O objetivo da presente dissertação é avaliar a atuação do Banco Central do Brasil no controle do excesso de volatilidade da taxa de câmbio. Para tanto, estima-se um modelo SETAR com dois limiares, com o intuito de identificar uma estrutura não linear na taxa de câmbio e, por meio da proposição de um modelo teórico, avaliar de que forma ocorreria a tomada de decisão acerca de intervenções no mercado de câmbio. Busca-se, também, por meio de simulações do modelo teórico proposto, entender como se relacionariam o comportamento de maior prazo da taxa de câmbio e a política de controle da volatilidade. Conclui-se que períodos marcados por uma tendência de constante depreciação (apreciação) da moeda podem estar relacionados a momentos de redução (acúmulo) de reservas internacionais mantidas pelo Banco Central. / The objective of this dissertation is to evaluate the behavior of the Brazilian Central Bank, in its role of to controling exchange rate excess volatility. A SETAR model with two thresholds is estimated in order to identify a nonlinear structure for the exchange rate. A theoretical model is proposed for the monetary authority in order to evaluated optimal intervention policy. The theoretical model is then simulated to show how long-run trends in the exchange rate could be smoothed by control policies. The results shows that depreciation (appreciation) trends could be related to significant reductions (accumulation) of international reserves.

[pt] Esta Tese de Doutorado consiste de três ensaios sobre os instrumentos de Política Cambial e Hedge. No primeiro ensaio, mostramos que os instrumentos de intervenção do Banco Central no mercado de câmbio só foram eficazes em períodos sem crise cambial. No segundo ensaio, mostramos utilizando um banco de dados original com 23.767 contratos de swap cambial abertos em 2002, que houve um forte componente especulativo na demanda de derivativos de câmbio de empresas de capital aberto brasileiras. De um total de 93 empresas com posições abertas, 51 especularam e 42 fizeram hedge. Finalmente, o terceiro ensaio mostra que as intervenções com derivativos de câmbio do Banco Central só foram repassadas para o setor produtivo pelas instituições financeiras em períodos sem crise cambial. / [en] This Doctoral Thesis consists of three essays about instruments of foreign exchange policy and hedge. In the first essay, we show that the instruments of intervention of the Central Bank in the foreign exchange market were only effective in periods without foreign exchange crisis. In the second essay, we show using an original database with 23.767 contracts of foreign exchange swaps open in 2002, that there was a strong speculative motive in the demand of foreign exchange derivatives of brazilian corporations. Of a total of 93 corporations with open positions, 51 speculated and 42 hedged. Finally, the third essay shows that interventions with foreign exchange derivatives were not transferred to the productive sector by the financial institutions in periods of foreign exchange crisis.

O mercado financeiro brasileiro é caracterizado pela elevada concentração bancária, onde os cinco maiores bancos detêm a maior parte dos ativos financeiros. Bancos pequenos e médios têm que disputar espaços com os grandes conglomerados financeiros. Questões como economia de escala e custo de observância às normas são essenciais para a sobrevivência destas instituições menores. A aprovação para a constituição de instituições financeiras no País é dada pelo Banco Central do Brasil, que estabelece os valores de capital mínimo, em função da modalidade de instituição. Por sua vez, o Comitê de Supervisão Bancária de Basiléia estabelece os padrões máximos de alavancagem, o que indica qual volume de carteira pode ser contratado, dado este patrimônio. Este trabalho tem como objetivo verificar se os valores de capital mínimo estabelecidos pelo Banco Central do Brasil são compatíveis com a estrutura de custo das instituições, e com o objetivo de retorno dos acionistas. Serão utilizados dados dos demonstrativos das instituições financeiras e, com base em modelo de regressão de dados em painel estático, será construída uma curva de retornos em função do porte da instituição. Este retorno, comparado com o custo de capital calculado pelo CAPM indicará a partir de que porte uma instituição financeira é viável. / The Brazilian financial market is characterized by its huge banking concentration, where the five largest banks hold most part of the assets. Small and medium size financial institutions have to compete with the larger financial conglomerates. Economy of scale and cost of compliance issues are essential for the survival of the smaller institutions. The approval of a new financial institution is given by the Brazilian Central Bank, who establishes the minimum equity value, depending on the type of institution intended. Additionally, the Basle Committee on Banking Supervision fixes the maximum leverage standards, what indicates the maximum credit portfolio possible, given this equity value. This thesis aims to verify if the minimum equity value established by the Brazilian Central Bank is compatible with the banks operational cost and the shareholder return objective. Data of the financial statements will be used in conjunction with static panel regressions, to construct the return curve regarding the dimension of the institution. This will be compared with the shareholder cost of capital, estimated by de CAPM, to indicate the minimum dimension, which makes feasible the institution.

