Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2017-12-04T11:55:11Z No. of bitstreams: 1 Fabrício Silva de Sousa Machado.pdf: 1470089 bytes, checksum: dbe41bf9d295f422d6c1d5b836338992 (MD5) / Made available in DSpace on 2017-12-04T11:55:11Z (GMT). No. of bitstreams: 1 Fabrício Silva de Sousa Machado.pdf: 1470089 bytes, checksum: dbe41bf9d295f422d6c1d5b836338992 (MD5) Previous issue date: 2017-11-13 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / The 2008 crisis allowed Hyman Minsky's theories to be reinserted into the debate on the directions of modern macroeconomics. In a post-Keynesian perspective, this study aims to prove the hypothesis that complex financial innovations, post-Bretton Woods financial market leverage, and deregulation have magnified the fragility and instability of the capitalist economy. Thus, we will treat the causes of the crisis as a problem of theoretical foundation of the capitalist system, because its functioning is based on the deregulation of the financial markets and the dominance of efficient markets hypothesis. Looking at the evidence of the 2008 crisis, it is possible to question the thesis of the new classics that financial liberalization would promote greater efficiency and stability in the system, because with the collapse of US mortgage loans, caused by the proliferation of securitized products, the problem became systemic. This occurs by the amplification of using of off-balance structures such as the shadow bankings, which began in the 1970s, widening the base of the financial capital base outside the control area of the national central bank systems. This situation reinforces the importance of understanding the fundamental dilemma between market deregulation and financial instability, the central object of this work / A crise de 2008 permitiu que as teorias de Hyman Minsky fossem reinseridas no debate sobre os rumos da moderna macroeconomia. Sob a perspectiva pós-keynesiana, esse trabalho visa a comprovar a hipótese de que as complexas inovações financeiras, a alavancagem dos mercados financeiros ocorridos no pós-Bretton Woods e a desregulamentação ampliaram a fragilidade e a instabilidade da economia capitalista. Assim, trataremos das causas da crise como um problema de fundamentação teórica do sistema capitalista, pois seu funcionamento está baseado na desregulamentação dos mercados financeiros e na dominância da hipótese dos mercados eficientes. Ao se observar as evidências da crise de 2008, é possível questionar a tese defendida pelos novos clássicos de que a liberalização financeira promoveria uma maior eficiência e estabilidade no sistema, pois, com o colapso dos empréstimos hipotecários do EUA, originado pela proliferação dos produtos securitizados, o problema tornou-se sistêmico. Isso ocorreu em razão da amplificação de estruturas “off-balance” como os shadow bankings, cuja disseminação iniciou-se nos anos 70, ampliando a base de capitais financeiros fora da área de controle dos sistemas de bancos centrais nacionais. Essa situação reforça a importância de compreender o dilema fundamental entre a desregulamentação dos mercados e a instabilidade financeira, objeto central desse trabalho

Made available in DSpace on 2016-04-26T14:55:12Z (GMT). No. of bitstreams: 1 Ronaldo Frederico.pdf: 4531986 bytes, checksum: f8677522c5bbe15c49f91ea691d62fab (MD5) Previous issue date: 2015-03-18 / This investigation is substantiated in the concept of "Symbolic Enterprisation" (SE)' formulated by this author, that points out the executive and entrepreneur that hold the power to expand the values and principles which guide the corporate activities. As symbolic representatives of the capitalist economic's reality, with interests and specific needs for their company aiming to achieve (and outrun) the financial goals imposed by the market, the media - in this study concentrated on the Exame magazine - constitutes the driving force of the speech's propagation and production to the business entrepreneurs and executives. This work embraces as methodological resource the concept of Media's Representations (MR) that helped in the analysis of 25 editions and 57 published articles, between January and December of 2008, in the Exame magazine, that versed abut the economic crisis and the so called corporate values (accumulation of capital and profitability rising, value creation for shareholders and stockholders, social and profit responsibility, sustainable