Au début des années 2000, les pays africains se sont engagés dans des projets d'unions monétaires régionales dans le but de créer une monnaie unique pour tout le continent à l'horizon 2028. L'objectif de cette thèse est d'analyser le bien-fondé d'une telle stratégie, à partir notamment des enseignements qui peuvent être tirés de l'expérience des pays de la zone CFA. Plus précisément, nous analysons les conséquences du choix de ces pays consistant à ancrer leurs monnaies communes à une monnaie extérieure et nous cherchons à savoir s'il est souhaitable ou pas de transposer l'expérience de ces pays à d'autres régions en Afrique.Dans une première partie, nous revisitons les critères d'optimalité des zones CFA et ZMAO en nous intéressant à la dynamique des taux de change réels. Nous mettons en évidence des similarités intéressantes entre les pays de l'UEMOA, le Ghana, la Gambie et la Sierra Léone d'une part et entre le Nigéria et la CEMAC d'autre part, indiquant que ces deux groupes de pays pourraient chacun partager une monnaie commune. Nous suggérons également que les critères d'optimalité de la théorie des zones monétaires optimales ne sont pas forcément pertinents. Ainsi, nous montrons, qu'à défaut d'être optimale, la zone CFA, en facilitant les équilibres interne et externe comparativement à d'autres pays d'Afrique Sub-saharienne (ASS), est une zone monétaire soutenable.Dans une seconde partie, nous nous intéressons aux implications économiques du régime de change des pays de la zone CFA qui s'apparente à ce que nous avons appelé un « double ancrage » (c'est-à-dire appartenance à une union monétaire et ancrage de la monnaie commune). Nous montrons que l'appréciation réelle du franc CFA au cours de la dernière décennie s'explique par l'ancrage à un euro qui s'est continuellement apprécié depuis 2001. Elle a conduit à réduire les gains de compétitivité réalisés à la suite de la dévaluation de 1994 et à accroitre les effets négatifs de l'appréciation du taux de change sur la croissance de ces pays. Enfin, en analysant les différences de performances économiques entre les différents régimes de change en vigueur dans l'ASS, nous avançons l'idée selon laquelle un régime d'union monétaire sans ancrage à une monnaie externe pourrait être une meilleure option pour ces pays. / Since the early 2000s, African countries are engaged in regional monetary unions' projects in order to create a single currency for this continent in 2028. The aim of this PhD thesis is to analyze the relevance of such a strategy upon the lessons learned from the experience of the CFA zone countries. Specifically, we analyze the consequences of the choice of those countries to anchor their common currencies to a foreign currency and we look to see whether it is desirable or not to replicate the experience of the CFA zone in other African regions.In a first part, we revisit the arguments about optimum currency areas of the CFA and the WAMZ zones, by studying real exchange rate dynamics. We find interesting similarities between WAEMU and Ghana, Gambia and Sierra Leone as well as between Nigeria and CAEMC, indicating that each of these groups of countries could share its common currency. We also argue that the arguments about optimum currency areas have proved to be less than relevant. Thus we show that, if not optimal, the CFA zone, by facilitating internal and external balances compared to other countries in Sub-Saharan Africa (SSA), is a sustainable monetary area.In a second part, we focus on the economic implications of the exchange rate regime of the CFA countries which consists in what we have called a "double anchoring" (i.e. a monetary union in which the common currency is anchored to a foreign one). We show that the real appreciation of the CFA franc, in the last decade, is due to its peg to the euro that has continuously appreciated since 2001. This appreciation has led to reduced competitiveness gains achieved with the 1994 devaluation and to increase the negative effects of exchange rate's appreciation on economic growth. Finally, analyzing the differences in economic performances between the exchange rate regimes adopted in SSA, we suggest that a monetary union without an external anchor currency could be a better regime for these countries.

