Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017 / The study examined the relationship between oil price shocks, volatilities and stock indices in the African emerging markets. The ARDL and Bivariate BEKK GARCH models are used in this study. The countries examined are Botswana, Egypt, Mauritius, Morocco, Namibia, Nigeria, South Africa, Tanzania, Kenya, Ghana, Tunisia, and the MSCI’s World Index. The study shows a bidirectional relationship between oil price shocks for Nigeria and the MSCI, but unidirectional flow from oil price shocks to Botswana, Egypt, Mauritius, Morocco, Namibia, South Africa, Tanzania, Kenya, Ghana, and Tunisia. In addition, there is evidence of unidirectional volatility spill over from oil returns to Botswana, Namibia, Tanzania, Mauritius and Kenyan, Nigeria, Tanzania, Kenya and Ghana. Finally, the study found bidirectional volatility between oil and index returns in MSCI, South Africa, and Tunisia. / MT2017

The Basel III accord is the cornerstone of global financial reform efforts that seek to guard against the types of financial crisis seen in 2007/8. It requires banks to fund more of their activities with better-quality capital and, in so doing, attempts to assure that they are better able to absorb shocks that can lead to crises. However, capital requirements come with a range of costs, which could spark a slowdown in credit or a change in the types of lending banks engage in. This paper conducts a comprehensive literature review of theoretical and empirical studies of the impacts of previous Accords, Basel I and Basel II, and attempts to draw lessons on possible downside effects of the latest iteration of the Basel Accord. It proceeds in three parts. Part 1 explores the history of the Basel Accords, exploring their theoretical basis and the evolution of the regulation into its current form. This section identifies two possible mechanisms by which capital regulation can negatively impact the broader economy: increasing capital costs and increasing risk aversion. Part 2 explores the potential for increased capital cost, while Part 3 examines the possibility of excessive risk aversion. In conclusion, the paper finds that while the potential for downside effects does exist, these are not likely to be significant, and seem particularly unlikely to have a major impact in the South African case.

A dissertation submitted to the Wits Business School, Faculty of Commerce, Law and Management, in partial fulfillment of the requirements of the candidacy of the Masters of Management in Finance and Investments University of Witwatersrand April 2016 / The aim of this paper is to investigate financial contagion in African financial markets from the global financial crisis. Interest in this subject has grown exponentially in the recent past in light of expanding globalization. The empirical analysis is based on daily stock price indices of a sample of African countries in order to compute the stock returns and find the impact of correlations between them and the US market. The empirical evidence is based on correlation tests by Forbes& Rigobon (2002). The analysis suggests that the larger markets by market capitalization and number of traded stocks exhibit co-movement, whereas the smaller markets experience financial contagion. The results have implications for financial investment process and risk management in terms of globalization and the unfolding of financial liberalization in Africa. / GR2018

