O presente trabalho busca avaliar os efeitos da liberalização financeira externa da economia brasileira sobre variáveis macroeconômicas como oferta de crédito ao setor privado, produto nominal, reservas internacionais, risco-país, taxa de juros e volatilidade cambial, no decorrer do período que vai de 1995 a 2014, por meio da estimação de dois modelos econométricos assentados em Vetores Autorregressivos: o primeiro com Mudanças Markovianas de Regime (MS-VAR), e o segundo com correção de erros vetorial (VEC). Além disso, realiza revisão da literatura teórica e empírica acerca da liberalização financeira externa e seus desdobramentos; apresenta os indicadores de abertura (ICC) - presente nos trabalhos de Cardoso e Goldfajn (1998), Soihet (2002), Laan (2007) e Cunha e Laan (2013), dentre outros - e de integração financeira (IIF); e expõe a história do processo brasileiro de liberalização financeira. No que tange aos resultados, ambas as metodologias econométricas apontam que: uma reversão do ciclo financeiro global impacta negativamente as duas dimensões da liberalização financeira externa da economia brasileira; um avanço da desregulamentação não gera efeitos significativos, o que contrasta com a posição favorável à plena conversibilidade da conta capital e financeira, defendida por Arida (2003a, 2003b, 2004); um aumento no grau de integração financeira engendra desdobramentos macroeconômicos problemáticos. No que tange ao modelo MS-VAR, sublinha-se que as consequências de um choque liberalizante são mais profundas em momentos de reversão do ciclo financeiro global, bem como que a endogeneidade dos controles, nos termos de Cardoso e Goldfajn (1998), é contingente à fase vigente do ciclo financeiro global. Quanto ao modelo VEC, destaca-se a precedência, no sentido de Granger, da variação da volatilidade financeira internacional frente à variação grau de integração financeira da economia brasileira, e deste frente à variação do risco-país. Conclui que, se não é possível descartar os benefícios da abertura financeira, há que se redobrar a atenção frente a seus riscos, considerando também as consequências negativas em termos de grau de integração financeira e a influência do ciclo financeiro global. / This study aims to evaluate the external financial liberalization of the Brazilian economy on macroeconomic variables such as country risk, credit supply to the private sector, exchange rate volatility, interest rate, international reserves and nominal product, during the period from 1995 to 2014, by estimating two Vectors Autoregressive econometric models: the first with Markov-Switching (MS-VAR), and the second with Vector Error-Correction (VEC). In addition, this study aimed to: conduct a review of theoretical and empirical literature about external financial liberalization and its consequences; present financial opening index (ICC) - present in the work of Cardoso and Goldfajn (1998), Soihet (2002), Laan (2007) and Cunha and Laan (2013), among others - and financial integration index (IIF); and exposing the history of Brazilian process of financial liberalization. With respect to the results, both econometric methodologies show that: a reversal of the global financial cycle adversely impacts the two dimensions of external financial liberalization of the Brazilian economy; an advance of deregulation does not generate significant effects, in contrast to the position in favor of capital account full convertibility, advocated by Arida (2003a, 2003b, 2004); an increase in financial integration creates problematic macroeconomic developments. Regarding the MS-VAR model, it points out that the consequences of a liberalizing shock are deeper in times of reversal of global financial cycle and that the endogeneity of capital controls, from Cardoso and Goldfajn (1998), is contingent on current phase of the global financial cycle. Regarding the VEC model, there is precedence, in Granger terms, of the international financial volatility variation over the Brazilian economy financial degree variation, and from it to country risk variation. It is concluded that if it cannot be dismissed the benefits of financial openness, we must exercise caution against its risks, also considering the negative consequences in terms of financial integration degree and the influence of global financial cycle.

