La mondialisation financière des dernières décennies témoigne du phénomène du déséquilibre mondial dans lequel les comptes déficitaires actuels de certaines grandes économies avancées sont continuellement financés par certains pays en développement avec des taux de croissance élevés et des stocks de capitaux rares. Sur le plan théorique, le modèle de croissance néoclassique implique qu’une économie avec une pénurie de capitaux aurait un produit marginal élevé de capital et un taux d’intérêt élevé d’autarcie. Par conséquent, lors de l’intégration avec la capitale mobile gratuite, ce pays éprouverait les entrées nettes de capitaux nets afin que le taux d’intérêt domestique soit égal au reste du taux mondial (Lucas 1990). De plus, une économie qui se développe plus rapidement que le reste du monde aurait également une demande d’investissement plus élevée et devrait connaître les entrées de capitaux totaux nets (Gourinchas and Jeanne 2013). Les déséquilibres mondiaux sont le résultat de l’hétérogénéité des tendances de l’épargne et des investissements dans tous les pays. En effet, un pays connaît un apport de capitaux si son économie est inférieure à son investissement : ce pays emprunte au reste du monde si sa sauvegarde est supérieure à son investissement. La thèse emploierait la croissance de la productivité pour afficher les sources de lumière sur cette hétérogénéité entre les pays. [...] / The financial globalization for the past decades witnesses the global imbalance phenomenon on which the deficit current accounts by some large advanced economics are continuously financed by some developing economies with the high output growth rates and the scarce capital stocks. On the theoretical ground, the Neo-Classical growth model implies that one economy with scarcity of capital would have a high marginal product of capital and a high autarky interest rate therefore, at the integration with the free mobile capital, that country would experience the net total capital inflows so that the domestic interest rate equals that to the rest of world’s rate (Lucas 1990). Furthermore, one economy growing faster than the rest of the world would also have a higher investment demand and should experience the inflows of net total capitals (Gourinchas and Jeanne 2015). The global imbalances are the result of the heterogeneity in the patterns of savings and investments across countries. Indeed, one country experiences an inflow of capital if its saving is less that its investment: that country borrows from the rest of the world to finance the excess investment demand. Similarly, one country would lend to the rest of the world if its saving is higher than its investment. The thesis would employ the productivity growth to shed the refresh lights on this heterogeneity across countries. [...]

CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Com o avanço dos processos de desregulamentação financeira, liberalização externa e, expansão das inovações financeiras, principalmente a partir das décadas de 1980 e 1990, num sistema monetário e financeiro hierarquizado, é visto que o montante de capitais circulantes no globo aumentou sobremaneira, buscando, a partir de então, outros destinos que não apenas aqueles vinculados aos países acima da linha do equador. A consequência desse movimento foi a enxurrada de capitais para os países periféricos, aproveitando-os dos novos mercados e das elevadas taxas de juros, em que estes fluxos financeiros estarão mais ligados a fatores extranacionais (ciclos de liquidez, taxa de juros norte-americana) do que propriamente aos fundamentos macroeconômicos daqueles países. Assim, uma vez que parte dos Investimentos Diretos é composto por mera compra de ações, a hipótese do trabalho é que sua dinâmica não foge deste movimento e que parte dos seus fluxos tem caráter semelhante ao encontrado nos Investimentos em Carteira, por serem fluxos altamente voláteis e especulativos. O objetivo da dissertação é estudar, através de uma perspectiva pós-keynesiana, como se dá a dinâmica dos fluxos de capitais para o Brasil, com foco nas rubricas Investimento Direto e Investimento em Carteira passivos. O estudo desenvolve-se a partir de análises histórica, gráfica e econométrica (modelos VAR/VEC e ARCH/GARCH), e os resultados apontam que os Investimentos Diretos no País (Participação no Capital) possuem volatilidade e dinâmica parecidas com a das rubricas dos Investimentos em Carteira Passivos (Ações e Títulos de Renda Fixa, negociados no país), com relação próxima aos movimentos do índice VIX e da rubrica Ações Negociadas no País. A constatação é que primordialmente após a crise do subprime, e dos seus desdobramentos, os Investimentos Diretos no País (Participação no Capital) passaram a apresentar de forma mais clara (também) esta característica, seja ela: fluxos voláteis, curto-prazistas e especulativos. / With the advancement of financial deregulation, external liberalization and expansion of financial innovations, especially since the 1980s and 1990s, in a hierarchical monetary and financial system, It is perceived that the amount of capital circulating on the globe has increased enormously, and looking for destinations other than those linked to countries above the equator. The consequence of this movement was the flow of capital to the peripheral countries, taking advantage of the new markets and the high interest rates, in which these financial flows will be more associated to extranational factors (liquidity cycles, US interest rates) than the macroeconomic fundamentals of those countries. Thus, since part of the Direct Investments consists of mere stock purchase, the hypothesis of the work is that its dynamics does not escape this movement and that part of its flows has a similar character to that found in Portfolio Investments, since they are highly volatile flows and speculative. The objective of this dissertation is understand, through a post-Keynesian perspective, how the dynamics of capital flows to Brazil, focusing on the items Direct Investment and Portfolio Investment passive. The study is based on historical, graphical and econometric analysis (VAR/VEC and ARCH/GARCH models), and concludes that Direct Investments in the Country (Equity Interest) have volatility and dynamics similar to those of Portfolio Investments Liabilities (Debt Securities and Investments Fund Shares, traded in the country), with behavior close to the movements of the VIX index and the Stock Traded Securities in the Country. The main finding is that, after the subprime crisis, and its unfolding, Direct Investments in the Country (equity participation) started to presente, more clearly, (also) this characteristic, which is: volatile, short-term logic and speculative flows. / Dissertação (Mestrado)

