The Basel III accord is the cornerstone of global financial reform efforts that seek to guard against the types of financial crisis seen in 2007/8. It requires banks to fund more of their activities with better-quality capital and, in so doing, attempts to assure that they are better able to absorb shocks that can lead to crises. However, capital requirements come with a range of costs, which could spark a slowdown in credit or a change in the types of lending banks engage in. This paper conducts a comprehensive literature review of theoretical and empirical studies of the impacts of previous Accords, Basel I and Basel II, and attempts to draw lessons on possible downside effects of the latest iteration of the Basel Accord. It proceeds in three parts. Part 1 explores the history of the Basel Accords, exploring their theoretical basis and the evolution of the regulation into its current form. This section identifies two possible mechanisms by which capital regulation can negatively impact the broader economy: increasing capital costs and increasing risk aversion. Part 2 explores the potential for increased capital cost, while Part 3 examines the possibility of excessive risk aversion. In conclusion, the paper finds that while the potential for downside effects does exist, these are not likely to be significant, and seem particularly unlikely to have a major impact in the South African case.

A dissertation submitted to the Wits Business School, Faculty of Commerce, Law and Management, in partial fulfillment of the requirements of the candidacy of the Masters of Management in Finance and Investments University of Witwatersrand April 2016 / The aim of this paper is to investigate financial contagion in African financial markets from the global financial crisis. Interest in this subject has grown exponentially in the recent past in light of expanding globalization. The empirical analysis is based on daily stock price indices of a sample of African countries in order to compute the stock returns and find the impact of correlations between them and the US market. The empirical evidence is based on correlation tests by Forbes& Rigobon (2002). The analysis suggests that the larger markets by market capitalization and number of traded stocks exhibit co-movement, whereas the smaller markets experience financial contagion. The results have implications for financial investment process and risk management in terms of globalization and the unfolding of financial liberalization in Africa. / GR2018

