This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.

近年來，國內因大環境的變遷及電信自由化的推行，電信服務已成為國人日常生活中不可或缺之工具，尚因法規環境未置完善，致使電信人頭電話亦成為電信詐欺的犯罪的工具，電信詐欺不僅造成電信呆帳，並破壞電信事業的電信秩序及健全發展的環境外，同時嚴重影響社會治安、增加社會成本及損害公共利益，更使國家整體之競爭力受到負面的牽引。上述因產業政策不明確及法律制度的不健全，並未與時俱進，使電信犯罪之源頭電信人頭帳戶，無法建立有效的預防機制，故使電信市場成為電信詐欺份子得以犯罪的快樂天堂，並以「有騙無類」的作風行騙老少及國內外，電信詐欺目前已成為我國民怨排行第二名，致使得國內訂立電信聯合徵信制度的需求，成為產業界、輿論界、政界與法學界關心的焦點。 本研究係蒐集分析電信詐欺之特性及其對電信事業及社會成本增加所造成的損傷及影響，並以國外如英、美、日本及新加坡等國電信聯合徵信制度之損失統計及相關的法例及作法，藉由實務上之運作與現行法令的落差，檢視目前國內法律不足之處。同時由憲法位階對人權之秘密通訊之保障，對我國未來電信事業建立聯合徵信中心可行性提出研析與建議。 / Since the liberalization of telecom, telecommunication services become more and more an integral part of everyday life. Unfortunately, as well as telecom fraud through fraudulent accounts has become a serious problem in Taiwan. Due to telecom regulations are not regularly updated, the false account numbers were abused easily by the telecom fraud group, and not only caused telecom operators bad debt and profit lose, but also increased social cost obviously, such as the social security, public benefit and the country competitiveness. There is no effective preventive measure to address telecom fraud. Therefore, this country becomes a paradise for this type of activity. Telecom fraud targets all people, the youth, the elderly and even foreign immigrants, and ranks in the top two in social grievances. The telecom joint credit information system was paid attention by the Public, Industry and Government, which is to build up a effective preventive mechanism by regulation for telecom fraud is a important issue to be solved. Due to the uncertainty industrial policy and the legal system do not harmony with social needs, and not kept pace with the times, so that the source of the fake telecom numbers for telecom fraud criminal are unable to manage and block. In this study, I will analyze the characteristics of telecom fraud and its social cost and impact on the telecom industry and then to discuss the Telecom joint credit regulatory and practices used in other countries such as Britain, the United States, Japan and Singapore. This analysis will compare it with the current domestic legal deficiencies and proposes feasible recommendations.

This dissertation empirically studies the interplay of government policies, finance, and economic development. More specifically, it considers the impact of corporate taxes on employment, of bank regulation on financial information sharing on banking stability and of banking crises on democracy. Two of the chapters focus on Sub-Saharan African (SSA) countries. The third one takes a more global perspective. Chapter 1 evaluates the impact of corporate income tax rates (CIT) on employment at the firm level for a sample of SSA countries. It finds that on average, firms employ more workers in countries with higher CIT rates. This is consistent with the fact that corporate tax revenues allow governments to provide public goods and infrastructure which are crucial to firm activities. We report estimation results to support this assumption. More specifically, while the marginal effect of CIT decreases with income level or with government expenditures, it increases with the level of democracy. Furthermore, we also find that the effect of CIT rates on employment works partially through improvements in the business environment in which firms operate. Chapter 2 assesses the effects of government policies setting the extent to which credit information on the credit history of borrowers is shared among lenders. It shows that credit information sharing stabilizes banks. Moreover, despite foreign banks having an informational disadvantage over domestic banks due to information frictions and would hence benefit more from credit information sharing, the results indicate that both types of banks are affected in the same way. This suggests that foreign banks rely on alternative strategies to compensate for their informational disadvantage in local markets. Lastly, Chapter 3 documents the impact of banking crises on the level of democracy. It provides evidence that democracy improves in the 10-year window following the occurrence of a banking crisis. The results also highlight the presence of several non-linearities. First, severe banking crises have larger effects on democracy than moderate ones. Second, the positive effect of banking crises on democracy is mostly driven by non-democratic countries. Finally, the bulk of the effect materializes from the third year after the crisis occurred. / Cette thèse étudie empiriquement l'interaction des politiques gouvernementales, de la finance, et du développement économique. Plus précisément, il examine l'impact de la fiscalité des entreprises sur l'emploi, de la réglementation bancaire relative au partage d'informations sur le crédit sur la stabilité bancaire, et des crises bancaires sur la démocratie. Les deux premiers chapitres se focalisent sur les pays d'Afrique subsaharienne. Le troisième adopte une perspective plus globale pour couvrir. Le premier chapitre évalue l'impact des taux d'imposition des sociétés (IS) sur l'emploi au niveau de l'entreprise pour un échantillon de pays d'Afrique subsaharienne. Ses résultats montrent qu'en moyenne, les entreprises emploient plus de travailleurs dans les pays où les taux de taxation des entreprises sont plus élevés. Cela s’explique par le fait que les recettes de l'impôt sur les sociétés permettent aux gouvernements de financer des biens publics et des infrastructures qui sont essentiels aux activités des entreprises. Nous présentons des résultats d'estimation pour soutenir cette hypothèse. Plus précisément, alors que l'effet marginal de l'IS diminue avec le niveau de revenu ou avec les dépenses publiques, il augmente avec le niveau de démocratie. En outre, nous constatons également que l'effet des taux d'IS sur l'emploi s'explique en partie par l'amélioration de l'environnement des affaires dans lequel opèrent les entreprises. Le second chapitre évalue les effets des politiques gouvernementales fixant la mesure dans laquelle les informations sur les antécédents de crédit des emprunteurs sont partagées entre les prêteurs. Il montre que le partage d'informations sur le crédit permet de stabiliser les banques. De plus, bien que les banques étrangères aient un désavantage informationnel par rapport aux banques nationales en raison de frictions d'information et bénéficieraient donc davantage du partage d'informations sur le crédit, les résultats indiquent que les deux types de banques sont affectées de la même manière. Cela suggère que les banques étrangères s'appuient sur des stratégies alternatives pour compenser leur désavantage informationnel sur les marchés locaux. Enfin, le chapitre 3 documente l'impact des crises bancaires sur le niveau de démocratie. Il fournit la preuve que la démocratie s'améliore dans la fenêtre de 10 ans suivant l’occurrence d'une crise bancaire. Les résultats mettent également en évidence la présence de plusieurs non-linéarités. Premièrement, les crises bancaires graves ont des effets plus importants sur la démocratie que les crises modérées. Deuxièmement, l'effet positif des crises bancaires sur la démocratie est principalement attribuable aux pays non démocratiques. Pour finir, l'essentiel de l'effet se matérialise à partir de la troisième année après la survenance de la crise. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished