With the years ahead promising few certainties, limited growth and challenges from every direction to the investment assumptions of old, commercial real estate is taking on new relevance. Both listed and unlisted commercial real estate investments have come of age. This thesis will look at the opportunities which direct property and REITs offer to investors, and consider the wide-ranging contribution the sector makes to society and the entire economy. The dissertation consists of a general introduction and three independent but relevant chapters to deeply analyze the Spanish and the Chinese cross-border real estate investment issues from diversified perspectives. The thesis involves both listed and unlisted real estate questions that are unexplained well in existing literature yet. The general introduction broadly presents a big picture of the globe, the Spanish, and the Chinese real estate investment environments and status, respectively. Also, the research background and significance, as well as the theoretical foundation for this study and methodologies adopted for each chapter are lined out here. Chapter 1 aims to figure out those potential determinants for international capital flow towards the Spanish unlisted real estate and construction sectors. By applying the Stock-adjustment model developed by William H. Branson in 1968, and via the Vector Autoregression (VAR), Vector Error Correction Model (VECM), as well as the Pooled Engle and Granger Least Square (Pooled-EGLS) regression method, the empirical results demonstrated that the Spanish GDP growth rate, the M3 money supply, housing prices, country risk, as well as interest rates have a strong correlation with foreign real estate capital flow towards the Spanish property sector. Besides, cross-border capital flows into the Spanish construction sector is also estimated by utilizing the same indicators for real estate study. But less evidence is found through the same pattern. Chapter 2 focuses on the analyses of risk and returns relationship far the Spanish REITs. The celebrated Fama and French Three-Factor (FF3) model developed by Eugene Fama and Kenneth French in 1993 is applied in this case. Based on the Autoregressive Distributed Lag Model (ARDL), the results indicate that the Spanish REITs yields can be explained well by the Market, Size, and Value three standard Fama-French factors, which are in line with the previous research on common shares. By comparison purposes, the Carhart four factors model that expanded from the FF3 model also employed. However, the momentum indicator is not significant in this case. Chapter 3 analyzes what drivers that likely drive the Chinese real estate capital outflows to the main European cities. This article adopts the Gravity Model of trade to do the research, which has been extensively utilizing far FDI studies. Due to the zero-investment issue that exists during the sample period, the Heckman model is utilized to avoid the sample selection bias. Both Maximum Likelihood and Two-Step regression methods are run but paying attention to the results from the ML method. The first-step regression results indicating that push factors such as China's foreign exchange reserves and the Chinese government investment policy (Belt & Road lnitiative), as well as a set of pull factors including the host cities inflation, real estate transparency, housing prices index, and the total resident population, affecting the probability that China sends its real estate capital to the recipient cities. For the gravity model that corrected by the lnverse Mills Ration, the second-step regression results tell that only the Chinese GDP affects the real estate capital outflows in the destinations in this case.

There are four chapters in my dissertation. Chapter one gives a brief introduction of the three essays. Chapter two studies the choice of exchange rate regimes in East Asia using a business-cycle approach. My results suggest that countries in East Asia are driven mainly by country-specific shocks, making more rigid exchange rate regimes less desirable. Neither a yen bloc nor a dollar bloc has been identified in East Asia. However, Japan seems more influential to countries such as Korea and Taiwan. An optimum currency area does not seem feasible for East Asia, at least in the short run. Chapter three applies the cointegration and causality analyses to the real effective exchange rates to study the degree of monetary integration in East Asia. I find that the ASEAN and the NIE countries, respectively, have achieved some degree of integration, but not East Asia as a whole. The yen is found to move closely with the NIE currencies. However, neither the yen nor the dollar imposes a dominant driving force on the East Asian currencies. My results suggest that East Asia is not an optimum currency area. Chapter four expands the traditional monetary model of exchange rate determination into a structural VAR model incorporating various capital flows and the balance of trade in addition to the macroeconomic fundamentals. The model is then applied to the Australian dollar (AUD), the Canadian dollar (CAD), and the US dollar (USD) exchange rates over 19802004. I find that capital flows, especially portfolio investments, explain a major portion of the exchange rate fluctuations in the relatively small and open economies such as Australia and Canada in the short-to-medium run. The impacts of capital flows are limited to the US dollar exchange rates. Among the macroeconomic fundamentals, the interest rate plays an important role in exchange rate determination for all three currencies. The results imply that different capital flows do influence exchange rates differently and are important determinants of exchange rates.

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).

