This thesis is based on four essays in exchange rates and international finance. The first essay, examined in the second chapter, considers the long-run performance of the flexible-price monetary model as well as the real interest differential monetary model to explain the dollar–yen exchange rate during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the inadequacy of the two monetary models is due to the breakdown of their underlying building-blocks, money demand stability and purchasing power parity. In particular, modifying the monetary models by adjusting them for real stock prices to capture the stability of money demands on one hand and also for real economic variables such as productivity differential, relative government spending, and real oil price to explain the persistence in the real exchange rate on the other provide long-run relationships that appear consistent with the monetary models. Our findings of long-run weak exogeneity tests also emphasise the importance of the extended models employed here. The second essay, examined in the third chapter, is on the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated to produce evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional causality-in-variance in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period. The third essay, examined in the fourth chapter, considers the impact of net bond and net equity portfolio flows on exchange rate changes. Two-state Markov-switching models are estimated for the exchange rate of the US vis-a-vis Canada, the euro area, Japan and the UK. Our results suggest that the relationship between net portfolio flows and exchange rate changes is nonlinear for all cases considered, except that of the US dollar against the Canadian dollar. The fourth essay, examined in the fifth chapter, considers the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in mean model is estimated using bilateral data for the US vis-à-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst two countries (Canada and Japan) showed insignificant responses. With regard to the impact of uncertainty on net bond flows, it is shown to be negative in all countries, except Canada (where it is positive). Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces investors, especially those of the counterpart countries to the US, to reduce their financing activities to maximise returns and minimise exposure to uncertainty. This evidence is strong for the UK, the euro area and Sweden as opposed to Canada, Australia and Japan. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability.

Thesis (MPhil)--Stellenbosch University, 2010. / This futures studies research report uses the Six Pillars of Transformation by Inayatullah (2004) as the methodology to explore the future perspective corporate governance may take in light of the 2008/9 global economic meltdown. The problem here being to understand the corporate governance failures that led to the global economic crises and the influences these failures may have in the future of corporate governance. This research report was compiled through secondary research material. The focus of this research report is on corporate governance, in relation to business related activities in particular, as opposed to general governance and not necessarily from a South African perspective only. This is because the South African corporate governance framework, from a legal and principles point of view, is very linked to Anglo Saxon countries’ frameworks and also that the South African economy is globalised (Naidoo, 2009). The description of corporate governance, by Sir Adrian Cadbury of the UK Cadbury Report (1992), as “the balance between economic and social goals, and between individual and communal goals . . . the aim is to align as nearly as possible the interests of individuals, corporations and society” comprehensively describes corporate governance for the purposes of this research report. Of particular note to this description is the multiple stakeholder balance approach, which the South African King Reports subscribe to, for sustainability purposes among other reasons. The anticipation of the future of corporate governance, as the second pillar of futures transformation, is discussed by describing the related emerging issue analysis thereof. These issues include corporate governance convergence and diversity. However, there are significant signs in various parts of the world, including South Africa, and as Keasy, Thompson and Wright (2005) mentioned that show corporate governance convergence more than the increase of corporate governance diversity. The history of corporate governance change patterns, as the third pillar of futures transformation, are explored to bring into perspective the likely changes for exploration on establishing the future alternatives corporate governance systems may take in future. This is in light of the latest major event of the 2008/9 global economic crises. These patterns of history date back from the end of the 19th century through the great depression, the World War II period until the recent major corporate failures that happened worldwide. The future and nature of corporate governance is further deepened, as the fourth pillar of futures transformation, by applying the Causal Layered Analysis and the Four-Quadrant Map in the causes of the 2008/9 global economic meltdown by corporate governance failures. The creation of corporate governance future alternatives, as the fifth pillar of futures transformation, are explored by outlining the possible, probable, plausible and preferred futures of corporate governance from information provided by the referenced writers of this research report. The preferred and ideal corporate governance approach would be a balanced corporate governance approach that has optimally converged due to the impact by the 2008/9 global economic meltdown, globalized and market based. In the last pillar of futures transformation, transforming the future of corporate governance, the policy implications of the preferred and desired future of corporate governance, according to this research report will be outlined, notwithstanding the challenges to achieve this desired future. These policy changes are likely to be both from a self-regulatory and regulatory perspective.

