No description available.

Thesis advisor: Peter Ireland / Thesis advisor: Christopher Baum / In this dissertation, I focus on macroeconomic and macroprudential policies. In Chapter 1, I study the effectiveness of macroprudential policy tools on bank risk. The findings show that although macroprudential policy tools can stabilize the financial system, under certain conditions, they might have perverse effects. In Chapter 2, I examine monetary aggregates, and show that once measured correctly, they can be useful in gauging the stance of monetary policy. In Chapter 3, by studying the deter- minants of sovereign debt crises, I aim at improving our understanding of sovereign debt distress, and also strengthening the toolkit for crisis prevention. Chapter 1: Following the 2007-2009 financial crisis, there has been an increase in the use of macroprudential policy tools – such as loan-to-value ratio caps and interbank exposure limits – to achieve financial stability. Existing research on the effectiveness of macroprudential policy has focused on country-level variables such as total credit growth and house price inflation. In “The Effectiveness of Macropruden- tial Policy on Bank Risk,” I study how the effectiveness of macroprudential policy varies across banks and policy tools. Using system GMM on bank-level data from 30 European countries for the time period between 2000 and 2014, I document that stricter regulation in the form of exposure limitations tends to decrease banks’ risk levels whereas capital-based tools tend to induce higher risk-taking. After a policy tightening, loan loss provisions and non-performing loans ratios of banks suffering losses can increase substantially, up to five percentage points, while they are likely to decrease for profitable banks. Constraining activities by stricter regulation can lead to a search for yield. Therefore, policy designers should pay particular attention to the increase in risk-taking following policy tightening, especially by banks suffering losses. Chapter 2: It is crucial for policymakers to successfully gauge the stance of mon- etary policy and understand the mechanisms through which it affects the economy. Conventional models focus on interest rates alone, and omit monetary aggregates from policy discussions. In “Do Monetary Aggregates Belong in a Monetary Model? Evidence from the UK,” I examine whether augmenting the measure of monetary policy with monetary aggregates helps in drawing more robust links between policy and economic fluctuations. After constructing the Divisia money index for the United Kingdom, I employ structural vector autoregression to identify two different episodes of UK monetary policy regimes. Inclusion of this (correct) measure of the quantity of money and disentangling money supply from money demand remedy the price and liquidity puzzles which frequently appear in the vector autoregression literature. The results point to the informational content embedded in monetary aggregates, and suggest that monetary aggregates should be taken into account while evaluating monetary policy. Chapter 3: In assessing debt sustainability for advanced and emerging markets, the IMF’s Market Access Countries’ Debt Sustainability Analysis (MAC DSA) com- pares the levels of debt and gross financing needs (GFNs) against benchmarks sepa- rately derived from the noise-to-signal approach. In “Determinants of Sovereign Debt Crises,” I identify the main factors that contribute to sovereign debt crises. I take into account a broad range of debt distress drivers, including debt levels and gross fi- nancing needs, but also debt composition, macroeconomic fundamentals, and country characteristics such as whether the country is a small state or member of a currency union. By using the estimation results, I first derive an indicative cutoff probability of debt distress level. Then, I calculate the corresponding thresholds for debt variables, above which countries are predicted to experience an episode of debt distress. / Thesis (PhD) — Boston College, 2018. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