[pt] Apesar de existirem argumentos simples e usuais de que reservas seriam uma proteção em sudden stops, encontramos poucos trabalhos sobre esse assunto na literatura. O objetivo deste estudo é justamente tentar identificar e quantificar os reais benefícios (ou custos) de se ter reservas nesse tipo de crise. Iniciamos construindo um modelo que, ao contrário do usual, permite que o estoque de reservas impacte a dinâmica do fluxo de capital, via expectativas. Ele sugere que reservas reduzem a probabilidade de ocorrência da crise, mas que, uma vez iniciada, ela tende a ser mais forte. Pesquisamos, então, essas relações empiricamente, com um painel de países. Não encontramos efeito sobre a probabilidade de sudden stop, mas, de fato, as regressões sugerem que reservas tendem a acentuar a queda do fluxo de capital nas crises. Ainda assim, não encontramos evidência de que esse instrumento afete o custo do sudden stop (medido como queda no produto). / [en] Although there are simple and usual arguments claiming that reserves might offer protection at sudden stops, few papers about this subject are found in the literature. The goal of this study is to try to identify and quantify the real benefits (or costs) of having reserves at this kind of crisis. We begin with the construction of a model that, contrary to what is usually done, allows the stock of reserves to impact the dynamics of capital flows, through expectations. It suggests that reserves reduce the probability of occurrence of crisis, but, once it is starts, it tends to be stronger. We therefore study these relations empirically, with a panel of countries. We don´t find effects upon the probability of sudden stop, but, indeed, the regressions suggest that reserves tend to increase the fall in capital flows at crises. Nevertheless, we find no evidence that this instrument affects the cost of the sudden stop (measured by the product fall).

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2017-06-16T14:28:07Z No. of bitstreams: 1 Bernardo Baggio_.pdf: 416360 bytes, checksum: 14a4f642ac9d680221805c10bceda846 (MD5) / Made available in DSpace on 2017-06-16T14:28:07Z (GMT). No. of bitstreams: 1 Bernardo Baggio_.pdf: 416360 bytes, checksum: 14a4f642ac9d680221805c10bceda846 (MD5) Previous issue date: 2017-04-28 / UNISINOS - Universidade do Vale do Rio dos Sinos / Os fluxos de capitais globais estão associados tanto a benefícios quanto a malefícios de ordem econômica. Os investimentos de curto prazo em portfólio, em especial, por sua volatilidade intrínseca, ensejam um estudo a fim de analisar quais são os determinantes do seu ingresso em países suscetíveis a movimentos de capitais, como os países da América Latina, com destaque para o Brasil. A economia brasileira passou por crises domésticas e internacionais no período de 1999 a 2015, sofrendo com a forte volatilidade dos fluxos de capitais, gerando, assim, alterações na taxa de câmbio e nos ativos precificados em reais. Dessa forma, este trabalho tem como objetivo analisar quais são os determinantes do ingresso de capitais de curto prazo destinados à renda fixa e à renda variável no Brasil durante o período de estabilização econômica ocorrida no país. Por meio da aplicação do modelo VAR/VEC, a análise empírica sugere que o ingresso de capitais para ações esteja associado ao aumento nos preços das commodities, na elevação do próprio índice de ações, e, em menor intensidade, ao PIB e à inflação. Na renda fixa, o ingresso está associado ao aumento na taxa Selic. / Global capital flows are associated with economic benefits and ravages. Short-term portfolio investments, especially for its intrinsic volatility, lead to a study in order to analyze the determinants of their inflow into countries susceptible to these movements, such as the Latin Americans, specifically Brazil. Brazil’s economy experienced domestic and international crisis during 1999 to 2015, occurring a tough volatility on capital flows fathering changes in exchange rate and in assets priced in Brazilian real. With that said, the objective of this paper is to analyze the determinants of short-term capital inflows in fixed income and equities in Brazil during the period of economic stabilization. By applying the VAR/VEC model, the empirical analysis suggests that capital inflows into equities are associated to higher commodity prices and higher stock indexes, besides GDP and inflation in minor degree. When it comes to fixed income, the inflow is associated to the increase in the Selic rate.

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.

