeis do governo federal brasileiro, no período compreendido entre 2003 a 2012, em bases mensais. Considerando a abordagem da value relevance, foram desenvolvidos modelos de preços e de retornos para as seguintes séries temporais: (i) LFT - Série Única; (ii) LTN - Série Única; (iii) NTN - Série B; (iv) NTN - Série C; e (v) NTN - Série F. Após a análise da presença de raízes unitárias nas séries de preços e / ou retornos, foram estimadas regressões utilizando o método dos mínimos quadrados ordinários, para as séries estacionárias, e os modelos ARIMAX e ARCH, para as séries não estacionárias. As análises realizadas evidenciaram que as informações contábeis do governo federal brasileiro possuem capacidade preditiva e / ou confirmatória no apreçamento dos títulos negociados no mercado secundário. Todavia, isso não significa que as informações contábeis governamentais são plena e diretamente utilizadas pelos investidores de títulos de dívida, mas que essas funcionam como proxies das informações analisadas pelos investidores no momento de negociar tais títulos, considerando esses investidores como agentes racionais limitados. Evidenciou-se ainda que, apesar da associação entre as informações contábeis governamentais e os valores do mercado secundário, características específicas dos títulos ou do emissor e fatores macroeconômicos exercem influência no apreçamento dos títulos. Apesar da consistência do modelo teórico utilizado, a principal limitação desta pesquisa se refere à não identificação do real modelo decisório dos investidores dos títulos brasileiros.The society, especially media and investors, has shown some concern about the evidenced information quality by public entities. At 2012\'s end, aiming to improve the fiscal surplus, some operations carried out by the Brazilian federal government were not well seen by banks and consultancies, who questioned and adjusted the government numbers in theirs reports. In the Brazilian case, the concern shown by the market is evidence that these agents can make use of governmental accounting information in addition to worrying about the generating process such information. The international literature highlights evidence on the predictive ability of accounting information in relation to government markets bonds, particularly for securities of subnational governments. However, there is little evidence in the literature about the role of accounting information from national governments. From the observation of this gap, this research sought to identify to what extent accounting information influence the pricing of government bonds issued by the Brazilian federal government, which were traded on the secondary market. In this study, I analyzed the trades without the direct participation of the federal government and registered in the Sistema Especial de Liquidação e de Custódia. I studied the predictive and confirmatory capabilities of Brazilian federal government accounting information, in the period 2003-2012, on a monthly basis. Considering the value relevance approach, I developed prices and returns models for the following series: (i) LFT - Série Única; (ii) LTN - Série Única; (iii) NTN - Série B; (iv) NTN - Série C; and (v) NTN - Série F. After the analysis of the presence of unit roots in the series of prices and / or returns, regressions were estimated using the method of ordinary least squares, for stationary series, and ARIMAX and ARCH models, for non-stationary series. The analyzes showed that the accounting information of the Brazilian federal government have predictive and / or confirmatory capabilities in the pricing of secondary market bonds. However, this does not mean that government accounting information are fully and directly used by bond investors, but these act as proxies of analyzed information by investors at the time of trading such bonds, considering these investors as bounded rational agents. It was evident that although the association between accounting information government and secondary market values secondary market, specific characteristics of the bonds or issuer and macroeconomic factors influence the pricing of bonds. Despite the consistency of the used theoretical model, the main limitation of this research relates to the failure to identify the real decision model of investors of Brazilian securities.
31
Kunc, Vojtěch. "Státní dluh ČR, jeho financování a srovnání s vybranými státy". Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-10507.
Testo completoAbstract (sommario):
This thesis deals with debt management carried out in the Czech Republic. Financial instruments (treasury bills, treasury bonds) which are used to manage state debt are described. Analysis for the Czech Republic encompasses period between years 1993 and 2008. It also contains comparison of debt management with selected OECD countries.
32
Kupka, Ondřej. "Vývoj a řízení státního dluhu v České republice". Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360698.
