The thesis analyses the external economic balance of the Czech Republic from 2000 till 2011 based on the balance of payments, investment positions and the external debt statistics. in conjunction with the exchange rate development. The main evaluation indicators used in the thesis are the current account balance, the basic balance and external debt. The thesis explains the causes of the development of these indicators and their consequences, considers the trend and then assess whether we can speak about a sustainable form of the external economic balance in the case of the Czech Republic.

Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises foram feitas com dados mensais do período jan/2000-jun/2008. No primeiro estudo, mostrou-se que diferentes medidas de reservas internacionais apresentam efeito significativo na explicação do rating soberano de crédito, através de modelos ordered logit para a média dos ratings emitidos pelas três principais agências (Moody's, Standard & Poors e Fitch). Entretanto, o indicador de maior poder explicativo não foi o nível absoluto de reservas, mas a razão entre dívida pública externa líquida e PIB. Outras variáveis de destacada importância na maioria dos modelos foram o percentual da dívida interna de curto prazo, investimento estrangeiro direto/PIB e inflação. Variáveis tradicionalmente utilizadas como indicadores de liquidez, como razão reservas/importações e conta corrente/PIB, não foram significativas na maioria dos modelos. Os resultados confirmam os indícios contidos no discurso das agências de rating, quanto à importância das reservas internacionais em sua avaliação, embora alertando que outras variáveis, como perfil de endividamento do governo e perspectivas de crescimento, são também fundamentais. O segundo estudo de caso encontrou relação significativa entre as reservas internacionais e o spread soberano, através de modelos de correção de erros. O efeito estimado do rating soberano foi não-significativo ou pouco explicativo, comparado aos fundamentos, provavelmente devido à volatilidade do spread soberano em resposta a variações nas condições do mercado, ao contrário do rating. O melhor modelo obtido utilizou o nível absoluto de reservas, evidenciando também efeitos significativos da aversão global ao risco, taxas de juros internacionais e crises políticas internas. Os resultados desse estudo indicam custo marginal decrescente das reservas internacionais e a necessidade de considerá-lo endógeno em modelos de minimização de custos para determinação do nível ótimo de reservas. O terceiro estudo implementou a metodologia de Liquidity-at-Risk sugerida por Greenspan (1999) para avaliar a adequação do nível de reservas internacionais para a manutenção da liquidez externa. Para a medida de liquidez reservas/dívida externa de curto prazo (razão de Guidotti), estimou-se que o nível de reservas internacionais mantidas pelo Brasil em jun/2008 (US$200 bilhões) era aproximadamente o dobro do necessário para garantir uma razão de Guidotti superior a 1, com 99% de probabilidade, durante 24, 36 ou 48 meses. Em diversos cenários alternativos de percentual das dívidas externa e interna de curto prazo, meta de superávit primário, índice de aversão ao risco e taxas de juros externas, as reservas iniciais necessárias situaram-se em US$85-105 bilhões. A análise de custos revela que o aumento das reservas diminui os juros médios da dívida, embora efeito maior pudesse ser alcançado através do aumento do superávit primário. As evidências sugerem que a motivação das autoridades brasileiras para a manutenção de reservas em torno de US$200 bilhões não é puramente precaucionária, admitindo as hipóteses de ganho de credibilidade e flexibilidade para a execução da política fiscal. / This thesis developed three case studies on the Brazilian international reserves, using various econometric techniques in order to determine the influence of absolute and relative measures of reserves over both the sovereign credit rating and the sovereign spread, as well as to assess the adequate reserves level to ensure external liquidity. Analyses were carried out on monthly data from Jan/2000 to Jun/2008. The first case study found significant effects of different reserves measures in explaining the sovereign credit rating, by fitting ordered logit models to the average of the ratings issued by the three main agencies (Moody's, Standard & Poors and Fitch) for the Brazilian long term external debt. However, the best explaining variable was not the absolute level of reserves, but the ratio "net public external debt/GDP" instead. It