growth, innovation, competitive advantage, etc.). This investigation point to a paradoxical acting, but not incoherent by the Exame magazine, represented by the high-level company's executive, easing and subordinating the political speeches to the financial interests of the business media. The Exame magazine reenforces and spreads the so called company values and raises the executives and entrepreneurs to a individuals equipped with rare capacities and characteristics category, which are capable of helping the country to transpose the momentum, understood by many as history's biggest financial crisis, and continue their way to growth and, consequentially, the rising of companies' profit margin / Esta investigação está fundamentada no conceito de Empresarização Simbólica (ES), formulada por este autor, que aponta o executivo e o empresário detentores do poder de espraiar os valores e princípios que norteiam as atividades corporativas. Como representantes simbólicos da realidade econômica capitalista, com interesses e necessidades específicas para sua empresa visando atingir (e ultrapassar) as metas financeiras impostas pelo mercado, a mídia - neste estudo concentrado na revista Exame - constitui-se a força motriz da propagação e produção do discurso aos empresários e executivos de negócios. Este trabalho abarca ainda como recurso metodológico o conceito de Representações Midiáticas (RM) que auxiliou na análise de 25 edições e 57 artigos publicados, entre janeiro e dezembro de 2008, na revista Exame, que versassem sobre a crise econômica e os chamados valores empresariais (acumulação de capital e aumento de lucratividade, criação de valor para acionistas e quotistas, responsabilidade social lucrativa, crescimento sustentável, inovação, vantagem competitiva, etc.). Esta investigação aponta para uma atuação paradoxal, mas não incoerente da revista Exame, representada pelo alto escalão executivo da empresa, flexibilizando e subordinando o discurso político aos interesses financeiros da mídia de negócios. A revista Exame reforça e propaga os chamados valores empresariais e eleva os executivos e empresários a uma categoria de indivíduos dotados de características e capacidades raras os quais possuem condições de auxiliar o país a transpor o momento, entendido por muitos como a maior crise financeira da história, e seguir seu rumo em direção ao crescimento e, consequentemente, aumento nas margens de lucro das empresas

Thailand has been one of significant recipients of foreign direct investment (FDI) among developing countries over the last 30 years, and has recorded rapid and sustained growth rates in a number of different industrial categories. Thailand has shown a clear policy transition for foreign investment over time from an import-substitution regime to an export-oriented regime. Before the 1997 Asian Financial Crisis (1985-1996), Thailand had the fastest growing level of exports in manufactured goods among Asian economies. FDI plays a significant role in the Thai economy. Thailand has been pursuing different foreign investment policies at different times depending on the development objectives and economic situation in the country. The main objective of this research is to evaluate the determinants of FDI and foreign portfolio investment (FPI) in Thailand using the extended Gravity Model. Panel data is used to estimate and evaluate the empirical results based on the data for the years 1980 to 2004. It also examines the FDI flows between different locations and their geographical distances in Thailand. The primary research question addresses what factors motivate, attract, and sustain the FDI and FPI in Thailand. In addition, this study also examines the effects of the 1997 Asian Financial Crisis on the inflows of FDI and FPI into Thailand. The results show that the inflows of FDI in Thailand, which are supply-driven, are significantly influenced by its 21 largest investing partners. The 1997 Asian Financial Crisis has no impact on the determinants of the inflows of FDI into Thailand, but positively influences the inflows of FPI into Thailand. Our results also show that increases in GDP and trade between investing partners and Thailand potentially attract more FDI and FPI into Thailand. Investing partners closer to Thailand draw more portfolio investment into Thailand than distant partners – emphasising that distance has a negative impact on the portfolio investment but a negligible impact on the FDI.