Testo completoAbstract (sommario):
The aim of the diploma thesis is to analyze the development of the government debt in the Czech Republic, in particular in terms of its structure, the assessment of the sustainability of the current government debt level and the assessment of the setting and operation of debt management in the Czech Republic, in comparison with the recommendations of important international institutions. Used will work primarily analytical, synthetic and comparative methods. The first chapter introduces the theoretical definition of the concepts of public debt, including its causes, impacts and forms of coverage. Subsequently, the thesis deals with the theoretical approaches in the sphere of governement debt management. The next chapters assess the development of the government debt in the Czech Republic, its structure, institutional solution and overall debt management. Finally is evaluated the sustainability of the Czech Republic's current indebtedness and realized the comparison of debt management with IMF and World Bank recommendations.
33
Teixeira, José Carlos Monteiro. "Ensaios sobre os efeitos dos títulos de dívida pública no setor bancário em Cabo Verde". Doctoral thesis, Universidade de Évora, 2021. http://hdl.handle.net/10174/29226.
Testo completoAbstract (sommario):
O rácio da dívida pública de Cabo Verde é um dos mais altos do mundo (132.32% do PIB em
2017) sendo que o setor bancário detém a maior parte da dívida interna, representada quase
inteiramente por títulos de dívida pública. Por lei, os bancos são obrigados a manter um valor de
pelo menos 5% das suas responsabilidades por depósitos, mas a exposição é habitualmente muito
superior. O objetivo da tese é investigar o que motiva os bancos em Cabo Verde a deter grandes
quantidades de títulos de dívida pública, e quais os efeitos que esses ativos podem ter na
rentabilidade, risco de liquidez e estabilidade dos bancos. A tese, composta por três ensaios, aplica
modelos de dados em painel a uma amostra de bancos no período de 2000 a 2017. O primeiro
ensaio analisa os fatores determinantes da aplicação em títulos do tesouro pelos bancos. O
segundo ensaio investiga os efeitos dos títulos de dívida pública no risco de liquidez e na
rentabilidade de ativos dos bancos. O terceiro ensaio analisa em que medida a exposição aos
títulos de dívida pública afeta os indicadores de estabilidade financeira dos bancos em Cabo Verde.
Os principais resultados sugerem que: (i) a adequação de capital e a taxa de juro real são
determinantes para a percentagem de títulos de dívida pública na carteira de ativos dos bancos;
(ii) a curto prazo, os títulos de dívida pública não têm impacto sobre a variação do risco de liquidez
e sobre a rentabilidade de ativos dos bancos, mas a longo prazo apresentam um impacto positivo
sobre a rentabilidade dos ativos; e, (iii) a exposição dos bancos aos títulos de dívida pública não
tem efeitos significativos sobre os indicadores de estabilidade financeira dos bancos; Abstract:
Cape Verde's public debt ratio is currently one of the highest in the world (132.32% of GDP in
2017) with the banking sector holding most domestic debt, represented almost entirely by
government bonds. By law, banks are required to maintain a value of public bonds of at least 5%
of all deposits they hold, but the exposure is usually much higher. The objective of this thesis is
to investigate what motivates banks in Cape Verde to hold large amounts of government bonds,
and what effects these assets can have on bank’s profitability, liquidity risk and stability. The thesis
comprises three essays and applies panel data econometric methodologies to a sample of banks in
the period from 2000 to 2017. The first essay analyses the determinants of the investment in
public bonds by banks. The second essay investigates the effects of government bonds on liquidity
risk and on the profitability of banks' assets. The third essay examines the extent to which
exposure to government bonds affects the banks’ financial stability indicators in Cape Verde. The
main results obtained suggest that: (i) capital adequacy and the real interest rate are determinant
in explaining the share of public debt securities in the banks' asset portfolio; (ii) in the short term,
public bonds have no impact on the variation in liquidity risk and on the profitability of banks'
assets, but in the long term they have a positive impact on the assets’ profitability; and, (iii) banks
'exposure to public debt securities has no significant effect on banks' financial stability indicators.
