The problem called debt overhang has recently been observed in international financial relations between a sovereign country and foreign commercial banks. The term “debt overhang” expresses the situation where a sovereign country has borrowed money from foreign banks and has been unable to fulfill the scheduled repayments for some time. We formulate this problem as a noncooperative game with the lender banks as players where each decides either to sell its loan exposure to the debtor country at the present price of debt on the secondary market, or to wait and keep its exposure. We propose two approaches: a one-period approach (Chapter II), and a direct dynamic approach (Chapter III). In the one-period approach, we consider a representative period, while in the dynamic approach, the whole dynamics is directly considered. Both approaches are consistent and complementary in that the first approach considers the effect of a large number of banks, and the second approach captures the dynamic nature of the problem. In the one-period approach, we consider the behavior of many banks. In the model with n lender banks, there are many pure and mixed strategy Nash equilibria. However we show that in any equilibrium, the resulting secondary market price remains almost the same as the present price when the number of banks is large. In addition, we discuss the structure of the set of Nash equilibria. The second approach is a direct dynamic formalization of the same problem with two creditor banks. We show that in the dynamic game there exist three types of subgame perfect equilibria with the property called the time continuation. We consider the relationships between the equilibria of the dynamic game and those of the one-period approach and show that the one-period approach does not lose much of the dynamic nature of the problem. In every equilibrium, each bank waits in every period with high probability, and this probability is close to 1 when the interest rate is small. If the price function of debt is approximated by some homogeneous function for large values of debt, then the central equilibrium probability becomes almost stationary in the long run. The stationary probability is relatively high as long as the interest rate is low. Finally, in Chapter IV, we consider the duration of debt overhang with two lender banks. We show that the equilibrium duration of debt overhang converges to a constant when the length of a subperiod tends to zero. The constant is large when the degree of homogeneity of the price function is high. When the degree of the homogeneity is low, the constant is close to In 2/ In β², where β is the annual interest factor. These results as a whole are interpreted as a tendency for the problem of debt overhang to persist over a long time. / Ph. D.

<p>This study was on the anticipated impact of GATS on the financial services industry in Africa. The paper examined the possible positive and negative impact of the GATS agreement on the financial services industry in the African countries. The research focused on the banking sector and the insurance sector as the main financial sectors under investigation.</p>

M.Com. (Economics) / The objective of the thesis was to examine the creation of a generally acceptable international unit of account as a precondition for the establishment of a more orderly international monetary system. The payments problem over the national boundary has for centuries baffled the brains and wits of the world's foremost economists, bankers and politicians. The high level of abstraction of the international monetary phenomenon, and the dynamics and geo-politics involved, tend to conceal the essence of the variables at work. The evolution of the international monetary system would thus seem to have trailed the evolution of the national monetary systems by almost two centuries. As recently as the twenties of this century the essence of the international monetary system was still sought in gold, a commodity that could never accommodate the growing payments needs of the world economy, especially at times when events such as wars and technological innovation acted as powerful catalysts expediting the course of events between nations. The use of the key currencies, especially the British pound sterling and the US-dollar, as instruments for international payment could not work for any length of time ...

Este trabalho tem como tema os dilemas dos bancos centrais na condução da política monetária quando se vêem diante de bolhas de ativos mobiliários ou imobiliários. Primeiramente será apresentado o conceito teórico de bolha de acordo a tradição da hipótese dos mercados eficientes, por um lado, e segundo as visões que admitem alguma manifestação de irracionalidade/imperfeição no comportamento dos agentes participantes dos mercados financeiros (Keynes, Minsky e Finanças Comportamentais), por outro lado. Em seguida busca-se compreender o comportamento dos principais agentes econômicos no ambiente de finanças desregulamentadas, que surgiu a partir da década de 1970, bem como as vantagens e desvantagens de se adotar uma política monetária passiva diante das bolhas (como prefere a visão neoclássica convencional) ou pró-ativa (como defende a visão alternativa). Por fim, analisam-se como os agentes econômicos brasileiros se comportam nesse contexto, o potencial de geração de bolhas na economia doméstica e quais as dificuldades adicionais do Banco Central do Brasil, em relação às economias centrais, no manejo da política monetária em ambiente de bolhas de ativos. / The subject of this work are the trade-offs and challenges faced by Central Banks in the conduction of the monetary policy in the occurrence of a stock or real state bubble. In this thesis are presented the opinions of economists that believe in the random walk theory and in the efficient market hypothesis, and of those that assume some irrationality in the behavior of financial markets (Keynes, Minsky and Behavioral Finance) in respect of how Central Banks should use the monetary policy in the occurrence of bubbles. First it is showed the theoretic bubble concept under these two viewpoints. After that, the second chapter shows the behavior of main economic agents in the environment of deregulation, which emerged from the 1970s, as well as the advantages and disadvantages of adopting an either passive or active monetary policy to combat bubbles. Finally, the last chapter presents how brazilian economic agents behave in this context, the potential to generate bubbles in the domestic economy and the additional difficulties of the brazilian Central Bank in the management of monetary policy on asset bubbles environment.