A Doctoral thesis submitted in fulfilment of the requirements for the award of Doctor of Philosophy degree in the field of Finance The Graduate school of Business Administration, University of the Witwatersrand, October 2016 / The global financial system has experienced turmoil in the past three decades, at the least. Although the shocks originate abroad, they possess some rippling effects on African economies. The essence of market integration and cross-border listings of stocks has fueled the need for African markets to be well integrated with the global economy. Despite this need, available empirical literature exploring the integration of African markets regionally, and with the rest of the world appear unclear. Moreover, the possibility of global shocks transmitting to Africa via its emerging equity markets remains underexplored. At the same time, such knowledge is critical for not only understanding the functioning of equity markets in particular, but also important for regulating the financial system in general. This thesis addresses these gaps inherent in extant literature and proffer empirical and theoretical solutions by exploring the nexus between African stock markets and global shocks. The emphasis is on contagion, co-movement, and diversification. The thesis is organized into four empirical essays, each deeply touching on specific theme (s) that form the core of the problems or research questions under investigation while employing advanced econometric techniques that underpin the modeling of asset returns. The first essay examines the capacity of African equity markets to act as ‗hubs‘ for portfolio investors during tranquil and turbulent conditions of global equity and commodity markets. The findings posit that African stock markets provide decorrelation from commodity and global equity markets during extreme market conditions. To the extent that the results reveal the strength of African stocks in cushioning international portfolio investors in a mean-variance stand-point during market crashes, the essay helps to decay doubts in the minds of investors on the perceived lack of capacity of the continent‘s stocks to yield higher expected risk-return trade-offs during global market sell-offs. The implication of the study is that given the recent history of commodities and global stocks, fund managers around the world seeking viable alternatives to compensate for losses from commodity shocks through uncorrelated markets may consider the equity markets in Africa, albeit on account of volatility persistence, present and past market conditions, markets stability, as well as size and liquidity issues. The second essay examines regional and global co-movement of African stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The essay establishes evidence of stronger co-movements broadly narrowed to short-run fluctuations. The co-movements are time-varying and commonly non-homogeneous – with phase difference arrow vectors implying lead-lag African Equity Markets and Global Shocks 2016 © Gideon Boako Page iii relationships. The presence of lead-lag effects and stronger co-movements at short-run fluctuations may induce arbitrage and diversification opportunities to both local and international investors with long-term investment horizons. The findings also reveal that some African equity markets are, to a degree, segmented from volatilities of the dollar and euro exchange rates. The third essay sheds light on whether African equity markets decoupled from, and / or converged with regional and global markets from 2003 to 2014, and analyzes the implications of that for shocks spillovers. Although there is no evidence of African markets convergence either regionally or globally, shock propagation exists in a time-varying setting. Regional markets in Africa are not just ‗shock absorbers‘ but also ‗shock transmitters‘. In the last essay, the dependence structure and (extreme) downside developed equity markets and currency price risk spillover effects to African stock markets using value-at-risk (VaR) and conditional value-at-risk (CoVaR) based on stochastic copulas is modeled. The study finds evidence of non-homogenous weak negative dependence between stocks and the USD and EUR exchange rates. Except for Egypt, there is evidence of positive significant dependencies between all African markets and their developed counterparts. Although, evidence of both uni-directional and bidirectional causality, as well as upper and lower tail dependencies are found across the stocks and currency markets, only some minuscule evidence of downside spillover effects was recorded, albeit episodic. It is observed that propagation of shocks from the GFC had a second round effect in African stock markets. Thus, the impact of the GFC to African economies was not through the credit crunches and liquidity freezes in Phase I of the crisis, but rather through the global recession that followed into the second phase. The findings are consistent with the view that global shocks propagation to developing markets may stagger during crisis and intensify post-crisis. A practical implication from the results is that given the relatively scarce resources and levels of technological know-how available to African governments, efforts to wean the continent‟s equity markets from adverse effects of global market crashes should be geared towards plans and programmes to mitigate the shocks not at the early stages but latter stages, where the effects to Africa could be prominently felt. Three key arguments are deduced from all the essays. First, although financial market underdevelopment seems prima-facie, to help countries isolate themselves against immediate contagion, it also reduces the ability of the real economy to cushion the impact of the crisis. African Equity Markets and Global Shocks 2016 © Gideon Boako Page iv Therefore, the argument of the thesis is that despite the common fear that a highly integrated and developed market may present fertile grounds for shock spillover, Africa must continue to pursue programmes aimed at enhancing inter and intra-regional integration. However, the degree and extent of both inter- and intra-regional integration ought to be pegged at certain optimal levels in order to reap benefits from scale economies. Such endeavours at integration will not only help in risk diversification but also help smooth the impact of shocks. The second argument is that, the proposition of the ―decoupling theory‖ i.e. returns of African equity markets and global stocks are not jointly normal during crisis periods may not be entirely tenable, empirically. Thirdly, the thesis argues that the “shift-contagion” theory may not reflect the reality for Africa, particularly during initial stages of crisis. Instead, the thesis suggests an extension and argues for a “delayed-shift contagion” theory. Keywords: Decoupling, shift-contagion, spillover effects, CoVaR, exchange rates, commodities. JEL Classification: C40, C58, F31, F36, G10, G11, G15, / GR2018

Este trabalho consiste em um estudo sobre a influência do nível de auto-eficácia dos gestores nas ações escolhidas durante o período de gestão de crises de suas respectivas organizações. A empresa selecionada para esta pesquisa foi uma companhia aérea que sobreviveu a quatro grandes crises. Foram encontradas diferenças significativas nas ações dos gestores a partir do seu nível de auto-eficácia. / This is a case study of crisis management of a Brazilian airline company.

