This paper uses an event study in combination with Granger causality tests to analyze the effects of capital control liberalizations in China. The AH Premium between the Shenzhen and Hong Kong Stock Exchanges and the Shanghai and Hong Kong Stock Exchanges in addition to the total returns of the Shanghai Composite are all used to measure the effect of each event. The results are most significant in the Shenzhen-Hong Kong AH premium, but the overall market reaction to each liberalization event was minimal. The Granger causality tests studied relationships between the Shanghai Composite, the S&P 500, the FTSE 100, the Hang Seng, and the All-Ordinaries Index. Results showed the strongest Granger causal relationships between Shanghai, Hong Kong, and Australia. Overall, the Granger causality results are inconsistent with the theory that increased currency liberalization in China causes increased integration with other major global markets.

Cette thèse comporte trois chapitres traitant de la question de l’accumulation de réserves de change dans les pays émergents. Sous différents angles, théorique comme empirique, les trois travaux présentés analysent les motivations d’accumulation de réserves de change et testent l’utilité de ces avoirs en devises étrangères pendant la crise financière mondiale de 2009. Le chapitre 1 montre que l’accumulation de réserves résulte de l’interaction entre une forte croissance de la productivité et des frictions sur le marché financier. De plus, l’accumulation de réserves est d’autant plus efficace que les flux de capitaux privés sont contrôlés. Les gains du bien-être issus d’une utilisation combinée de réserves et de contrôles de capitaux diminuent avec le développement des marchés financiers. A l’aide d’une base de données comprenant 112 pays émergents et en voie de développement, le chapitre 2 examine la relation entre l’accumulation de réserves avant la crise de 2009 et la performance économique pendant la crise. Lorsque le ratio d’adéquation de réserves de change est calculé en point de pourcentage par rapport à la dette extérieure à court terme, la performance économique d’un pays pendant la crise est positivement corrélée avec les réserves de change d’avant la crise. Ce chapitre montre aussi les nouvelles tendances dans le comportement d’accumulation des réserves après la crise. Le chapitre 3 traite de la question des effets de bilan et le rôle des réserves change. Il montre qu’en accumulant des réserves de change, le gouvernement est en mesure stabiliser l’économie nationale, en recapitalisant le secteur privé avec ses devises ou en faisant une relance fiscale. / This thesis includes three essays on foreign reserves, crises and growth. Chapter 1 proposes a theoretical model to look at foreign reserve accumulation in fast-growing emerging economies. The demand for foreign reserves stems from the interaction between productivity growth and underdevelopment of the domestic financial market. During economic transition, foreign reserve accumulation is proved to be welfare improving as long as private capital flows are controlled. Chapter 2 is an empirical work on the role of foreign reserves during the global financial crisis. It is found that the level of reserves matters: countries with high reserves relative to short-term debt suffered less from the crisis, particularly if associated with a less open capital account. In the immediate aftermath of the crisis, countries that depleted foreign reserves during the crisis quickly rebuilt their stocks. This rapid rebuilding has, however, been followed by a deceleration in the pace of accumulation. Chapter 3 takes a political economy stance and shows how reserves can be used to stabilize the domestic economy when the private sector faces credit constraint and currency mismatch. It is argued that both a targeted lending in foreign currency or a fiscal spending financed by foreign reserves help remove the bad equilibrium. Nevertheless, these two policy tools differ in the mechanism through which they stabilize the domestic economy and in terms of the amount of foreign reserves needed.

This dissertation consists of three essays on capital controls and exchange rate regimes. The first essay, under the background of international monetary policy trilemma, empirically investigates the validity of the proposition that holding the degree of exchange rate stability constant, a decrease in capital mobility through imposition of capital controls will enhance monetary independence. Using a panel dataset covering 88 countries for the 1995-2010 period and system GMM estimation, this paper finds that 1) capital controls help improve a country’s monetary independence; 2) the effectiveness of capital controls depends on the types of assets and the direction of flows they are imposed; 3) the choice of exchange rate regime has important impact on the effectiveness of capital controls on monetary independence. The second essay examines the role of capital controls on economic growth. Conventional wisdom suggests that allowing international capital flows improves domestic investment and growth by providing extra resources through international capital market, yet the flows can be misallocated to finance speculative or low-quality domestic investments. Using a panel dataset covering 78 countries over 1995-2009, this paper finds that 1) capital control policies promote economic growth after taking into account a country’s de facto level of capital flows; 2) controls on capital inflows helps a country’s economic growth, but not controls on outflows; 3) restrictions on different asset types affect growth differently. Capital controls on equity type flows are less effective than controls on debt type flows or direct investment. The third examines the role of exchange rate flexibility on current account balances. Global imbalances have become an important issue for economists and policy makers. Greater exchange rate flexibility is often suggested as a means to achieve faster and more efficient adjustment in the current account. However, previous empirical studies show little support for this hypothesis. This essay revisits this issue with a large panel dataset and Threshold VAR model and finds that 1) the speed of the current account adjustment is higher in a regime with greater exchange rate variability; 2) some existing popular exchange rate classifications may not capture actual exchange rate variability as well as expected.

