Submitted by Alexis Petri Magalhaes Costa (alexis.petri.costa@gmail.com) on 2017-02-22T19:36:54Z No. of bitstreams: 1 Dissertacao.pdf: 1279843 bytes, checksum: b21e4e76b5b7742d95c444d256cd3ec9 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Alexis, boa tarde Para que possamos aceitar seu trabalho, por gentileza, retire as páginas em branco que constam no trabalho entre a capa, contracapa e folha de assinaturas. Inclua também o resumo em português (mesmo o trabalho estando em inglês). Após correções, submeter o arquivo novamente. Att on 2017-02-22T19:41:54Z (GMT) / Submitted by Alexis Petri Magalhaes Costa (alexis.petri.costa@gmail.com) on 2017-02-23T15:29:04Z No. of bitstreams: 1 Dissertacao.pdf: 1281154 bytes, checksum: 674d2d72b6ef337a490c5cc1124c144e (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-02-23T15:51:19Z (GMT) No. of bitstreams: 1 Dissertacao.pdf: 1281154 bytes, checksum: 674d2d72b6ef337a490c5cc1124c144e (MD5) / Made available in DSpace on 2017-02-23T17:25:05Z (GMT). No. of bitstreams: 1 Dissertacao.pdf: 1281154 bytes, checksum: 674d2d72b6ef337a490c5cc1124c144e (MD5) Previous issue date: 2017-01-31 / This work assesses the validity of applying the Taylor Rule to the Brazilian market. Several variables, tools and features were analyzed. Among its variables, inflation, inflation target and output gap were included to determine a basis scenario. On top of that, exchange rates and exchange rate related information was tested. Both the crude market input (spot rate) and a trade-weighted currency are included in this analysis. Also extracted from the market, the carry-trade premium was calculated from future exchange rate quotes. Among its tools, the smoothing factor was evaluated. The series were tested for regime breaks, unit root and cointegration, residual autocorrelation, normality, heteroskedasticity and coefficient linearity. Among its features, special attention was paid to the proper timing of each variable. The regressions being forward looking, it was important to line up the actual information available for the Brazilian Central Bank at the time of each decision. Timing was again a factor when considering different cutoff periods, and for synchronizing market data, especially for constructing the carry-trade payoff. This work concludes that evidence of a Taylor Rule being a response function for the Brazilian Central Bank is shaky, especially given the number of misspecification indicators found. Results also suggest that, assuming there is a need to protect the local economy from sharp capital flows consequent of interest rate changes, the implicit future exchange rate premia is not a good indicator of such risk. / Esse trabalho avalia a aderência da Regra de Taylor à política monetária brasileira. Diferentes variaveis, ferramentas e características foram avaliadas. Entre suas variáveis, essa dissertação avaliou inflação, gap de inflação, e hiato do produto, para determinar um cenario base. Sobre este, informações referentes a câmbio foram testadas. Fez-se regressões incluindo o spot de mercado e o câmbio ponderado pela balança comercial. Testou-se também o prêmio implícito em um carry-trade hipotético utilizando o primeiro futuro de dolar da BM&F. Entre as ferramentas estudadas, o 'smoothing factor' foi analisado e não foram encontradas melhorias significativas. As séries foram testadas para quebras de regime, raiz unitária, cointegração, autocorrelação dos resíduos, normalidade, heteroskedasticity e linearidade de coeficientes. Entre suas características, esta dissertação leva em consideração o 'timing' de cada variável. As regressões sendo 'forward looking', buscou-se exatamente o valor para cada variável disponível ao Banco Central do Brasil no momento de cada decisão do COPOM. Esse mesmo cuidado foi tomado para sincronizar os dados de mercado, especialmente para construir o 'payoff' do carry-trade. Esta dissertação conclui que há evidências apenas fracas de que a função resposta do Banco Central esteja em linha com a Regra de Taylor, especialmente dado o número de problemas de especificação encontrados. Os resultados também sugere que, supondo que haja a inteção de proteger a economia local de choques de fluxo de capital consequentes de mudança na taxa SELIC, o prêmio implícito no 'carry-trade' não é um bom indicador desse risco.

This thesis describes hedging transactions against foreign exchange rate risk which is a significant problem for a number of domestic companies trading with foreign partners. The objective of this paper is to characterize possible ways to eliminate or minimize a foreign exchange rate risk and to assess effects on economic results and liquidity of the company arising from the use of hedging instruments compared to the situation without hedging transactions. The practical analysis is shown on two Czech companies exposed to a foreign exchange rate risk. The analysis is focused on currency forwards negotiated with the bank and natural hedging in connection with an application of a hedge accounting.

The thesis deals with the exchange rate policy of the People's Republic of China. The objective is to evaluate the effect of exchange rate policy on the current account balance and the monetary policy. The theoretical part of the thesis outlines basic concepts of the foreign exchange market and relevant theories. The following section deals with the evolution of exchange rate policies. The final part is devoted to the analysis of influence of renminbi exchange rate on current account deficit and monetary policy. When assessing the impacts of renminbi exchange rate on monetary policy, open market operations and reserve requirements of banks can be considered as a vital tool of monetary policy of China. The central bank employs interest rate adjustments as a secondary instrument of the Chinese monetary policy.

Master’s thesis deals with analysis of specific business transactions, where company exchange-rate risks happen. On the basis of findings, the thesis includes the proposals of treasury instruments for exchange-rate loss minimalization.

