Magistro baigiamajame darbe atliktas finansinių krizių prognozavimo galimybių tyrimas. Pirmojoje darbo dalyje yra vertinama ir analizuojama finansinės krizės samprata, apibrėžiamas finansinės krizės gyvavimo ciklas ir nustatomi finansinės krizės pradžią identifikuojantys rodikliai. Antroje darbo dalyje yra vertinama finansinių krizių prognozavimo metodologija, kuri yra naudojama kitų autorių tyrimuose. Antroje dalyje taip pat vertinamas pasirinktų finansinių krizių pradžios momentą apibrėžiančių kintamųjų tinkamumas, pasirenkami nepriklausomieji kintamieji bei apibrėžiama tyrimo metodologija. Trečioji darbo dalis yra skirta pagrindiniam tyrimui, kurio metu tiesinės regresijos metodu yra tikrinama galimybė prognozuoti finansines krizės pradžią pasitelkus pasirinktus nepriklausomus kintamuosius. Atlikus tyrimą pateikiamos išvados ir rekomendacijos tolimesniems moksliniams tyrimams bei valdžios institucijoms, atsakingoms už finansų sistemų priežiūrą. / The main task of the Master‘s degree final work is to implement the research of financial crises’ prediction possibility. Financial crisis, financial crisis cycle and the initial stage of financial crisis are identified in the first part of the work. The second part of the work consists of the analysis of financial crises’ prediction methodologies, which were implemented by other scientists, evaluation of selected dependent variables for the identification of financial crises starting point, selection of independent variables for the prediction of financial crises and the methodology of the main research. The results of the main research and calculations of correlations and linear regressions are presented in the third part of the work. The research ends with conclusions and recommendations for government institutions and further studies of financial crises’ predictability.

Syfte: Att skapa förståelse för hur situationen på en marknad kan påverka den finansiella stabiliteten. Med det som grund göra en samlad bedömning om vilka risker som finns på Sveriges bostadsmarknad för att utvärdera hur och om de kan påverka finansiell stabilitet idag. Metod: För att ge oss en ökad förståelse om hur finansiell instabilitet uppstår på en marknad har vi tagit hjälp av Hyman P. Minskys teoretiska modell “The Financial Instability Hypothesis”. Teorin har vi sedan applicerat på utvalda finansiella kriser för att studera vad som karaktäriserat dem i sin utformning. Vår forskning har bedrivits med kvalitativa intervjuer med olika organisationer som arbetar aktivt för att upprätthålla och se över den finansiella stabiliteten i Sverige. Slutsats: Vi har identifierat externa och interna faktorer som kan påverka finansiell stabilitet. Oro inom det europeiska bankväsendet utgör största hotet mot finansiell stabilitet idag. Problem kopplade till Sveriges bostadsmarknad utgör inget direkt hot mot finansiell stabilitet, dock visar marknaden tendenser på ineffektivitet. Lågt bostadsbyggande och allmänt lågt utbud matchar inte efterfrågan, detta driver upp priser men även skulder. Priser och skulder kan till stor del förklaras med logiskt ekonomiskt resonemang. / Purpose: To create an understanding of how the situation in a market may affect financial stability. With that as a foundation make an overall assessment of the risks that exist on the Swedish housing market to assess whether and how they can affect financial stability today. Method: In order to obtain increased understanding of how financial instability arises in a market we have used Hyman P. Minskys theoretical model “The Financial Instability Hypothesis”. We have then applied the theory on chosen financial crises in order to study what characterizes them. Our study has been conducted with the help of qualitative interviews with various organizations such as banks and authorities that work to maintain and inspect the financial stability in Sweden. Conclusion: We have identified external and internal factors that could affect financial stability. Concern related to the European banking sector form the greatest threat to financial stability today. Problems related to the Swedish Real Estate Market constitute no direct threat to financial stability, however market trends shows inefficiency. Low housing and low supply in general do not match demand, this drives up prices, but also debts. Prices and debts can largerly be explained by logical economic reasoning.

