Submitted by Tiago Carvalho Machado de Souza (tiagocmsouza@gmail.com) on 2012-11-21T16:28:19Z No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-12-20T18:29:41Z (GMT) No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) / Made available in DSpace on 2012-12-20T18:41:37Z (GMT). No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) Previous issue date: 2012-09-19 / This paper provides a general equilibrium model of sovereign default with agents' heterogeneity, but without banking or foreign sectors. The heterogeneity is due to different kinds of consumers in the economy with distinct wealth shocks (but identical in other aspects) and the government, which decides whether or not to default, considers these agents differently in its welfare function. The intuition is that the default decision may be related to the bonds' owners (the distribution among agents) and not only the total resources borrowed or the economic activity. This approach matches empirical evidence which found a negative, though surprisingly weak, relationship between economic output and default. It also sheds light on other aspects that might influence the default decision, such as the existence and operation of secondary markets of public bonds. / Este artigo propõe um modelo de equilíbrio geral com inadimplência de dívida soberana (default soberano), sem setor bancário ou setor externo, em que há heterogeneidade dos agentes da economia. Essa heterogeneidade surge a partir da existência de dois tipos de consumidores com choques de riqueza distintos (mas idênticos em outros aspectos) e o governo, que toma decisão de default, pondera esses agentes de maneira distinta na função de bem-estar. O principal motivador dessa ideia vem da intuição de que a decisão de um país não cumprir com as suas obrigações de dívida pode estar ligada não somente ao valor de face dos títulos emitidos ou à situação econômica, mas também a quem detêm esses títulos (sua distribuição entre agentes). Essa abordagem permitiu que se reproduzissem comportamentos já identificados em estudos empíricos presentes na literatura, os quais encontraram uma relação negativa, porém surpreendentemente fraca, entre moratória da dívida e atividade econômica e lança luz sobre aspectos importantes que podem influenciar a decisão de default, como funcionamento de mercados secundários de títulos públicos.

Submitted by Oz Iazdi (oz@cinestec.com.br) on 2013-06-11T23:34:10Z No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-06-12T16:14:06Z (GMT) No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) / Made available in DSpace on 2013-06-12T16:39:39Z (GMT). No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) Previous issue date: 2013-05-17 / The credit lines granted by the IMF in a liquidity crisis environment differ in their conditionalities. In some situations, the resources are borrowed without the need of mandatory conditionalities to be met by the borrowers. On the other hand, there are cases when the resources are granted only after the country fulfill these conditions. This paper aims to build a model which shows the tradeoffs that arise between the conditionalities that IMF imposes to give access of the credit lines by the countries. Additionally, the model tries to understand when it’s better an immediate assistance or a conditional assistance. Conditional loans increase the incentives for fiscal measures that improve the country capacity in paying its sovereign debt (because the loans aren’t granted if the country doesn’t carry out the measures), but the immediate assistance has the advantage in alleviate liquidity costs. The model shows that the incentive of the country in paying its sovereign debt is concave on the conditionality, meaning that, in extreme cases, the best type of conditionality is ex-ante (immediate assistance upon pre-established conditions) or ex-post (assistance conditional on the fulfillment of conditionalities). Nonetheless, in cases when both the immediate liquidity assistance and conditional assistance increase the incentives of payment, the conditionalities take on a complementary character. The results corroborate the IMF credit lines designs because there are facilities that contemplate both types of conditionalities and others that contemplate only one of them. / As linhas de crédito concedidas pelo FMI em casos de crises de liquidez diferem quanto às condições impostas aos credores. Em alguns casos, os recursos são emprestados sem a imposição de condições a serem cumpridas pelo país devedor. Em outros casos, os recursos são liberados depois que o país cumpriu as chamadas condicionalidades. O trabalho constrói um modelo teórico para estudar os trade-offs envolvidos nas condicionalidades que o FMI impõe ao conceder linhas de crédito. O modelo procura entender em quais momentos é melhor um auxílio imediato do FMI ou um auxílio condicional. Empréstimos condicionais aumentam os incentivos para medidas fiscais que melhoram a capacidade do país pagar a dívida (pois os empréstimos não são concedidos se essas medidas não são tomadas), mas um auxílio imediato tem a vantagem de economizar custos de liquidez. O modelo mostra que o incentivo do país para pagar sua dívida soberana é côncavo na condicionalidade. Isso significa que, em casos extremos, o melhor tipo de condicionalidade é o ex-ante (auxílio imediato mediante condições pre-estabelecidas) ou o ex-post (auxílio contingente ao cumprimento das condicionalidades). No entanto, em casos nos quais tanto uma ajuda de liquidez imediata, quanto o empréstimo condicional às mudanças na política fiscal aumentam o incentivo do país pagar a dívida, as condicionalidades assumem um caráter de complementaridade. O resultado corrobora o desenho das linhas de crédito do FMI, já que há desenhos que contemplam tanto as duas condicionalidades quanto apenas uma delas.

