Made available in DSpace on 2014-06-11T19:24:17Z (GMT). No. of bitstreams: 0 Previous issue date: 2009-10-23Bitstream added on 2014-06-13T19:30:57Z : No. of bitstreams: 1 caetite_an_me_arafcl.pdf: 1252633 bytes, checksum: 194f2f4deb25bdb917728eeb4f75dad4 (MD5) / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Esta dissertação apresenta uma análise, a partir de uma ótica pós-keynesiana, da trajetória do volume total de crédito e de títulos para o financiamento empresarial e, mais especificamente, para os macro-setores indústria, comércio e serviços, no Brasil, entre os anos 1996-2007. Esse período é dividido em dois (1996-2003 e 2004-2007) sendo o primeiro caracterizado pela estabilidade do volume e fluxo desses recursos e o último pela evolução consistente dos mesmos. / This thesis analyses, through a post-keynesian perspective, the trajectory of the total volume of credit and bonds to finance business and, more specifically, for the industrial macro-sectors, commerce and service, in Brazil, between 1996-2007. The period is two folded (1996-2003 and 2004-2007), being the former characterized by the volume and flow of those resources and the later through its consistent evolution.

In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect. / In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect.

[pt] Em 2003, o Congresso Nacional aprovou uma lei regulamentando o crédito consignado, o que causou um grande impacto no crédito a pessoas físicas. No capítulo 1, forneço evidências que o crédito consignado teve um efeito pequeno, mas não desprezível, nas escolhas ocupacionais. Em particular, eu encontro evidências que o crédito consignado está associado positivamente com escolhas ocupacionais com características de empreendedorismo. Esse efeito é mais forte em indivíduos que estão numa faixa etária onde dificilmente será um aposentado e residem em famílias com aposentados e pensionistas, o que sugere a existência de mecanismos de transferência intra-familiares. No Capítulo 2, eu apresento evidências de que o crédito consignado tem um efeito pequeno, mas não desprezível, nos indicadores de saúde dos idosos. Em particular, o crédito consignado está: 1) negativamente associado com as taxas de mortalidade nas faixas etárias de 60 a 69 anos e 70 a 79 anos. 2) negativamente associado com indices de dificuldades físicas. Esse efeito é maior em famílias com menor renda. 3) positivamente associado com um número de consultas médicas por ano. Usando uma abordagem diff-diff, encontro evidência de que um possível mecanismo é um aumento de gastos com saúde nas famílias com maior proporção de ganhos oriundos de aposentadorias nas suas rendas. / [en] In 2003, the Brazilian Congress passed a law regulating payroll lending, which had a large impact on consumer lending (Coelho et al [2011]). In Chapter 1, I present evidence that that payroll lending had a small but non-negligible impact on occupational choice. In particular I find that payroll lending is positively associated with more entrepreneurial-like occupations. The effect is stronger for individuals in age ranges unlikely to have retirees in families with retirees or pensioners, suggesting that intra-family transfer mechanisms are operative. In Chapter 2, I present evidence that that payroll lending had a small but non-negligible impact on health outcome for elderly citizens. In particular, we find that Payroll Lending: 1) is negatively associated with death rates on age ranges of 60-69 and 70-79 years old; 2) is associated with less physical disabilities. The effect is stronger for individuals in families with lower incomes; 3) is associated with more medical consultations per year. Using a diff-diff approach, I also find evidence that one possible mechanism is more health care spending in families with more proportion of retirement benefits in their income.

Submitted by Anish Narang (anish.narang2015@fgvmail.br) on 2015-02-25T13:01:52Z No. of bitstreams: 1 Anish narang.pdf: 1328100 bytes, checksum: 030185d48abceb21a619de4e291e2ddc (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-03-03T12:46:22Z (GMT) No. of bitstreams: 1 Anish narang.pdf: 1328100 bytes, checksum: 030185d48abceb21a619de4e291e2ddc (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-03-03T12:46:38Z (GMT) No. of bitstreams: 1 Anish narang.pdf: 1328100 bytes, checksum: 030185d48abceb21a619de4e291e2ddc (MD5) / Made available in DSpace on 2015-03-03T12:48:29Z (GMT). No. of bitstreams: 1 Anish narang.pdf: 1328100 bytes, checksum: 030185d48abceb21a619de4e291e2ddc (MD5) Previous issue date: 2014-10-30 / This paper deals with the subject of mitigating high ‘Equity Capital’ Risk Exposure to ‘Small Cap’ Sector in India. Institutional investors in India are prone to be risk averse when it comes to investing in the small cap sector in India as they find the companies risky and volatile. This paper will help analyse ‘Key Factors of success’ for ‘Institutional Investors’ whilst investing in Small Cap sector in India as some of these Indian small cap stocks offer handsome returns despite economic downturn. This paper has been harnessed carefully under the influence of expert investors, which includes Benjamin Graham (Security Analysis); Warren Buffet; Philip Fisher (Common Stocks and Uncommon Profits); and Aswath Damodaran.