Este estudo teve como finalidade mostrar a importância da Clearing de Câmbio dentro do novo projeto de reestruturação do Sistema de Pagamentos Brasileiro. Para tanto foi observado como funcionava o antigo sistema, com os riscos assumidos pelo Banco Central, principalmente no que se refere à possibilidade do risco sistêmico. No novo projeto, as Clearings são fundamentais para se evitar esse tipo de risco. Os dados utilizados permitiram que fossem feitas simulações com a presença ou não da Clearing. Para contextualizar o cenário em que se encontrava a economia antes da implantação do novo sistema fez-se uma breve análise do cenário de instabilidade pelo qual o sistema bancário atravessava e a forma como o governo conseguiu controlá-lo. Para garantir uma maior segurança em todo o sistema de pagamentos criou-se o Sistema de Transferência de Reservas adotando o processo de liquidação bruta em tempo real, conseguindo eliminar a possibilidade de risco de crédito. A Clearing de Câmbio possui um papel fundamental no novo SPB pois trabalha adotando o princípio da liquidação líquida, reduzindo a necessidade de capital para a realização das transações financeiras. O objetivo do trabalho foi mostrar os efeitos causados no mercado de câmbio e o papel da clearing nesse novo sistema. Notou-se que o mercado interbancário de câmbio tem apresentado um grande equilíbrio não só entre o número de contratos de compra e venda de moeda, mas também entre o valor desses contratos. Os dados obtidos mostraram uma tendência de aumento no total de giro e de pagamentos realizados via STR. A Clearing tem mostrado cada vez mais uma grande importância no novo SPB, com um volume de contratos crescente tanto para liquidação em D+1 quanto em D+2. Verifica-se que nos primeiros cinco meses de existência apenas 15% de toda moeda negociada foi efetivamente transferida entre as instituições, reduzindo de forma considerável o montante de moeda necessária nas negociações e em conseqüência a possibilidade do risco sistêmico. Apesar da diminuição do tempo necessário para as transferências e da certeza de liquidação financeira, um dos principais problemas que ainda dificultam o aumento nas negociações através da Clearing de Câmbio são os altos custos para se operar nesse sistema. Para consolidar ainda mais a Clearing como instituição, estuda-se o lançamento de novos produtos que venham atender à demanda do mercado financeiro, como por exemplo a possibilidade de liquidação financeira intradia e a negociação com outras moedas. A Clearing de Câmbio da BM&F é a primeira do mundo a negociar moeda e o seu sucesso pode fazer com que instituições do mesmo gênero sejam criadas pelos Bancos Centrais dos outros países. / This study had the goal to clarify the importance of the Foreign Exchange Clearinghouse related with the new project of restructuring the Brazilian System of Payments (BSP). With this purpose it was observed how the old payment system operated, with the risks assumed by the Central Bank, mainly those associated with the systemic risk. In the new project, the Clearinghouses have a fundamental role to avoid the systemic risk. The data used in the research allowed to simulate and compare the effects on the foreign exchange market, in the presence or in the absence of the Clearinghouse. To understand how the economy was before the implantation of the new project, it was done a brief analysis about the instability which the bank system was affected and the way that the government tried to control it. To guarantee more security in the whole payment system, it was created the Reserve Transfer System (RTS) that adopt a process of Real-Time Gross Settlement, achieving the goal of eliminating the possibility of credit risk. The Foreign Exchange Clearinghouse has a fundamental role in the new BSP because works adopting the principle of the net settlement, reducing the capital necessity to do financial transactions. A qualitative analysis had a purpose to show the effects due in the foreign exchange market and the Clearinghouse function in this new system. It was observed that the interbank foreign exchange market has been showed a great equilibrium in the number of contracts bought and sold, but also in their values. The data obtained presented a trend of raising in the total negotiated and in the payments done via RTS. The Clearinghouse has been showed that its importance is increasing in the new BSP, with the volume of contracts raising in both settlement D+1 and D+2. It is noted that in the first five months of existence, only 15% of whole currency negotiated was effectively transfered within institutions, reducing in a considerable manner the total of currency required and, in consequence, reducing the possibility of systemic risk. Although the diminishing of the time for transferences and of the certainty about the financial settlement, one of the main problems are the high costs to operate in this system. To consolidate the Clearinghouse importance as an institution, it has been done studies to launch new products to take care of the demand like, as example, the possibility of financial settlement intraday and the negotiation with other currencies. The BM&F Exchange Clearinghouse is the first one in the world that transacts currency and its success may influence other countries that can adopt the same system.

