This paper examines the long-run relationship between exchange rates and prices in ten countries in Southwest Asia, Africa, and the Pacific Rim for the post-Bretton Woods period. It uses cointegration tests to investigate the thesis that relative purchasing power parity exists as a long-run equilibrium condition between country-pairs. It expands upon tests for relative purchasing power parity suggested by previous authors by pretesting price index time series for structural breaks, in addition to pretesting the price indices and exchange rates for compatible stochastic properties. It compares the results of conventional cointegration tests for parity with a weaker form of the relationship suggested by Pippenger (1993) and Patel (1990), and finally, examines purchasing power parity by testing real bilateral exchange rates for stationarity. / Master of Arts

Cette thèse a pour objet d’évaluer les potentialités et les impacts des monnaies locales, sociales et complémentaires au regard des enjeux posés par le développement soutenable. La thèse adopte une approche socioéconomique et institutionnaliste, alimentée principalement par deux études de terrain sur les dispositifs du SOL Alpin (France) et de l’Accorderie (Québec) pour obtenir des données quantitatives et qualitatives. Dans une approche bioéconomique et socioéconomique, un double enchâssement de l’économie dans le social et du social dans l’environnement est postulé. À partir des résultats des enquêtes et de l’analyse théorique, un schéma monétaire à même de favoriser le développement local soutenable sera présenté. Cet agencement propose, dans un dépassement de l’approche en termes de complémentarité, de poser les jalons d’une perspective relative à la subsidiarité monétaire c'est-à-dire un agencement monétaire relatif à chaque niveau d’action sur le territoire. / This thesis aims to assess the potential and impact of local, community and complementary currencies with regard to the challenges posed by sustainable development. The thesis adopts a socio-economic and institutionalist approach based mainly on the SOL Alpin (France) and the Accorderie (Quebec) to obtain quantitative and qualitative data. In a bio-economic and socio-economic approach is postulated a double embeddedness of the economy in the social and social in the environment. From the survey results and theoretical analysis will be presented a monetary scheme able to support local sustainable development. This arrangement provides beyond the approach to complementarity, to lay groundwork for a perspective on subsidiarity money that is to say monetary arrangement on each level of action in the territory.

Over the last decade, researchers have attempted to show how efficient the markets are by using Fama’s Efficiency Market Hypothesis (EMH). The theory states that an investor cannot increase his returns without taking additional risk. The markets can be efficient in different forms depending on the information included in the traded asset. It is quoted that: "There ain't no such thing as a free lunch". However, the topic still remains disputable since researchers have introduced controversial findings after investigating different markets. Overall, emerging markets have been characterized with higher volatility which consequently declares for market imperfections. Commonly, these market inefficiencies are quickly captured by the eye of the investors who are lurking for potential benefits through exploiting them. These are the so called arbitrage opportunities which exist on different level of impact, depending on the attitude of the market. The existence of arbitrage is clear evidence against Fama’s theory and it has been documented in numerous studies. Unfortunately those events occur rarely and disappear in a matter of seconds, thus; is highly competitive to capitalize. Over the last decade high frequency trading (HFT) became popular on different markets and it allowed traders to make decisions and execute transactions in a matter of milliseconds using algorithms. The market we are interested in is the Forex market which is a decentralized market where currencies from all over the world are traded. Main participants include multinational banks which rely heavily on HFT. The method used to benefit from inefficiency is called triangular arbitrage and it involves selling and buying 3 sets of currency pairs in times when a parity is violated. The goal of this study is to answer the following research question, “Is there a difference in triangular arbitrage opportunities between emerging markets and developed ones?” The main objective of this research is to examine how the number of arbitrage occurrences varies considering different market characteristics. Furthermore, the originality of the research stems from the comparison between strategies using currencies from developed economies and emerging ones. Moreover, the additional academic value comes from the analysis of a new dataset that has not yet been examined. Lastly, our results make an empirical contribution into a country’s economy by reducing market inefficiencies and increasing economic stability. Our sample consists of quantitative data totaling to 2.4 million observations per quotation taken from 2011 and 2013 for currencies picked using a non-probability convenience method based on their property to be converted to EUR and USD currency and availability of information. The research revealed that differences between the two types of market exist, and indicates that the “early” markets possess higher arbitrage activity in contrast to the mature economies. These results should boost the potential for a better trading management and upgrade the profit growth.

