This thesis presents three essays on the main determinants and regulations of international capital flows. The essays contribute to an ongoing significant debate among scholars and practitioners on what determines international capital flows by examining the following issues: Global liquidity, market sentiment and financial stability indices; Global liquidity and capital flow regulations; and Global governance and gross capital flows dynamics. In the first essay, we explore the main determinants of global liquidity, measured using cross-border claims of banks, and establish the link between a variety of financial stability indices and global liquidity. For a sample of 149 countries between 2000 and 2016, we find that Bloomberg Financial Stability Indices are more powerful in explaining global liquidity than FRED Financial Stress Indices and the Euro Area Systemic Stress Composite Indicator (CISS). Moreover, both market sentiment indices, namely the US Conference Board Leading Economic Index (LEI) and the US IBD/TIPP Economic Optimism Index are economically and statistically significant on cross-border bank flows. The research provides useful insights on what market sentiment and financial stability indices are better to employ for financial markets surveillance and as such practice of investment management. We argue that anyone interested in using financial stability indices as indicators of financial conditions and the level of financial stress would benefit from tracking several indices and not just one. The second essay examines the effectiveness of capital controls and macroprudential policies as ways to manage the volume of international capital flows, controlling for other determinants. The findings show that capital controls imposed on inflows generally prevail over controls imposed on outflows in reducing the magnitude of capital flows. The results are consistent with the pecking order theory on capital flows and are connected with the riskiness of different asset classes. For a sample of 112 countries over 2000 and 2016, we find that FX and/or countercyclical reserve (RR_REV) and general countercyclical capital buffer requirements (CTC), reserve requirement ratios (RR) and concentration limits (CONC) are the most effective macroprudential policies for managing countries' exposures to global liquidity fluctuations. Moreover, progress is being made to reduce the systemic risks created by systemically important financial institutions (SIFIs) using macroprudential policies. The results reflect recent developments in Basel III regulations and shed light on the effective calibration of capital flow regulations to country-specific circumstances. The final essay examines the link between global governance indicators and patterns of gross capital flows, controlling for other determinants. For a sample of 67 countries between 2000 and 2016, we contribute to explain the existence of the Lucas paradox (1990) on "why doesn't capital flow from rich to poor countries" and the Feldstein-Horioka puzzle (1980). The findings show that institutional quality rather than the effect of diminishing returns of capital is a key explanation for the Lucas paradox. Finally, we provide new evidence on the relationship between the multidimensional nature of financial development and gross capital flows. The findings show the importance and predominance of financial institutions versus financial markets in the dissemination of international capital flows across counties.

L’int´erˆet pour la liquidit´e mondiale s’est accru ces derni`eres ann´ees, motiv´e essentiellement parla complexit´e de ce concept et ces effets encore peu connus sur l’´economie, les march´es financierset les ´economies ´emergentes. Les travaux de cette th`ese visent `a contribuer `a cette litt´eratureen ´etudiant, dans un premier temps, les facteurs macro´economiques et financiers `a l’origine dela dynamique de la liquidit´e mondiale et de son allocation sur les diff´erents march´es du globe.Dans un second temps, quelques effets de l’´evolution de la liquidit´e mondiale sont analys´esen se focalisant sur les ´economies ´emergentes et les d´es´equilibres globaux. Nous montronstout d’abord que l’´etat de l’´economie r´eelle ainsi que celui des march´es financiers d´eterminentconsid´erablement l’´evolution de la liquidit´e mondiale avec des nuances selon qu’il s’agit d’unep´eriode de crise ou d’une p´eriode de croissance. Les autorit´es mon´etaires, et dans une grandemesure la R´eserve F´ed´erale am´ericaine, ont un rˆole tr`es important dans cette dynamique globaleet sa r´epartition dans le monde. Les pays ´emergents, receveurs de capitaux, sont impact´es parces flux qui affectent consid´erablement leur ´economie r´eelle. Toutefois, l’effet sur les march´esfinanciers dans ces pays reste limit´e, contrebalanc´e par les acquisitions d’actifs libell´es en devises´etrang`eres d´etenus par les investisseurs locaux. Quant aux d´es´equilibres globaux, la liquidit´emondiale pourrait ˆetre int´egr´ee aux indicateurs avanc´es permettant d’expliquer l’´evolution deces d´es´equilibres. L’int´erˆet pour la liquidit´e mondiale et son suivi sont donc tout `a fait justifi´es. / The interest in Global Liquidity has increased in recent years due essentially to the complexityof the concept and its less known effects on the real economy, the financial markets, and theemerging economies. This dissertation contributes to the Global Liquidity literature by studying,firstly, the macroeconomic and financial determinants, which drive global liquidity dynamicsand its allocation on different markets of the world. Secondly, some of global liquidity effects,focusing on emerging economies and global imbalances are analysed. The results of these worksprove that the state of real economy as well as those of financial markets impact dramaticallythe global liquidity dynamics depending on boom and bust periods. The monetary authorities,and to a greater extent the U.S. Federal Reserve, have a significant role in this global dynamicsand its global allocation. The real activity in emerging economies is significantly impacted bycapital inflows. However, the effects on financial markets are dampened by the offsetting effectsof assets purchased in foreign currencies from local investors. In regard to global imbalancesissues, global liquidity can be added to leading indicators, which help explaining the dynamicsof these imbalances. It is therefore, useful to track the dynamics of global liquidity.

