As turbulências causadas internacionalmente por crises financeiras levam estudiosos a análises dos impactos destas, ganhando destaque os conceitos de efeito contágio e interdependência. Efeito contágio pode ser entendido como uma quebra na estrutura de transmissão de choques previamente existente entre os países. Caso os choques transmitidos não sejam intensos o suficiente para promover esta mudança na interrelação entre as economias, diz-se que o cenário de interdependência foi mantido. O objetivo deste trabalho é, a partir das metodologias sugeridas por Forbes e Rigobon (2002) e Corsetti, Pericoli e Sbracia (2005), verificar indícios de efeito contágio entre quinze economias em oito episódios de crises financeiras. Os dois trabalhos propõem alternativas de ajustes nos coeficientes de correlação entre os países, os quais são utilizados como Proxy para a interrelação entre as economias, no intuito de corrigir problemas de heterocedasticidade nos dados que levariam a vieses indesejados nos resultados. Conclui-se que o modelo de Corsetti, Pericoli e Sbracia (2005), como esperado, apresentou-se mais eficiente em encontrar indícios de efeito contágio, uma vez que abrange variações nas componentes dos retornos não consideradas pelo modelo de Forbes e Rigobon (2002). Os resultados, corroborados por testes de robustez, indicam a crise asiática de 1997 como a mais contagiosa, seguida pelo ataque terrorista de 11 de setembro de 2001, crise brasileira de 1999, bolha da internet de 2000 e crise do Subprime. Os outros episódios não apresentaram indícios de contágio o que indica choques restritos ao país de origem da crise. / The international turbulences caused by financial crisis lead researchers to analyze their impacts, emphasizing the concepts of contagion effect and interdependence. Contagion effect can be understood as a break on the shock transmission structure previously existent between countries. In case the transmitted shocks are not strong enough to promote this change in the economies relation, the interdependence has been kept. This study object is, using the Forbes and Rigobon (2002) and Corsetti, Pericoli and Sbracia (2005) suggested methodology, verify the contagion effect between fifteen economies and eight financial crisis episode. Both studies are alternatives of adjustments on the correlation coefficients between countries as a proxy to the interrelation, to correct the data from heteroskedasticy problems which lead to biased results. The study conclusion is that the Corsetti, Pericoli and Scracia (2005) model is more efficient to detect contagion, once it considers the variance of the returns components that are not considered at Forbes and Rigobon (2002) approach. The results are corroborated by robustness tests. The most contagion episode is the 1997 asian crisis, followed by the terrorist attack from 2001 September 11th, 1999 brazilian crisis, the 2000 internet bubble and the Subprime crisis. The others episodes do present any evidence of contagion effect. This fact indicate that the shocks were restrict to the crisis origin country.

Thesis advisor: Peter Ireland / With interest rates stuck near zero for the foreseeable future, the Federal Reserve has had to employ numerous unconventional monetary policy measures in an attempt to stimulate an economy in the after math of the worst economic downturn since the Great Depression. I assess the usefulness of market-based measures of expectations in gauging the effects of these seemingly extreme policy actions undertaken in an environment of unprecedented fear and uncertainty. I use a principal component analysis to combine a number of asset prices that indicate different types of market expectations; by combining these variables into one single variable indicator, this principal component variable filters out the variance among these similar variables and focuses on the common movements among the variables that can be attributed to a specific market force such as investors’ inflation expectations, overall market risk appetite, and economic growth expectations. / Thesis (BA) — Boston College, 2012. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: College Honors Program. / Discipline: Economics.