Com o crescimento do comércio entre os países emergentes na última década, um aumento do fluxo de capitais entre esses países tem sido observado, o que defende a hipótese de integração financeira crescente entre esses países e seus respectivos mercados acionários. Ao mesmo tempo, essa categoria de comércio tem gerado um fator grupo que tem explicado parte da diferença significativa de desempenho econômico entre os países emergentes e os desenvolvidos, conhecida como decoupling. Esta pesquisa pretende investigar se existe um fenômeno de decoupling entre os mercados acionários dos BRICS e dos EUA e se esse fenômeno pode ser explicado pela integração entre os mercados dos BRICS de 2003 a outubro de 2012. Foram analisados modelos em que a variável dependente é a diferença absoluta de desempenho entre um portfólio com índices dos mercados acionários dos BRICS e o índice S&P500 do mercado norte-americano. A variável independente consistiu de proxies para integração entre os mercados acionários dos BRICS. Os modelos foram analisados antes e depois da crise financeira de 2008. Adicionalmente, foram gerados modelos sem a inclusão do mercado chinês para verificar seu impacto na relação entre as variáveis estudadas. Entre os resultados, foram encontradas evidências de: (i) um possível decoupling entre os desempenhos dos mercados dos BRICS e dos EUA, principalmente de 2003 a 2006; (ii) uma influência significativa da integração dos mercados acionários dos BRICS no decoupling identificado; (iii) um impacto relevante do mercado chinês nos fenômenos analisados; e (iv) mudanças importantes nos resultados antes e depois da crise financeira de 2008. Esses resultados suportam a hipótese de que a recente interação entre os mercados emergentes tem produzido um fator grupo que tem gerado desempenhos significativamente diferentes dos mercados desenvolvidos, tendo implicações importantes para a teoria da diversificação internacional de portfólios. / With the growth of the trade between emerging countries in the last decade, an increase in the capital flow between these countries has been observed, which defends the hypothesis of rising financial integration between these countries and their respective stock markets. At the same time, this category of trade has generated a group factor that has explained part of the significant difference of economic performance between emerging and developed countries, known as decoupling. This research aims to investigate if there is a decoupling phenomenon between the BRICS stock markets and the US market and if this phenomenon can be explained by the integration between the BRICS markets from 2003 to October of 2012. I analyzed models in which the dependent variables is the absolute difference of performance between a portfolio with indexes of BRICS stock markets and the S&P500 index of the north american market. The independent variable consisted of proxies to the integration of the BRICS stock markets. I analyzed the models before and after the financial crisis of 2008. Additionally, models were generated without the inclusion of the chinese market in order to verify its impact on the relation between the studied variables. Among the results, I found evidences of: (i) a possible decoupling between the performances of BRICS and US markets, mainly from 2003 to 2006; (ii) a significant influence of the integration between BRICS markets and on the identified decoupling; (iii) a relevant impact of the chinese market on the analyzed phenomena; and (iv) important changes on the results before and after the financial crisis of 2008. These results support the hypothesis that the recent interaction between the emerging markets has produced a group factor that has generated performances significantly different from the developed countries, having important implications to the theory of international diversification of portfolios.

Wong Chi Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 98-99). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- The Model --- p.6 / Chapter 2.1. --- Environment --- p.6 / Chapter 2.2. --- Autarkic equilibrium --- p.9 / Chapter 2.3. --- Equilibrium with unfettered international capital mobility --- p.14 / Figures of Chapter 2 --- p.20 / Chapter Chapter 3. --- Regarding Asymmetric Information Problem as a Subsidy --- p.23 / Chapter 3.1. --- Equilibrium without differential degree in asymmetric information --- p.23 / Chapter 3.2. --- Simulating asymmetric information by a subsidy --- p.26 / Figures of Chapter 3 --- p.29 / Chapter Chapter 4. --- Barrier as a Policy Instrument --- p.30 / Chapter 4.1. --- Introduction to barrier policy --- p.30 / Chapter 4.2. --- Fixing southern investment target --- p.32 / Chapter 4.3. --- Possibility of the stabilization policy to improve both countries' steady states --- p.36 / Chapter 4.4. --- Time-invarying barrier for attaining long-run target --- p.44 / Chapter 4.5. --- Inducing worldwide optimal path --- p.50 / Chapter 4.6. --- Precluding poverty trap --- p.56 / Figures of Chapter 4 --- p.59 / Chapter Chapter 5. --- Welfare --- p.66 / Chapter 5.1. --- Welfare effects at the agent level --- p.66 / Chapter 5.2. --- Welfare effects at the country level: introduction --- p.68 / Chapter 5.3. --- Next-period welfare effects at the country level: the South erects the policy --- p.70 / Chapter 5.4. --- Steady-state welfare effects at the country level: the South erects the policy --- p.73 / Chapter 5.5. --- Next-period welfare effects at the country level: the North erects the policy --- p.75 / Chapter 5.6. --- Steady-state welfare effects at the country level: the North erects the policy --- p.78 / Figures of Chapter 5 --- p.83 / Chapter Chapter 6. --- Epilogue --- p.84 / "Table of results: a comparison with Espinosa-Vega, Smith and Yip (2000)" --- p.87 / Appendix --- p.90 / Appendix A --- p.90 / Appendix B --- p.90 / Appendix C --- p.91 / Appendix D --- p.95 / References --- p.98