Magister Commercii - MCom / A possible effect of quantitative easing (QE) undertaken by the United States of America (USA) Federal Reserve Bank (Fed) may have been an increase in capital flowing into emerging market economies (EMEs). The 2008 global financial crisis created an environment in which traditional monetary policies – cutting policy rates – became ineffective in stimulating growth. Faced with this policy environment, several high-income countries including the USA resorted to unconventional monetary policies notably QE, to grow their economies. While QE was effective in lowering interest rates in high-income countries, some argued that investors switched to higher yielding assets, mostly EME assets. Therefore, QE is perceived to have increased capital flows into EMEs. Using a dynamic panel data model with fixed effects this mini-thesis investigates empirically whether QE worked through unobservable channels to increase gross private capital inflows to Brazil, Russia, India, China and South Africa (BRICS) in the period 2000-2015. The study finds evidence in support of the view that QE increased capital inflows to EMEs. The results reveal that gross private capital inflows to the BRICS increased during the QE intervention period and that the increase was higher in the first period of QE than in subsequent QE periods. The empirical results also reveal differences in the way types of capital flows responded to QE; portfolio flows, and in particular equity flows were the most responsive to QE.

This thesis provides a historical materialist policy analysis of the diversity of capital-account policies (CAPs) deployed in Brazil and South Africa over the period 2008-2014. Facing relatively similar patterns of cross-border money-capital movements and comparable financial challenges, these two emerging capitalist countries implemented radically different CAPs: while Brazil deployed a remarkable array of measures (capital controls on inflows, foreign exchange interventions, regulations of derivatives contracts, etc.), the policy response in South Africa was much more orthodox, and mainly characterised by the further liberalisation of outflows. The historical materialist policy analysis combines a variety of theoretical literatures (including historical materialism, financial and economic geography, and post-Keynesian economics) and research methods (qualitative research interviews, policy document analysis, and macroeconomic analysis). It examines the drivers of the CAP policy-making process in Brazil and South Africa in the light of (1) the social constitution and the class character of the capitalist state and money-capital, conceived of as particular 'moments' in the totality of capitalist social relations from which they are constituted; (2) the historical-geographical specificity of the Brazilian and South African capitalist development trajectory, (3) the unfolding of the broader social struggles of the working class, and (4) with specific reference to the highly uneven geographies of the contemporary global financial system. I claim that in both countries, post-crisis CAPs were not part of a political attempt at restructuring the state and altering class relations. By contrast, CAPs were instrumental in reproducing particular modes of managing class relations and accumulation in a changing international context, though in a precarious and temporary manner. Post-crisis CAPs involved the creation, enhancement, and adaptation of financial and monetary regulatory capacity (involving both drastic innovation and more subtle forms of change) to deepen the CAPs deployed in the previous decade, while coping with their (perceived) worst consequences: sustaining the historically-specific mode of mediating the global movement of money-capital in each country required the uneven re-articulation of state power. The thesis contributes to the literatures on the distinctively Marxian-inspired approaches to development, the uneven geographies of finance/financialisation, materialist state theory, and to the debates about more progressive forms of financial governance in emerging capitalist countries. It also shows the limits of the concept of 'policy space' as an analytical device, chiefly due to its almost complete blindness to class and to the active role of the working class in shaping policies. This results in difficulties in envisaging progressive policy alternatives, that is, policies that do not only aim at stabilising capital accumulation and facilitating the reproduction of key capitalist social forms in the short term.

Orientador: Antonio Carlos Macedo e Silva / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-12-17T12:09:27Z (GMT). No. of bitstreams: 1 Mazzi_CaioTorres_M.pdf: 2544919 bytes, checksum: 35405220fb3c10b12a04d8fcbe0628ba (MD5) Previous issue date: 2013 / Resumo: Este trabalho busca integrar dois importantes ramos da literatura pós-keynesiana: a chamada abordagem stock-flow consistent (SFC), cujas origens estão em trabalhos como Godley e Cripps (1983) e Godley (1997), entre outros; e a teoria do crescimento restrito pelo balanço de pagamentos (BPC), inaugurada no modelo seminal de Thirlwall (1979). Após uma breve revisão bibliográfica de ambas as literaturas, são construídas um modelo stock-flow consistent com crescimento e restrição externa. Utiliza-se o modelo para simular diferentes tipos de fluxos internacionais de capitais, que demonstram ter efeitos bastante distintos sobre a economia local / Abstract: The aim of this dissertation is the integration of two important branches of the Post Keynesian literature: the so called stock-flow consistent (SFC) approach, with origins that can be found in Godley and Cripps (1983) and Godley (1997), among others; and the theory of balance of payments constrained growth (BPC), initiated in the seminal model of Thirlwall (1979). After a brief review of both literatures, a stock-flow consistent model with growth and a balance of payments constraint is developed. The model is used to simulate international capital flows of various kinds, which demonstrate to have very different effects on the local economy / Mestrado / Ciências Economicas / Mestre em Ciências Econômicas