Submitted by Nicole Fobe (lacri.nickita@gmail.com) on 2016-03-22T13:39:30Z No. of bitstreams: 1 2016.03.22_Dissertação_Nicole_Fobe.pdf: 1346204 bytes, checksum: 62e5cec68acbfa36353cb141c085ddef (MD5) / Rejected by Letícia Monteiro de Souza (leticia.dsouza@fgv.br), reason: Prezada Nicole, Conforme conversamos, seu trabalho foge das normas ABNT pelo seguinte motivo: 1- Epigrafe. Favor alterar o trabalho. Estou a disposição para eventuais dúvidas, Letícia Monteiro 37993631 on 2016-03-22T13:56:29Z (GMT) / Submitted by Nicole Fobe (lacri.nickita@gmail.com) on 2016-03-22T14:15:39Z No. of bitstreams: 1 2016.03.22_Dissertação_Nicole_Fobe_Versão Protocolo.pdf: 1344763 bytes, checksum: 631d7b9d59a53c472d63efb47678463c (MD5) / Approved for entry into archive by Letícia Monteiro de Souza (leticia.dsouza@fgv.br) on 2016-03-22T15:43:22Z (GMT) No. of bitstreams: 1 2016.03.22_Dissertação_Nicole_Fobe_Versão Protocolo.pdf: 1344763 bytes, checksum: 631d7b9d59a53c472d63efb47678463c (MD5) / Made available in DSpace on 2016-03-22T16:00:46Z (GMT). No. of bitstreams: 1 2016.03.22_Dissertação_Nicole_Fobe_Versão Protocolo.pdf: 1344763 bytes, checksum: 631d7b9d59a53c472d63efb47678463c (MD5) Previous issue date: 2016-03-11 / The existence of monetary instruments complementary to those so-called 'official' ones is not a recent phenomenon. Throughout history, many have been the forms and occasions in which complementary currencies were put in circulation. Recently, however, these instruments merged with technology, reaching almost unlimited potential and bringing to light consequences which we do not yet know how to estimate. This dissertation’s objective is to analyze a specific case of highly technological complementary currency: the Bitcoin. This should constitute a clearer approach directed to jurists, since most of the vocabulary envolving cryptocurrencies envolves IT and economical concepts. The study proposes a reflexion as to what does it mean to regard the Bitcoin as a complementary currency – even though the discussion as to whether it is or not a currency at all constitutes only one of the possible approaches. I also explore which are the regulatory options adopted by different jurisdictions that have been forced to take a position regarding virtual currencies in general and Bitcoin in particular. As I will present, the terminology chosen by countries while regulating the Bitcoin results in its inclusion under different law categories and, as a direct consequence, the juridical implications vary according to the terminology first embraced. The main treatment given to Bitcoin translates in taxation, in which we can clearly notice the concern from each State to juridically classify the instrument according to the specific regulation one wants to invoke. From the survey carried out here, 62 jurisdictions have already taken a position towards the Bitcoin. With more and more attention from international regulatory agencies – such as the European Central Bank and the International Monetary Fund – the Bitcoin increases its potential and its limitations, especially regarding the challenges faced by an efficient regulation. The conclusion of this dissertation reinforces the notion that the juridical treatment given to new phenomena is not homogeneous, that is, Law does not have one right way to deal with situations found in the world of facts. Also, regarding the Bitcoin as a parallel currency may help regulators to better understand and regulate this cryptocurrency. / A existência de instrumentos monetários paralelos àqueles 'oficiais' não é um fenômeno recente: ao longo da história, diversas foram as formas e ocasiões em que circularam moedas paralelas. No entanto, nos últimos anos, esses instrumentos fundiram-se com a tecnologia, atingindo um alcance praticamente ilimitado, trazendo consequências que ainda não se sabe como estimar. Este trabalho tem por objetivo estudar um caso específico de moeda paralela de alta complexidade tecnológica, o Bitcoin, e descrever quais têm sido os posicionamentos adotados por uma série de jurisdições a esse respeito. Trata-se de uma aproximação mais palatável da linguagem da Tecnologia da Informação e da Economia aos operadores do Direito. O estudo estende-se na direção de propor uma reflexão acerca do significado de se reconhecer no Bitcoin uma moeda paralela – muito embora a discussão acerca de ser ou não moeda constituir apenas uma das discussões possíveis. Explora-se quais têm sido as opções de regulação adotadas pelos Estados que se vêem obrigados a assumir uma posição em relação às moedas virtuais, em geral, e ao Bitcoin, em particular. Percebe-se que a terminologia escolhida pelas jurisdições no tratamento do Bitcoin resulta na sua inclusão em diferentes categorias do Direito e, como consequência direta disso, as implicações jurídicas variam de acordo com a terminologia adotada. O principal tratamento dispensado ao Bitcoin é aquele via tributação, notando-se a preocupação de cada Estado em classificar juridicamente o Bitcoin de acordo com a regulação específica que se pretende invocar a incidência. De acordo com o levantamento realizado, 62 jurisdições já assumiram um posicionamento em relação ao Bitcoin. Com cada vez mais atenção dispensada por órgãos regulatórios internacionais – como é o caso do Banco Central Europeu e do Fundo Monetário Internacional – o Bitcoin reforça seu potencial e suas limitações, principalmente no tocante aos desafios enfrentados à uma regulação eficaz. A conclusão deste trabalho procura reforçar que o tratamento jurídico dispensado a fenômenos novos não é uniforme, e que, uma vez encarado pelo viés da teoria econômica que reconhece a existência das moedas paralelas, o Bitcoin pode ser mais facilmente apreendido em um aparato regulatório.