The goal of this thesis is to study the international portfolio choices of countries in an asymmetric world. In practice, this corresponds to the salient facts of country portfolios and the underlying structural asymmetries between developing and developed countries in a financially integrated world. In the three main chapters of the thesis, frameworks are developed to advance our understanding of the way various country asymmetries contribute to the emergence of these persistent phenomena in international capital markets. The first essay studies the question of why developing countries experience net equity inflows and bond outflows while developed countries experience net equity outflows and bond inflows, the so-called ‘two-way capital flows'. The analysis is based on an open-economy New Keynesian model of endogenous country portfolios with representative agents in each country. The model is so general that it allows one to perform an assessment of the roles of a long list of country asymmetries in determining the pattern of two-way capital flows. While steady-state net country portfolios are zero in the first essay, the second and third essays consider the situations where this is not true. The second essay presents an OLG model of an endowment economy with a country asymmetry in households' patience. Global imbalances in net positions emerge. Gross portfolio positions are obtained as the sum of standard self-hedging and, moreover, the hedging due to external imbalances. The valuation effects of external adjustments between creditor and debtor countries are rationalized. By introducing non-tradable risks, the third essay models a production OLG economy with a country asymmetry in wealth division. Global imbalances in net positions again arise. Gross portfolio positions are composed of self-hedging, hedging of non-tradable income and hedging of external interest payments, which accounts for the reality of asymmetric asset home bias, i.e. although assets are locally biased everywhere, the pattern is more pronounced in creditor countries.

Orientador: Daniela Magalhães Prates / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-12T19:42:53Z (GMT). No. of bitstreams: 1 Damasceno_AderbalOliveira_D.pdf: 5041435 bytes, checksum: e63ee07c5fdd4f1fe401b36016f53f0f (MD5) Previous issue date: 2008 / Resumo: O objetivo desta Tese é realizar uma análise crítica da abordagem convencional acerca das relações entre Integração Financeira Internacional, fluxos internacionais de capitais e crescimento econômico nas economias nacionais. Pretende-se responder às seguintes questões: existe consenso relativo aos fundamentos teóricos suficiente para fundamentar a hipótese de que a Integração Financeira Internacional e os fluxos internacionais de capitais estimulam o crescimento econômico? As evidências empíricas corroboram a hipótese de que a Integração Financeira Internacional e os fluxos internacionais de capitais estimulam o crescimento econômico? A análise da literatura teórica, realizada no Capítulo 1, explicita a ausência de consenso teórico e a fragilidade dos fundamentos teóricos quanto à hipótese de que a Integração Financeira Internacional e os fluxos internacionais de capitais estimulam o crescimento econômico. A análise da literatura empírica, realizada no Capítulo 2, mostra que as evidências existentes não são suficientes para corroborarem a hipótese de que a Integração Financeira Internacional e os fluxos internacionais de capitais estimulam o crescimento econômico. Por fim, no Capítulo 3, faz-se uma ampla investigação econométrica acerca das relações entre Integração Financeira Internacional, fluxos internacionais de capitais e crescimento econômico para uma amostra de países representativa da economia global e uma amostra de países em desenvolvimento. As evidências econométricas apresentam um padrão claro: i) não há evidências de que a Integração Financeira Internacional e a importação líquida de capitais estimulam a taxa de convergência condicional; ii) não há evidências de que a Integração Financeira Internacional estimula o crescimento de longo prazo do PIB per capita, mesmo em países com alto nível de desenvolvimento institucional, alto nível de desenvolvimento financeiro, alto nível de abertura comercial e ambiente macroeconômico estável; iii) não há evidências de que fluxos internacionais de capitais estimulam o crescimento de longo prazo do PIB per capita, mesmo em países com alto nível de desenvolvimento institucional, alto nível de desenvolvimento financeiro, alto nível de abertura comercial, alto estoque de capital humano e ambiente macroeconômico estável. / Abstract: The goal of this dissertation is to develop a critical analysis of the conventional approach regarding the relationship between International Financial Integration, International Capital Flows and Economic growth for national economies. The idea is to provide answers to the following questions: is there sufficient consensus relative to theoretical fundaments to sustain the hypothesis that the International Financial Integration and international capital flows stimulate economic growth? Empirical evidence corroborate the hypothesis that International Financial Integration and international capital flows foster economic growth? The theoretical literature analysis developed in Chapter 1 clarifies the absence of a theoretical consensus and the fragility of theoretical fundaments regarding the hypothesis that International Financial Integration and international capital flows foster economic growth. The empirical literature analysis developed in Chapter 2 reveals that the existing evidences are not sufficient to corroborate the hypothesis that International Financial Integration and international capital flows stimulate economic growth. Finally, on Chapter 3 develops a wide econometric investigation on the relationships between International Financial Integration, international capital flows and economic growth for a sample of countries that are representative of the global economy and a sample of developing countries. The econometric evidence reveals a clear pattern: i) there is no evidence that International Financial Integration and net import of capitals foster the conditional convergence rate; ii) there is no evidence that International Financial Integration stimulate the long run per capita GDP growth, even for countries with high levels of institutional and financial development, trade openness and stable macroeconomic environment; iii) there is no evidence that international capital flows stimulate the long run per capita GDP growth, even for countries with high levels of institutional and financial development, trade openness, human capital stock and stable macroeconomic environment. / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