The political economy of the exchange rate explains different approaches within the integration process of the European monetary union. The changing character of exchange rate pass-through into the foreign trade prices changes not only the international economy paradigm, but also the attitude to the exchange rate political economy. The study solves the incentives to the different exchange rate arrangement choice during the transformation and integration period in the Central and East European countries. It follows with the analysis of the industry structure in these economies. It discusses the existence of its direct and indirect channel of influencing the exchange rate politics. Article solves the hypothesis of interest group formation in regard to the exchange rate policy (the euro adoption) and the intergovernmental bargaining as well as the bargaining within the economy. The industry analysis results confirm the set hypothesis, in which the heterogenity of industry structure explains the heterogeneous approach to the exchange rate politics during the transformation process in monitored economies. The redistributive change of Hungarian exchange rate policy is discussed in connection with the change of subsidies flow within the political cycle. We discuss the impact of current account adjustment on the tradable and nontradable sector in member countries of currency union -- Euro zone. The current account adjustment associated with the adjustment of the net export's deficit caused by the drop in the domestic absorption evokes the increase in the relative price of the nontradable sector. The paper discusses this hypothesis within framework of the Portuguese current account adjustment, which is the result of European financial integration in catching-up countries. The common monetary policy and common currency cannot offset the negative impact of nontradable price increase within the internal expenditure switching effect and also can not support exporters within the external expenditure effect.. The Portuguese current account adjustment was not followed by the currency depreciation and the tradable price increase. The cost of the currency asymmetric response were born by the tradable mark-up decrease, the falling decrease in nontradable wages and employment and finally by the nontradable mark-up and employment decrease.

Made available in DSpace on 2016-04-26T20:48:54Z (GMT). No. of bitstreams: 1 James Hiroshi Habe.pdf: 273240 bytes, checksum: 03be8572f00ddd04542e1cc1675edede (MD5) Previous issue date: 2009-04-27 / Price stability brought to the Brazilian economy a new reality. What was the relationship between price and exchange rate necessary to achieve the new scenario? The exchange rate anchor was the instrument used to reach the price stability. In 1995 managed exchanged rates biased the prices. In 1999 the regime of exchange rate anchor changed to inflation target. The modification in regimes could have altered the relationship between exchange rates and prices. Econometric tests, using monthly exchange rate data, provided evidence of a connection among exchange rates and prices. From 1999 forward, the relations among consumer prices (IPCA) happen through wholesale prices (IPA). The separation of the IPCA in two groups allowed the verification of major influence in monitored prices then in market prices, increasing the IPCA and affecting the monetary policy decision / A estabilidade nos preços trouxe um novo cenário a economia brasileira e qual foi a relação entre preços e câmbio para atingir a estabilidade? A âncora cambial foi o instrumento para a estabilidade