NO ENGLISH ABSTRACT.

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

The purpose of this Master's thesis is divided into two steps. The first step sums up all the relevant theory about financial crises and monetary policies. The second step analyzes not only the past but focuses mainly on the global financial crisis which started in 2007. The cornerstones of this analytical bloc are monetary policies of central banks in China, Venezuela, Denmark and the Czech Republic. Two hypotheses are stated in the beginning of this Master's thesis. These focus on fixed exchange rate regimes and foreign exchange reserves. The analytical part of Master's thesis tries to prove whether these hypotheses can be marked as valid or invalid.

Kadangi neigiami šalies mokėjimų balanso rodikliai gali būti būsimo šalies ekonominio nuosmukio ar krizės priežastis, todėl būtina suvokti, kokia šių rodiklių įtaka šalies daromiems sprendimams bei nustatyti, ar šių rodiklių pagalba galima prognozuoti būsimas šalies valiutų krizes, kitaip dar vadinamas mokėjimų balanso krizėmis. Atsižvelgiant į tai, magistro baigiamajame darbe analizuojama mokėjimų balanso krizės situacija bei jos pasireiškimo tikimybė Lietuvoje. Atliktas tyrimas aktualus, nes mokslinėje literatūroje Lietuvos mokėjimų balanso krizės susidarymo rizikos analizės per pastaruosius metus nepasitaikė. Ypač Lietuvai tai aktualu dėl pastarųjų metų pasaulinių įvykių, nulėmusių Lietuvos ekonomikos smarkų smukimą. Taip pat pažymėtina, kad užsienio šalyse vis daugėja atvejų, kai šalis dėl išeikvotų užsienio valiutos rezervų patiria mokėjimų balanso krizę, priverčiančią šalį imtis drastiškų veiksmų siekiant išgelbėti šalies ekonomiką. Atsižvelgiant į aukščiau minėtą, iškeliama mokslinė darbo problema klausimu „Ar galima prognozuoti apie Lietuvos mokėjimų balanso krizės reiškinį remiantis mokėjimų balanso sąskaitų pokyčiais bei pagrindiniais makroekonominiai rodikliais, įtakojančiais mokėjimų balanso sąskaitas?“ Darbo tikslas – atlikti Lietuvos mokėjimų balanso krizės rizikos analizę ir ištirti, pagal kuriuos šalies ekonominius ir statistinius rodiklius galima prognozuoti šį reiškinį. Tyrimo objektas – Lietuvos, Latvijos ir Estijos detalūs statistiniai mokėjimų balanso... [toliau žr. visą tekstą] / As the country's negative balance of payments indicators may signal the country's future economic downturn or causes of the crisis, it is necessary to understand how these variables influence country’s decisions and determine whether these characteristics can help predict future currency crises in the country, also known as the balance of payments crisis. The paper of master degree analyzes the balance of payments crisis situation and its likelihood of occurring in Lithuania. A study carried out is relevant because the scientific literature does not provide any analysis regarding the Lithuanian balance of payments crisis over the past few years. It is especially relevant in Lithuania as the worldwide events in the recent years have led to a rapid decline of the Lithuanian economy. It should also be noted that there is a growing number of cases of foreign countries experiencing balance of payments crisis, subjecting the country to take drastic action to save the country's economy. According to the above mentioned, the problem is formulated: "Is it possible to predict the Lithuanian balance of payments crisis phenomenon on the basis of balance of payments accounts, and key developments in macroeconomic indicators, influencing the balance of payments accounts?" The main goal is to analyze the Lithuanian balance of payments crisis risk and determine which country's economic and statistical indicators can predict this phenomenon. The object of the research - the detailed... [to full text]