34
LO, CONTE RICCARDO. "Government Bond Yield Spreads". Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/639.
Testo completoAbstract (sommario):
Il presente lavoro raccoglie 4 contributi sul tema dei differenziali sui tassi di interesse esistenti tra i membri dell'unione monetaria europea.I investigate the determinants of sovereign yield spreads in EMU.
35
LO, CONTE RICCARDO. "Government Bond Yield Spreads". Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/639.
Testo completoAbstract (sommario):
Il presente lavoro raccoglie 4 contributi sul tema dei differenziali sui tassi di interesse esistenti tra i membri dell'unione monetaria europea.I investigate the determinants of sovereign yield spreads in EMU.
36
Gonçalves, Edson Daniel Lopes. "Ensaios em opções reais e investimento sob incerteza". reponame:Repositório Institucional do FGV, 2009. http://hdl.handle.net/10438/6557.
Testo completoAbstract (sommario):
Submitted by Edson Gonçalves (edson@fgvmail.br) on 2010-05-10T13:51:10Z
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The three essays in this thesis develop extensions and applications of Real Options Theory, related to very important policy issues in Brazil. The first one presents a pioneering analysis of bioprospecting, or the exploitation of biodiversity, driven by economic goals. Two alternative structures for the contractual arrangements between government and private sector, within the purpose of a sustainable economic use of the Brazilian biodiversity, are designed: (i) a R&D Project model, with uncertain maturity, in which the intensity of the Poisson process driving the maturity time is explicitly dependent on the biodiversity level at the granted location; (ii) a principal agent model, in which the State grants the exercise of an investment option to the biotech research firm. The second essay moves forward the analogy between put options and import quotas. The relevant parameters for pricing quota licenses are now endogenously obtained, via the interaction between an importing firm and domestic producers. Finally, the third paper makes an original analysis of the unofficial market for 'precatórios' a class of government bonds in Brazil, tied to specific federal, state or municipal debts. A model for pricing these securities, taking into account the current institutional environment affecting them at all three levels, is presented and calibrated.
Esta tese é composta por três artigos, nos quais são apresentadas extensões e aplicações da Teoria das Opções Reais, todas de interesse para formuladores de política econômica no Brasil. O primeiro faz uma análise original da questão da bioprospecção, ou a exploração da diversidade biológica para fins econômicos. Duas estruturas alternativas para o desenho do mecanismo de concessão, visando o uso sustentável da biodiversidade brasileira, são sugeridas: (i) um modelo de projetos de P&D com maturidade incerta, no qual a intensidade do processo de Poisson que governa o tempo de maturação é explicitamente dependente do nível da biodiversidade no local concedido; (ii) um modelo de Agente-Principal, onde o Estado delega o exercício da opção de investimento à empresa de pesquisa biotecnológica. O segundo artigo avança a analogia entre opções de venda ('put options') e cotas de importação. Os parâmetros relevantes para apreçar as licenças são agora obtidos endogenamente, a partir da interação entre a firma importadora e os produtores domésticos. Por fim, no terceiro, é feita análise pioneira do mercado paralelo de títulos precatórios no Brasil. Um modelo para a valoração de tais títulos é construído e proposto, tendo por base o arcabouço institucional existente sobre o assunto, tanto no governo central, como nos estados e municípios.
37
Cho, Hye Jee. "Partisan politics and credibility in government bond markets what political institutions help leftist governments build policy credibility? /". Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1692119671&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Testo completo
38
Wang, Junbo. "Two essays on government bond markets". Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2005. http://wwwlib.umi.com/cr/syr/main.
Testo completo
39
Sato, Kathy K. "Bond pricing with taxes in the US government bond market". Thesis, University of British Columbia, 1991. http://hdl.handle.net/2429/29696.