This research highlights the swedish government crisis in 1978, based on two perspectives and how they affected the crisis. These include mass media and how the politicians acted in relation to their respective parties' standpoint on the nuclear power issue. The material is based on information from the editorial pages of two national newspapers and one submission page. This should shed light on whether the media affected the crisis. The research has also been supplemented with literature to investigate the parties’ opinions regarding the nuclear power issue. The chosen newspapers are Dagens Nyheter and Svenska Dagbladet. A qualitative text analysis has been applied to the study by interpreting texts from newspapers and literature. The essay centers on the end of the crisis when the government parties, Centerpartiet, Moderaterna and Folkpartiet tried to find an agreement on the nuclear power issue, but also the days after Thorbjörn Fälldin's resignation as prime minister. The findings of the investigation suggests that both perspectives affected the crisis, with some exceptions. The newspapers that were examined differ in comparison with other mass media and it turns out that both leader pages and the submitter side did not follow up on the “betrayal” debate that was directed against Fälldin and Centerpartiet. However, several leaders and submitters claim that the media affected the crisis. It is also possible to suggest that the government's dissolution was due to the positions of the government parties on the nuclear power issue and that the politicians had to comply with this.

This dissertation combines theoretical modeling and empirical analysis in macroeconomics, with a focus on open economies. It contains three chapters that study macroeconomic dynamics in the presence of credit frictions and the scope for stabilization policies in this context. Chapter 1, "Macroeconomic Effects of Commodity Booms and Busts: The Role of Financial Frictions", studies the real effects of commodity price shocks in small open commodity exporters; and the role of financial frictions in the transmission of these shocks to economic activity. I begin by estimating a panel VAR system for two groups of countries heavily exposed to commodity goods exports, one containing only advanced small open economies, and the other only emerging small open economies. I show that commodity price shocks are important sources of business cycle fluctuations, and have stronger effects on real activity, credit, and country interest rate in emerging countries. Motivated by these results, I construct a multi-sector open economy model with a banking sector to gauge the importance of different financial frictions in the transmission of commodity price shocks. I find that the main transmission channel is the interaction between the differences in working capital constraints at the firm level and the effect of commodity prices on the country interest rate. Moreover, I show that the financial accelerator and balance sheet mismatches in the banking sector don't have a relevant quantitative amplification effect. Chapter 2, "International Reserves, Credit Constraints, and Systemic Sudden Stops", analyzes the puzzling fact that emerging markets hold very high levels of international reserves and foreign liabilities simultaneously. Moreover, these holdings are positively correlated, which leads to an income loss that might reach 2% of GDP per year. To address this issue, I propose a new motive for international reserves accumulation, namely its role as implicit collateral for external borrowing. In this context, I evaluate whether the role of international reserves as collateral can explain the high levels of international reserves that we see in practice and find that the optimal level is close to the average reserves-to-GDP ratio in Latin American countries. Additionally, the optimal behavior during crises implies an increase of reserve holdings before a Sudden Stop and a small reduction during it, which is coherent with what was observed in the recent Global Financial Crisis. Finally, an alternative policy of keeping reserves at a constant level equal to its average value all the time yields very similar result to the optimal policy during sudden stops, highlighting the stabilizing role of reserves even if Central Banks don't use them at all. Chapter 3, "The Real Consequences of Countercyclical Capital Controls'', coauthored with Savitar Sundaresan, analyzes the effects of capital controls on real activity in Brazil, the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.