This dissertation consists of essays that study exchange rate pass-through, China’s de facto exchange rate regime, and China’s capital controls. The first essay studies exchange rate pass-through (ERPT) by using a set of data from ten countries including four advanced economies and six Asian emerging markets. The price indices used in this essay include consumer price, producer price, import price and export price indices. While most literature only include the import price index, this essay also puts emphasis on the export price index. It investigates the asymmetry in the ERPT between depreciation and appreciation of domestic currency by using a non-linear OLS model; meanwhile, the short-run and long-run effects of ERPT are also compared with each other. It also detects possible structural change in the ERPT and finds most structural change points are around the Great Recession and Asia financial crisis. Finally, a VAR model is developed to detect the impulse responses of prices to exchange rate shock. The second essay is about China’s exchange rate regime. It has changed a lot since the 2005 reform. It is interesting and important to investigate China’s de facto exchange rate regime with the most recent data. This essay follows Frankel and Wei’s (2008) method, by applying both the basic model and new model with the exchange market pressure (EMP) variable to currency basket for the Chinese yuan exchange rate. I select the US dollar, the Euro, the British pound, the Japanese yen, the Canadian dollar, the Australian dollar and the Russian ruble as component currencies of the basket, based on free floaters, GDP and trade volume. I also add results from a VAR model, considering the endogeneity issue, and the results are consistent with those of OLS. I find the weight of the US dollar declines dramatically and the variation of the Chinese yuan becomes much larger after 2015. This implies that China has been transferring its exchange rate regime from dollar pegged to free floating. The third essay investigates the effectiveness of China’s capital controls. In recent years, after 2014, China’s foreign reserves declined dramatically, from 4 trillion US dollars to 3 trillion US dollars. There was a huge amount of capital outflows from China during 2015 to 2016. This phenomenon lets us reconsider the question: Are China’s capital controls still effective? I will use five methods to measure the effectiveness of China’s capital controls, including de jure indicators, saving-investment correlation test, covered interest rate parity, real interest rate differentials and Edwards-Kahn model. The de jure indicators I use are from Fernández et al. (2016) and Chinn and Ito (2008). I compare China with the US, the UK and Japan in the saving-investment correlation test, and with the Eurozone and Japan in covered interest rate parity, real interest rate differentials and Edwards-Kahn model. Various results indicate that China’s capital controls are still effective.

The present thesis analyzes the application of capital controls and their impact on the economy in the short and long term. These regulatory measures have gone through many periods and opinions in which they were considered as both positive and negative instrument not only of monetary policy. Global financial crisis of 2008 has again raised a lot of questions dealing with this topic. Capital controls may help ease the acute problems associated with inflows or outflows in the short term but they will not solve the issue of the country's susceptibility to movements of primarily debt capital. Long-term capital closeness (whether in terms of export or import) may causes, inter alia, the excessive accumulation of savings in the domestic closed economy or lack of capital for economic development. Therefore, when applying capital controls it is also necessary to improve the country's institutional quality which proved to be an important determinant of capital flows.

The importance of a currency war and its consequences is nowadays a hot topic of all economies around the world. My master thesis is designed to explain this concept, to introduce the main actors of the currency wars, the ways, in which national economies were and are trying to boost and improve their economic situation and highlight the main tools that are usually used by major powers within currency wars. The practical part is divided into three main sub-chapters that analyze the causes and consequences of currency wars, which we have previously witnessed. Analysis of the currency war I. relates to the years 1921-1936, the currency war II. relates to the period around World War II. and the formation of Bretton Woods system, and finally currency war III. relates to last years, when a superpowers like US, China and EU entered the war as a result of economic recessions of 2007.

Diploma thesis deals with the recovery of the Icelandic economy after the financial crisis that affected the country in 2008. The thesis is divided into four main chapters. The first chapter focuses on theoretical view on the financial crisis and the typology of each crisis. The second chapter describes pre-crisis economic development, triggers and the subsequent collapse of the banking sector. The third chapter deals with the impacts of the crisis on selected economic indicators, evaluation of the assistance provided by International Monetary Fund and outlines the issue of capital controls that were relatively controversial element of the IMF program. The last chapter discusses the question of joining the European Union in relation to the crisis and also describes the major difficult point of negotiation, namely fishing.