Testo completoAbstract (sommario):
Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conflicting arguments. The first is that of Schaefer's clientele effects. Schaefer finds that because of differing tax implications, investors will prefer some bonds to others, and no investor will want to hold all bonds. Litzenberger and Rolfo, meanwhile argue that a representative investor exists, and that all bonds are correctly priced for each tax bracket. In this situation, investors will hold positive amounts of all bonds.
The purpose of this thesis, is to test which of these arguments hold in the US government
bond market. A methodology similar to that used by Schaefer will be employed, however, we will replace the linear combination of Bernstein polynomials used by Schaefer with a different functional form known as basis splines.
The period examined encompasses the pre-legislation, legislation, and the post-legislation period of the Tax Reform Act of 1986. We find that clientele effects exist during the pre-legislation period, that they diminish during the legislation period, and then disappear in post-legislation period.Business, Sauder School of
Finance, Division of
Graduate
40
Ісаєва, Олена Володимирівна, Елена Владимировна Исаева e Olena Volodymyrivna Isaieva. "Оцінка діяльності держави на фінансовому ринку України". Thesis, Українська академія банківської справи Національного банку України, 2015. http://essuir.sumdu.edu.ua/handle/123456789/51123.
Testo completoAbstract (sommario):
Дисертаційне дослідження присвячене розробці методичного підґрунтя оцінювання діяльності держави на фінансовому ринку України в якості продавця і покупця ресурсів, регулятора та фінансового посередника. В дисертації обґрунтовано сутність, форми та інструментарій фінансового посередництва держави на фінансового ринку; розроблено дворівневий підхід до оцінювання якості державного регулювання фінансового ринку України та оцінено його вплив на стійкість розвитку окремих сегментів фінансового ринку; розроблено методичні засади оцінювання спреду доходності державних облігацій України та оптимізації структури їх утримувачів з урахуванням загроз боргової безпеки (як характеристик діяльності держави як покупця на фінансовому ринку); обґрунтовано найбільш релевантні фактори впливу на результативність діяльності держави на фінансовому ринку як продавця фінансових ресурсів, зокрема – при реалізації проектів державно-приватного партнерства.
Dissertation is devoted to the development of methodological basis of the evaluation of state at the Ukrainian financial market as a seller and buyer resources, regulatory and financial intermediary. The essence, forms and tools of fi-nancial intermediation in state financial market are discovered; a two-tiered approach to the evaluation of the quality of regulation Ukrainian financial market is developed and its impact on the stability of individual segments financial mar-ket is assessed; methodical bases of spread assessment yield government bonds of Ukraine is developed and structure of debt security holders according to their threats (as the characteristics of the state as a buyer for financial market) is opti-mized; the most relevant factors influencing performance of the state in financial market as seller of financial resources, in particular – in the implementation of public-private partnerships, is proved.
41
Rosa, João Daniel Esteves. "Determinants of the Portuguese government bond yield spread". Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11711.
Testo completoAbstract (sommario):
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis paper seeks to find out the determinants of the 10 year Portuguese government bond yield spread for the period between the January of 2010 and December of 2012. Fundamental factors (debt ratio and government balance in % of GDP) and contagion effects are the main drivers behind the surge of the yield spread during the first two years of the sample. Liquidity risk (measured by the bid-ask spread) and the size of the banking system are also significant determinants. These same factors however, have no significance in explaining the drop in the yield spread during the final seven months of the sample.
42
Polwitoon, Sirapat. "Essays on U.S.-based global government bond funds /". View online ; access limited to URI, 2002. http://0-wwwlib.umi.com.helin.uri.edu/dissertations/dlnow/3112125.
Testo completo
43
Doerksen, Mark D. "Fighting Fear with Fear: A Governmental Criminology of Peace Bonds". Thèse, Université d'Ottawa / University of Ottawa, 2013. http://hdl.handle.net/10393/24224.