A Doctoral thesis submitted in fulfilment of the requirements for the award of Doctor of Philosophy degree in the field of Finance The Graduate school of Business Administration, University of the Witwatersrand, October 2016 / The global financial system has experienced turmoil in the past three decades, at the least. Although the shocks originate abroad, they possess some rippling effects on African economies. The essence of market integration and cross-border listings of stocks has fueled the need for African markets to be well integrated with the global economy. Despite this need, available empirical literature exploring the integration of African markets regionally, and with the rest of the world appear unclear. Moreover, the possibility of global shocks transmitting to Africa via its emerging equity markets remains underexplored. At the same time, such knowledge is critical for not only understanding the functioning of equity markets in particular, but also important for regulating the financial system in general. This thesis addresses these gaps inherent in extant literature and proffer empirical and theoretical solutions by exploring the nexus between African stock markets and global shocks. The emphasis is on contagion, co-movement, and diversification. The thesis is organized into four empirical essays, each deeply touching on specific theme (s) that form the core of the problems or research questions under investigation while employing advanced econometric techniques that underpin the modeling of asset returns. The first essay examines the capacity of African equity markets to act as ‗hubs‘ for portfolio investors during tranquil and turbulent conditions of global equity and commodity markets. The findings posit that African stock markets provide decorrelation from commodity and global equity markets during extreme market conditions. To the extent that the results reveal the strength of African stocks in cushioning international portfolio investors in a mean-variance stand-point during market crashes, the essay helps to decay doubts in the minds of investors on the perceived lack of capacity of the continent‘s stocks to yield higher expected risk-return trade-offs during global market sell-offs. The implication of the study is that given the recent history of commodities and global stocks, fund managers around the world seeking viable alternatives to compensate for losses from commodity shocks through uncorrelated markets may consider the equity markets in Africa, albeit on account of volatility persistence, present and past market conditions, markets stability, as well as size and liquidity issues. The second essay examines regional and global co-movement of African stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The essay establishes evidence of stronger co-movements broadly narrowed to short-run fluctuations. The co-movements are time-varying and commonly non-homogeneous – with phase difference arrow vectors implying lead-lag African Equity Markets and Global Shocks 2016 © Gideon Boako Page iii relationships. The presence of lead-lag effects and stronger co-movements at short-run fluctuations may induce arbitrage and diversification opportunities to both local and international investors with long-term investment horizons. The findings also reveal that some African equity markets are, to a degree, segmented from volatilities of the dollar and euro exchange rates. The third essay sheds light on whether African equity markets decoupled from, and / or converged with regional and global markets from 2003 to 2014, and analyzes the implications of that for shocks spillovers. Although there is no evidence of African markets convergence either regionally or globally, shock propagation exists in a time-varying setting. Regional markets in Africa are not just ‗shock absorbers‘ but also ‗shock transmitters‘. In the last essay, the dependence structure and (extreme) downside developed equity markets and currency price risk spillover effects to African stock markets using value-at-risk (VaR) and conditional value-at-risk (CoVaR) based on stochastic copulas is modeled. The study finds evidence of non-homogenous weak negative dependence between stocks and the USD and EUR exchange rates. Except for Egypt, there is evidence of positive significant dependencies between all African markets and their developed counterparts. Although, evidence of both uni-directional and bidirectional causality, as well as upper and lower tail dependencies are found across the stocks and currency markets, only some minuscule evidence of downside spillover effects was recorded, albeit episodic. It is observed that propagation of shocks from the GFC had a second round effect in African stock markets. Thus, the impact of the GFC to African economies was not through the credit crunches and liquidity freezes in Phase I of the crisis, but rather through the global recession that followed into the second phase. The findings are consistent with the view that global shocks propagation to developing markets may stagger during crisis and intensify post-crisis. A practical implication from the results is that given the relatively scarce resources and levels of technological know-how available to African governments, efforts to wean the continent‟s equity markets from adverse effects of global market crashes should be geared towards plans and programmes to mitigate the shocks not at the early stages but latter stages, where the effects to Africa could be prominently felt. Three key arguments are deduced from all the essays. First, although financial market underdevelopment seems prima-facie, to help countries isolate themselves against immediate contagion, it also reduces the ability of the real economy to cushion the impact of the crisis. African Equity Markets and Global Shocks 2016 © Gideon Boako Page iv Therefore, the argument of the thesis is that despite the common fear that a highly integrated and developed market may present fertile grounds for shock spillover, Africa must continue to pursue programmes aimed at enhancing inter and intra-regional integration. However, the degree and extent of both inter- and intra-regional integration ought to be pegged at certain optimal levels in order to reap benefits from scale economies. Such endeavours at integration will not only help in risk diversification but also help smooth the impact of shocks. The second argument is that, the proposition of the ―decoupling theory‖ i.e. returns of African equity markets and global stocks are not jointly normal during crisis periods may not be entirely tenable, empirically. Thirdly, the thesis argues that the “shift-contagion” theory may not reflect the reality for Africa, particularly during initial stages of crisis. Instead, the thesis suggests an extension and argues for a “delayed-shift contagion” theory. Keywords: Decoupling, shift-contagion, spillover effects, CoVaR, exchange rates, commodities. JEL Classification: C40, C58, F31, F36, G10, G11, G15, / GR2018