A Lei de Responsabilidade Fiscal (LRF) foi criada em 2000, tendo como um de seus objetivos o de controlar e limitar o processo de endividamento dos estados brasileiros. No entanto, em 2016, a União acertou o refinanciamento das dívidas de alguns destes estados. Este trabalho busca analisar esta aparente contradição; a crise dos estados teria como origem fatores exógenos à LRF ou os mecanismos da LRF não foram suficientes para conter o comportamento de endividamento excessivo dos estados? Utilizando a metodologia de Bohn (1998), estimou-se cinco modelos: painel completo, separação regional, separação por critério endógeno, separação por gasto com pessoal em relação a receita corrente líquida e separação pelo critério da Resolução de número 40 do Senado Federal. As estimações contemplam quatro períodos: 2001 a 2015; 2008 a 2015; 2001 a 2020 e 2008 a 2020, e consideram tanto a dívida consolidada líquida quanto a bruta. Os resultados apontam que os instrumentos que foram criados são ineficientes, pois estados que não estão constrangidos por nenhuma punição da LRF não possuem uma trajetória sustentável da dívida. Por consequência, é reforçada a ideia de que há um comportamento de risco moral por parte dos estados, que procuram endividar-se excessivamente por considerarem que a dívida será renegociada pela União, comportamento este que só pode ser combatido a partir de aprimoramentos institucionais. / The \"Fiscal Responsibility Law\" (LRF) was created in 2000, having as one of its pillars the control of the regional states\' indebtedness process. However, in 2016, the federal government approved the refinance of such debts for some states. This paper seeks to analyze this seeming contradiction: the states\' crysis is due to factors that are exogenous to the LRF, or are the LRF mechanisms not sufficient to restrain the excessive indebtness by the states? Using Bohn\'s methodology (1998), five models are estimated: complete pannel, regional separation, separation by an endogenous criteria, separation by LRF\'s resolution to stafe workers expending (wages, pensions, etc) and separation by a Senate resolution\'s criteria. The estimations are made in four time frames: 2001-2015; 2008-2015; 2001-2020; 2008-2020, and both the net debt and the gross debt are considered. Results indicate that the instruments that were created by the LRF are inefficient, in the sense that states that are not punished or affected by said instruments do not follow a sustainable fiscal policy. Consequently, the idea of a moral hazard behaviour is reemforced: the states expect that the federal government will refinance its debt, so they do not follow a sustainable fiscal policy. This behaviour can only be stopped through institucional reforms.

本研究旨在討論外債和人權之間的協同作用和緊張關係，藉由探討聯合世界銀行國際貨幣基金組織債務對低收入國家的償債能力，尤其著重尼加拉瓜的例子。筆者發現有效支持兩個變量理論的連結，另外，本研究強調了政治決策改變人權債務的結果。 文獻探討發現過往討論各國償債能力忽略了人權因素，如此會抑止：（一）完成其任務，指導已納入人權要素在其發展援助干預的多邊和雙邊貸款；（二）審議侵犯人權的行為，特別是公民權利和政治權利的破壞治理和機構質量的因素；和（三）解決其減少債務相關的風險政策的人權影響。 研究分析的結果發現高度的侵犯人權行為（特別是公民權利和政治權利），不僅導致政治不穩定，也破壞了宏觀經濟的穩定。 / The author's research studies the synergies and tensions between external debt and human rights. To do this, the study examines the joint world bank-international monetary fund Debt Sustainability Framework for Low Income Countries, whilst paying particular attention to Nicaragua’s case. The author finds support for the validity of theoretical arguments that link the two variables. Specifically, the investigation examines and specifies how political decisions as a result of changes in human rights impact debt sustainability as well as and how high debt affects respect of human rights. The review of the Debt Sustainability Framework revealed that the framework ignores human rights issues in its methodology, which inhibits the framework’s ability to: i) accomplish its mandate to provide guidance to multilateral and bilateral lenders that have incorporated human rights elements in their development aid interventions; ii) to consider human rights violations, especially civil and political rights as a factor that undermines the quality of governance and institutions; and iii) address human rights impacts of the policies which reduce debt related risks. The inclusive growth diagnostic conducted by Nicaragua provided an in-depth study of the growth drivers (repayment capacity) and factors that are hindering their growth. As a result of the analysis, it revealed that high human rights violations (specially civil and political rights) have not only led to political instability, but also undermined macroeconomic stability - upsetting macroeconomic stability and increasing indebtedness.

