Most people agree that the internationalization of RMB follows a three-step strategy, i.e. turn RMB into a settlement currency, investment currency, and reserve currency. The promulgation of the ¡§Administrative Rules on Pilot Program of RMB Settlement of Cross-border Trade Transactions¡¨ on July 2, 2009 demonstrated that China has officially begun to facilitate the use of currency in trade settlement. The start of RMB cross-border trade settlement not only stands for new function of RMB but also brings new opportunities. Therefore, a fundamental motivation for this research is to explore how will it influence correspondent banking business and what business opportunities it offer to correspondent banking business? This thesis takes the case of W Bank, a world leading correspondent banking service provider for example. By discussing value chain of the correspondent banking business and studying the business model of W Bank, we depict how W Bank can exploit the new business opportunity and conclude that W Bank, a U.S.-based bank, remains in a good position to offer RMB-denominated services.

The globalization leads to integration of the economies worldwide. As the firms&#039 / businesses also get integrated with each other, the financing choices of the firms diversify. Among these choices, the popularity and the share of foreign currency borrowing in total borrowing by non-financial firms increase in Turkey similar to the global developments. The main purpose of this thesis is to price the risks of default and financial distress due to foreign currency denominated loans of non-financial firms in Turkey. The valuation model of foreign currency corporate loans is established by two state variable option pricing model based on the study of Cox, Ingersoll and Ross. In our model, the main risk factors are identified as the exchange rate and the interest rate, which are the state variables of the main partial differential equation whose solution gives the value of the asset. The numerical results are tested for different parameters and for different economic environments. The findings show that interest rate fluctuations are more important both for the default and financial distress option values than the fluctuations in exchange rate. However, the effect of upside movements of exchange rate on the financial distress and default values is sharper than the downside movement effect of interest rate. Furthermore, high loan-to-value (LTV) foreign currency loans result in significantly high financial distress values that cannot be disregarded and can lead to default of the firm. To the best of our knowledge, this thesis is the first study that develops a structural model to evaluate foreign currency denominated corporate loans in an option-pricing framework.

Submitted by Diego Makasevicius Barbosa (diego.ufrj@yahoo.com.br) on 2017-11-24T18:24:17Z No. of bitstreams: 1 Trabalho Final (Assinada).pdf: 1388964 bytes, checksum: 33e74306625e467409ddc031936ccfeb (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-12-08T16:45:39Z (GMT) No. of bitstreams: 1 Trabalho Final (Assinada).pdf: 1388964 bytes, checksum: 33e74306625e467409ddc031936ccfeb (MD5) / Made available in DSpace on 2017-12-08T16:46:06Z (GMT). No. of bitstreams: 1 Trabalho Final (Assinada).pdf: 1388964 bytes, checksum: 33e74306625e467409ddc031936ccfeb (MD5) Previous issue date: 2017-09-25 / This paper proposes to apply a similar framework adopted by Diebold and Li (2006) to forecast the Brazilian term structure of the US dollar-denominated interest rates, which have been done through the well-known three factors model developed by Nelson-Siegel. The methodology used to find the lambda factor, which drives the decay velocity of interest rates, was the rolling window optimization where for each forecast was calculated the lambda that minimizes the root mean square error (RMSE) of Nelson and Siegel fit. Furthermore, an autoregressive model was used to estimate the latent factors and, consequently, the interest rate. The results obtained were analogous to those found by Diebold and Li, where the authors verified a good predictive capacity for the model when compared to the random walk and other models used as benchmark. / O presente trabalho concentra-se em fazer um exercício de previsão da curva de cupom cambial futura similar ao proposto por Diebold e Li (2006) para as treasuries americanas, onde os autores utilizam um modelo econométrico de três fatores, no caso o conhecido Nelson e Siegel. A metodologia adotada para encontrar o fator λ (lambda), parâmetro este que rege a velocidade de decaimento da taxa do cupom cambial, foi uma otimização utilizando uma janela móvel, onde para cada instante t é observado qual o lambda que minimizaria a raiz do erro quadrático médio (REQM) do fit do modelo de Nelson-Siegel. Em seguida é conduzido um modelo autoregressivo para estimar os fatores latentes e consequentemente a taxa de cupom cambial para o exercício. O resultado obtido foi em linha com o encontrado por Diebold e Li onde os autores constataram uma boa capacidade preditiva para o modelo quando comparado ao passeio aleatório, nosso benchmark.

