M.Com. (Financial Economics) / This study investigates the best measure of extreme losses in the South African equity derivatives market, and applies this to estimate the size of a default fund for Safcom, the central counterparty (CCP) for exchange-traded derivatives in South Africa. The predictive abilities of historic simulation Value at Risk (VaR), Conditional VaR (CVaR), Extreme VaR (EVaR) calculated using a Generalised Extreme Value (GEV) distribution and stress testing are compared during historic periods of stress in this market. The iterative cumulative sum of squares (ICSS) algorithm of Inclan and Tiao (1994) is applied to identify significant and large, positive shifts in the volatility of returns, thus indicating the start of a stress period. The FTSE/JSE Top 40 Index Future (known as the ALSI future) is used as a proxy for this market. Two key periods of stress are identified, namely the 1997 Asian crisis and the 2008 global financial crisis. The maximum daily losses in the ALSI during these stress periods were observed on 28 October 1997 and 6 October 2008. For the VaR-based loss estimates, 2500 trading days’ returns up to 28 October 1997 and 2750 trading days’ returns up to 6 October 2008 is used. The study finds that Extreme VaR predicts extreme losses during these two historic periods of stress the most accurately and is consequently applied to the quantification of a default fund for Safcom, using 2500 daily returns from 5 June 2003 to 31 May 2013. The EVaR-based estimation of a default fund shows that the current Safcom default fund is sufficient to provide for market losses equivalent to what was suffered during the 2008 global financial crisis, but not sufficient for the magnitude of losses suffered during the 1997 Asian crisis.

While the 2008 financial crisis has come and gone, its effects on the global financial sector still show. Globalisation has since changed the way that banks do business, and increased competitiveness and with it the level of risk within the international banking community. Therefore, because of these prolonged effects of the financial crisis and the rise in the level of risk in banking, regulators deemed it fit to make the global financial sector safer and sounder. As a result, the BASEL III Capital Accord was introduced with tighter capital adequacy and liquidity ratio requirements; as well as also introducing the leverage ratio. In this paper, through the study of the rules and regulations on banks in South Africa, Brazil and China, it was discovered that all three countries have since begun the implementation of the new Accord as from January 2013. While preparatory measures may be different, there is a general sense of regulatory alignment among the three countries. By analysing the capital adequacy, liquidity and leverage ratios of the three countries, it was also established that these ratios are interconnected, with the capital adequacy ratio being the most important one. The study concludes that, with proper implementation of these ratios and effective management, countries implementing the BASEL III regulations would be in a stronger position to achieve soundness in their banking systems. / Gutu, Taurai Fortunate

This dissertation investigates the financial health of municipalities in the United States, their margins of response to fiscal shocks, and their exposure and response to climate risk stemming from hurricanes. In Chapter 1, we construct a novel data set on the fiscal position of municipalities in the United States and document a secular decline in their financial health. Our data combines financial data from the Annual Comprehensive Financial Reports (ACFRs) of municipalities along with Census data of their revenue and expenditure cash flows. We find that a large share of municipalities operate with a negative net position---akin to a negative book equity position in the corporate context. We find that most of the decline originates from the accumulation of legacy obligations, i.e., pensions and other post-employment benefits (OPEBs); this is recognized by municipal bond markets through higher credit spreads. While accounting values from the ACFRs are informative, they are based on book valuations which potentially convey limited information about the economic value of assets and liabilities. Thus, we turn to the market valuation of local governments' equity by estimating an SDF that matches the valuation of a wide range of assets in the economy to prices future tax and expenditure claims. Using market prices for tax and expenditure claims, and market valuations of liability positions we find that the market values of equity are highly correlated with the book values. The negative equity position---in terms of book and market values---for some local governments suggests the presence of implicit insurance by the state and federal governments. The deteriorating fiscal position of municipalities