Dans cette thèse de doctorat en sciences économiques, dont le thème est « Régimes de Change et Performances Économiques en Afrique Sub-saharienne », nous avons développé une analyse cherchant à montrer le lien entre le régime de change et les performances économiques des pays en Afrique Sub-Saharienne (ASS). Pour réaliser les analyses comparatives, l’échantillon global, ASS, a d’abord été subdivisé entre les pays de l’union monétaire, dont les pays de la zone CFA (ZCFA), et les pays hors union monétaire ou les pays hors zone CFA (HZCFA), et, il a ensuite été subdivisé entre les pays de l’Union Économique et Monétaire Ouest Africaine (UEMOA), les pays de la Communauté Économique et Monétaire de l’Afrique Centrale (CEMAC), les pays HZCFA avec les régimes de change fixe et les pays HZCFA avec les régimes de change flexible. Notre analyse se concentre sur les thèmes suivants :1. Les régimes de change et les politiques monétaires en ASS2. La convergence entre la zone UEMOA et la zone CEMAC3. Les régimes de change et les instabilités macroéconomiques en ASS4. Les régimes de change, le TCR et son ajustement en ASS5. Les régimes de change, les instabilités macroéconomiques et la croissance économique en ASS.Les études empiriques que nous avons menées sur ces thèmes ont conduit à des résultats très contrastés et variées selon les sous-échantillons. Les résultats montrent que les régimes de change n’ont pas été bien gérés en ASS et qu’ils y ont été utilisés parfois comme des moyens de dissimulation des résultats économiques inefficaces et inefficients causés par les mauvaises politiques et décisions économiques. / In this PhD. thesis titled “Exchange Rate Regimes and Economic Performances in Sub-Saharan Africa”, we carried out analysis to show the relationship between the choice of exchange rate regimes and economic performances in Sub-Saharan Africa (SSA). In order to proceed to comparative analysis, first we breakdown the global sample (SSA) into two, which are the monetary union countries or CFA franc zone countries (ZCFA) and the non-monetary union countries or countries outside CFA franc zone (HZCFA), then we breakdown the sample into four subsample, which are the West Africa Economic and Monetary Union (WAEMU) countries, the Central Africa Economic and Monetary Community (CAEMC) countries, the HZCFA countries with fixed exchange rate regimes and the HZCFA countries with flexible exchange rate regimes. Our analysis focuses on the following topics:1. Exchange rate regimes and monetary policies in SSA2. Convergence between WAEMU and CAEMC3. Exchange rate regimes and macroeconomic instabilities in SSA4. Exchange rate regimes, Real exchange rate and its adjustment in SSA5. Exchange rate regimes, macroeconomic instabilities and economic growth in SSAThe empirical results based on topics mentioned above conducted to mixed results depending on our subsamples. Also, they show that the exchange rate regimes have not been well managed in SSA, and that they have been sometimes used as means to hide bad economic results induced by non-effective economic policies and non-effective economic decisions.

Thesis analyzes different indicators of competitiveness in period before and after adopting of euro in Slovakia. First chapter contains theoretical background, defines competitiveness and methods of its measuring. Second chapter analyzes development of macroeconomic indicators such as GDP, inflation, government debt and deficit. Aim od third chapter is to evaluate competitiveness of Slovakia, using different competitiveness reports and this chapter also contains analysis of unit labor costs, labor productivity and real effective exchange rate. Fourth chapter is analyzing different exchange rate regimes and compares impact of financial crisis on Slovak and Czech economy due to the fact, that countries had different exchange rate regimes in this period.

This dissertation consists of three essays on capital controls and exchange rate regimes. The first essay, under the background of international monetary policy trilemma, empirically investigates the validity of the proposition that holding the degree of exchange rate stability constant, a decrease in capital mobility through imposition of capital controls will enhance monetary independence. Using a panel dataset covering 88 countries for the 1995-2010 period and system GMM estimation, this paper finds that 1) capital controls help improve a country’s monetary independence; 2) the effectiveness of capital controls depends on the types of assets and the direction of flows they are imposed; 3) the choice of exchange rate regime has important impact on the effectiveness of capital controls on monetary independence. The second essay examines the role of capital controls on economic growth. Conventional wisdom suggests that allowing international capital flows improves domestic investment and growth by providing extra resources through international capital market, yet the flows can be misallocated to finance speculative or low-quality domestic investments. Using a panel dataset covering 78 countries over 1995-2009, this paper finds that 1) capital control policies promote economic growth after taking into account a country’s de facto level of capital flows; 2) controls on capital inflows helps a country’s economic growth, but not controls on outflows; 3) restrictions on different asset types affect growth differently. Capital controls on equity type flows are less effective than controls on debt type flows or direct investment. The third examines the role of exchange rate flexibility on current account balances. Global imbalances have become an important issue for economists and policy makers. Greater exchange rate flexibility is often suggested as a means to achieve faster and more efficient adjustment in the current account. However, previous empirical studies show little support for this hypothesis. This essay revisits this issue with a large panel dataset and Threshold VAR model and finds that 1) the speed of the current account adjustment is higher in a regime with greater exchange rate variability; 2) some existing popular exchange rate classifications may not capture actual exchange rate variability as well as expected.