Située à l’articulation de la sociologie de l’économie, de l’histoire de la finance et de la sociologie de la connaissance, cette thèse présente donc une analyse du rôle de la notation du crédit dans la régulation financière, et plus largement, du rôle de l’incertitude et de l’incomplétude juridiques sur les anticipations économiques des acteurs financiers. Le cadre d’analyse de la recherche se résume en quatre points : Premièrement, la thèse rompt avec une lecture strictement intellectualiste de l’action publique et présente une approche de la régulation financière par ses instruments, empruntant ainsi l’approche pragmatiste développée par les social studies of finance et par la nouvelle sociologie économique d’inspiration américaine. Deuxièmement, l’hypothèse centrale de la recherche est que les instruments réglementaires sont à la fois des techniques de connaissance et des outils juridiques. Aussi, ce sont les frictions qu’occasionnent les deux activités parfois contradictoires de calculer et de gouverner qui donnent au changement réglementaire sa dynamique historique. Troisièmement, prenant l’exemple de l’usage de la notation dans la supervision financière comme dispositif de calcul et technique de gouvernement, la thèse propose une histoire de longue durée (1865-2010) de l’activité réglementaire sur les marchés financiers aux Etats-Unis et en Europe au travers de cinq régimes de régulation (régime statutaire, d’appel, disciplinaire, fictionnel et contractuel). Quatrièmement, l’originalité de la recherche est de combiner une approche macroscopique du changement réglementaire avec une approche méticuleuse de plusieurs courtes séquences historiques durant lesquelles d’importantes innovations réglementaires ont vu le jour, notamment le New Deal aux Etats-Unis et la crise de la dette souveraine en Europe. Ainsi, en plus de définir les contours de cinq régimes réglementaires, la thèse analyse la façon dont les régulateurs se sont saisis de la notation financière comme « mécanisme d’embrayage » afin d’opérationnaliser la transition d’un régime à un autre. / Located at the intersection of economic sociology, financial history, and the sociology of knowledge, this dissertation examines the role of credit ratings in financial regulation, and more broadly, the role of financial uncertainties and legal incompleteness on financial actors’ anticipatory decisions. The framework set forth in this study can be summarized as follows. First, this study breaks with an intellectualist approach of public action to analyze financial regulation from the perspective of its instruments. As such, this research draws on a pragmatist agenda developed in social studies of finance and recent work in economic sociology. Second, the main hypothesis of this dissertation is to approach regulatory instruments as technologies of knowing and tools of government. From this double viewpoint, I hypothesize that the frictions generated by the two competing activities of calculating and governing impart the regulatory activity with both its structural features and historical dynamics. Third, using the example of regulatory reliance on ratings, I propose a longue durée historical analysis (1865-2010) of the regulatory activity in the U.S. and Europe through the examination of five regulatory regimes (statutory, appeal, disciplinary, fictional, and contractual). Four, one original feature of this dissertation is to combine a macroscopic analysis of regulatory change with a meticulous approach of several short historical sequences during which important regulatory innovations came into being, notably the New Deal in the U.S. and the European sovereign debt crisis. Thus, in addition to setting the contours of five regulatory frameworks, this dissertation analyses the ways in which regulators used ratings as “clutching” devices to operationalize the legal transition from one regime to another.