was noteworthy the significance of the following variables in most of the models tested: short term internal debt (%), foreign direct investment/GDP and inflation. Variables traditionally used as external liquidity measures, like reserves/imports and current account/GDP, are not statistically significant in most of the models fitted in this study. Results support the evidence found in the rating agencies' reports, as to the importance of international reserves in their credit quality assessment, although pointing to other variables, like government debt profile and growth perspectives, as equally critical. The second case study found significant relationship between the Brazilian international reserves and its sovereign spread, using error correction models. The estimated effect of sovereign rating was either non-significant, or poorly explanatory when compared to macroeconomic fundamentals, probably due to the volatility of sovereign spread in response to changes in market conditions, unlike the sovereign rating. The best model obtained included the absolute level of reserves, showing also significant effect of the global risk aversion, external interest rates and internal political crises. The results of this study point to a decreasing marginal cost of international reserves and the need of considering it as endogenous in optimal reserves models based in cost minimization. Finally, the third case study implemented the Liquidity-at-Risk methodology suggested by Greenspan (1999), in order to assess the Brazilian reserves level adequacy in maintaining external liquidity. For the liquidity measure adopted - the ratio "reserves/short term external debt" (Guidotti's ratio) - it was found that the Brazilian reserves level held in Jun/2008 (US$200 billion) was roughly twice the necessary one to ensure a Guidotti's ratio above 1, with 99% probability, within 24, 36 or 48 months. In several alternative scenarios varying the short term external debt, short term internal debt, primary surplus, global risk aversion and external interest rates, the required initial reserves was in the range US$85-105 billion. An analysis of alternative policies' costs revealed the expected effect of higher reserves in decreasing the average debt service, although a dramatically higher impact would be obtained by an increase in primary surplus. Evidence suggest that the Brazilian authorities motivation for holding international reserves as high as US$200 billion may not be purely precautionary, pointing to the hypotheses of credibility gains and fiscal flexibility issues.

Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises foram feitas com dados mensais do período jan/2000-jun/2008. No primeiro estudo, mostrou-se que diferentes medidas de reservas internacionais apresentam efeito significativo na explicação do rating soberano de crédito, através de modelos ordered logit para a média dos ratings emitidos pelas três principais agências (Moody's, Standard & Poors e Fitch). Entretanto, o indicador de maior poder explicativo não foi o nível absoluto de reservas, mas a razão entre dívida pública externa líquida e PIB. Outras variáveis de destacada importância na maioria dos modelos foram o percentual da dívida interna de curto prazo, investimento estrangeiro direto/PIB e inflação. Variáveis tradicionalmente utilizadas como indicadores de liquidez, como razão reservas/importações e conta corrente/PIB, não foram significativas na maioria dos modelos. Os resultados confirmam os indícios contidos no discurso das agências de rating, quanto à importância das reservas internacionais em sua avaliação, embora alertando que outras variáveis, como perfil de endividamento do governo e perspectivas de crescimento, são também fundamentais. O segundo estudo de caso encontrou relação significativa entre as reservas internacionais e o spread soberano, através de modelos de correção de erros. O efeito estimado do rating soberano foi não-significativo ou pouco explicativo, comparado aos fundamentos, provavelmente devido à volatilidade do spread soberano em resposta a variações nas condições do mercado, ao contrário do rating. O melhor modelo obtido utilizou o nível absoluto de reservas, evidenciando também efeitos significativos da aversão global ao risco, taxas de juros internacionais e crises políticas internas. Os resultados desse estudo indicam custo marginal decrescente das reservas internacionais e a necessidade de considerá-lo endógeno em modelos de minimização de custos para determinação do nível ótimo de reservas. O terceiro estudo implementou a