Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.

Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2017-03-29T12:28:05Z No. of bitstreams: 1 Matheus da Silva Fernandes.pdf: 1299404 bytes, checksum: d38378c3fd8f33e67220bf393b10b11e (MD5) / Made available in DSpace on 2017-03-29T12:28:05Z (GMT). No. of bitstreams: 1 Matheus da Silva Fernandes.pdf: 1299404 bytes, checksum: d38378c3fd8f33e67220bf393b10b11e (MD5) Previous issue date: 2017-03-22 / The purpose of this dissertation is to analyze and propose changes in financial regulation from a Marxist-Keynesian point of view. This study is justified by the lack of social meaning in the functioning of the financial system. From the 1960s, fictitious capital began to take the productive economy more and more. Tax havens serve the wealthiest individuals and large corporations by allowing them to evade rules and taxes they would otherwise be compelled to meet. The financial crisis of 2008 let the dimension of those capitals be clear, which started to withdraw banking and financial regulation and supervision, allowing them to create new financial investments that turned non-bank institutions equivalent to bank institutions. To that end, these shadow banks were financed with customer deposits and invested in securities such as CDOs from subprime mortgages. When mortgage borrowers began to default, the entire system succumbed and carried with them the whole US economy, a priori, and the world economy after. Brazil, however, is involved in another way, by practicing the highest real rates of interest in the world. This fact allows the financial intermediaries to puncture a significant proportion of the productive wealth of families and companies, channeling it to the financial system. High rates of interest also affect the public sector by compromising the government budget with financial expenses instead of expending in public education, healthcare and infrastructure, for example. It is upon governments to restate the order of the financial sector, by enforcing laws that keep the financial system under strict supervision, and extend its scope to newly created innovations. The rates on capital gains and on fortunes should be instituted and raised and the usury crime regulated, establishing a ceiling for real rates of interest in Brazil / A presente dissertação tem objetivo de analisar e propor mudanças na regulação financeira sob a ótica marxista-keynesiana, e seu estudo se justifica pela falta do sentido social no funcionamento do sistema financeiro. A partir da década de 1960, o capital fictício passou a se apropriar cada vez mais da economia produtiva. Os paraísos fiscais servem aos indivíduos mais ricos e às grandes corporações ao permiti-los evadir de regras e tributações que, caso contrário, estariam compelidos a cumprir. A crise financeira de 2008 deixou clara a dimensão desses capitais, que passaram a operar arredios da regulação e supervisão financeira e bancária, os permitindo criar novas aplicações financeiras que tornavam instituições não-bancárias equivalentes às instituições bancárias. Para tanto, estes shadow banks se financiavam com depósitos dos clientes e aplicavam em títulos como os CDOs de hipotecas subprime. Quando os mutuários destas hipotecas começaram a calotear, todo o sistema derivado deles sucumbiu e levou consigo toda a economia dos EUA a priori, e mundial em seguida. O Brasil, contudo, se insere na finança mundial de outra forma, pela cobrança das maiores taxas de juros reais do mundo. Esse fato permite aos intermediários financeiros punçar uma relevante proporção da riqueza produtiva das famílias e das empresas, a canalizando para o sistema financeiro. Elevadas taxas de juros também afetam o setor público ao comprometer o orçamento do governo com gastos financeiros à revelia das despesas em educação, saúde e infraestrutura públicas, por exemplo. Cabe aos governos retomar a ordem do setor financeiro, pela aplicação de leis que mantenham o sistema financeiro sobre estrita supervisão, além de ampliar sua abrangência para as inovações criadas recentemente. Devem ser instituídas e elevadas as alíquotas sobre os ganhos de capital e sobre grandes fortunas e regulamentado o crime de usura, estabelecendo um teto para as taxas de juros reais no Brasil

