This paper analyzes the influence of exchange rate regimes on fiscal performance, focusing on the difference between fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology for dynamic proposal panel models proposed by Arellano and Bond (1991) and diverse exchange rate classifications are used. In relation to the latter, this paper discusses recent regimes classifications and proposes a new one that permits to cover possible inconsistencies between the commitment of the central bank and its observed behavior. The results suggest that regimes’ influence on fiscal performance depend on the international context, specifically the possibility of indebtedness and of the characteristics of the international finance system –integration, volatility and dominant financial structure-. In other words, it depends on credit availability as well as on the conditions or potential sanctioning of the finance system. It is found that in contexts where there is no original fiscal discipline and the authorities have the possibility of financing with debt of relatively low cost, fixed regimes do not purvey per se greater fiscal discipline than the flexible ones. On the contrary, flexible ones generate more discipline. In contexts with strong financing restrictions, the discipline’s effects of both regimes are not substantially different. While in situations with abundance of capitals but where they are highly integrated, volatile and possibly subject to contagion effect, the same functioning of the international finance system can, through their potential sanction, achieve greater discipline in economies with fixed regimes that wish to remain as such.

Financial dollarization, defined as the substantial presence of foreign currency denominated assets and liabilities in the balance sheets of the main sectors of an economy, is a widespread phenomenon among developing economies, especially in Latin America and Turkey. Since financial dollarization often causes financial fragility and limits the effectiveness of monetary policy, the causes and consequences of it and dedollarization strategies have been placed at the forefront of policy debates especially in developing countries. The purpose of this study is to analyse the determinants of corporate sector asset and liability dollarization in ten Latin American countries (Argentina, Bolivia, Brazil, Chile, Colombia, Costa Rica, Mexico, Peru, Uruguay and Venezuela) and Turkey for the period 1990-2001. To this end, this study considers the effects of monetary policy stance (exchange rate flexibility and adoption of a de facto inflation targeting regime), institutional structure (governance) and macroeconomic stance variables (volatilities of inflation and real effective exchange rates) on financial dollarization. The results based on panel data estimations suggest that high and volatile inflation and depreciation of domestic currency induce a switch to dollar denominated assets and liabilities. Furthermore, exchange rate regime flexibility appears to reduce liability dollarization and encourage asset dollarization. Finally, the empirical analysis supports the hypothesis that adoption of inflation targeting regime and strengthening the institutional structure are significant in decreasing the level of financial dollarization.

Cette thèse a pour objectif d'étudier le lien entre les régimes de change, les mésalignements de change et les déséquilibres globaux. Elle est conduite dans le cadre d'un panel évolutif d'économies allant des pays en développement aux pays développés. Elle couvre trois principaux thèmes. Nous examinons d'abord les mésalignements de change dans la zone CFA et le projet d'union monétaire en Afrique de l'Ouest. Nous étudions ensuite les implications du choix par un pays d'un régime de change sur sa capacité de résilience aux déséquilibres externes. Enfin, nous analysons l'influence des mésalignements de change sur la persistance des déséquilibres globaux, ainsi que les interactions entre les déséquilibres macroéconomiques.Nous montrons que la monnaie ancre (l'euro) joue un rôle prédominant dans l'explication des mésalignements du franc CFA, toute chose égale par ailleurs, y compris les fondamentaux du franc CFA. Sur la base d'une nouvelle méthodologie basée sur la synchronisation des mésalignements que nous proposons, nous mettons en évidence qu'il existe des similarités entre les pays de l'UEMOA, le Ghana, la Gambie et la Sierra Leone dans le cadre d'une union monétaire. En revanche, les cycles ne sont pas suffisamment synchronisés entre ce bloc et le Nigeria qui reste structurellement plus proche des pays de la CEMAC.Concernant les pays d'Afrique subsaharienne, nous montrons que les régimes de change flexibles sont plus efficaces pour limiter déséquilibres externes et pour assurer la soutenabilité externe.Nous montrons que la persistance des déséquilibres de comptes courants est fortement et asymétriquement liés aux mésalignements de change dans les pays développés et que les déséquilibres macroéconomiques interagissent fortement à travers une relation causale. / This thesis aims to study the link between exchange rate regimes, exchange rate misalignments and external imbalances. Our research is conducted in the context of an evolving panel of economies ranging from developing countries to developed countries. Our investigation covers three main themes. We first we examine exchange rate misalignments in the CFA zone and the monetary union project in West Africa. We then we study the implications of the choices made by a country concerning exchange rate regimes with regard to their ability to be resilient to external imbalances in sub-Saharan African countries. Finally, we analyze the influence of exchange rate misalignments on the persistence of global imbalances, as well as the interactions between macroeconomic imbalances.We show that the anchor currency (the euro) plays a predominant role in explaining the CFA franc misalignments, all else being equal, including economics fundamentals of the CFA franc. Relying on a new methodology based on synchronization misalignments that we propose, we highlight that there are some similarities between the WAEMU countries, Ghana, Gambia and Sierra Leone. In contrast, the cycles of misalignments are not sufficiently synchronized between this block and Nigeria, which remains structurally closer to the CAEMC countries.With regard to sub-Saharan Africa, we show that the flexible exchange rate regimes are more effective in limiting external imbalances and to ensure external sustainability.We show that the persistence of current account imbalances is strongly and asymmetrically related to exchange rate misalignments in industrialized countries and that the macroeconomic imbalances strongly interact through a causal relationship.