The four essays included in this dissertation are in the field of open economy Macroeconomics. Essays I, II and IV deal with a work-horse model in this field – a two-sector small open economy growth model with traded and nontraded goods. Writing down such a model requires an assumption about the role of traded and nontraded goods in domestic consumption and investments. While several empirical studies have looked at the consumption side, a systematic examination of the role of traded and nontraded goods in investments is missing. Essay I aims to fill this gap. Drawing on extensive empirical evidence, we show that aggregate investment expenditure shares on traded and nontraded goods are very similar in rich and poor countries. Furthermore, the two expenditure shares have remained close to constant over time, with the average nontraded expenditure share varying between 0.54-0.60 over the 1960-2002 period. Combined with the fact that the relative price of nontraded goods correlates positively with income and exhibits large differences across space and time, our findings suggest that investment can be modeled using the Cobb-Douglas aggregator. The results of this essay offer a new restriction for the two-sector growth model, which can alter the conclusions drawn from the model. To demonstrate this, we apply the new restriction to a study by Hsieh and Klenow (2003), which argues that differences in relative productivity between traded and nontraded sectors, i.e., the Balassa-Samuelson effect, is the main cause of higher PPP-adjusted investment rates in rich countries. With the restriction imposed on the model, no more than 25 percent of the differences in PPP-adjusted investment rates between rich and poor counties can be attributed to the Balassa-Samuelson effect. In Essays II and IV the same two-sector growth model is put to the test using the recent economic developments in countries of Eastern and Central Europe. Essay II investigates whether the two-sector growth model can explain the magnitudes and the timing of the trade flows in the Baltic countries. The model is calibrated for each of the three countries, which we simulate as small closed economies that suddenly open up to international trade and capital flows. The results show that the model can account for the observed magnitudes of the trade deficits in the 1995-2001 period. Introducing a real interest rate risk premium in the model increases its explanatory power. According to the model, trade balances will turn positive in the Baltic states around 2010. Essay IV starts by summarizing empirical regularities for the key aggregate real sector variables in the eight countries that joined the EU in May 2004. It is shown that, following the reforms in the early 1990s, real sector developments in all eight countries exhibit remarkable similarities. Interestingly, this is the case despite the fact that different reform policies were pursued in several dimensions (e.g., privatization, nominal exchange rate). Next, we show that a calibrated two-sector small open economy growth model can account for most of the real sector adjustments in early post-reform years. Empirical studies have found rapid traded sector productivity growth in Central and Eastern European countries over the last decade. When traded sector productivity growth is added to the model, it captures the development in all key real sector variables during the post-reform period. Finally, Essay III contributes to the study of financial crises in emerging markets. In contrast to the other essays, this paper develops a highly stylized theoretical model that allows us to study analytically government response to financial crises. In particular, Essay III develops a framework for analyzing optimal government bailout policy in a dynamic stochastic general equilibrium model where financial crises are exogenous. Important elements of the model are that private borrowers internalize only part of the social cost of foreign borrowing in the emerging market and that the private sector is illiquid in the event of a crisis. The distinguishing feature of our paper is that it addresses the optimal bailout policy in an environment where there are both costs and benefits of bailouts, and where bailout guarantees potentially distort investment decisions in the private sector. We show that it is always optimal to commit to a bailout policy that only partially protects investment against inefficient liquidation, both in a centralized economy and a market economy. Due to overinvestment in the market economy, the government's optimal level of bailout guarantees is lower than in the social optimum. Further, we show that, in contrast to a social planner, the government in the market economy should optimally bail out a smaller fraction of private investments when the probability of a crisis is higher. / Diss. Stockholm : Handelshögskolan, 2005 S. i-x: sammanfattning, s. 1-187: 4 uppsatser

Thesis (doctoral)--Universität, Münster (Westfalen), 2005.