銀行恐慌現象的探討一直都廣受研究金融危機與系統性風險等領域的經濟學者所青睞，而銀行擠兌潮更經常被視為導致銀行恐慌的主因之一。由於金融全球化已是時勢所趨，因此金融危機的蔓延更加受到學術界重視。Allen and Gale (2000)建構出不同型態的銀行同業拆借市場(Interbank market)，並以此為基礎進一步探討在最佳風險分攤的前提之下，銀行與消費者如何決定其投資與消費的最佳資源配置。 本文的基本架構係基於Allen and Gale (2000)所提出的經濟模型，配合存款保險制度的導入，嘗試驗證他們所提出的最佳資源配置是否仍然成立。而本文的結果證實政府實施存款保險制度，銀行與消費者仍然可以得到他們在投資與消費的最佳配置，即使在完美與不完美的銀行同業拆借市場，其結果仍然成立。另外本文也嘗試對存款保險制度是否能有效預防銀行恐慌與其蔓延作出驗證。其結果證實提高存款保險稅率後，銀行擠兌潮的發生需要較高的不可預期流動性需求。換言之，存款保險制度有效提高了銀行倒閉門檻。而對於預防透過銀行同業拆借市場所衍生的金融危機蔓延，存款保險制度的有效性也在本文中獲得證實。 然而存款保險制度並非具絕對優勢，過多則損害消費者的預期效用。因此本文將銀行倒閉風險機率納入模型，利用軟體模擬消費者預期效用極大化條件下的最適存款保險稅率。並且進一步證實，長期資產到期日清算與到期前清算，其兩者報酬率之間的利差愈大，存款保險最適稅率須同步增加，才能使消費者效用最大。另外我們也證實存款保險制度能夠提高社會福利水準與降低銀行倒閉風險。 / Bank panic serves as a favored subject for economists who engage in researches of financial crisis and systematic risk. Because financial liberalization and globaliza-tion have been inevitable, economic scholars have regarded financial contagion. Allen and Gale (2000) established different interbank market structures to achieve the first-best allocation of banks’ investment portfolio and depositors’ consumptions. In this paper, we try to confirm Allen and Gale’s first-best allocation when the deposit insurance is implemented, and we obtain the same consequence as well. Be-sides, we also approve that occurrence of a bank run must accompany by a high level of unexpected liquidity shock if the deposit insurance exists. In other words, it raises the threshold of bankruptcy. Therefore, the deposit insurance is feasible to avert bank panic. With regard to the contagion effect, the deposit insurance undoubtedly de-creases its negative influence because financial interdependence between different financial sectors will be attenuated by imposing a deposit-insurance tax on depositors. The deposit insurance, however, is not constantly superior due to the depositors’ loss in consuming utility. We achieve the optimal deposit-insurance tax rate by intro-ducing probability of bank’s bankruptcy, and find that the optimal tax rate may be raised, so as to boost consumers’ utility if return spread between early and late with-drawn long assets keeps higher. We also testify that the deposit insurance can enhance the social welfare and decrease the incidence of bankruptcy.

近年來，伴隨著俄羅斯經濟實力的提升，俄羅斯金融體系持續茁壯，並推動俄羅斯國內對金融安全需求的迅速增長。俄羅斯金融體系受政治影響極深，中央銀行缺乏獨立性。2007 年次貸風暴對俄羅斯經濟傷害甚鉅，2008年7雷曼兄弟宣布倒閉後，總計10個月內盧布貶值幅度高達52.5%，從MSCI股價指數波動率(equity VIX index)觀察美國、俄羅斯、日本及歐洲，顯示俄羅斯股市波動率最高，以2007 年的136.7 及2008 年的432.7 居冠。在金磚四國中，俄羅斯短期資金的流動性較高，股市波動率也較高。俄羅斯金融體系不良貸款比率高，易發生金融傳染危機，不良貸款比率高出其他國家4 到8 倍。 在金磚四國中，俄羅斯短期資金的流動性較高，股市波動率也較高。總體而言俄羅斯金融體系近年愈為穩健，俄羅斯的金融存款機構信任度在2008年~2010年有明顯提高趨勢，但存款機構內不良貸款比率仍偏高，同時俄羅斯金融體系易受國際金融傳染危機影響俄羅斯金融體系不良貸款比率高，易發生金融傳染危機，若能降低目前俄羅斯金融存款機構的壞帳比例及呆帳率，則俄羅斯的金融安全會更加穩固。 / In recent years, along with the upgrading of Russia's economic strength, Russia's financial system continued to thrive, the needs of financial security growth rapidly. Russia's financial system is deeply influenced by political power, and their central bank is lack of independence. Subprime crisis hurt the Russian economy hugely, in July 2008, after Lehman Brothers declared bankruptcy; ruble devalued 52.5% in 10 months. MSCI stock index volatility equity VIX index) for U.S., Russia, Japan and Europe, shows Russian stock market volatility rate was 432.7 and also the highest of all. In the BRIC, Russia presented higher short-term liquidity, and the stock market volatility. Overall, Russia's financial system is more robust and stable in recent years, from 2008 to 2010, the depository trust in Russian financial institutions increased significantly, while Russia's financial system is still vulnerable to the contagion of international financial crisis.