This thesis consists of three self-contained chapters. Chapter I. The first chapter develops a dynamic general equilibrium model which includes financial intermediation and endogenous financial crises. Consistent with the data, financial crises occur out of prolonged (credit) boom periods and are initiated by a moderate adverse shock. The mechanism which gives rise to boom-bust episodes around financial crises is based on an interaction between the maturity mismatch of the financial sector and an agency problem which results in procyclical lending. I show how to model these features in a tractable way, giving a realistic representation of the financial sector's balance sheet and its lending behavior. The chapter provides empirical evidence on the behavior of the U.S. financial sector's market leverage which is (i) acyclical, (ii) rose mildly prior to the Great Recession, and (iii) increased sharply during the crisis; the model is consistent with these empirical facts. It also predicts and replicates the Great Recession, when confronted with a historical series of structural shocks. Finally, the framework is extended to include price rigidities, nominal debt contracts, and monetary policy. Within this version, I analyze the impact of monetary policy on financial stability and show that a U-shaped pattern of the policy target rate is most likely to increase financial instability. Chapter II. The second chapter models the economy as a time varying vector autoregression, consisting of economic and financial variables. The interest lies in the time varying response of these variables to a monetary policy shock. Monetary policy shocks are identified as the surprise component in policy announcements extracted from price changes in Federal Funds futures around such announcements. These monetary policy surprises enter the model as an exogenous variable. The framework is used to obtain evidence on the time varying response of stock prices to the monetary policy surprises. Stock prices always persistently decrease following a monetary tightening and more strongly than fundamentals imply - with an increase in risk-premia accounting for the difference. However, the response of stock prices varies over time. They decrease less during a boom and a perceived bubble period than during a recession. The findings suggest that so-called "leaning against the wind policies" may be ineffective since stock prices are less responsive during periods when such policies would disinflate asset bubbles using contractionary monetary policy. Chapter III. The third chapter augments a monetary dynamic general equilibrium model with a bubble as considered in [Miao_Wang_2015]. A bubble may exist in firms' stock market values and firms borrow against their inflated stock market values. Within this framework, I analyze the relation between monetary policy and the bubble. I find that contractionary monetary policy decreases the bubble which tightens borrowing constraints and amplifies the reaction of investment and output. These results are in contrast to the ones in Gali (2014) who considers a bubble of the classic rational type and finds that contractionary monetary policy can increase bubbles.

Wong, Kin Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract (Chinese Version) --- p.ii / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Important Notations --- p.vi / List of Table and Figures --- p.vii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Reviews --- p.5 / Chapter 2.1. --- Economic Fundamentals Models --- p.5 / Chapter 2.2. --- Self-fulfilling Models --- p.6 / Chapter 2.3. --- Contagious Currency Crises --- p.8 / Chapter 3. --- The Model --- p.11 / Chapter 3.1. --- Output Stability and Price-level Stability Tradeoff --- p.11 / Chapter 3.2. --- Realignment Cost --- p.15 / Chapter 3.3. --- Speculative Attack and Its Size --- p.15 / Chapter 4. --- A Two-Stage Game for Exchange Rate Policy Decision --- p.19 / Chapter 4.1. --- The Game --- p.19 / Chapter 4.1.1. --- Policy Response of the Domestic Central Bank --- p.20 / Chapter 4.1.2. --- Policy Decision of the Foreign Central Bank --- p.21 / Chapter 4.2. --- Special Features of the Game --- p.22 / Chapter 4.2.1. --- "Export Sensitivity, Adjusted Inflation-Output Stability Preference and Policy Response" --- p.23 / Chapter 4.2.2. --- Speculative Attack through the “Weakest Link´ح --- p.25 / Chapter 5. --- Financial Aid in Currency Crisis --- p.28 / Chapter 5.1. --- The Game with Financial Aid --- p.28 / Chapter 5.2. --- Policy Response of the Domestic Central Bank --- p.30 / Chapter 5.3. --- Policy Decision of the Foreign Central Bank --- p.31 / Chapter 5.4. --- Financial Aid Decision of the Domestic Central Bank --- p.32 / Chapter 6. --- Concluding Remarks --- p.36 / Chapter 7. --- References --- p.38 / Chapter 8. --- Appendices --- p.40 / Chapter 8.1. --- Change in Price Level and Exchange Rate --- p.40 / Chapter 8.2. --- Optimization of Depreciation Rate --- p.41 / Chapter 8.3. --- Social Loss for Unilateral Devaluation --- p.42 / Chapter 8.4. --- Social Loss under Foreign Unilateral Devaluation --- p.43 / Chapter 8.5. --- Social Loss for Competitive Devaluations --- p.44 / Chapter 8.6. --- Impact of Ø on λ1 --- p.45 / Chapter 8.7. --- Optimization Benefit under different foreign policy --- p.46 / Chapter 8.8. --- The Complete Two-Country Game with Financial Aid --- p.47