Thesis is dealing with the development of the central banking on the basis of experience from the last decade. Hypothesis is the statement, whether the central banks of the developed economies are increasingly less capable of the effective reactions on the accelerating development of the global economy and their position in the money emission and regulation of the banking sector is and will be more and more weakened by the alternative banking and monetary systems. This hypothesis is successfully disproved because of the behavior of the four chosen central banks which are CNB, FED, ECB and BoJ. The main reason was an increase in their activities and interventions causing among others multiplication of their balance sheets. On the other hand the alternative in the free banking is further from the reality than before. Virtual currencies also did not show threatening growth of the national currencies substitution in the reference period. Thesis also provides insight into new and potentially new instruments of the central banks.

The emergence of stablecoins and their current implementations share many similarities to the American free banking era. This was an era with economically inefficient money and payment systems, where banks issued private money that were fully redeemable in theory but not always in practice. As of today, parts of the monetary and payment systems can also be considered inefficient, and a digital currency such as a stablecoin could provide significant improvements in areas such as cross-border payments, financial inclusion, as well as contribute to a more robust monetary system.  This thesis aims to help contribute insights into how the future payment systems may look like, with a specific focus on stablecoins and central bank digital currencies (CBDCs). The emergence of the two technologies are closely interlinked, and are currently in an early state of coexistence. This qualitative study investigates the sentiment regarding the future development of stablecoins and their possible continued coexistence with CBDCs. Semi-structured interviews were held with participants from three categories of the Swedish corporate landscape; cryptocurrency innovators and investors, state representatives, and corporate representatives. The main conclusions were was that in the short term, regulations will be a key enabler for continued stablecoin development. There is currently a lack of clarity and guidelines which is making it hard for generally accepted stablecoins to be established. Furthermore, the general consensus is that stablecoins and central bank digital currencies will co-exist in the future monetary system in the long-term, where each technology will have different use cases. / Framväxten av stablecoins och dess nuvarande implementationer delar många likheter med den amerikanska ”free-banking” eran. Detta var en tidsepok med ekonomiskt ineffektiva pengar och betalsystem, där banker emitterade pengar som skulle vara fullt inlösningsbara teorin, men inte alltid i praktiken. Även idag kan delar av penga- och betalsystemen anses vara ineffektiva, och en digital valuta såsom en stablecoin skulle kunna bidra med betydande förbättringar inom områden såsom utrikesbetalningar, finansiell inkludering, samt bistå i utvecklingen av ett mer robust pengasystem. Denna uppsats ämnar bidra med insikter om hur framtidens betalsystem kan se ut, med ett specifikt fokus på stablecoins och centralbanksvalutor (eng. central bank digital currencies, CBDCs). Framväxten av de två teknologierna är nära relaterade, och för närvarande samexisterar dessa i ett tidigt stadie. Denna kvalitativa studie undersöker sentimentet kring den framtida utvecklingen av stablecoins och dess möjliga fortsatta samexistens med centralbanksvalutor. Semi-strukturerade intervjuer hölls med deltagare från tre kategorier av svenskt näringsliv: innovatörer och investerare inom kryptovalutor, företrädare för staten, samt bolagsrepresentanter. De huvudsakliga slutsatserna var att på kort sikt kommer regleringar vara viktiga för att möjliggöra fortsatt utveckling av stablecoins. I dagsläget saknas det klarhet och riktlinjer vilket gör det svårt för en generellt accepterad stablecoin att utvecklas. Vidare så är den generella uppfattningen att stablecoins och centralbanksvalutor kommer samexistera i framtidens betalsystem, då de båda teknikerna kommer ha olika användningsområden