Cette thèse se compose de trois chapitres distincts. Le premier chapitre étudie la tentative d'harmonisation de la réglementation financière et de la divulgation de l'information financière par l'Union Européenne. Ces réglementations financières sont appliquées à travers un ensemble de directives avec un objectif commun. Nous étudions l'impact de ces changements sur l'asymétrie d'information. Nous considérons également le rôle des caractéristiques du pays et des entreprises. Nos résultats montrent que l'asymétrie d'information a diminué après le changement de régime réglementaire de l'UE. Nous démontrons que les pays dont la règlementation antérieure est d'un niveau de qualité élevé avec un système juridique efficient ont connu une réduction d'asymétrie d'information plus importante. Selon les résultats, l'impact des réglementations sur l'asymétrie d'information est plus important pour les entreprises qui avaient un meilleur environnement avant le changement de régime. Le deuxième chapitre étudie l'efficacité de l'utilisation de la juste valeur en comptabilité pour fournir des informations plus pertinentes sur la valeur des banques. Les études pertinence de la valeur ont été menées en quatre étapes. Tout d'abord, nous comparons la pertinence de la valeur des actifs et passifs tels qu'ils sont inscrits dans les bilans. Nous constatons que les actifs et passifs pris à la juste valeur sont plus pertinents pour expliquer la valeur de marché des capitaux propres. En outre, on observe que la crise financière de mi-2008 n'a pas d'impact significatif sur la pertinence des actifs et des passifs pris en FV et, que la qualité de l'audit améliore la pertinence des actifs pris en FV. Dans la deuxième étape, nous nous concentrons sur la mesure de la juste valeur et nous trouvons que les actifs basés sur « marked-to-market » sont plus pertinents que les actifs « marked-to-model » et que la haute qualité de l'audit a un impact positif sur la pertinence des actifs basés sur les niveaux de FV 1 et 2. Dans la troisième étape, nous examinons la pertinence de la valeur incrémentale des justes valeurs, en étudiant la pertinence du contenu de l'information fournie par la différence entre les justes valeurs et les coûts historiques. Pour terminer, nous évaluerons la pertinence des deux modèles que nous proposons en comparant les résultats obtenus au titre de celui de « la juste valeur totale » à ceux obtenus par le modèle « du coût historique ». Dans le troisième chapitre, nous cherchons à savoir dans quelle mesure la juste valeur en comptabilité permet de mesurer l'exposition aux risques prise par les banques. Nous étudions le rôle de la taille des banques et celui de la situation économique du marché financier. Nous démontrons que pour un échantillon global, les ratios d'endettement de coût historique et la GAAP, sont plus liés au risque de la banque que les ratios fondées sur les justes valeurs. Pour les petites banques le ratio de levier financier de la GAAP et du HC expliquent mieux le risque de défaut des banques que le ratio de levier financier de FV, et pour les grandes banques cet ordre s'inverse. Nos résultats fournissent la preuve que, pendant les périodes stables, le ou la GAAP et le ou la HC sont plus pertinentes que le risque par FV. En période de crise cet ordre s'inverse, et les ratios de FV expliquent mieux les attentes du marché concernant le risque de défaut de toutes les banques. / This dissertation consist three distinct essays that study the effectiveness of financial disclosure regulations. The first essay studies the effectiveness of EU regulatory changes aimed to harmonize and enhance EU financial information environment. Unlike literatures that study the adoption of a single regulation, we consider a set of EU regulations that have common objectives. We find that the adoption of these regulation have decreased information asymmetry in financial markets. We also show that the effectiveness of regulatory changes varies across counties. We find that firms that needed the improvement in financial information environment the most benefited the least from implementation of regulations under study. We argue that EU capital market impacts generally attributed to the adoption of IFRS are likely to come from regulatory changes concomitant to IFRS. We then focus on banks and find that EU regulatory changes had a more significant impact on banks than other firms. The second essay studies the effectiveness of fair value accounting in providing more value-relevant information. The value relevance studies have been conducted in four stages. First, we compare the value relevance of assets and liabilities as they are carried in balance sheets and find that assets and liabilities carried at fair value are more value-relevant than those carried at cost. Furthermore, we illustrate that the 2008 financial crisis had no significant impact on the value relevance of FV assets and liabilities. Also high audit quality improves the value relevance of assets carried at FV. Second, we focus on fair value measurement levels and find marked-to-marked fair values to be more value-relevant than marked-to-model fair value assets and high audit quality has a positive impact on value relevance of assets carries at FV levels 1 and 2. Third, we focus on the incremental value relevance of fair values, where we study the value relevance of fair value information over those conveyed by costs data. Finally, we compare the relative value relevance of a full fair value versus full cost accounting. The third essay looks at the risk relevance of fair value accounting. We compare the accounting-based debt ratio with fair values, cost and US GAAP data for explaining market assessments of bank risk. We find that although in overall US GAAP information and cost accounting are more risk relevant than fair values, relative value-relevance of the ratios depends on bank size and general economic condition. During financial crisis and for large banks fair values are more risk-relevant than HC and GAAP. Overall, this dissertation sheds light on the effectiveness of financial regulations regarding information disclosure and the impact of influential factors with an emphasis on banks.