Os recentes superávits comerciais da economia brasileira transformaram a percepção de elevada fragilidade das contas externas do país que se verificou nas duas últimas décadas e meia. Diante desta nova realidade, parece pertinente avaliarmos quais foram os determinantes deste saldo comercial a partir dos elementos tradicionais da literatura, como a taxa de câmbio, os preços externos e a renda doméstica e mundial. Com este propósito, foram estimadas equações de longo prazo para as exportações e importações brasileiras para que se pudesse avaliar as elasticidades do comércio de bens e serviços não fatores do país. A metodologia utilizada foi a de cointegração proposta por Johansen (1988) e Johansen e Juselius (1990). A estimação das elasticidades se dividiu em dois períodos: 1980-1998 e 1980-2005. Com tal divisão pretendemos capturar os efeitos da mudança do regime cambial de 1999 sobre as contas externas. Além disso, foram realizados uma série de testes recursivos para se checar a estabilidade, quebras e a robustez da cointegração destas variáveis. Os resultados obtidos foram satisfatórios para as elasticidades, condizentes com trabalhos anteriores, mas agregaram a informação da elasticidade para o conjunto de bens e serviços não fatores e não apenas de bens. Além disso, foram identificadas uma série de quebras no período de estimação, em geral associadas a períodos críticos de mudanças de política econômica. Finalmente, foi possível identificar que após a flutuação cambial houve um aumento da elasticidade renda externa das exportações e uma redução da elasticidade-câmbio de exportações e importações. O trabalho conclui sugerindo que os elevados saldos comerciais são resultantes de uma particular combinação de preços externos favoráveis, câmbio real depreciado e renda mundial elevada, além de alguma mudança estrutural associada à maior resposta das exportações à renda mundial, provavelmente por conta do resgate das vantagens comparativas brasileiras na esteira da mudança do regime cambial em 1999. / The recent Brazilian trade surpluses changed the perception about the fragility of the external accounts of the Brazilian economy that lasted for the last two and a half decades. In the face of this new reality it seem reasonable to evaluate which were the determinants of this trade surplus, taking into account the traditional variables of the external accounts literature, like the currency, the external prices, the domestic and foreign output. With this purpose we estimated long run equations for exports and imports for evaluating the external trade of goods and services elasticities. The methodology applied was that proposed by Johansen (1988) and Johansen and Juselius (1990) that take for the account of cointegration methods. The estimation was divided into two periods: 1980-1998 and 1980-2005. With such a division, we intend to capture the effects of the change in the Brazilian foreign exchange regime introduced in 1999 over the external accounts. Further, we tested these models recursively to check for stability, breaks and cointegration power. The results were satisfactory in terms of the elasticities, in line with previous jobs on this field, but we add the information on the aggregated goods and services elasticities, usually estimated only for the goods markets. Further we identified many brakes over the estimation sample, generally associated with macroeconomic policy changes. Finally it was possible to identify that after the floating of the Brazilian currency the external income elasticity of the exports jumped to a higher level and the currency elasticities of both exports and imports showed some reduction. We conclude by saying that the huge trade surpluses recently observed are the result of a particular combination of external favorable prices, a depreciated real exchange and a high level of world income growth, as far as some structural change associated with the bigger responsiveness of the exports to the world growth, probably due to the resurge in the Brazilian external comparative advantages in the face of the currency flotation of 1999.