Testo completoAbstract (sommario):
Peace bonds are a legal tool of governance dating back to 13th c. England. In Canada, a significant change in the application of peace bonds took place in the mid-1990s, shifting their purpose from governing minor disputes between individuals to allowing for persons who have not been charged with a crime to be governed as if they had. Given the legal test for a peace bond has always been the determination of ‘reasonable fear’, the advent of these ‘specialized’ peace bonds suggests that the object of reasonable fear has changed. Despite their lengthy history, peace bonds have limited coverage in academic literature, a weakness compounded by a predominant doctrinal approach based in a liberal framework. The central inquiry of this thesis moves beyond this predominant perspective of ‘peace bonds as crime prevention’ by developing a governmental criminology, which deepens our understanding of the role of specialized peace bond law in contemporary society. Specifically, governmental criminology takes a Foucaultian critical legal studies approach, which acknowledges legal pluralism and sets out the historical context required for analysis. Ultimately, by unearthing underlying social, economic, and political power relations it is possible to critique the accompanying modes of calculation of fear and risk, thus challenging the regimes of practices that make specialized peace bonds possible. Specialized peace bonds merely manage the consequences of a criminal justice system limited by social, political, and economic circumstances, in a broader biopolitical project of integrating risky populations.
44
Visconti, Roberto Moro. "Some new topics in the Italian government bond market". Thesis, University of Exeter, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390198.
Testo completo
45
Wu, Jung Chang, e 吳榮昌. "Researching for Bond Price Risk Measuring Factors－An Empirical Study for Taiwan Government Bonds and Corporate Bonds". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/15020047830621346668.
Testo completo
46
Pinho, André Miguel dos Santos Castro. "Determinants of the Portuguese government bonds yields". Master's thesis, 2017. http://hdl.handle.net/10071/15159.
Testo completoAbstract (sommario):
This paper makes an empirical analysis of the evolution of Portuguese government bonds yields
in order to identify their main determinants for the period between 2000 and 2016 using
quarterly data. An equation of the Portuguese government bonds yields is estimated considering
three different maturities (one, five and ten years) and including eight independent variables
(GDP, public debt, external debt, labour productivity, activity rate, inflation rate, stock market
volatility and liquidity) to capture the global effects of credit risk, global risk aversion and the
liquidity risk. Our main findings were that GDP growth rate, external debt, inflation rate and
liquidity exert a positive effect on the ten year maturity sovereign bond yields while public debt,
labour productivity, activity rate and the stock market volatility affect negatively the yields.
Evidence supporting the contradictory sign of what the majority of the literature claims
regarding public debt is also found. Overall, the results point out that there are no significant
differences regarding the determinants of the government bonds yields for the different
maturities. Finally, we conclude that the yields were harmful affected by liquidity, labour
productivity but mostly by external debt. In turn, activity rate, GDP, public debt and mostly the
inflation rate had a beneficial effect on the Portuguese government bonds yields.Esta dissertação faz uma análise empírica à evolução das yields da divida pública portuguesa, procurando identificar os seus principais determinantes, para o período entre 2000 e 2016 usando dados trimestrais. Foi estimada uma equação para as yields da divida pública portuguesa considerando três maturidades distintas (um, cinco e dez anos) e incluindo oito variáveis independentes (PIB, divida pública, divida externa, produtividade do trabalho, taxa de atividade, taxa de inflação, volatilidade do mercado acionista e liquidez) de modo a capturar de forma global os efeitos do risco de crédito, da aversão global ao risco bem como do risco de liquidez. Os resultados demonstraram que o PIB, a divida externa, a taxa de inflação e a liquidez influenciam positivamente as yields da divida pública com maturidade a dez anos enquanto que a divida pública, a produtividade do trabalho, a taxa de atividade e a volatilidade do mercado acionista afetam negativamente as yields. Foram ainda encontradas evidências que apoiam o sinal contraditório ao que a maioria da literatura afirma relativamente à divida pública. No GERAL, os resultados apontam que não existem grandes diferenças nos determinantes para as diferentes maturidades. Finalmente, concluímos que a liquidez, a produtividade do trabalho, mas sobretudo a divida externa foram os fatores que originaram uma subida das yields, enquanto que a taxa de atividade, o PIB, a divida pública e a inflação revelaram ter um efeito benéfico sobre as yields da divida pública portuguesa.
