Thesis is focusing on trends in foreign direct investment flows and stocks in Czech Republic, Hungary, Poland, Slovakia, Slovenia, Latvia, Lithuania, Estonia break down by country and activity. The main data analysis is for years 2000 - 2006. Recent trends from 2007 till H1 2009 are mentioned only in terms of total flows and stocks.

The world we live in is increasingly integrated. For the work of economists, increasing international integration bears a significant importance. The present thesis is essentially a work on International Economics. As such it is no exception in that it consists of different chapters, all of which address different issues in the field. The first two chapters are theoretical in nature, whereas the third is empirical. The last chapter provides a technical reference to mathematical problems encountered in the first chapter. The first chapter is concerned with one of the negative effect of international trade: terms-of-trade uncertainty. It asks (and answers) the question why economic agents in practice fail to (completely) hedge away foreign price uncertainty in the presence of well-developed forward markets, even though theoretically they should obtain a full-hedge. The second chapter explores some of the effects international capital flows bring to a country that opens up its capital account. The third chapter describes the evolution of international capital flows and trade flows over that last decade. The last chapter is concerned with the existence of explicit demand schedules under expected utility maximization when the random variable is nonlinearly transformed. / Die Welt in der wir leben ist durch zunehmende Integration in fast allen Bereichen des Lebens gekennzeichnet. In der ökonomischen Sphäre wird diese zunehmende Integration auch oft mit dem Begriff Globalisierung beschrieben. Zwei Hauptmerkmale der Globalisierung sind dabei zunehmende internationale Kapital- und Handelsströme. Die vorliegende Dissertation beschäftigt sich mit ausgesuchten Teilaspekten dieser Phänomene. "Warum sichern sich die Wirtschaftssubjekte in der Praxis nur unvollständig gegenüber Wechselkursrisiken ab, obwohl sie theoretisch eine vollständige Absicherung wählen sollten?", "Welchen Einfluß hat die Herkunft von Kapital auf die Ökonomie?" sowie "Wie ist der empirische Befund zur Entwicklung von Handels- und Kapitalströmen in der letzten Dekade?" sind Fragen denen die vorliegende Arbeit nachgeht. Ein Kapitel mit Ergebnissen zur Existenz von expliziten Nachfragefunktionen unter Erwartungsnutzenmaximierung bei zugrundeliegender nichtlinearer Transformation der Zufallsvariablen (eine Fragestellung die im Rahmen der Bearbeitung von Kapitel 1 auftaucht) beschliesst die Arbeit.