A top-down analysis approach used for over 17 thousand of euro-denominated corporate bond issuances executed in the European primary bond market between 1999 and 2013. The main findings reveal not only the most active corporate issuers in Europe, but they also show the decomposition of issuance by coupon type, rated versus unrated issuance, debut and perpetual issuances, high grade as well as high yield new bond issues split by sector, rating and maturity. I used the opensource statistical package Gretl and applied the ordinary least square technique in order to quantify the association between euro-denominated corporate issuance and credit spreads.

Submitted by YGOR MUNHOZ (ygormunhoz1@gmail.com) on 2015-09-04T20:23:30Z No. of bitstreams: 1 OS DETERMINANTES MACROECONÔMICOS DA ESTRUTURA A TERMO DAS TAXAS DE JUROS EM DÓLAR NO BRASIL.pdf: 2696930 bytes, checksum: 636dbbdf89e9a2e359bc824ebcb6e1f5 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-04T20:45:44Z (GMT) No. of bitstreams: 1 OS DETERMINANTES MACROECONÔMICOS DA ESTRUTURA A TERMO DAS TAXAS DE JUROS EM DÓLAR NO BRASIL.pdf: 2696930 bytes, checksum: 636dbbdf89e9a2e359bc824ebcb6e1f5 (MD5) / Made available in DSpace on 2015-09-04T21:12:49Z (GMT). No. of bitstreams: 1 OS DETERMINANTES MACROECONÔMICOS DA ESTRUTURA A TERMO DAS TAXAS DE JUROS EM DÓLAR NO BRASIL.pdf: 2696930 bytes, checksum: 636dbbdf89e9a2e359bc824ebcb6e1f5 (MD5) Previous issue date: 2015 / This paper proposes to model of the Brazilian term structure of the US dollar-denominated interest rates in which the level, slope and curvature factors are driven by observable variables as in Huse (2011). We proxy the macroeconomic conditions by the exchange rate of the Brazilian real against the US dollar, Brazil`s 5-year Credit Default Swap spread, the commodity price index, the 3-month dollar-denominated rate, the 1-year LIBOR rate, the 1-year implied exchange rate volatility, and the 1- year Brazilian breakeven inflation. The model fits the yield curve very well, explaining 95% of the variation. The dollar-denominated yield curve increases with the CDS spread, 3-month dollar denominated rate, the LIBOR rate, commodity prices, and the exchange rate volatility. The exchange rate depreciation is positively correlated with shorter maturities, until 2.5 years, and negatively with back end of the curve. Changes in the breakeven inflation have a very modest impact in the curve. / Este trabalho propõe o desenvolvimento de um modelo de três fatores em que os movimentos da Estrutura a Termo da Taxa de Juros em Dólar, o Cupom Cambial, são determinados por variáveis macroeconômicas observáveis. O estudo segue a metodologia elaborada por Huse (2011), que propõe um modelo baseado nos estudos de Nelson e Siegel (1987) e Diebold e Li (2006). Os fatores utilizados são: taxa de câmbio em real por dólar, spread do Credit Default Swap (CDS) Brasil de cinco anos, índice de preço de commodities, taxa de cupom cambial futura com vencimento em três meses, taxa futura de juros em dólar com cupom zero (Libor), volatilidade implícita da taxa de câmbio esperada pelo mercado de hoje até um ano, e inflação implícita de um ano no Brasil. O modelo foi capaz de explicar 95% das mudanças na estrutura a termo do cupom cambial. Aumentos no spread do CDS, na taxa de cupom cambial de três meses, na Libor, no índice de preço de commodities, e na volatilidade implícita do câmbio com vencimento em um ano estão diretamente relacionados com aumento na curva de juros em dólar. Por sua vez, a depreciação cambial tem correlação positiva com as maturidades mais curtas, até 2.5 anos, e negativo com a parte longa, até cinco anos. Choques na inflação implícita têm um pequeno impacto positivo para vencimentos curtos, mas levemente negativo para vencimentos mais longos.

Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs. Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que,contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement.Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité. / This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-currency denominated debt and that of a region where there is a similarity among trade-weighted currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times. Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and currency misalignments as comparison criteria among alternative currency regimes.The key lessons from this work are summarized as follows. For small open economies heavily in debted in foreign currency, like those of Southeast Asia, the flexible exchange is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union.Through both the empirical and theoretical analyses of the liquidity trap effects on currency misalignments, it is shown that the ZLB constraint tends to reduce currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity trap