Este estudo é sobre as transformações vividas pelos indivíduos na porção meridional da Serra do Espinhaço do estado de Minas Gerais, Brasil. Estas transformações se manifestam aparentemente como uma expansão da indústria do turismo. Porém, na realidade elas são expressão das determinações impostas ali pela crise da sociedade do trabalho. / This study deals with the social changes experienced by people from the southern area of Serra do Espinhaço, Minas Gerais, Brazil. These changes are related to the increase of the tourism industry however they are determined by crise o work society reproduction.

O desastre socioambiental ocorrido na cidade de Mariana (MG) no final do ano de 2015 é considerado o maior já ocorrido no Brasil. O rompimento da barragem de rejeitos operado pela mineradora Samarco S.A. despejou imediatamente 34 milhões de metros cúbicos de lama na bacia hidrográfica do Rio Doce, destruindo as comunidades locais de Bento Rodrigues e Paracatu de Baixo e causando a morte de dezenove pessoas. Esta tese tem como objetivo central relacionar as ações que a empresa Samarco e a Fundação Renova empreendem com seus stakeholders mais importantes no município de Mariana e os reflexos causados na retomada da licença social para operar desta empresa. Para tal, o referencial teórico foi montado em torno de assuntos relacionados à sustentabilidade, stakeholders e licença social para operar. O método científico adotado foi estudo de caso, por entender que o objeto de estudo é único e significativo, e que bem poderá servir para fundamentar por indução a análise de outros similares. A coleta de dados primários deu-se por meio de visitas, observações e entrevistas com os stakeholders entendidos como legítimas partes no problema causado pelo rompimento da barragem da Samarco. Além destes, analisaram-se dados secundários, tais como documentos públicos, materiais reportados pela mídia e inquéritos realizados pelos órgãos investigativos. Pôde-se concluir, após o cumprimento dos objetivos específicos, que o desastre não foi uma fatalidade; a empresa Samarco esteve mais orientada em gerar lucros - após a queda do preço de commodities de minério ocorrida desde o ano de 2011 - do que prezar pela segurança de sua operação, trabalhadores e comunidades onde a empresa operava. Apesar da insatisfação de seus stakeholders com várias questões relacionadas ao cuidado que a empresa deveria ter tido com os atingidos e com o próprio município de Mariana, a empresa ainda preserva sua licença social para operar, visto a cidade ainda depende da mineração como principal fonte de renda, de arrecadação e de geração de trabalho. / The environmental disaster that occurred in the city of Mariana, located in the State of Minas Gerais, by the end of 2015 is considered the largest one taking place in Brazil. The dam collapse, whose responsibility was attributed to the mining company Samarco S.A., was responsible for the 34 million cubic meters mining waste washed across Doce River, which destroyed the city of Bento Rodrigues and killed nineteen people. The purpose of this study is to demonstrate the relationship between the actions taken by Samarco and Renova Foundation and their most salient stakeholders in the city of Mariana, and its influence on the social license to operate. In order to fulfil such goal, the theoretical review approaches issues related to sustainability, stakeholders and social license to operate. This is a single case study since the object of our study is unique and meaningful and can be useful in analyzing similar cases. The primary data collection was accomplished through visits and interviews accomplished with salient stakeholders involved with the dam collapse. It was also possible to analyze secondary data, such as documents provided by the company, media reports and police investigation. After fulfilling the secondary objectives of the research, it was possible to conclude that the disaster was no fatality; Samarco seemed to be more inclined to generate profit - especially after the plunge in commodity prices - than to focus on the security of its employees and communities surrounding the company. Despite the dissatisfaction of several stakeholders, the company would still be awarded with a social license to operate, considering that several communities still rely on mining as the main source of income and tax collection.