La première partie de la thèse se compose d'une recherche empirique visant à examiner si les producteurs de produits primaires s'adaptent mieux après un choc d'offre sous un régime de taux de change flottant. À l'aide d'un modèle VAR, j'ai trouvé que les régimes de taux de change flexible n'effectuent pas mieux à isoler l'économie des chocs externes. Par conséquent, la deuxième partie de la thèse vise à établir ou non si les régimes de taux de change fournissent certains avantages pour les pays exportateurs de produits primaires tels que le fait d'attirer les investissements directs a l'étranger. À l'aide de différentes estimations économétriques, les résultats montrent que les régimes de taux de change influencent les investissements directs à l'étranger et en particulier, les régimes de change fixes plutôt que les régimes plus flexibles. / The first part of dissertation consists of an empirical research aiming at investigating whether primary commodity producers perform better after a real shock with floating exchange rate regimes. Using a VAR model I found that flexible exchange rate regimes do not perform better at insulating the output from external shocks. Therefore, the second part of the dissertation aims at establishing whether or not exchange rate regimes provide certain benefit for those countries such as attracting foreign direct investments. Using panel data estimation techniques, I found that exchange rate regimes matters in attracting FDI and in particular fixed regimes rather than flexible regimes.

En dépit du renforcement de leur ouverture commerciale, le commerce extérieur des pays du Mashrek a presque toujours affiché des chiffres plutôt négatifs. Selon la littérature, l'ouverture commerciale est une des conditions permettant une croissance vigoureuse d'un pays. Néanmoins, la tendance constatée à la lumière des données du commerce de ces pays, traduirait une réalité alarmante. L'ouverture ne s'est pas traduite par une accélération des niveaux des investissements, ni par une création d'emplois. Est-ce que les politiques commerciales et de change menées par les pays du Mashrek sont responsables de cette persistance des déficits commerciaux ? Motivée par l’aggravation remarquable du solde de la balance commerciale libanaise survenue dans le profil global des échanges extérieurs du Liban, la présente recherche examine le comportement dynamique des exportations et importations libanaises en comparaison avec ses pays voisins (la Syrie, l’Egypte et la Jordanie) dans un contexte économique régional et international en mutation, en proposant une analyse empirique des déterminants des flux commerciaux ayant pour objet d’établir dans quelle mesure la politique commerciale et de change seraient responsables des faits stylisés observés. / Despite the strengthening of their commercial openness, the Mashreq countries trade has rather always displayed negative results. According to the literature, opening up trade is one of the conditions leading to any country’s vigorous growth. Nevertheless, the trend found in the light of these countries’ trade data, indicates an alarming reality. The openness was neither translated into accelerated levels of investments nor created new job opportunities. Are the trade and exchange rate policies pursued by the Mashreq countries responsible for this persistence in trade deficits ? Motivated by outstanding worsening deflection of the trade balance in the overall Lebanese external trade profile, the current research examines the dynamic behavior of the Lebanese exports and imports compared to its neighboring countries (Syria, Egypt, and Jordan) in a regional and international changing economic context. An empirical analysis of the trade flows determinants was adopted in order to establish to what extent the trade and Exchange policies would be responsible for the observed stylized facts.