Submitted by Rodrigo dos Santos Barbosa (rdsbar@gmail.com) on 2016-06-13T19:54:58Z No. of bitstreams: 1 Tese.pdf: 895418 bytes, checksum: 64d50c7a9b78e9d3f89b6737e052eb58 (MD5) / Approved for entry into archive by Letícia Monteiro de Souza (leticia.dsouza@fgv.br) on 2016-06-13T21:06:35Z (GMT) No. of bitstreams: 1 Tese.pdf: 895418 bytes, checksum: 64d50c7a9b78e9d3f89b6737e052eb58 (MD5) / Made available in DSpace on 2016-06-13T22:04:05Z (GMT). No. of bitstreams: 1 Tese.pdf: 895418 bytes, checksum: 64d50c7a9b78e9d3f89b6737e052eb58 (MD5) Previous issue date: 2016-05-17 / My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance. / A presente tese concentra-se em aspectos dinâmicos de processos que envolvem coordenação entre agentes em ambientes com interação estratégica. Propomos utilizar os chamados global games para estudar a capacidade de uma Tobin tax elevar a probabilidade de sucesso em um ambiente em que investidores internacionais sujeitos a choques de liquidez precisam coordenar suas decisões de investimento (capítulo 1), e reduzir a vulnerabilidade de uma economia aberta a fluxos internacionais de capitais a sudden stops (capítulo 2). Também, investigamos o problema da aquisição de informação em jogos sequenciais com informação incompleta e complementaridade em ações (capítulo 3). No capítulo 1, agentes estrangeiros decidem se entram ou não em um projeto, cujo sucesso depende em parte da capacidade dos mesmos em coordenarem suas escolhas. Uma fração λ desses investidores é afetada por restrições de liquidez no segundo período do modelo e é forçada a se retirar do projeto ou impedida de entrar, dependendo de suas respectivas escolhas no primeiro período. Agentes não afetados pelo choque de liquidez possuem a opção de reavaliar decisões tomadas no primeiro estágio do jogo. É assumido que a probabilidade de sucesso do projeto de investimento é crescente no volume total de capital que a economia recebe, mas decrescente no volume de capitais que deixa a economia no segundo período. Na ausência de choques de liquidez (λ = 0), o volume de capital que é recebido em um estado pivotal para o sucesso do projeto de investimento independe da existência de um imposto sobre capitais de curto prazo. Como tal imposto sempre desestimula saídas de capitais, uma Tobin tax sempre favorece as chances de sucesso em uma economia em que λ = 0. Contudo, na presença de choques de liquidez, o volume total de investimento que a economia recebe torna-se decrescente em um imposto incidente sobre capitais de curto prazo. Neste caso, uma Tobin tax pode prejudicar as chances do processo de coordenação ser bem sucedido, caso o benefício de reduzir o volume de saída de capitais não seja suficientemente grande. O capítulo 2 estuda os efeitos de uma Tobin tax no mesmo cenário do capítulo 1, porém considera que a extensão da restrição de liquidez a que os agentes podem estar sujeitos é aleatória. Neste modelo, identificamos condições sob as quais uma Tobin tax reduz a probabilidade de se observar um sudden stop e eleva o bem estar no único equilíbrio de uma economia onde a probabilidade de ocorrência de um choque de liquidez é pequena, mas a magnitude de tal choque pode ser significativa. O capítulo final investiga o problema de aquisição de informação em um jogo sequencial com 2 agentes, externalidade informacional e complementaridade em ações. Demonstramos que, quando o custo de aquisição de informação é pequeno relativamente ao incentivo que os agentes possuem para coordenarem suas ações, apenas o primeiro jogador escolhe adquirir novas informações a respeito da distribuição dos payoffs, e o jogador 2 sempre segue a ação escolhida pelo jogador 1. Probabilidade positiva de se observar divergência em ações requer que ambos os jogadores processem informação privadamente, o que tende a ocorrer quando o custo de aquisição de informação é baixo e a distribuição a priori dos payoffs possui variância elevada.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-02-12T13:34:36Z No. of bitstreams: 1 liviaduarteoctacainaodeoliveira.pdf: 1284696 bytes, checksum: 162cdf8964ad1e14cc20182f9b7e5e00 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-02-26T12:14:40Z (GMT) No. of bitstreams: 1 liviaduarteoctacainaodeoliveira.pdf: 1284696 bytes, checksum: 162cdf8964ad1e14cc20182f9b7e5e00 (MD5) / Made available in DSpace on 2016-02-26T12:14:40Z (GMT). No. of bitstreams: 1 liviaduarteoctacainaodeoliveira.pdf: 1284696 bytes, checksum: 162cdf8964ad1e14cc20182f9b7e5e00 (MD5) Previous issue date: 2014-03-11 / Os controles de capital foram adotados por muitos países na tentativa de proteger suas economias do capital financeiro. Com o Brasil, não foi diferente. No país, o principal instrumento de controle financeiro adotado foi o Imposto sobre Operações de Crédito, Câmbio e Seguros ou relativas a Títulos e Valores Mobiliários – IOF. A ideia fundamental do imposto era restringir a entrada de capital externo e com isso diminuir possíveis efeitos negativos sobre a economia nacional. No Brasil, havia a preocupação de evitar uma valorização excessiva da taxa de câmbio. Em vista disso, este trabalho se propõe a investigar qual o impacto do IOF sobre a economia brasileira, especificamente analisando o efeito sobre as volatilidades do capital externo aplicado em carteira e da taxa de câmbio. Para isso, são elaborados modelos estruturais que analisam as relações entre as variáveis fundamentais através da metodologia VAR para a média condicional. Em seguida, é testado o efeito do imposto sobre a variância condicional do câmbio e do investimento em carteira, utilizando o método GARCH multivariado. O período de análise data de janeiro de 2000 a dezembro de 2012. Os resultados mostraram que existe um efeito do IOF sobre a volatilidade do investimento em carteira, porém o mesmo não ocorre com a volatilidade cambial. Esta é influenciada pela volatilidade do diferencial de juros e do volume de dólares transacionados no mercado. / Capital controls have been adopted by many countries in attempt to protect their economies from the financial capital. In Brazil, it was no different. There, the main instrument of financial control adopted was Tax on Credit, Exchange and Insurance or relating to Securities - IOF. The fundamental idea of the tax was to restrict the entry of foreign capital and thus reduce possible negative effects on the national economy. There was also a concern to prevent an excessive appreciation of the exchange rate. So, under such panorama, this study aims to investigate the impact of the IOF on the Brazilian economy, specifically analyzing the effect on the volatility of the foreign capital invested in portfolio and exchange rate. For such purpose, structural models are designed to analyze the relationships between key variables through the VAR methodology for the conditional mean; then, the effect of tax rates on the conditional variance of exchange and portfolio investment is tested, using the multivariate GARCH’s method. The sample period is from January 2000 to December 2012. The results showed a significant effect of the IOF on the volatility of portfolio investment, but the same does not happen with the exchange rate volatility, which is influenced by the volatility of the interest rate differential and the dollar amount traded in the market.