across the United States raises questions about fiscal adjustment mechanisms municipalities have at their disposal and the general equilibrium effects of any adjustment taken. In Chapter 2, we utilize quasi-experimental variation in the year of property tax assessments in the state of Connecticut to provide causal evidence of the fiscal adjustment following a large decline in property values after the Great Financial Crisis. We find that local governments adjust tax rates to maintain stable tax revenues; there is no change in public employment levels and limited adjustments of public services. Our micro data on people's location further allows us to causally estimate the migration elasticity to a change in property tax rates. We find evidence of inter-state migration in response to an increase in property tax rates; and no statistically significant response of intra-state migration. Detailed property and location choice data reveal the elasticity of migration with regard to the property tax bill. An increase in the property tax bill by ten percent leads to an average increase in the migration propensity by about 1.5%. Finally, in Chapter 3, I investigate the investment component of local economic growth in municipalities after hurricanes. Using hand collected and web-scraped statutory property tax rate data in the U.S., I find that municipalities respond to hurricane impact by raising tax rates. I find the hike in tax rates is persistent for 3-4 years after hurricane impact. The response is four times larger for major hurricanes compared to minor hurricanes. However, the increase in tax rates is not expected to be large enough to cause significant out-migration after the average hurricane. I supplement these findings with a novel data set of firm facility-level hurricane impact. I find that firms initially decrease investment in the quarter following hurricane impact and increase it in the final quarters of the second year after impact. Taken together, this chapter presents a novel set of stylized facts on government and firm mitigation investment response to hurricane disasters. In particular, the precarious fiscal health of municipalities coupled with increasing costs of mitigating and managing climate risk poses serious questions about optimal policy in assisting local governments vulnerable to climate change.

Economic sociologists have long produced rich accounts of the economy’s embeddedness in social relations and the hybridity of contemporary governance architectures. However, all too often, they contented themselves with merely disenchanting a liberal ontology that divides the social world into neatly differentiated spheres, such as the state and the economy or the public and the private. In this dissertation, I argue that this is not enough. If we want to understand actually existing economic government, we also need to attend to the consequences of its persistent violation of the precepts of liberal order. This dissertation does so by accounting for the simultaneity of the Federal Reserve’s rise to the commanding heights of the US economy and the repeated, multi-pronged controversies over it. I contend that together, the Fed’s ascendance and the controversies surrounding it are symptomatic of the contradictions inherent to a liberal mode of governing ‘the economy’ which, on the one hand, professes its investment in a clear boundary between the state and the economy but which, on the other hand, operationally rests on their entanglement. Its embeddedness in financial markets exposes the Fed to attacks that it is either colluding with finance or that it unduly smuggles in political considerations into an otherwise apolitical economy. In response, to secure its legitimacy as a neutral arbiter of market struggles, the Fed needs to invest in autonomization strategies to demonstrate that it is acting neither in the interests of capital nor on behalf of partisan politicians but in the public interest. Its autonomization strategies in turn feed back onto the modes of embeddedness and governing techniques the Fed deploys, often resulting in new controversies. Combining insights from economic sociology and the sociology of expertise, the perspective developed in this dissertation thus foregrounds the persistent tension between embeddedness and autonomy and the sequences of reiterated problem-solving it gives rise to.Based on extensive archival research and interviews with actors, I reconstruct three such sequences in the Fed’s more-than-a-century long quest for embedded autonomy in three independent but related empirical essays. The first focuses on the decade immediately following the Federal Reserve System’s founding in 1913. It traces how the confluence of democratic turmoil in the wake of World War I, its hybrid organizational structure, and an alliance with institutionalist economists led Fed policymakers to repurpose open market operations from a banking