This dissertation thesis focuses on complex analysis of the problem, which is the sovereign debt crisis in the Euro area. The aim of this paper is to provide a complex overview and analysis of the current sovereign debt crisis, from the theoretical definition of the term, through an analysis of the causes and consequences of this crisis to outline the economic policy response to it. The text is divided into two parts. The first part deals with theoretical problem solving. In the second part is analyzed and described course of sovereign debt crisis. This section also analyzes in detail causes and consequences of the sovereign debt crisis in certain countries. This section is completed by an analysis of economic policy response to the sovereign debt crisis and an expert estimate of the future development of public debt countries analyzed.

The master thesis focuses on the European debt crisis. It first studies the development of monetary integration on the continent. It is followed by the detailed analyses of the debt crisis, how it started, what were the triggers, how it unfolded and at what point is it now. It identifies the fundamental issues of the crisis and the reasons of it. Lastly, it analyzes the implications of the crisis in the Czech Republic and Slovakia. The master thesis contains 73 pages, 25 figures or tables and 1 annex.

The thesis analyses the change of monetary policy of the European central bank during financial and sovereign debt crisis. Main focus of the thesis is given on the analysis of non-standard measures of monetary policy of the ECB. This thesis explains in detail how the ECB has responded to the various phases of the financial and debt crisis, starting with the period of financial turmoil, continuing with the intensification of the financial crisis and the sovereign debt crisis. Finally, the thesis compares these phases and assesses the impact of these non-standard measures.

Thesis uses game theory to explain behavior of certain states in the European sovereign-debt crisis. The goal is to find out, if those states use strategies leading to equilibrium i.e. if they maximize their expected utility. Theoretical part is based mainly on repeated games and Bayesian game. Thesis summarizes development of European sovereign-debt crisis and key economic indicators. It constructs a game model of the crisis and further analyses situation of Germany, France, Italy, Spain and Greece as players in the game. The game model is then tested on key conflict situations such as relations of France and Germany, first Greek bailout negotiations or Spanish bank bailout negotiations. The results show that chosen states do maximize their expected utility in one election period. However maximization of utility in two or more election periods is limited by the parameters of democratic election system - length of election periods and information asymmetry between voters and politicians. The costs of elimination of information asymmetry would be higher than the costs of debt crisis. So even considering the costs of debt crisis the states are in long term equilibrium.

L’objectif de cette thèse est la mise en place d’un Système d’Alerte Précoce comme instrument de prévision de la survenance des crises bancaires et des crises de la dette souveraine dans 48 pays de 1977 à 2010. Il s’agit à la fois d’identifier les facteurs capables de prédire ces événements et ceux annonçant leurs interactions éventuelles. La présente étude propose une approche à la fois originale et robuste qui tient compte de l’incertitude des modèles et des paramètres par la méthode de combinaison bayésienne des modèles de régression ou Bayesian Model Averaging (BMA). Nos résultats montrent que les avoirs étrangers nets en pourcentage du total des actifs, la dette à court terme en pourcentage des réserves totales et enfin la dette publique en pourcentage du PIB ont un pouvoir prédictif élevé pour expliquer les crises de la dette souveraine pour plusieurs pays. De plus, la croissance de l’activité et du crédit bancaire, le degré de libéralisation financière et le poids de la dette extérieure sont des signaux décisifs des crises bancaires. Notre approche offre le meilleur compromis entre les épisodes manqués et les fausses alertes. Enfin, nous étudions le lien entre les crises bancaires et les crises de la dette souveraine pour 62 pays de 1970 à 2011, en développant une approche basée sur un modèle Vecteur Auto-Régressif (VAR). Nos estimations montrent une relation significative et bidirectionnelle entre les deux types d’évènements. / The main purpose of this thesis is the development of an Early Warning System to predict banking and sovereign debt crises in 48 countries from 1977 to 2010. We are interested in identifying both factors that predict these events and those announcing their possible interactions. In particular, our empirical works provide an original and robust approach accounting for model and parameter uncertainty by means of the Bayesian Model Averaging method. Our results show that: Net foreign assets to total assets, short term debt to total reserves, and public debt to GDP have a high predictive power to signal sovereign debt crises in many countries. Furthermore, the growth rates of economic activity and credit, financial liberalization, and the external indebtedness are decisive signals of banking crises. Our approach offers the best compromise between missed episodes and false alarms. Finally, we study the link between banking and sovereign debt crises for 62 countries from 1970 to 2011 by developing an approach based on a Vector Autoregressive model (VAR). Our estimates show a significant two-way relationship between the two types of events.

