Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets. An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant? Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.

The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.

The main purpose of this study is to investigate relationship between foreign exchange reserves and RMB exchange rate. In order to obtain a precise result, foreign trade situation and GDP are also considered. The monthly data is collected over period 1994 to 2011, and processed through ADF test, Johansen test, and Granger causality test. Final results indicate that there is a long-term equilibrium relationship existing between foreign exchange reserves and RMB exchange rate. Moreover, any changes of foreign exchange reserves would lead to the fluctuation of RMB exchange rate but not vice versa. At last, the dummy variables are added into regression model to test influence from the reform of RMB exchange rate regime. Results suggest that regime reform not only increase flexibility of RMB exchange rate, but also slow down the accumulation of foreign exchange reserves.

<p>The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.</p>

This master thesis examines mutual relations between components of the balance of payments and the foreign exchange rate. The first part briefly describes the structure of the balance of payments and the theory of the foreign exchange rate as a macro-economical variable, which can be seen in many different systems. The next part brings the characteristics of historic and recent economic conditions and challenges of four selected countries: Brazil, Russia, India and China (BRIC). In the empirical part, relations between components of the balance of payments and the development of the exchange rate are analyzed by methods of the linear regression. The time-series consisted of annual data for a period of fifteen to seventeen years.

Submitted by Rodrigo de Almeida Lorenzo (rodrigoalorenzo@yahoo.com.br) on 2018-08-28T11:41:08Z No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-08-28T13:35:22Z (GMT) No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-08-28T14:44:12Z (GMT) No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Made available in DSpace on 2018-08-28T14:44:12Z (GMT). No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) Previous issue date: 2018-07-31 / Este artigo procura verificar se o período de incriminação e a prisão do ex-presidente do Brasil Luiz Inácio Lula da Silva (Lula) afetaram a evolução diária do Real frente ao Dólar americano (USD/BRL). Constitui a base de dados a taxa de câmbio Real contra Dólar americano, a taxa de câmbio de uma cesta de moedas de países desenvolvidos contra o Dólar (DXY) e uma cesta de moedas das economias em desenvolvimento contra o Dólar (EMB). Todas as informações foram obtidas por meio do terminal Bloomberg e enquadram-se o período entre 01 de dezembro de 2015 e 30 de abril de 2018. Além destes dados, foram analisadas todas as datas em que Lula se tornou réu por acusações dos crimes de lavagem de dinheiro, falsidade ideológica e ocultação de patrimônio. Verificou-se que o ex-presidente tornou-se réu em sete ações penais, foi condenado em primeira instância, em 12 de julho de 2017, condenado em segunda instância meses depois e teve seus recursos e habeas corpus negados pelas devidas instâncias da justiça federal do Brasil. Foram utilizados os modelos econométricos ARCH e GARCH a fim de verificar a volatilidade da taxa de câmbio USD/BRL devido aos impactos destas notícias. Os resultados indicam que, nas datas em que ocorreram as decisões da justiça, houve uma maior apreciação do Real frente ao Dólar Americano, em média de 0,43%. Adicionalmente, verificou-se, também empiricamente, que neste período não houve efeito na volatilidade dos mercados. Apesar do coeficiente γ ser positivo, não se pode dizer que ele é estatisticamente diferente de zero. / Literature devoted to explore if the period of incrimination and the arrest of the former President of Brazil Luiz Inacio Lula da Silva affected the daily evolution of the Real against the US dollar (USD/BRL). USD/BRL, the exchange rate of a basket of currencies of developed countries against the dollar (DXY) and a basket of currencies of the developing economies against the dollar (EMB) were used. All information was extracted from a Bloomberg terminal and considers the period between December 1, 2015 and April 30, 2018. In addition to these data, we investigated all the dates in which Lula became guilty on charges of money laundering, ideological falsehood and concealment of property. We verified that the former president was guilty in seven criminal actions, he was convicted in the first instance on July 12, 2017, convicted in second instance months later and had his appeals and habeas corpus denied by the appropriate instances of the Brazilian federal court. We used the ARCH and GARCH econometric models to verify the volatility of the USD/BRL exchange rate due to the impacts of these news. The results indicate that, on the dates that the judicial decisions occurred, Brazilian Real increased value against the US Dollar, on average 0.43%. In addition, it was also empirically verified that during this period there was no effect on market volatility. Although the coefficient γ is positive, it cannot be said that it is statistically different from zero.