˼˶為因應全球金融海嘯及歐債危機之匯兌風險、歐美先進國家採行量化寬鬆貨幣政策所產生之外溢成本，以及經濟實力相對提升，2009年中國開始推動人民幣國際化。目前人民幣已成為全球第五大支付貨幣，且國際貨幣基金會(International Monetary Fund)在2015年10月31日宣布將人民幣納入特別提款權籃子(Special Drawing Right)，人民幣國際化進程十分迅速。 長期以來，人民幣被國際間普遍認為是低估的，本文使用購買力平價模型(Purchasing Power Parity)及有效匯率模型(Effective Exchange Rate)估算人民幣高低估程度，分析結果顯示人民幣匯率低估程度已有大幅改善，逐漸接近均衡匯率(Equilibrium Exchange Rate)。 另外，人民幣匯率形成機制也是國際間關注的議題，在2010年中國重啟人民幣匯改後，逐步放寬人民幣兌美元單邊波幅，且對外宣稱逐步與美元脫鉤，實行釘住一籃子貨幣的匯率形成機制。本文用中國人民銀行所發佈的CFETS人民幣匯率指數所公布的組成成分，將13種貨幣變動率對人民幣做回歸分析，推論中國目前採取『可調整的釘住一籃子』的匯率形成機制。若中國欲將人民幣推廣成為國際貨幣，勢必需推動匯率自由化，並降低人為操弄空間。 / In response to exchange rate risks to the global financial crisis and European debt crisis, developed countries adopt quantitative easing monetary policy arising from the spillover costs, and the enhancing of the economic strength, in 2009, China began to implement the internationalization of the RMB. The RMB has become the world's sixth-largest currency of payment. Besides, IMF (International Monetary Fund) announced the Yuan to be included in the SDR basket (Special Drawing Right) on October 31, 2015, RMB internationalization process is very fast. For a long time, the Yuan’s value is regarded underestimated. This paper uses the PPP model (Purchasing Power Parity) and Effective Exchange Rate model to estimate the degree of undervaluation of Yuan. The analysis shows that the degree of undervaluation has been greatly improved, and gradually approaching the equilibrium exchange rate. In addition, the RMB exchange rate regime is also a very important issue. After China restarted the RMB exchange rate reform in 2010, the volatility limitation of Yuan against the US dollar is gradually relaxed. China also announced that the exchange rate regime decoupled the US dollar peg to a basket of currencies. This paper uses CFETS RMB exchange rate index’s composition of the 13 kinds of currency rate on a regression analysis to the Yuan. We find out that China’s exchange rate regime is "adjustable peg to a basket". If China wants the Yuan to be an international currency, the exchange rate must be liberalized and the space of manipulation must be minimized.

本文採用1990年至2004年10月之月資料，建立人民幣出口、進口及雙邊貿易之三項實質有效匯率指數。考量中國大陸特殊政、經情勢，以及加入WTO後，進出口貿易更加自由化的前提下，運用中國大陸進出口值、物價水準，建立人民幣實質有效匯率指數，所依循理論較無疑慮，而援引之數據亦無太大爭議。 為貼近中共當局宣稱建立「符合市場經濟的靈活的匯率制度」，本文選擇與中國前十二大貿易夥伴組成一籃子貨幣，用以編纂人民幣實質有效匯率指數，將現行釘住美元之匯率改為釘住「一籃子」貨幣，能有效反映人民幣價值，亦可衡量中國外貿競爭力。 實證結果發現，相對於基期(2000年)，1990∼1993年指數多低於100，幣值高估；1994年匯率併軌，匯價發生結構性改變，幣值過度低估，後指數逐步下跌，1997年趨近均衡匯率。1997年亞洲金融風暴至2002年，甚至出現與均衡匯率並無太大偏離現象，即便有所失調亦能在短期內適切調整。2002年下半年至2004年年底，匯價低估趨勢確立，但偏離均衡匯率僅5％上下，幅度不太。 中國宣稱要「和平崛起」，自應承擔更多國際義務，人民幣升值是無可違逆的趨勢。為避免干擾經濟發展，勢必採行積極之管理浮動匯率制度，釘住一籃子貨幣並設定幅度狹窄之浮動區間「微調」。匯價調整時機，除衡酌自身經濟面的條件，尚須納入國際政治面的考量，由中共官方談話研判，人民幣升值，將是無預警的，出其不意的。 / In this paper monthly data from 1990 through October 2004 are used to establish real effective exchange rate indices of RMB for export, import and bilateral trading respectively. These real effective exchange rate indices are established taking the particular political and economic conditions in China into consideration, based on the increasingly liberation of importation and exportation after joining WTO, and using China’s import and export volume as well as its CPI. The theory used is doubtlessly correct and there is no much dispute on the data referred herein. To adhere with what the China government proclaimed: “a flexible exchange rate meeting the market economics”, currencies of its top 12 trade partners are selected for a basket of currencies instead of pegging to US dollar, in forming the real effective exchange rate indices. These indices can effectively reflect RMB’s true value, and measure China’s foreign trade competition. According to the result of verification, in comparing with the base period (2000), the indices for 1990 – 1993 were mostly less than 100, representing that RMB was overvalued. In 1994 the exchange rates were unified, resulting in a structural change on foreign exchange rate, RMB was undervalued. Then, these indices fell gradually, and the exchange rate tended to become balanced in 1997. From 1997, while the Asian financial crisis happened, till 2002, there was no much deviation from the balanced exchange rate, i.e., even there was any out of balance, it was adjusted properly within a relatively short time. From the second half of 2002 till the end of 2004, the tendency of undervaluation was ascertained, by the deviation was only about 5%, the range was not so much. Proclaiming that it is going to “peacefully rise”, China should assume more international liabilities, and the appreciation of RMB is a non-reversible trend. To avoid interference to its economic development, China has no choice but to adopt an aggressively control on its floating exchange rate regime, pegging to a basket of currencies and setting up a relatively narrow range of tunnel for “snaking”. In addition of its own political economy, international political situation must be taken into consideration for timing of its exchange rate adjustment. From some China government officials’ statements, it can be seen that appreciation of RMB would be done without any warning in advance and unexpectedly.