不動產法拍屋市場中，是否受到總體經濟環境變化或金融風暴來襲，而影響拍定價相對於第一拍底價之比率？是本研究所探討的課題。除上述總體經濟因素外，是否尚有其他因素如法拍屋個別屬性影響拍定價對底價比？本文藉由上述各項因素存在與否，探討法拍屋拍定價對底價比和各變數間之關係，得以建立法拍屋拍定價對底價比之變數模型。 本研究以特徵價格理論探討影響台北市士林區法拍屋拍定價對底價比之變數，並以迴歸分析方法分析影響法拍屋拍定價對底價比之因素，及其影響程度，並藉此探討當市場發生重大金融事件或總體經濟環境變化時，是否影響法拍屋之拍定價對底價比。實證結果發現：影響法拍屋拍定價對底價比之顯著變數如下： 一、法拍屋個別屬性：是否為一樓、競標數呈正相關，屋齡呈先負後正曲線關係，拍定次數呈負相關。 二、總體經濟變數：拍定前月放款利率、拍定前季是否經濟衰退或金融風暴呈負相關。 本文探討影響法拍屋拍定價對底價比之變數，研究結果期能提供地方法院訂定第一拍底價及酌減各拍次底價之參考、投標人決定投標價及選擇最佳進場時機之參考、地方法院委託之不動產鑑定人於法拍屋估價時，價格調整幅度權衡的參考、以及債權人決定是否執行及續拍之參考。 / Real estate markets are affected by macro economic factors, regional factors and individual factors. As there is recession in economy growth, the number of foreclosed properties increased. How are the prices of foreclosed properties influenced by the aforementioned factors? This study intends to explore factors affecting the ratio of the final transaction price to the listed base price in the real estate auction markets through the Hedonic Price Model. Results show that the first-floor effect, number of bidders and age of the buildings are positively related to the ratio of the final transaction price to the listed base price in the real estate auction markets. Numbers of auctions, interest rates, and the occurrence of the financial crisis in the previous season are negatively related to the ratio of the final transaction price to the listed base price. Results of this study provide precious reference value on formulating the listed base prices on the real estate auction markets. Investors can also take into account of the significant factors in making the investment decision in the auction market.