O trabalho tem por meta resgatar alguns aspectos relacionados à gestão da estrutura macroeconômica do Brasil e de Portugal entre 1850 e 1865, com especial enfoque às políticas monetária e cambial, intimamente relacionadas com a gestão do sistema de paridade internacional de moedas conhecido como o Padrão-ouro, que constitui o objeto principal desta análise. Os objetivos gerais desta tese tencionam, portanto, fornecer substratos a uma reflexão mais sistemática no que concerne a uma presumida conexão entre a dinâmica cíclica dos fluxos de capitais em escala global e os períodos de crises econômicas e pânicos financeiros observados no período, em íntima ligação com o mecanismo de integração financeira que se corporifica no Padrão-ouro, ao qual Brasil e Portugal aderiram em 1846 e 1854, respectivamente. O trabalho pretende, assim, avaliar as consequências da referida integração financeira, bem como das políticas monetárias empreendidas sobre o desenvolvimento do mercado financeiro de ambos os países ao longo do recorte temporal supracitado. / This research intends to examine some aspects related to Brazilian and Portuguese macroeconomic structures between 1850 and 1865, focusing monetary and trading policies, closely related to the management of Gold Standard, the main object of this research. Therefore, the main objectives of this research intends to provide substrates for a reflection about a connection between the cyclic dynamics of capital on global scales, and economic crisis and panics on the same period, closely related with financial integration externalized in Gold Standard, adopted by Brazilian monetary authorities in 1846, and by Portuguese in 1854. This research intends to evaluate the consequences of this financial integration and the consequences of monetary policies over the financial market from both countries along the same period.

Depuis les quarante dernières années, toutes les régions du monde ont été traversées par des événements majeurs d’instabilité économique et financière. L’un des traits caractéristiques de ces manifestations est qu’elles ont non seulement eu un impact sur la santé économique financière et sociale de leur pays d’origine, mais aussi sur les économies étrangères. Cette thèse retrace l’évolution de la crise financière mondiale, démontre comment la plupart des pays de l’OCDE ont été affectés par la contagion, et met en lumière le rôle de la politique monétaire dans la propagation de la crise. Elle se compose en six essais. Le premier chapitre s’attache à étudier les corrélations dynamiques entre différents actifs et certaines variables économiques et financières durant la bulle internet de 2000 et la crise financière mondiale. Dans le deuxième essai, nous nous intéressons aux changements de transmission internationale des chocs de politique monétaire américaine. Le troisième essai adopte une approche plus économique. Nous y étudions la synchronisation des cycles, la composante stochastique de la volatilité de l’inflation, du produit et des taux d’intérêts. Dans le 4ème essai, nous abordons l’existence d’un éventuel «shift-contagion» lors de la crise financière mondiale et lors de la crise de la dette souveraine en Europe. Le cinquième essai aborde la dynamique intra-journalière ainsi que la transmission de volatilité entre Allemagne, France, et Royaume-Uni lors de la crise financière mondiale. Enfin le dernier cherche à analyser la volatilité de 12 marchés d’action. / Depuis les quarante dernières années, toutes les régions du monde ont été traversées par des événements majeurs d’instabilité économique et financière. L’un des traits caractéristiques de ces manifestations est qu’elles ont non seulement eu un impact sur la santé économique financière et sociale de leur pays d’origine, mais aussi sur les économies étrangères. Cette thèse retrace l’évolution de la crise financière mondiale, démontre comment la plupart des pays de l’OCDE ont été affectés par la contagion, et met en lumière le rôle de la politique monétaire dans la propagation de la crise. Elle se compose en six essais. Le premier chapitre s’attache à étudier les corrélations dynamiques entre différents actifs et certaines variables économiques et financières durant la bulle internet de 2000 et la crise financière mondiale. Dans le deuxième essai, nous nous intéressons aux changements de transmission internationale des chocs de politique monétaire américaine. Le troisième essai adopte une approche plus économique. Nous y étudions la synchronisation des cycles, la composante stochastique de la volatilité de l’inflation, du produit et des taux d’intérêts. Dans le 4ème essai, nous abordons l’existence d’un éventuel «shift-contagion» lors de la crise financière mondiale et lors de la crise de la dette souveraine en Europe. Le cinquième essai aborde la dynamique intra-journalière ainsi que la transmission de volatilité entre Allemagne, France, et Royaume-Uni lors de la crise financière mondiale. Enfin le dernier cherche à analyser la volatilité de 12 marchés d’action.