Ce travail a pour but d’approfondir l’analyse des effets des contraintes de financement sur le commerce international, en portant une attention particulière aux pays BRICS, notamment le Brésil. Cette thèse comporte trois chapitres. Le premier chapitre évalue la vulnérabilité financière des secteurs manufacturiers brésiliens dans les années 2000, en se basant sur le travail de Rajan et Zingales (1998). Ce chapitre souligne l’importance du développement financier et des crédits publics dans l’allocation intersectorielle du capital au Brésil. Le deuxième chapitre étudie les effets des contraintes financières sur les exportations des firmes brésiliennes, dans le cadre théorique de firmes hétérogènes (Manova, 2013). Il s’agit de repenser le lien entre la taille et les performances d’exportation, en présence de contraintes financières au niveau sectoriel. Ce chapitre montre l’importance des difficultés d’accès au crédit au Brésil dans l’explication des performances d’exportation. Le troisième chapitre étudie les effets du développement financier sur les exportations vers les BRICS, avec un intérêt particulier pour les effets de la crise financière de 2008. Ce chapitre confirme l’importance du développement financier comme source d’avantage comparatif dans les secteurs dépendants de la finance externe. Cet avantage lié au développement financier perd de son importance pendant la crise. Les résultats confirment l’importance du canal financier de transmission de la crise. / This thesis aims at deepening the analysis of the effects of financial constraints on international trade performances, with a focus on the BRICS countries, notably Brazil. This thesis includes three chapters. The first chapter aims at evaluating the level of financial vulnerability of Brazilian manufacturing sectors in the 2000s, based on the work of Rajan and Zingales (1998). This chapter stresses the importance of the financial development and of public credits in causing the inter-sectoral capital misallocation. The second chapter focuses on the link between financial constraints and the performances of Brazilian exporters, in a framework of heterogeneous firms as in Manova (2013). Specifically, I revisit the link between firm size and firm exports by focusing on the financial constraints at sector-level. Findings emphasize the importance of problems of access to credit in Brazil, in explaining Brazilian firms’ export performances. The third chapter analyzes the effects of financial development in exporting countries on their exports to BRICS countries, with a focus on the recent financial crisis effects. Results confirm the role of financial development as a source of comparative advantage in sectors with high reliance on external finance. The positive effect related to financial development is lessened during the crisis. This confirms the importance of the trade finance transmission channel of the crisis.

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Made available in DSpace on 2016-04-26T20:48:36Z (GMT). No. of bitstreams: 1 Glauco Freire da Silva.pdf: 966006 bytes, checksum: d00228cce6a7452a1e10ae22ba1027bf (MD5) Previous issue date: 2012-05-21 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The purpose of this study is to analyze the actions of the Central Bank of Brazil in the financial crisis of 2008/2009, with reference to the Inflation Targeting Regime. Thus, the methodological procedure was the analysis and systematization of official documents. Is important to note that the Central Bank's actions in the crisis proved to be dubious, as it sought to free up liquidity with the compulsory reserves and, in parallel, withdrawing liquidity from the market to prevent the Selic rate to fall below target. On the other hand, the keeping of interest rates in 2008 showed that the Targeting Regime in Brazil proved to be hard in the period in which the variations in the Selic rate tended to be gradual and flagged. The analysis proposed in the work is presented in four chapters. Initially, the formation of a new consensus in macroeconomics which justifies the use of inflation targeting as a monetary policy framework since the mid 1990s. Then we describe the adoption of inflation targeting regime in Brazil in July 1999. Chapter two describes also the actions the Ministry of Finance with special attention to the role of public banks. Chapter three examines the policy measures of the Central Bank related to the provision of liquidity in domestic currency, especially the compulsory reserves, and liquidity in dollars in the foreign exchange market interventions. It is observed that at this moment the Central Bank maintained the Selic rate unchanged. Finally, we discuss the decision making of the Monetary Authority in relation to the interest rate, such as maintaining the rate in October and December 2008, the decrease between January and July 