The aim of this thesis is to examine empirically the relationship between the exchange rate, the instruments of monetary policy and the measures of economic performance for Indonesia, Korea and Thailand during the pre- and post 1997 Asian financial crisis. The first core chapter (Chapter 2) assesses the possible linkages between the increase in domestic inflation and the exchange rate targeting policy adopted in these countries. Using the cointegration technique and a simple monetarist inflation model, Chapter 2 finds strong evidence that the exchange rate policy that generates a predominant domestic currency undervaluation has caused an increase in the domestic inflation rate for Indonesia and Korea. However, the exchange rate targeting policy that brings about a predominant baht overvaluation especially during the pre-crisis period has lowered Thailand’s inflation. Soon after the outbreak of 1997-crisis, instead of using the exchange rate as the nominal anchor, all three countries have implement their monetary policy around an inflation target following an inflation targeting framework. Owing to this significant structural break, the second core chapter (Chapter 3) uses a Markov-switching VAR framework to determine if the effects of monetary policy shocks have changed across different monetary policy regimes in these economies. Chapter 3 finds that regime switches occur in mid-1997 to 2000 for Indonesia, which coincides with the period after the onset of 1997-crisis and the economic recovery period; and in 1999 for Korea and Thailand, which coincides with the period when the inflation-targeting framework is adopted. From the regime-dependent impulse response functions, the responses of macroeconomic variables to monetary policy shocks have changed significantly across different regimes only for the case of Korea and Thailand. From the above discussions, Chapter 2 found that exchange rate targeting policy caused higher domestic inflation in Indonesia and Korea especially during the pre-crisis period; while Chapter 3 found that inflation targeting policy seemed to cause structural changes in Korea and Thailand. Therefore using a structural VAR framework, the third core chapter (Chapter 4) explores further the role of the exchange rate and inflation targeting policy on the economic performances of these economies during the pre- and post crisis periods. Chapter 4 finds that in the case of Indonesia and Korea, the foreign exchange market does create most of its own shocks during the pre-crisis period but not during the post crisis period. For Indonesia and Thailand, the soft US dollar peg policy during the pre-crisis period has caused additional distortions in the domestic economy. Moreover the role of the exchange rate as a shock absorber has increased during the post crisis period only for the case of Indonesia and Thailand. For all three economies, following the introduction of the inflation targeting policy, domestic short-term interest rates have been adjusted systematically to offset inflationary pressure following the real and nominal shocks. Moreover, in the case of Indonesia and Thailand, the unsystematic part of monetary policy plays a smaller role in explaining the variations in domestic economy during the post crisis period. / http://proxy.library.adelaide.edu.au/login?url= http://library.adelaide.edu.au/cgi-bin/Pwebrecon.cgi?BBID=1320356 / Thesis (Ph.D.) -- University of Adelaide, School of Economics, 2008

One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. The reason for studying these relationships is to further explain the causes of the uncovered interest parity puzzle, thus adding our contribution to the academic field through this thesis.To accomplish our goals, data was gathered for daily quotes of 16 different currency pairs, grouped by interest differentials, and two equity indexes, the S&P 500 and FTSE All-World, along with data for the VIX volatility index, for the 2003-2012 period. The data was collected from Thomson Reuters Datastream and the selected ten year span was divided into three different periods. This was done in order to discover the differences on how equity indexes relate to typical carry trade currency pairs, depending on market developments before, during and after the world financial crisis.The tests conducted on the collected data measured the correlations, influences and sensitivity for the 16 different currency pairs with the S&P 500 Index, the FTSE All-World index, and the volatility index between the years of 2003-2012. For influences and sensitivity, we performed Maximum Likelihood (ML) regressions with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) [1,1], in Eviews software.After analyzing the results, we found that, during our chosen time period, the majority of currency pair daily returns are positively correlated with the equity indexes and that the FX pairs show greater correlation with the FTSE All-World, than with the S&P 500. Factors such as the interest rate of a currency and the choice of funding currency played an important role in the foreign exchange markets, during the ten year time span, for every yield group of FX pairs.Regarding the influence and sensitivity between currency pairs and the S&P 500 with its VIX index, we found that our models explanatory power seems to be stronger when the interest rate differential between the currency pairs is smaller. Our regression analysis also uncovered that the characteristics of an individual currency can show noticeable effects for the relationship between its pair and the two indexes.