Abstract Background: Following the financial crisis in 2008, a debate concerning excessive compensation of CEOs in retail banks arose. Previous studies have examined the association between CEO compensation and different factors namely, firm performance, board characteristics and firm size. Although the literature regarding the impact of the financial crisis and government intervention on CEO compensation is still to be empirically explored.   Purpose: To examine if the determinants of CEO compensation in retail banks have changed following the 2008 financial crisis and to determine if government intervention of retail bank have influenced the CEO compensation.   Method:  To achieve the purpose, the thesis takes on a deductive, quantitative research approach through the use of a multiple linear regression model. The multiple regression implements previously established determinants of executive compensation (Randoy & Nielsen, 2002). The regressions use accounting- and non-financial data that is collected from annual reports published by a sample of eight retail banks listed on the Stockholm- and London Stock Exchange over 16 years between 2002-2017.   Conclusion: The thesis finds that the financial crisis had little impact on the determinants of the CEO compensation. Although, the thesis is able to conclude that the government intervention of the retail banks in Sweden and United Kingdom follow the expectations stated beforehand, since the result show that the compensation of the CEO is reduced in those banks affected by government intervention.

This study provides a view of the decision-making process of Dutch company pension funds. The success of this research was the exceptional granting of access to four cases. Lack of such access could very well be the reason why research of this nature has not been previously achieved. The financial health of pension funds, expressed by the coverage ratio, showed a decline in 2008. Research has shown that there is a relationship between decision-making processes and outcome. Were the processes appropriate to set up and maintain a sufficient coverage ratio? A tailor-made conceptual research model has been developed and used as an analysis aid to research the TO BE situation based on legal requirements and factional documents and the AS IS situation based on empirical data. The model made it feasible to shed light on the implementation of good pension fund governance principles and decision-making process, which is a contribution to the current gap in research. The research showed that there is a relationship between the implementation of pension fund governance principles and appropriate decision-making processes. It also showed that there is a relationship between an appropriate decision-making process and coverage ratio. Both conclusions are not statistically proven due to the lack of the statistical significance, but are qualitative analysed and confirmed in the conducted case studies. It is suggested to use the research model by supervisor or pension funds to establish the mismatch between the implementation of pension fund governance principles and decision-making processes to enhance the quality of decision-making processes and outcome.

O papel dos Bancos de Desenvolvimento é amplamente discutido há décadas, cuja presença e atuação possui defensores e críticos. No Brasil, desde sua fundação em 1952, o Banco Nacional de Desenvolvimento Econômico e Social (BNDES) está no centro dessas discussões, pois é um dos 4 maiores Bancos de Desenvolvimento do mundo, desempenhando um importante papel na economia brasileira. Esta investigação focou empresas listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 2002 a 2014, com ênfase na relação entre restrição financeira e contratação de empréstimos do BNDES. Para tanto, foi utilizado o modelo de Sensibilidade do Investimento ao Fluxo de Caixa por meio de regressão por efeitos fixos, aleatórios e dados agrupados em painel de dados estático desbalanceado. Outro aspecto deste estudo foi verificar as diferenças entre as empresas que contrataram e que não contrataram empréstimos do BNDES em períodos relacionados à crise financeira global de 2008, cuja análise foi desenvolvida pelo teste de Diferença-em-Diferenças. Os resultados evidenciaram que, na amostra geral, houve restrição financeira nos dois grupos de empresas, sendo que a restrição foi maior nas empresas que contrataram empréstimos do BNDES. Nesse grupo, as empresas que contrataram empréstimos diretamente pelo BNDES (forma de apoio Direta ou modalidade Não Automática) tiveram maior restrição financeira. As instituições financeiras que operaram com o BNDES (forma de apoio Indireta ou modalidade Automática) tiveram as menores restrições financeiras. Com respeito à crise financeira, o teste mostrou que o nível de investimento e a restrição financeira do grupo de tratamento tiveram diferenças significativas nos períodos pré-crise e a partir da crise, o que pode indicar uma influência do BNDES na atenuação dos efeitos da crise. O estudo conclui que as empresas que contrataram empréstimos do BNDES possuem maior restrição financeira do que aquelas que não contrataram empréstimo. Além disso, este estudo salienta que na crise financeira de 2008, a presença de recursos financeiros do BNDES nessas empresas contribuiu para diminuir a restrição financeira, enquanto que as empresas que não contrataram empréstimos tiveram maior restrição. Essas constatações confirmam o papel do banco de desenvolvimento atuando em empresas que mostraram maior necessidade de capital, assim como redutor de restrição financeira em momentos de crise. / The role of Development Banks has been widely discussed for decades, whose presence and performance have defenders and critics. Since its founding in 1952, the National Bank for Economic and Social Development (BNDES) has been in the center of these discussions as it is among the 4 largest development banks in the world, playing an important role in the Brazilian economy. This research focused on companies listed on the São Paulo Stock Exchange (Bovespa) from 2002 to 2014, with emphasis on the relationship between financial restraint and BNDES loan contracting. For this, the Cash Flow Sensitivity model was used through regression by means of fixed, random effects and grouped data in