2009 and interrupted in September / O objetivo deste trabalho consiste em analisar a atuação do Banco Central do Brasil na crise financeira de 2008/2009, tendo como referência o Regime de Metas de Inflação. Para tanto, o procedimento metodológico foi à análise e sistematização de documentos oficiais. Destaca-se que a atuação do Banco Central na crise se mostrou dúbia, na medida em que procurou liberar liquidez com os encaixes compulsórios e, paralelamente, retirou liquidez do mercado para evitar que a taxa Selic caísse abaixo da meta. Por outro lado, a manutenção da taxa de juros em 2008 evidenciou que o Regime de Metas no Brasil se mostrou rígido no período, no qual as variações na taxa Selic tenderam a ser graduais e sinalizadas. A análise proposta no trabalho se apresenta em quatro capítulos. Inicialmente, a formação de um novo consenso na macroeconomia o qual fundamenta a utilização do regime de metas como arcabouço de política monetária desde meados dos anos 1990. Depois, descreve-se a adoção do regime de metas pelo Brasil em julho de 1999. O capítulo dois descreve, ainda, as medidas do Ministério da Fazenda com especial atenção para a atuação dos bancos públicos. O capítulo três analisa as medidas de política do Banco Central relacionadas à oferta de liquidez em moeda doméstica, com destaque para os encaixes compulsórios, e a liquidez em dólares com intervenções no mercado de câmbio. Observa-se que neste primeiro momento o Banco Central manteve a taxa Selic inalterada. Por fim, discute-se a tomada de decisão da Autoridade Monetária em relação à taxa de juros, tal como a manutenção da taxa em outubro e dezembro de 2008, a redução entre janeiro e julho de 2009 e a interrupção em setembro

Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 Financial instruments: recognition and measurement and IFRS 7 Financial instruments: disclosures in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009. The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit as a result of reclassifying financial instruments in 2008. The return on equity (ROE) increased significantly compared to whether the banks would not had reclassified their financial instruments. Tendencies found among the sample Nordic banks are that larger and less profitable banks used the possibility to reclassify financial instruments to a greater extent. Because none of the banks made losses on their choice to reclassify in 2008, the conclusion is that the opportunity given due to the amendments are mostly used by the banks to enhance the net income and the key ratio ROE. This shows that management decisions are short-term. This also indicates that the amendments may be misused by management to enhance current profit for their own benefit. The thesis also concludes that the departure from fair-value as the valuation method for financial instruments, due to recent massive critic, is unlikely.

<p>Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 <em>Financial instruments: recognition and measurement </em>and IFRS 7 <em>Financial instruments: disclosures</em> in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009.</p><p>The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit as a result of reclassifying financial instruments in 2008. The return on equity (ROE) increased significantly compared to whether the banks would not had reclassified their financial instruments. Tendencies found among the sample Nordic banks are that larger and less profitable banks used the possibility to reclassify financial instruments to a greater extent. Because none of the banks made losses on their choice to reclassify in 2008, the conclusion is that the opportunity given due to the amendments are mostly used by the banks to enhance the net income and the key ratio ROE. This shows that management decisions are short-term. This also indicates that the amendments may be misused by management to enhance current profit for their own benefit. The thesis also concludes that the departure from fair-value as the valuation method for financial instruments, due to recent massive critic, is unlikely.</p>

