Submitted by Flávia Coelho Branco Junqueira Ferraz (fla_ferraz@hotmail.com) on 2011-10-11T19:18:35Z No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2011_PDF.pdf: 402008 bytes, checksum: 1a3fe2225f59266cad2f3a3d5bfd1554 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2011-11-17T19:21:57Z (GMT) No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2011_PDF.pdf: 402008 bytes, checksum: 1a3fe2225f59266cad2f3a3d5bfd1554 (MD5) / Made available in DSpace on 2012-05-09T19:38:43Z (GMT). No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2011_PDF.pdf: 402008 bytes, checksum: 1a3fe2225f59266cad2f3a3d5bfd1554 (MD5) Previous issue date: 2011-05-30 / O objetivo deste trabalho é estimar os efeitos da crise financeira recente sobre os spreads dos títulos soberanos dos países emergentes. Os resultados corroboram a visão de que a atual crise financeira teve um impacto significativo sobre a percepção de risco dos países emergentes, elevando o prêmio de risco. A taxa de crescimento da economia, a taxa de câmbio real, as reservas internacionais, as dívidas interna e externa e o VIX também afetaram significativamente os spreads soberanos. Por fim, mostramos que a percepção de risco do Brasil foi menos afetada pela crise que nos demais países emergentes. / This study aims to estimate the effects of the recent economic crisis on the sovereign bonds spreads of emerging countries. The results support the view that the current financial crisis had a significant impact on the perception of emerging country risk, raising their risk premium. The economic growth rate, real exchange rate, international reserves, domestic and foreign debt and VIX also significantly affected the sovereign spreads. In addition, we also demonstrate that the perception of the Brazilian risk was less affected by the crisis than the remaining emerging countries.

The aim of this thesis was to analyze consumer credit and mortgage loans during the financial crisis in selected commercial bank. In the theoretical part I define important terms. I differentiate between types of loans, explain types of banking risks and their current management. In the practical part I analyzed the survey data and the volume of borrowed finances and the failure rates of individual loans. Were the proposed new methodology aimed at eliminating risks in the bank.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This dissertation aims at understanding the meanings which were built on the financial crisis in editorials by two weekly news magazines between September, 2008 and December, 2009. For that, we use French Discourse Analysis and its theoretical-methodological framework. As a theoretical basis needed for the application of Discourse Analysis, we use literature review on topics grounding the magazines' Discourses. Therefore, correlated topics, such as opinion journalism and the editorial, economics journalism and magazine journalism, the economic models from the past decades, the crisis in itself, and a history of the Conditions of Production in the aforementioned magazines are observed. As a methodological tool, we use the concept of Paraphrastic Families, which assist in identifying meanings and their arrangement in Discursive Formations. Reviewing such concepts allied to the Analysis leads to some conclusions regarding the meanings which are constructed by both magazines in this period so as to organise them into four Discursive Formations two of them found in both magazines, and the other two solely in either one of the magazines. Consistently with their history, reviewed in this work, CartaCapital built Keynesian meanings by severely criticising neoliberalism and by considering the return of a strong State as the solution for the crisis whereas Veja built neoliberal meanings by giving the crisis less importance, by overlooking the augmentation of the State, and by defending the neoliberal model even during such time. Both magazines reacted alarmingly when the crisis burst, which brings part of these publications' discourse closer to the report on the event as it is usual in informative journalism. Another Discursive Formation found in both magazines was an emergent discourse, from 'Lulism', social-economic formulation of diffusive character which has, because of its very nature, gained space in editorials so as to defend Brazil as a strong country in the midst of the crisis albeit the ideological differences between both magazines. Thereafter, we were able to establish the Ideological Formations by magazine. In CartaCapital, there is subordination of ideological regions to the seek for equality within capitalism. Whereas, in Veja, we found subordination of ideological regions to market freedom. Both magazines, nonetheless, try to mask their emergent 'Lulist' discourse with their premises. Understanding the way in which editorials by both magazines construct meanings about a crisis of great proportions helps to evaluate how they understand society and its identities inasmuch as those are the moments which lead to the limit of possibilities at stake in the discursive plane. Ergo, the topic studied here is relevant to the research strand 'Media and Contemporary Identities' in the Postgraduate Programme in Communications at the Federal University of Santa Maria inasmuch as it represents a study into the role