A redução da pobreza é um problema amplamente discutido no mundo. Por meio do crescimento econômico, os países podem melhorar seu padrão de vida e alcançar maiores níveis de desenvolvimento. Com a abertura promovida no contexto da globalização, houve aumento no fluxo de bens e capitais externos para os países em desenvolvimento, favorecendo seu crescimento econômico. Este trabalho buscou identificar relações de causalidade entre fluxos externos, crescimento e desenvolvimento econômico. Foram utilizados indicadores trimestrais e anuais sugeridos na revisão teórica. Os dados trimestrais foram utilizados para construir um modelo de auto-regressão vetorial (VAR), que verificou relações de causalidade entre as variáveis. Os dados anuais foram utilizados para a análise de regressão. Os resultados sugerem que o crescimento econômico apresenta relações de causalidade com investimento interno, poupança, abertura econômica e produtividade. A produtividade, por sua vez, é influenciada pelo capital humano, investimento estrangeiro direto e progresso tecnológico. O desenvolvimento econômico apresentou relações de causalidade com educação e renda (aumento e distribuição de renda). / The poverty reduction is widely discussed around the world. Through the economic growth, the countries can improve their pattern of life and reach high levels of development. The commercial overture promoted by globalization increased the international flows of capital and goods into developing countries and promoted economic growth. This study, tried to identify causality relation among international flows, development and economic growth. Quarterly and annual indicators were used as suggested in the theorist revision. The quarterly data were used to built a vector auto regression model (VAR) to verify causality relation among the variables. The annual data were used to the regression analysis. The results suggest that the economic growth has causality relations with internal investment, savings, economic opening and productivity. The productivity is influenced by human capital, external direct investment and technological progress. The development has causality relations with education and income (increase and distribution).