SAMMANFATTNING   Under en pågående lågkonjunktur och i en värld med ett antal företagsskandaler färskt i minnet, väcks intresset för hur revisorerna bemästrar sin uppgift som bedömare av företags fortlevnad. Tidigare studier om revisorers träffsäkerhet vid bedömning av going concern visar att träffsäkerheten i Sverige är låg, jämfört med studier ifrån andra länder. Vårt resultat ger ytterligare belägg för en låg träffsäkerhet i Sverige. För att besvara vårt syfte har vår studie föregåtts av både ett kvantitativt och ett kvalitativt angreppssätt, då vi dels har genomfört en datainsamling och en informantintervju. Materialet som vi har utgått ifrån är 2075 respektive 1528 undersökningsenheter, där alla enheter är aktiebolag som gått i konkurs under perioden1 januari - 30 juni 2010. En del av vår undersökning var att kartlägga om det finns någon skillnad i träffsäkerheten vid bedömning av going concern när revisorerna är medvetna om en pågående lågkonjunktur. Jämför vi vårt resultat med resultatet från en liknande studie utförd 2009, när lågkonjunkturen var i sin linda, finner vi en skillnad mellan studierna. Träffsäkerheten är högre i vår studie, 18,3 %, än i den tidigare studien, 12,2 %. En ytterligare del i vår undersökning var att kartlägga möjliga förklaringar till den låga träffsäkerheten vid bedömningen av going concern. Studien indikerar att kompetens, oberoende, rädsla för skadestånd och redovisningens uppbyggnad kan påverka revisorernas träffsäkerhet vid bedömning av going concern i mer eller mindre utsträckning. Vidare kan redovisningens uppbyggnad ses som en anledning till den låga träffsäkerheten vid revisorers bedömningar av going concern. / SUMMARY     During a recession and in a world with a number of major corporate scandals in fresh memory, the interest in how auditors have mastered their role as assessor of corporate survival is raised. Previous studies on auditors' accuracy in assessing the going concern shows that the accuracy of it in Sweden is low compared to studies made in other countries. Our result gives further evidence of a low success rate in Sweden. To answer our purpose, our study has been preceded by both a quantitative and a qualitative approach as we have implemented a data collection as well as an informant. The material we have used to obtain our results is 2075 and 1528 investigation units, where all units are Limited Companies that have gone bankrupt during the period January 1:st to  June 30:th 2010. A part of our study was to investigate if there were any differences in the accuracy in the assessment of going concern when the auditors were aware of a pending recession. Comparing our results in this study with a similar study conducted in 2009, when the recession was in its infancy, we find a difference between the studies. Accuracy is higher in our study, 18.3%, than in the earlier study, 12.2%. A further aspect of our study was to identify possible explanations to why there is such a low accuracy in the assessment of going concern. The study indicates that competence, independence, fear of damages and accounts structure could affect auditors' accuracy in assessing going concern in a greater or lesser extent. Furthermore, the accounts structure is seen as a reason for the low accuracy of auditors' assessment of going concern

The United Kingdom Combined Code is today the most fundamental corporate governance code applicable in United Kingdom. The nation of United Kingdom encourages governance practices by implementing the Directive 2006/46/EC on a voluntary basis before being mandatory. While corporate governance is applicable to many corporations, pension providers may be seen as one of the ideal market sector for governing, since they act as institutional investors representing a major shareholder group. Institutional investors may even improve corporate governance practices as they represent a major part of public sector capital. Owning large amount of shares, their function is to supervise in the firms’ corporate governance activities in order to monitor the transparency and disclosure procedures. To be able to monitor other companies' activities, pension providers must set up an example for enforcing corporate governance practices themselves and follow them respectively.   This descriptive case study observes the corporate governance structures represented in annual reports of five large chosen pension providers during the years 2007 to 2009 capturing the financial crisis occurring in 2008, in United Kingdom. The purpose of the study is to examine if strong corporate governance is incorporated in the following pension providers, Aberdeen Asset Management plc, Aviva plc, Prudential plc, Royal London Mutual Insurance Society Limited and Standard Life plc. The focus is on board composition and established committees. The scope of this study answers the following research question: How do the five pension providers, Aberdeen, Prudential, Royal London, Standard Life and Aviva, comply with or explain deviations found in their respectively annual reports from 2007-2009 in accordance with the Combined Code 2008 and the Annotated Combined Code 2005?   Fundamental for pension providers is to work on a long-term basis with value creation as goal. Still the core focus of corporate governance remains, to create a system offering protection for all stakeholders. As the result shows, all of the five chosen corporations strongly implement national corporate governance practices throughout 2007-2009 on both board composition and established committees. Still, they suffered short-term negative fluctuations from the United Kingdom financial crises in 2008, but recovered shortly afterwards. Even though these fluctuations occurred, all of the corporations have long-term value as one of their main objectives. The long-term value can partly be sustained by strong corporate governance practices as it a main objective in corporate governance.