Made available in DSpace on 2016-04-26T20:48:38Z (GMT). No. of bitstreams: 1 Paula Oda.pdf: 1429202 bytes, checksum: 4f6c371534db698c67b0bd2458432d25 (MD5) Previous issue date: 2013-05-25 / Exchange rate is an important element in the economic growth process in developing countries. It is supposed that the maintenance of this rate at relatively undervalued and competitive levels generates economic stimulus necessary to promote this growth by enabling greater competitiveness in the international trade, capable of producing positive expectations in economic agents, stimulating productive investment, and industrial development. However, it will be noticed that the process of financial globalization has resulted in an increase of capital flows, leading to significant effects on exchange rates in developing countries, and reducing the ability of monetary authorities in theses countries to control the exchange rate. The adoption of a flexible exchange rate policy, as proposed by orthodox theories, ended up allowing that the increase of speculative capital flow toward the peripheral economies provoking an intense appreciation of these currencies. This appreciation harmed the process of economic growth in these countries by reducing competitiveness in the international market, favoring an increase in imports, and discouraging productive investment, which could lead to a change in the productive structure in a way to incentive the targeting toward primary-export activities. Analyzing the performance of the Brazilian economy in the period between 1999 and 2011, this tendency toward currency appreciation and its impact on economic performance is noticed, resulting in a moderate growth, below the level observed in its major competitors. The results observed in the Brazilian economy suggest the need for a more active exchange policy, in order to preserve the exchange rate in undervalued levels, in a way to promote stimulus to economic growth. However, it is important to highlight that the Brazilian exchange market presents a structure that encumbers interventions that aim to preserve an exchange rate that favors economic growth, whereupon the spot market suffers intense influence from derivatives markets strongly speculative. This peculiarity should be explored in the discussion for a strategy of economic growth supported by an undervalued exchange policy / A taxa de câmbio é um importante elemento no processo de crescimento econômico dos países em desenvolvimento. Propõe-se que a manutenção dessa taxa em níveis relativamente desvalorizados e competitivos gera estímulos econômicos necessários para promover esse crescimento ao possibilitar maior competitividade no comércio internacional, capaz de produzir expectativas positivas nos agentes econômicos, estimular o investimento produtivo e o desenvolvimento industrial. No entanto, se observará que o processo de mundialização financeira resultou em um aumento dos fluxos de capitais, provocando efeitos significativos nas taxas de câmbio dos países em desenvolvimento e reduzindo a capacidade de controle cambial das autoridades monetárias desses países. A adoção de um regime de câmbio flexível, tal como proposto pelas teorias ortodoxas, acaba por permitir que o aumento dos fluxos de capitais especulativos em direção às economias periféricas provocasse uma intensa valorização dessas moedas. Essa valorização, prejudica o processo de crescimento econômico desses países ao reduzir a competitividade no mercado internacional, favorecer o aumento das importações e desestimular o investimento produtivo, podendo provocar uma alteração na estrutura produtiva de forma a incentivar o direcionamento à atividades primárioexportadoras. Ao analisar o desempenho econômico brasileiro no período entre 1999 e 2011 se observa essa tendência à apreciação cambial e seus impactos sobre o desempenho econômico, resultando em um crescimento moderado, abaixo do observado nos seus principais concorrentes. Os resultados observados na economia brasileira sugerem a necessidade de uma política cambial mais ativa, com o objetivo de preservar a taxa de câmbio em níveis desvalorizados, no sentido de promover estímulos ao crescimento econômico. No entanto, destaca-se que o mercado cambial brasileiro apresenta uma estrutura que dificulta as intervenções no sentido de preservar uma taxa de câmbio que favoreça o crescimento econômico, no qual o mercado à vista sofre intensa influência dos mercados derivativos fortemente especulativos. Essa particularidade deve ser explorada na discussão de uma estratégia de crescimento econômico sustentada por uma política de câmbio desvalorizado

L'objectif principal des autorités en Afrique subsaharienne est de créer une croissance durable en raison des récents ralentissements de la croissance. Une croissance durable pourrait être réalisée en réhabilitant les vulnérabilités internes et externes afin d'éviter les perturbations macroéconomiques. En Afrique subsaharienne, les vulnérabilités internes proviennent de la mauvaise gouvernance, des choix inefficaces des politiques économiques et d'autres facteurs tels que les guerres civiles. Leurs vulnérabilités externes sont liées à leurs forte dette et dépendance commerciale. Par conséquent, cette thèse se concentre sur l'atténuation des deux vulnérabilités. Le premier chapitre propose une comparaison de la résilience de deux politiques monétaires à plusieurs types de chocs. On considère le ciblage de l'inflation au Ghana et en Afrique du Sud et la caisse d'émission dans l'UEMOA tout en simulant des chocs sur le modèle FPAS. Le deuxième chapitre se concentre sur l'objectif de la résolution des vulnérabilités externes. On propose une stratégie d'ancrage du régime de change nominal et réel pour stabiliser