Notre thèse vise deux domaines inter reliés des marchés taux de change en se référant particulièrement à un marché émergent qui est le Pakistan. Ces domaines sont le rôle et l'efficacité de l'intervention orale sur le marché des changes étrangers et le régime "de facto" adopté par le pays. Nous avons collecté une base de données complète des rapports, des communiqués de presse fournis par des autorités pakistanaises et d'autres informations, qui pourraient affecter le taux de change de la roupie pakistanaise contre le dollar US. Pour étudier l'efficacité de la stratégie d'intervention orale de l'autorité monétaire pakistanaise, nous avons appliqué l'approche d'étude d'évènement couramment utilisée dans la littérature. Nous avons analysé les effets des évènements de l'intervention orale en utilisant un test de signe non-paramétrique basé sur différents critères d'évaluation. Cette efficacité a été observée sur le niveau et la volatilité du taux de change sur le marché de changes officiel. Toutefois, cette thèse présente un aspect intéressant qui concerne le fait que nous avons également examiné les effets des évènements d'une intervention orale sur le prix de change au marché parallèle. L'approche mentionnée ci-dessus a été employée pour examiner les effets de l'intervention orale sur la prime, le taux et la volatilité du marché parallèle. La thèse étudie également le régime de facto du taux de change du Pakistan. Pour étudier le régime de facto du taux de change de ce pays, nous avons utilisé un panier de devises et nous nous sommes placé dans un contexte de "exchange market pressure". Nous avons également examiné l'impact de deux ensembles différents de devises (régional et du Moyen-Orient) sur la roupie pakistanaise. Enfin, le modèle structural de Bai et de Perron a été appliqué pour obtenir la coupure de la série de données de l'échantillon. Les résultats obtenus indiquent que l'intervention orale demeure efficace pour le niveau et la volatilité du taux de change sur le marché de changes officiel. Un résultat intéressant ressort de cette étude qui stipule que les efforts d'une intervention orale sont également réussis; ils permettent d'influencer la prime et la volatilité du marché parallèle dans le sens désiré. La comparaison entre les régimes de change suivis par le pays, de jure ( flottant contrôlé) ou de facto (fixé par rapport au dollar), révèle des disparités pour une grande partie de la période d'étude. / The thesis targets two inter related areas of the foreign exchange market with special references to an emerging economy, Pakistan. These areas are the role and effectiveness of oral intervention in the foreign exchange market and de facto exchange rate regime followed by the country. We collected a comprehensive database of statements, press releases by paskistani authorities and other news, which could affect the exchange rate of the pakistani rupee against the US dollar. We applied the event stydy approach , widely used in the available literature, to investigate the effectiveness of the oral intervention strategy of pakistani monetary authority. We analyzed the effects of the oral intervention events using a non-parametric sign test based on different evaluation criteria. This effectiveness was observed on the exchange rate level and volatility in the official currency market. Whereas, an interesting aspect of the thesis is that we also examined the affects of these oral inetrvention events on the exchange rate of the parallele currency market. The aforementioned approach was used to examined the affects of the oral intervention on the parallel market premium, rate and volatility. The thesis also investigated the de facto exchange rate regime of Pakistan. We used the "currency basket" and "exchange market pressure" framework to investigate the de facto exchange rate regime of the country. The impact of two different sets of currencies (i.e. regional and Middle Eastern) was also observed on the pakistani rupee. Finally, the Bai and Perron structural break model was applied to obtain the break points in the sample data. The results obtained indicate that the oral intervention remained effective for both the exchange rate level and volatility in the official currency market. Interestingly, these oral intervention efforts wrere also successful in influencing the parallel market premium and volatility in the desired direction. Regarding the exchange rate regime followed by the country, a gap was observed in the de jure (managed float) and de facto (dollar peg) exchange rate regime of the country for most part of the sample period covered.