La recherche menée propose une contribution à l’analyse de la performance des hedge funds dansun contexte d’instabilité des marchés financiers. Ce travail de thèse tourne autour de deux axes deréflexions. Le premier axe se propose d’examiner la structure de dépendance entre les mesures alternativesde performance absolue, en mettant en évidence l’impact du changement de base de donnéeset de période d’analyse sur le classement des indices. Dans ce cadre, nous proposons de comparer laperformance de cinq indices de stratégies issus de trois différentes bases de données. L’analyse esteffectuée sur trois périodes : une période avant crise, une période de crise et une période globale.Nous avons pu montrer que l’évaluation de la performance et la dépendance entre les indicateurssont des éléments fortement sensibles à la période d’analyse. De plus, cette analyse confirme qu’iln’existe pas d’indice "universel" pouvant représenter l’univers des hedge funds. Le deuxième axede réflexion est lié à l’analyse de la stabilité des performances des hedge funds sur trois horizons :le court terme, le moyen terme et le long terme. Il ressort de notre étude que la persistance desperformances des hedge funds n’est pas un phénomène de long terme et que le niveau de persistanceest fortement dépendant de la stratégie d’investissement et de l’indicateur de performance utilisé. / This dissertation provides a contribution to hedge funds performance analysis in a financialmarket instability context. The objective of this thesis is twofold. The first aim is to examine thedependence structure between alternative measures of absolute performance, highlighting the impactof the database switch and analysis period changing on the leaderboard of hedge funds indexes.In this framework, we propose to compare the performance of five hedge funds indexes extractedfrom three different databases. The analysis is conducted over three periods : a pre-crisis period, acrisis period and an overall period. Our findings show that the performance evaluation and dependancebetween performance indicators are highly sensitive to the analysis period. In addition, wefind that there is no "universal" index that can represent hedge funds universe. The second thesis’spurpose is related to the hedge funds performance stability over three horizons : the short term,the medium term and the long term. Firstly, it appears that hedge funds performance persistence isnot a long term phenomenon. Secondly, the persistence level is highly dependent to the investmentstrategy and to the performance indicator used.

The submitted master's thesis analyzes the impact of the global economic crisis on the Czech economy and export of the Czech republic. On the basis of statistical data thesis examines the evolution of basic macroeconomic indicators in the period before the crisis and during an economic downturn, which characterizes the current economy situation in the Czech republic. The work depicts the changes in the state support for exports, the government taken measures and shortcomings in our export policy. The main aim of the work -- in addition to analysis and forecasts of economic developments of the Czech republic -- are recommendations for the creation of New export strategy, evaluation the business environment for Czech export companies, including the main measures to increase competitiveness of the Czech economy.

The purpose of this Master's thesis is divided into two steps. The first step sums up all the relevant theory about financial crises and monetary policies. The second step analyzes not only the past but focuses mainly on the global financial crisis which started in 2007. The cornerstones of this analytical bloc are monetary policies of central banks in China, Venezuela, Denmark and the Czech Republic. Two hypotheses are stated in the beginning of this Master's thesis. These focus on fixed exchange rate regimes and foreign exchange reserves. The analytical part of Master's thesis tries to prove whether these hypotheses can be marked as valid or invalid.

The main subject of the thesis "The global financial crisis and its impact on the economy of Russia" is an investigation of the main course and causes of this financial crisis and an analysis of the impact of it on the economy of Russia from the perspective of the main macroeconomical indicators, social structure, real property market and funds market. Also some chapters of this thesis are devoted to the tasks for the leadership of this country for the purpose of stabilization of economy and prognosis of potencial further development of Russian economy in the coming years.

Esta pesquisa tem como objetivo analisar a mecânica dos processos políticos internos do Federal Reserve System e sua interação com o Departamento do Tesouro dos Estados Unidos no período entre o auge da crise financeira global no final de 2008 e o impasse sobre a elevação do teto da dívida pública em 2011. Foram analisados documentos oficias das duas instituições, bem como pronunciamentos de seus dirigentes. O estudo mostra que as estratégias desenhadas pelos formuladores de política monetária e fiscal complementaram-se durante a maior parte do período considerado, com a criação e implementação de variados instrumentos e programas de grande impacto. Nesse processo, o papel internacional do dólar foi reforçado. / This research aims at analyzing the mechanics of the internal political processes of the Federal Reserve System and its interaction with the U.S. Department of Treasury between the height of global financial crisis, late 2008, and the deadlock around the debt ceiling raise in 2011. To this end, the study was based on official documents issued by the two agencies and statements made by their representatives. The analysis indicates that the strategies designed by monetary and fiscal policymakers were complementary during most of the period in focus, through the creation and implementation of different policy tools and programs of great impact. In this process, the international role of the dollar was reinforced.