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[pt] Esta dissertação analisa a eficácia dos controles de entrada de capitais em restringir e selecionar fluxos financeiros internacionais. A maior contribuição é o foco nas elisões dos controles realizadas pelo mercado financeiro e seus efeitos limitadores na eficácia das restrições ao capital de curto prazo. Primeiro, apresentamos uma abordagem teórica da questão, discutindo como o controle deveria ser implementado. O modelo tem um arcabouço simples e considera dois tipos de investidores: paciente e impaciente. O primeiro (que se deseja atrair) tem maior interesse no retorno de longo prazo e o segundo (que não se deseja atrair) dá maior valor a ganhos de curto prazo. Mostramos que se o diferencial de juros é endógeno à fixação dos controles, e não há possibilidades de elisão das regulações, então pode ser concebido um mecanismo de taxação à entrada de capitais que induz à opção de investir a longo prazo para ambos os investidores, na ausência de crises de confiança. Se vier a se realizar uma probabilidade de default maior que a esperada pelo agente, o investimento será revertido, a não ser que seja oferecido um maior diferencial de taxa de juros. Controles ex-post de saída de capitais também poderiam evitar a reversão do investimento, entretanto, nós não consideramos esta possibilidade devido à grande perda de reputação que ela acarreta. Se o diferencial de taxa de juros for exógeno, como é tipicamente o caso relevante no Brasil, podemos ter um incentivo ao investidor disfarçar seu capital como se fosse de longo prazo mesmo quando já espera sacar no curto prazo. Prosseguimos a análise focando o impacto da capacidade de elisão dos controles pelo mercado. Incorporamos no modelo a elisão às restrições de entrada, mostrando que isto elimina a eficácia dos controles de capitais. Em verdade, as taxas do controle de capitais são determinadas pelo mercado, e então, quanto mais desenvolvido e sofisticado o mercado financeiro do país for, mais ativos substitutos e operações de engenharia financeira podem ser usados para circundar os controles. Fundamentamos nossas conclusões relatando diversas operações de elisão de controles de capitais dos anos noventa, que deixam claro a dificuldade de implementar de facto os controles de capitais. Terminamos a dissertação com uma análise econométrica sobre a duração da eficácia dos controels, via a estimação funções de reposta a impulso. Os resultados indicam que os controles de capitais têm apenas entre dois a seis meses de eficácia em restringir os influxos de capitais financeiros, corroborando a análise dos casos relatados de elisão dos controles. / [en] This thesis analyses the effectiveness of capital inflows controls in changing the size and composition of international financial flows. The major contribution is the focus on capital controls circumvention by the financial market and its limiting impacts on the effectiveness of short-run capital flows restrictions. At first, it is presented a theoretical approach to the question, discussing how it should be implemented. The model has a simple framework and considers two types of financial investors: patient and impatient. The first is more interested in long run returns, and the last gives more value for short run gains. We show that if the interest rate differential is endogenous to the controls fixation, and there is no possibility of regulations´ circumvention, then could be arranged a capital entrance tax scheme that induces the long run investment option for both investors, in absence of a confidence crisis. In occurrence of a higher probability of default than expected by the agent, the investment will be reverted unless higher interest rate differential is provided. Ex-post outflows capital controls could also avoid the investment reversion, nevertheless, we do not consider it here. If the interest rate differential is exogenous, which is typically the relevant case in Brazil, we might see an incentive to the investor to rename its capital as long run even when she expects to reverse the investment in the short run. We continue the analysis focusing the impact of the capacity of capital controls elision by the market. We incorporate in the model the circumvention of the entrance restrictions, showing that it ruins the capital controls effectiveness. In fact, the taxes of the capital controls are really determined by the market, and therefore, as more developed and sophisticated the financial market of the country is, more substitute assets and engineer financial operations can be used to circumvent the control. We underpin our conclusions describing several capital controls elisions operations in Brazil during the nineties, which make clear the difficulties of capital controls de facto implementation. We finish the dissertation with an impulse response function analyses, that indicates that the capital controls have only between two to six months of effectiveness in restricting financial capital inflows.

Cette thèse est un ensemble de quatre essais indépendants sur la réforme du compte capital dans les pays en développement. Le premier essai analyse théoriquement les effets de la libéralisation du compte capital sur la croissance à long terme en présence de corruption dans le secteur public. Le résultat principal est que la corruption réduit la croissance, en présence d’ouverture financière, à cause de son effet négatif sur l'épargne étrangère. Le deuxième essai examine le lien entre le développement financier et la libéralisation des flux de capitaux pour un échantillon de 90 pays développés et en développement durant la période 1980-2009. Les résultats mettent en évidence le rôle des institutions et l'importance du secteur privé comme conditions pré-requises pour un effet positif de la réforme du compte capital sur le secteur financier. Le troisième essai s’intéresse à la causalité entre la libéralisation des flux de capitaux et la croissance, en utilisant l'approche de Toda et Yamamoto, pour un échantillon de six pays émergents durant la période 1975-2011. Les résultats indiquent une causalité directe allant de la libéralisation du compte capital à la croissance, surtout dans les pays qui ont mis en œuvre des réformes macroéconomiques profondes. Le dernier essai étudie les effets de la libéralisation financière externe sur les variables macroéconomiques en Turquie au cours de la période 1989-2009, en utilisant des données trimestrielles et un modèle VAR. Les résultats indiquent que les flux de capitaux ont des effets variables sur l'économie turque avant et après la crise de 2001, avec surtout des effets positifs sur l’environnement macroéconomique après la crise. / This thesis is a set of four independent essays on the reforms of capital accounts in developing countries. The first essay analyses theoretically the effects of capital account liberalization on long run growth in presence of corruption in the public sector. The main result is that corruption lowers growth opportunities, when the capital account is open, because of its negative effect on foreign savings. The second essay investigates empirically the nexus between financial development and free capital flows using a sample of 90 developed and developing countries over the period 1980-2009. The findings highlight the role of institutional framework and the importance of the private sector as pre-requisites for a significant effect of capital account reform on the financial sector. The third essay sheds light on the causal relationship between free capital movements and economic growth, using the Toda and Yamamoto’s approach, for a selected sample of six emerging countries over the period 1975-2011. The results point out a direct causal relationship going from capital account liberalization to economic growth especially in countries that have implemented deep macroeconomic reforms. The last essay investigates the effects of external financial liberalization on macroeconomic variables in Turkey during the period 1989-2009 using quarterly data within a VAR framework. The findings indicate that capital flows have varying effects on the Turkish economy before and after the crisis of 2001. The evidence supports, particularly, significant effects of freeing financial flows on macroeconomic performance, during the post-crisis period.

