This research examines the nature and impact of financial repression in the Trinidad and Tobago economy using cointegration time series techniques and disequilibrium econometrics. While the former is employed to estimate the impact on savings, investment and growth, the latter is mainly used to test whether the characteristics which depict a financially repressed economy are present in Trinidad and Tobago. Trinidad and Tobago has not previously been the subject of such a study, and neither estimation methods have been used to investigate financial repression. While the real interest has been most frequently used to measure financial repression, six proxies are utilised in this study: the real interest rate; dummy variables; commercial banks' reserve requirement; inflation; the difference between the domestic and the foreign interest rate and a variable to measure the overvaluation of a country's currency. With respect to the latter there are two definitions: the difference between the official and the blackmarket exchange rate and the degree of exchange rate misalignment. The results using real interest rates and inflation measures of financial repression suggest that while liberalisation cannot be seen as the solution to increasing savings and investment it may promote economic growth. When all the other proxies are examined the impact of financial repression on the economy is negative albeit statistically insignificant in most instances. There is some indication that exchange rate should be devalued so as to reduce exchange rate misalignment and reduce the widening gap between the official and blackmarket rate. On the basis of these results the McKinnon-Shaw hypothesis cannot be rejected. However the results when inflation and real interest rates are the relevant proxies for financial repression as well as the low significance levels of other proxies, ought to serve as warning signals to avoid implementing drastic liberalisation measures too quickly.

The revaluation of the yuan in July 2005 was described by the Chinese central bank as a change in the currency regime, rather than merely a changed level of the exchange rate. The reform was said to involve a shift away from the fixed exchange rate, a gradual movement towards greater flexibility, and a peg to a basket of currencies. This paper closely examines the post-July Chinese currency regime utilising contemporary ideas in the econometrics of structural change. We find that the yuan has remained pegged to the US dollar, rather than to a basket, and has extremely limited currency flexibility. We find no evidence of structural change in the post-July period, which suggests that there has been no evolution towards greater flexibility. We show a monitoring procedure which will detect future evolution of the currency regime. / Series: Research Report Series / Department of Statistics and Mathematics

Ph.D. (Economics) / Please refer to full text to view abstract

M.Comm. (Economic Development and Policy Issues) / The response of the trade balance to changes in currency movements has gained increasing interest among researchers, especially since the fall of the Bretton Woods system. Previous empirical studies that examined the response of the trade balance to exchange rate changes in South Africa employed aggregate trade data and provided mixed results. This dissertation uses disaggregated data with specific focus on the manufacturing sector. The purpose is to investigate the short and long run effects of the real exchange rate of the rand on the South African manufacturing trade balance by adopting the elasticity approach of balance of payments adjustment. Using quarterly data from 1995 to 2010, the study seeks to test the existence of the J-curve effect and to show whether the Marshal–Lerner condition holds in the manufacturing sector. Johansen cointegration and vector error correction modelling techniques are employed in attaining the objectives of this study. In addition, impulse response functions are used to determine how the manufacturing trade balance responds following shocks in its main determinants. The results show that real effective exchange rate (REER), real domestic and foreign income levels are important long run determinants of the manufacturing trade balance, and that a long run equilibrium relationship exists among these variables. A long run negative relationship was found between the trade balance and the REER and between the trade balance and real domestic income. In contrast, real foreign income was found to be positively related to the domestic manufacturing trade balance in the long run. The short run model reveals that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance. This, together with the long run findings, suggests evidence of the existence of the J-curve in the South African manufacturing trade balance. The long run dynamics suggest that the Marshal–Lerner condition holds. This dissertation found evidence that a depreciation of the rand is necessary to improve the manufacturing trade balance.

M.Com. (Economics) / This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...

M.Comm. (Financial Economics) / In this study, the equilibrium exchange rate path of the rand/dollar real exchange rate between 1994 and the second quarter of 2011 is estimated. This is done by employing a number of methods, namely, Fundamental Equilibrium Exchange Rates (FEER), Behavioural Equilibrium Exchange Rates (BEER), Natural Real Exchange Rate (NATREX) and the Corbae-Oularis filter method. What stands out in the study is that all of the methods lead to results that are close in proximity, with the Corbae-Oularis method as an exception. In the study it is established that during the period when the ZAR.USD real exchange rate was