This thesis responds to the question 'how can sovereign wealth funds manage ambiguity in their decision-making so as to implement substantive long-term investment programmes?' The rapid growth of sovereign wealth funds (SWFs) over the past decade, due largely to booming commodity prices, has inspired optimism among many for their potential to contribute to the sustainability goals of society. SWFs are unconstrained by many of the factors that have kept pension funds from realising their potential as long-term investors and so they are well placed to make significant investments in sustainable projects with positive externalities such as infrastructure and to act as effective monitors of corporate behaviour. But many obstacles stand in the way. At the institutional level, transparency has replaced tight financial market regulation, resulting in entrenched short-termism. At the organisational level, many problems facing long-term investors are too complex to fit into traditional models of decision-making. Decentralisation is necessary to respond to this complexity but it conflicts with the coordination necessary to achieve economies of scale and scope. There may not even be an ideal outcome to coerce or incentivise agents to achieve. Taken together, these problems are understood in this thesis as ambiguity, which results from differences in interpretation and irreconcilable conflict. In contrast, most governance frameworks focus on problems of uncertainty and risk, due to missing information. This thesis has three aims. The first is to reframe the governance challenge for longterm investing in terms of managing ambiguity. Second, this thesis aims to reconcile ambiguity with legitimacy that depends on expert decision-making and provides one right answer to a clearly specified problem. Third, it provides specific examples of how ambiguity, if managed, can improve decision-making. That is, ambiguity forces us to engage with subjective reality but also provides us with a framework to do so. Ambiguity can act as a built-in adaptation mechanism to hold a coalition of diverse interests together in a rapidly changing environment, to identify synergies where others see only trade-offs and to overcome collective action problems. These constructive properties of ambiguity are explored in the four substantive chapters of this thesis, alongside specific recommendations for changes to SWF governance structures to transcend barriers to long-term investing. The first half of the thesis focuses on the earlier stages of the investment process and draws on specific examples of two SWFs. Chapter III investigates ambiguity in the Alberta Heritage Fund's inter-generational equity mandate. If managed in the form of self-reflexivity, ambiguity can contribute to overcoming the time inconsistency problem in the context of sub-national resource wealth funds. Chapter IV focuses on the irreconcilable conflict in the Norwegian Fund's ethical investment policy. It argues that agents use their discretion to interpret the policy and, in doing so, are able to align it more closely to the Fund's long-term investing mandate. The second half of the thesis extends consideration to long-term investors more broadly. Chapter V explores the delegation of shareholder engagement to portfolio managers to leverage synergies in an investment management firm. It finds that introducing ambiguity into incentive design can overcome the multi-task incentive problem. Chapter VI brings concepts explored in earlier chapters to bear on its analysis of a new market for public infrastructure assets. It argues that ambiguity provides the space necessary to bring diverse actors together to transcend collective action problems and create new institutional arrangements to support a more efficient market structure. Taken as a whole, this thesis is optimistic that, as those claiming to have the one right answer are increasingly proven wrong, ambiguity will earn its rightful place in the study and practice of finance.

The explosion of the global financial crisis in 2007-08 reignited the urgency to reflect on the origins and causes of financial collapses. As the above events kick-started an economic meltdown that is still ongoing, comparisons with the Great Crash of 1929 started to abound. In particular, the externalities that a broad spectrum of societal groups had to bear as a consequence of various banking failures highlighted the necessity of a more inclusive and balanced regulation of firms whose activities impact on a wide range of stakeholders.The thesis is centred on the proposal of a paradigm, the “enlightened sovereign control”, that provides a theoretical, institutional and substantive framework as a response to the legal issues analysed in the thesis. These stem primarily from the analysis of two sequences of events (the 2001-03 wave of “accounting frauds” and the 2007-08 global crisis) which represent the background upon which modern financial scandals are explained. This is done by highlighting a number of common denominators emerging from the case studies (Enron and Parmalat, Northern Rock and Lehman Brothers) which caused financial instability and scandals. The research is grounded on the initial recognition of theoretical themes in the field of corporate and financial law, which eventually link with the more practical events examined. This parallel enquiry leads to the investigation of two heavily interrelated spheres of law and finally highlights more practical legal issues that emerge from the analysis.Through this multifaceted approach, the thesis contends that the occurrence of financial crises during the last decade is essentially rooted in two main problems: a corporate governance one, represented by the lack of effective control systems within large public firms; and a corporate finance one identified with the excesses of financial innovation and related abuses of capital market finance. Research conducted in this thesis ultimately seeks to contribute to current debates in the areas of corporate and financial law, through the proposals of the “enlightened sovereign control” paradigm.

