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.

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.

[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.

In July 2014, Argentina entered selective default, even as the country remained financially solvent. The default stemmed not from economic woes, but rather from protracted international litigation between Argentina and a group of hedge funds who, for years, refused to negotiate with Argentina over their bond holdings in the wake of the country’s first default in 2001. These holdouts stalled negotiations and locked Argentina out of international credit markets, damaging the country’s economy and financially harming other creditors and Argentinian citizens alike. Argentina ended up in such a dilemma because of the current sovereign debt restructuring process. No international arbitrator of sovereign debt currently exists. Instead, a country must negotiate with creditors on an ad-hoc basis, gathering support from 100% of creditors before it can restructure its debt and reenter international credit markets, an extremely inefficient system. This paper will assess the current system of sovereign default renegotiations, identifying inefficiencies in the current system, reviewing past proposals for improvements to the system, and ultimately proposing an international arbitrator for default negotiations. This text uses the development of the US Federal Municipal Bankruptcy Act of 1934 as a guide for an international bankruptcy court. Prior to the passage of the law, municipalities faced many of the same challenges faced by defaulted nations today, including powerful holdouts and a lack of structure in the negotiation system. Given the similarities between the two cases, the Federal Municipal Bankruptcy Act serves as an ideal framework for sovereign default arbitration internationally.

Each essay in this doctoral dissertation relates to a recent feature of sovereign finance in emerging market economies. In each article, I extend a quantitative macroeconomic model of sovereign debt and default to answer a particular question. In the first chapter, I investigate whether it is better for emerging countries to issue external debt denominated in local or foreign currency using a model with real exchange rates and inflation. I show how the welfare comparisons between the two options of debt denomination depend on the credibility of the monetary policy. In the next essay, I analyze the joint accumulation of sovereign debt and international reserves by emerging countries\' governments. In this theoretical framework, international reserves are a form of precautionary savings that can be used to smooth consumption even after a sovereign default. Statistics calculated with simulated data from a model with partial sovereign default indicate that the combined acquisition of assets and liabilities is an optimal policy in this type of model. In the last chapter, I examine whether low international risk-free interest rates, as observed in developed countries since the most recent global financial crisis, lead to a search for yield - identified via lower spreads even under higher default risk - in emerging markets sovereign bonds. I find that the inclusion of loss averse foreign lenders, a trait highlighted by the behavioral finance literature, in a standard model of sovereign default generates this result. / Cada ensaio desta tese trata de uma característica recente das finanças soberanas em economias de mercado emergentes. Em cada artigo, amplia-se um modelo macroeconômico quantitativo de dívida e default soberanos para responder a uma questão específica. No primeiro capítulo, investiga-se se é melhor para os países emergentes emitir dívida externa denominada em moeda local ou estrangeira usando um modelo com taxa de câmbio real e inflação. Mostra-se como as comparações de bem-estar entre as duas opções de denominação da dívida dependem da credibilidade da política monetária. No segundo ensaio, analisa-se a acumulação conjunta de dívida soberana e reservas internacionais pelos governos dos países emergentes. Nesse arcabouço teórico, as reservas internacionais são uma forma preventiva de poupança que pode ser usada para suavizar o consumo mesmo depois de um default soberano. As estatísticas calculadas com dados simulados de um modelo com default soberano parcial indicam que a aquisição simultânea de ativos e passivos é uma política ótima nesse tipo de modelo. No último capítulo, examina-se se as baixas taxas de juros livres de risco internacionais, observadas em países desenvolvidos desde a mais recente crise financeira global, levaram a uma busca por rentabilidade - identificada por meio de spreads menores mesmo sob maior risco de default - nos títulos soberanos de mercados emergentes. Verifica-se que a inclusão de investidores estrangeiros avessos a perdas, característica destacada pela literatura de finanças comportamentais, em um modelo padrão de default soberano gera esse resultado.