[pt] Na literatura é quase unânime a rejeição da relação de paridade descoberta das taxas de juros (PDJ). Isto significa que existiriam retornos excessivos previsíveis para a especulação cambial. Esta dissertação documenta os retornos das taxas de juros em regimes de câmbio controlado em diversos episódios. As evidências apontam que esses regimes terminam não só com abrutas depreciações, mas também que essas depreciações, na grande maioria dos casos, superam o diferencial de juros acumulados desde o início do regime. Ou seja, nesses casos não haveriam retornos excessivos como indicado pelos testes usuais da PDJ. Identificamos as variáveis que prevêm a magnitude da variação cambial ocorrida após a flexibilização do regime cambial. Em seguida, analisamos o retorno da estratégia de carry trade por tipo de regime cambial concluindo que nos regimes de câmbio controlado o retorno esperado é maior mas o downside risk também. / [en] The failure of uncovered interest rate parity is almost unanimous in the literature. The consequence is the existence of predictable excess returns to currency speculation. This paper documents the returns to the carry trade strategy in fixed exchange rate regimes in a set of episodes. Empirical documentation shows not only that these regimes end in abrupt depreciation but also that the depreciation generally wipes out the entire accumulated interest rate differential during all the period. This anecdotal evidence contrasts to that commonly found by uncovered interest parity tests. We identify the leading indicators to the currency crises magnitudes. We also analyze the differences in returns to the carry trade strategy by currency regimes founding that both the expected return and the downside risks are greater in fixed currency regimes.

Made available in DSpace on 2016-04-25T16:44:14Z (GMT). No. of bitstreams: 1 Cassia Regina Vanicola.pdf: 742192 bytes, checksum: 69c4e862cfbce1c13bedea989c483c6a (MD5) Previous issue date: 2010-05-26 / The exchange rate corresponds to one of the main prices of an economy, due to several effects it has the ability to lead: effects on the current account of a country, its impact on monetary policy, on economic growth and effects on business decisions. The purpose of this research is to investigate factors that drive price movements of the national currency - the Real, against the dollar in the United States of America, for the sample period; to select relevant macroeconomic and financial variables and to test them empirically. First, the major theoretical developments of the theme and a brief history of the brazilian and also the world foreign exchange market are described. In this phase of the study there is the option to work with the variables: interest rate differential, country risk premium - EMBI, foreign direct investment - FDI, gross domestic product - GDP Bovespa Index and Dow Jones Index. Based on the sample period from January 1995 to January 2009, period of time in which, despite having an stable economy, Brazil went through several exchange rate regimes: floating exchange rate from 1994 to 1995, managed currency regime from 1995 to 1998; floating exchange rate with devaluation trend of the Real from 1999 to 2002 and floating exchange rate with appreciation trend of the Real from 2003 to 2009, seeks to establish econometric relationships via vector autoregression - VAR modeling. The results show that for the time interval, the main influences on the price development of the national currency are due to the variables: interest rate differential, EMBI, GDP and FDI. Additional discussion leads to the idea that it is still very difficult to predict the evolution of the exchange rate, especially in the short and medium term, and that other approaches such as the use of models for dealing with conditional heteroscedasticity or with microeconomic data may lead to interesting results / A taxa cambial corresponde a um dos principais preços de uma economia, por vários efeitos que tem a capacidade de provocar: efeitos sobre as transações correntes de um país, efeitos sobre a política monetária, efeitos sobre o crescimento econômico e efeitos sobre as decisões empresariais. O objetivo desta pesquisa é o de investigar fatores de relevância para os movimentos do preço da moeda nacional Real com relação ao Dólar dos Estados Unidos da América, para o período da amostra, selecionando variáveis macroeconômicas e financeiras relevantes e testando-as empiricamente. Primeiramente, são descritas as bases teóricas relevantes à evolução do tema, bem como breve histórico do mercado cambial mundial e brasileiro. Nessa fase do estudo opta-se por trabalhar com as variáveis: diferencial de juros, prêmio de risco país - EMBI, investimento direto estrangeiro - IDE, produto interno bruto - PIB, Ibovespa e Dow Jones. Tomando como base amostral o período de janeiro/1995 a janeiro/2009, período que apesar de contar com a estabilidade da economia brasileira, passou por vários regimes cambiais: câmbio flutuante de 1994 a 1995; câmbio administrado de 1995 a 1998; câmbio flutuante com tendência à desvalorização do Real de 1999 a 2002 e câmbio flutuante com tendência à valorização do Real de 2003 a 2009, procura-se estabelecer relações econométricas via modelagem por vetores auto-regressivos VAR, para as variáveis selecionadas. Os resultados das análises mostram que as principais influências à evolução do preço da moeda nacional para o período se devem às variáveis: diferencial de juros, EMBI, PIB e IDE. Discussões adicionais conduzem à idéia de que há ainda grande dificuldade de se prever a evolução da taxa cambial, especialmente no curto e médio prazos, e que outras abordagens tais como o uso de modelos que lidam com heteroscedasticidade condicional ou modelos que trabalhem com dados da microeconomia, possam trazer resultados interessantes