Made available in DSpace on 2015-12-03T18:35:15Z (GMT). No. of bitstreams: 1 Rossana_Ribeiro_Prado_Raffaelli.pdf: 2859921 bytes, checksum: 1a23025993958ccd3dd7a95672bcf94a (MD5) Previous issue date: 2010-08-30 / To test the market efficiency in its weak form allows demonstrating the predictability of the assets price, giving the possibility of extraordinary profits without risk, simply by analyzing the time series of the asset. In a situation of financial crisis the behavior of asset prices can be changed, since they are susceptible to human emotions. In 2008, there was a global crisis due to the U.S. financial market decline. This research test whether the crisis has changed the market efficiency, stock indices by some developed and developing countries, belonging to the continents: American, Asian and European in the period of January 1st 2007 to June 30th 2010. The objective is to test the market efficiency in pre and post-crisis. Being able to define the start of a financial crisis at any time when a situation is abnormal, dangerous and present marked impairment. Historically, the global crisis commencement was stipulated on September 15th 2008, for all indices showed a decline, but by analyzing the time series of indices, it was noted that this is not the date that the indices showed the biggest drop. This research finds three possible dates that could be considered the beginning of this crisis and tests the market efficiency for each. To this end, it was still necessary to treat the sub-period analysis for the third time found a way completely different from the previous two. The test used was the ratio of the variance described by Lo and MacKinlay (1988). The search result showed inefficiency of the market, demonstrating the predictability for most indexes. / Testar a efici??ncia de mercado na forma fraca possibilita evidenciar a previsibilidade dos pre??os dos ativos, proporcionando lucros extraordin??rios sem correr riscos, simplesmente analisando a s??rie temporal do ativo. Em uma situa????o de crise financeira o comportamento dos pre??os dos ativos pode ser alterado, j?? que estes s??o suscet??veis ??s emo????es humanas. Em2008, ocorreu a crise mundial em fun????o do decl??nio do mercado financeiro dos Estados Unidos. Esta pesquisa questiona se a crise alterou a efici??ncia de mercado dos ??ndices acion??rios de alguns pa??ses desenvolvidos e em desenvolvimento, pertencentes aos continentes: americano, asi??tico e europeu no per??odo de 01/01/2007 a 30/06/2010. O objetivo ?? testar a efici??ncia de mercado nos per??odos de pr?? e p??s-crise. Sendo poss??vel definir o in??cio de uma crise financeira a qualquer momento, quando uma situa????o demonstra ser anormal, perigosa e com acentuado preju??zo. Inicialmente, estipulou-se a data de in??cio de crise mundial em 15 de setembro de 2008, pois todos os ??ndices apresentaram queda; por??m ao analisar a s??rie hist??rica dos ??ndices, notou-se que esta n??o foi a data quando os ??ndices demonstraram a maior queda. Tr??s poss??veis datas foram encontradas, as quais podem ser consideradas de in??cio dessa crise e para cada uma delas, testou-se a efici??ncia de mercado. Para tanto, ainda foi necess??rio tratar os sub-per??odos de an??lise desta terceira data de forma completamente diferente das anteriores. O teste utilizado foi o de raz??o da vari??ncia descrito por Lo e MacKinlay (1988). O resultado da pesquisa apresentou inefici??ncia de mercado, evidenciando a previsibilidade para a maioria dos ??ndices.

Esta pesquisa tem como objetivo analisar a mecânica dos processos políticos internos do Federal Reserve System e sua interação com o Departamento do Tesouro dos Estados Unidos no período entre o auge da crise financeira global no final de 2008 e o impasse sobre a elevação do teto da dívida pública em 2011. Foram analisados documentos oficias das duas instituições, bem como pronunciamentos de seus dirigentes. O estudo mostra que as estratégias desenhadas pelos formuladores de política monetária e fiscal complementaram-se durante a maior parte do período considerado, com a criação e implementação de variados instrumentos e programas de grande impacto. Nesse processo, o papel internacional do dólar foi reforçado. / This research aims at analyzing the mechanics of the internal political processes of the Federal Reserve System and its interaction with the U.S. Department of Treasury between the height of global financial crisis, late 2008, and the deadlock around the debt ceiling raise in 2011. To this end, the study was based on official documents issued by the two agencies and statements made by their representatives. The analysis indicates that the strategies designed by monetary and fiscal policymakers were complementary during most of the period in focus, through the creation and implementation of different policy tools and programs of great impact. In this process, the international role of the dollar was reinforced.

During the 2000s U.S. mortgage borrowing experienced its most volatile cycle in the postwar record, with mortgage debt more than doubling between 2000 and 2008 before declining by more than 10% over the next five years. The consequences of the boom and bust for both borrowers and the wider macroeconomy were significant, with millions losing their homes to foreclosure or their jobs to the ensuing deleveraging-driven recession. Recent research has focused on variations in credit supply as a primary determinant of both the boom in mortgage borrowing and subsequent collapse, as well as the concurrent rise and fall of residential real estate prices and employment. In the wake of the Great Recession many have called for countercyclical policy intervention in the mortgage market, both to restrain over-leveraging during booms and to provide additional access to refinancing credit during busts. Moreover some analysis has placed the blame for the volatile U.S. credit cycle on the policies of Fannie Mae and Freddie Mac, the two largest government-sponsored enterprises, which have been labeled as excessively risky, actively destabilizing, and regressive. Nevertheless, though many have called for their reform these two agencies appear to be a continuing feature of the U.S. housing finance system and are currently well-positioned to implement countercyclical credit supply policies. In my dissertation I propose a novel countercyclical policy intervention by the government-sponsored enterprises and analyze its impact on mortgage borrowers.