A Lei de Responsabilidade Fiscal (LRF) foi criada em 2000, tendo como um de seus objetivos o de controlar e limitar o processo de endividamento dos estados brasileiros. No entanto, em 2016, a União acertou o refinanciamento das dívidas de alguns destes estados. Este trabalho busca analisar esta aparente contradição; a crise dos estados teria como origem fatores exógenos à LRF ou os mecanismos da LRF não foram suficientes para conter o comportamento de endividamento excessivo dos estados? Utilizando a metodologia de Bohn (1998), estimou-se cinco modelos: painel completo, separação regional, separação por critério endógeno, separação por gasto com pessoal em relação a receita corrente líquida e separação pelo critério da Resolução de número 40 do Senado Federal. As estimações contemplam quatro períodos: 2001 a 2015; 2008 a 2015; 2001 a 2020 e 2008 a 2020, e consideram tanto a dívida consolidada líquida quanto a bruta. Os resultados apontam que os instrumentos que foram criados são ineficientes, pois estados que não estão constrangidos por nenhuma punição da LRF não possuem uma trajetória sustentável da dívida. Por consequência, é reforçada a ideia de que há um comportamento de risco moral por parte dos estados, que procuram endividar-se excessivamente por considerarem que a dívida será renegociada pela União, comportamento este que só pode ser combatido a partir de aprimoramentos institucionais. / The \"Fiscal Responsibility Law\" (LRF) was created in 2000, having as one of its pillars the control of the regional states\' indebtedness process. However, in 2016, the federal government approved the refinance of such debts for some states. This paper seeks to analyze this seeming contradiction: the states\' crysis is due to factors that are exogenous to the LRF, or are the LRF mechanisms not sufficient to restrain the excessive indebtness by the states? Using Bohn\'s methodology (1998), five models are estimated: complete pannel, regional separation, separation by an endogenous criteria, separation by LRF\'s resolution to stafe workers expending (wages, pensions, etc) and separation by a Senate resolution\'s criteria. The estimations are made in four time frames: 2001-2015; 2008-2015; 2001-2020; 2008-2020, and both the net debt and the gross debt are considered. Results indicate that the instruments that were created by the LRF are inefficient, in the sense that states that are not punished or affected by said instruments do not follow a sustainable fiscal policy. Consequently, the idea of a moral hazard behaviour is reemforced: the states expect that the federal government will refinance its debt, so they do not follow a sustainable fiscal policy. This behaviour can only be stopped through institucional reforms.

L’objectif de cette thèse est d’étudier la soutenabilité de la dette publique en fonction du niveau de développement des pays. Après avoir revu la littérature économique en matière d’indicateurs de soutenabilité de la dette, nous avons appliqué des méthodes empiriques et statistiques pour analyser la viabilité de la dette des pays développés et en développement. Nous avons ainsi estimé une fonction de réaction budgétaire pour les gouvernements des pays du G7 qui révèle que les gouvernements des pays du G7 ne se sont pas souciés de l’équilibre de leurs finances publiques sur la période 1978-2007 ; et qu’il y a une attention particulière à la soutenabilité des finances publiques au sein de pays appartenant l’union monétaire européenne. Ensuite, nous avons analysé la soutenabilité de la dette de la Côte d’Ivoire, par le biais de méthodes statistiques utilisées par les Institutions Financières Internationales. Le pays présente ainsi un risque modéré du profil d’endettement ; et l’assainissement de ses finances publiques est essentiel pour la viabilité de la dette à long terme. Par ailleurs, l’évaluation de la performance de la gestion de la dette publique ivoirienne révèle que la conception d’une réelle politique nationale d’endettement permettrait de combler les insuffisances des dispositifs existants. En définitive, les conclusions de notre étude suggèrent des réflexions supplémentaires sur l’analyse théorique de la soutenabilité et sur la cadre de gestion internationale de la dette publique. / The purpose of this thesis is to analyse public debt sustainability according to the level of national economic development. After reviewing the economic literature on public debt sustainability indicators, we applied specific empirical methods to compare developed countries and analyse a heavily indebted poor country (HIPC). We first estimated, among G7 governements, an error-correction-type policy reaction function based on an iterative bayesian estimation that compares the different dynamics of public debt evolution. This analysis reveals that on one hand G7 governments did not focus on debt sustainability during the time frame (1978-2007) ; on the other hand, we noticed a particular attention to debt sustainability in Eurozone countries (Germany, France, Italy) as compared to other countries in the sample. Next, we analyzed the debt sustainability of Côte d’Ivoire, a sub-Saharan Heavily Indebted Poor Country using statistical methods developed by the IMF and the World Bank. The results showed that the country has a moderate risk to indebtment ; therefore budget stabilization and diversification of its exports will be critical for its long-term debt sustainability. Beyond these objectives, the evaluation of the public debt management process, based on an international method (DeMPA), also highlights that designing a real national debt policy could fulfill the shortcomings of current policies. Overall, the conclusions of our thesis suggest additional researches and reflections on the theoretical analysis of public debt and on the architecture of the international public debt management frameworks.