Orientador: Daniela Magalhães Prates / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-25T03:18:03Z (GMT). No. of bitstreams: 1 Weiss_MauricioAndrade_D.pdf: 3099937 bytes, checksum: f12ba1741353723f160b9105d03c2349 (MD5) Previous issue date: 2014 / Resumo: Uma das características fundamentais da dinâmica das finanças internacionais no contexto de globalização financeira é a volatilidade dos fluxos de capitais. Essa volatilidade é decorrente da dominância da lógica financeira sobre a produtiva no capitalismo contemporâneo e das atuais características do sistema monetário internacional (SMI). Em períodos de elevado apetite pelo risco, os fluxos de capitais tendem a elevar sua participação nos países em desesnvolvimento. Já nos momentos de elevada preferência por liquidez, esses fluxos migram para os países desenvolvidos, principalmente para os Estados Unidos. Esta tese pretende dar uma contribuição à literatura empírica sobre os determinantes dos fluxos de capitais aos países em desenvolvimento por meio de um modelo econométrico de dados em painel com a utilização de diferentes métodos: mínimos quadrados ordinários (Ordinary Least Squares), efeitos fixos (fixed effects), efeitos aleatórios (random effects), primeira diferença (first difference) e método dos momentos generalizados (Generalized method of moments). Os resultados obtidos contribuíram com os estudos anteriores que apontaram para um predomínio dos fatores externos sobre os internos na determinação dos fluxos de capitais. Merece destaque o indicador de volatilidade VIX CBOE, o qual se mostrou significativo e com sinal esperado nas quinze equações testadas / Abstract: One of the key features of the dynamics of international finance in the context of financial globalization is the volatility of capital flows. This volatility is due to the dominance of the financial over the productive logic of contemporary capitalism and the current characteristics of the international monetary system (IMS). In periods of high risk appetite, capital flows tend to raise its share in developing countries. But in the periods of high liquidity preference, these flows migrate to developed countries, mainly to the United States. This thesis aims to give a contribution to the empirical literature on the determinants of capital flows to developing countries using an econometric panel data model with the use of different methods: ordinary least squares, fixed effects, random effects, first difference and generalized method of moments. The results contributed to earlier studies that showed a predominance of external factors over internal ones in determining capital flows. Also noteworthy is the CBOE VIX volatility indicator, which showed significant and with the expected sign on the fifteen tested equations / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

Orientador: Plínio Soares de Arruda Sampaio Junior / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-20T05:48:40Z (GMT). No. of bitstreams: 1 Machado_FernandoD'Angelo_M.pdf: 2906717 bytes, checksum: a9f37eb236f61a8da8c8765bcd3fea25 (MD5) Previous issue date: 2011 / Resumo: O objetivo da dissertação é avaliar a mudança quantitativa e qualitativa no grau de vulnerabilidade externa do balanço de pagamentos do Brasil a crises de fuga de capital de 1990 a 2010, tendo em vista a maior facilidade de movimentação e transferência dos estoques de riqueza do país. Tal mudança está associada à forma de integração da economia ao mercado externo e às reformas neoliberais, que acarretaram em uma maior integração do Brasil no mercado financeiro internacional e nos fluxos de investimento direto. A maior mobilidade dos capitais, produtivos e financeiros, alterou o perfil e o comportamento do capital internacional, o que está refletido na maior volubilidade do passivo externo e, em alguma medida, do estoque interno de riqueza. Levando em consideração as profundas mudanças no capitalismo contemporâneo, o estudo passa pelas transformações estruturais da economia e pelas mudanças que alteraram seu grau de abertura financeira e, assim, elevaram o potencial de saída dos estoques de riqueza do país, com sérias consequências sobre a dependência financeira do país / Abstract: This dissertation aims to examine the quantitative and qualitative changes in the Brazilian balance of payments? vulnerability degree to capital flight crisis, from 1990 to 2010, related to the greater facility of transferring wealth stocks. These changes are associated to the implementation of neoliberal reforms and to the financial opening and integration of national economy to foreign markets, which resulted in a higher degree of international integration in Brazil. The higher capital mobility, either productive or financial, changed international capital profile and behavior, what is reflected in the increased volatility of foreign liabilities and, to some extent, of domestic stock of wealth. Considering the profound changes in the contemporary capitalism, the work deals with economic structural changes and with the alterations in the degree of external financial liberalization, which increased capital flights risk, with serious impacts over financial dependence / Mestrado / Ciências Economicas / Mestre em Ciências Econômicas

