Why are the US and China regulating cryptocurrency? This paper first uses linear regression to model the relationship between the US dollar and Bitcoin, and separately, the Chinese Renminbi and Bitcoin. Next, legal text is analyzed to make the comparative case for the United States' and China's legal responses to new advances in cryptocurrency, and how it shows threats to the traditional definition and control of currency.

Este trabalho tem como analisa principal a estratégia de hedge para o exportador de café nas principais regiões brasileiras, utilizando o modelo tradicional de hedge de variância mínima para a receita. São propostas quatro estratégias: sem hedge, hedge de preço do café, hedge de câmbio e hedge simultâneo de preço do café e câmbio. Chega-se à conclusão que a estratégia de hedge simultâneo de preços e câmbio é mais efetiva em diminuir a variância da receita do produtor em relação a outras estratégias analisadas. A redução do risco de taxa de câmbio, em conjunto com o risco de preços é importante para a gestão estratégica dos exportadores de commodities. / This thesis aims to analyze the hedging strategies for coffee export in the main Brazilian regions, using the traditional model of minimum variance hedge. In this way, four hedging strategies were proposed: no hedge, hedge coffee prices, exchange hedge and hedge simultaneous coffee prices and exchange rates. The result show that the hedging strategy of simultaneous price and exchange is more effective in reducing the variance of revenue producer comparing with other strategies analyzed. Reducing the risk of exchange rate, together with the price risk is important for the strategic management of commodity exporters.

Orientador: Daniela Magalhães Prates / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-09T05:21:55Z (GMT). No. of bitstreams: 1 Conti_BrunoMartarellode_M.pdf: 1155679 bytes, checksum: 5cfe20d9ee8cd221c55d79a866960d4b (MD5) Previous issue date: 2007 / Resumo: As profundas mudanças verificadas na economia internacional desde o fim do sistema de Bretton Woods criaram um ambiente de maior complexidade, no qual as oportunidades oferecidas aos países que se inserem na lógica da globalização financeira vêm, geralmente, acompanhadas de grandes perigos. Se, por um lado, a emergência do euromercado, o desenvolvimento das finanças diretas e a liberalização financeira aumentaram a mobilidade do capital e o seu potencial de valorização, de outro, os riscos latentes também se elevaram, sobretudo em função da instabilidade sistêmica que caracteriza esta etapa do desenvolvimento capitalista. Este novo contexto se traduz num quadro de grande volatilidade das principais variáveis macroeconômicas nos países periféricos tidos como emergentes ¿ isto é, aqueles que de alguma maneira fizeram sua inserção na globalização financeira. Tal fato ocorre justamente em razão dos fluxos de capitais que se direcionam a esses países serem muito mais instáveis do que nos países centrais. As variáveis presentes no balanço de pagamentos parecem estar crescentemente subordinadas à mobilidade do capital internacional. Se antes a questão da estabilidade do câmbio era um atributo do próprio modo de operar do sistema monetário internacional, agora é uma questão deixada em aberto para a intervenção de cada país. Esta dissertação tem como meta analisar os condicionantes da escolha de regimes cambiais em países emergentes em um contexto de globalização financeira e os resultados econômicos proporcionados pelos diferentes regimes. A hipótese central é a de que países emergentes enfrentam dificuldades na gestão da taxa de câmbio ¿ sobretudo neste cenário de finanças globalizadas ¿ que costumam ser negligenciadas por muitos autores. Além disso, procura-se analisar e discutir criticamente os regimes cambiais adotados no Brasil desde a implementação do Plano Real. A experiência brasileira recente mostra-se bastante interessante, pois permite a observação de formas variadas de se lidar com a taxa de câmbio, tornando evidentes as dificuldades enfrentadas por países emergentes na condução de sua política cambial. É realizada uma discussão sobre o Plano Real e a âncora cambial vigente durante o primeiro mandato do presidente Fernando Henrique Cardoso. Em seguida, apresenta-se uma análise do regime de taxas de câmbio flutuantes e do modelo do "tripé" de política macroeconômica adotado a partir de 1999. Por fim, o foco recai sobre a evolução da gestão cambial no primeiro Governo Lula e as implicações desta sobre o padrão de crescimento da economia brasileira / Abstract: The deep changes verified at the international economy since the end of the Bretton Woods system created an ambience of a bigger complexity in which the opportunities opened to the countries that get into the financial globalization logic usually come with some dangers. The emergence of the euromarket, the development of direct finances and the financial liberalization increased capital mobility and its potential of valorization, but, simultaneously, the latent risks were also augmented, mainly because of the systemic instability that characterizes this phase of capitalist development. This framework engenders a great volatility of the main macroeconomic variables in the peripheral countries considered as emerging countries ¿ i.e., the ones that have in someway made their integration into the financial globalization. This scenario is due to the fact that the capital flows addressed to these countries are much more unstable than those of the central countries. The variables that compose the balance of payments seem to be progressively subordinated to the mobility of the international capital. If some decades ago the issue of the exchange rate stability was an attribute of the modus operandi of the international monetary system, now it is an issue to be dealt with by each country on its own. This dissertation aims to analyze the conditioning of the choice of exchange rate regimes in emerging countries in the context of financial globalization and the economic results promoted by these different regimes. The central hypothesis is that emerging countries face some difficulties on the management of their exchange rates ¿ mainly in this scenario of global finances ¿ that use to be neglected by most of the authors. Moreover, this dissertation analyze and discuss, from a critical point of view, the exchange rate regimes adopted in Brazil since the implementation of the Real Plan. Brazilian recent experience is interesting, because it allows observing different ways of dealing with the exchange rate, bringing light over the difficulties faced by emerging countries on the conduction of exchange rate policy. This work makes a discussion of the Real Plan and the nominal anchor practiced during the first mandate of president Fernando Henrique Cardoso. Following, an analysis of the floating exchange rate regime and the so-called ¿tripod¿ model of macroeconomic policy, adopted since 1999 is presented. Finally, the focus is put over the evolution of the exchange rate management on the first Lula Government and its implications over the growing pattern of Brazilian economy / Mestrado / Teoria Economica / Mestre em Ciências Econômicas