of Media Communications in the construction of social dynamics. / A presente dissertação tem como objetivo compreender os sentidos construídos sobre a crise financeira nos editoriais de duas revistas semanais de informação entre setembro de 2008 e dezembro de 2009. Para tal, utiliza-se a Análise do Discurso de corrente francesa (AD) e seu aporte teórico-metodológico. Como suporte teórico necessário para aplicação da AD utiliza-se a revisão bibliográfica de temas que dão base aos Discursos das revistas. Assim, temas correlatos como o jornalismo opinativo e o editorial, o jornalismo econômico e em revista, os modelos econômicos das últimas décadas, a crise em si e um histórico das Condições de Produção (CP) das revistas estudadas são observados. Como ferramenta metodológica utiliza-se o conceito das famílias parafrásticas (FPs), que auxiliam na identificação dos sentidos e seu agrupamento em Formações Discursivas (FDs). A revisão desses conceitos aliados à Análise leva a algumas conclusões quanto aos sentidos construídos pelas duas revistas nesse período ao estabelecer quatro Formações Discursivas, duas presentes em ambas as revistas, e duas presentes unicamente em cada uma delas. Em consonância com seus históricos, revisados nesse trabalho, CartaCapital construiu sentidos keynesianos ao fazer uma dura crítica ao neoliberalismo e considerar a volta de um Estado forte como solução para a crise, enquanto Veja construiu sentidos neoliberais ao dar menor importância à crise, não ver com bons olhos um aumento do Estado e defender o modelo neoliberal mesmo em meio à crise. Em ambas as revistas um sentido de alarme quando do estopim da crise foi encontrado, o que aproxima uma parte dos discursos dos editoriais dessas publicações ao relato do acontecimento como é prática no jornalismo informativo. Outra FD encontrada em ambas as revistas foi de um discurso em emergência, do Lulismo, formulação social-econômica de caráter difuso e que, por essa natureza, ganhou espaço nos editoriais enquanto defesa do Brasil como país forte em meio à crise apesar das diferenças ideológicas das revistas. A partir disso que se estabeleceu as Formações Ideológicas por revista, sendo em CartaCapital a subordinação das regiões ideológicas à busca pela igualdade dentro do capitalismo e em Veja a subordinação das regiões ideológicas à liberdade dos mercados, numa situação em que ambas procuram revestir de suas premissas o discurso lulista em emergência. A compreensão da maneira como os editoriais de duas revistas constroem sentidos sobre uma crise de grandes proporções auxilia na avaliação da forma que compreendem a sociedade e suas identidades, já que são esses momentos que levam ao limite as possibilidades em jogo no plano discursivo. Portanto, a temática aqui estudada tem pertinência à linha de pesquisa Mídia e Identidades Contemporâneas, do Programa de Pós-Graduação em Comunicação da UFSM, já que um estudo do papel da Comunicação Midiática na construção de dinâmicas sociais.

The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...

L'étude vise principalement à analyser l'origine de la crise financière globale de 2007 (2007 GFC) au États-Unis et dans les autres économies avancées (AE), ses impacts macroéconomiques sur les économies (de marché) émergentes (EME) ainsi qu'un examen critique de leurs réponses en termes de politique économique. L'étude met en évidence les défis en matière de régulation post crise et discute des implications des réformes qui ont été récemment introduites dans les EME. A cette fin, la thèse se décline en quatre chapitres. Le premier chapitre établit le contexte théorique de la thèse et présente un exposé critique des approches orthodoxe (dominante/néolibérale) et hétérodoxe concernant la fragilité financière et la crise. Après avoir examiné l'approche orthodoxe, on met en évidence le mérite et la pertinence du cadre d'analyse de Minsky connu en tant que « Hypothèses d'instabilité financières » (FIH), afin de comprendre la question de la fragilité dans les économies de marché. Dans le deuxième chapitre, la thèse propose un compte rendu exhaustif des explications et des conséquences de la crise de 2007 en mettant l'accent sur ses prémisses qui se trouvent sur le marché immobilier américain. On met également en évidence les principaux dysfonctionnements du marché financier et du système de régulation qui se trouvent à l'origine de la crise. Le troisième chapitre présente une analyse approfondie du processus de transmission de la crise de 2007 aux EME. Par la suite, on met en évidence les réactions en matière de politique économique (monétaire) de certaines EME sous forme d'étude comparative. Le quatrième chapitre analyse les diverses réformes de régulation financière introduites après la crise. L'examen indique que ces réformes (la loi Dodd Franck Act de 2011 et les nouveaux standards Bâle III) sont d'inspiration néolibérale et qu'elles ne peuvent pas résoudre le problème de fragilité et de crise financière. Sur la base de notre analyse développée au travers de ces quatre chapitres on met en évidence deux principaux résultats. Premièrement, les marchés financiers ne devraient pas être laissés aux vicissitudes des marchés (libres). Il faudrait mettre en place un cadre de régulation pertinent assorti des principes macroprudentiels qui puissent remplacer