This study provides an empirical analysis of Shadow banking as a factor influencing cross- border financial flows. It builds upon emerging literature on Shadow banking and empirical literature on global imbalances and global financial flows. The aim of the thesis is to test three hypotheses, which relate global financial flows to lending, change in cross-border bank liabilities, and shadow banking, respectively. The second and third hypotheses are tested on gross capital flows, which, in contrast to net flows, better reflect financing activities. The results suggest that Shadow banking activities are related to higher gross capital flows in periods, when this sector is growing. These flows, however, tend to dry up when Shadow banking activities level off or decline. Among other important factors is the output growth differential and global risk aversion. JEL Classification E44, G20, G23, F32, F34, F21, F65 Keywords Shadow Banking, Global Imbalances, Capital Flows, Financial Stability Author's e-mail tomas.vaclavicek@gmail.com Supervisor's e-mail petr.teply@fsv.cuni.cz

The aim of this master thesis is to analyze the development of capital flows within the euro area and within selected Member States, with respect to the hypothesis of a sufficient replacement of private capital flows with official ones. Verification of the hypothesis is based on identifying sudden changes in capital flows, using the model created by Mr.Forbes and Mr.Warnock. The entire work is conceived into three main chapters. The first is dedicated to the development of the crisis in the euro area and the adoption of important reform measures as response to the resulting unfavorable situation. The second chapter deals with the definition of net and gross capital flows and their development in the so-called extra-area flows. The final section is focused on the analysis of intra-area capital flows and flows in selected member countries.

Foreign direct investment has been sharply affected by the global SARS-CoV-19 pandemic, as quarantine measures have decimated global trade, aviation and domestic economies through lockdowns which have wreaked havoc on markets. Macroeconomic indicators including GDP growth rates, unemployment, business confidence, consumer confidence, retail sales and inflation have all been negatively affected due to the simultaneous supply & demand shock caused by the pandemic. Economic crises are a regularly occurring feature, with a degree of cyclicality determining their emergence. The uniqueness of crises, in their appearance and dissipation, stems from a large variance in relevant macroeconomic, fundamental and societal factors giving rise to the crisis in the first place, with the uniqueness being bound and pertinent to a selected period of time in history under which they occurred. In this thesis we explored the impact of the two most significant economic crises of the 21st century, the Great Recession and the ongoing SARS-CoV-19 pandemic and their impact on capital flows, specifically on FDI-flows in two developed markets and two emerging markets. Our findings suggest that FDI-flows display a high synchronicity with stages of economic cycles, and tend to decrease during economic recessions and increase during economic expansions.

Objectives: This work investigates the role for the content of print news media in determining asset prices and capital flows in a small open economy (South Africa). Specifically, it examines how much of the daily variation in stock prices, bond prices, trading volume and capital flows can be explained by phrases in the print news media. Furthermore, this work links such evidence to the existing theoretical and empirical literature. Methods: This work employs natural language processing techniques for counting words and phrases within articles published in national newspapers. Variance decompositions of the resulting word and phrase counts summarise the information extracted from national newspapers in this way. Following previous studies of the United States, least squares regression relates stock returns to single positive or negative 'sentiment' factors. New in this study, support vector regression relates South African stock returns, bond returns and capital flows to the high-dimensional word and phrase counts from national newspapers. Results: I find that domestic asset prices and capital flows between residents and non-residents reflect the content of domestic print news media. In particular, I find that the contents of national newspapers can predict 9 percent of the variation in daily stock returns one day ahead and 7 percent of the variation in the daily excess return of long-term bonds over short-term bonds three days ahead. This predictability in stocks and bonds coincides with predictability of the content of domestic print news media for net equity and debt portfolio capital inflows, suggesting that the domestic print news media affects foreign residents' demand for domestic assets. Moreover, predictability of domestic print news media for near future stock returns is driven by emotive language, suggesting a role for 'sentiment', while such predictability for stock returns further ahead and the premium on long-term bonds is driven by non-emotive language, suggesting a role for other media factors in determining asset prices. These results do not seem to reflect a purely historical phenomenon, finite-sample biases, reverse causality, serial correlation, volatility or day-of-the-week effects. The results support models where foreign agents' short-run beliefs or preferences respond to the content of domestic print news media heterogeneously from those of domestic agents, while becoming more homogeneous in the medium term.