This dissertation consists of essays that study exchange rate pass-through, China’s de facto exchange rate regime, and China’s capital controls. The first essay studies exchange rate pass-through (ERPT) by using a set of data from ten countries including four advanced economies and six Asian emerging markets. The price indices used in this essay include consumer price, producer price, import price and export price indices. While most literature only include the import price index, this essay also puts emphasis on the export price index. It investigates the asymmetry in the ERPT between depreciation and appreciation of domestic currency by using a non-linear OLS model; meanwhile, the short-run and long-run effects of ERPT are also compared with each other. It also detects possible structural change in the ERPT and finds most structural change points are around the Great Recession and Asia financial crisis. Finally, a VAR model is developed to detect the impulse responses of prices to exchange rate shock. The second essay is about China’s exchange rate regime. It has changed a lot since the 2005 reform. It is interesting and important to investigate China’s de facto exchange rate regime with the most recent data. This essay follows Frankel and Wei’s (2008) method, by applying both the basic model and new model with the exchange market pressure (EMP) variable to currency basket for the Chinese yuan exchange rate. I select the US dollar, the Euro, the British pound, the Japanese yen, the Canadian dollar, the Australian dollar and the Russian ruble as component currencies of the basket, based on free floaters, GDP and trade volume. I also add results from a VAR model, considering the endogeneity issue, and the results are consistent with those of OLS. I find the weight of the US dollar declines dramatically and the variation of the Chinese yuan becomes much larger after 2015. This implies that China has been transferring its exchange rate regime from dollar pegged to free floating. The third essay investigates the effectiveness of China’s capital controls. In recent years, after 2014, China’s foreign reserves declined dramatically, from 4 trillion US dollars to 3 trillion US dollars. There was a huge amount of capital outflows from China during 2015 to 2016. This phenomenon lets us reconsider the question: Are China’s capital controls still effective? I will use five methods to measure the effectiveness of China’s capital controls, including de jure indicators, saving-investment correlation test, covered interest rate parity, real interest rate differentials and Edwards-Kahn model. The de jure indicators I use are from Fernández et al. (2016) and Chinn and Ito (2008). I compare China with the US, the UK and Japan in the saving-investment correlation test, and with the Eurozone and Japan in covered interest rate parity, real interest rate differentials and Edwards-Kahn model. Various results indicate that China’s capital controls are still effective.

<p>This project &quot / An application of multiple regression in exchange rate arrangement&quot / focused on the processes followed by different countries when choosing an exchange rate regime for currency stabilization. It analyses the consequences faced by emerging markets as a result of changes in volatility of developed countries&rsquo / currencies (American Dollar, Japanese Yen, EURO, British Pound and the Canadian Dollar).</p>

<p>This project &quot / An application of multiple regression in exchange rate arrangement&quot / focused on the processes followed by different countries when choosing an exchange rate regime for currency stabilization. It analyses the consequences faced by emerging markets as a result of changes in volatility of developed countries&rsquo / currencies (American Dollar, Japanese Yen, EURO, British Pound and the Canadian Dollar).</p>

Magister Scientiae - MSc / This project "An application of multiple regression in exchange rate arrangement" focused on the processes followed by different countries when choosing an exchange rate regime for currency stabilization. It analyses the consequences faced by emerging markets as a result of changes in volatility of developed countries&rsquo; currencies (American Dollar, Japanese Yen, EURO, British Pound and the Canadian Dollar). / South Africa