How should central banks react to movements in the exchange rate? Can social welfare be improved if the policy maker is giving explicit or implicit consideration to fluctuations in the exchange rate? These are some of the principal questions addressed in this thesis, which analyzes the influence of exchange rates on prices and monetary policy, from an empirical as well as a theoretical perspective. The thesis consists of four self-contained papers, and sets off by providing some empirical evidence for incomplete exchange rate pass-through. Incomplete exchange rate pass-through is subsequently incorporated into a theoretical model of a small open economy, to study how exchange rate fluctuations affect monetary policy. The first chapter is an empirical paper studying the relation between exchange rates and prices, using data on Swedish exports of automobiles and kraft paper. A price determining error correction model indicates results consistent with price discrimination and incomplete exchange rate pass-through. In the second chapter, a small open economy aggregate supply-aggregate demand model, allowing for incomplete exchange rate pass-through, is developed to analyze the effects of limited pass-through on monetary policy. The results suggest that the optimal policy reaction, both to foreign and domestic shocks, is dependent on the degree of exchange rate pass-through. The third chapter studies what the delegated monetary policy should be in an open economy with limited pass-through. In particular, the question of whether to delegate an exchange rate-stabilization objective to the policy maker is investigated. The results show that incorporation of an explicit nominal, or real, exchange-rate term in the (optimized) objective function only improves social welfare marginally. The fourth chapter assumes, in contrast, that monetary policy is implemented through a simple instrument rule. It is examined whether the policy maker’s performance, in terms of social welfare, can be improved by also responding to the exchange rate. The results indicate that the exchange rate-augmented policy rules do not outperform an optimized rule without the exchange rate, irrespective of the degree of pass-through. Social welfare is, however, improved by an indirect exchange rate response, which is reached using a policy rule based on Consumer Price Index (CPI) inflation, rather than on domestic inflation. / Diss. Stockholm : Handelshögsk., 2001

Calif., Univ., Diss.--Berkeley, 2004. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

Calif., Univ. of California, Diss.--Berkeley, 2002. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

Submitted by JOAO BARROSO (joao.barroso@bcb.gov.br) on 2010-08-03T20:13:37Z No. of bitstreams: 1 TESE.pdf: 1045913 bytes, checksum: 1c6912b208fc1e79faee0ef3e07a6198 (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-08-04T12:22:02Z (GMT) No. of bitstreams: 1 TESE.pdf: 1045913 bytes, checksum: 1c6912b208fc1e79faee0ef3e07a6198 (MD5) / Made available in DSpace on 2010-08-04T17:23:36Z (GMT). No. of bitstreams: 1 TESE.pdf: 1045913 bytes, checksum: 1c6912b208fc1e79faee0ef3e07a6198 (MD5) Previous issue date: 2010-02-05 / The thesis uses international price data to identify parameters of trade models with imperfect competition, therefore allowing inference on exchange rate behavior, gains from trade and variety of domestic goods. First, we investigate Brazilian exporters pricing behavior over the long-run following destination specific exchange rate shocks. We find evidence of incomplete exchange-rate pass-through in the long-run, which supports the market structure explanations over short-run sticky-price explanations. Second, we calculate import price indexes and the implied welfare gains from new varieties of imported goods, based on disaggregated estimates of elasticity of substitution parameters. Finally, we qualify standard results in the literature that point to a reduction in domestic varieties after trade liberalization; domestic varieties may expand if we introduce an additional margin in firms‟ technology, such as intermediate goods or high skilled labor. / Esta tese utiliza a informação contida em preços internacionais para identificar parâmetros de modelos de comércio sob competição imperfeita, desta forma permitindo inferência sobre o comportamento das exportações, sobre os ganhos de troca da abertura comercial e sobre a variedade de bens produzidos domesticamente. Em primeiro lugar, investigamos o repasse cambial, no longo prazo, para os preços praticados por exportadores brasileiros. O foco no longo prazo permite controlar os efeitos da rigidez de preço no curto prazo, de maneira que o repasse incompleto evidencie competição imperfeita com preços flexíveis. Em segundo lugar, calculamos os ganhos de troca de novas variedades de bens importados baseando-nos em estimativas para as elasticidades de substituição desagregadas. Finalmente, qualificamos a ênfase da literatura de comércio em ganhos de eficiência no lugar de ganhos de variedade, demonstrando que a variedade de bens produzidos domesticamente se amplia após aberturas comerciais desde que as firmas tenham uma margem de decisão em bens intermediários ou na qualificação da mão de obra.