Made available in DSpace on 2016-04-25T20:21:50Z (GMT). No. of bitstreams: 1 Dissertacao_CarlosNakao.pdf: 495219 bytes, checksum: 156e616f024ce4417621c5cacbb2e109 (MD5) Previous issue date: 2005-04-18 / The present work aims to discuss the importance of Central Bank's reputation and credibility inside the Inflation Target Regime. The theory that this monetary solution coordinates the market's expectation is tested using one index that quantifies credibility and Person's coeficient. The numerical data between 1999 and 2004 was extracted from Market's Expectation System. The preliminary findings (once that this time period is very short to definitive conclusions) show the strong relationship between credibility-reputation economic theory and market's inflationary expectation. / O presente trabalho estuda a importância da credibilidade e da reputação do Banco Central dentro do regime de metas para a inflação. Para isso, investiga a premissa de que tal arranjo monetário é poderoso coordenador de expectativas, por meio de um índice de credibilidade e do coeficiente de variação amostral de Pearson. Foram utilizados os dados do sistema de expectativas de mercado, no período de 1999 a 2004. As conclusões, em caráter preliminar (dado que as séries históricas são relativamente curtas), giram em torno da assertiva de que, dentro do regime de metas para a inflação, o binômio reputação-credibilidade das autoridades monetárias tem papel crucial na formação das expectativas inflacionárias dos agentes econômicos.

Made available in DSpace on 2016-04-26T14:56:26Z (GMT). No. of bitstreams: 1 Dissertacao_CarlosNakao.pdf: 495219 bytes, checksum: 156e616f024ce4417621c5cacbb2e109 (MD5) Previous issue date: 2005-04-18 / The present work aims to discuss the importance of Central Bank's reputation and credibility inside the Inflation Target Regime. The theory that this monetary solution coordinates the market's expectation is tested using one index that quantifies credibility and Person's coeficient. The numerical data between 1999 and 2004 was extracted from Market's Expectation System. The preliminary findings (once that this time period is very short to definitive conclusions) show the strong relationship between credibility-reputation economic theory and market's inflationary expectation. / O presente trabalho estuda a importância da credibilidade e da reputação do Banco Central dentro do regime de metas para a inflação. Para isso, investiga a premissa de que tal arranjo monetário é poderoso coordenador de expectativas, por meio de um índice de credibilidade e do coeficiente de variação amostral de Pearson. Foram utilizados os dados do sistema de expectativas de mercado, no período de 1999 a 2004. As conclusões, em caráter preliminar (dado que as séries históricas são relativamente curtas), giram em torno da assertiva de que, dentro do regime de metas para a inflação, o binômio reputação-credibilidade das autoridades monetárias tem papel crucial na formação das expectativas inflacionárias dos agentes econômicos.