Orientador: Adilson Marques Gennari / Banca: Daniel Augusto Feldmann / Banca: Paulo Alves de Lima Filho / Resumo: A reprodução do sistema do capital mudou. Isto não significa dizer que a acumulação capitalista prescinde agora dos esquemas reprodutivos ligados ao capital industrial, como descrito por Marx; nem que a geração de valor não se dê mais pela força de trabalho subordinada ao capital. A modificação se dá justamente pela subsunção das formas clássicas a um novo componente estrutural: a financeirização. Pois o que surge é um novo regime de acumulação, predominantemente financeirizado, reconfigurando a reprodução do sistema e impondo sua lógica. Por isso, a esfera financeira aumenta em importância em relação à esfera produtiva, aumento este que deve ser entendido como concomitante aumento do papel desempenhado pela forma funcional autonomizada do capital: o capital portador de juros. O capital financeiro se apresenta, pois, como a etapa mais avançada do sistema capitalista e se distingue pelo caráter universal e permanente das atuações especulativas e de criação contábil de capitais fictícios; a constituição de um complexo aparato financeiro se faz necessária pela natureza intrinsicamente especulativa da gestão dos grupos industriais, dada a prática de ampliar ficticiamente o valor do capital existente. E nessa nova configuração da reprodução capitalista não só a atuação do Estado se altera, mas também a forma como o Estado se relaciona com a própria reprodução do sistema. Desvendar estas novas determinações entre Estado e capital, portanto, se faz necessário se se quer compreender de maneira mais clara a crise estrutural do capital na contemporaneidade, inserindo-as como elemento central a esta crise. Pois o Estado capitalista representa uma forma orgânica do capital, vital ao seu processo de reprodução social, seja em suas funções políticas centrais ou naquelas intimamente vinculadas às suas funções econômicas, ligadas ao processo de acumulação e reprodução. Portanto, este trabalho... / Abstract: The reproduction of the capitalist system has changed. It does not mean that the capitalist accumulation now does not depend on the reproductive schemes associated to the industrial capital, as described by Marx; or that the value generation does not occurs anymore for the workforce subordinated to capital. The change occurs exactly in the subsumption of the classical forms to a new structural component: the financialization. What emerges is a new regime of accumulation, predominantly financialized, reconfiguring the system reproduction and imposing its logic. Therefore, the financial sphere increases in importance regarding the productive sphere, and such increase should be understood as a concomitant increase in the role played by the autonomized functional form of capital: the interest-bearing capital. Therefore, the financial capital appears as the most advanced stage of the capitalist system and is distinguished by the universal and permanent character of speculative performances and accounting creation of fictitious capital; the establishment of a complex financial apparatus is necessary because of the intrinsically speculative nature of the management of industrial groups, through the practice of extending fictitiously the value of the existing capital. And in this new configuration of the capitalist reproduction, not only the State action changes, but the relation of State with its own reproduction system also changes. Therefore, it is necessary to unveil these new determinations between the state and the capital if one wants to understand more clearly the structural crisis of the capital in the contemporary times, inserting them as a central element of this crisis. Since the capitalist state represents an organic form of capital, essential to its social reproduction process, either on their main political functions or on those strictly connected to their economic functions, associated to the accumulation and reproduction process... / Mestre

This dissertation combines theoretical modeling and empirical analysis in macroeconomics, with a focus on open economies. It contains three chapters that study macroeconomic dynamics in the presence of credit frictions and the scope for stabilization policies in this context. Chapter 1, "Macroeconomic Effects of Commodity Booms and Busts: The Role of Financial Frictions", studies the real effects of commodity price shocks in small open commodity exporters; and the role of financial frictions in the transmission of these shocks to economic activity. I begin by estimating a panel VAR system for two groups of countries heavily exposed to commodity goods exports, one containing only advanced small open economies, and the other only emerging small open economies. I show that commodity price shocks are important sources of business cycle fluctuations, and have stronger effects on real activity, credit, and country interest rate in emerging countries. Motivated by these results, I construct a multi-sector open economy model with a banking sector to gauge the importance of different financial frictions in the transmission of commodity price shocks. I find that the main transmission channel is the interaction between the differences in working capital constraints at the firm level and the effect of commodity prices on the country interest rate. Moreover, I show that the financial accelerator and balance sheet mismatches in the banking sector don't have a relevant quantitative amplification effect. Chapter 2, "International Reserves, Credit Constraints, and Systemic Sudden Stops", analyzes the puzzling fact that emerging markets hold very high levels of international reserves and foreign liabilities simultaneously. Moreover, these holdings are positively correlated, which leads to an income loss that might reach 2% of GDP per year. To address this issue, I propose a new motive for international reserves accumulation, namely its role as implicit collateral for external borrowing. In this context, I evaluate whether the role of international reserves as collateral can explain the high levels of international reserves that we see in practice and find that the optimal level is close to the average reserves-to-GDP ratio in Latin American countries. Additionally, the optimal behavior during crises implies an increase of reserve holdings before a Sudden Stop and a small reduction during it, which is coherent with what was observed in the recent Global Financial Crisis. Finally, an alternative policy of keeping reserves at a constant level equal to its average value all the time yields very similar result to the optimal policy during sudden stops, highlighting the stabilizing role of reserves even if Central Banks don't use them at all. Chapter 3, "The Real Consequences of Countercyclical Capital Controls'', coauthored with Savitar Sundaresan, analyzes the effects of capital controls on real activity in Brazil, the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.

