No description available.

Thesis advisor: Fabio Ghironi / Chapter 1: Foreign Direct Investment and Contract Enforcement Many developing countries are financially constrained and therefore have to rely on international capital flows to finance economic activity. Empirical evidence shows that Foreign Direct Investment (FDI) as a percentage of total capital flows is higher for less developed countries compared to more developed countries. This chapteruses a dynamic contracting model with human capital to explain why less developed countries receive a greater percentage of capital flows as FDI. I analytically show that countries that are financially constrained have a higher share of FDI in total capital flows, and that the share of FDI in total capital flows is increasing in human capital flows. In addition, the positive association between the share of FDI in total capital flows and human capital flows is decreasing in the degree of financial constraints. I construct a measure of intangible assets of FDI and find empirical support for the analytical results. Chapter 2: Trade Liberalization, Firm Heterogeneity, and Unemployment: An Empirical Investigation This chapter is a joint work with Yoto V. Yotov. We provide empirical evidence for the interaction between firm-level total factor productivity and trade liberalization as key determinants of firm-level job destruction caused by trade. Employing US firm-level data, we find strong empirical support for the following: a) All else equal, a one percent increase in total factor firm productivity decreases trade-induced layoffs by 32%; b) An additional percent of trade liberalization increases the number of firm-level trade-induced layoffs by 2%; c) Trade liberalization results in an increase in the minimum level of productivity required for domestic production; d) Trade liberalization lowers the minimum productivity threshold required for exporting; e) The increase due to trade liberalization in the minimum productivity threshold for domestic production is larger than the absolute decrease in the export productivity threshold. Chapter 3: Do Audit Fees Influence Credit Risk and Asymmetric Information Problems? Evidence from the Syndicated Loan Market This chapter is a joint work with Lewis W. Gaul. We examine whether an increase in the demand for auditing services is associated with a decrease in borrowers' credit risk and asymmetric information problems in the syndicated loan market. In the syndicated loan market, potential accounting errors exacerbate credit risk and asymmetric information problems. The purpose of financial statement audits is to provide reasonable assurance that accounting records are free from material errors. We hypothesize that if audit fees face an upward sloping supply curve for auditing services, an increase in the demand for auditing services increases both the equilibrium price and quantity of auditing services purchased. We interpret the equilibrium quantity of auditing services as the number of auditing hours billed and the price of auditing services as the hourly fee. We assert that an increase in the quantity of auditing services purchased reduces the likelihood of an accounting error because auditors exert more effort verifying the accuracy of accounting records. We present empirical evidence that a demand-induced increase in audit fees is associated with syndicated loans with lower interest rate spreads and shorter maturity lengths, which we interpret as evidence consistent with the assertion that these audit fee increases reduce credit-risk and asymmetric information problems. We empirically identify an increase in the demand for auditing services with instrumental variables that are intended to capture shifts in the demand curve for auditing services, rather than shifts in the supply curve for auditing services. In addition, we find that audit fees are positively associated with the number of lenders in loan syndicates, but are unable to attribute this association to an increase in the demand for auditing services. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Esta tesis doctoral consiste en tres ensayos independientes sobre Macroeconomía y Crecimiento Económico.Ensayo 1. "Technological Transfers, Limited Commitment and Growth"Las evidencias muestran que hay sustanciales flujos de capital de países ricos hacia países pobres, aunque no son tan abundantes como sugieren las diferencias en tasas de rendimiento. Esos flujos son pro-cíclicos: abundantes en tiempos de bonanza y escasos en los malos tiempos. Los modelos de crecimiento convencional afrontan ciertas dificultades para explicar estos hechos. En este estudio, proponemos un modelo dinámico de flujos de capital hacia países en desarrollo que es cualitativamente consistente con regularidades empíricas. El modelo está basado en tres premisas principales: i) los contratos de préstamo internacional son imperfectamente ejecutables; ii) el acceso a los mercados financieros internacionales está relacionado con transferencias tecnológicas a un país en desarrollo del resto del mundo; iii) algunos de los beneficios tecnológicos asociados al acceso