This diploma thesis aims to give a comprehensive picture of a phenomenon called The Dutch Disease whose symptoms had been increasing in many countries during the second half of the 20th century, especially in connection with mining. The first part deals with the detailed description of traditional economic theory and its later upgrades. In the second part, the Dutch Disease theory is applied to the member countries of the European Monetary Union and highlights the problems of asymmetric shocks, which may include among others the discovery of mineral resources. The third part then attempts to look at the recent European balance of payments crisis through the eyes of the Dutch Disease theory and to highlight a number of common symptoms.

Cette thèse tente d’analyser qualitativement et quantitativement les impacts, parfois déstabilisateurs, de l’excès de liquidité mondiale sur les prix des actifs des marchés émergents. Cet excès de liquidité mondiale s’est notamment matérialisé par un essor des investissements de portefeuille vers les marchés émergents, essor dont l’étude est devenue un thème central que ce soit pour les décideurs politiques ou pour l’industrie de la gestion d’actifs. A ce titre, nous nous proposons de contourner les faiblesses des données de la Balance des Paiements en construisant un indicateur non-retardé et à haute fréquence des flux de portefeuille, et ce, grâce aux données EPFR. La dynamique de recherche de rendement induite par la mise en place de politiques monétaires non conventionnelles par les principales banques centrales des marchés développés a eu pour effet une forte inflation des prix des actifs, au premier rang desquels figurent les marchés d’actions émergents, marchés sur lesquels de potentielles bulles ont pu faire leur apparition dans la période qualifiée de « Nouvelle Normale ». / This thesis aims to qualitatively and quantitatively analyse the sometimes destabilising impacts of global excess liquidity on emerging markets asset prices. This global excess liquidity has particularly manifested in a rise in portfolio capital flows towards emerging markets. The study of this rise has become a central topic both for policymakers and asset managers. As such, we propose to circumvent the Balance of Payments weaknesses by building a non-lagging and high frequency indicator of portfolio capital flows using the data provided by EPFR. The search for yield trend caused by the unconventional monetary policies undertaken by the main developed markets central banks has caused significant inflation in asset prices, most prominently in emerging equity markets, where potential bubbles have appeared during the so-called “New Normal” period.

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Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriage. / This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries.

[pt] Esta tese é composta de três ensaios. Os dois primeiros investigam a relação entre a potência da política monetária e a prevalência do crédito direcionado (concedido à taxas de juros insensíveis ao ciclo monetário) na economia. O primeiro mostra que a evidência microeconométrica disponível não é necessariamente informativa sobre o fenômeno macroeconômico de interessee ilustra esse resultado com um modelo Novo-Keynesiano simples com financiamento de capital de giro. Dando sequência, o segundo ensaio estende a análise usando um modelo DSGE de médio porte no qual crédito direcionado é utilizado pelas firmas para financiar a aquisição de capital. O modelo é estimado para o Brasil usando técnicas Bayesianas. Sob a distribuição priori mostra-se que a presença de crédito direcionado não reduz necessariamente a potência da política monetária sobre a inflação. Sob a distribuição posteriori mostra-se que a redução de potência é provável, mas pequena. Finalmente, o terceiro ensaio estuda em que medida o efeito de fluxos de capitais sobre o ciclo de negócios depende do tipo do influxo (e.g., se para títulos ou para ações, se um fluxo de ativo ou de passivo), construindo para tanto um modelo Novo-Keynesiano de economia aberta com fricções financeiras. Identifica-se mecanismos diretos através dos quais o influxo pode ter efeito diferenciado dependendo do seu tipo. Conclui-se, usando uma versão calibrada do modelo, que as diferenças são provavelmente pouco significativas. / [en] This thesis is comprised of three essays. The first two investigate the relationship between monetary policy power and the prevalence of earmarked credit (featuring interest rates that are insensitive to the monetary cycle) in the economy. The first shows that the available microeconometric evidence is not necessarily informative about the macroeconomic phenomenon of interest, and illustrates this result with a simples New-Keynesian model with working capital credit. Giving sequence, the second essay extends the analysis with a medium-sized DSGE model where earmarked credit is used to finance the acquisition of physical capital by firms. The model is estimated to Brazil using Bayesian techniques. Under the prior distribution it is shown that the presence of earmarked credit does not necessarily reduces monetary policy power over inflation. Under the posterior it is shown that a reduction of power is likely, but small. Finally, the third essay studies to what extent the effects of capital flows on a small open economy s business cycle depend on the type of the inflow (e.g., whether a bond or a stock inflow, a liability or an asset flow), and for such it build an open economy New-Keynesian model with financial frictions. Direct mechanisms through which inflows may have differentiated effects depending or their type are identified. Using a calibrated version of the model it concludes that the differences are probably of little significance.

