Made available in DSpace on 2016-03-15T19:25:31Z (GMT). No. of bitstreams: 1 Carlos Alberto Correa.pdf: 691557 bytes, checksum: 7aab270e1cd39cc1f5decdd3b66d2541 (MD5) Previous issue date: 2006-10-16 / Theories about capital structure suggest several variables that might determinate financing decisions. In general, the studies use cross-section or time series analysis to test these determinants. This study aimed to analyze some of the supposed determinants of capital structure of the larger Brazilian firms, under the lights of the two main theories, the Trade-Off Theory and the Pecking Order Theory, testing the validity of their assumption in the local market. This is an adaptation of the paper of Gaud et al., (2005) developed with Swiss firms, which was used to choose some variables and the Panel Data methodology. Dynamic tests were performed in order to analyze the adjustment process toward a supposed optimal target debit-to-equity ratio, as suggested by other studies that focused on the dynamics of the capital structure decisions. The results show that leverage is negatively associated with the level of tangible assets and profitability, while risk is positively associated with leverage. It was found also that foreign companies present higher debit level than Brazilian owned companies. In general, results suggest that the Pecking Order Theory is more consistent than the Trade-Off Theory to explain the capital structure of the larger Brazilian firms. The dynamic analysis showed a slow adjustment process toward the supposed target debit ratio, suggesting the existence of high transactional costs and giving more evidences to a Pecking Order behavior of managers. / As teorias que versam sobre a estrutura de capital das empresas, sugerem diversas variáveis que poderiam determinar as decisões de financiamento. Em geral, os principais estudos utilizam testes em cross-section ou em séries temporais como metodologia de análise. Este estudo buscou analisar alguns fatores que supostamente determinariam o nível de endividamento das maiores empresas brasileiras, à luz das duas principais teorias que versam sobre o assunto, a teoria de Pecking Order e a teoria de Trade-Off, testando a validade empírica dessas teorias na realidade nacional. O estudo é uma adaptação do artigo desenvolvido por Gaud et al., (2005) na Suíça, cujo trabalho serviu como base para escolha de algumas variáveis e dos testes econométricos realizados, e utiliza a metodologia de Panel Data. Além de testes estáticos, foram feitos testes dinâmicos, com o objetivo de analisar o processo de ajuste da estrutura de capital ao longo do tempo, em direção a um suposto nível-alvo ótimo, como sugerido em outros estudos que abordaram a natureza dinâmica das decisões sobre estrutura de capital. Os resultados demonstraram relação negativa entre o nível de endividamento das empresas, o grau de tangibilidade dos ativos e a rentabilidade, bem como relação positiva do endividamento com o risco. Demonstraram ainda que empresas de capital estrangeiro são mais endividadas que empresas nacionais. De um modo geral, os resultados sugerem que a teoria de Pecking Order é mais consistente do que a teoria de Trade-Off para explicar a estrutura de capital das maiores empresas brasileiras. A análise dinâmica demonstrou baixa velocidade do processo de ajuste da estrutura de capital em direção ao nívelalvo, sugerindo a existência de elevados custos de transação e confirmando o comportamento de Pecking Order dos administradores.