47
Jiun, Chen Chau, e 陳朝鈞. "Fitting the Yield Curve of Taiwan Government Bonds". Thesis, 2000. http://ndltd.ncl.edu.tw/handle/61461010765735337323.
Testo completoAbstract (sommario):
碩士長庚大學
管理學研究所
88
The purpose of this thesis is to fit the yield curves of Taiwan Government bonds by using Schumaker''s (1983) shape-preserving quadratic spline interpolation. To justify the use of shape-preserving quadratic spline interpolation in curve fitting, we first use Nelson & Siegel''s (1987) model to verify the upward sloping of the yield curves of Taiwan Government bonds from January, 1996 to June, 1997. We then compare the shape-preserving quadratic spline interpolation with four most frequently used models by empirical study. The results show that shape-preserving quadratic spline interpolation outperforms the others in the sense that it not only works pretty straightforward but also achieves the lowest average approximation error in fitting the yield curves.
48
DiPietro, John Joseph. "Political choices for municipal bonds". Thesis, 2014. http://hdl.handle.net/2152/26093.
Testo completoAbstract (sommario):
Municipal Bonds represent an important but understudied source of funds for governments. This paper seeks to shed light on the previously hidden political choices that influence the choices of governments to pursue bonds, as well as to act as a springboard for future bond research.text
49
Lai, Chung-Chih, e 賴忠志. "Study on Interest Rate Risk of Taiwan Government Agency Bonds". Thesis, 2005. http://ndltd.ncl.edu.tw/handle/01248762265848964146.
Testo completoAbstract (sommario):
碩士輔仁大學
應用統計學研究所
93
Abstract： Bond’s market grows rapidly since 1991 in Taiwan; therefore the transaction in second market is more popular, especially the cases of the government agency bonds which has the best liquidity in Taiwan’s market. Balance of risk and profit by bond’s market will easily appear form the decision that investors make. Thus, how to exactly keep abreast of bond’s risk is turning into a hot topic in investment market. The interest rate risk is greatly concerned by investors, because government agency bonds’ credit risk nearly doesn’t exist. How to precisely evaluate and predict price and value of the government agency bonds will need to be studied. In my thesis, I predict the daily price of Taiwan’s government agency bonds through neural network, then use genetic algorithms to evaluate suitable yield to maturity and duration set. The method is different from the other researches. The result in my thesis shows that neural network can easily predict the price of Taiwan’s government agency bonds without any previous hypothesis and mathematical model, and genetic algorithms can search for appropriate answer set of yield under the price and the date of delivery. I combine those powerful tools and offer investors a theoretical standard to make the decision with their experience.
50
Chen, Yu-Zhen, e 陳于真. "A Copula Approach to VaR Estimation for Taiwan Government Bonds". Thesis, 2008. http://ndltd.ncl.edu.tw/handle/3bwkd3.
Testo completoAbstract (sommario):
碩士國立高雄第一科技大學
財務管理所
96
Since the introduction of Value-at-Risk (VaR) in the 1990s, it has become a standard tool for risk management. Recently, there have been lots of excellent studies that investigate the issue of VaR estimation and application. However, there has no studies investigating the topic of using the copula models to estimate the VaR for Taiwan Government Bonds. The paper first uses the Nelson and Siegel (1987) model to fit the term structure of interest rates of Taiwan Government bond market. The four daily parameters embedded in Nelson and Siegel model are then used to estimate the correlation matrix based on copula approach. In addition, we select six Taiwan government bonds with higher trading volume as research samples and to simulate their VaRs based on our copula approach. The empirical results indicate that it will obtain a highly accurate results using historical VaRs. However, it will generally overestimate the VaRs by the simulated data based on the copula approach. Since the SMA method can’t obtain better empirical results. We conclude that it is not appropriate to estimate the VaR of Taiwan bond market based on the SMA approach.