No description available.

This dissertation collects four essays on banks, firms and real effects of bank lending. Owing to the appliance of different econometric methods on several datasets, insights in the behav-ior of and the impacts from financial markets and market participants are generated. In the first chapter, our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bank-specific shocks affecting banks’ capital, liquidity and credit quality as well as revised bank-level risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive da-taset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012. The second chapter examines the relationship between central bank funding and credit risk-taking. Employing bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that banks borrowing from the central bank rebalance their portfolios to-wards ex-ante riskier firms. We further establish that this effect is driven by the ECB’s maturi-ty extensions and that the risk-taking sensitivity of banks borrowing from the ECB is inde-pendent of idiosyncratic bank characteristics. Finally, we show that these shifts in bank lend-ing are associated with an increase in firm-level investment and employment, but also with a deterioration of bank balance sheet quality in the following year. Once we analyze the relationship of banks as lenders vis-à-vis banks as borrowers and banks as lenders vis-à-vis non-financial companies as borrowers, we enlarge the understand-ing of non-financial companies not only in terms of being simply borrowers, respectively sub-jects exhibiting of credit risks. Instead, we try to understand the inner working of those com-panies more generally and analyze their quality not only in terms of a bank’s risk assessment but also in terms of the overall market assessment. However, this in turn can generate infor-mation useable to assess the quality of a bank’s credit portfolio in dimensions that so far are not taken into account by the current regulatory framework. Moreover, a better understanding of banks and non-banks beyond the standard lens of the banking and corporate finance litera-ture might promote new scopes for future research connecting those discrete subjects. In this regard, the third chapter analyzes the dependence of price reactions to corporate insider trad-ing on several measures of corporate governance quality. Our results strongly support the view that first, higher corporate governance levels seem to prevent or discourage insiders from engaging in insider trading as means of opportunistic rent extraction. Second, results confirm the notion of buy and sell trades not being just two sides of the same coin. That is, a higher level of corporate governance leads to a better pre-event information environment which results in less positive abnormal returns after insider buy trades as the incremental posi-tive information revealed by the trade is smaller. In contrast, sell trades in firms with better corporate governance are perceived to convey more valuable and most importantly negative information to the capital market so that prices adjust more for companies with better govern-ance schemes. Third, we show that institutional ownership even on an aggregate level is a sufficient measure to proxy a company’s corporate governance level. Hence, as information on companies’ bylaws and on investors’ investment dedication and type for example are scarce, respectively associated with higher costs because one has to gather that information one can refrain from that and instead proxy the governance level with the aggregate measure of institutional ownership. The latter result is important for carrying out future analyses merg-ing and extending the findings of the first two chapters. Last, the fourth chapter abstracts from borrowers as subjects of credit risk, as well, and most importantly extends the analysis of banks, firms and their interactions effecting each other by a macroeconomic perspective of the real effects of bank lending. That is, as capital flows and real estate are pro-cyclical, and real estate has a substantial weight in economies’ income and wealth Chapter 4 studies the role of real estate markets in the transmission of bank flow shocks to output growth across German cities. In this regard, real sector firms play a central role in the transmission mechanism we uncover. More specifically, the empirical analysis relies on a new and unique matched data set at the city level and the bank-firm level. To measure bank flow shocks, we show that changes in sovereign spreads of Southern Eu-ropean countries (the so-called PIGS spread) can predict German cross-border bank flows. To achieve identification by geographic variation, in addition to a traditional supply-side varia-ble, we use a novel instrument that exploits a policy assigning refugee immigrants to munici-palities on an exogenous basis. We find that output growth responds more to bank flow shocks in cities that are more exposed to tightness in local real estate markets. We estimate that, during the 2009-2014 period, for every 100-basis point increase in the PIGS spread, the most exposed cities grow 15-2 basis points more than the least exposed ones. Moreover, the differential response of commercial property prices can explain most of this growth differen-tial. When we unpack the transmission mechanism by using matched bank-firm-level data on credit, employment, capital expenditure and TFP, we find that firm real estate collateral as measured by tangible fixed assets plays a critical role. In particular, bank flow shocks in-crease the credit supply to firms and sectors with more real estate collateral. Higher credit supply then leads firms to hire and invest more, without evidence of capital misallocation.