l'approche dominante de marchés libres efficients. Les orientations de politique et d'analyse de « gouvernement puissant » et de « banque centrale puissante », assumées par l'économiste hétérodoxe Hyman Minsky, semblent appropriées pour comprendre et contenir la fragilité des économies de marché. Ensuite, il est recommandable pour les EME d'adopter des politiques cohérentes avec leurs propres caractéristiques macroéconomiques et avec leur niveau de développement financier et non de s'attacher à une croyance aveugle dans la libéralisation du marché ou dans le paradigme néolibéral. / This study mainly aims to investigate the origin of the global financial crisis of 2007 (2007 GFC) in United States and in other advanced economies(AEs),its macroeconomic impact on the Emerging Market Economies(EMEs) and the critical analysis of their policy response. Study highlights the regulatory challenges of the post-crisis period and discusses the implications of newly introduced regulatory reforms for the EMEs.In this aim the thesis is delineated into four chapters. First chapter of the thesis sets the theoretical context of the dissertation and presents a critical review of orthodox (mainstream/neoliberal) and the heterodox approaches on financial fragility and crisis. After giving a critique of the orthodox approach, merits and relevance of Minsky's framework known as “Financial Instability Hypothesis”(FIH) are emphasized to understand the issue of fragility in capitalist economies. Second chapter of the thesis provides a compelling compendium of various explanations and consequences of the 2007 GFC focusing on its origination in the US housing market. Main dysfunctions of the financial markets and the regulatory system that led to the eruption of financial crisis are highlighted. Third chapter presents an in-depth analysis of the contagion of the 2007 GFC to EMEs. A comparative case studies analysis highlights the policy response of selected EMEs. Fourth chapter of the thesis investigates the various financial regulatory reforms introduced in the aftermath of the 2007 GFC. Analysis in this chapter indicates that introduced reforms (The Dodd- Franck Act of 2011 and the new Basel III Banking Standards) are rooted in neoliberal philosophy so would be unable to solve the issues of fragility and financial crisis. On the basis of our analysis in these four chapters, two major conclusions are emphasized. Firstly, the financial markets should not be left to the vicissitudes of free markets, and a relevant regulatory framework having macroprudential orientations must be implemented to replace the dominant free-market-based approach. Analytical and policy insights (“big government” and “big central bank”) endorsed by heterodox economist Hyman Minsky seem appropriate to understand and constrain the fragility of capitalist market economies. Secondly, it is advisable for EMEs to adopt policies keeping in view their own macroeconomic characteristics and the level of financial development and not by the blind faith in market liberalisation or the neoliberal policy paradigm.

Les pratiques des banques centrales se sont graduellement ajustées, depuis les années 90, aux principes fondamentaux de la Nouvelle synthèse, et ont convergé vers une normalisation qui a fait ses preuves. D'une part, cette normalisation se fonde sur la doctrine de stabilité des prix, déployée sous la forme du système de ciblage d'inflation. D'autre part, elle s'accompagne de pratiques afin de renforcer la crédibilité et la transparence. De plus, la représentation DSGE de l'économie adoptée par la Nouvelle synthèse, et du fait de sa cohérence théorique, s'est aussi imposée comme un cadre analytique central de politique monétaire, particulièrement adapté pour des analyses de scenarii et pour générer des prévisions de variables d'intérêt. En parallèle, les banques centrales ont tenté de favoriser un environnement financier stable, à travers leur rôle de prêteur en dernier ressort. Et grâce au principe d'efficience des marchés, l'utilisation de la politique monétaire face aux bulles spéculatives a été déconseillée. Cependant, la dimension de stabilité financière a souffert d'une absence de définition consensuelle, conduisant à une multiplication des méthodologies pour la quantification des risques, la prévention des crises et l'évaluation du système financier. La crise de 2007 a remis en cause ce consensus naissant. Tout d'abord, l'apparition de perturbations financières dans un environnement de stabilité des prix a semblé invalider les principes théoriques de la politique monétaire. Ensuite, l'adoption d'une série de mesures dites non conventionnelles, suite à l'atteinte du taux plancher zéro, a montré l'insuffisance des instruments usuels de politique monétaire pour contrer la crise et favoriser une reprise durable. Enfin, le traitement résiduel réservé à la sphère financière, dans le modèle canonique NK n'a pas permis d'appréhender les régularités du cycle d'affaires, les vulnérabilités financières, le manque de liquidité ou la procyclicité des systèmes financiers. Les critiques adressées à la Nouvelle synthèse ont principalement porté sur des hypothèses spécifiques, et non pas sur le cadre lui-même. Par conséquent, la pertinence du cadre NK semble toujours de mise, du fait de son caractère unique d'absorption