Publication
A study on the impact of the first federal funds interest rate hike since the global financial crisis on market expectations and risk preferences
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Guedes, José Filipe Garcia Corrêa | |
| dc.contributor.author | Belo, Rafael Carmona | |
| dc.date.accessioned | 2017-11-14T11:29:52Z | |
| dc.date.issued | 2017-10-17 | |
| dc.date.submitted | 2017 | |
| dc.description.abstract | This empirical study analyses the impact of the first federal funds interest rate hike since the last global financial crisis. Using a mixture of lognormal, generalised beta of the second kind and lognormal-polynomial distributions, it is estimated risk-neutral densities on S&P 500 options. The mixture of lognormal presents the best fit. Descriptive statistics are used to make comparisons, which shows a decrease in the means of the distributions and an increase in uncertainty after the event. It is estimated the representative investor’s constant relative risk aversion using a power-utility function on expected utility and rank-dependent expected utility models, and it is found a positive risk premium for the year of 2015. | pt_PT |
| dc.description.abstract | Este estudo empírico analisa o impacto do primeiro aumento da taxa de juro do Federal Reserve desde a crise financiera de 2008. Através de distribuições mixture of lognormal, generalised beta of the second kind e lognormal-polynomial, são estimadas risk-neutral densities usando opções do índice S&P 500. A mixture of lognormal apresenta-se como o método mais adequado e com maior ajuste às observações. Estatística descritivas são estimadas para aferir comparações, concluindo-se que depois do evento as médias das distribuições diminuem e a incerteza aumenta. É estimado o coeficiente de aversão ao risco do investifor representativo usando a função power-utility nos modelos expected utility e rank-dependent expected utility, e conclui-se que no ano 2015 existe um prémio de risco positivo no índice S&P 500. | pt_PT |
| dc.identifier.tid | 201749017 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/23361 | |
| dc.language.iso | eng | pt_PT |
| dc.title | A study on the impact of the first federal funds interest rate hike since the global financial crisis on market expectations and risk preferences | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | restrictedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças |