Magister Commercii - MCom / A possible effect of quantitative easing (QE) undertaken by the United States of America (USA) Federal Reserve Bank (Fed) may have been an increase in capital flowing into emerging market economies (EMEs). The 2008 global financial crisis created an environment in which traditional monetary policies – cutting policy rates – became ineffective in stimulating growth. Faced with this policy environment, several high-income countries including the USA resorted to unconventional monetary policies notably QE, to grow their economies. While QE was effective in lowering interest rates in high-income countries, some argued that investors switched to higher yielding assets, mostly EME assets. Therefore, QE is perceived to have increased capital flows into EMEs. Using a dynamic panel data model with fixed effects this mini-thesis investigates empirically whether QE worked through unobservable channels to increase gross private capital inflows to Brazil, Russia, India, China and South Africa (BRICS) in the period 2000-2015. The study finds evidence in support of the view that QE increased capital inflows to EMEs. The results reveal that gross private capital inflows to the BRICS increased during the QE intervention period and that the increase was higher in the first period of QE than in subsequent QE periods. The empirical results also reveal differences in the way types of capital flows responded to QE; portfolio flows, and in particular equity flows were the most responsive to QE.

Magister Economicae - MEcon / A possible effect of quantitative easing (QE) undertaken by the United States of America (USA) Federal Reserve Bank (Fed) may have been an increase in capital flowing into emerging market economies (EMEs). The 2008 global financial crisis created an environment in which traditional monetary policies – cutting policy rates – became ineffective in stimulating growth. Faced with this policy environment, several high-income countries including the USA resorted to unconventional monetary policies notably QE, to grow their economies. While QE was effective in lowering interest rates in high-income countries, some argued that investors switched to higher yielding assets, mostly EME assets. Therefore, QE is perceived to have increased capital flows into EMEs. Using a dynamic panel data model with fixed effects this mini-thesis investigates empirically whether QE worked through unobservable channels to increase gross private capital inflows to Brazil, Russia, India, China and South Africa (BRICS) in the period 2000-2015. The study finds evidence in support of the view that QE increased capital inflows to EMEs. The results reveal that gross private capital inflows to the BRICS increased during the QE intervention period and that the increase was higher in the first period of QE than in subsequent QE periods. The empirical results also reveal differences in the way types of capital flows responded to QE; portfolio flows, and in particular equity flows were the most responsive to QE. / 2018-12-14

Submitted by Roman Goossens (roman.goossens@gmail.com) on 2013-08-23T21:08:57Z No. of bitstreams: 1 Roman Goossens Do Capital Controls Boost Reslience to Crises 20130823.pdf: 704128 bytes, checksum: 6f940315e4f866fbc901872143770b70 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Prezado Roman, A ficha catalográfica na não tem o número e seu nome da segunda página subiu par a primeira página. Att. Suzi 3799-7876 on 2013-08-27T13:04:32Z (GMT) / Submitted by Roman Goossens (roman.goossens@gmail.com) on 2013-08-27T14:22:16Z No. of bitstreams: 1 Roman Goossens Do Capital Controls Boost Reslience to Crises 20130823.pdf: 731111 bytes, checksum: 751d28a481a97d4776e7d5bd503e9d88 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-08-27T14:45:42Z (GMT) No. of bitstreams: 1 Roman Goossens Do Capital Controls Boost Reslience to Crises 20130823.pdf: 731111 bytes, checksum: 751d28a481a97d4776e7d5bd503e9d88 (MD5) / Made available in DSpace on 2013-08-27T15:00:38Z (GMT). No. of bitstreams: 1 Roman Goossens Do Capital Controls Boost Reslience to Crises 20130823.pdf: 731111 bytes, checksum: 751d28a481a97d4776e7d5bd503e9d88 (MD5) Previous issue date: 2013-07-26 / Capital controls are back in vogue and a number of emerging markets reintroduced these measures in recent years in the face of a 'flood' of international capital. Policymakers argue that these tools buttress their economies from the risk of a 'sudden stop' in capital flows. We show that capital controls seem to make emerging market economies (EMEs) more resistant to financial crises (i.e. that output loss following a crisis is lower when controls are higher). However that they also seem to make EMEs more crisis-prone, increasing the probability of crises. Policymakers should hence carefully evaluate whether the benefits of capital controls outweigh the costs before implementing them. / Os controles de capitais estão novamente em voga em razão dos países emergentes reintroduzirem essas medidas nos últimos anos face a abundante entrada de capital internacional. As autoridades argumentam que tais medidas protegem as economias no caso de uma 'parada abrupta' desses fluxos. Será demonstrado que os controles de capitais parecem fazer com que as economias emergentes (EMEs) fiquem mais resistentes diante de uma crise financeira (por exemplo, uma queda na atividade econômica seguida de uma crise é menor quando o controle é maior). No entanto, os controles de capitais parecem deixar as economias emergentes (EMEs) também mais propícias a uma crise. Deste modo, as autoridades devem ser cautelosas na avaliação quanto aos riscos e benefícios relativos a aplicação das medidas dos controles de capitais.

CCette thèse étudie les impacts de la financiarisation sur le taux de change des paysémergents. La financiarisation entraine la finance vers une logique patrimoniale et plusspéculative au niveau international comme l'indique l'utilisation de produits et pratiquesinnovantes par les gestionnaires de portefeuille internationaux. Parallèlement, on constateune volatilité élevée des taux de change dans certains pays émergents, notamment lors deturbulences sur les marchés financiers internationaux. La thèse analyse la relation entre la financiarisation et cette dynamique du taux de change et pourquoi le taux de change est plus volatile dans certains pays. La thèse émet l'hypothèse que l'inclusion d'actifs des pays émergents et de leur monnaie dans les stratégies innovantes de gestion de portefeuille soumet leurs taux de change aux décisions des money managers et les rend dépendant aux variations des marchés financiers mondiaux. Pour tester cette hypothèse, la thèse propose l'utilisation d'un indicateur d'intégration financiarisée et le compare aux caractéristiques de chaque taux de change. Les résultats démontrent une forte relation entre le niveau de financiarisation de l'intégration d'un pays et la volatilité de son taux de change, la fréquence des dépréciations extrêmes, la corrélation avec les conditions financières internationales ainsi qu'avec d'autres monnaies émergentes. La thèse propose une analyse dans une approche Minskyenne d'économie ouverte qui détaille les mécanismes sous-jacents à ces résultats et des modélisations des éléments importants pour la détermination du taux de change dans un cadre SFC. / This thesis investigates the impacts of financialization on exchange rates of emerging marketeconomies (EMEs). With financialization, finance follows a patrimonial and increasinglyspeculative logic at the international level, reflecting innovations of products and practicessuch as FX derivatives and carry trading by money managers. Through their portfolioallocation decisions, these portfolio investors bridge markets and currencies across the globe, their decisions being key to exchange rate determination. Simultaneously, some EMEs have been facing high exchange rate volatility, especially in moments of turbulence in international financial markets. The thesis seeks to answer whether these dynamics are associated with financialization and why they are stronger in some EMEs. Specifically, it raises the hypothesis that the use of an EME's assets and currency in those innovative strategies increases emerging currencies' fragility to money managers' decisions, thus to conditions of financial markets worldwide. To test this hypothesis an indicator of financialized integration is suggested and compared to countries' exchange-rate features. Results demonstrate a strong association of financialization with higher exchange rate volatility, more frequent extreme depreciations, closer association with international financial conditions, and high correlation with other emerging currencies. Apart from scrutinizing emerging currencies' special dynamics and their reasons, the thesis suggests a Minskyan open-economy framework that details the underlying mechanisms and forms of modeling keyelements to explain exchange rate dynamics in the SFC framework.

Is inflation targeting an appropriate framework for monetary policy? Experience from the inflation-targeting countries countries are optimistic about inflation targeting as a monetary-policy framework. South Africa is also following this trend. The international literature review of the topic offers lessons to be learnt from the common experience of the countries considered. It shows that inflation targeting is not a universal remedy to modern economic ills -- there is an emerging danger of assigning monetary policy a larger role than that which it can perform; a danger of expecting monetary policy to accomplish tasks that it cannot achieve; and a danger of preventing monetary policy from making the contribution that it is capable of doing. Therefore, inflation targeting cannot address all the macroeconomic problems that face many countries, except for inflation. Nonetheless, it plays a crucial role in improving macroeconomic performance. / Economics / M.A. (Economics)

Les autorités régulatrices ont décidé l’instauration de Bâle III car les procédures internesde gestion des risques bancaires et la discipline de marché n’ont pas suffi à éviter l’une despires crises de l’histoire de la finance internationale. L’Accord doit rendre les systèmes bancaires etfinanciers internationaux plus sûrs en s’assurant que les banques traversent les périodes de crise parleurs propres moyens, sans faire appel aux contribuables. Néanmoins, les effets de ces normes sontincertains : la réglementation prudentielle bancaire semble résulter d’un arbitrage entre ses effets positifsqui stabilisent l’économie en réduisant la fréquence et l’ampleur des crises et ses effets négatifsqui limitent l’activité bancaire et le financement de l’économie.Nous nous proposons d’évaluer les effets de Bâle III sur le financement bancaire des pays émergentset des petites et moyennes entreprises françaises. Ces emprunteurs risqués et dépendants des banquessont les plus consommateurs en fonds propres et en actifs liquides. Ils sont donc susceptibles d’être lesplus fortement affectés par Bâle III. Nous présentons les nouveaux standards ainsi que la manière dontla littérature en analyse les effets. Ensuite, nous proposons une évaluation empirique de l’impact del’Accord sur le financement bancaire des pays émergents et des petites et moyennes entreprises françaises.La croissance des créances bancaires transfrontières à destination des pays émergents pourraitêtre réduite de 20%. Les PME devraient subir un effet en forme de M avec un report des banques versles expositions offrant les meilleurs couples rendements/risques ajustés des exigences réglementaires. / Regulatory authorities of BCBS member countries decided to enforce Basel III as bankinternal risk management and market discipline have failed to avoid one of the worst crises in the historyof international finance. This Accord promotes a more resilient banking sector fostered by banks’increased ability to absorb shocks without relying on taxpayers. However, the overall effect remainsambiguous and seems to result from a bargaining between its positive and negative impacts : on theone hand, borrowers could benefit from a more stable banking system that reduces crises’ frequencyand magnitude. On the other hand, more stringent requirements could slow down banking activityand projects’ funding.We aim at evaluating Basel III effects on emerging market economies and French small and mediumsizedenterprises’ bank funding. Such bank-dependant risky borrowers are more prone to shoulder theimpact of the new regulatory requirements as they are the largest consumers of equity and liquidassets. Eventually, a more binding regulatory environment could reduce world growth. Therefore, weintroduce all the new adequacy standards and how the literature analyses them. Afterwards, we offeran empirical assessment of Basel III likely impact on emerging countries and French SMEs. We provideevidence that the new regulation could result in an overall decrease of 20% in the inflow of cross-borderbanking claims held on emerging countries. Regarding SMEs, Basel III effects could produce an Mshapedimpact pushing banks towards positions offering the best regulatory adjusted risks/returns.

Until very recently, most emerging market economies have achieved higher growth rates for the last decade. It is controversial whether this good economic environment is due to domestic reforms or due to favorable external factors. In this framework, the main aim of this study is to investigate the structure and sources of business cycles in emerging market economies and to determine how these cycles differ than those in developed countries. The role of external and domestic factors on business cycles are analyzed by applying not only the conventional panel data estimations but also common correlated effects panel mean group method which is introduced by Peseran (2006). Besides, the convergence of business cycles in emerging market economies to the business cycles in developed countries is discussed based on factor analysis. The major results indicate the common global factors are the leading source of the business cycles both in emerging market economies and developed countries. However, domestic determinants of fluctuations differ across two groups of countries. In addition, results show that in the last two decades fluctuations in emerging market economies have started to be more dependent on the fluctuations in developed countries.

Is inflation targeting an appropriate framework for monetary policy? Experience from the inflation-targeting countries countries are optimistic about inflation targeting as a monetary-policy framework. South Africa is also following this trend. The international literature review of the topic offers lessons to be learnt from the common experience of the countries considered. It shows that inflation targeting is not a universal remedy to modern economic ills -- there is an emerging danger of assigning monetary policy a larger role than that which it can perform; a danger of expecting monetary policy to accomplish tasks that it cannot achieve; and a danger of preventing monetary policy from making the contribution that it is capable of doing. Therefore, inflation targeting cannot address all the macroeconomic problems that face many countries, except for inflation. Nonetheless, it plays a crucial role in improving macroeconomic performance. / Economics / M.A. (Economics)

This dissertation argues that financial cycles are different for advanced economies and emerging countries. The main underlying reason is the different financial development that makes for instability in emeging markets which is pronounced by more intensive and amplified financial cycle. As such, even the policy implications are different.

La recente crisi finanziaria e la recessione che ne e' seguita hanno spinto molti a guardare al mercato immobiliare come ad una possibile fonte di fluttuazioni macroeconomiche. Inoltre, esse hanno evidenziato il ruolo cruciale dei paesi emergenti per la crescita globale e rianimato il dibattito sulla relazione tra politica monetaria e il prezzo degli asset. Questa tesi di dottorato, composta di tre saggi, si incentra sui mercati immobiliari dei paesi industrializzati e emergenti nonché sulla relazione tra i prezzi delle case e il ciclo macroeconomico. Il primo saggio descrive un data set originale di prezzi delle case per 19 paesi emergenti (con frequenza trimestrale e aggiornato al 2009:4) e li confronta con un data set esistente per 21 paesi industrializzati. Il secondo saggio studia la trasmissione internazionale di shock di domanda immobiliare negli Stati Uniti e il loro impatto sull'economia reale. Il terzo saggio analizza la relazione tra politica monetaria e macro-prudenziale in un semplice modello di asset-pricing. / The recent global financial crisis and ensuing recession led many to look at the housing market as a possible source of macroeconomic fluctuations, highlighted the crucial role played by emerging market economies as a source of world growth, and revived the much discussed issue of the interaction between monetary policy and asset prices volatility. Motivated by these issues, my Ph.D. thesis focuses on housing markets in both advanced and emerging economies and their interaction with the macroeconomy. This dissertation consists of three self-contained essays. The first essay describes a novel dataset on house prices for 19 emerging economies with quarterly data updated to 2009:4, to be compared with an existing database for 21 advanced economies. The second essay investigates the international spillovers of U.S. housing demand shocks across housing markets and their impact on real economic activity. The third essay studies the uncharted interaction between monetary and macro-prudential policies in a simple model of consumption-based asset pricing with collateralized borrowing.