Les questions de croissance durable mêlées aux enjeux d’accès aux marchés financiers internationaux des pays riches en ressources naturelles ont souvent été occultées dans la littérature économique. Or, ces enjeux s’avèrent de plus en plus présents dans le débat public face à la baisse récente des prix du pétrole. Cette thèse tente de mieux comprendre comment des économies dépendantes de leur production de ressources épuisables gèrent leur dette externe en vue d’une croissance soutenable dans le long-terme et comment les marchés financiers perçoivent le risque souverain lors de l’émission de leur dette. Pour y répondre, elle recourt à de la modélisation dynamique, à travers un cadre théorique, ainsi qu’à des études économétriques. Elle contribue à la littérature en intégrant de nouvelles dimensions, comme l’ouverture financière dans un modèle de croissance avec des ressources épuisables, modèles qui jusque-là étaient étudiés sous la forme d'économies fermées. Par ses analyses empiriques, elle prend en compte la notion de volume à travers l’étude des réserves de pétrole et de gaz. Les principaux résultats sont que l'ouverture financière ne permet pas d’avoir une croissance soutenable à taux d’intérêt constant, mais la consommation peut croître un temps lorsque le taux d’intérêt est endogène à la dette du pays. Les réserves de pétrole et de gaz ont un effet significatif sur les spreads souverains. La thèse n'élude pas pour autant la question des prix, puisqu'elle montre que les rendements et la volatilité des prix du pétrole sont des déterminants significatifs des CDS du Venezuela, alors que l'effet des prix se répercute à travers le canal du taux de change pour la Russie. / The relationship between sustainable growth and international financial market access in natural resource rich countries has been overlooked in the economic literature. However, those issues have become more present in the public debate with the recent drop in oil prices. This thesis tries to better understand how natural resource dependent economies can deal with their external debt and how financial markets view this sovereign risk. To address those issues, this dissertation refers to dynamic optimization, as well as econometric studies. It contributes to the natural resource literature by including new dimensions, such as financial openness in a growth model with exhaustible resources, contrary to most growth models which are studied as closed economies. Concerning its empirical applications, this thesis takes into account natural resource stocks, through oil and gas reserves, whereas most of the empirical literature focuses on the natural resource price dimension. This price issue is also part of the analysis, especially with oil price returns and oil price volatility. The main results are that long-term sustainability is not feasible with a constant interest rate, but the consumption growth rate can be positive in the case of a debt elastic interest rate, before declining in the long-term. It is also shown that oil and gas reserves have a significant impact on sovereign spreads. Moreover, oil price returns are significant determinants of Venezuela's Credit Default Swaps (CDS), contrary to the case of Russia, where oil prices seem to impact CDS spreads through the exchange rate canal.

The echoes of Eurozone debt crisis brought into question the sovereign risk of advanced economies. Understanding factors that influence this risk is key to avoid similar crisis of public debt financing in the future. The main aim of this thesis is to identify which factors influence sovereign entity financing and how the problems of public debt financing arise. This is reached through analysis of debt crisis development and its causes in the GIPS economies.

This thesis focuses on the Norwegian sovereign wealth fund, the Government Pension Fund, and its linkage to the Norwegian foreign policy. The Kingdom of Norway is usually presented as a role model of a Nordic welfare state. Nevertheless, nothing of this would be possible without oil discovery on the Norwegian offshore in 1969. This thesis debates about possible oil discovery impacts on Norwegian foreign policy throughout the time and tries to analyse and elaborate on major foreign policy challenges. It tries to define whether the Norwegian foreign policy followed Norwegian investment interests and shifted policy's direction since the establishment of the Government Pension or not. Furthermore, the Government Pension Fund -- Global is not intended to be used as a foreign policy instrument. However, some information indicates the contrary. Thesis attempts to answer the question from a wider perspective.