Cette thèse contribue à la littérature sur le défaut souverain en offrant une nouvelle approche d'analyse, réconciliant les approches statistiques et structurelles. Avec comme fil rouge le lien entre crises financières, accumulation de dette et défaut souverain, ce travail répond à trois questions principales.En premier lieu, quand les pays font-ils défaut ? En posant un simple regard sur les principales variables macroéconomiques et les composantes cycliques des défauts souverains, je montre que le défaut se produit quand le pays subit un retournement brutal de croissance, ajouté à un large choc discontinu sur son ratio de dette sur PIB, apporté en majorité par une crise de change ou une crise bancaire.En second lieu, en quoi le risque souverain au sein d'une zone monétaire (par exemple la zone euro) diffère de celui d'une petite économie ouverte en change flexible, majoritairement décrit dans la littérature ? Je construis un modèle DSGE néo-keynésien dans lequel j'introduis du risque souverain ; je mets l'accent sur le rôle clé des comportements de consommation, à la fois dans la préférence pour l'union monétaire et dans la décision de défaut. Je regarde également l'efficacité de certaines politiques fiscales sur la réduction du risque souverain dans une zone monétaire.Enfin, les instruments de politique monétaire ont-ils été efficaces pendant la crise pour réduire les taux souverains ? J'évalue la transmission de la politique monétaire de la BCE, à la fois conventionnelle et non-conventionnelle, aux taux et aux volumes d'émissions de titres souverains pour les quatre plus importantes économies européennes. Je montre que seule la transmission du taux directeur vers les taux souverains a été effective ; les instruments non-conventionnels ont eu des résultats contrastés et essentiellement sur les taux d'intérêt. / This thesis offers a new approach to sovereign default analysis, by tackling both statistical and the structural approaches to sovereign default. Starting from the link between financial crises, debt accumulation and sovereign default, it answers three main questions.First, when do countries default? Taking a simple look at macroeconomic variables and business cycles around default, I show that economic defaults occur when the country experiences a switch from a boom to a bust, combined with a large discontinuous shock on its debt-to-GDP ratio, brought mainly by a currency or a banking crisis.Second, how sovereign risk in a monetary union (e.g. the Eurozone) differs from sovereign default risk in a small open economy usually described in default literature? Constructing a New-Keynesian DSGE model with sovereign default risk, I exhibit the key role of habit persistence in the preference for a monetary union and the default decision. I am also able to test the efficiency of various policy tools on sovereign risk.Third, have monetary policy tools been efficient to reduce sovereign spreads in the Eurozone? I assess the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and bond issuance for the four largest economies of the Euro area. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates.

Questa tesi contiene tre saggi di teoria macroeconomica. Il primo capitolo presenta una rassegna dei modelli monetari con agenti eterogenei e include una valutazione dei costi dell’inflazione in termini di welfare per agenti con reddito e ricchezza eterogenei. Il secondo capitolo studia le interazioni tra due canali di trasmissione della politica monetaria che emergono in presenza di eterogeneità: il canale del debito nominale e il canale della tassa da inflazione. Il terzo capitolo studia le relazioni tra le aspettative di crescita del reddito e gli episodi di default su debito sovrano. Questo saggio mostra come introducendo un meccanismo di apprendimento del processo stocastico che determina la sostenibilità del debito sia possibile generare una significativa volatilità del debito e riprodurre una frequenza di default empiricamente plausibile. / This thesis presents three essays in macroeconomic theory. The first chapter surveys monetary models with heterogeneous agents and contains an evaluation of heterogeneous welfare costs of inflation when agents have different income and wealth levels. The second chapter studies the interactions between two transmission channels of monetary policy that arise because of heterogeneity: the nominal debt channel and the inflation-tax net worth channel. The third chapter studies the relations between expectations of future output growth of a small open economy and sovereign defaults. This essay shows that learning of the stochastic process that drives debt sustainability induces significant debt volatility and an empirically plausible default frequency.

Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-01T19:42:19Z No. of bitstreams: 1 Dissertacao_Joao_Lazzaro.pdf: 438996 bytes, checksum: fa5de7c51b56f54e091b16462c9082ac (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde João Guilherme, Por favor, Nome da Fundação e Escola na cada, contra-cara tirar nome da fundação e escola, as palavras agradecimento, Abstract e resumo em caixa alta. Caso tenha dúvida verifique um trabalho de colega na biblioteca digital por favor. Grata. Suzi 3799-7876 on 2017-06-02T19:02:46Z (GMT) / Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-05T13:07:03Z No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-06-05T13:31:02Z (GMT) No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) / Made available in DSpace on 2017-06-05T20:35:34Z (GMT). No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) Previous issue date: 2017-05-12 / Country risk is known to be an important driver of emerging economies business cycles. Existing studies of macroeconomics effects of commodities prices on emerging economies' country risk assume an exogenous negative relation between these two variables. This work presents a model to explain endogenously this relation built upon the sovereign debt literature deriving from Arellano (2008). Our framework is then used to assess quantitatively the importance of the country risk effect of commodity prices on output volatility. We find that although this effect is negligible for economies with a high share of commodities on GDP but low indebtedness, the effect is important in indebted economies with a lower share of commodities in GDP. / O risco país é conhecido por ser um motor importante dos ciclos econômicos das economias emergentes. Os estudos existentes sobre os efeitos macroeconômicos dos preços das commodities sobre o risco país das economias emergentes assumem uma relação negativa exógena entre essas duas variáveis. Este trabalho apresenta um modelo para explicar endogenamente esta relação baseado na literatura de dívida soberana derivada de Arellano (2008). Este arcabouço é então utilizado para avaliar quantitativamente a importância efeito do risco país dos preços de commodities sobre a volatilidade do produto. Descobre-se que, embora este efeito seja insignificante para economias com uma alta proporção de commodities em relação ao PIB e baixo endividamento, o efeito é importante em economias endividadas com menor participação de commodities no PIB.