[pt] Esta tese de doutorado está dividida em três ensaios que têm como característica comum a análise de questões empíricas sobre o sistema bancário brasileiro. No primeiro ensaio, a estrutura concorrencial do mercado bancário brasileiro é estudada com o objetivo de avaliar se bancos públicos têm maior ou menor efeito competitivo vis-à-vis bancos privados. Para isso, utiliza-se metodologia de Bresnahan e Reiss (1991) para se estudar competição em mercados locais concentrados. Encontra-se robusta evidência empírica de que bancos públicos têm menores efeitos competitivos do que os bancos privados. No segundo ensaio, estuda-se o efeito da disseminação de uma nova modalidade de crédito no Brasil, o crédito consignado. Nesse tipo de crédito há uma colateralização total através da dedução do pagamento do empréstimo diretamente do salário do devedor. Para conseguirmos medir adequadamente o efeito da introdução da nova modalidade, utilizamos um outro tipo de modalidade de crédito, crédito para a aquisição de veículos, como grupo de controle. Os resultados mostram uma forte queda da taxa de juros e um expressivo aumento do volume de crédito, o que indica que a introdução do crédito consignado teve forte efeito sobre o mercado de crédito no Brasil. No terceiro ensaio, estuda-se a relação entre política monetária e o mercado de crédito bancário. A literatura internacional, tanto empírica como teórica, mostra que o mercado de crédito poderia ter importante papel como amplificador de choques de política monetária. Nesse estudo, o foco será o mercado de crédito bancário e o que a literatura convencionou chamar de canal de crédito bancário. Utilizando uma nova estratégia de identificação, baseada em um estudo de evento em torno da reunião do comitê de política monetária quando decidindo sobre a taxa básica de juros a vigorar na economia, mostra-se que não há evidência do canal de crédito bancário no Brasil. Apesar de o efeito direto da taxa básica de juros sobre o volume e a taxa de juros do crédito ter sido significativo, não se pode relacioná-lo ao canal de crédito bancário, uma vez que bancos menores e/ou menos líquidos não reagem mais a choques de política monetária do que os bancos maiores e/ou mais líquidos. / [en] This PhD thesis is divided in three essays on empirical microeconomics of banking. The first essay evaluates the competitive impact of public banks vis-à-vis private ones. A methodology based on Bresnahan and Reiss (1991) is used to access competition in local concentrated markets. We find robust evidence that, relative to private banks, state- owned banks are anti-competitive. In the second essay the introduction of a new type of credit, the payroll loans, is analyzed. In this type of credit there is a complete collateralization of the debt through the direct withdrawal of the loan payment from the debtor`s salary. In order to properly measure this effect we used another type of credit, automobile loans, as control group. Results show a statistical and economic significant reduction of interest rate and increase of credit volume, which show that the creation of payroll loans had strong effect on the Brazilian credit market. In the third chapter I study the relation between monetary policy and banking credit market. The international literature, both theoretical and empirical, suggests that credit markets could have important role in the amplification of monetary policy shocks. In this essay I focus on the banking credit market and what literature calls banking lending channel. Using a new identification strategy, based on an event study around monetary policy committee reunion setting the basic interest rate target, I find no evidence of banking lending channel in Brazil. Despite the significant direct effect of basic interest rate on credit interest rate and volume, there is no link between this effect and the banking lending channel, since smaller and/or less liquid banks do not react more to the monetary policy shocks than bigger and/or more liquid banks.

The theoretical part of the thesis introduces Austrian theory of business cycles and analyses equilibrium of savings and investments together with the transmission mechanism between savings, deposits, loans and investments. The practical part of the thesis explores business cycle and credit cycle. It analyses an excessive loan expansion of commercial banks together with a excessively expansive policy of central bank. The thesis deals with a procyclical action of commercial banks and contemporary tools of central bank with their limited effectiveness. Furthermore, the thesis analyses the possible adjustments of monetary policy with the emphasis on the macroprudential policy and its individual credit indicators. The end of the thesis deals with the method of credit rationing and with the imbalance between demand and supply at the credit market of non-financial corporations, which is modelled using the technique of disequilibrium model.

This diploma thesis deals with an analysis of the credit process in small and medium enterprises. First part describes financial risks, to which banks are exposed with a special emphasis on a credit risk. The next chapter describes the process of a risk management, particularly its individual phases such as identification, measurement, securing and monitoring. The third part discusses each phase of the loan process that represents the risk mitigation strategy on the level of a single trade. In the forth part a loan application of a particular applicant is being thoroughly analysed. The last, fifth part sums up a development of conditions on a credit market in small and medium enterprises.