Orientador: Ricardo de Medeiros Carneiro / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-19T17:54:17Z (GMT). No. of bitstreams: 1 Rossi_PedroLinhares_D.pdf: 4297083 bytes, checksum: 33b97eae12f2aac6ebb9ee4ebf0cd707 (MD5) Previous issue date: 2012 / Resumo: Essa Tese procura desenvolver as especificidades da formação da taxa de câmbio brasileira tendo em conta fatores microeconômicos do mercado de câmbio como as instituições, os agentes, a regulamentação, as formas de especulação e os canais de arbitragem entre os diferentes mercados. Identifica-se na especulação com moedas, protagonizada pelo carry trade, um elemento de distorção cambial em diversas economias do sistema e, em especial, na economia brasileira. As conclusões do trabalho apontam para centralidade do mercado de derivativos e do carry trade na dinâmica cambial brasileira recente, onde se destacam o papel dos estrangeiros e investidores institucionais na formação de tendências no mercado de câmbio futuro, e dos bancos que transmitem essa pressão especulativa para o mercado à vista ao realizarem ganhos de arbitragem. Em certo sentido, propõe-se uma hierarquia entre os mercados de câmbio, onde o mercado futuro, impulsionado pelo mercado offshore, condiciona a formação de posições no mercado interbancário, assim como a liquidez no mercado à vista. Dessa forma, identifica-se uma determinação financeira da taxa de câmbio que distorce sistematicamente a trajetória cambial e condiciona a atuação desse preço macroeconômico como mecanismo de ajustamento e como ferramenta para o desenvolvimento econômico / Abstract: This Dissertation aims to develop the specificities of Brazilian exchange rate formation taking into account the microeconomic factors of the foreign exchange market as institutions, agents, regulations, forms and channels of speculation and arbitrage between different markets. It is identified in currency speculation, led by the carry trade, an element of exchange rate distortion in several economies and, in particular, in the Brazilian economy. The conclusions of this study points the centrality of the derivatives market and the carry trade in recent Brazilian exchange rate dynamics, where can be highlighted the role of foreign and institutional investors in the formation of trends in exchange rate future market, and the role of banks responsible for transmitting the speculative pressure to the spot market in order to realize arbitrage gains. In a sense, we propose a hierarchy among exchange rate markets, where the futures market, driven by the offshore market, implies the formation of positions in the interbank market, as well as the spot market liquidity. Thus, it identifies a financial determination of exchange rate that systematically distorts the exchange rate trajectory and limits the performance of this macroeconomic price as an adjustment mechanism and as a tool for economic development / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