L'objectif de cette thèse est double. Premièrement, elle vise à proposer une revue de la littérature économique s'intéressant à l'exposition au taux de change de la profitabilité des entreprises non-financières, et à fournir de nouveaux enseignements sur son hétérogénéité intra et inter-sectorielle. Deuxièmement, cette thèse analyse les stratégies de production et de produits mises en œuvre par les firmes pour se prémunir des effets de ces variations de change. Puisque l'éventail de telles stratégies est large, le dernier chapitre se concentre sur la stratégie de montée en gamme. / This thesis follows a dual objective. First, it aims to summarize previous evidence on the magnitude and channels underpinning a non-financial firm’s operating exposure, i.e. the extent to which currency fluctuations can alter a company's future operating cash flow, and to provide new highlights on the heterogeneity of this exposure across firms. Second, this thesis investigates the product and production strategies that are appropriate for coping with the economic consequences of exchange rate changes on firms’ operating profits. Since the range of these strategies is large, it focuses on providing theoretical and empirical evidence for the strategy of up-market positioning.

A volatile real exchange rate and high unemployment rate is a growing concern in South Africa, therefore the right macroeconomic policy is required. The challenge is to find stability in the real exchange rate paired with a low inflation rate, both of which are necessary to promote long term economic growth, which in turn creates more job opportunities. This study analyses the impact of the exchange rate on unemployment in South Africa by considering quarterly data for the period 2003 to 2013. In this study, the macroeconomic transmission channel is divided into two transmission paths, imports and exports. These find their roots in the Phillips curve and the Keynesian theory on unemployment respectively. The vector error correction model (VECM), together with an analysis of the impulse response functions and variance decompositions, are implemented to determine the short and long run impacts of the exchange rate on unemployment. After the completion of a variety of specifications, estimations and tests, both macroeconomic transmission paths revealed in the empirical analysis that the real exchange rate has a significant impact on unemployment. In the imports transmission path, the real exchange rate, imports and the CPI have significant long term relationships with unemployment. Furthermore, the exports transmission path found significant short term relations with unemployment in considering the real exchange rate, exports and economic growth. The impulse responses in both transmission paths indicated that a shock in the exchange rate will have a significant effect on unemployment in the short run. Similar results were found with the variance decomposition. In the import transmission path, movements in the real exchange rate explained an increasing portion of the variance in unemployment. Alternatively, in the export transmission path the real exchange rate and exports explained an increasing portion of the variance. The evidence therefore suggests that South Africa should focus more on stabilising the exchange rate, since fluctuations in unemployment are a result of shocks in the real exchange rate, following the macroeconomic transmission channels discussed. / MCom (Economics)--North-West University, Vaal Triangle Campus, 2015

A volatile real exchange rate and high unemployment rate is a growing concern in South Africa, therefore the right macroeconomic policy is required. The challenge is to find stability in the real exchange rate paired with a low inflation rate, both of which are necessary to promote long term economic growth, which in turn creates more job opportunities. This study analyses the impact of the exchange rate on unemployment in South Africa by considering quarterly data for the period 2003 to 2013. In this study, the macroeconomic transmission channel is divided into two transmission paths, imports and exports. These find their roots in the Phillips curve and the Keynesian theory on unemployment respectively. The vector error correction model (VECM), together with an analysis of the impulse response functions and variance decompositions, are implemented to determine the short and long run impacts of the exchange rate on unemployment. After the completion of a variety of specifications, estimations and tests, both macroeconomic transmission paths revealed in the empirical analysis that the real exchange rate has a significant impact on unemployment. In the imports transmission path, the real exchange rate, imports and the CPI have significant long term relationships with unemployment. Furthermore, the exports transmission path found significant short term relations with unemployment in considering the real exchange rate, exports and economic growth. The impulse responses in both transmission paths indicated that a shock in the exchange rate will have a significant effect on unemployment in the short run. Similar results were found with the variance decomposition. In the import transmission path, movements in the real exchange rate explained an increasing portion of the variance in unemployment. Alternatively, in the export transmission path the real exchange rate and exports explained an increasing portion of the variance. The evidence therefore suggests that South Africa should focus more on stabilising the exchange rate, since fluctuations in unemployment are a result of shocks in the real exchange rate, following the macroeconomic transmission channels discussed. / MCom (Economics)--North-West University, Vaal Triangle Campus, 2015

Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets. An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant? Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.

<p>The present thesis tries to argue the importance of non monetary factors in explaining real exchange rate volatility. The main interest is on the effect of trade openness on real effec-tive exchange rate (REER) volatility. Based on theoretical studies I test the existence of a negative relationship between total trade share of an economy and the volatility of REER. Empirical evidence on a panel of 11 CEE and Baltic Countries for the 1995-2006 period confirms the relationship. The conclusion is that for these specific countries a large part of variation of the real exchange rate can be explained by openness of the respective economy to trade.</p>

High inflation economies, especially the Latin American cases like Argentina and Brazil, have ultimately been successful in stabilising their prices using the exchange rate as a nominal anchor. Contrary to conventional wisdom inflation in these cases has not been reduced at the cost of temporary recessions, instead, they have shown positive output effects. Various theoretical explanations of such boom-cycles are discussed and a model generating such an outcome is developed. Some empirical evidence is given by the Brazilian "Real Plan" of 1994. Nevertheless, the medium and long-term effects of such programmes can result in recessions and a resumption of high inflation, although the cases show that such "postponed stabilisation costs" can be overcome by adequate and flexible supply-side policies accompanying the stabilisation programme. (author's abstract) / Series: Department of Economics Working Paper Series