Cette thèse propose quatre contributions à l'étude de la politique monétaire dans le contexte de l'économie vietnamienne, depuis 1995-1996 jusqu’à maintenant.Le premier chapitre donne aperçu de l'économie vietnamienne et sa politique monétaire. Il s’agit d’un chapitre qui problématise les questions traitées économétriquement dans le reste de la thèse.Chapitre 2 montrent qu'il y a une relation à long terme entre le taux de change du marché noir et ses variables monétaires. Le taux de change officiel, l’écart de la masse monétaire et de taux d'intérêt intérieur ont des effets positifs significatifs sur le taux de change du marché noir tandis que la production intérieure réelle et le taux d'intérêt à l'étranger ont un impact négatif significatif sur cet indice. Chapitre 3 fournissent de fortes preuves relatives à la relation à long terme entre taux de change et ses fondamentaux monétaires relatifs. Bien que les signes des taux d'intérêt estimés soient ambigu, les coefficients estimés de la monnaie et du rendement sont compatibles avec toutes les variantes traditionnelles du modèle monétaire de la détermination du taux de change. Finalement, nous constatons que le pass-through du taux de change sur l'inflation est fort et rapide, et que le taux de change a un effet positif significatif sur l'inflation. La masse monétaire joue un rôle important dans la détermination de l'inflation alors que le taux d'intérêt ne semble pas avoir un impact significatif sur l'inflation. En outre, le prix du pétrole l’influence considérablement. Un choc de taux d’intérêts des États-Unis joue un rôle insignifiant dans l’explication de la variabilité des variables macroéconomiques domestiques. / This dissertation proposes four contributions to the study of monetary policy in the context of Vietnamese economy from 1995-96 onwards. The first chapter provides an overview of Vietnamese economy and its monetary policy. It provides some issues that are resolved econometrically in the rest of the thesis.The second chapter investigates the black market exchange rate determination. We find that there is a long-run relationship between black market exchange rate and its relative monetary variables. Official exchange rate, money supply differential and domestic interest rate have significant positive effects on black market exchange rate while domestic real output and foreign interest rate have meaningful negative impact on black market exchange rate.The third chapter examines how well versions of monetary models explain the VND/U.S dollar exchange rate. Estimates provide strong evidences of long-run relationship between exchange rate and its relative monetary fundamentals. Although the signs of estimated interest rates are mixed, estimated coefficients of money and output are consistent with any traditional variant of monetary model of exchange rate determination. Eventually, we find that the exchange rate pass-through to inflation is high and rapid, and exchange rate has a significant positive effect of exchange rate on inflation. Estimates also reveal that money supply plays a significant role in shaping inflation while interest rate does not seem to have a meaningful impact on inflation. In addition, oil price also has significant impact on inflation. U.S interest rate shock plays an insignificant role in explaining the variability of domestic macro variables.