by So Wai-man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 294-302. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.xii / LIST OF APPENDICES --- p.xvi / ACKNOWLEDGEMENT --- p.xvii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Importance of Real Exchange Rate Movement --- p.1 / Concepts and Hypotheses --- p.2 / The Purchasing Power Parity (PPP) Doctrine --- p.2 / Real Exchange Rate --- p.6 / Long Run Economic Series --- p.9 / Conclusion --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.11 / Introduction --- p.11 / Literatures In Purchasing Power Parity --- p.12 / Literatures In Real Exchange Rates --- p.18 / Conclusions --- p.23 / Chapter III. --- METHODOLOGY --- p.25 / Introduction --- p.25 / Construction of Real Exchange Rate --- p.25 / Economic Time Series & Stationarity --- p.29 / Box-Jenkins Models --- p.32 / Autoregressive (AR) Models --- p.33 / Moving Average (MA) Models --- p.34 / Autoregressive Moving Average (ARMA) Models --- p.35 / Autoregressive Integrated Moving Average (ARIMA) Models --- p.35 / Random Walk Hypothesis --- p.36 / Unit Root Tests --- p.37 / The Dickey-Fuller Test --- p.38 / The Augmented Dickey-Fuller Test --- p.39 / The Sims Test --- p.40 / Hypothesis --- p.42 / The Dickey-Fuller Test --- p.42 / The Augmented Dickey-Fuller Test --- p.42 / The Sims Test --- p.43 / Conclusions --- p.44 / Chapter IV. --- EMPIRICAL RESULTS --- p.45 / Description of Data and Movement of Real Exchange Rates --- p.45 / Tentative AR(1) Models for Real Exchange Rates --- p.48 / Original Series: Whole Period --- p.49 / Original Series: Fixed Rate Period --- p.49 / Original Series: Floating Rate Period --- p.50 / Logarithmic Series: Whole Period --- p.50 / Logarithmic Series: Fixed Rate Period --- p.51 / Logarithmic Series: Floating Rate Period --- p.51 / The Dickey-Fuller Test Statistics --- p.52 / The Augmented Dickey-Fuller Test Statistics --- p.56 / The Sims Test Statistics --- p.59 / Summary of Empirical Results --- p.62 / Chapter V. --- SUMMARY AND CONCLUSIONS --- p.64 / Highlights of the Findings of this Study --- p.64 / Policy Implications --- p.65 / Conclusions --- p.66 / Limitations --- p.67 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.294

by Hou Ka Chun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 89-95). / Abstracts in English and Chinese. / LIST OF TABLES --- p.vii / LIST OF ILLUSTRATIONS --- p.viii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- REVIEW OF THE LITERATURE --- p.6 / Monetary Models / Nominal Exchange Rate Prediction / Nonparametric Estimation Techniques / Chapter III --- METHODOLOGY --- p.17 / Unit-Root Tests / Zivot-Andrews Test / Error Correction Model / Autoregressive Distributed Lag (ARDL) Approach to Cointegration / Local Polynomial Fitting / Chapter IV --- DATA --- p.36 / Chapter V --- PARAMETRIC MODELING --- p.39 / Estimation Procedure / Empirical Findings / Japan / Germany / Britain / Chapter VI --- NONPARAMETRIC MODELING --- p.50 / Estimation Procedure / Empirical Findings / Chapter VII --- CONCLUSION --- p.54 / TABLES --- p.56 / ILLUSTRATIONS --- p.77 / BIBLIOGRAPHY --- p.89

Economic intuition suggests that real currency depreciation should lead to long run improvement in a country's trade balance. The short run implications of real depreciation are relatively unknown. The current literature suggests that the short run relationship between trade and real exchange rates is country-specific. This literature has not explored if product and trading partner characteristics play a role in this relationship. This dissertation explores how heterogeneity in trade influences the responsiveness of trade to real exchange rate fluctuations. To my knowledge, this is the first set of papers exploring this heterogeneity. The first paper of this dissertation explores heterogeneity with U.S. commodity-level trade data. Trade responsiveness to real fluctuations varies across product and trading partner characteristics. I find no evidence of long run gains in trade following real depreciation, suggesting that currency manipulation policies meant to improve a country’s trade balance may have no effect on trade in the long run. Prices in international trade contracts with U.S. firms are largely invoiced in U.S. dollars. However, the current literature suggests that the currency in which these prices are set should affect the relationship between trade and real exchange rates in the short run. The second paper of this dissertation explores the implications of currency invoicing patterns using Japanese commodity-level trade data. I find that the response of trade to real fluctuations may differ in the short and long run across product and trading partner characteristics. I also find that the response of trade in the long run may be correlated with comparative advantage. The third paper of this dissertation explores the implications of foreign exchange market liberalization in Japan following the Asian Financial Crisis. I find that liberalization, coupled with financial market reforms, resulted in trade being less responsive to real fluctuations. I also find no evidence of long run trade balance improvement before or after liberalization and that the reform may have eliminated temporary short run gains, suggesting that currency manipulation policies may have no effect on short or long run trade.

[pt] Este trabalho procura discutir alternativas de regimes cambiais, avaliando o comportamento da taxa de câmbio real e seus reflexos no crescimento das exportações dos países emergentes, abrangendo o período das crises cambiais e de balanço de pagamento ocorridas nesses países durante a década de 1990. A flexibilização das restrições à movimentação internacional de capitais além da maior integração nos fluxos de produção e comércio possibilitou às empresas estender suas operações em âmbito global expandindo vendas, desenvolvendo produção, estruturas e compra de insumos nos mais diversos locais. Identificar possíveis correlações entre os regimes cambiais praticados e a evolução das exportações desses países, pode constituir ferramenta útil na avaliação da decisão de investimento multinacional. / [en] The objective of this paper is to discuss alternatives of exchange rate regimes and monetary policy choices, aiming to compare behavior of the real exchange rate with growth of exports, during the period of exchange rate and balance of payments crises during the 1990´s. The international capital movements and greater integration of global production and flexibilization of trade flows, allowed corporations to operate globally, expanding purchasing, production and sales around the world. Identifying possible correlations between the choice of exchange rate regimes and the growth of exports in these countries, can be a practical tool in multinational corporate investment evaluation.