Esta dissertação analisa a sustentabilidade da dívida pública brasileira utilizando a metodologia proposta por Bohn (1998, 2008), levando em consideração as operações de contabilidade criativa e os empréstimos do governo federal para bancos públicos, principalmente BNDES. Para isso, utilizam-se diversos conceitos de superávit primário (oficial; oficial excluindo as receitas de contabilidade criativa; e permanente) e de endividamento (dívidas líquida, bruta e bruta excluídas reservas internacionais), para o período de 2003 a 2014. Em todos os casos analisados, a hipótese de sustentabilidade não foi satisfeita, logo há a necessidade de se alterar a política fiscal do país. Foram realizados testes de quebra estrutural seguindo a metodologia de Bai e Perron (1998), nos quais se verificou que a alteração no padrão da política fiscal pós-crise de 2008 foi um dos principais responsáveis pelo resultado de não sustentabilidade. Verificou-se também que, para esse período pós-crise, o cumprimento da meta do superávit primário se deveu, em grande parte, às receitas de concessões, refinanciamentos (Refis) e dividendos, com destaque para BNDES e Caixa Econômica Federal. / This dissertation analyses the sustainability of Brazil\'s public debt using the methodology proposed by Bohn (1998, 2008), taking into consideration creative accounting and loans from the federal government to public banks, especially BNDES. To this end, various concepts of primary surplus (official; official excluding revenues from creative accounting; and structural) and debt (net debt; gross debt; and gross debt excluding international reserves) are used, from 2003 to 2014. For all the scenarios the hypothesis of fiscal sustainability was not satisfied, and therefore the government would have to change the fiscal policy in Brazil. Structural break tests were performed following the methodology of Bai and Perron (1998), in which was found that the change in fiscal policy post-crisis of 2008 was one of the major factors on the results of non-sustainability. It was found that, for this post-crisis period, the fulfillment of the primary surplus target was mostly due to concession revenues, refinancing (Refis) and dividends, highlighting BNDES and Caixa Econômica Federal.

Esta dissertação analisa a sustentabilidade da dívida pública brasileira utilizando a metodologia proposta por Bohn (1998, 2008), levando em consideração as operações de contabilidade criativa e os empréstimos do governo federal para bancos públicos, principalmente BNDES. Para isso, utilizam-se diversos conceitos de superávit primário (oficial; oficial excluindo as receitas de contabilidade criativa; e permanente) e de endividamento (dívidas líquida, bruta e bruta excluídas reservas internacionais), para o período de 2003 a 2014. Em todos os casos analisados, a hipótese de sustentabilidade não foi satisfeita, logo há a necessidade de se alterar a política fiscal do país. Foram realizados testes de quebra estrutural seguindo a metodologia de Bai e Perron (1998), nos quais se verificou que a alteração no padrão da política fiscal pós-crise de 2008 foi um dos principais responsáveis pelo resultado de não sustentabilidade. Verificou-se também que, para esse período pós-crise, o cumprimento da meta do superávit primário se deveu, em grande parte, às receitas de concessões, refinanciamentos (Refis) e dividendos, com destaque para BNDES e Caixa Econômica Federal. / This dissertation analyses the sustainability of Brazil\'s public debt using the methodology proposed by Bohn (1998, 2008), taking into consideration creative accounting and loans from the federal government to public banks, especially BNDES. To this end, various concepts of primary surplus (official; official excluding revenues from creative accounting; and structural) and debt (net debt; gross debt; and gross debt excluding international reserves) are used, from 2003 to 2014. For all the scenarios the hypothesis of fiscal sustainability was not satisfied, and therefore the government would have to change the fiscal policy in Brazil. Structural break tests were performed following the methodology of Bai and Perron (1998), in which was found that the change in fiscal policy post-crisis of 2008 was one of the major factors on the results of non-sustainability. It was found that, for this post-crisis period, the fulfillment of the primary surplus target was mostly due to concession revenues, refinancing (Refis) and dividends, highlighting BNDES and Caixa Econômica Federal.