metodologia de Liquidity-at-Risk sugerida por Greenspan (1999) para avaliar a adequação do nível de reservas internacionais para a manutenção da liquidez externa. Para a medida de liquidez reservas/dívida externa de curto prazo (razão de Guidotti), estimou-se que o nível de reservas internacionais mantidas pelo Brasil em jun/2008 (US$200 bilhões) era aproximadamente o dobro do necessário para garantir uma razão de Guidotti superior a 1, com 99% de probabilidade, durante 24, 36 ou 48 meses. Em diversos cenários alternativos de percentual das dívidas externa e interna de curto prazo, meta de superávit primário, índice de aversão ao risco e taxas de juros externas, as reservas iniciais necessárias situaram-se em US$85-105 bilhões. A análise de custos revela que o aumento das reservas diminui os juros médios da dívida, embora efeito maior pudesse ser alcançado através do aumento do superávit primário. As evidências sugerem que a motivação das autoridades brasileiras para a manutenção de reservas em torno de US$200 bilhões não é puramente precaucionária, admitindo as hipóteses de ganho de credibilidade e flexibilidade para a execução da política fiscal. / This thesis developed three case studies on the Brazilian international reserves, using various econometric techniques in order to determine the influence of absolute and relative measures of reserves over both the sovereign credit rating and the sovereign spread, as well as to assess the adequate reserves level to ensure external liquidity. Analyses were carried out on monthly data from Jan/2000 to Jun/2008. The first case study found significant effects of different reserves measures in explaining the sovereign credit rating, by fitting ordered logit models to the average of the ratings issued by the three main agencies (Moody's, Standard & Poors and Fitch) for the Brazilian long term external debt. However, the best explaining variable was not the absolute level of reserves, but the ratio "net public external debt/GDP" instead. It was noteworthy the significance of the following variables in most of the models tested: short term internal debt (%), foreign direct investment/GDP and inflation. Variables traditionally used as external liquidity measures, like reserves/imports and current account/GDP, are not statistically significant in most of the models fitted in this study. Results support the evidence found in the rating agencies' reports, as to the importance of international reserves in their credit quality assessment, although pointing to other variables, like government debt profile and growth perspectives, as equally critical. The second case study found significant relationship between the Brazilian international reserves and its sovereign spread, using error correction models. The estimated effect of sovereign rating was either non-significant, or poorly explanatory when compared to macroeconomic fundamentals, probably due to the volatility of sovereign spread in response to changes in market conditions, unlike the sovereign rating. The best model obtained included the absolute level of reserves, showing also significant effect of the global risk aversion, external interest rates and internal political crises. The results of this study point to a decreasing marginal cost of international reserves and the need of considering it as endogenous in optimal reserves models based in cost minimization. Finally, the third case study implemented the Liquidity-at-Risk methodology suggested by Greenspan (1999), in order to assess the Brazilian reserves level adequacy in maintaining external liquidity. For the liquidity measure adopted - the ratio "reserves/short term external debt" (Guidotti's ratio) - it was found that the Brazilian reserves level held in Jun/2008 (US$200 billion) was roughly twice the necessary one to ensure a Guidotti's ratio above 1, with 99% probability, within 24, 36 or 48 months. In several alternative scenarios varying the short term external debt, short term internal debt, primary surplus, global risk aversion and external interest rates, the required initial reserves was in the range US$85-105 billion. An analysis of alternative policies' costs revealed the expected effect of higher reserves in decreasing the average debt service, although a dramatically higher impact would be obtained by an increase in primary surplus. Evidence suggest that the Brazilian authorities motivation for holding international reserves as high as US$200 billion may not be purely precautionary, pointing to the hypotheses of credibility gains and fiscal flexibility issues.