Made available in DSpace on 2016-04-26T20:23:39Z (GMT). No. of bitstreams: 1 Nathalia Correia Pompeu.pdf: 797269 bytes, checksum: 3b19ae4a96f275094474cdf829a3a771 (MD5) Previous issue date: 2015-04-07 / It is undeniable that the acts of concentration, as mergers and incorporations, tend to develop the market and its economy since regulated and under the perspective and principles of antitrust. How much above applies to all sectors of economic activity and financial institutions don't run this economic rule. In every country in the world to financial activity is regulated and supervised as well as exist in most countries, an authority responsible for the defense of competition. In some places, this last activity is made by the same regulator of the financial system; in others it is an exclusive assignment antitrust authority; and in other cases, there are competing skills systems. Important to mention that there's less advanced Nations in the study of economic law in which there are no antitrust legislation. The central point that this thesis aims to solve is the conflict of competence between the Administrative Council of the Brazilian competition defense-CADE and the Central Bank of Brazil (BACEN) with regard to the analysis and approval of acts of concentration of members of the national financial System institutions-financial institutions, proposing the end of the discussion and solution of the deadlock through legen ferenda based on principles and standards applicable to the infra-constitutional norms applicable to the issue and based on economic rule market / É inegável que os atos de concentração, como fusões e incorporações, tendem a desenvolver o mercado e a sua economia desde que regulado e sob a ótica e princípios de defesa da concorrência. O quanto exposto se aplica a todos os setores de atividade econômica, e as instituições financeiras não fogem essa regra econômica. Em todos os países do mundo a atividade financeira é regulada e fiscalizada, bem como existe, na maioria dos países, uma autoridade responsável pela defesa da concorrência. Em alguns lugares, essa última atividade é feita pelo mesmo órgão regulador do sistema financeiro; em outros é atribuição exclusiva de uma autoridade antitruste; e em outros casos, há sistemas de competências concorrentes. Importante mencionar que há nações menos avançadas no estudo do direito econômico nas quais não existe nenhuma legislação antitruste. O ponto central que esta tese tem como objetivo solucionar é o conflito de competência brasileiro entre o Conselho Administrativo de Defesa da Concorrência CADE e o Banco Central do Brasil BACEN no que diz respeito à análise e à aprovação de atos de concentração de instituições integrantes do Sistema Financeiro Nacional instituições financeiras, propondo o fim da discussão e a solução do impasse por meio de legen ferenda, com base em princípios e normas constitucionais e infraconstitucionais aplicáveis ao tema, bem como com base em regra econômicas de mercado

As the amount of information available on the internet has increased sharply in the last years, methods for measuring and comparing text-based information is gaining popularity on financial markets. Text mining and natural language processing has become an important tool for classifying large collections of texts or documents. One field of applications is topic modelling of the minutes from central banks' monetary policy meetings, which tend to be about topics such as"inflation", "economic growth" and "rates". The central bank of Sweden is the Riksbank, which hold 6 annual monetary policy meetings where the members of the Executive Board decide on the new repo rate. Two weeks later, the minutes of the meeting is published and information regarding the future monetary policy is given to the market in the form of text. This information has before release been unknown to the market, thus having the potential to be market-sensitive. Using Latent Dirichlet Allocation (LDA), an algorithm used for uncovering latent topics in documents, the topics in the meeting minutes should be possible to identify and quantify. In this project, 8 topics were found regarding, among other, inflation, rates, household debt and economic development. An important factor in analysis of central bank communication is the underlying tone in the discussions. It is common to classify central bankers as hawkish or dovish. Hawkish members of the board tend to favour tightening monetary policy and rate hikes, while more dovish members advocate a more expansive monetary policy and rate cuts. Thus, analysing the tone of the minutes can give an indication of future moves of the monetary policy rate. The purpose of this project is to provide a fast method for analysing the minutes from the Riksbank monetary policy meetings. The project is divided into two parts. First, a LDA model was trained to identify the topics in the minutes, which was then used to compare the content of two consecutive meeting minutes. Next, the sentiment was measured as a degree of hawkishness or dovishness. This was done by categorising each sentence in terms of their content, and then counting words with hawkish or dovish sentiment. The resulting net score gives larger values to more hawkish minutes and was shown to follow the repo rate path well. At the time of the release of the minutes, the new repo rate is already known, but the net score does gives an indication of the stance of the board.