a la financiación externa son perecederos. Nuestras conclusiones sugieren que las transferencias tecnológicas pueden desempeñar el papel de mecanismo que hace cumplir las obligaciones contractuales.Essay 2. "A Note on Computing Partial Derivatives of the Value Function by Simulation"Los problemas que contienen restricciones de compatibilidad de incentivos han recibido una amplia atención en la literatura debido a los recientes avances en optimización dinámica. Frecuentemente las condiciones de optimalidad para este tipo de problemas contienen derivadas parciales de la función de valor (value function) con respecto a algunas variables de estado endógenas. En este trabajo proponemos un algoritmo para calcular estas derivadas parciales por simulación. Essay 3. "Institutions and Growth: Some Evidence from Estimation Methods Partially Robust to Weak Instruments"Este estudio se centra en la estrategia empírica propuesto por Hall y Jones (1999) para estimar el efecto de lo que ellos denominan "infraestructura social" sobre la productividad de los países. Nosotros intentamos responder la crítica de Acemoglu et al (2001) a esta metodología por basarse en instrumentos geográficos. Para ello consideramos el problema de identificación débil en los modelos de variables instrumentales de Hall y Jones (1999). La evidencia obtenida de los estimadores parcialmente robustos como k-class y jackknife está interpretada en base a los estudios de Monte Carlo. Podemos concluir que el uso de algunos estimadores k-class permite utilizar variables lingüísticas para instrumentar la calidad institucional a pesar de su baja correlación con el regresor endógeno en cuestión. / This doctoral thesis consists of three self-contained essays in Macroeconomics and Economic Growth.Essay 1. "Technological Transfers, Limited Commitment and Growth"Evidence shows that there are substantial rich-to-poor international capital flows although not as abundant as differences in rates of return would suggest. These flows are procylcical: abundant in good times and scarce in bad times. They have been reported to promote growth and stability in some countries, but merely to augment instability in the others. Conventional growth models face certain difficulties in accounting for this pattern. In this paper, we propose a dynamic model of capital flows to developing countries which is qualitatively consistent with these empirical regularities. The model is based on three main premises: i) international lending contracts are imperfectly enforceable; ii) access to the international financial markets results in technological transfers to a developing country from the rest of the world; iii) some of the productivity gains associated with the access to external financing are perishable. We solve for transitional dynamics of the model economy with endogenously incomplete markets and compare the results with the solutions obtained from the perfect risk-sharing and autarkic environments. In addition, we examine the implications of alternative assumptions about the severity of the repudiation punishment for growth, welfare and borrowing patterns. Our findings suggest that technological transfers may play a role of an important enforcement mechanism. In our framework, existence of substantial rich-to-poor capital flows is not inconsistent with the presence of default risk.Essay 2. "A Note on Computing Partial Derivatives of the Value Function by Simulation"The problems involving incentive compatibility constraints in the form of dynamic participation constrains have received wide attention in the literature due to the recent advances in dynamic optimization techniques. Often the optimality conditions for this class of problems involve partial derivatives of the value function with respect to some of the endogenous state variables. In this paper we suggest an algorithm for computing these partial derivatives by simulation. The attractive features of the algorithm include its rather wide scope of applicability and simplicity of implementation. Furthermore, the suggested method does not suffer from the curse of dimensionality and therefore it is particularly convenient for the models involving many state variables.Essay 3. "Institutions and Growth: Some Evidence from Estimation Methods Partially Robust to Weak Instruments"This paper focuses on the empirical approach proposed by Hall and Jones (1999) to estimate the effect of what they call "social infrastructure" on productivity across countries. We attempt to address the criticism of Acemoglu et al (2001) directed towards this methodology for relying on the geographical instruments. To do so we consider the issue of weak identification in the linear instrumental variables model of Hall and Jones (1999). The evidence obtained from the partially robust estimators like the k-class and jackknife estimators is interpreted on the basis of the Monte Carlo studies. Our findings suggest that using some of the k-class estimators allows exclusive reliance on the linguistic variables to instrument for institutional quality despite their low correlation with the endogenous regressor in question.