A década de 1980 ficou conhecida no Brasil como a década perdida. Certamente, os anos 1980 expressaram fortemente o que representou a chamada crise da dívida para os países periféricos, especialmente, os latino-americanos. Os governos da Ditadura militar condicionaram as políticas econômicas para o pagamento da dívida externa. A dívida foi internalizada e estatizada ao longo dos anos 1980, o que deixou o país à beira do colapso, com queda do produto interno, altas taxas de inflação e com o Estado paralisado por conta do endividamento externo e interno. O governo Sarney, apesar de ser o primeiro governo civil após a Ditadura, não foi eleito pelo voto do povo. A transição democrática, feita em comum acordo com os grupos que deixavam o poder, levou à mudança somente na aparência, mas a essência permanecia a mesma. Sarney era presidente do partido (PDS) sucessor da Arena e sustentáculo político civil da Ditadura. Deixou o partido em junho de 1984, portanto, menos de um ano antes de tomar posse como presidente da República, em uma coalização aparentemente de oposição. Assim, essa dissertação busca compreender de que forma as políticas econômicas do governo Sarney também representaram uma continuidade em relação aos governos anteriores, apesar dos sucessivos planos de estabilização, que grande parte da historiografia econômica considerou como não-ortodoxos. / 1980s were recognized as the lost decade. Certainly this period expressed what represented the known debt crisis for underdeveloped countries especially the latin americans. The military government engaged the economical policies to payment of external debt. The debt became public at 1980s and this induced a fall on the internal product, a high inflation rates and had the effect on the State leading to a standstill period caused by the external and internal debts. Sarney was not elected by people vote even he was the first president after military government. The democratic transition period was achieved by pact with the left group power and this fact changed appearance only and not the essence. Sarney was the president of PDS, followed by the Arena witch sustained the military government; he has left this party in June 1984, one year before become president of Republic seeming opposition grouping. This study aim to understand the economical policies of Sarney government is continuing of previous governments although stabilization plans were attempt and that the economical historiography considers as not orthodox.

Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises foram feitas com dados mensais do período jan/2000-jun/2008. No primeiro estudo, mostrou-se que diferentes medidas de reservas internacionais apresentam efeito significativo na explicação do rating soberano de crédito, através de modelos ordered logit para a média dos ratings emitidos pelas três principais agências (Moody's, Standard & Poors e Fitch). Entretanto, o indicador de maior poder explicativo não foi o nível absoluto de reservas, mas a razão entre dívida pública externa líquida e PIB. Outras variáveis de destacada importância na maioria dos modelos foram o percentual da dívida interna de curto prazo, investimento estrangeiro direto/PIB e inflação. Variáveis tradicionalmente utilizadas como indicadores de liquidez, como razão reservas/importações e conta corrente/PIB, não foram significativas na maioria dos modelos. Os resultados confirmam os indícios contidos no discurso das agências de rating, quanto à importância das reservas internacionais em sua avaliação, embora alertando que outras variáveis, como perfil de endividamento do governo e perspectivas de crescimento, são também fundamentais. O segundo estudo de caso encontrou relação significativa entre as reservas internacionais e o spread soberano, através de modelos de correção de erros. O efeito estimado do rating soberano foi não-significativo ou pouco explicativo, comparado aos fundamentos, provavelmente devido à volatilidade do spread soberano em resposta a variações nas condições do mercado, ao contrário do rating. O melhor modelo obtido utilizou o nível absoluto de reservas, evidenciando também efeitos significativos da aversão global ao risco, taxas de juros internacionais e crises políticas internas. Os resultados desse estudo indicam custo marginal decrescente das reservas internacionais e a necessidade de considerá-lo endógeno em modelos de minimização de custos para determinação do nível ótimo de reservas. O terceiro estudo implementou a metodologia de Liquidity-at-Risk sugerida por Greenspan (1999) para avaliar a adequação do nível de reservas internacionais para a manutenção da liquidez externa. Para a medida de liquidez reservas/dívida externa de curto prazo (razão de Guidotti), estimou-se que o nível de reservas internacionais mantidas pelo Brasil em jun/2008 (US$200 bilhões) era aproximadamente o dobro do necessário para garantir uma razão de Guidotti superior a 1, com 99% de probabilidade, durante 24, 36 ou 48 meses. Em diversos cenários alternativos de percentual das dívidas externa e interna de curto prazo, meta de superávit primário, índice de aversão ao risco e taxas de juros externas, as reservas iniciais necessárias situaram-se em US$85-105 bilhões. A análise de custos revela que