technique into a policy tool that reconciled different interests. This made it possible to take on a task no other central bank had attempted before: mitigating depressions. This major innovation briefly turned the Fed into “the chief stabilizer” before it failed to fulfill this role during the Great Depression. The essay thus adds a critical, oft-forgotten episode to the genealogy of the Fed’s ascendancy and the rise of central banks to the foremost macroeconomic managers of our time. The second essay most explicitly develops the theoretical argument underlying this dissertation and applies it to a practice that has been all but ignored in the scholarship on central banking and financial government: bank supervision. Emphasizing its distinctiveness from regulation, I reconstruct how the Fed folded supervision into its project of governing finance as a vital, yet vulnerable system over the course of the second half of the 20th century and into the 21st. I especially focus on the Fed’s autonomization strategies in the wake of the 2008 Great Financial Crisis and its internal struggles which resulted in a more standardized, quantitative, and transparent supervisory process centered around the technique of stress testing. However, the Fed’s efforts to reassert its autonomy and authority have in the meantime become attacked themselves. The essay traces these controversies, and subsequent reforms, to the present day, further demonstrating the recursive dynamic of the Fed’s quest for embedded autonomy. The third essay finally zooms in on a single event during the Great Financial Crisis: the first major public stress test run by the Fed and the Treasury between February and May 2009. By reconstructing its socio-technical assembling in detail and comparing it to the failures of stress tests run by European agencies between 2009 and 2011, I show that the stress test’s success rested on a reconfiguration of the state’s embeddedness in financial circuits, allowing the Treasury’s material and symbolic capital to back the exercise and the Fed to function as a conduit that iteratively gauged and shaped its audiences’ expectations as to what a credible test would look like. This made it possible to successfully frame the test as an autonomous exercise based on expertise. Probing the structural, socio-technical, and performative conditions of the Fed’s claims to legitimacy, the essay thus resolves the ‘mystery’ (Paul Krugman) how a simulation technique could become a watershed event in the greatest financial crisis in a lifetime.

Thesis (MA)--Stellenbosch University, 2011. / ENGLISH ABSTRACT: The 2008 global economic crisis marks the beginning of considerable systemic changes in global governance. The ‘Group of 20’ (G20), which entered the centre stage of global governance in response to the crisis, may be seen as both a result of and as a vehicle for those changes. Representing some 85 per cent of the global economy the group has the potential to alter the international order almost by stealth. Hence, there is good reason for undertaking a deeper examination of its role in and impact on global governance. This study critically examines some of the changes in global governance embodied – and brought about – by the G20. By using analytical tools from the critical theory of Robert Cox and constructivism, it studies changes in three dimensions of global governance: the material, the institutional and the ideational, so as to achieve a holistic understanding of the nature of the changes taking place within global governance. In so doing, the study sheds light on the role of the G20 in global governance, the impact of the group on global cooperation and the nature of the shift in global governance that it represents. / AFRIKAANSE OPSOMMING: Die 2008 globale ekonomiese krisis kan as die begin van aansienlike sistemiese veranderinge in globale regeerkunde beskou word. Die 'Groep van 20' (G20), wat in reaksie op die krisis ’n sentrale rol in globale regeerkunde ingeneem het, kan as beide 'n resultaat en drywer van hierdie veranderinge gesien word. Die groep verteenwoordig ongeveer 85 persent van die globale ekonomie, en het dus die potensiaal om grootskaalse verandering in die internasionale orde te weeg te bring. Dit is dus belangrik om die groep se rol in globale regeerkunde meer deeglik te ondersoek. Deur gebruik te maak van analitiese metodes wat gebasseer is op die kritiese teorie van Robert Cox asook konstruktivisme, ondersoek hierdie studie veranderinge in drie dimensies van globale regeerkunde. Materiële en institusionele veranderinge, asook veranderinge binne die dimensie van idees, word geïdentifiseer met die oog op 'n meer holistiese begrip van die aard van die veranderinge. Die studie werp daardeur lig op die rol van die G20 in globale regeerkunde, die groep se impak op globale samewerking, en die aard van die magsverskuiwing in globale regeerkunde wat dit verteenwoordig.