This thesis consists of three self-contained chapters. Chapter I. The first chapter develops a dynamic general equilibrium model which includes financial intermediation and endogenous financial crises. Consistent with the data, financial crises occur out of prolonged (credit) boom periods and are initiated by a moderate adverse shock. The mechanism which gives rise to boom-bust episodes around financial crises is based on an interaction between the maturity mismatch of the financial sector and an agency problem which results in procyclical lending. I show how to model these features in a tractable way, giving a realistic representation of the financial sector's balance sheet and its lending behavior. The chapter provides empirical evidence on the behavior of the U.S. financial sector's market leverage which is (i) acyclical, (ii) rose mildly prior to the Great Recession, and (iii) increased sharply during the crisis; the model is consistent with these empirical facts. It also predicts and replicates the Great Recession, when confronted with a historical series of structural shocks. Finally, the framework is extended to include price rigidities, nominal debt contracts, and monetary policy. Within this version, I analyze the impact of monetary policy on financial stability and show that a U-shaped pattern of the policy target rate is most likely to increase financial instability. Chapter II. The second chapter models the economy as a time varying vector autoregression, consisting of economic and financial variables. The interest lies in the time varying response of these variables to a monetary policy shock. Monetary policy shocks are identified as the surprise component in policy announcements extracted from price changes in Federal Funds futures around such announcements. These monetary policy surprises enter the model as an exogenous variable. The framework is used to obtain evidence on the time varying response of stock prices to the monetary policy surprises. Stock prices always persistently decrease following a monetary tightening and more strongly than fundamentals imply - with an increase in risk-premia accounting for the difference. However, the response of stock prices varies over time. They decrease less during a boom and a perceived bubble period than during a recession. The findings suggest that so-called "leaning against the wind policies" may be ineffective since stock prices are less responsive during periods when such policies would disinflate asset bubbles using contractionary monetary policy. Chapter III. The third chapter augments a monetary dynamic general equilibrium model with a bubble as considered in [Miao_Wang_2015]. A bubble may exist in firms' stock market values and firms borrow against their inflated stock market values. Within this framework, I analyze the relation between monetary policy and the bubble. I find that contractionary monetary policy decreases the bubble which tightens borrowing constraints and amplifies the reaction of investment and output. These results are in contrast to the ones in Gali (2014) who considers a bubble of the classic rational type and finds that contractionary monetary policy can increase bubbles.