an unbalanced static data panel. Another aspect of this study was to verify the differences between the companies that hired and did not borrow from the BNDES in periods related to the 2008 global financial crisis, whose analysis was developed by the Difference-in-Differences test. The results showed that, in the general sample, there was a financial constraint in both groups of companies, and the restriction was greater in the companies that contracted BNDES loans. In this group, companies that borrowed directly from the BNDES (direct support or non-automatic mode) had greater financial constraints. The financial institutions that operated with the BNDES (Indirect support form or Automatic mode) had the lowest financial restrictions. In relation to the financial crisis, the test showed that the level of investment and the financial constraint of the treatment group had significant differences in the pre-crisis and crisis periods, which may indicate an influence of the BNDES in mitigating the effects of the crisis. This study concludes that the companies that contracted BNDES loans have greater financial constraints than those that did not take out a loan. In addition, the study points out that in the financial crisis of 2008, the presence of BNDES financial resources, in these companies, contributed to reduce the financial constraint, while the companies that did not contract loans were more restricted. These findings confirm the role of the development bank working in companies that showed greater need for capital, as well as reducing financial constraint in times of crisis.

This thesis contributes via the concept of efficiency in four distinct fields of the fi nancial economics and banking literature: technological heterogeneity, liquidity creation, profitability, and stability of banks. In Chapter 1 we motivate the analysis by presenting the main developments that have been taking place in the banking sector as far as these four elds are concerned and highlight their importance to the appropriate functioning of the nancial system and of the economy overall. In Chapter 2 we address the issue that conventional surveys on bank efficiency draw conclusions based on the assumption that all banks in a sample use the same production technology. However, efficiency estimates can be severely distorted if the existence of unobserved differences in technological regimes is not taken into consideration. We estimate the unobserved heterogeneity in banking technologies using a latent class stochastic frontier model. In order to arrive at a policy implication that is valid across time and markets, we present two applications of the model using separately data from the UK and Greek banking sector over the periods 1987-2011 and 1993-2011 respectively. To increase the precision of our inferences, we adopt two distinct empirical methodologies: a panel data method and a pooled cross-section modelling strategy. Our results reveal that bank-heterogeneity in both banking sectors can be controlled for two technological regimes. We find a trade-o¤ between the level of sophistication within a fi nancial system and its level of aggregate efficiency. Consistency among the results is established under both methodologies. Further, we propose a methodology with regard to M&As activity of UK and Greek banks within a latent class context. We examine numerous potential M&A scenarios among banks that belong to different technological regimes, and we test whether there is a transition of the new banks to a more efficient technological class resulting from this M&A activity. We find strong evidence that new financial institutions can be better equipped to withstand potential adverse economic conditions. Finally, we cast doubt on what the true motivation for M&A activity is and we extract important policy inferences in terms of social welfare. In Chapter 3 we introduce the "Cost Efficiency - Liquidity Creation Hypothesis" (CELCH) according to which a rise in a bank s cost efficiency level increases its level of liquidity creation. By employing a novel stress test scenario under a PVAR methodology, we test the CELCH and the direction of causality among liquidity creation and cost efficiency variables in the UK and Greek banking sector. Moreover using new measures of liquidity creation (Berger and Bouwman, 2009) we address the question of whether potential M&As can enhance liquidity creation and create additional credit channels in the economy. We evaluate and compare the robustness of potential consolidation scenarios by employing half - life measures (Chortareas and Kapetanios 2013). We show a positive impact of cost efficiency on liquidity creation in line with CELCH. The empirical evidence further suggests that potential consolidation activity can enhance the ow of credit in the economy. Bank shocks seem to be the most persistent on both liquidity creation and cost efficiency and the UK banking system is found to withstand more effectively adverse economic conditions. Finally, we cast doubts on the strategy followed by policy authorities regarding the recent wave of M&As in the Greek banking sector. In Chapter 4, we attempt to shed light on the trade-o¤ between fi nancial stability and efficiency. We highlight that current tests of banking efficiency do not take into account whether banks managers are taking too much or too little risk relative to the value maximising amount. We assume that moving from an intermediary bank type balance sheet to an investment bank type not only changes the risk-return combination of the balance sheet but also increases the banks degree of instability, that is the probability of insolvency when adverse effects occur. To this extent, we propose a new efficiency measure which incorporates all the aforementioned ambiguous points. An empirical investigation of US commercial banks between 2003-2012 suggests that our proposed risk-adjusted index has superior explanatory power with respect to banks profi tability and gives better predictions compared to conventional banking efficiency measures. This holds after various robustness checks. Chapter 5 summarizes the main findings of all three distinct studies and concludes by highlighting the importance and the contributing points of the thesis in the banking and financial economics literature.