This dissertation examined the literature of cutback management in the context of the Great Recession. Specifically, it studied the relationship between cutback management policies used by county governments during the recession and revenue changes. The purpose of this dissertation was to test whether or not the percent change in revenue had an impact on the probability that cutback management policies were used in the recession. According to the cutback management literature developed in the 1970s and 1980s, there should be a relationship. The theoretical framework used for this study was the rational-approach framework, which proposes that every expenditure reducing and revenue increasing policy is enacted based on the percent decrease in revenue the government faces. This suggests that the cutback management policies are a proportional response to revenue decline. The framework was operationalized by using a binary logistic regression that used policy en actment as the dependent variable and the percent change in revenue as the independent variable. Eighty-six counties were sampled and 7 years of each county's budget book were examined for policies and financial data. The research found that eleven expenditure policies and three revenue policies had a statistically significant relationship with the percent change in revenues. This resulted in the conclusion that the framework and, therefore, the cutback management literature were useful in explaining primarily expenditure policies. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2015. / FAU Electronic Theses and Dissertations Collection

Made available in DSpace on 2015-12-03T18:33:08Z (GMT). No. of bitstreams: 1 Peterson_Carlos_Pirola.pdf: 1373676 bytes, checksum: ce4b7c1d993a0bd8c80f2c8bf89a8cf9 (MD5) Previous issue date: 2014-05-19 / This work sought to study the reaction of the Brazilian capital market towards announcements of Mergers & Acquisitions (M&A) processes, investigating its impact in the price of stocks negotiated on S??o Paulo Stock Exchange, Commodities and Futures Exchange (BM&FBOVESPA). With regard to the methodology applied in this work, both descriptive and quantitative researches can be observed. These were carried out by using secondary data collection and statistical analysis. The aim of the survey was to check if the announcements of M&A operations produced impact on the prices of stocks publicly negotiated on BM&FBOVESPA after the global financial crisis in 2008. An event study was carried out in order to verify the existence of statistically significant abnormal returns around the dates of the announcements of the M&A processes, based on the assumption that a link between the stock market and companies decision to join an M&A process exists. The results obtained with the segmentation of the sample between acquiring and acquired companies indicate that announcements of M&A operations did not impact on the prices of publicly traded shares on the BM&FBOVESPA, during the research period, showing evidence of the informational efficiency of the Brazilian capital market as being semi-strong. When making up the segmentation between companies that had a change in control, both the acquired companies as the acquiring firms had positive abnormal returns, a fact that repeated itself in the segmentation carried out with regard to the payment method / Este trabalho procurou estudar a rea????o do mercado de capitais Brasileiro diante do an??ncio de um processo de Fus??es e Aquisi????es (F&A), investigando seu impacto no pre??o das a????es negociadas na Bolsa de Valores, Mercadorias e Futuros de S??o Paulo (BM&FBOVESPA). Com rela????o ?? metodologia aplicada neste trabalho, podem-se observar pesquisas de natureza descritiva e quantitativa, realizadas com coleta de dados secund??rios e an??lise estat??stica. O problema estudado foi verificar se os an??ncios de opera????es de F&A produziram impacto nos pre??os das a????es negociadas publicamente na BM&FBOVESPA ap??s a crise financeira global de 2008. Tendo como pressuposto a liga????o existente entre o mercado de capitais e a decis??o das empresas em ingressar num processo de F&A, foi realizado um estudo de evento com o intuito de verificar a exist??ncia de retornos anormais estatisticamente significantes em torno e na data do an??ncio de um processo de F&A. Os resultados obtidos com a segmenta????o da amostra entre empresas adquirentes e adquiridas indicam que os an??ncios de opera????es de F&A n??o produziram impacto nos pre??os das a????es negociadas publicamente na BM&FBOVESPA, durante o per??odo pesquisado, demostrando ind??cios da efici??ncia informacional do mercado de capitais Brasileiro na forma semiforte. Ao efetuar-se a segmenta????o entre empresas que tiveram mudan??a de controle, tanto as empresas adquiridas quanto as empresas adquirentes obtiveram retornos anormais positivos. Fato que se repetiu na segmenta????o efetuada com rela????o ?? forma de pagamento