Thesis (M. Commerce (Economics)) -- University of Limpopo, 2016 / The purpose of this paper is to ascertain the impact of the real effective exchange rate on South Africa‟s trade balance and whether the J-curve phenomenon and the Marshal-Lerner condition are satisfied in the economy. Using data spanning the period 1980Q1 – 2014Q4, the Autoregressive Distributed Lag (ARDL) bounds test as well as the Johansen cointegration test were employed to test for the long run cointegrating relationship between the variables. The ARDL approach was employed to estimate both the long run and short run models as well as to ascertain whether the Marshal – Learner condition as well as the J-curve phenomenon are satisfied in the RSA economy. The results from the cointegration tests show that there is a stable long run equilibrium relationship between the trade balance, real effective exchange rate, domestic GDP, money supply, terms of trade and foreign reserves. The results from the Autoregressive Distributed Lag long run model show that a depreciation of the ZAR improves the trade balance, thus confirming the MarshalLerner condition. The results further reveal that domestic GDP and money supply both have a significant negative impact on the trade balance in the long run with the terms of trade reported positive as well. Foreign reserves were not found to significantly affect the trade balance in the long run. In the short run, the ARDL error correction model shows that a ZAR depreciation leads to a deterioration of the trade balance, thus confirming the J-curve effect for the RSA economy. The terms of trade effect was reported positive in the short run, thus confirming the Harberger-LaursenMetzler effect (HLME) in the process. Money supply, domestic GDP and foreign reserves are also found to have a significant negative impact on the trade balance in the short run. Finally, the error correction model reveals that about 26% of the disequilibrium in the trade balance model is corrected in each quarter.

Cette thèse se compose de trois articles empiriques appliquant à divers sujets des techniques d'économétrie sur données de panel. L'article principal étudie l'évolution de la transmission des prix des trois principales céréales (blé, maïs, riz) des marchés internationaux vers les producteurs domestiques pour 52 pays sur la période 1970-2013, et cherche à identifier les principaux facteurs expliquant l'hétérogénéité des pass-through. Le second article mesure l'élasticité du trafic aérien au produit intérieur brut dans le monde et met en évidence la grande stabilité de la relation tant dans le temps que d'une région à l'autre. Enfin, le troisième article modélise le mécanisme de fixation du taux de rendement servi par les assureurs français à leurs clients sur les produits d'assurance-vie. / This dissertation is composed of three empirical articles resorting to econometric methods in panel data analysis to address various research questions. The main article investigates the evolution of the level of price transmission for the three major cereals (wheat, maize and rice) from the international commodity markets down to the local producers for 52 countries between 1970 and 2013 while attempting to identify the main drivers of the heterogeneity in pass-through. The second article measures the elasticity of air-traffic to GDP around the world and demonstrates that the relationship is very stable across régions and through time. Eventually, the third article models the mechanisms through which French life-insurers set the rate of return they pay annually to their policyholders.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2021 / Investment as one of the main macroeconomic variables can ensure development of infrastructure and economic growth through increasing productivity and attracting investors. This study examined key determinants of investment activities by means of a comparative analysis between the SADC and BRICS groups during the period 2004- 2019. The key variables were the real exchange rate, real interest rate and trade openness. The analysis began by reporting unit roots tests, which paved way for employing Panel Autoregressive Distributive Lag (PARDL) methodology in the existence of different orders of integration. To estimate the long run relationship between the variables, we made use of the panel Johansen cointegration test, Pedroni test, Kao test and the Johansen Fisher cointegration test. Through the PARDL, the exchange rate and trade openness were found to be positive and statistically significant determinants of investment in SADC although statistically insignificant in the BRICS group. In addition, interest rates yielded insignificant results in the SADC region while, on the contrary, yielded a negative and statistically significant relationship in the BRICS group. The Granger causality test indicated a bi-directional causality in the exchange rate-investment and trade openness investment nexus for the SADC group while there was no causality in the BRICS group. It can be concluded that trade openness and exchange rate are key determinants of investment in the SADC region while interest rates are key in the BRICS group. It is therefore recommended that in order to attract investors and boost investment activities the SADC group need to focus more on exchange rate stability and trade openness while the BRICS group need to pay more attention to the flexibility of interest rates. This is beneficial on trading patterns, more for South Africa as it can be found in both groups.