o aumento das reservas diminui os juros médios da dívida, embora efeito maior pudesse ser alcançado através do aumento do superávit primário. As evidências sugerem que a motivação das autoridades brasileiras para a manutenção de reservas em torno de US$200 bilhões não é puramente precaucionária, admitindo as hipóteses de ganho de credibilidade e flexibilidade para a execução da política fiscal. / This thesis developed three case studies on the Brazilian international reserves, using various econometric techniques in order to determine the influence of absolute and relative measures of reserves over both the sovereign credit rating and the sovereign spread, as well as to assess the adequate reserves level to ensure external liquidity. Analyses were carried out on monthly data from Jan/2000 to Jun/2008. The first case study found significant effects of different reserves measures in explaining the sovereign credit rating, by fitting ordered logit models to the average of the ratings issued by the three main agencies (Moody's, Standard & Poors and Fitch) for the Brazilian long term external debt. However, the best explaining variable was not the absolute level of reserves, but the ratio "net public external debt/GDP" instead. It was noteworthy the significance of the following variables in most of the models tested: short term internal debt (%), foreign direct investment/GDP and inflation. Variables traditionally used as external liquidity measures, like reserves/imports and current account/GDP, are not statistically significant in most of the models fitted in this study. Results support the evidence found in the rating agencies' reports, as to the importance of international reserves in their credit quality assessment, although pointing to other variables, like government debt profile and growth perspectives, as equally critical. The second case study found significant relationship between the Brazilian international reserves and its sovereign spread, using error correction models. The estimated effect of sovereign rating was either non-significant, or poorly explanatory when compared to macroeconomic fundamentals, probably due to the volatility of sovereign spread in response to changes in market conditions, unlike the sovereign rating. The best model obtained included the absolute level of reserves, showing also significant effect of the global risk aversion, external interest rates and internal political crises. The results of this study point to a decreasing marginal cost of international reserves and the need of considering it as endogenous in optimal reserves models based in cost minimization. Finally, the third case study implemented the Liquidity-at-Risk methodology suggested by Greenspan (1999), in order to assess the Brazilian reserves level adequacy in maintaining external liquidity. For the liquidity measure adopted - the ratio "reserves/short term external debt" (Guidotti's ratio) - it was found that the Brazilian reserves level held in Jun/2008 (US$200 billion) was roughly twice the necessary one to ensure a Guidotti's ratio above 1, with 99% probability, within 24, 36 or 48 months. In several alternative scenarios varying the short term external debt, short term internal debt, primary surplus, global risk aversion and external interest rates, the required initial reserves was in the range US$85-105 billion. An analysis of alternative policies' costs revealed the expected effect of higher reserves in decreasing the average debt service, although a dramatically higher impact would be obtained by an increase in primary surplus. Evidence suggest that the Brazilian authorities motivation for holding international reserves as high as US$200 billion may not be purely precautionary, pointing to the hypotheses of credibility gains and fiscal flexibility issues.

The objective of the thesis is to analyze the external economic stability of the Slovak republic. First part of the thesis explains fundamental theories of the balance of payments, its structure and equalizing mechanisms. The analysis of the external economic stability is based on the development of the balances of payments between the years 2000 and 2008. The analysis of the external debt and the international investment position are also involved to complete the image of the Slovak external economic stability.

Banking crisis and following sovereign debt crisis are the cause of some changes on the financial market. This thesis is mainly focused on the debt crisis and its impact on financial sector stability. Roots, consequences and probable solutions of the debt crisis are also examined. Among analysed solutions were included proposals for financial transaction tax, stability bonds and regulation under new concept of CRD IV, bail-in and federalization of the eurozone. Analysed are also ratings, fiscal policy and optimality of the euro currency areas and its impact on stability of financial institutions. According to results, some proposals could be contrary to each other if implemented in its present form. Or it can increase moral hazard of financial institutions. Another consequence is establishment of new regulations. On the other hand, positive is that financial institutions have endured the sovereign debt crisis.