de théories au départ fort variées. Ainsi, l'introduction de la possibilité de défaut et de la monnaie a permis la modélisation d'un secteur bancaire actif, afin de comprendre les altérations du mécanisme de transmission des chocs et de considérer l'existence de taux d'intérêts multiples. De même, le rôle du marché interbancaire a été abordé pour étudier le manque de confiance, l'assèchement des liquidités et l'impact du marché sur le financement de l'économie. Enfin, les multiples dimensions des politiques monétaires non conventionnelles ont été intégrées, en vue d'examiner leur efficacité et d'identifier les mécanismes de transmission. Toutefois, il n'existe pas de représentation microéconomiquement fondée, suffisamment générale pour capter, de manière logique et parcimonieuse, la majorité des spécificités associées à la sphère financière. La crise a également permis de dégager des enseignements concernant le secteur financier, en ce qui concerne son rôle en termes d'accentuation des non-linéarités de la dynamique économique, sur les répercussions négatives du taux plancher zéro et, enfin, sur la remise en cause de l'hypothèse de Schwartz. En mettant en évidence les liens entre la politique monétaire et la politiques macroprudentielle, la crise a donc invalidé le principe de dichotomie adopté jusque-là. Ces nouvelles orientations ne sont cependant pas totalement claires. En effet, la gestion de la sortie de la crise économique, et l'impact des plans d'austérité, laissent apparaitre de nouveaux défis : un risque de stagnation similaire à celui qui a touché le Japon ; le retour aux pratiques de transformation des échéances à fort effet de levier; et le flou entourant les stratégies de sortie des banques centrales. / Central banks practices have gradually adjusted, since the 90s, to the fundamental principles of the New synthesis, and converged towards a normalization that has proved its worth. On one hand, this normalization is based on the doctrine of price stability, under the form of an inflation targeting system. On the other hand, it is supplemented with practices intended to enhance credibility and transparency. In addition, and because of its theoretical coherence, the DSGE representation of the economy adopted by the New Synthesis also emerged as a central analytical framework for monetary policy, particularly suitable for scenario analyzes and for generating forecasts of variables of interest. At the same time, central banks have tried to promote a stable financial environment, through their role as lender of last resort. And thanks to the principle of market efficiency, the use of monetary policy in the face of speculative bubbles has been limited. However, the concept of financial stability has been lacking a consensual definition, leading to a proliferation of methodologies for quantifying risk, preventing crisis and evaluating the financial system. The 2007 crisis has challenged this emerging consensus. First, the onset of the financial turmoil, in an environment of price stability, seemed to invalidate the theoretical principles of monetary policy. Then, the adoption of a series of so-called unconventional monetary policy measures, upon reaching the zero lower bound, exposed the inadequacy of conventional monetary policy instruments, in order to counter the crisis and encourage a sustainable recovery. Finally, the residual treatment of the financial sector in the canonical NK model failed to capture the regularities of the business cycle, the financial vulnerability, the lack of liquidity and the procyclicality of financial systems. Critics of the New synthesis focused on specific assumptions, rather than on the framework itself. Therefore, the relevance of the NK framework still seems appropriate, because of its unique capability of absorbing various theories which may initially seem irreconcilable. Thanks to the introduction of money and the possibility of default, the modeling of an active banking sector helped understand the changes in the shocks transmission mechanism, and enabled the introduction of multiple interest rates. Similarly, the interbank market role has been addressed in order to investigate the erosion of confidence, the drying up of liquidity and the impact on the financing of the economy. Finally, the multiple dimensions of unconventional monetary policies have been incorporated in order to assess their effectiveness, and to identify the transmission mechanisms. However, there is no microeconomically based representation general enough to capture, in a logic and parsimonious way, the majority of the financial characteristics. The crisis has also helped to draw lessons about the financial sector, with regards to its role in terms of increased economic non-linearities, the negative impact of the zero lower bound, and the questioning of the Schwartz hypothesis. By highlighting the links between monetary and macroprudential policies, the crisis has then invalidated the dichotomy principle adopted until now. These new guidelines are, however, not entirely clear. Indeed, the economic recovery management and the impact of austerity measures create new challenges: a stagnation risk similar to the one that hit Japan; a return to highly leveraged maturity transformation practices; and blurry central banks exit strategies.