This dissertation investigates the capacity of states to limit regulatory circumvention in financial markets. The recent financial crisis has confirmed the widespread abuse of regulatory frameworks by the banks to their advantage, testing the limit of the permitted. The loophole behaviour of financial market actors, exploiting the rigidity of rules is unstoppable, given the impossibility to specify all possible events in rules. This essential fact of financial market regulation in itself is not the topic of this dissertation. The question instead is, given these conditions, how can state agencies limit this behaviour? By investigating the evolving regulatory treatment of a segment of the shadow banking sector driven by regulatory arbitrage in four different countries, this dissertation seeks to establish a comparative answer. In the investigated case of off-balance sheet financing, regulatory arbitrage occurred at the overlap of banking regulation and accounting regulation, a strategic location chosen to escape regulation. Asset-Backed Commercial Paper conduits, the financial innovation studied were structured at the margins of existing accounting regulation to avoid on-balance sheet status. They were also structured to be at the margins of banking regulation, in order to avoid regulatory costs. As they were structured just outside the margins of global banking accords, they were forcing regulators to take a national regulatory stance in the regulation of a global market. These constructs were "stitched on the edge" of existing regulation, always seeking to exploit weaknesses of regulation and of the gatekeepers seeking to enforce it. Auditors didn't have a weapon against new constructs as the rules were missing and national regulators had difficulties dealing with these new constructs because they were not regulated globally. The "cutting edge" of financial innovation in this case referred to the edges of regulation. How did state regulator react to this game of the tortoise and the hare? How can we explain the relatively successful regulation of this sector in two countries (Spain and France) and its failure in Germany and the Netherlands? The fourth chapter investigates the dialogue between audited and auditors regarding off-balance sheet decisions and ask how the auditors' voice in this realm could be strengthened in order to limit regulatory circumvention. Strengthening the negotiation power of the auditor through principles based accounting standards is identified as an important tool to contain regulatory arbitrage in the dialogue between banks and their auditors. The fifth chapter asks why we see the introduction of such accounting rules and their use for banking regulation in France and Spain, whereas they are either not introduced at all or not used for banking regulation in the two other cases. It is shown that the engagement of the banking regulator is a decisive intervening variable in the process. It is pointed out that the reconfiguration of national accounting standards setting networks amidst the transnational pressures emanating from an international standard setting body had a strong impact on the differential capability of banking regulators to influence this process. In the sixth chapter, the monitoring and enforcement of auditing decisions in the different countries are investigated, showing that principles based standards without strong regulatory monitoring and intervention was prone to failure. It is shown that the absence or engagement of banking regulators in these processes made a difference as to how prudently banking conglomerates demarcated their balance sheets and represented the risks they were taking. The seventh chapter finally situates the national evolution of regulatory treatments in the (lagging) international response to regulatory arbitrage in the field of securitization. It makes the point that deficiencies in the regulation of the sector were known internationally almost a decade before new international regulation was enforced and shows that in the interim period concerns over national competitiveness often inhibited the stringent regulation of this global market on a national level. The findings of the study reveal the necessary legal capacities and technical capabilities regulators need to hold to spot regulatory circumventions at the margins and at the overlap of regulations. They point to a holistic approach to regulation, which does not only include the application of rules to certain data material but also the control of the construction of that data material itself. It also brings to the fore the tensions between the national and the global level of regulation located at the edges between the two. In these interstices, we can find permitted/ approved regulatory arbitrage as national regulators choose to protect the competitiveness of their banks in a global market, rather than imposing a prudent view nationally.