Orientador: Mariano Francisco Laplane / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-20T09:04:50Z (GMT). No. of bitstreams: 1 Ribeiro_RafaelSauloMarques_M.pdf: 2090780 bytes, checksum: bb0b009c8327633b357913b68da55ea1 (MD5) Previous issue date: 2012 / Resumo: Este trabalho busca contribuir para a literatura teórica sobre crescimento e desenvolvimento econômico dentro da escola de pensamento keynesiana/kaldoriana por meio de uma estrutura analítica que procura reconciliar ambos os modelos, tanto o de crescimento liderado pelas exportações (Dixon & Thirlwall, 1975) quanto o de crescimento restringido pelo balanço de pagamentos (Thirlwall, 1979) em uma especificação matemática mais geral. Feito isso, partindo do modelo revisitado, faremos algumas considerações acerca do papel da taxa de câmbio como ferramenta de política macroeconômica por meio de simulações como experimento teórico / Abstract: This work attempts to contribute theoretically to the literature on growth and development within the Keynesian-Kaldorian school of thought by providing an analytical framework that seeks to reconciliate both the export-led (Dixon & Thirlwall, 1975) and the balance-of-payments constrained growth (Thirlwall, 1979) models into a further general mathematical specification. Provided the revisited model, we will assess the role played by the exchange rate as a macroeconomic policy tool by using computational simulation as a theoretical experiment / Mestrado / Ciências Economicas / Mestre em Ciências Econômicas

[pt] No início de 1995, dando continuidade ao processo de combate inflacionário, o regime cambial brasileiro passou a ser um Crawling Peg. Assim, a política monetária deveria ser fixada de forma passiva, e caberia a política fiscal o controle da demanda doméstica e, por conseguinte, a manutenção da estabilidade do nível de preços. Entretanto, Salgado, Garcia e Medeiros (2005) encontram fortes evidências de que a política monetária foi orientada para o controle da inflação compensando a política fiscal frouxa praticada pelo governo, aplicando um modelo TAR (Threshold Autoregressive Model). A especificação proposta pelos autores consiste na estimação de modelos lineares distintos dependendo do estado da economia (em crise ou fora de crise). Períodos de crise são determinados por uma variável observada (variação acumulada de reservas). Neste trabalho, utilizamos um modelo com chaveamento Markoviano para dinâmica da taxa de juros nominal onde a determinação de períodos de crise é feita por uma variável não-observada. Além disso, procuramos resolver possíveis problemas de endogeneidade. Finalmente, motivamos a estimação através de modelos econômicos teóricos cujas dinâmicas são compatíveis com uma regra de fixação de juros não-linear. Os resultados encontrados no trabalho foram bastante satisfatórios. / [en] In the beginning of 1995, continuing the process of inflation combat, the exchange rate regime adopted was a Crawling Peg. Thus, the monetary policy should have been passive and the fiscal policy would have been directed to control the aggregate demand, affecting the price level stability. However, Salgado, Garcia e Medeiros (2005) find strong evidences in Brazilian data that the monetary policy was used to control inflation, compensating the loose fiscal policy implemented by the Central Government, using a TAR Model (Threshold Autoregressive Model). The specification proposed by the authors consists in an estimation of two independent linear models for different states of the nature (crises or not crises). An observable variable (the accumulated changes in the International Reserve) determines the crises periods. Here we estimate a model where the dynamic of the nominal interest rate follows a Markov Switching process and the regimes are unobservable variables. Furthermore, we try to handle the possible problem of endogenity. Finally, we motivate the estimations analyzing models where the theoretical dynamics of the economy are compatible with a nonlinear interest rate rule. Our results are quiet satisfactory.