This paper analyses if European citizens are willing to show solidarity with debt-ridden EU member states during the recent crisis. Based on a theoretical concept comprehending four di-mensions of solidarity - generalised willingness to support, existence of social cleavages, rea-sons of supporting others, acceptance of conditions a crisis country has to meet to receive as-sistance - we derived hypotheses stating that the existence of a European wide solidarity is rather unlikely. We analysed data from two Eurobarometer surveys 2010 and 2011 and a unique survey conducted in Germany and Portugal in 2012. Descriptive and multilevel analyses indi-cated that in 2010 and 2011, a narrow majority of all EU citizens supported fiscal assistance for crisis countries, and socio-economic and cultural cleavages in attitudes regarding financial as-sistance for crisis countries were rather low. Findings from the two country comparison showed that the willingness to show solidarity was predominantly guided by moral reasoning instead of the respondent’s self-interest. However, German and Portuguese respondents disagree on austerity measures, with the exception of social spending cuts. Taken all together, we come to the conclusion that recent years have brought a new legitimacy to the use of EU bailout measures which are now a given European practice.

Peiwei Li Abstract: This paper is to investigate whether the Eurozone crisis brings similar effects to the economic growth of two groups of the EU's peripheral countries, including the PIIGS and the CEE countries. Greece, Ireland and Portugal from the PIIGS group; and the Czech Republic, Hungary and Poland from the CEE group are selected as the researched countries in this paper. In order to quantify how the Eurozone crisis affects the economic growth of these two groups of countries, this research utilises the statistical software STATA to operate a panel regression model with country and time fixed effects. The employed panel data contains selected indicators of the six researched countries over 2004-2018. Indicators that may affect economic growth of countries during the Eurozone crisis includes current account balance, FDI inflows, debt, exports and unemployment. Apart from the generation of overall results for all the six countries over 2004-2018, this paper generates a dummy variable "eurozone" to divide the researched countries into two groups. Therefore, it compares the results of each group. The research period also be equally divided into three stages: 2004-2008, 2009-2013 and 2014-2018, which represent for pre-crisis period, crisis period and post-crisis period. The divided periods are used to...

Die Arbeit befasst sich mit ökonomischen Effekten der rechtlichen Durchsetzung von Staatsschulden. Die Literatur nimmt weitgehend an, dass diese größtenteils irrelevant sind. Die Dissertation präsentiert neu erstellte Datensätze über Anlegerklagen in den USA und UK, und verbindet diese mit Finanzmarktdaten. Die zentralen Ergebnisse sind: (1) Staatsschuldenkrisen sind zunehmend begleitet von Anlegerklagen, wenn auch die Zahl gering ist. Klagen sind wahrscheinlicher wenn Regierungen hohe Verluste auf ihre Gläubiger abwälzen. Sie können zudem signifikante Kosten durch die Versperrung des Finanzmarktzugangs mit sich bringen. Insbesondere spezialisierte Investoren führen Klagen, und die vertragliche Gestaltung der Anleihen bedingt Teilnahme- und Klageraten. (2) Marktpreise spiegeln diese Entwicklungen wider. Die Marktliquidität nimmt während Schuldenkrisen signifikant ab und Staatsanleihen, die bessere rechtliche Durchsetzungsmöglichkeiten versprechen, werden zu höheren Preisen gehandelt. / This thesis studies the economic impact of legal enforcement of sovereign debt. The literature assumes that legal enforcement mechanisms are largely irrelevant. The thesis presents newly assembled datasets on lawsuits filed by private investors against governments in the US and the UK, and connects them with financial market data. The main findings are: (1) Sovereign defaults are increasingly subject to investor lawsuits, although the numbers are still small. Lawsuits are more likely if governments impose large losses on their creditors. Litigation can create significant costs by affecting governments'' financial market access. Distressed investors are especially likely to file suit, and contract design is a significant predictor of participation and litigation. (2) Sovereign bond pricing reflects these developments. Market liquidity decreases significantly during debt crises. Furthermore, sovereign bonds with stronger legal protection trade at higher prices during financial crises.

Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriage. / This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries.

This dissertation concentrates on the interplay between politics and financial markets using various empirical tools applied on historical financial statistics. The first essay examines the effect of stock transaction taxation on trading activity and asset prices, specifically focusing on the case of early 20th century Sweden. The main finding is that the tax substantially reduced trading as well as the level of asset prices. In the second essay, modern ex post historical writing is contrasted with the ex ante views of contemporaries which are estimated from historical price data. The specific case study is the events around World War II related to the Nordic countries and Germany. The comparisons point out considerable differences between the assessments of historical events in the ex post and ex ante approaches. The third essay is an empirical study of price controls on asset price movements and how these controls affect asset returns. The study finds that the controls have large significant effects which even may influence estimates of the long-run equity premium. Altogether, this raises concerns about the use of century-long series of asset returns without correcting for the impact of institutional variation and market constraints. Finally, the fourth essay examines the growth effects of international financial liberalization and integration using a large country- industry sample from the 1980s. The main result is that industries highly dependent on external financing do not experience higher value added growth in countries with liberalized financial markets. Liberalization does, however, increase the growth rates of both output and firm creation among externally dependent industries. These results are consistent both with increased competition and increased outsourcing. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2003</p>