nos preços. A adoção do regime de câmbio administrado, em 1995, manteve os preços atrelados ao câmbio. Em 1999, houve a mudança da âncora cambial para as metas de inflação. A mudança de regime cambial poderia ter alterado a relação entre câmbio e preços no atacado e ao consumidor. Os testes econométricos, utilizando dados de variação cambial mensal, comprovaram a existência da relação entre câmbio e os preços. E, a partir de 1999, a relação existente entre os preços ao consumidor (IPCA) ocorreu através dos preços no atacado (IPA). A separação do IPCA em dois grupos permitiu verificar uma maior influência cambial sobre os preços monitorados do que os preços livres, elevando o valor do IPCA e afetando a decisão da política monetária

本文研究為經營績效與匯率波動之關聯性，以我國30家民營銀行各別加入日本匯率與美國匯率對銀行經營績效之影響進行分析研究，而匯率變動儼然是當前備受關注之重要議題，無論在我國金融機構或進出口廠商之銀行經營績效存在不確定性，因此，本文之探討動機以我國銀行為主體，觀察銀行之經營績效，受到匯率波動之影響。則應變數為資產報酬率，自變數為資本適足率、逾放比率、存放比率與匯率，則探討時期分成三階段，(1)2005年第四季至2013第四季整體期間經歷過金融海嘯；(2)2005第四季至2007年第四季前期期間未經歷過金融海嘯；(3)2009年第一季至2013年第四季後期期間經歷過金融海嘯後。使用Panel Data進行實證分析。如下分析三階段: (1)在整體期間經歷過金融海嘯，各別加入匯率，日本匯率與美國匯率都為負向不顯著，資本適足率與存放比率對是否有加入匯率關係都為正向顯著性，逾放比率為負向顯著性。 (2)在前期期間未經歷過金融海嘯，各別加入匯率，日本匯率為正向不顯著；美國匯率為正向顯著性，資本適足率與存放比率對是否有加入匯率關係都為正向顯著性，逾放比率為負向顯著性。 (3)在後期期間經歷過金融海嘯後，各別加入匯率，日本匯率為負向不顯著；美國匯率為負向顯著性，資本適足率與存放比率對是否有加入匯率關係都為正向顯著性，逾放比率為負向顯著性。 / In this paper, we research for the connection of the operating performance and the relevance of exchange rate fluctuations. The influence of 30 private Banks in own country individually join the Japan and U.S exchange rate is on bank performance are studied, and the exchange rate changes obviously is the important issue that was concerned currently, no matter own country financial institution or import and export companies pair banks operating uncertainty existence, therefore, this text investigate motivation in order to own country banks as the mainstay, observe banks operating performance, by the influence of exchange rate fluctuation .Strain numbers is ROA, and the independent variable is BIS , NPL Ratio, Deposit Loan Ratio and exchange rate, explores period be divided into three stages,(1) During 2005 in the fourth quarter to 2013 in the fourth quarter whole period experience financial tsunami;(2) During 2005 in the fourth quarter to 2007 in the fourth quarter prophase period not experience financial tsunami;(3) During 2009 in the first quarter to 2013 in the fourth quarter late period experience financial tsunami, using panel data do empirical analysis. As follow analysis three stages: (1).During the whole period experienced a financial tsunami, individually joined the exchange rates, Japan exchange rate and U.S exchange rate is positive not significant. BIS and Deposit Loan Ratio whether to join the exchange rates relation are positive significant, and NPL is negative significant. (2).During prophase period not experience financial tsunami, individually joined the exchange rates, Japan exchange rate is positive not significant; the U.S exchange rate is positive significant, BIS and Deposit Loan Ratio whether to join the exchange rates relation are positive significant, and NPL is negative significant. (3).During the late period experience financial tsunami, individually joined the exchange rates, Japan exchange rate is negative no significant; the U.S is negative significant. BIS and Deposit Loan Ratio whether to join the exchange rates relation are positive significant, and NPL is negative significant. / 摘要……… I Abstract………… II 致謝…… III 目錄……….. IV 圖次…… V 表次 VI 第一章緒論 1 第一節研究背景與動機 1 第二節研究目的 2 第三節研究架構 4 第二章文獻回顧 5 第一節國內文獻 5 第二節國外文獻 8 第三節國內文獻敘述結論 10 第三章研究方法 13 第一節研究架構 13 第二節研究變數定義 13 第三節 OLS模型 15 第四節 Panel Data模型 15 第五節固定效果和隨機效果的判斷準則-Hausman Test 19 第四章實證結果 22 第一節敘述統計 22 第二節銀行現況 25 第三節研究模型 38 第五章結論與建議 54 第一節結論 54 第二節建議 55 參考文獻…. 