Equilibrium moisture content of flax/linseed and fibre hemp straw fractions

Selostus: Pellavan ja kuituhampun korren jakeiden tasapainokosteus

Equilibrium curves and growth models to deal with forests in transition to uneven-aged structure : application in two sample stands

Abstract

The determination of EONIA rate: The impact of the financial crisis and the effects of the changes in the monetary policy implementation framework

EONIA is a market based overnight interest rate, whose role as the starting point of the yield curve makes it critical from the perspective of the implementation of European Central Bank´s common monetary policy in the euro area. The financial crisis that started in 2007 had a large impact on the determination mechanism of this interest rate, which is considered as the central bank´s operational target. This thesis examines the monetary policy implementation framework of the European Central Bank and changes made to it. Furthermore, we discuss the development of the recent turmoil in the money market. EONIA rate is modelled by means of a regression equation using variables related to liquidity conditions, refinancing need, auction results and calendar effects. Conditional volatility is captured by an EGARCH model, and autocorrelation is taken into account by employing an autoregressive structure. The results highlight how the tensions in the initial stage of the market turmoil were successfully countered by ECB´s liquidity policy. The subsequent response of EONIA to liquidity conditions under the full allotment liquidity provision procedure adopted after the demise of Lehman Brothers is also established. A clear distinction in the behavior of the interest rate between the sub-periods was evident. In the light of the results obtained, some of the challenges posed by the exit-strategy implementation will be addressed.

Dynamic Hedging with Credit Default Swaps: Empirical Evidence from the European Monetary Union

This thesis investigates the effectiveness of time-varying hedging during the financial crisis of 2007 and the European Debt Crisis of 2010. In addition, the seven test economies are part of the European Monetary Union and these countries are in different economical states. Time-varying hedge ratio was constructed using conditional variances and correlations, which were created by using multivariate GARCH models. Here we have used three different underlying portfolios: national equity markets, government bond markets and the combination of these two. These underlying portfolios were hedged by using credit default swaps. Empirical part includes the in-sample and out-of-sample analysis, which are constructed by using constant and dynamic models. Moreover, almost in every case dynamic models outperform the constant ones in the determination of the hedge ratio. We could not find any statistically significant evidence to support the use of asymmetric dynamic conditional correlation model. In addition, our findings are in line with prior literature and support the use of time-varying hedge ratio. Finally, we found that in some cases credit default swaps are not suitable instruments for hedging and they act more as a speculative instrument.