The aim of this study was to assess the feasibility of constructing optimal portfolios using the Johannesburg Securities Exchange tradable sector indices. Three indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period January 2007 to December 2017. The period was split into three, namely before the 2007-2009 global financial crises, during the global financial crises and after the global financial crises. The Markowitz’s mean-variance optimisation framework was employed for the construction of global mean variance portfolios. The results of this study showed that it was feasible to construct mean-variance efficient portfolios using tradable sector indices from the Johannesburg Securities Exchange. It was also established that, on the other hand, global mean variance portfolios constructed in this study, outperformed the benchmark index in a bullish market in terms of the risk-return combinations. On the other hand, in bear markets, the global mean variance portfolios were observed to perform better than the benchmark index in terms of risk. Further, the results of the study showed that portfolios constructed from the three tradable indices yielded diversification benefits despite their positive correlation with each other. The results of the study corroborate the findings by other scholars that the mean-variance optimisation framework is effective in the construction of optimal portfolios using the Johannesburg Securities Exchange. The study also demonstrated that Markowitz’s mean-variance framework could be applied by investors faced with a plethora of investment choices to construct efficient portfolios utilising the Johannesburg Securities Exchange tradable sector indices to achieve returns commensurate with their risk preferences. / Business Management / M. Com. (Business Management)

For an introductory macroeconomics course, the discussion of historical relevance helps foster important learning connections. By comparing the Great Depression to the 2008-2009 recession, a macroeconomics instructor can provide students with connections to history. This paper discusses the major causes of each recession, major fiscal policy and monetary policy decisions of both recessions, and the respective relevance in teaching the relationship of each policy to gross domestic product. The teaching points addressed in this paper are directed towards an introductory college-level macroeconomics course, incorporating a variety of theories from historical and economic writers and data from government and central bank sources. A lesson plan is included in an appendix to assist the instructor in implementing the material.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-08-15T19:54:39Z No. of bitstreams: 2 MARCOS ANTONIO DA SILVA.pdf: 391290 bytes, checksum: 13a7f180e4ffc72715375afc7cd9eb64 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-08-15T19:54:39Z (GMT). No. of bitstreams: 2 MARCOS ANTONIO DA SILVA.pdf: 391290 bytes, checksum: 13a7f180e4ffc72715375afc7cd9eb64 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-21 / Many studies have analyzed the capital structure of companies and how to best fund their activities, whether through equity or third-party capital. Most of the papers is devoted to identifying its determinants or analyzing specific sectors. The present study aims to verify if the indebtedness of Brazilian companies changed during the 2008 financial crisis. For this purpose, a sample of 90 Brazilian companies listed on BM &FBovespa was analyzed by average test and linear regression (OLS) . The results indicated a significant increase in the level of gross debt in the period between the third quarter of 2008 and the fourth quarter of 2009 and a significant increase in net debt in the period between the third quarter of 2008 and the second quarter of 2009. / Muitos estudos analisaram a estrutura de capital das empresas e qual a melhor forma de financiar suas atividades, seja essa por meio de capital pr??prio ou de capital de terceiros. A maioria dos trabalhos dedica-se a identificar seus determinantes ou analisar setores espec??ficos.O presente estudo tem o objetivo de verificar se o endividamento das empresas brasileiras alterou-se durante a crise financeira de 2008. Para tanto, analisou-se uma amostra de 90 empresas brasileiras listadas na BM&FBovespa por meio de teste m??dia e regress??o linear (MQO). Os resultados indicaram aumento significantes no n??vel de endividamento bruto no per??odo entre o terceiro trimestre de 2008 e o quarto trimestre de 2009 e aumento significativo no endividamento l??quido no per??odo entre o terceiro trimestre de 2008 e o segundo trimestre de 2009.