This dissertation collects three essays which deal with financial development in emerging markets. Owing to the appliance of different econometric methods on several data sets, insights in the behavior of and the impacts from financial markets are generated. Usually, the financial markets in emerging countries are characterized by the presence of credit constraints. In the first chapter it is shown that the financial development in 19th century Germany generally affected the economy in a positive way. Additionally, when different economic sectors are under investigation, it is revealed that the reaction due to financial development is not homogeneously across the sectors. A structural vector autoregression (VAR) framework is applied to a new annual data set from 1870 to 1912 that was initially compiled by Walther Hoffmann (1965). With respect to the literature, the most important difference of this analysis is the focus on different sectors in the economy and the interpretation of the results in the context of a two-sector growth model. It is revealed that all sectors were affected significantly by shocks from the banking system. Interestingly, this link is the strongest in sectors with small or non-tradable-goods-producing firms, such as construction, services, transportation and agriculture. In this regard, the growth patterns in 19th century Germany are reminiscent to those in today's emerging markets. The second chapter deals with the integration of the stock markets of mainland China with those of the United States and Hong Kong. Market integration and the resulting welfare gains as risk sharing, increasing investment and growth benefits has become a central topic in international finance research. This chapter investigates stock market integration after stock market liberalization which is assessed by spillover effects from Hong Kong and the United States to Chinese stock market indices. Dividing the sample in pre- and post-liberalization phases, causality in variance procedure is applied using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrials index in the main part. Evidence of global and regional integration is found, but no evidence for increasing integration after the partial opening of the Chinese stock markets, neither with Hong Kong nor with the United States. Based on the idea presented in the first chapter, the third chapter examines one of today's emerging markets. As China is experiencing remarkable economic growth in the recent decades, it is analyzed if and to what extent the ongoing deregulations in the financial system contribute to this development. Structural VARs for gross domestic product as well as for sectoral output data in conjunction with two different bank lending variables are applied. It is indicated that China is positive affected by financial development and that all sectors benefit from domestic bank lending enlargements but to different degrees. Especially in the sectors where mainly state-owned enterprises are represented - such as construction, trade and transportation - shocks in bank lending have a strong positive influence while sectors where private enterprises are prevalent, seem to be more credit constrained.

The conduct of effective economic policy faces a multiplicity of macroeconomic challenges, which requires a wide scope of theoretical and empirical analyses. With a focus on the European Union, this doctoral dissertation consists of two parts which make empirical and methodological contributions to the literature on forecasting real economic activity and on the analysis of business cycles in a boom-bust framework in the light of the EMU enlargement. In the first part, we tackle the problem of publication lags and analyse the role of the information flow in computing short-term forecasts up to one quarter ahead for the euro area GDP and its main components. A huge dataset of monthly indicators is used to estimate simple bridge equations. The individual forecasts are then pooled, using different weighting schemes. To take into consideration the release calendar of each indicator, six forecasts are compiled successively during the quarter. We find that the sequencing of information determines the weight allocated to each block of indicators, especially when the first month of hard data becomes available. This conclusion extends the findings of the recent literature. Moreover, when combining forecasts, two weighting schemes are found to outperform the equal weighting scheme in almost all cases. In the second part, we focus on the potential accession of the new EU Member States in Central and Eastern Europe to the euro area. In contrast to the discussion of Optimum Currency Areas, we follow a non-standard approach for the discussion on abandonment of national currencies the boom-bust theory. We analyse whether evidence for boom-bust cycles is given and draw conclusions whether these countries should join the EMU in the near future. Using a broad range of data sets and empirical methods we document credit market imperfections, comprising asymmetric financing opportunities across sectors, excess foreign currency liabilities and contract enforceability problems both at macro and micro level. Furthermore, we depart from the standard analysis of comovements of business cycles among countries and rather consider long-run and short-run comovements across sectors. While the results differ across countries, we find evidence for credit market imperfections in Central and Eastern Europe and different sectoral reactions to shocks. This gives favour for the assessment of the potential euro accession using this supplementary, non-standard approach.

The aim of this thesis is to visualize and explain how people’s economic and social relations were connected in the parish of Sundborn, in the south east of Dalarna, in the period 1820-1849. The study is based on records of claims and debts in inventories and parish registers, which enable reconstruction of the private local credit market. The study shows that the majority in the economic network lived in Sundborn, and that while few people had formal loans at the institutional credit market, many had loans by trust at the private local credit market. Also, while few people were lenders, almost everyone was a borrower. The most common credit relationship was between people who lived near one another, and people who lived near one another or were related received a higher average credit. The private local credit market consisted primarily of men. These results have been interpreted with the use of social network theory, it being shown that people depended on their social network to obtain the necessary credit. In creating an economic network graph, I show that households in the parish of Sundborn were interconnected by debt relations. By using this method, it is possible to identify significant persons and potential parish bankers. Through combining the network graph with a landscape map, I show connections between the settlement, the assets, economic relations, centrality and the long valley of Sundborn river. The study opens up possibilities for further development of the same method to visualize historic data and relate it to the landscape, with a view to generating new related questions and spatial analyses.