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / A utilizaÃÃo de dados em painel em estudos econÃmicos tem se tornado cada vez mais constante, em virtude de possuir mais vantagens do que meio de corte transversal puro ou sÃrie temporal pura. Permitindo, assim, obter estimativas economÃtricas mais eficientes. Outro ponto importante decorre da possibilidade de isolar os efeitos de aÃÃes especÃficas, tratamentos ou polÃticas em geral. Neste sentido, este estudo busca analisar trÃs casos na economia brasileira utilizando dados estaduais em painel. No capÃtulo I, busca-se analisar a existÃncia de integraÃÃo no mercado atacadista brasileiro de tomate, utilizando um painel dinÃmico que permite efeitos limiares (threshold) para testar a hipÃtese de convergÃncia desse mercado para a Lei do PreÃo Ãnico. Os resultados favorecem a hipÃtese de integraÃÃo entre os principais mercados brasileiros de tomate e nesse processo hà evidÃncias empÃricas de custos de transaÃÃo. No capÃtulo II, pretende-se analisar a sustentabilidade da dÃvida dos estados brasileiros apÃs a implementaÃÃo da Lei de Responsabilidade Fiscal (LRF) atravÃs da funÃÃo da resposta fiscal do Governo, metodologia esta desenvolvida por Bohn (2006). Os resultados mostram que os estados brasileiros nÃo respondem da forma esperada para manter suas dÃvidas sustentÃveis. No capÃtulo III, busca-se analisar os efeitos do crescimento econÃmico, da desigualdade e do Programa Bolsa FamÃlia (PBF) nos Ãndices de pobreza no Brasil. Para isso, utilizou-se um modelo de painel dinÃmico, estimado pelo mÃtodo de momentos generalizados para sistema em dois passos, desenvolvido por Blundel-Bond (1998). Os resultados mostram que os gastos com a bolsa famÃlia nÃo apresentaram impacto sobre a pobreza e que polÃticas de crescimento econÃmico que promovam um aumento da renda em conjunto com a reduÃÃo de suas disparidades sÃo preferÃveis a polÃticas de crescimento econÃmico que favoreÃam pura e simplesmente o aumento da renda mÃdia no combate à pobreza no Brasil. / The use of panel data in economic studies becomes increasingly constant, because it has more advantages than pure medium cross-section or pure time series. Thus obtain more efficient econometric estimates. Another important point arises from the possibility to isolate the effects of specific actions, treatments or policies in General. In this sense, this study seeks to examine three cases in the Brazilian economy using state data in the pane. In chapter I, to examine the existence of market integration Brazilian wholesaler, tomato using a dynamic Panel that allows effects thresholds (threshold) to test the hypothesis that the market convergence to the law of one price. The results support the hypothesis of integration between the main tomato and Brazilian markets in this process there is empirical evidence of transaction costs. In chapter II seeks to analyze the sustainability of the debt of Brazilian States after implementation of the law of fiscal responsibility (LRF) through fiscal response function of Government, this methodology developed by Bohn (2006). To this end, it was estimated econometric model for data on Panel with annual data for the period 2000-2008 for the stock of net debt and spending and revenue streams. The results show that the Brazilian States do not respond as expected to keep their debts sustainable. In chapter III, sought to analyse the effects of economic growth, inequality and the Bolsa Familia program (PBF) in poverty rates in Brazil. This was a model of dynamic Panel, estimated by the generalized method of moments for two-pass system, developed by Blundel-Bond (1998). The results show that spending on the bolsa famÃlia did not, in any of the models examined, impact on poverty. It was found that the average family income rises per capita as the reduction of inequality are statistically significant in combating poverty, whether in the proportion of poor or indigent ratio and that economic growth policies that promote increased income together with the reduction of their disparities are preferable to economic growth policies that favor simply increased incomes average in combating poverty in Brazil.

Thesis deals with a fiscal policy issue with emphasis on the debt crisis. First specifics of the data capture of the government sector for the purpose of evaluating the fiscal position are analyzed. It includes assessment of the fiscal sustainability indicators and the historical reaction function of fiscal policy in the EU. The analysis of cyclical adjustment of the government balance, definition of fiscal impulse and the estimation of fiscal multipliers in the Czech Republic precedes the contribution to the debate regarding the optimal fiscal policy setup with respect to debt sustainability in the long run and sufficient degree of flexibility in the short run. The thesis concludes with the identification of the causes of the fiscal debt crises with the subsequent analysis of possible ways to resolve the already existing fiscal imbalances and assessing the appropriateness of the Czech government's consolidation.