le coût de la dette et promouvoir la compétitivité commerciale. On résout un modèle d'équilibre général pour trouver ses principaux déterminants tout en sauvegardant nos résultats en utilisant les estimations SVAR et MS-VAR. Ainsi, le troisième chapitre résout les vulnérabilités internes. On teste le rôle d'une politique monétaire régie par la politique fiscal et l'existence d'un grand taux de change parallèle dans la propagation d'une inflation élevée et chronique, dans un contexte de désordre civil en estimant un SVAR et un VECM dans l'état fragile du Soudan. / Sub-Saharan African policy makers’ main objective is to create sustainable growth as a result of the recent downturns of growth. Sustainable growth could be achieved by remediating both internal and external vulnerabilities to avoid macroeconomic disruption. In Sub-Saharan Africa, internal vulnerabilities arise from bad governance and institutions, inefficient choices of economic policies and other factors such as civil wars. As for external vulnerabilities, it is related to their balance of payment weaknesses due to their high debt and high trade dependency (high import to GDP level with low export diversification).Therefore, this thesis focus on alleviating both vulnerabilities.The first chapter proposes a comparison of two monetary policies’ resilience to several types of shocks. We consider inflation targeting in Ghana and South Africa and currency board in WAEMU countries while simulating shocks using FPAS model.The second chapter focuses on the objective of solving external vulnerabilities. We propose a policy-mix strategy where Sub-Saharan African countries undertake simultaneously a nominal and real anchor to stabilise the cost of debt and promote trade competitiveness. We propose a general equilibrium model to find its main determinants while backing up our findings using SVAR and MS-VAR estimations.The third chapter’s objective is solving internal vulnerabilities. We test simultaneous the role of a monetary policy governed by the fiscal policy and the existence of a large parallel exchange rate in propagating a high and chronic inflation, in a context of civil disorder. To do so we estimate an SVAR and a VECM model in a fragile state that is Sudan.

AL’objectif de cette thèse est de tester la corrélation des cycles économiques entre les pays développés et les pays émergents, et de déterminer, en outre, l’importance relative des mécanismes causaux de la synchronisation/désynchronisation cyclique entre ces deux groupes de pays. Il s’agit notamment d’examiner comment les phases cycliques qui secouent les pays avancés se transmettent aux pays émergents. En étudiant les relations économiques entre les pays avancés et les pays émergents, nos résultats montrent qu’il existe une synchronisation cyclique entre les deux groupes de pays, mais aussi, en même temps, un découplage partiel des cycles conjoncturels entre un nombre limité de ces deux groupes de pays, notamment l’Inde et la Chine. Les circuits commerciaux et les canaux financiers sont les déterminants principaux de la synchronisation cyclique entre les pays développés et les pays émergents, en tenant compte d’une importance relative des facteurs financiers. Ce résultat nous a amené à analyser plus en profondeur les aspects financiers. Ainsi, on a étudié, en premier lieu, l’indice des turbulences financières. On observe qu’il existe une forte corrélation entre les troubles financiers des pays avancés et ceux des pays émergents. On a également testé, en second lieu, la synchronisation cyclique sous les différents régimes de change. On constate que les économies émergentes qui adoptent un régime de change intermédiaire sont les plus synchronisées, parce qu’il existe un lien entre corrélation cyclique et comportement des réserves de change. Ces dernières arrivent à leur pic dans un régime de change intermédiaire, ce qui est probablement dû aux relations intenses avec l’Europe et les Etats-Unis qui atteignent leur plus haut niveau sous un système intermédiaire de changes / The aim of this thesis is to analyze business cycles correlation between developed and emerging countries, and to determine the relative importance of causal mechanisms of synchronization/desynchronization between these two groups of countries. The business cycles across countries: divergence or convergence? How cyclical phases that shake the developed countries are transmitted to emerging countries ? By examining the economic relations between advanced and emerging countries, our results show that there is business cycles synchronization between the two groups of countries, but also at the same time, a partial decoupling of business cycles between a limited number of these two groups of countries, particularly India and China. Trade integration and financial channels are the main determinants of cyclical synchronization between developed countries and emerging economies, with a relative importance of the financial factors. This result led us to analyze, further, the financial aspects. Thus, we studied in the first place, the financial stress index. It is observed that there is a strong correlation between financial turmoil of developed countries and emerging countries. It was tested, in the second place, the cyclical synchronization under different exchange rate regimes. It appears that emerging economies that adopt an intermediate exchange rate regime are more synchronized because there is a link between their cyclical correlation and their international reserves behavior. These arrive at their peak under an intermediate exchange rate regime, probably due to the intense relations with Europe and the United States, which reach their highest level under an intermediate exchange rate system.