人民幣是否可能成為另一個重要的國際貨幣，甚至挑戰美元的國際地位？此即本論文的問題意識。對此，本論文進一步提出三個研究問題：一是如何測量當前的人民幣國際化程度？二是如何測量當前的人民幣資本開放程度？三是資本開放對於人民幣國際化程度的影響為何？ 為此，本研究利用主成分分析（PCA），以建構人民幣國際化程度（CIDI）與人民幣資本帳開放程度（CAOI）。其次再利用動態追蹤資料模型──系統一般動差估計法（SGMM），以檢證各項人民幣綜合競爭力對於貨幣國際化程度的影響。最後，本研究進一步梳理人民幣資本帳開放的進程，並結合上述所有實證分析的結果，進而預估漸進資本開放下人民幣國際化的前景。研究對象包括人民幣在內的33種國際貨幣，研究時間則起自1999年歐元成立，迄於2009年。 本論文的發現三：一是，當前人民幣國際化程度進展相當快速。但截至2009年年底，人民幣國際化程度還很低，遠落後於美元、歐元、日圓，以及英鎊等主要國際貨幣。不僅如此，人民幣國際化程度也遜於俄羅斯盧布、巴西里拉，以及印度盧比等開發中國家所發行的貨幣。 二是，過去10年來，人民幣資本帳開放程度不升反降，截至2009年年底，人民幣的資本帳開放程度維持在零，這表示：人民幣是世界上管制最為嚴格的貨幣。相對而言，美元、歐元、日圓，以及英鎊的資本帳開放程度至少都在70％以上，特別是英鎊的資本帳開放程度更趨近於完全開放。 三是，根據SGMM的實證結果顯示，網路外部性、經濟規模、金融市場規模、貨幣穩定度，以及資本開放程度都是影響貨幣國際化程度的關鍵因素。在此基礎上，本研究利用發生機率（odds ratio），以計算不同資本開放情境下，人民幣成為前10大國際貨幣的可能性。結果顯示，如果人民幣的資本帳開放到73％左右，人民幣便可擠進前10大國際貨幣（發生機率為65.6％）。 不過，這只是最為保守的估計。原因有二：一是，隨者中國經濟實力的崛起，以及人民幣預期升值的脈絡下，國際市場對於人民幣的需求原本就很高。此時，人民幣資本帳如果能適時開放，則人民幣的國際持有將大幅增加。換言之，本研究沒有考量到，各貨幣競爭力因素與資本開放程度之間的加乘效果。 二是，資本開放不僅直接對貨幣國際化程度產生影響，也會透過擴大金融市場規模與網路外部性等其他貨幣競爭力因素，間接對貨幣國際化程度造成影響。這間接效果，本研究也沒有考量到。因此，可以預期的是，只要人民幣資本帳能夠漸進開放，人民幣國際化的前景將比本研究所預估的高出許多。 / This paper discusses whether the Renminbi (RMB) will become an international currency, even challenging to the U.S. dollar. In order to examine above question, this paper take the following three steps: 1. By using principal component analyses (PCA), this paper constructs two indices: currency internationalization degree index (CIDI) and capital account liberalization degree index (CAOI); 2. By using dynamic panel data model-system generalized method of moment (SGMM), this paper analyzes factors affect the CIDI, including economic and trade size, financial system, network externalities, confidence in the currency’s value, and CAOI; 3. According to the PCA and SGMM results, this paper calculates the odds ratio of RMB becoming important international currency. The reserch achieved the following results. First, the degree of internationalization of the RMB progress very fast, but the RMB CIDI is still very low, its CIDI far behinds the dollar, euro, Japanese yen, and pounds. Second, over the past 10 years, RMB CAOI is not increased but decreased. Its CAOI is at zero in 2009, this means that: the RMB is the most stringent controls in the world currency. In contrast, U.S. dollars, euros, yen, and pound CAOI are at least in more than 70%. Third, according to the SGMM results, economic size, financial system, network externalities, confidence in the currency’s value, and CAOI are key factors affect the CIDI. Based on this output, this paper forecasted that if the RMB CAOI is open to about 73%, RMB could be squeezed into the top 10 of the international currency. (The odds ratio is 65.6%) It is noteworthy that this is only the lowest estimates. This is because that this paper did not consider the interaction effects of each currency competitiveness factors and CAOI. Therefore, if RMB CAOI continues open, the prospect of RMB CIDI is much higher than estimated by this paper.