本論文討論的問題是，國際政治因素對於匯率體制與政策有沒有影響？如果有影響，則國際政治因素如何影響匯率體制與匯率政策變化？國際政治因素影響匯率體制與匯率政策變化的程度有多大？我們希望透過以上問題的探討確認國際政治因素與匯率體制和匯率變化有無關係，然後分析國際政治因素透過怎樣的方式與機制來影響匯率體制與匯率政策，進而瞭解匯率變動與國際政治因素之間的因果關係為何？ 在上述問題下，我們有以下的研究假說： （一）匯率體制與名目匯率的變動除了受國內政治因素與經濟因素的影響外，國際政治因素對於匯率的變動亦是有影響。 （二）政府對於匯率政策的思考除了考量國內政治與經濟因素外，也考慮國際政治壓力因素。 （三）市場交易者對於匯率的預期與作為，除了受到總體經濟指標與國內政治局勢發展的影響外，也受到國際政治情勢變化的影響。 （四）國際貿易失衡下，貿易順差國對貿易逆差國依賴度上升，假如貿易逆差國為一強權國家，則強權國家會對貿易順差國有影響力。例如，兩國（A與B兩國）貿易失衡，A國在貿易順差累積大量外匯存底情況下，勢必會使得該國對於B國貿易依賴程度加深。在貿易失衡情況下，如果B國為強權國家，龐大貿易逆差的B國對於A國將會產生影響力。 在這些研究問題與假說下，本文將以人民幣匯率作為研究個案，藉由個案探討去回答上述問題。所以，我們探討人民幣匯率與匯率體制是否受到國際政治壓力？其次是國際社會如何對人民幣施壓？第三是中國政府與決策者如何反應？第四是市場如何反應與考量國際壓力對匯率的影響？最後是提出初步研究結果與結論。 根據本文研究，針對本文研究問題，我們認為： 首先，國際政治因素對匯率體制與名目匯率有沒有影響？而根據研究結果，我們的答案是肯定的。不過這個肯定的答案必須建構在下面的假設上，第一是兩國必須處於貿易失衡的關係，同時貿易逆差國為一強權國家。其次是在假設一之下，政府對匯率政策的思維不只是考量國內經濟與國內政治，也考量國際政治壓力。 其次第二個問題是國際政治因素如何影響匯率體制與匯率水平的變化。根據研究顯示，國際政治影響匯率體制與匯率水平的方式包括：公開施壓、雙邊高層官員會談、國際會議聯合施壓、甚至貿易制裁手段。通常首先透過公開發言的方式對貿易順差國施壓，要求貿易順差國對於經貿失衡現象做出相應措施，其中以調整匯率為主要要求，其次進一步透過雙邊高層官員直接面對面討論相關議題，藉由談判過程直接施加壓力，第三，則是在國際會議場合中和其他國家聯手施壓，對於匯率議題表達一致的立場形成聯合壓力，去迫使貿易順差國調整匯率制度與水平。第四則是威脅貿易制裁，透過提案以及口頭威脅貿易制裁方式，加重施壓的力道，對貿易順差國進一步施壓，最後則是實施貿易制裁。 第三個研究問題是國際政治因素影響匯率體制與名目匯率變化的程度有多大？從中國人民幣的案例中，我們可以發現，中國一開始面對來自國際壓力時就強硬表示不會改變現行匯率體制與水平。其強調由於中國本身經濟發展狀況與國內金融體制不健全，在加上美國貿易赤字並非完全中國所造成的，所以目前並沒有改變的需要。 但隨著不斷增加的雙邊貿易逆差與國際壓力，中國雖然仍沒有改變中國匯率體制與水平，但也開始改變表示願意思考人民幣改革的可能性並將人民幣完全自由浮動，完全由市場供需來決定作為最後終極目標。甚至到最後出其不意的改變人民幣匯率體制並升值2.1％。這顯示在中國改革人民幣過程中，國際政治因素扮演重要的角色，發揮重要影響力。因為在堅持不變的理由中，中國始終以國內經濟因素與中國內部穩定的政治性理由來拒絕國際社會的要求，但在最後改革的說帖中，中國也承認國際壓力是其推動匯率改革的重要因素，可見除了國內經濟與政治面向的考量外，國際政治因素也是具有重大影響力。 / This paper discusses whether exchange rate regimes and exchange rate policies are affected by international politics, as well as how international politics affect exchange rate regimes and exchange rates. By examining these questions, I would like to analyze the mechanism by which international politics affect exchange rates and figure out the relationship among exchange rate regime, policies and international politics. This paper puts forth four hypotheses. First of all, exchange rate regimes and exchange rates are not only affected by domestic politics and economic factors, but they are also affected by international politics. Second, decisions regarding exchange rate policies made by governments are based on international politics, domestic politics and economic factors. Third, the behavior and expectations of market traders are also affected by macro economic index, domestic political situation and international political situation. Forth, under bilateral trade imbalance, state B which is a great power and has large trade deficit with state A has influence on state A. State A and State B have an imbalance trade relationship. State A which has a large trade surplus will increase dependence on state B. Under these hypotheses, the author would like to answer the above questions by discussing the case of the Chinese currency, the Renminbi (RMB). Hence, the case study will ask the following questions. First of all, was the Chinese currency reform made on July 21, 2005 by the Chinese government affected by international politics? Second, how did the international community press the Chinese government to reform exchange rate regime? Third, how did the Chinese government respond to pressures from the international community and market? Fourth, how did market traders respond to and interpret interactions between the Chinese government and the international community. The research achieved the following results. First of all, under hypotheses two and four, exchange rate regimes and policies are affected by international politics. Second, ways which international politics affect exchange rates and regimes are through public pressure, bilateral official talks, trade sanctions, and oral threats. Public pressure is when a state with trade deficit asks a state which has trade surplus to adjust the exchange rate to reduce trade surplus. Bilateral official talks are when decision makers on both sides negotiate with each other for imbalance trade relationship. Exchange rate is an important dimension to negotiation. Trade sanctions are the last step to make the state which has trade surplus adjust exchange rate. Oral threats can be uses with the above mentioned measures. Third, in the case of RMB, the Chinese government rejected the international community’s request to adjust exchange and regime. Because of the weakness of China’s economic development and its unhealthy financial systems, the Chinese government rejected adjustments of exchange rate and regime under pressure from international communities. The Chinese government does not think that the undervalue of Chinese currency is the main reason of U.S. trade deficit and emphasized that there is no need to change RMB exchange rate and regime. With increasing trade surplus and pressure from international community, the Chinese government started to change its attitude towards the issue of RMB exchange rate. The Chinese government expressed that it was willing to consider the possibility of exchange rate reform, and movement of RMB exchange rate was fully determined by market forces. On July 21, 2005, the Chinese government adjusted regime and level of Chinese currency unexpectedly. The reform on July 21, 2005 implied that international politics played an important role in the exchange rate reform. Although the Chinese government denied that exchange rate reform was made under international pressure, international pressure is one of the main reasons behind the Chinese government changing the exchange rate policy according to the U.S. official’s testimony before the committee of Congress. The Chinese government reiterated that reform on July 21, 2005 was carried out according to the development of domestic economic development. But because of that, U.S. officials expressed that Chinese officials made a commitment of reform to them in bilateral talks, so we can understand that the international community has influence on the policy of exchange rate reform in addition to factors of domestic economy and politics.

Following the development of international trade, exchange rate uncertainty is a majorsource of risk for corporations involved in international activities. It has forcedmanagers and academics to pay more attention to the effect of exchange rate volatilityon firm value, particularly in developed countries. In the 1990s Asian financial crises,the stock return volatility of US multinational firms increases significantly with therapid expansion of Asian currency crises to world stock market. It led academics andinvestors to pay increasing attention to examine exchange rate exposure in Asia stockmarkets. Nowadays the value of U.S. dollar increased volatility against Asian countries’currency since U.S. financial crisis beginning in August 2007. From what we know, fewof researches report the impact of US financial crisis for Asia firms. This paper aims toexplore the relation between exchange rate movement and firm values in Asian markets. The main purpose of this paper is to examine whether a significant contemporaneousand lagged variability of Asian firms’ stock returns are affected by exchange ratemovement in Asian markets, such as Hong Kong, Singapore, China, Taiwan, andMalaysia during the period from August 2005 to March 2010. Differences of capitalmaturity were compared with among these five Asian economies, covering bothdeveloped markets and emerging markets in Asia. This comparison makes sense tounderstand the efficient market hypothesis theory. In order to ensure our research’svalidity and reliability, sample firms are randomly chosen by the method of stratifiedsampling. The second step in this study is to examine the impact of firm-specific factorson sensitivity to exchange rate movement for those firms with a significant exchangerate exposure. The five firm specific factors are firm size, leverage situation, hedgingactivities, foreign involvement level, and industry classification. The main methods inthis quantitative research are simple and multiple linear regressions. The ordinary leastsquares method in SPSS program was used to estimate the parameters for eachindependent variable. Using a sample of 182 listed firms in these five sample markets, except China,exchange rate exposure of firms in other four Asian markets increases significantly insome sub-period during three sub-periods. After examining the sensitivity to weeklyexchange rate movement of local currency to US Dollar, it is noticeable for academicsthat there is no obvious difference between developed markets and emerging markets inAsia during the period of August 2005 to March 2010. Moreover, the relationshipbetween exchange rate and stock returns varied from markets with respect to exchangerate regimes and level of capital control. As to firm-specific factors, firm size wasnegatively related to exchange rate exposure and this effect was stronger in developedmarkets than other. Similar to previous studies, Asian markets also showed thatexchange rate exposure differed among industries. However, the effect on exchange rateexposure is not significant caused by leverage, foreign sales and hedging activityinvolvement. Suggestions and recommendations for further studies are provided in thelast part of this paper.

本研究旨在分析台灣上市公司外匯避險和資本結構策略的運用。本文利用資本市場法，作為外匯曝險衡量模型，並利用預期和非預期的匯率變動探討對企業價值的影響是否有顯著差異，本文以2007~2009年期間的月頻率資料，篩選摩根台灣指數基金(MSCI Taiwan Index Fund-March 09, 2010)成分股共108家台灣上市公司為樣本對象，並進一步利用所量化出的外匯曝險，應用至公司資本結構上，採平衡追蹤資料(balanced panel data)進行分析，探討外匯曝險與其他影響因子對公司資本結構的關係。 　　而研究結果發現，在外匯曝險衡量方面，在2007~2009年間，不論是預期或非預期外匯變動下，負值的外匯曝險係數家數明顯超越正值的外匯曝險係數家數，此研究結果也符合了台灣為一個出口導向的經濟體，當台幣相對貶值時，使得出口較具競爭力，企業的營收增加。此外，從顯著的企業樣本來看，金融證券業占大多數，顯示出匯率變動對金融證券業的影響尤其嚴重。 　　在資本結構上，本研究以營運風險、公司成立年數、抵押資產價值、自由現金流量、外匯風險、成長率、稅盾效果、獲利性和公司規模共九個因子作為影響資本結構的變數，在Panel data固定效果模型中，除了成長性和公司規模兩變數在1%顯著水準之下呈現正相關，其餘變數為顯著負相關。且該模型對公司資本結構的解釋能力相當高，Panel data固定效果模型調整後的R2為78.96%。 　　最後，本研究將產業別列入考量變數之一，結果發現，電子業與非電子業在資本結構決定因素上有顯著差異，且顯示電子業公司的負債比率較低，符合現實情況下，電子業公司在有資金需求時，大多不選擇舉債而較常採取權益融資的方式。而電子業受到外匯曝險對資本結構的影響力並不顯著，表示外匯曝險對公司負債比率並不會因為產業別而有不同的影響力。 / This study examines the foreign exchange rate exposure and capital structure strategy for the Taiwan’s Corporations. The research sample is MSCI Taiwan Index Fund, and the sample period is 2007 to 2009. To see how foreign exchange rate exposure affects the value of corporations, this study uses Capital Market Approach to be the model. Moreover, this study uses balanced panel data to see how exchange rate exposure and other variables affect the strategy of capital structure. 　　According to the result, the numbers of negative significant samples are greater than the numbers of positive significant samples no matter when measured in expected exchange rate exposure or in unexpected exchange rate exposure. This result can exactly explain that Taiwan is an export-dominated economy. When Taiwan dollar depreciates, which means corporations in Taiwan could improve export competitiveness, thus increasing profits. Moreover, this study found that exchange rate exposure has a greater impact especially on the finance and security industry. 　　In the capital structure part, this study selects nine variables to see how they affect the capital structure, including business risk, age, collateral value of assets, free cash flows, foreign exchange risks , growth, non-debt tax shields, profitability and size. In panel data fixed effect model, growth and size are found to be positive significant in 99% confidence level; other variables are found to be negative significant. Furthermore, the coefficient of determination, R2 of this panel data fix effect regression model is 78.96%, which means the regression line has a high explanatory power to explain the capital structure.

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