56 圖次 圖1-1研究流程圖 4 圖4-1:我國銀行ROE與ROA 25 圖4-2:各國比較ROA 26 圖4-3:我國銀行之逾放比率 26 圖4-4:我國銀行之逾放比率家數 27 圖4-5:各國銀行業逾放比率之比較 27 圖4-6:我國銀行之資本適足率 28 圖4-7:各國銀行資本適足率比較 28 圖4-8:我國銀行調整後資本適足率之家數 29 圖4-9:我國銀行存放款比率 29 圖4-10:我國銀行之逾放比率 30 圖4-11:我國銀行逾放比率之家數 30 圖4-12:各國銀行業逾放比率比較 31 圖4-13:我國銀行存放款比率 31 圖4-14:我國銀行ROE與ROA 32 圖4-15:各國銀行ROA比較 32 圖4-16:我國銀行之資本適足率 33 圖4-17:各國銀行之資本足率比較 33 圖4-18:我國銀行逾放比率與資金 34 圖4-19:各國之逾放比率比較 34 圖4-20:我國銀行存放款比率 35 圖4-21:我國銀行ROE與ROA 35 圖4-22:各國銀行業ROA之比較 36 圖4-23:我國銀行資本適足率 36 圖4-24:各國銀行業之資本比率比較 37 表次 表1-1中文文獻匯整 10 表1-2國外文獻敘述結論 12 表4-1整體敘述統計結果 2005~2013 23 表4-2前期敘述統計結果2005~2007 24 表4-3後期敘述統計結果2009~2013 24 表4-4本研究銀行列表 37 表4-5整體實證研究結果 39 表4-5-1採用固定變動效果進行分析 39 表4-5-2採用固定變動效果進行分析 40 表4-5-3採用固定變動效果進行分析 40 表4-5-4採用固定變動效果進行分析 41 表4-5-5採用固定變動效果進行分析 41 表4-5-6採用固定變動效果進行分析 42 表4-5-7以總資產報酬率(ROA)為被解釋變數之迴歸模型(未加入匯率) 44 表4-5-8以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(加入日本匯率) 44 表4-5-9以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(加入美國匯率) 44 表4-6為研究前期實證分析結果 45 表4-6-1採用隨機變動效果進行分析 46 表4-6-2採用隨機變動效果進行分析 46 表4-6-3採用隨機變動效果進行分析 47 表4-6-4以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(未加入匯率) 48 表4-6-5以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(加入日本匯率) 48 表4-6-6以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(加入美國匯率) 48 表4-7為研究後期實證分析結果 49 表4-7-1採用固定變動效果進行分析 50 表4-7-2採用隨機變動效果進行分析 51 表4-7-3採用隨機變動效果進行分析 51 表4-7-4以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(未加入匯率) 52 表4-7-5以總資產報酬率 (ROA) 為被解釋變數之迴歸模型(加入日本匯率) 52 表4-7-6以總資產報酬率(ROA)為被解釋變數之迴歸模型(加入美國匯率) 52

Thesis (Doctoral)--Vallendar, WHU - Otto Beisheim School of Management, 2008. / Includes bibliographical references (p. [93]-97).

Made available in DSpace on 2010-04-20T21:00:52Z (GMT). No. of bitstreams: 4 Danilo Guedini Serafini.pdf.jpg: 18107 bytes, checksum: 231e5e7ff6639cb9bf07e0da602960e8 (MD5) Danilo Guedini Serafini.pdf.txt: 74258 bytes, checksum: 3c27d068713a82b88abc4fad5ea7853e (MD5) Danilo Guedini Serafini.pdf: 244599 bytes, checksum: 7501654f37b05a5ae9f560a669e40252 (MD5) license.txt: 4886 bytes, checksum: 8887497480d44841931640a6c72a3fc0 (MD5) Previous issue date: 2009-02-16T00:00:00Z / Este trabalho examina o impacto da utilização de derivativos de moedas no valor de mercado da firma, a partir de uma amostra de 48 empresas não-financeiras listadas na Bolsa de Valores de São Paulo no período de 1999 a 2007. Utilizando o índice Q de Tobin como aproximação do valor da firma, o modelo é regredido em três metodologias: pooled OLS, modelo de efeito fixo e modelo de efeito aleatório. Além disso, é testada a causalidade reversa e a causalidade direta entre o uso de derivativos cambiais e o valor de mercado da firma. Os resultados empíricos encontrados sugerem que não há clara evidência que o uso de derivativos de moedas está associado ao valor de mercado da firma. / The purpose of this paper is to examine the impact of the use of currency derivatives in the market capitalization of the companies, from a sample of 48 non financial companies listed on the São Paulo Stock Exchange from 1999 to 2007 time period. Using Tobin’s Q ratio as a proxy for the companies’ values, the model is estimated following three different methodologies: pooled OLS, fixed effect model and random walk model. Furthermore, the direct and reverse causality of the use of currency derivatives and the firm market capitalization is tested. Empirical results found suggest that there is no clear evidence that the use of currency derivatives is associated with firm market value.