This dissertation analyzes the emergence of the Austro-Hungarian Bank (OeUB) as a modern lender of last resort (LLR) between 1868 and 1914. In order to evaluate policy responses to specific periods of financial distress, an in-depth knowledge of the context and dynamics at hand is indispensable. Chapter I sets the groundwork for this dissertation. It shows that bank failures during the Austro-Hungarian crisis of 1873 followed mainly from the break-down of a large repo market on the Viennese stock exchange. Credit institutions granted repo loans against securities that turned into highly illiquid and depreciated collateral. Banks that were forced to sell repossessed collateral in response to heavy funding withdrawals had to write-off substantial portions of their repo portfolios and thus incurred heavy losses. This chapter reinterprets the Austro-Hungarian crisis of 1873 as a historical "run on repo". It is the first study to examine a historical repo market crisis using microdata. I use semi-parametric survival analysis as well as stratification techniques new to the literature on bank distress to identify the causes of bank failures. Bank failures in 1873 did not spring from a pure liquidity problem, nor did they derive from a simple solvency shock. The complex roots of bank distress in 1873 posed difficult questions for policy-makers who needed to decide whether and how to intervene. Although central banks may be first-best candidates for the role of a LLR, they can also face constraints which obviate an elastic supply of liquidity during crises. Some of these constraints may be ideational, institutional or technical. Others are driven by market characteristics: quantity rationing can be the result of asymmetric information problems in financial markets. In Chapter II, I study a historical experiment implemented to overcome the specter of a credit rationing LLR during the Austro-Hungarian crisis of 1873. I explore bank-level information on treatment by a LLR mechanism designed as a public-private partnership between the central bank and market players. Drawing on inverse probability weighted regression adjustment (IPWRA) to tease out the causal effect of liquidity support, I show that this unconventional LLR was effective in mitigating bank distress: it worked as a remedy for the under-provision of a good particularly desirable in times of crises central bank liquidity. No matter how successful it is in calming financial distress and independently of the concrete form it takes, the LLR always comes at a cost. Moral hazard is a central issue in the literature on last resort lending. In Chapter III, I provide a new explanation for how central banks dealt with moral hazard historically. I focus on one specific component of central banks' risk frameworks: credit limits for discount window customers. I argue that credit limits as operationalized by the Austro-Hungarian Bank (OeUB) after 1878 constituted the backbone of an early form of microprudential regulation that was designed to check moral hazard in normal times. Credit limits empowered the Austro-Hungarian Bank to enforce minimum liquidity and capital standards for its counterparties at the discount window. Rather than contradicting the tenet of free lending in times of distress, credit limits functioned as "contingent rules": enforced in normal times, limits were increased or lifted during liquidity crises perceived as exogenous. Moreover, even during crises, the Bank did not simply relax limits for all credit institutions: it differentiated between banks depending on their fundamentals prior to the crisis. Chapter III provides the first economic interpretation and empirical analysis of the credit limit frameworks employed by central banks in the past.

Les pays du Moyen-Orient et d’Afrique du Nord sont connus pour leurs richesses et leur diversité, conséquence d’une histoire économique et politique longue de plusieurs décennies. Ils s’étendent sur une vaste étendue allant du golfe Persique à l'est, jusqu’à l'Océan Atlantique à l'ouest. Cette région appelée parfois MENA (Middle East and North Africa) comprend la plus grande partie du Sud-Ouest de l'Asie et l'Afrique du nord. Elle inclut sur le continent asiatique l’Iran, la Turquie et tous les pays arabes. En Afrique du nord, elle inclut l’Égypte, la Tunisie, la Libye, le Maroc et l'Algérie.Cette thèse commence par une première partie consacrée à la géographie et l’histoire des principaux pays de la région en commençant par les dernières décennies vécues par l’Empire Ottoman. Dans la deuxième partie nous présentons un panorama économique et social des pays de la zone.Dans la troisième partie nous nous concentrons sur la politique monétaire. Cette politique est l'une des politiques économiques les plus importantes, car son succès est sensé contribué à la réussite et au développement d’autres politiques. Nous analysons les relations problématiques entre le gouvernement au pouvoir exécutif et la Banque centrale en tant qu’autorité monétaire. / The Countries in the Middle East and North Africa are known for their wealth and diversity as a result of a decades-long economic and political history. They extend over a vast expanse from the Persian Gulf to the east, to the Atlantic Ocean to the west. This region sometimes referred to as MENA (Middle East and North Africa) includes most of Southwest Asia and North Africa. It includes on the Asian continent Iran, Turkey and all the Arab countries. In North Africa, it includes Egypt, Tunisia, Libya, Morocco and Algeria.This thesis begins with a first part devoted to the geography and history of the main countries of the region, starting with the last decades lived by the Ottoman Empire.In the second part we present an economic and social panorama of the countries of the zone.In the third part we focus on monetary policy. This policy is one of the most important economic policies, as its success is supposed to contribute to the success and development of other policies. We analyze the problematic relations between the executive government and the central bank as monetary authority.