Au début des années 2000, les pays africains se sont engagés dans des projets d'unions monétaires régionales dans le but de créer une monnaie unique pour tout le continent à l'horizon 2028. L'objectif de cette thèse est d'analyser le bien-fondé d'une telle stratégie, à partir notamment des enseignements qui peuvent être tirés de l'expérience des pays de la zone CFA. Plus précisément, nous analysons les conséquences du choix de ces pays consistant à ancrer leurs monnaies communes à une monnaie extérieure et nous cherchons à savoir s'il est souhaitable ou pas de transposer l'expérience de ces pays à d'autres régions en Afrique.Dans une première partie, nous revisitons les critères d'optimalité des zones CFA et ZMAO en nous intéressant à la dynamique des taux de change réels. Nous mettons en évidence des similarités intéressantes entre les pays de l'UEMOA, le Ghana, la Gambie et la Sierra Léone d'une part et entre le Nigéria et la CEMAC d'autre part, indiquant que ces deux groupes de pays pourraient chacun partager une monnaie commune. Nous suggérons également que les critères d'optimalité de la théorie des zones monétaires optimales ne sont pas forcément pertinents. Ainsi, nous montrons, qu'à défaut d'être optimale, la zone CFA, en facilitant les équilibres interne et externe comparativement à d'autres pays d'Afrique Sub-saharienne (ASS), est une zone monétaire soutenable.Dans une seconde partie, nous nous intéressons aux implications économiques du régime de change des pays de la zone CFA qui s'apparente à ce que nous avons appelé un « double ancrage » (c'est-à-dire appartenance à une union monétaire et ancrage de la monnaie commune). Nous montrons que l'appréciation réelle du franc CFA au cours de la dernière décennie s'explique par l'ancrage à un euro qui s'est continuellement apprécié depuis 2001. Elle a conduit à réduire les gains de compétitivité réalisés à la suite de la dévaluation de 1994 et à accroitre les effets négatifs de l'appréciation du taux de change sur la croissance de ces pays. Enfin, en analysant les différences de performances économiques entre les différents régimes de change en vigueur dans l'ASS, nous avançons l'idée selon laquelle un régime d'union monétaire sans ancrage à une monnaie externe pourrait être une meilleure option pour ces pays. / Since the early 2000s, African countries are engaged in regional monetary unions' projects in order to create a single currency for this continent in 2028. The aim of this PhD thesis is to analyze the relevance of such a strategy upon the lessons learned from the experience of the CFA zone countries. Specifically, we analyze the consequences of the choice of those countries to anchor their common currencies to a foreign currency and we look to see whether it is desirable or not to replicate the experience of the CFA zone in other African regions.In a first part, we revisit the arguments about optimum currency areas of the CFA and the WAMZ zones, by studying real exchange rate dynamics. We find interesting similarities between WAEMU and Ghana, Gambia and Sierra Leone as well as between Nigeria and CAEMC, indicating that each of these groups of countries could share its common currency. We also argue that the arguments about optimum currency areas have proved to be less than relevant. Thus we show that, if not optimal, the CFA zone, by facilitating internal and external balances compared to other countries in Sub-Saharan Africa (SSA), is a sustainable monetary area.In a second part, we focus on the economic implications of the exchange rate regime of the CFA countries which consists in what we have called a "double anchoring" (i.e. a monetary union in which the common currency is anchored to a foreign one). We show that the real appreciation of the CFA franc, in the last decade, is due to its peg to the euro that has continuously appreciated since 2001. This appreciation has led to reduced competitiveness gains achieved with the 1994 devaluation and to increase the negative effects of exchange rate's appreciation on economic growth. Finally, analyzing the differences in economic performances between the exchange rate regimes adopted in SSA, we suggest that a monetary union without an external anchor currency could be a better regime for these countries.