[pt] Muitos pesquisadores acreditam haver relação entre os mercados de dívida externa soberana e corporativa. Esta idéia é corroborada pela observação em países desenvolvidos, cujos mercados de títulos privados são frequentemente acompanhados de ativa negociação e emissão de títulos do governo. A literatura acadêmica sobre o tema sugere que títulos soberanos possuem um papel de referência para a determinação do valor dos ativos corporativos. Em um contexto de mercado favorável para o Brasil, caracterizado pela obtenção do grau de investimento e captações externas frequentes, com custos cada vez mais baixos, analisamos o impacto que uma emissão soberana exerce sobre a liquidez de títulos de empresas brasileiras emitidos no exterior. A principal hipótese é que lançamentos soberanos contribuem para o aumento da liquidez ao reduzir o risco de seleção adversa associado à assimetria de informações. Constatamos que as emissões do governo diminuem o yield spread e bid-ask spread dos títulos corporativos de forma significativa. Esse resultado indica que títulos soberanos atuam como benchmarks e contribuem para o estabelecimento e crescimento do mercado de dívida externa corporativa. / [en] Many researchers believe there is a relationship between sovereign and corporate foreign debt markets. This idea is supported by the observation in developed countries, whose corporate bond markets are often accompanied by active trading and issuance of government bonds. The academic literature on the subject suggests that sovereign bonds have a reference role in the valuation of corporate assets. In a context of favorable market for Brazil, characterized by the investment grade status and regular external funding with lower costs, we analyze the impact a sovereign issue has on the liquidity of securities issued by Brazilian companies in the international market. The main hypothesis is that sovereign issuances contribute to increased liquidity as reduce the risk of adverse selection associated with asymmetric information. We note that government issues lowers the yield spread and bid-ask spread of foreign corporate bonds significantly. This result indicates that sovereign bonds act as benchmarks and contribute to the establishment and growth of the foreign corporate debt market.

L’objectif de cette thèse est de mieux appréhender les déterminants du risque souverain et de la soutenabilité budgétaire des pays émergents, afin d’identifier les éléments qui permettraient à ces pays de se protéger d’un tel risque. Nous mettons en place des outils économétriques et théoriques adaptés aux particularités de ces pays. Ces derniers sont ensuite déclinés pour tenter d’anticiper les épisodes de défaut souverain sévère via un modèle à changement de régime de type "early warning", pour effectuer des simulations stochastiques de ratio de dette souveraine à moyen-terme et évaluer les effets de politiques budgétaires définies à cet horizon et enfin, pour caractériser la distribution du ratio de dette externe de ces pays. Cette thèse entend ainsi identifier les pays qui semblent les plus exposés au risque souverain et définir des recommandations de politique économique qui prennent en compte l’hétérogénéité au sein du «bloc» des pays émergents et au cours du temps. / The objective of this thesis is to obtain a better understanding of the determinants of sovereign default and medium-term sustainability inemerging market countries, so as to define ways through which they may protect themselves from these sovereign risks. We provide econometric tools and a theoretical model that are adapted to these countries’ specific features. This aims to anticipate severe sovereign default episodes through a regime switching early-warning type model, to assess medium-term public debt prospects and the impact of defined fiscal policies through stochastic debt simulations and to characterize the distribution of the external debt ratio of emerging market countries. It eventually enables to identify the countries that are the most exposed to sovereign risk and to draw up a set of policy recommendations, allowing for a differentiation within this heterogeneous block of countries and through time.

This thesis focuses on the theoretical conception of the Balance of Payment, its method of adjustment and stress the development of the Czech republic's Balance of Payment in period 2000 -- 2010 via analytical-descriptive approach. It defines its basic terms practical relations within framework of the horizontal and vertical outlook. Thesis's Attention is spread out between status and flow quantity. Thesis is also consist of three boxes that contain a short profile of intertemporal approach to the Common Account, sustainability of investment position and excursion to the essential theories of foreign currency exchange rate that is related to the Balance of payment tight. The end is dedicated to the "traditional" indicators of external equilibrium of the Czech republic in pre-monetary crisis era and in the present.