Die Dissertation untersucht verschiedene Einflussfaktoren auf die Finanzierungskosten von Staaten. Dabei werden die Eurokrise, Rohstoffpreise und Klimawandel als drei wesentliche Einflussfaktoren herangezogen und deren empirische Wichtigkeit statistisch untersucht. Ein weiterer Artikel beschäftigt sich mit der Integration von Finanzmärkten auf die Ausbreitung von Konjunkturzyklen.:Chapter 1: Introduction 1 1.1 Motivation: The Curious Case and Multiple Facets of Sovereign Debt . . . . 1 1.2 Outline and Contribution of this Thesis to the Literature . . . . . . . . . . . 6 A.1 Appendix to Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 References to Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Chapter 2: Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area 19 2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2.2 Literature Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 2.3 Data Description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 2.3.1 Deriving Country-Specific Bank Distress . . . . . . . . . . . . . . . . . 24 2.3.2 Instrumenting Bank Distress using Exposure-Weighted Stock Market Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 2.3.3 Set of Dependent and Explanatory Variables . . . . . . . . . . . . . . 30 2.3.3.1 Dependent Variable . . . . . . . . . . . . . . . . . . . . . . . 30 2.3.3.2 Control Variables . . . . . . . . . . . . . . . . . . . . . . . . 33 2.4 Empirical Specification and Results . . . . . . . . . . . . . . . . . . . . . . . . 35 2.5 Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 2.5.1 Comparison of IV and OLS during Eurozone Crisis . . . . . . . . . . . 38 2.5.2 Alternative Versions of the Dependent Variable . . . . . . . . . . . . . 40 2.5.3 Alternative Versions for Bank Distress Variable . . . . . . . . . . . . . 41 2.5.4 Alternative Versions for Instrumental Variable . . . . . . . . . . . . . 42 2.5.5 Strengthening the Exclusion Restriction of the Instrument . . . . . . . 46 2.5.6 Weekly Frequency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 2.5.7 Alternative Control Variables and Time Fixed Effects . . . . . . . . . 49 2.5.8 Wild Cluster Bootstrapping . . . . . . . . . . . . . . . . . . . . . . . . 52 2.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 A.2 Appendix to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 A.2.1 Drivers of Bank-to-Sovereign Distress Transmissions . . . . . . . . . . 54 A.2.1.1 Macroeconomic Performance . . . . . . . . . . . . . . . . . . 57 A.2.1.2 Government Bond Issuances, Redemptions and Holdings . . 62 A.2.1.3 Banking Sector Structure and Stability . . . . . . . . . . . . 66 A.2.1.4 Political Stability . . . . . . . . . . . . . . . . . . . . . . . . 72 A.2.2 Additional Tables and Figures . . . . . . . . . . . . . . . . . . . . . . . 77 References to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 Chapter 3: What drives the Commodity-Sovereign Risk Dependence in Emerging Market Economies? 87 3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 3.2 Data, Variables and Summary Statistics . . . . . . . . . . . . . . . . . . . . . 92 3.2.1 Dependent Variable: Sovereign Default Risk . . . . . . . . . . . . . . . 92 3.2.2 Deriving Country-specific Commodity Performance . . . . . . . . . . . 94 3.2.3 Set of Control Variables . . . . . . . . . . . . . . . . . . . . . . . . . . 97 3.3 Empirical Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98 3.3.1 Baseline Specification and Results . . . . . . . . . . . . . . . . . . . . 98 3.3.2 Alternative Specifications . . . . . . . . . . . . . . . . . . . . . . . . . 101 3.4 Drivers of the Commodity-Sovereign Risk Dependence . . . . . . . . . . . . . 104 3.4.1 Commodity-related Factors . . . . . . . . . . . . . . . . . . . . . . . . 105 3.4.2 Macroeconomic and International Factors . . . . . . . . . . . . . . . . 110 3.4.3 Policy Measures against Commodity Dependence . . . . . . . . . . . . 117 3.5 Robustness Checks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 3.5.1 Dropping Countries with Liquidity Issues . . . . . . . . . . . . . . . . 127 3.5.2 Alternative Specifications for EMBI and Commodity Performance . . 129 3.5.3 Alternative Control Variables . . . . . . . . . . . . . . . . . . . . . . . 130 3.5.4 Alternative Fixed Effects, Frequency, Clustering and Time Series Results131 3.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136 A.3 Appendix to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138 References to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142 Chapter 4: Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe 145 4.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145 4.2 Empirical Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147 4.2.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147 4.2.2 Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155 4.3 Estimation Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157 4.3.1 Results for Overall Output Fluctuations (GDP) . . . . . . . . . . . . . 157 4.3.2 Results for Industrial Output Fluctuations . . . . . . . . . . . . . . . . 