Questa tesi presenta nuova evidenza empirica sulla relazione tra allocazione dei fattori di produzione e differenze di produttivita' tra paesi (primo capitolo) e tra imprese (secondo capitolo). Il primo capitolo analizza la questione degli scarsi movimenti di capitale tra paesi ricchi e paesi poveri (Lucas' paradox). Una calibrazione del modello neoclassico applicata a nuovi dati mostra come, una volta tenuto conto delle differenze nello stock di capitale umano e nella remunerazione del fattore capitale, i rendimenti da capitale fisico sono molti simili tra paesi ricchi e paesi poveri. Il secondo capitolo studia la relazione tra l'allocazione dei fattori fra imprese e la produttivita' totale dei fattori (TFP). Applicando il modello di Hsieh e Klenow (2009) a dati di imprese manifatturiere di Cile e Messico negli anni '80, si nota una minore presenza di distorsioni nell'allocazione dei fattori in Cile. Questa piu' efficiente allocazione dei fattori di produzione tra imprese potrebbe aiutare a capire perche' l'economia cilena, diversamente da quella messicana, recupero' velocemente dopo la crisi dei primi anni '80. / This Thesis provides new empirical evidence on the relationship between the allocation of factors of production and differences in productivity across countries (first chapter) and across firms (second chapter). In the first chapter I address the issue of small capital flows between rich and poor countries (the so-called Lucas' paradox) observed in data. Applying a calibration approach to new data I show that, taking into account differences in human capital and in the capital share on output, returns to physical capital in rich and poor countries are fairly close. In the second chapter I investigate the relationship between the allocation of factors across firms within a country and TFP. Applying the model proposed by Hsieh and Klenow (2009) to firm level data of Chile and Mexico during 1980s I find that there are less distortions operating on average in the Chilean manufacturing sector with respect to the Mexican one. I argue that the more efficient allocation of factors across firms could help explain why Chile recovered rapidly while Mexico stagnated after the crisis of the early 1980s.

With the internationalization of financial markets, short-term capital flows to emerging market economies have become an important phenomenon in the world. The papers in this dissertation are concerned with investigating the effects of such flows in the receiving countries. The analysis is cast in a dynamic general equilibrium framework for small open economies. Two of the papers are quantitative investigations of the forces at work in small and relatively poor economies that liberalize trade and capital flows. The common approach of these papers is that of a computational experiment: calibrated simulations constitute a test of whether the models can explain certain dynamics which we observe in the data. The first paper investigates whether a calibrated two-sector neoclassical growth model can explain the magnitudes and the timing of capital flows in the Baltic countries after the fall of the Soviet Union. The results indicate that it can, and that the large and persistent trade deficits which we observe in the data need not be a reason to worry. However, the model also tells us that a reversal of capital flows and large sectoral adjustments lie ahead of the Baltic countries. In the second paper, the focus is on modelling the observed co-movement between consumption and the real exchange rate in Spain, which experienced large capital inflows following the entry into the European Community in 1986. In accordance with episodes of trade liberalization elsewhere, consumption in Spain boomed and the real exchange rate appreciated for several years after 1986. Standard two-sector models with traded and non-traded goods have problems accounting for these facts. The paper explores some mechanisms that can improve the standard modelling framework, and evaluates their quantitative importance in calibrated simulations for Spain. The third paper studies the government’s optimal bailout policy in an environment where sudden stops of capital flows cause financial crises in a small open economy. Real world events, such as the financial crises in the South East Asian countries in 1997, motivate the analysis. Compared to the previous essays, the paper is different in its nature in that it develops a highly stylized environment to analytically study the government’s optimal bailout policy. The paper shows that the government should optimally commit to a policy that only partially protects private debtors against inefficient liquidation. / Diss. Stockholm : Handelshögsk., 2004