This thesis investigates the determinants of the use of debt and leasing in the UK using a comprehensive measure of debt and leases, in recognition of the link between lease and debt-type financing decisions, based on financial contracting theory and the tax advantage hypothesis. The design of the study takes account three lacunae in our current understanding of this topic. Firstly, despite the fact that the capital structure literature is voluminous, it is perhaps surprising that relatively little research has been carried out on lease finance, given its significant role as a major source of finance for many firms. Secondly, the role of tax in the capital structure decision is unclear. Empirically testing for tax effects is challenging because spurious relationships may exist between the financing decision and many commonly used tax proxies. More importantly, our understanding of the impact of taxes on UK financing decisions is far from complete, especially since several major corporate tax reforms have taken place in the last decade. Thirdly, empirical evidence on capital structure determinants is also voluminous but far from conclusive. Notably, contradictory signs and significance levels are commonly observed. Using the standard regression approach invariably involves identification of the average behaviour of firms, and therefore does not measure diversity across firms. In response to these three major issues, this study employs empirical research methods, namely cross-sectional pooled regression, static and dynamic panel data regression, and quantile regression to analyse a large sample of 361 non-financial firms, drawn from the FTSE 350 and FTSE All-Small indices over the tax years 1995 through 2003. The operating lease data are estimated using the constructive capitalisation method while the simulated before-financing marginal tax rate is used to proxy for the firms’ tax status. The endogeneity of corporate tax status is evident since the use of simple tax proxy, the effective tax rate, leads to a spurious negative relation between debt usage and tax rates. The problem was avoided with a better measure of tax variable that is the simulated before-financing marginal tax rate where it is found that the empirical relationships between the tax factor and debt and leasing are consistent with those theoretical predictions. Furthermore, there is a clear distinction between the effect of taxes on debt and leasing where the firm’s marginal tax status is only relevant when managers make decisions on debt financing. The use of quantile regression method in the present study represents a novel approach in investigating the determinants of the use of debt and leasing. The results reveal that the determinants of debt and leasing are heterogeneous across the whole distribution of firms, consistent with the notion of heterogeneity as promoted by Beattie et al. (2006), but contradicting their claim that the large-scale regression approach cannot measure firms’ diversity. This finding implies that average model results (e.g., from OLS or panel data models) may not apply to the tails of debt and leasing levels, and hence assuming that the determinants of debt and leasing decisions are the same for all firms in the economy is clearly unrealistic. Using the dynamic panel data model, this thesis confirms that debt and leasing are substitutes rather than complements, and that the degree of substitutability is more pronounced among smaller firms, where the degree of information asymmetry is greater. More importantly, the use of a joint specification for debt and leasing improves our understanding of the determinants of the two fixed-claim financing instruments. There is also significant evidence to support the view that firm characteristics affect contracting costs which in turn impact on the choice between alternative forms of finance, namely equity, debt and leasing.

經濟理論認為，長期持續的財政赤字將會因貨幣融通而造成通貨膨脹，而且通膨越高的經濟體越容易受到赤字的影響。本文依照Catao and Terrones (2005)的理論模型，以狹義貨幣衡量財政赤字的規模，並據此檢驗1960到2006年間91個國家赤字與通貨膨脹的關係。本文使用Lin (2010)的分量迴歸方法，藉以估計在不同通膨水準下赤字的影響，並且允許兩者之間的動態調整。實證結果發現：當通膨越高，赤字造成的影響將越嚴重；若通膨在低水準，赤字則影響很弱、甚至不會造成任何影響。因此，當通膨越高的時候，維持財政紀律將越能有效達成物價穩定。這層赤字與通膨間關係不會因為考量了其他變數而有所改變。此外，赤字通常在開發中國家影響較強，尤其是在高通膨的時候。最後，在1990到2006年間，卻沒有發現赤字具有任何的通膨效果。 / In economic theory, sustained fiscal deficits might cause inflation by means of money creation, and the economy in a higher inflation level would be more strongly impacted by an increase in deficits. Following the theoretical model of Cat\~{a}o and Terrones (2005), I scaled fiscal deficits by narrow money stock and examined the deficit-inflation relationship in 91 countries from 1960 to 2006. A dynamic panel quantile regression of Lin (2010) was employed, which can estimate the impact of fiscal deficits at various inflation levels and allows for a dynamic adjustment. The empirical results show that fiscal deficits will be more serious as inflation rises, and weakly or not related to inflation if it is at a low level. Therefore, fiscal consolidation would be more effective in price stabilization the higher the inflation. Moreover, the results remain robust while taking other possibly inflation-related factors into consideration. Furthermore, the impact of fiscal deficits on inflation is generally greater in developing countries, particularly when inflation is at a high level. Finally, the inflationary effect of deficits is not detected over 1990--2006.