Wong, Kin Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract (Chinese Version) --- p.ii / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Important Notations --- p.vi / List of Table and Figures --- p.vii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Reviews --- p.5 / Chapter 2.1. --- Economic Fundamentals Models --- p.5 / Chapter 2.2. --- Self-fulfilling Models --- p.6 / Chapter 2.3. --- Contagious Currency Crises --- p.8 / Chapter 3. --- The Model --- p.11 / Chapter 3.1. --- Output Stability and Price-level Stability Tradeoff --- p.11 / Chapter 3.2. --- Realignment Cost --- p.15 / Chapter 3.3. --- Speculative Attack and Its Size --- p.15 / Chapter 4. --- A Two-Stage Game for Exchange Rate Policy Decision --- p.19 / Chapter 4.1. --- The Game --- p.19 / Chapter 4.1.1. --- Policy Response of the Domestic Central Bank --- p.20 / Chapter 4.1.2. --- Policy Decision of the Foreign Central Bank --- p.21 / Chapter 4.2. --- Special Features of the Game --- p.22 / Chapter 4.2.1. --- "Export Sensitivity, Adjusted Inflation-Output Stability Preference and Policy Response" --- p.23 / Chapter 4.2.2. --- Speculative Attack through the “Weakest Link´ح --- p.25 / Chapter 5. --- Financial Aid in Currency Crisis --- p.28 / Chapter 5.1. --- The Game with Financial Aid --- p.28 / Chapter 5.2. --- Policy Response of the Domestic Central Bank --- p.30 / Chapter 5.3. --- Policy Decision of the Foreign Central Bank --- p.31 / Chapter 5.4. --- Financial Aid Decision of the Domestic Central Bank --- p.32 / Chapter 6. --- Concluding Remarks --- p.36 / Chapter 7. --- References --- p.38 / Chapter 8. --- Appendices --- p.40 / Chapter 8.1. --- Change in Price Level and Exchange Rate --- p.40 / Chapter 8.2. --- Optimization of Depreciation Rate --- p.41 / Chapter 8.3. --- Social Loss for Unilateral Devaluation --- p.42 / Chapter 8.4. --- Social Loss under Foreign Unilateral Devaluation --- p.43 / Chapter 8.5. --- Social Loss for Competitive Devaluations --- p.44 / Chapter 8.6. --- Impact of Ø on λ1 --- p.45 / Chapter 8.7. --- Optimization Benefit under different foreign policy --- p.46 / Chapter 8.8. --- The Complete Two-Country Game with Financial Aid --- p.47

<p><strong><p>Title</p><p>The anatomy of financial crises and the current one´s effects on the Swedish<strong> economy.</strong></p><p>Authors</p>Ifete Binaku and Niklas Holmström<strong><p>Background</p></strong></strong></p><p>The subprime crisis started in the United States, but was soon transmitted to other<strong> </strong>countries and even to Sweden. The impact of the financial crisis has had negative consequences for the Swedish real economy, especially in its output. Since Sweden is a big exporting country, its macro economy has been negatively affected by the present global financial crisis.</p><p><strong><p>Purpose</p></strong></p><p>We are interesting to illustrate how the theories can explain the causes and effects<strong> </strong>of financial crises. Therefore, the aim of this study is simply to acquire knowledge on how the impacts on the Swedish economy can be described by theories on financial crises.<strong> </strong></p><p> </p><p>Method</p><p> </p><p>The theoretical models guided our choices of the financial and economic<strong> i</strong>ndicators. The thesis employed a quantitative research approach where the empirical materials are collected from the yearly data period: 2005 to 2009. The secondary analysis has been applied where yeas 2005 to 2009 were selected in order to get an overview of variables developments before financial crises started and in meantime.</p><p><strong><p>Results</p></strong></p><p>Our findings showed that the financial crisis has affected the Swedish economy negatively. Furthermore, the repercussion on the Swedish economy can be better explained by certain parts of the theories combined, than by one theory left alone.</p><p> </p>

Title The anatomy of financial crises and the current one´s effects on the Swedish economy. Authors Ifete Binaku and Niklas HolmströmBackground The subprime crisis started in the United States, but was soon transmitted to other countries and even to Sweden. The impact of the financial crisis has had negative consequences for the Swedish real economy, especially in its output. Since Sweden is a big exporting country, its macro economy has been negatively affected by the present global financial crisis. Purpose We are interesting to illustrate how the theories can explain the causes and effects of financial crises. Therefore, the aim of this study is simply to acquire knowledge on how the impacts on the Swedish economy can be described by theories on financial crises.   Method   The theoretical models guided our choices of the financial and economic indicators. The thesis employed a quantitative research approach where the empirical materials are collected from the yearly data period: 2005 to 2009. The secondary analysis has been applied where yeas 2005 to 2009 were selected in order to get an overview of variables developments before financial crises started and in meantime. Results Our findings showed that the financial crisis has affected the Swedish economy negatively. Furthermore, the repercussion on the Swedish economy can be better explained by certain parts of the theories combined, than by one theory left alone.