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished

The theoretical literature assumes that real variables affect the real exchange rate only through the relative price of nontraded goods. In Chapter 2. I decompose the real Canada-US exchange rate into the relative prices of traded goods and nontraded goods and analyze how real shocks affect these two relative prices. I find that shocks to productivity and commodity prices affect the real exchange rate almost entirely through the relative price of traded goods. This evidence calls for explicit modeling of the transmission mechanism from real shocks to the real exchange rate through the relative price of traded goods. In Chapter 3. I develop a model that allows the relative price of traded goods to play a role in the transmission mechanism. The model is a generalization of the basic Balassa-Samuelson model that incorporates terms-of-trade and productivity shocks in a unified framework. The generalization is parsimonious since it maintains the law of one price for each traded good. However, the model does not have the law of one price for the composite traded good. This is necessary to allow traded goods to act as a channel in the transmission mechanism. The model implies that domestic productivity shocks depreciate the relative price of tradables, while shocks to world commodity prices appreciate it. The empirical analysis provides some support for the first prediction, but rejects the second prediction. In Chapter 4. I analyze whether the depreciation of the real Canada-US exchange rate can be a driving force behind the widening of the Canada-US productivity gap in manufacturing since the 1980s. I focus on the factor cost hypothesis. that states that a real exchange rate depreciation can make capital relatively more expensive than labour, causing manufacturing firms to adopt more labour intensive technologies. Using a Vector Error Correction Model. I find that a real depreciation of the Canadian dollar reduces the relative Canada-US capital-labour ratio and labour productivity in manufacturing in accordance with the hypothesis. However. the contribution of this channel in explaining movements of the relative productivity in manufacturing is only about ten per cent at a five year horizon.

We build a general Ricardian model of international trade, which extends Eaton and Kortum (2002), in order to analyze the sources of the gains from trade, the effects of trade openness on productivity, and the role of nominal exchange rates. For general distributions of industry efficiencies, welfare gains can always be de- composed into a selection and a reallocation effect. The former is the change in average efficiency due to the selection of industries that survive international competition. The latter is the rise in the weight of exporting industries in domestic production, due the reallocation of workers away from non-exporting industries. This decomposition, which is hard to calculate in the general case, simpli es dramatically with Fréchet- distributed efficiencies, providing easy-to-quantify model-based measures of these two effects. For an average of 46 countries in 2000 and 2005, the selection effect turns out to be somewhat more important than the reallocation effect. By analyzing the relationship between trade openness and total factor productivity (TFP), we propose a novel methodology to measure the latter. The logic of our approach is to use a structural model and measure TFP not from its "primitive" (the aggregate production function), but from its observed implications. We estimate TFP levels of the manufacturing sector of 19 OECD countries, relative to the United States, in 1985-2002, as the average productivity a proxy for aggregate TFP that best ts data on trade, production and wages. Our measures turn out to be easy to compute and are no longer mere residuals. To examine the role exchange rates in a model of real consumption and production decisions with no money, we follow an insight of Keynes (1931) and replicate a currency depreciation with an increase in import barriers and a symmetric decline in export barriers. By mimicking changes in exchange rates with changes in the model parameters, we can demonstrate a series of classical results and conjectures, in a very general framework with many countries, tradeable goods and non-tradeable goods. We show not only that a depreciation has no real effects with flexible wages, but, with sticky wages, we are able to prove that an undervalued currency causes involuntary unemployment abroad, while at home it determines inefficiently high employment in the export sector, raising real GDP but lowering welfare. If the currency is overvalued, we also show that there exists an appropriate depreciation that restores competitive prices, with welfare-enhancing effects, proving Friedman's conjecture (1953).

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