In this article, the author tells us about the acquisition of assets in companies that are experiencing financial difficulties and the legal tools that facilitate the procedure. Likewise, he details protection mechanisms to mitigate risks when companies are going through an economic crisis. Finally, he emphasizes that the crisis can generate great profitability to the buyer who managing the risks can open up great possibilities of investment. / En el presente artículo, el autor nos habla acerca de la adquisición de activos en empresas que atraviesan dificultades financieras y las herramientas legales que facilitan el procedimiento. Asimismo, detalla los mecanismos de protección para mitigar los riesgos cuando las empresas atraviesan una crisis económica. Finalmente, resalta que la crisis puede generar gran rentabilidad al comprador quien manejando los riesgos puede abrir grandes posibilidades de inversión.

nÃo hà / O objetivo do presente estudo visou investigar possÃveis impactos provenientes da crise financeira de 2008 nas aÃÃes das instituiÃÃes financeiras brasileira. Logo apÃs duas dÃcadas de instabilidade, planos econÃmicos malsucedidos e ciclos de crescimento pouco consistentes, chegou-se finalmente, apesar de alguns problemas, diante de um conjunto concreto de oportunidades para avanÃar significativamente no mercado financeiro. O Brasil assegurou diante do mundo um nÃvel de excepcional desempenho no setor financeiro, com instituiÃÃes financeiras que se projetaram como modelos de excelÃncia nos mais diversos segmentos de atuaÃÃo. Com esta finalidade, foram utilizadas algumas mÃtricas estatÃsticas descritivas agregadas Ãs diversas formas de risco e de performance das distribuiÃÃes de retorno lÃquido nominal diÃrio das aÃÃes das empresas que compÃem setor analisado, com periodicidade semestral de 2005 a 2010. Utilizou-se como benchmark o IBOVESPA. Possivelmente em funÃÃo de alguns fatores como, a forte contraÃÃo do crÃdito, o nÃvel de desconfianÃa dos investidores nos sistemas financeiros e diminuiÃÃo da demanda externa pelos produtos brasileiros, fizeram com que os retornos diÃrios das aÃÃes das empresas individuais, assim como o retorno do Ãndice de mercado IBOVESPA, reagissem à crise com perdas acumuladas expressivas. A direÃÃo da variaÃÃo e o valor das aÃÃes foram previstos pelo arcabouÃo microfundamentado dado pelo Capital Asset Pricing Model (CAPM). No perÃodo pÃs-crise, o setor reagiu e demonstrou uma significativa recuperaÃÃo prevista pelos fundamentos e os retornos das aÃÃes das instituiÃÃes superaram o Ãndice de mercado. Ao mesmo tempo as anÃlises estatÃsticas foram favorÃveis ao setor financeiro, apresentando menor desvio padrÃo e boa performance dos Ãndices de Sharpe, Sortino, Treynor e Calmar. Com a utilizaÃÃo do CAPM, e das regressÃes computacionais estimadas, testando os retornos das aÃÃes das instituiÃÃes financeiras analisadas, o estudo demonstrou que as aÃÃes acompanharam as movimentaÃÃes do mercado, variando positivamente o que deveria e desvalorizando quando os fundamentos sinalizavam que deveriam, mostrando-se de acordo com a teoria de precificaÃÃo de ativos. / The aim of this study was to investigate possible impacts from the 2008 financial crisis in the actions of the Brazilian financial institutions. Soon after two decades of instability, economic plans and unsuccessful cycles of growth inconsistent, it was finally, despite some problems, before a concrete set of opportunities to advance significantly in the financial market. Brazil is assured before the world an exceptional level of performance in the financial sector, with financial institutions that are designed as models of excellence in various segments. For this purpose, we used some descriptive statistics aggregated metrics to the various forms of risk and performance of the distributions of nominal daily net return of the stocks of companies that comprise the sector analyzed, every six months from 2005 to 2010. Was used as the benchmark Bovespa Index. Possibly due to such factors as the sharp contraction of credit, the level of distrust of investors in financial systems and reduced foreign demand for Brazilian products, made daily stock returns of individual companies, as well as the return of the index IBOVESPA market, react to the crisis with significant accumulated losses. The direction of change and shareholder value have been provided by microfundamentado framework given by the Capital Asset Pricing Model (CAPM). In the post-crisis period, the industry reacted and demonstrated a significant recovery predicted by fundamentals and stock returns of institutions exceeded the market index. While statistical analyzes were favorable to the financial sector, with lower standard deviation and good performance of the Sharpe ratios, Sortino, Treynor and Calmar. Using the CAPM, and the computational estimated regressions, testing the stock returns of financial institutions analyzed, the study demonstrated that accompanied the stock market movements, which should vary positively and devaluing the fundamentals signaled when they should, showing in accordance with the theory of asset pricing.