162 4.4 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166 A.4 Appendix to Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 References to Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180 Chapter 5: Physical Climate Change Risks and the Sovereign Creditworthiness of Emerging Economies 182 5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182 5.2 Physical Climate Change Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . 187 5.2.1 Physical Climate Change Risk in Contrast to Transition Risk . . . . . 187 5.2.2 Physical Climate Change and Sovereign Creditworthiness . . . . . . . 189 5.3 Data and Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . 191 5.3.1 Sovereign Creditworthiness . . . . . . . . . . . . . . . . . . . . . . . . 191 5.3.2 Temperature Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192 5.4 Empirical Specification and Results . . . . . . . . . . . . . . . . . . . . . . . . 195 5.5 Channels of Temperature-Sovereign Risk Connection . . . . . . . . . . . . . . 197 5.5.1 General Warmness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199 5.5.2 Seasonality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203 5.5.3 Month and Season Effects . . . . . . . . . . . . . . . . . . . . . . . . . 205 5.5.4 Economic Sector Specialization . . . . . . . . . . . . . . . . . . . . . . 208 5.5.5 Institutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210 5.5.6 Combining relevant Channels . . . . . . . . . . . . . . . . . . . . . . . 215 5.6 Robustness Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218 5.6.1 Changing the Fixed Effects Specification . . . . . . . . . . . . . . . . . 218 5.6.2 Changing the Dependent Variable . . . . . . . . . . . . . . . . . . . . 220 5.6.3 Changing the Lag Structure . . . . . . . . . . . . . . . . . . . . . . . . 221 5.6.4 Changing the Historical Temperature Average Period . . . . . . . . . . 222 5.6.5 Dropping Countries with lower Data Coverage and larger Landmass . 226 5.6.6 Other Temperature Anomaly Measures . . . . . . . . . . . . . . . . . 227 5.6.7 Analyzing Debt Sustainability . . . . . . . . . . . . . . . . . . . . . . . 229 5.6.8 Testing for Transition Risks . . . . . . . . . . . . . . . . . . . . . . . . 229 5.6.9 Changing Economic Sector Specialization Measures . . . . . . . . . . . 231 5.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233 A.5 Appendix to Chapter 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234 References to Chapter 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247

[pt] Uma possível razão para a alta acumulação de reservas internacionais observada em diversos países está relacionada à vontade de se assegurar contra eventuais crises. Os modelos quantitativos de seguro, entretanto, possuem dificuldade para racionalizar as posições de reserva, a menos que os agentes exibam níveis relativamente altos de aversão ao risco. Esse resultado sugere uma conexão entre o puzzle de reservas internacionais e o equity premium puzzle, que exploramos nesta dissertação. Introduzimos preferências Epstein- Zin em um modelo padrão de default soberano com dívida de longo prazo e um ativo livre de risco, e o calibramos para a economia mexicana. Em seguida, precificamos um ativo de ação dentro do modelo e usamos simulações para estabelecer uma relação positiva entre o nível ótimo de reservas e o equity premium, conforme variamos o grau de aversão ao risco dos agentes domésticos. Usando uma estimativa do equity premium para o México, calibramos o nível de aversão ao risco e encontramos um nível ótimo de reservas internacionais próximo aos dados. Por fim, fornecemos evidência empírica consistente com a relação estabelecida no modelo. Especificamente, introduzimos estimativas do equity premium e, usando especificações crosssectional e de painel, documentamos uma associação positiva e robusta entre essas duas variáveis. / [en] Insurance is a possible explanation for the large holdings of international reserves observed in many countries. Quantitative models of the insurance motive, however, struggle to rationalize reserve positions, unless agents exhibit relatively high levels of risk aversion. This result suggests a connection between the international reserves puzzle and the equity premium puzzle, which we explore in this paper. We introduce Epstein-Zin preferences into a standard sovereign default model with long-term debt and a risk-free asset, and calibrate it to the Mexican economy. We then price an equity claim within the model, and use simulations to establish a positive relationship between optimal reserve holdings and the equity premium, as we vary the degree of risk aversion of domestic agents. Using an estimate of the equity premium for Mexico, we calibrate the level of risk aversion and find it produces an optimal level of international reserves that is close to the data. Finally, we provide empirical evidence consistent with the relationship established with the model. Specifically, we introduce estimates of the equity premium into standard regressions used to explain countries holdings of international reserves. Using both cross-sectional and panel specifications, we document a robust positive association between these two variables.