Made available in DSpace on 2016-04-26T20:48:40Z (GMT). No. of bitstreams: 1 Frederico Moreira Carbonari.pdf: 1291956 bytes, checksum: 057c7dcd0f41c9506a24d6fcb52e76c8 (MD5) Previous issue date: 2014-03-12 / This study aims to analyze the International Monetary and Financial System influence exercised in the conduction of the economic policy in Brazil from 1980 to 2000, with emphasis on exchange rate policy, mostly because of its great importance as a key price for the economy. The study demonstrates how the hegemonic nation had manipulated the currency use as a way to dominate the other countries of the system and submit them to its behalf. By evidencing the differences between the periods of crisis and the adjustment at the conduction of economic policy against the dollar policy in the period, it becomes clear the Brazilian dependence on the leader currency of the International Monetary System. It can be concluded that this dependence is closely related with the country's vulnerability to the international capital flows, thus showing, how the Brazilian exchange rate policy became subordinated to the policy and interests of the nation which owns the international reserve currency / Este trabalho se propõe a analisar a influência que o Sistema Monetário e Financeiro Internacional exerceu na condução da política econômica brasileira de 1980 a 2000, com destaque para a política cambial, sobretudo devido a sua grande importância como preço-chave para a economia. O trabalho mostra como a nação hegemônica manipulou a utilização de sua moeda como forma de dominar os demais países do sistema e submetê-los aos seus interesses. Ao fazer a contraposição dos períodos de crise e ajuste da condução da política econômica brasileira, vis-à-vis a política do dólar no período, fica clara a dependência brasileira em relação à moeda líder do Sistema Monetário Internacional. Pode-se concluir que essa dependência está intimamente ligada com a vulnerabilidade da economia brasileira em relação aos fluxos internacionais de capitais, mostrando, assim, como a política cambial brasileira ficou sujeita a política e aos interesses da nação proprietária da moeda de reserva internacional

[pt] Primeiramente, o trabalho examina em que medida os países pobres possuem retornos de capital mais elevados que os países ricos. Em segundo lugar, investiga se as diferenças nos retornos de capital entre países estão correlacionadas com fatores institucionais, variância e/ou assimetria nos retornos. Os resultados indicam uma relação negativa entre os retornos e o PIB per capita mas com pouca significância econômica. Ademais, os resultados indicam correlações significantes entre retornos de capital e alguns fatores institucionais, embora esses também não sejam economicamente significativos. O desvio padrão ou a assimetria nos retornos não parecem estar correlacionados com os retornos. Em suma, os achados indicam que uma pior qualidade institucional é, até certo ponto, uma explicação plausível para altos retornos de capital nos países pobres. Ainda assim, a falta de significância econômica encontrada destaca a natureza idiossincrática dos retornos nesta indústria devido a independência entre retornos e fatores específicos ao país. Os resultados indicam a necessidade de adaptar a teoria economia à differenças setoriais e também é importante na prática para empresas privadas no setor de petróleo e gás, pois os resultados indicam que estas não devem se preocupar particularmente com o PIB per capita ou as instituições dos países em que considera investir. Ao invés disso, os resultados indicam que as empresas devem olhar principalmente para características dos poços mesmo. Diversas explicações plausíveis para os resultados são delineadas. / [en] This thesis makes use of a unique and vast dataset of investment and production in the oil and gas industry from 1950 to 2016, to explore the Lucas Paradox and the drivers of returns to capital in the industry. Firstly, the thesis examines to what extent poor countries possess higher average returns to capital than rich countries. Secondly, it investigates whether the differences in returns between countries are correlated with institutional factors, variance and/or asymmetry in the returns. The results demonstrate that poorer countries have enjoyed significantly higher returns to capital than richer countries. Moreover, the findings show that institutional factors such as property rights protection, level of corruption and level of schooling possess a positive and statistically significant correlation with returns to capital. However, both these findings are not particularly economically significant. Variance and asymmetry of the returns appear to be an irrelevant explanation for the Lucas Paradox. On the other hand, asset-specific factors, that were, ex-ante, expected to be merely insignificant control variables, such as the size of the reservoir, or whether the asset is located onshore or offshore, have large R-squared impact on returns to capital. The findings in this thesis are important because the largely insignificant magnitude of country-specific variables highlight the importance of adapting economic development theory to account for sector-specific differences, as emphasized by Feyrer and Caselli (2008). Moreover, the results indicate that profit maximizing oil and gas companies considering new investments in a country should not be overly concerned with the GDP per capita nor the institutional quality of the country in question. Several potential explanations and paths for future studies are delineated.