The present study is an attempt to better understand change in international relations through utilization of the concept of international regimes. The following chapters focus on creation of the international lending regime and change that has occurred within this regime. The work begins by reviewing the regime literature, noting definitional and conceptual problems of the approach. The review concludes with examples of regime scholarship that are utilized through the rest of the study. Examination of international lending as a regime consists of three sections: first, a profile of the creation of the United States-led, post-war multilateral lending regime; second, the replacement of U.S. geo-political concerns with a market emphasis desired by international banks; third, the more recent redirection of lending as the utility of market forces is constrained by adjustments necessary to facilitate emergency debt restructuring.

This dissertation studies the implications of financial intermediaries on international financial markets and bank lending. Chapter 1 explores the relevance of financial intermediaries for the pricing of foreign exchange. Recent theoretical work has highlighted the importance of financial intermediaries in rationalizing exchange rate movements and I empirically assess whether the theoretical predictions hold true in the data. I show that financial intermediary capital, a proxy for their health and/or risk-bearing capacity, provides an economic source of risk that helps explain both the carry trade and the cross-section of currency returns across a variety of strategies. Currencies that more positively co-move with intermediary capital provide high excess returns as intermediaries must be compensated for currency depreciation and losses at times when their capital erodes and their marginal utility is high. I demonstrate the dominance of intermediary-based asset pricing theories over consumption-based asset pricing theories, thus rationalizing theoretical models with a central role for financial intermediaries in asset markets. I then show that intermediary capital provides one economic source of risk embedded within the more dominant carry factor and serves as an orthogonal source of risk to the global risk embedded within the dollar factor. This paper thus serves as motivation for the further development of open economy models with financial intermediaries and a deeper understanding of the underlying economic sources of risks that underlie the factor structure of exchange rates. Chapter 2 studies the impact of US monetary policy shocks on international bank lending at the aggregate level. I ask whether country-banking systems that are more exposed to dollar funding decrease their cross-border lending by more than less exposed countries following contractionary US monetary policy announcements. For a given country borrower, I show that this is indeed the case as a 25 basis point increase in the previous quarter decreases cross-border lending supply growth by 4% more from a country-banking system that is 10% more reliant on dollar funding. This is mainly driven by decreases in cross-border lending to banks and the non-bank private sector, highlighting potential channels for the international transmission of US monetary policy. Chapter 3 assesses the effects of the US money market fund reform of October 2016 on syndicated bank lending and more broadly examines the relevance of dollar funding from US money market funds. I exploit the heterogeneity in foreign banks' reliance on US money market funds to uncover whether the decline in dollar funding attributed to the reform affected their lending. I find that although larger exposure to US money market dollar funding is attributed with larger declines following the reform, this did not pass through to dollar denominated lending, contrary to conventional wisdom. I find that banks substituted for some of the loss in dollar funding by increasing borrowing from US government money market funds, but this was not sufficient to offset the loss in funding. My results thus suggest that global banks have access to substitute sources of dollar funding that smoothed the loss in dollar funding on lending.

No description available.

In this thesis, we study the behaviour and forecastability of exchange rates . Most of the existing literature on the forecasting of exchange rates concentrates on the end of the day price, commonly known as the 'close' price. Meese and Rogoff [30] show that this price tends to follow the naive random walk model, which implies that the best forecast for the next period is the current observed value. Instead, we study the dynamics and the predictability of the daily high and low prices using real-world data for the currency pairs GBP/USD, EUR/USD and AUD/USD. The daily high and low are the maximum and minimum prices reached for each 24-hour period by the currency pairs. We find strong evidence that the daily close prices lag these highs and lows. We use this knowledge to build an autoregressive distributed lag (ARDL) rolling regression model that produces one day ahead out-of-sample forecasts of these high and low prices. We also build an algorithm that uses already existing dynamic regression methods to correct for the autocorrelation often observed in time-series data. The window size used for the estimation of our model parameters is very important due to the nature of time series data. We propose an empirical method to find the best suitable window size for the estimation of these parameters. The out-of-sample predictability of our regression models is compared to a few benchmark models by using a number of different performance measures. We show that our models outperform these benchmark models in terms of their forecasting ability of high and low prices. Furthermore, a triggering method is developed for trading exchange rates using a saturation-reset linear feedback controller. First, we test our triggering method on an idealized market model, for which we propose a stochastic process. We then apply this triggering method to real-world data in order to study its performance. Finally, we construct trading strategies that combine these methods with our out-of-sample forecasts.