This study aims to investigate how Sweidish large companies' capital structure is affected by business cycles and which factors affect the capital structure. The impact of the capital structure on companies is described through the two central theories trade-off theory and the pecking order theory. The hypotheses were designed based on the theories and previous studies and tested through multiple regression analysis. The study is based on a quantitative approach because the empirical data is based on numbers. The empirical data is taken from Retriever Business based on the study's sample, which was companies with a turnover of over SEK 500 million, more than 250 employees, active before 2006 and all financial companies were excluded. Based on this selection, 1201 companies emerged from which a cluster sample was made. The sample amounted to 383 companies during the period 2006–2011. This study examines four intervals which are before the financial crisis (2006–2007), during the financial crisis (2008–2009), and after the financial crisis (2010–2011) as well as the total period (2006–2011). In the analysis, a dependent variable (leverage) and three independent variables (size, profitability, and tangibility), and a dummy variable (financial crisis) were used. To carry out the study, a univariate analysis, a bivariate analysis, and a regression analysis were used, the results of which showed that the tangibility and the financial crisis had a positive correlation with the leverage of large companies at a 99 percent significance level. Size and profitability had a negative impact on leverage, however, only profitability demonstrated a statistically significant relationship at the 98 percent level. Based on the result, this study can reject H0b, H0c, and H0d and keep H0a. Based on the results, it’s possible to conclude that the pecking order theory and the trade-off theory explain how large companies finance their operation and how the financial crisis impacted their capital structure. Where the capital structure can be explained based on how profitable a company is and what the asset structure looks like. Where profitable companies have a lower level of leverage, while a company with a high asset structure has a higher level of leverage. The results of this study are in line with previous research. Which is that the financial crisis had an impact on the capital structure where the debt ratio increased during the period of the financial crisis (2008–2009) and then returned to lower levels after the financial crisis (2010–2011). / Syftet med denna studie var att undersöka hur stora bolags kapitalstruktur i Sverige påverkas av konjunkturcykler samt vilka faktorer som påverkar kapitalstrukturen. Genom de två centrala teorierna trade-off och pecking order teorin beskrivs kapitalstrukturens påverkan på företagen. Hypoteserna utformades utifrån teorierna samt tidigare studier och testades genom en multipel regressionsanalys. Studien utgick ifrån en kvantitativ ansats eftersom studien baserades på siffror samt att tidigare studier applicerad en kvantitativ ansats. Empirin hämtades från Retriever Business utifrån studiens urval, vilket var företag med en omsättning över 500 miljoner kr, fler än 250 anställda, aktiva före 2006 samt att alla finansiella bolag uteslöts. Utifrån detta urval framkom det 1201 företag vilket ett slumpmässigt stickprov gjordes ifrån. Stickprovet uppgick till 383 företag under perioden 2006–2011. Studien undersökte fyra tidsintervall före finanskrisen (2006–2007), under finanskrisen (2008–2009) och efter finanskrisen (2010–2011) samt den totala perioden (2006–2011). I analysen användes en beroende variabel (skuldsättningsgrad) samt tre oberoende variabler (storlek, lönsamhet och tillgångsstruktur) samt en dummyvariabel (krisperioden). För att genomföra studien tillämpades en univariat analys, bivariat analys och regressionsanalys, vars resultat visade att tillgångsstruktur och finanskrisen hade ett positivt samband med skuldsättningen hos stora företag på en 99 procentig signifikansnivå. Storlek och lönsamhet hade en negativ påverkan på skuldsättningen, dock var det endast lönsamhet som påvisade ett statistiskt signifikant samband på 98 signifikansnivå. Utifrån resultatet kunde denna studie förkasta H0b, H0c och H0d samt behålla H0a. Studien kunde även dra slutsatserna att pecking-order teorin samt trade-off teorin förklarar hur stora företag finansierar sin verksamhet samt att finanskrisen hade en påverkan på företagens kapitalstruktur. Studien fann att kapitalstrukturen kan förklaras utifrån hur lönsamt ett företag är samt hur tillgångsstrukturen ser ut. Där lönsamma företag innehar en lägre skuldsättning medan ett företag med en hög tillgångsstruktur innehar en högre skuldsättningsgrad. Resultatet som framkommit i denna studie låg i linje med tidigare forskning, vilket är att finanskrisen hade en påverkan på kapitalstrukturen där skuldsättningsgraden ökade under perioden under finanskrisen (2008–2009) för att sedan återgå till lägre nivåer efter finanskrisen (2010–2011).