Made available in DSpace on 2016-04-26T20:48:55Z (GMT). No. of bitstreams: 1 Adriano Vilela Sampaio.pdf: 791664 bytes, checksum: a1e2f8e1979518f22640b33ffdf362c3 (MD5) Previous issue date: 2009-05-15 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The objective of this work is the study of the Brazilian economic policy autonomy in the context of increasing capital mobility and financial liberalization initiated on the 1990s. In order to accomplish our purpose, it is made a brief presentassesation of the evolution of the international financial system and of the debate between liberalization and capital controls on the theoretical and empirical literature with the purpose of comprehending how the functioning of the international financial system may restrict the economic policy autonomy and whether this restriction is desirable or not. The analysis of econometrical papers that tried to assess the impacts of the Brazilian financial liberalization showed that given the divergences of the results, it is not possible to corroborate the hypothesis that the financial liberalization generated the benefits proclaimed by its defenders. About the works that discussed the economic policy autonomy, the results didn t allow a definitive conclusion. It was made an econometrical exercise to assess the impacts of the financial integration, represented by capital flows, over the economic policy autonomy. The results suggest a loss on the economic policy autonomy in the period jan/1995 dec/1999 and that such loss didn t occur in the period jan/1999 dec/2007, although the capital flows had been relevants on explaining the interest rate / O objetivo deste trabalho é o estudo da autonomia da política econômica brasileira no contexto de crescente mobilidade de capitais e liberalização financeira iniciada a partir dos anos 90. Para tanto, faz-se uma breve apresentação da evolução do sistema financeiro internacional e do debate entre liberalização e controles de capitais na literatura teórica e empírica com o propósito de compreender de que forma o funcionamento do sistema financeiro internacional pode restringir a autonomia de política econômica dos países e se essa restrição é desejável ou não. A análise de trabalhos econométricos que trataram dos impactos da liberalização financeira brasileira mostrou que, dada a divergência dos resultados, não é possível corroborar a hipótese de que a liberalização financeira brasileira trouxe os benefícios apregoados por seus defensores. Em relação aos trabalhos que discutiram a autonomia de política econômica, os resultados não permitiram uma conclusão mais segura. Foi realizado um exercício econométrico para avaliar os impactos da integração financeira, representada pelos fluxos de capitais, sobre a autonomia de política econômica. Os resultados sugerem a perda de autonomia de política econômica no período jan/1995-dez/1998 e que não houve essa perda no período jan/1999-dez/2007 embora os fluxos de capitais tenham se mostrado relevantes na explicação da taxa de juros