The demographic structure seems to change dramatically over the next 50 years in the Czech Republic. The aim of this study is to assess the impact of expected demographic changes on the future development of a real interest rate and international capital flows. In order to simulate the impact of the expected demographic changes upon the mentioned variables we apply a computable overlapping generations model. The real interest rate development is simulated under a closed economy assumption. As a result of the future expected demographic changes labour-capital ratio tends to fall, i.e. the real interest rate diminishes. The range of a change is significantly affected by a public budget closure rule. In case of an endogenous income tax rate, the real interest rate falls down by 0.5 percentage point. On the contrary, the real interest rate decreases by almost 1 percentage point in case when public transfers adjusted. Assuming an open economy, we simulate the impact of the expected demographic changes on the international capital flows between the domestic economy and the rest of the world. In case of increasing ratio of older agents, the aggregate domestic wealth surpasses the demand for capital by domestic firms. As a result a part of domestic capital is exported abroad. Increasing level of net foreign assets contributes to positive change in ratio of the balance of payment to the domestic production in a range from 2 to 5 percentage points over next 40 years if income taxes or public transfers change respectively.

This thesis consists of four chapters that investigate the performance and capital flows of hedge funds. The first two chapters of the thesis focus on hedge funds that have a pure emerging market strategy. Hedge funds should be well equipped to take advantage of opportunities in emerging markets due to their flexibility in investment strategy and lockup periods. However, the results show that, at the strategy level, emerging market hedge funds have only generated risk-adjusted returns in the most recent years of the sample period. Although emerging market hedge funds have performed poorly in the past, an important finding is the upward trend over time in performance. Given that other hedge fund strategies have a declining trend in alpha during the same period, the emerging market strategy may be where future alpha can be found. The third chapter investigates if there are capacity constraints in hedge fund strategies. The idea is that the alpha opportunities in the markets are limited. Thus, the more capital coming in to hedge funds, the higher competition for the investment opportunities. The findings reveal that mainly strategies that rely on liquidity in their underlying market show evidence of capacity constraints. That is, high past capital flows have a negative effect on current risk-adjusted returns. The last chapter investigates the out-of-sample performance of five allocation models relative to an equally weighted portfolio, when optimizing over hedge fund strategies. The findings show that for hedge fund investors the naive allocation model (1/N) with equal weights in each asset is not an efficient allocation. The risk-adjusted performance can be improved by using an optimal sample-based allocation model. Moreover, significant improvement in out-of-sample alpha can be made if the investor optimizes over non-systematic returns instead of total returns, which is an important results for investors seeking alpha. / <p>Diss. Stockholm : Handelshögskolan, 2008</p>

This thesis sheds light on several macroeconomic aspects of international and domestic goods trade during the last three decades. The first chapter investigates the causes of the growth of world trade during this period and shows that it is best understood from a factor-proportions perspective. The second chapter analyses the decline in trade experienced by countries in the wake of sovereign debt crises. Empirical evidence suggests that it is due to a reduction in exporters’ access to foreign credit. The third and final chapter provides an explanation for the procyclicality of input trade among domestic firms. I argue that periods of economic expansion affect vertically integrated producers asymmetrically, providing incentives for intermediate-goods trade between fast-growing and slow-growing firms. / Aquesta tesis posa en relleu varis aspectes macroeconòmics del comerç internacional i domèstic en les últimes tres dècades. El primer capítol investiga les causes del creixement del comerç mundial en aquest període i demostra que s’entén millor des de la perspectiva dels proporcions dels factors. El segon capítol analitza la caiguda del comerç experimentada per països arran de crisis del deute sobirà. L’evidencia empírica suggereix que aquest declivi es deu a la reducció en l’accés dels exportadors al crèdit extern. El tercer i últim capítol ofereix una explicació per la prociclicitat del comerç d’inputs entre empreses domèstiques. En períodes d’expansió econòmica els productors integrats verticalment es veuen afectats d’una forma asimètrica, proporcionant així incentius pel comerç de bens intermedis entre empreses que creixen a diferent ritme.