This research investigates the role of IFRS on investment, both at the macro level, studying cross-border foreign investment, and at the micro level, studying firm-level investment. The IFRS proponents argue it provides financial information not only comparable across different countries, but also of high quality, minimizing constraints and facilitating investment allocation efficiency. Divided into three different essays, this dissertation evaluates this proposition analyzing the role of IFRS in the interdependent dynamics of cross-country capital flows, in the sensitivity of foreign investment to global financial shocks in Latin America, and in the efficiency of firm-level capital allocation. The first essay studies the interaction between the attraction of capital flows among neighbor countries and their decision to adopt IFRS. Estimating a spatial autoregressive model I show that higher foreign direct investment inflows to a given country imply in higher inflows to its neighbors, and the adoption of IFRS reinforces this. This suggests that, in terms of foreign capital attraction, the more countries adopt IFRS the more advantageous it is for its neighbors also to become adopters. The second essay focuses on the moderating effect of IFRS for the impact of international market uncertainty on the volatility of capital flows in Latin America. Analyzing Argentina, Brazil, Chile, Colombia, Mexico, and Peru via a panel FGLS model, the results show that although IFRS is related to large and more volatile foreign investment inflows, there is some evidence that the adoption minimizes the effects of international uncertainty shocks. Finally, the third essay studies the role of IFRS to ease firms financing constraints along with financial development, via the estimation of an Euler equation investment model. The results show IFRS adoption is capable of minimizing firms\' financing constraints decreasing the cost of external capital. Firms in countries with both low economic and financial development but adopting IFRS have similar financing constraints levels as firms in high financial or economic development countries who do not adopt IFRS. Taken together, the results are consistent with the hypothesis that higher quality accounting information can improve investment decisions. Increased attraction of capital flows, decreased sensitivity to uncertainty shocks in Latin America, and minimized firms\' financing constraints indicate IFRS adoption is able to improve investment allocation decisions. These results are important mainly from a policy perspective, showing IFRS can have positive effects on investment allocation efficiency, which is expected to improve economic performance and, consequently, growth. / Esta pesquisa tem como objetivo investigar o papel da adoção das IFRS no investimento, tanto no nível macro, estudando fluxos de investimento estrangeiros, quanto no nível micro, estudando o investimento no nível das firmas. Os proponentes da adoção das IFRS argumentam que elas promovem informação não somente comparável entre fronteiras, mas também de maior qualidade, diminuindo restrições e facilitando a eficiência de alocação de investimentos. Dividida em três partes, esta tese avalia essa proposição analisando o papel das IFRS na dinâmica de fluxos de capitais entre países, na sensibilidade do investimento estrangeiro na América Latina a choques financeiros globais, e na eficiência da alocação de capital por parte das firmas. O primeiro ensaio estuda a interação entre a atração de capital entre países vizinhos e suas decisões de adotar as IFRS. Estimando um modelo espacial autorregressivo, a pesquisa mostra que maiores fluxos de investimento estrangeiro direto para um dado país implicam em maiores fluxos também para os seus vizinhos; e a adoção das IFRS reforça essa dinâmica. Isso sugere que, em termos de atração de capital estrangeiro, quanto mais países adotam as IFRS, mais vantajoso é para os seus vizinhos também se tornarem adotantes. O segundo ensaio foca no efeito moderador das IFRS no impacto de choques financeiros globais na volatilidade de fluxos de capital na América Latina. Analisando Argentina, Brasil, Chile, Colômbia, México, e Peru, através de um modelo em painel longo via FGLS, os resultados mostram que a adoção minimiza os efeitos dos choques de incerteza internacionais. Finalmente, o último ensaio estuda o papel das IFRS para minimizar restrições financeiras, através da estimação de um modelo de equação de Euler de investimento. Os resultados mostram que a adoção das IFRS é capaz de minimizar as restrições financeiras das firmas diminuindo o custo de capital externo. Firmas em países com baixo desenvolvimento financeiro e econômico, porém adotantes das IFRS, têm níveis de restrições financeiras similares a firmas em países com alto desenvolvimento econômico ou financeiro, mas que não são adotantes. Tomados em conjunto, os resultados são consistentes com a hipótese de que informação financeira de alta qualidade melhora a eficiência de alocação de recursos. Maior atratividade de capital estrangeiro, menor sensibilidade a choques financeiros globais na América Latina, e alívio de restrições financeiras indicam que a adoção das IFRS é capaz de aperfeiçoar as decisões de investimentos. Estes resultados são importantes principalmente sob a perspectiva de políticas públicas, mostrando que as IFRS podem ter efeitos positivos na eficiência de alocação de recursos, a qual se espera que aumente o desempenho econômico e, consequentemente, o crescimento.