Des innovations monétaires, donnant à la monnaie des formes et des caractéristiques nouvelles, sont aujourd’hui utilisées dans le but de favoriser le processus de développement économique. Au Kenya, elles se concrétisent dans les systèmes de monnaie mobile tels que le M-Pesa, ainsi que dans plusieurs monnaies locales mises en place sur le modèle du Bangla-Pesa. Ces monnaies ont des natures et des logiques divergentes, dont la thèse vise à en montrer les impacts et les implications. Pour cela, nous utilisons notamment des données issues de deux enquêtes de terrain.Les innovations monétaires interpellent les théories du développement, qui ont largement exclu la monnaie de leurs analyses, et qui la considèrent généralement comme étant neutre. L’étude de ces dispositifs nous permet de poser les bases d’une théorie monétaire du développement, en questionnant ce faisant le sens à donner au concept de développement, et les rôles que doivent jouer pour celui-ci la monnaie et la finance. / Monetary innovations, giving money new forms and characteristics, are now used to promote the process of economic development. In Kenya, they unfold in mobile money systems such as M-Pesa, as well as in several local currencies implemented on the model of the Bangla-Pesa. These monies have different natures and logics, and the thesis aims to show their impacts and implications. For this, we use data from two field surveys.Monetary innovations challenge development theories, which have largely excluded money from their analyzes, and which generally consider it to be neutral. The study of these schemes allow us to lay the foundations of a monetary theory of development. By doing so, we question the meaning of the concept of development, and the roles that money and finance have to play for it.

Cette thèse analyse comment les fluctuations du prix du pétrole affectent les économies des pays exportateurs de produits de base. Plus précisément, l'objectif de cette thèse est d'étudier les impacts macroéconomiques, financiers et environnementaux des fluctuations des prix du pétrole, en accordant une attention particulière à l'hypothèse de la monnaie du pétrole. À cette fin, cette thèse se compose de trois chapitres. Les premier et deuxième chapitres portent sur le taux de change réel des devises de plusieurs pays exportateurs de pétrole. Le troisième chapitre explore les liens entre le prix des biocarburants et le compte courant des pays émergents et en développement exportant ou important des matières premières agricoles contrôlant l'effet non linéaire potentiel exercé par le prix du pétrole sur cette relation. Ces chapitres montrent que si le prix du pétrole a un effet macroéconomique sur les économies exportatrices de pétrole et les pays exportateurs de produits agricoles, son impact varie d'un pays à l'autre et il n'y a pas de règle unique pour décrire le fonctionnement de ces économies. / This thesis analyzes how fluctuations in the price of oil affect the economies of commodity exporting countries. More specifically, the aim of this thesis is to investigate the macroeconomic, financial and environmental impacts of oil price fluctuations, by paying particular attention to the oil currency hypothesis. To this end, this thesis is composed of three chapters. The first and second chapters deal with the real exchange rate of the currencies of several oil exporting countries. The third chapter explores the links between the price of biofuels and the current account of emerging and developing countries exporting or importing agricultural raw materials controlling for the potential nonlinear effect exerted by the price of oil on this relationship. Altogether these chapters show that while the price of oil has a macroeconomic effect on oil exporting and agricultural commodities exporting countries, its impact varies across countries and there is no one fits all rule.