L’objectif de la thèse est d’étudier le lien entre le prix du pétrole et les performances macroéconomiques dans les pays exportateurs de pétrole. En adoptant une perspective d’économétrie appliquée, nous recourons à plusieurs techniques récentes de l’économétrie des données de panel. Pour cela trois thèmes sont envisagés. Nous identifions d’abord les fondamentaux de la croissance économique dans ces pays exportateurs de pétrole. En tenant compte du caractère dynamique de la croissance, nos résultats mettent en avant le rôle clé de la rente pétrolière dans l’explication de la croissance économique de ces pays. L’étude des interactions met en évidence qu’à court terme, un choc pétrolier positif améliore le compte courant et bénéficie à la croissance économique mais entraîne aussi une appréciation du taux de change dans les pays exportateurs de pétrole. Pour ce qui concerne les interactions hors prix du pétrole, celles-ci sont limitées. Nous montrons ensuite que les fondamentaux du taux de change effectif réel des pays exportateurs de pétrole reposent principalement sur les termes de l’échange, la productivité relative et les dépenses publiques. L’examen des mésalignements de change montre l’existence d’une forte hétérogénéité entre les pays étudiés. Nous montrons que le régime de change fixe est plus approprié pour diminuer l’ampleur des mésalignements dans les pays exportateurs de pétrole. / The aim of the thesis is to study the link between oil prices and macroeconomic performances in oil exporting countries. Adopting an applied econometrics approach, we use recent techniques of panel data econometrics. For this, three themes are envisaged. We identify first the main determinants of economic growth of these countries. Considering the dynamic nature of growth, our results highlight the key role of the oil rent in explaining economic growth in these countries. The study of macroeconomic interactions highlights that, in the short term, a positive oil price shock improves the current account and boosts economic growth but also leads to an appreciation of the exchange rate in oil exporting countries. Regarding the interaction between macroeconomic variables excluding oil prices, we find that they are relatively weak. We then show that the fundamentals of the real effective exchange rates in oil exporting countries are mainly the terms of trade, the relative productivity and government expenditures. The study of exchange rate misalignments shows the existence of a strong heterogeneity among the countries studied. However, our investigations highlight the key role of exchange rate regimes in explaining the magnitude of these exchange rates misalignments. In particular, we show that the fixed exchange rate regime is more appropriate to reduce the magnitude of the exchange rate misalignments in oil-exporting countries.