This paper analyzes the impact of bilateral investment treaties (BITs) on sovereign bond returns of 25 emerging markets from 1993 to 2016. Under a BIT, foreign investors can use an international arbitration scheme to enforce compensation claims against the domestic government in case of direct or indirect expropriation. We focus on the so far unexplored effects of legal risk associated with BITs on sovereign creditworthiness. We find small unconditional effects of BITs on sovereign bond returns. Taking the heterogeneity of BITs and political regimes into account, we find robust and strong negative effects. In countries with high political risk of expropriation (measured by low executive constraints), we find that the implementation of investor-friendly BITs is associated with a significantly negative impact on sovereign bond returns, accounting for roughly 15% of bond returns’ standard deviation.

La mise en finance de la dette d'Etat, et les crises auxquelles elle donne lieu, font de l'instauration d'un cadre juridique régissant la restructuration et le défaut des dettes d'Etat, un enjeu majeur pour l'Europe. En l'absence d'un droit européen de la « faillite » d'Etat, un régime de défaut a émergé sur le terrain de la pratique, dans les contrats d'emprunt d'Etat obligataires. Les Etats européens ont en effet privilégié une approche décentralisée et volontaire de la restructuration des dettes d'Etat : le contrat d'emprunt d'Etat établit les règles qui organisent les relations de dette entre les Etats débiteurs et leurs créanciers privés. Sous l'effet de l'intégration financière européenne, ce régime de défaut revêt des formes de plus en plus standardisées. Le présent travail consiste à identifier les éléments constitutifs du régime contractuel de défaut des Etats européens, à en apprécier le caractère idoine à l'aune des besoins de l'Etat et à en évaluer la portée. Il adopte pour ce faire une méthode pragmatique, basée sur une analyse empirique des contrats et une étude de cas.Il ressort de celles-ci que le régime de défaut contractuel des Etats européens conduit à l'abandon, l'érosion voire la suppression des prérogatives exorbitantes de droit commun qui étaient traditionnellement attachées à la qualité de souverain des Etats emprunteurs. D'une part, les Etats consentent, pour assurer l'attractivité de leurs titres de créance sur le marché européen très concurrentiel des dettes d'Etat, à adopter des dispositions attentatoires à leur souveraineté, qui les privent de la marge de manœuvre nécessaire à l'adoption de mesures de sauvegarde adaptées en cas de crise de la dette. D'autre part, les deux principaux fors compétents - les juridictions anglaises et new-yorkaises - ont consacré la force obligatoire des contrats d'emprunt d'Etat, lesquels priment les considérations d'intérêt général qui jadis fondaient le défaut souverain. En effet, la jurisprudence libérale de ces fors, favorables aux créanciers de l'Etat, ont encouragé la professionnalisation des requérants et le développement d'une industrie contentieuse du défaut d'Etat, communément désignée comme l'industrie des « fonds vautours». Les stratégies contentieuses agressives déployées par ces nouveaux acteurs ont permis d'obtenir la condamnation des Etats défaillants et des mesures de contrainte sur le terrain encore très préservé par l'immunité d'exécution des Etats. Cette thèse a ainsi pour enjeu, et s'inscrit, dans le débat contemporain relatif à la transformation de l'Etat européen sous le poids de son endettement. / Sovereign debts’ financiarization is a global phenomenon affecting a very substantial number of States in Europe. Nevertheless, European State insolvency has not been implemented. This legal loophole didn't lead to legal uncertainty : a State default's European regime has emerged from practical experience in sovereign debt contracts. Those contracts include harmonised standards : States adopted boilerplates with the aim of contributing to effective debt market and providing liquidity. Promotion and circulation of boilerplates have been made easier by the fact that many States turn to lawyers for their financial affairs. In fact, sovereign consultancy market remains concentrated among a few major law firms. Given the spread of sovereign debt crisis, which also affected developed economies, contract « as statute » has become a major issue for all democracies. The first part intends to identify and map European boilerplates, reflecting regional particularities ; to analyse them and assess their effectiveness and efficiency in crisis conditions. The second analyses the case law that has developed over the years regarding sovereign debt contract. The European States' default contractual regime had led to the dismissal of prerogatives derogating from the generally applicable rules of law, which States used to enjoy within their financing operations. This research has both practical and prospective dimensions, aiming at putting forward proposals to deal with sovereign debt crisis.