This dissertation consists of three separate essays which address questions in the field of banking. The first two essays are motivated by the Great Recession, and study key aspects of the experience of commercial banks during this period. One is the impact of liquidity risk on credit supply, and the second is the effect of portfolio choices on the probability of bank failure. The third essay shifts the focus from commercial banks to M & A transactions, and studies the impact of a key provision in merger agreements on the initial offer premium and target firm value. In the first essay, titled "Liquidity Risk and the Credit Crunch of 2007-2009", I document the connection between liquidity risk and the credit crunch experienced during the financial crisis of 2007-2009. Using extensive micro-level data on mortgage loan applications, I construct a measure of the supply of credit that is free from demand-side bias. I then use this measure of credit supply to estimate the effect of cross-sectional differences in unused lines of credit and core-deposit funding on the supply of mortgage credit moving through the crisis. I find that lenders with higher liquidity risk contracted their supply of mortgage credit more. The channel of contraction was significantly stronger for larger lenders, which had the largest exposure to liquidity risk. The first phase of the contraction was due to liquidity risk arising from high exposure to lines of credit and was immediately followed by further tightening due to the collapse of the markets for wholesale funding. I estimate that the total contraction of mortgage lending due to liquidity stresses experienced by lenders during 2007-2009 was $41.5 billion - $61.9 billion, or 5.2%-7.8% of total mortgage originations during that period. In the second essay, titled "Commercial Bank Failures During The Great Recession: The Real (Estate) Story" I identify the channels through which shocks to the real estate sector contributed to the wave of commercial bank failures during the Great Recession. I focus on the banks' loan, marketable securities and credit line portfolios, and consider how choices which shifted the composition of each portfolio towards real estate products impacted the probability of bank failure. I find that augmenting a baseline model of failure with variables that capture the composition of these three portfolios improves the fit of the model by approximately 70% for small banks and 230% for large banks. I find no evidence that banks which held more of their loans in traditional closed-end mortgages suffered a higher probability of failure. Rather, it was investments in loans for multifamily properties and other non-household real estate loans, as well as off-balance sheet exposures to credit lines issued to non-household real estate borrowers, that are robustly identified as precursors of bank failure for both small and large banks. Exposure to open-end residential real estate loans contributed to the failure rates of small banks only. Exposure to private-label MBS is strongly associated with a higher probability of failure for large banks, but not for small ones. On the other hand, high holdings of agency MBS are associated with a higher probability of failure only for smaller banks, but this result is less robust. The third essay, titled "No Free Shop: Why Target Companies in MBOs and Private Equity Transactions Sometimes Choose Not to Buy 'Go Shop' Options" is joint work with Charles W. Calomiris and Donna M. Hitscherich. In this essay, we study the decisions by targets in private equity and MBO transactions whether to actively "shop" their initial acquisition agreements prior to the shareholders' approval of those contracts. Specifically, targets can insert a "go-shop" clause into their contracts, which permits them to use the agreement to solicit offers from other would-be acquirors during the "go-shop" window, during which the termination fee paid by the target is temporarily lowered. We consider the "go-shop" decision from the theoretical perspective of value maximization under asymmetric information, and also consider conflicts of interest on the parts of management, bankers, and attorneys that might affect the decision. Empirically, we find that the decision to retain the option to shop an offer is predicted by various firm attributes, including larger size, more fragmented ownership, and various characteristics of the firms' legal advisory team and procedures. These can be interpreted as reflecting a combination of informational characteristics, litigation risk, and attorney conflicts of interest. We employ legal advisor characteristics as instruments when analyzing the effects of go-shop decisions on target acquisition premia and value. We find, as predicted in our theoretical framework, that go-shops are not a free option; they result in lower initial acquisition premia, ceteris paribus. Our theoretical framework has an ambiguous prediction about the effects of go-shop choice on target firm valuation. Consistent with theory, we find no significant effect on abnormal returns from choosing a "go-shop" option.