開放經濟中，匯率可以透過競爭效果及進口型的通貨膨脹抬升價格，或藉由資產負債效果造成通貨緊縮。本文依循 Carranza et al. (2009) 的實證模型，控制美元化程度的影響，並使用Lin (2010) 的動態分量迴歸方法，針對1974Q1-2010Q4期間80個國家，檢驗不同通貨膨脹水準下的匯率轉嫁效果。總體而言，通膨愈高的時候，匯率貶值的擴張效果愈強；但當通膨降低，其強度也隨之減弱。此結果在考慮其他解釋變數或不同貶值情形後仍維持穩健。而當進一步檢視不同國家或期間的匯率轉嫁效果，匯率對通貨膨脹的正向效果，在中低所得國家中普遍較強，但在1995年後減弱，甚至轉為負向。Taylor（2000）的假說，得以在本文大部分的實證結果中證實。 / In an open economy, exchange rate could either increase prices by competitiveness effect and imported inflation, or be disinflationary through the balance-sheet effect. Controlling for the impact induced by the degree of dollarization, I follow the empirical model of Carranza et al. (2009) with a wide panel of 80 countries over 1974Q1-2010Q4. The exchange rate pass-through is investigated at various inflation levels in a dynamic panel quantile analysis suggested by Lin (2010). In general, exchange rate depreciation is more inflationary the higher inflation levels, but the magnitude of pass-through is reduced as inflation become lower. Also, the results are robust with respect to add other explanatory variables or take the depreciation cases into account. Furthermore, to investigate the pass-through across countries or periods, the positive impact of exchange rate on inflation is greater in middle- and low-income countries, but declines and even becomes negative after 1995. The hypothesis in Taylor (2000) is thus confirmed in most part of our empirical results.

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La présente thèse tente de savoir s’il est opportun pour les pays en développement les moins avancés de s’engager davantage dans le processus de globalisation financière pour promouvoir leur croissance, et si ce processus influence les effets des instabilités, financière et monétaire, sur cette dernière. A cette fin, la thèse se déroule en trois parties. Avant d’examiner le cadre théorique de la globalisation financière, la première partie esquisse sa genèse avec en arrière-fond la recherche d’une réponse au problème de sa régulation. La deuxième partie s’intéresse à la littérature sur les effets de la globalisation financière sur la croissance, afin d’en tirer les enseignements pour une étude de 72 pays en développement à revenu bas de 1972 à 2011. La troisième partie se focalise sur les impacts de la globalisation financière et des deux instabilités considérées isolément, puis en interaction avec la globalisation sur la croissance à travers deux études empiriques basées sur le même cadre spatio-temporel que l’étude précédente. Ces dernières sont précédées par une revue des relations entre la globalisation financière, l’instabilité financière puis monétaire et la croissance, avec une analyse théorique de l’instabilité financière. Il en ressort que les instabilités, financière et monétaire, ont des effets négatifs sur la croissance, tandis que la globalisation financière, et en particulier la globalisation par l’investissement contrairement à celle par l’endettement, promeut les bienfaits des politiques économiques et du commerce extérieur, en plus de son effet positif direct sur la croissance même en présence des deux instabilités dont elle diminue les effets négatifs. / This thesis examines whether or not it is beneficial for least developed countries to engage more in the process of financial globalization in pursuit of their economic growth, and if this process influences the effects of financial and monetary instability on the latter. This thesis is divided into three parts. Before examining the theoretical framework of financial globalization, the first part sketches its genesis on a background of the research for an answer to the problem of its regulation. The second part focuses on the literature on the impact of financial globalization on growth. This is done in order to draw lessons for the establishment of a study covering 72 low-income developing countries over the period 1972-2011. The third part centers on the impact on economic growth of financial globalization and the two aforementioned types of instability, discussed both separately and in conjunction. Evidence is provided by two empirical studies based on the same spatio-temporal framework as the previous one. These studies are preceded by a review of the literature on the relationship between financial globalization, financial and then monetary instability and growth, in addition to a theoretical analysis of financial instability. This illustrates that financial and monetary instability have negative effects on growth, while financial globalization and in particular investment-globalization, unlike indebtedness-globalization, promotes the benefits of macroeconomic policies and international trade. This can be find in addition to its direct positive effect on growth, even in the presence of the two instabilities of which it reduces the negative effects.