Submitted by Rodrigo de Almeida Lorenzo (rodrigoalorenzo@yahoo.com.br) on 2018-08-28T11:41:08Z No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-08-28T13:35:22Z (GMT) No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-08-28T14:44:12Z (GMT) No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) / Made available in DSpace on 2018-08-28T14:44:12Z (GMT). No. of bitstreams: 1 Rodrigo_Lorenzo_Dissertacao.pdf: 463812 bytes, checksum: 011430b7b5342c9d67982e478a1edc31 (MD5) Previous issue date: 2018-07-31 / Este artigo procura verificar se o período de incriminação e a prisão do ex-presidente do Brasil Luiz Inácio Lula da Silva (Lula) afetaram a evolução diária do Real frente ao Dólar americano (USD/BRL). Constitui a base de dados a taxa de câmbio Real contra Dólar americano, a taxa de câmbio de uma cesta de moedas de países desenvolvidos contra o Dólar (DXY) e uma cesta de moedas das economias em desenvolvimento contra o Dólar (EMB). Todas as informações foram obtidas por meio do terminal Bloomberg e enquadram-se o período entre 01 de dezembro de 2015 e 30 de abril de 2018. Além destes dados, foram analisadas todas as datas em que Lula se tornou réu por acusações dos crimes de lavagem de dinheiro, falsidade ideológica e ocultação de patrimônio. Verificou-se que o ex-presidente tornou-se réu em sete ações penais, foi condenado em primeira instância, em 12 de julho de 2017, condenado em segunda instância meses depois e teve seus recursos e habeas corpus negados pelas devidas instâncias da justiça federal do Brasil. Foram utilizados os modelos econométricos ARCH e GARCH a fim de verificar a volatilidade da taxa de câmbio USD/BRL devido aos impactos destas notícias. Os resultados indicam que, nas datas em que ocorreram as decisões da justiça, houve uma maior apreciação do Real frente ao Dólar Americano, em média de 0,43%. Adicionalmente, verificou-se, também empiricamente, que neste período não houve efeito na volatilidade dos mercados. Apesar do coeficiente γ ser positivo, não se pode dizer que ele é estatisticamente diferente de zero. / Literature devoted to explore if the period of incrimination and the arrest of the former President of Brazil Luiz Inacio Lula da Silva affected the daily evolution of the Real against the US dollar (USD/BRL). USD/BRL, the exchange rate of a basket of currencies of developed countries against the dollar (DXY) and a basket of currencies of the developing economies against the dollar (EMB) were used. All information was extracted from a Bloomberg terminal and considers the period between December 1, 2015 and April 30, 2018. In addition to these data, we investigated all the dates in which Lula became guilty on charges of money laundering, ideological falsehood and concealment of property. We verified that the former president was guilty in seven criminal actions, he was convicted in the first instance on July 12, 2017, convicted in second instance months later and had his appeals and habeas corpus denied by the appropriate instances of the Brazilian federal court. We used the ARCH and GARCH econometric models to verify the volatility of the USD/BRL exchange rate due to the impacts of these news. The results indicate that, on the dates that the judicial decisions occurred, Brazilian Real increased value against the US Dollar, on average 0.43%. In addition, it was also empirically verified that during this period there was no effect on market volatility. Although the coefficient γ is positive, it cannot be said that it is statistically different from zero.

In context of czech membership in the Europen Union we always discuss the question if the acceptance of the euro as official currency is for our country and czech companies beneficial or not. The aim of this thesis is to describe microeconomic benefits of join the euro for company TECHO, a.s. that I have been working for over two years. TECHO, a.s. is an important provider of comprehensive services for the furnishing of commercial interiors in the Czech republic and its products are available on three continents -- Europe, Asia and Africa. Because of this fact is the question of acceptance or non-acceptance of the euro for this company very important and actual. The method of research is the analysis of exchange rates that I apply on economic results of the firm for years 2005-2009. The analysis should answer the question if the acceptance of the euro is for the firm TECHO, a.s. profitable or not.

The main aim of this thesis is to evaluate both short term and long term impact of foreign exchange interventions, which were initiated by Czech central bank in November 2015, on the Czech economy. The first part of the text deals with theoretical aspects of the thesis, especially with the role of central bank and exchange rate, and with the historical development of both the monetary policy in the Czech Republic and Czech crown. Second part of the work investigates the causes that have led to the initiation of intervention régime and tries to clarify whether the triggering was truly justified. The main part of the thesis deals with the launch of interventions itself and also with the short term and longterm impacts on macroeconomic indicators. The end of the work is dedicated to a discussion of intervention regime exit, both to the time aspect and possible scenarios.