No description available.

Seminario para optar al título de Ingeniero Comercial, Mención Economía / Autor no autoriza el acceso a texto completo de su documento / Este trabajo analiza los determinantes de eventos extremos en ujos de capitales bru- tos. En particular, se focaliza en el rol del stock de activos internacionales, la apertura nanciera, el r egimen cambiario y la acumulaci on de reservas, en la ocurrencia de una fuerte entrada (surges) o signi cativa contracci on (stops) en in ujos de capitales. Adem as, el trabajo estudia la in uencia de estas variables en eventos compensatorios por parte de los inversionistas residentes, es decir, un fuerte aumento de las salidas de los ujos brutos dado una fuerte entrada de in ujos de capitales ( ight en periodos de surges) o una fuerte reducci on de la salida de ujos brutos (retrenchment) dado a caidas abruptas por el lado de los in ujos de capitales (retrenchment en periodos de stops). Para realizar lo anterior, en las estimaciones se utilizan modelos de logit multinomial. Los resul- tados sugieren que factores globales (factores push), en especial el riesgo global, son signi cativos a la hora de estudiar los in ujos de capitales. Por otro lado, para los eventos compensatorios son m as relevantes los factores internos de cada pa s (factores pull), en los cuales el stocks de activos internacionales cumple un rol fundamental. / This paper analyzes the determinants of extreme events in gross capital ows. In particular, it focuses on the role of stock of international assets, nancial openness, exchange rate and reserves accumulation in the occurrence of extreme capital in ows events (stops and surges) and their in uence in joint compensation events (retrenchment given stops and ight given surges). For this purpose, this work estimates multinomial logit models. The results sug- gest that global factors (push factors), in particular, global risk, are signi cantly associated with extreme capital in ow episodes. On the other hand, country speci c factors (pull factors) are relevant for compensatory events, in particular, for the stock of international assets.

Orientador: Luiz Gonzaga de Mello Belluzzo / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-07T08:19:22Z (GMT). No. of bitstreams: 1 Silva_LucianaAciolyda_D.pdf: 40352190 bytes, checksum: 3dfeabd8a11a3e6c3cc5645b29dbe2b6 (MD5) Previous issue date: 2004 / Resumo: A tendência do investimento direto externo entre o pós-guerra e início dos anos oitenta foi de expandir o investimento de natureza produtiva, sobretudo na indústria manufatureira, e permitir a generalização da Segunda Revolução Industrial em muitos países da periferia, devido a sua distribuição espacial mais abrangente. No entanto-, os investimentos diretos nos últimos 20 anos têm se caracterizado pela predominância das operações de fusões e aquisições de empresas - acompanhadas de uma grande expansão do investimento de portfólio e da formação de megacorporações -, por sua menor abrangência espacial e por seu direcionamento majoritariamente ao setor de serviços. Apesar do atual ciclo de investimentos mundiais apresentar estas características, isso não foi algo absoluto, inexorável, como demonstram os casos da China e a índia que além de receberem montantes crescentes de IDE conseguiram se beneficiar dessa nova onda de capital externo. A presente tese procura traçar uma comparação entre as inserções do Brasil, China e índia nos fluxos globais de investimentos diretos externos nos anos noventa, discutindo em que medida os fatores internos ligados ao quadro institucional de cada um desses países os inseriu de modo diferenciado na globalização. Observa-se que a natureza e direção que assumem os investimentos diretos num determinado país dependem do tipo de reforma que implementou e de como esse país promoveu a abertura de sua economia. Em outras palavras, a configuração que assumiu o tDE no Brasil, China e índia foi resultado da interação existente entre as estratégias globais de concorrência das TNCs de acessar mercados e os quadros institucionais montados por cada um desses países para receber o capital estrangeiro, os quais procuraram mais ou menos inibir o componente patrimonial e especulativo desses investimentos. O texto que se segue encontra-se dividido em uma introdução, 3 capítulos e uma conclusão. O primeiro capítulo terá o caráter de uma resenha onde é apresentada uma síntese da literatura sobre a lógica de expansão da grande empresa capitalista. O segundo apresenta um estudo empírico das principais tendências dos fluxos globais de investimento direto externo, em termos de sua evolução, composição e distribuição espacial e setorial, desde os anos 80. O terceiro capítulo procura identificar as configurações assumidas pelo investimento direto externo no Brasil, na China e na índia, e descreve em linhas gerais as orientações das políticas de abertura e reformas adotadas por cada um desses países e as mudanças que introduziram em seus quadros regulatórios para receber os investimentos externos. Na conclusão busca-se uma síntese das principais idéias abordadas ao longo do texto / Abstract: Not informed. / Doutorado / Historia Economica / Doutor em Economia Aplicada