Submitted by Weichao Wang (weichao.wang@fgv.edu.br) on 2018-05-11T16:03:27Z No. of bitstreams: 1 Wang2018_Thesis_TARP_Interbank_Risk_May9.pdf: 2618673 bytes, checksum: dc1254edf6febf9dacf740dc3f7d48a8 (MD5) / Rejected by Diego Andrade (diego.andrade@fgv.br), reason: A ordem dos documentos está errada. on 2018-05-14T18:11:37Z (GMT) / Submitted by Weichao Wang (weichao.wang@fgv.edu.br) on 2018-05-14T18:24:47Z No. of bitstreams: 1 Wang2018_Thesis_TARP_Interbank_Risk_May9.pdf: 2618806 bytes, checksum: add9b0e474645e1acb2fd7f4b86eb1f2 (MD5) / Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2018-05-15T16:30:20Z (GMT) No. of bitstreams: 1 Wang2018_Thesis_TARP_Interbank_Risk_May9.pdf: 2618806 bytes, checksum: add9b0e474645e1acb2fd7f4b86eb1f2 (MD5) / Made available in DSpace on 2018-05-18T12:30:42Z (GMT). No. of bitstreams: 1 Wang2018_Thesis_TARP_Interbank_Risk_May9.pdf: 2618806 bytes, checksum: add9b0e474645e1acb2fd7f4b86eb1f2 (MD5) Previous issue date: 2018-05-09 / I investigate how the Troubled Asset Relief Program (TARP) affected the stressed interbank money market trading during the recent financial crisis via a difference-in-difference (DiD) design. I find that the TARP capital injection significantly enlarged the interbank exposure for the TARP recipients relative to others, particularly for banks in smaller size, with lower level of interbank trading and located in relatively poor economic conditions. I further test whether the distorted interbank liquidity position of the TARP recipients stimulated their credit risk appetite. I find that TARP recipient banks with larger interbank exposure also significantly shifted to riskier credit portfolios than others after the TARP implementation, suggested by estimates on forward- and backward-looking risk measures. Results are robust to the instrumental variable analysis, the sample self-selection model, the propensity score matching analysis, various placebo experiments and alternative econometric models. My results are most consistent with the “capital spillover” hypothesis that banks used the TARP capital to develop more interconnected interbank relationships, and the moral hazard effect that higher future bailout expectation and increased systemic relevance jointly construct a “new government safety net” for the TARP beneficiaries to take excessive credit risks under the implicitly perceived “too interconnected to fail” protection.

Financial systems are today one of the most heavily regulated sectors of the world and whose role has been widely discussed in the economic debate, considering the route of infection they pose to the economy, as presented in the recent international financial crisis. Thus, this study aimed at reviewing the theoretical framework pertaining to the economic theories of regulation, the role of financial systems in the economy and the rationale for state intervention in these markets, as well as changes the rules on supervision of the sector financial. It also presented a brief discussion of the international financial crisis and the new role of emerging economies in global economic scenario. / Os sistemas financeiros constituem-se hoje um dos setores mais intensamente regulados do mundo e cujo papel tem sido amplamente discutido no debate econômico, haja vista a via de contágio que estes representam para a economia, como apresentado na recente crise financeira internacional. Dessa forma, este trabalho teve como objetivo apresentar uma revisão do arcabouço teórico referente às teorias econômicas da regulação, do papel dos sistemas financeiros na economia e das bases racionais para a intervenção do Estado nestes mercados, bem como da evolução das regras de supervisão do setor financeiro. Apresentou-se ainda, uma breve discussão da crise financeira internacional e do novo papel das economias emergentes no cenário econômico mundial.