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Trabalhos recentes mostraram que a teoria assintÃtica traz resultados equivocados nos testes de causalidade quando o MÃtodo de Momentos Generalizados (MGM) à utilizado. Este estudo re-examina a relaÃÃo dinÃmica entre receitas prÃprias, despesas correntes e transferÃncias correntes para os governos municipais brasileiros no perÃodo de 2000 a 2008. A estimaÃÃo do modelo de dados em painel dinÃmico à feita atravÃs do MGM, mas os testes de especificaÃÃo utilizam valores crÃticos gerados por bootstrap para fornecer melhor aproximaÃÃo à distribuiÃÃo da estatÃstica de teste. Uma defasagem de dois anos à encontrada na equaÃÃo de despesas, mas nenhuma dinÃmica à observada nas equaÃÃes de receitas prÃprias e de transferÃncias, sugerindo a hipÃtese de que receitas passadas afetam despesas correntes / Recent works has shown that the asymptotic theory provides misleading results in causality tests when the Generalized Method of Moments (GMM) is used. This study re-examines the dynamic relationship between own revenues, current expenditures and current grants to municipal governments in Brazil in the period 2000 to 2008. The dynamic panel data model estimation is done by GMM, but the specification tests use bootstrap critical values to provide a better approximation to the distribution of the test statistic. A lag of two years is found in the expenditure equation, but no dynamics is observed in the own revenues and transfers equations, suggesting the hypothesis that past revenues affect current expenditures

Made available in DSpace on 2016-03-15T19:26:43Z (GMT). No. of bitstreams: 1 Alexandre Hiroshi Mitushima.pdf: 505405 bytes, checksum: 407f21225d3d7cb8c6b1f84ae26228b9 (MD5) Previous issue date: 2009-03-10 / The study of capital structure is one of the main issues in Corporate Finance. Many researchers, in opposition to the propositions of Modigliani and Miller (1958), suggest that there is an optimal debt-equity ratio. Some authors say that the capital structure has a dynamic behavior and try to build models to identify the determinants of this dynamic capital structure. Some recent papers try to identify the variables that influence the speed of adjustment of capital structure. The objective of this research is to identify the determinants mentioned above in Brazilian companies, by analyzing the financial statements of companies listed in São Paulo Stock Exchange. The academic relevance of this study is to give an overview of the behavior of Brazilian companies regarding their optimal capital structure finding some information that can contribute to future researches. / A estrutura de capital das empresas é um dos principais assuntos estudados em Finanças Corporativas. Ao contrário do que propuseram Modigliani e Miller, em 1958, vários autores afirmam que existe uma relação ótima entre capital próprio e capital de terceiros para as empresas. Alguns deles propõem, ainda, que a estrutura de capital é dinâmica, e procuram estabelecer um modelo para identificar quais os seus determinantes. Além disso, em alguns estudos mais recentes, os autores tentam encontrar os fatores que influenciam na velocidade com a qual as empresas se dirigem à estrutura ótima. O objetivo desta pesquisa é identificar tais fatores no mercado brasileiro, através de informações extraídas das demonstrações financeiras de empresas de capital aberto listadas na Bolsa de Valores de São Paulo (Bovespa). A relevância acadêmica consiste em proporcionar uma visão do comportamento das empresas brasileiras quanto à busca de uma estrutura ótima de capital, fornecendo algumas informações que poderão ser úteis para estudos posteriores acerca do assunto.

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