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2015. / e period 2000:q1 – 2014:q3 in South Africa. In addition, the paper examines the impact that the exchange rate volatility exerts on the different forms of capital flows. Consequently, the aim of the study is to examine whether the volatility in the exchange rate is a significant determinant of foreign investor capital into South African markets as well as to empirically establish the dynamic relationship that can be observed between capital flows and exchange rate volatility. A trade weighted exchange rate was constructed from which the conditional variance GARCH (1,1) model is applied to estimate exchange rate volatility. The findings from the multiple regression analysis reveal that exchange rate volatility has a statistically significant negative impact on the aggregated capital flows to South Africa. Using the bi-variate vector autoregressions (VARs), the Granger-causality test, impulse response and variance decomposition, the results show there is a dynamic interrelationship between exchange rate volatility and the aggregated and disaggregated capital flows. Furthermore, the VAR specifications results reveal that portfolio flows exhibits a strong bi-directional causality with exchange rate volatility as well as explaining a significant percentage of innovations in exchange rate volatility. This suggests that fluctuations in the exchange rate can be explained by portfolio flows into South Africa’s capital markets. The recommendations for authorities resulting from the findings include, a monetary policy that mitigates the rand exchange rate volatility in an effort to attenuate the adverse subduing effects it has on capital flows in South Africa. Further broadening financial instruments and derivatives available for investors to hedge against exchange rate volatility and a meticulous management of portfolio flows is imperative to ensure prevention of its destabilizing effect on the exchange rate.

Our essay focuses on short-term capital inflows and their effects on China’s economy.The reason for this work was the increasing vulnerability of China’s economy and the risk of newupcoming world financial crisis, all because of uncontrollable amounts of speculative capitalflows. Because of this problem, we raised a main question that we try to answer in this essayhowto reduce the possibility and the severity of the future financial crisis in China? In order tosolve this problem, first we searched for the existing theory of capital flows, mainly short-termcapital inflows. We analysed why investors choose capital flows and some specific countries,why it is profitable, but also risky and what could be done by countries, to stop these inflows orat least to diminish their effect on domestic markets. After that, we looked for past experiencesof countries faced with surges of capital flows and their measures for controlling them, weanalysed, if the theoretical tools were actually effective in reality. To finish the model, weapplied these measures to China’s economy and gave our viewpoint on what could be changedin order to avoid the dangers of short-term capital inflows. Last, we sum up the whole essay andsuggest the best mix of measures that China could use to control capital inflows as well as theireffects on the economy.

Tesis para optar al grado de Magíster en Finanzas / This paper investigates the e ect of capital ows shocks such as Sudden Stops on industry level data and how the di erent sources of external nance can imply di erent outcomes.

This research examines the role of Private Capital Flows (PCF) and Financial Deepening in the economic growth of South Africa. Using secondary data obtained from the South African Reserve Bank and the World Bank online databases for the period 1990 to 2015, we examine the relationship between these three variables using the Autoregressive Distributed Lag (ARDL) bounds testing procedure. The causal relationship between the variables is further investigated using the Granger Causality test. Where previous studies mainly focus on investigating the relationship between capital flows and economic growth; and that of financial deepening and economic growth in South Africa independently; this study looks at the interrelationship between these three variables. Contrary to our expectations, the findings from the research suggest that there is no significant long run relationship between these variables in South Africa; however we found significant unidirectional short run causal relationships between the variables. The study established that in the short run, economic growth granger causes private capital flows; financial deepening granger causes private capital flows and that economic growth granger causes financial deepening. These findings imply that putting in place policies that encourage economic growth will lead to improvements in both PCF and financial deepening in the short run. In turn, improvements in financial deepening will also foster improvements in PCF in the short run. The results, policy implications, and future research are discussed.