Money is a public good. The regulation of its creation, supply and distribution is of national and international interest. Monetary stability is an important regulatory goal conducted through an interaction of economic, political, religious factors as well as legislative action. The state plays an intermediary role, bridging domestic interests and international interests. Increasing interdependence between national economic systems and international obligations sometimes leads to the manipulation of systems as well as currency wars. Regulation is done through co-operative international action since domestic regulators are no longer sufficiently equipped to do so. Resultantly, there is an emergence of new structural paradigms to deal with it. Meanwhile, states still enjoy certain residual competences of sovereignty. Numerous legal factors act as constraints on sovereignty with far reaching implications on states’ regulatory space. In light of the divergence of regulatory objectives, there is an apparent need to balance municipal with international interests on the regulation of the monetary system. / Mercantile Law / LL. M.

La mondialisation financière des dernières décennies témoigne du phénomène du déséquilibre mondial dans lequel les comptes déficitaires actuels de certaines grandes économies avancées sont continuellement financés par certains pays en développement avec des taux de croissance élevés et des stocks de capitaux rares. Sur le plan théorique, le modèle de croissance néoclassique implique qu’une économie avec une pénurie de capitaux aurait un produit marginal élevé de capital et un taux d’intérêt élevé d’autarcie. Par conséquent, lors de l’intégration avec la capitale mobile gratuite, ce pays éprouverait les entrées nettes de capitaux nets afin que le taux d’intérêt domestique soit égal au reste du taux mondial (Lucas 1990). De plus, une économie qui se développe plus rapidement que le reste du monde aurait également une demande d’investissement plus élevée et devrait connaître les entrées de capitaux totaux nets (Gourinchas and Jeanne 2013). Les déséquilibres mondiaux sont le résultat de l’hétérogénéité des tendances de l’épargne et des investissements dans tous les pays. En effet, un pays connaît un apport de capitaux si son économie est inférieure à son investissement : ce pays emprunte au reste du monde si sa sauvegarde est supérieure à son investissement. La thèse emploierait la croissance de la productivité pour afficher les sources de lumière sur cette hétérogénéité entre les pays. [...] / The financial globalization for the past decades witnesses the global imbalance phenomenon on which the deficit current accounts by some large advanced economics are continuously financed by some developing economies with the high output growth rates and the scarce capital stocks. On the theoretical ground, the Neo-Classical growth model implies that one economy with scarcity of capital would have a high marginal product of capital and a high autarky interest rate therefore, at the integration with the free mobile capital, that country would experience the net total capital inflows so that the domestic interest rate equals that to the rest of world’s rate (Lucas 1990). Furthermore, one economy growing faster than the rest of the world would also have a higher investment demand and should experience the inflows of net total capitals (Gourinchas and Jeanne 2015). The global imbalances are the result of the heterogeneity in the patterns of savings and investments across countries. Indeed, one country experiences an inflow of capital if its saving is less that its investment: that country borrows from the rest of the world to finance the excess investment demand. Similarly, one country would lend to the rest of the world if its saving is higher than its investment. The thesis would employ the productivity growth to shed the refresh lights on this heterogeneity across countries. [...]

CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Com o avanço dos processos de desregulamentação financeira, liberalização externa e, expansão das inovações financeiras, principalmente a partir das décadas de 1980 e 1990, num sistema monetário e financeiro hierarquizado, é visto que o montante de capitais circulantes no globo aumentou sobremaneira, buscando, a partir de então, outros destinos que não apenas aqueles vinculados aos países acima da linha do equador. A consequência desse movimento foi a enxurrada de capitais para os países periféricos, aproveitando-os dos novos mercados e das elevadas taxas de juros, em que estes fluxos financeiros estarão mais ligados a fatores extranacionais (ciclos de liquidez, taxa de juros norte-americana) do que propriamente aos fundamentos macroeconômicos daqueles países. Assim, uma vez que parte dos Investimentos Diretos é composto por mera compra de ações, a hipótese do trabalho é que sua dinâmica não foge deste movimento e que parte dos seus fluxos tem caráter semelhante ao encontrado nos Investimentos em Carteira, por serem fluxos altamente voláteis e especulativos. O objetivo da dissertação é estudar, através de uma perspectiva pós-keynesiana, como se dá a dinâmica dos fluxos de capitais para o Brasil, com foco nas rubricas Investimento Direto e Investimento em Carteira passivos. O estudo desenvolve-se a partir de análises histórica, gráfica e econométrica (modelos VAR/VEC e ARCH/GARCH), e os resultados apontam que os Investimentos Diretos no País (Participação no Capital) possuem volatilidade e dinâmica parecidas com a das rubricas dos Investimentos em Carteira Passivos (Ações e Títulos de Renda Fixa, negociados no país), com relação próxima aos movimentos do índice VIX e da rubrica Ações Negociadas no País. A constatação é que primordialmente após a crise do subprime, e dos seus desdobramentos, os Investimentos Diretos no País (Participação no Capital) passaram a apresentar de forma mais clara (também) esta característica, seja ela: fluxos voláteis, curto-prazistas e especulativos. / With the advancement of financial deregulation, external liberalization and expansion of financial innovations, especially since the 1980s and 1990s, in a hierarchical monetary and financial system, It is perceived that the amount of capital circulating on the globe has increased enormously, and looking for destinations other than those linked to countries above the equator. The consequence of this movement was the flow of capital to the peripheral countries, taking advantage of the new markets and the high interest rates, in which these financial flows will be more associated to extranational factors (liquidity cycles, US interest rates) than the macroeconomic fundamentals of those countries. Thus, since part of the Direct Investments consists of mere stock purchase, the hypothesis of the work is that its dynamics does not escape this movement and that part of its flows has a similar character to that found in Portfolio Investments, since they are highly volatile flows and speculative. The objective of this dissertation is understand, through a post-Keynesian perspective, how the dynamics of capital flows to Brazil, focusing on the items Direct Investment and Portfolio Investment passive. The study is based on historical, graphical and econometric analysis (VAR/VEC and ARCH/GARCH models), and concludes that Direct Investments in the Country (Equity Interest) have volatility and dynamics similar to those of Portfolio Investments Liabilities (Debt Securities and Investments Fund Shares, traded in the country), with behavior close to the movements of the VIX index and the Stock Traded Securities in the Country. The main finding is that, after the subprime crisis, and its unfolding, Direct Investments in the Country (equity participation) started to presente, more clearly, (also) this characteristic, which is: volatile, short-term logic and speculative flows. / Dissertação (Mestrado)

This diploma thesis aims to give a comprehensive picture of a phenomenon called The Dutch Disease whose symptoms had been increasing in many countries during the second half of the 20th century, especially in connection with mining. The first part deals with the detailed description of traditional economic theory and its later upgrades. In the second part, the Dutch Disease theory is applied to the member countries of the European Monetary Union and highlights the problems of asymmetric shocks, which may include among others the discovery of mineral resources. The third part then attempts to look at the recent European balance of payments crisis through the eyes of the Dutch Disease theory and to highlight a number of common symptoms.

Cette thèse tente d’analyser qualitativement et quantitativement les impacts, parfois déstabilisateurs, de l’excès de liquidité mondiale sur les prix des actifs des marchés émergents. Cet excès de liquidité mondiale s’est notamment matérialisé par un essor des investissements de portefeuille vers les marchés émergents, essor dont l’étude est devenue un thème central que ce soit pour les décideurs politiques ou pour l’industrie de la gestion d’actifs. A ce titre, nous nous proposons de contourner les faiblesses des données de la Balance des Paiements en construisant un indicateur non-retardé et à haute fréquence des flux de portefeuille, et ce, grâce aux données EPFR. La dynamique de recherche de rendement induite par la mise en place de politiques monétaires non conventionnelles par les principales banques centrales des marchés développés a eu pour effet une forte inflation des prix des actifs, au premier rang desquels figurent les marchés d’actions émergents, marchés sur lesquels de potentielles bulles ont pu faire leur apparition dans la période qualifiée de « Nouvelle Normale ». / This thesis aims to qualitatively and quantitatively analyse the sometimes destabilising impacts of global excess liquidity on emerging markets asset prices. This global excess liquidity has particularly manifested in a rise in portfolio capital flows towards emerging markets. The study of this rise has become a central topic both for policymakers and asset managers. As such, we propose to circumvent the Balance of Payments weaknesses by building a non-lagging and high frequency indicator of portfolio capital flows using the data provided by EPFR. The search for yield trend caused by the unconventional monetary policies undertaken by the main developed markets central banks has caused significant inflation in asset prices, most prominently in emerging equity markets, where potential bubbles have appeared during the so-called “New Normal” period.

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