La disparitions graduelle des peurs liées à l’inflation pendant l’ère de la «Grande Modération» macroéconomique est aujourd’hui chose révolue : la crise financière américaine des «Subprimes», la «Grande Récession» ainsi que la crise des dettes souveraines qui s’en est suivie ont abouti à un nouvel ordre économique caractérisé par une volatilité accrue de l’inflation, un accroissement des chocs dans les prix des matières premières et une défiance envers la qualité de la signature de certains émetteurs souverains pour n’en mentionner que trois caractéristiques. De la réduction des émissions de titres souverains indexés sur l’inflation aux taux réels négatifs jusqu’à de très longues maturités, cette nouvelle donne tend à mettre en péril aussi bien les stratégies conventionnelles de couvertures inflation que les stratégies directionnelles purement nominales . Cette thèse a pour but d’investiguer les effets de ces évènements qui ont changé la donne macro-financière et d’évaluer leurs conséquences en terme de couverture inflation aussi bien dans la gestion actif-passif des investisseurs institutionnels que sur l’épargne des particuliers. Trois stratégies alternatives de couverture sont proposées pour y faire face. / Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics. The US subprime financial crisis, the ensuing “Great Recession” and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty over sovereign bond creditworthiness to name just a few. All of which tend to put in jeopardy both conventional inflation protected strategies and nominal unhedged ones: from reduced issues of linkers to negative long-term real rates, they call into question the viability of current strategies. This paper investigates those game changing events and their asset liability management consequences for retail and institutional investors. Three alternative ways to achieve real value protection are proposed.

金融機構所經營之業務涵蓋種類繁多、型式各異並各有其相關之法令，而金融機構透過直接或間接投資方式，一般而言將構成金融集團間之關係人及其交易，本論文之目的在於分析各種金融集團關係人交易相關法令之缺漏，並進而提出建議。 本文首先從現行金融機構經營及投資規範及金融機構關係人交易法律規範，歸納整理出相關法規機制，並探討現行該等關係人及交易之法律規範之「過」與「不足」之處。 此外，本文也參考美國法及跨國性金融監理機構之相關規範，藉此與我國相關規範比較，以作為我國相關立法之參考方向。 接著，本文再以金融機構關係人之實際相關案例，深入分析本國實務上常見之問題，以探討實務上對關係人的認定標準，並釐清現行金融監理對關係人間非常規交易之管理缺漏。 最後本文以上述之分析結果，提出對現行金融機構關係人相關法規之建議，以提供未來修法之參考。 / Due to deregulation and globalization in banking system, financial institutions are increasingly burring traditional differences between banking, insurance, and other institutions. As results, intra-group transactions cause more concern about the conflicts of interests. From a legal point of view, different legal relationships will confer different rights and impose different duties on financial parties. Therefore, it is sensible to analyze the legal nature of the relationships of different participants and their roles in financial institutions’ related party transactions. This study presents an analysis of regulations of related party transactions within Financial Conglomerates, and proposes reforms to deal with conflicts of interest: Firstly, discusses the regulations about the business scope of financial holding company, bank, securities and insurance company. Then further analyzes the regulations of related party transactions within each above financial parties. Secondly, depicts the American regulatory scheme and the frames guidelines and principles of international financial supervisory institutions. The former focuses on the background of banking regulations and the latest issue about The Dodd-Frank Act. The later includes the Basel Committee on Banking Supervision (BCBS), the International Organization of Securities Commissions (IOSCO), the International Association of Insurance Supervisors (IAIS), the International Swaps and Derivatives Association (ISDA) and the Joint Forum on Financial Conglomerates. A comparative analysis of regulations of the above and Taiwan was made. Thirdly, further analyzes the controversial issues of intra-group transactions based on several judicial cases, and then discusses the operational deficiencies of financial institutions and flaws of law and regulations. Finally, summarizes the said issues and propositions about related party transactions of financial institutions.