Cette thèse étudie la dynamique du marché des credit default swaps (CDS), instruments financiers de transfert du risque du crédit, et de ses relations avec les autres marchés, en particulier durant les épisodes de crise. Le marché des CDS a connu un développement vigoureux depuis son émergence, au milieu des années 90. Les volumes de contrats de CDS échangés ont augmenté à un rythme rapide, ce marché a ainsi connu le développement le plus rapide parmi les dérivés négociés de gré-à-gré (over-the-counter – OTC). Les participants de marché, principalement les grandes banques, ont su tirer parti des possibilités offertes par les outils de transfert de risque qui leur ont permis tout d'abord, de disposer d'instruments novateurs de protection contre le risque de crédit, mais aussi d'assurer l'expansion de leur activité d'intermédiation du crédit tout en optimisant les exigences en capital. Bien que le fonctionnement du marché des CDS ait connu une amélioration depuis le début des années 2000, plusieurs éléments mettent en doute l'hypothèse d'un marché efficient et résilient aux périodes de crise. A travers cinq articles empiriques, cette thèse se penche sur deux épisodes de crises durant lesquels le fonctionnement de ce marché a pu être perturbé : d'une part la crise de mai 2005, provoquée par la dégradation en catégorie spéculative de deux entreprises américaines majeures, General Motors et Ford, par les principales agences de notation ; d'autre part la crise financière ayant débuté en 2007 et qui a évolué en crise de la dette souveraine dans le cas des Etats européens à partir de fin 2009. L'étude de ces deux phases de crise montre que le développement du marché des CDS a participé à modifier les relations entre marchés, les investisseurs ayant fait des primes de CDS une source d'information privilégiée pour évaluer le risque de crédit. En effet, les travaux empiriques menés tout au long de la thèse concluent que ce marché est devenu progressivement le lieu où tendait à se dérouler le processus de découverte des prix. Ces travaux mettent également en lumière les vulnérabilités du marché des CDS, renforcées par des effets de contagion déjà à l'œuvre lors de l'épisode de crise de 2005, et incitent à une meilleure régulation des outils de transfert du risque de crédit et, d'une manière plus générale, des dérivés OTC. / This thesis studies the dynamics of the market in credit default swaps (CDS), which are credit risk transfer instruments, and the relationships between the CDS market and other markets, particularly during crisis periods. The CDS market has seen a boom since its emergence, in the mid-90s, and volumes of CDS contracts have increased at a rapid pace. Its growth has thus been the strongest among over-the-counter (OTC) derivatives. Market participants, mainly the major banks, have taken advantage of the opportunities created by credit transfer instruments, which have offered new ways to hedge against credit risk and also contributed to the expansion of their credit intermediation activity, while optimising capital requirements. Despite the improvement of the CDS market's functioning since the early 2000s, several facts call the assumption of an efficient market that is resilient to crisis periods into question. Through five empirical articles, this thesis focuses on two crisis periods which during which the functioning of this market was affected: first, the General Motors and Ford crisis in 2005 following the downgrading of the credit ratings of these two flagship companies to speculative grade; and second, the financial crisis of 2007-2009 which turned into a sovereign debt crisis in the case of European countries from end-2009 onwards. The study of these two crisis periods shows that the growth of the CDS market has contributed to a change in the relationships between markets, as investors tend to regard CDS premia as a prime source of information to assess credit risk. Indeed, the empirical research conducted throughout the thesis concludes that this has gradually become the place where the price discovery process tends to occur. This work highlights the vulnerabilities of the CDS market, reinforced by the contagion effects at work during the 2005 crisis episode, and points to the need for better regulation of credit risk transfer instruments and, more broadly, of OTC derivatives.

A presente dissertação tem como objetivo central realizar uma análise comparativa das crises financeiras mundiais de 1929 e de 2008 com base no referencial teórico pós-keynesiano. Para tanto, utilizar-se-á uma análise interpretativa da literatura econômica e análises estatístico-descritivas. De maneira a delimitar a pesquisa, as referidas análises estão baseadas nos aspectos institucionais e em variáveis macroeconômicas selecionadas. Levando-se em consideração as possíveis limitações de uma comparação entre as duas crises financeiras mundiais, sobretudo no que diz respeito ao fator histórico e às dificuldades relativas à disponibilidade de dados do período da Grande Depressão, algumas reflexões podem ser apontadas. Entre as principais conclusões do trabalho pode-se destacar que as duas crises financeiras ocorreram em um ambiente financeiro internacional e nacional (país de origem da crise) desregulado e sob uma conjuntura de grandes desequilíbrios entre os balanços de pagamentos. Tal fato se tornou ainda mais problemático devido à falta de um emprestador de última instância em nível mundial em ambos os casos. Quanto às diferenças, excluindo-se aquelas relativas ao contexto histórico específico, a mais marcante está na forma e na intensidade como as políticas monetária e fiscal foram adotadas como resposta às referidas crises. Em 2008 e 2009 os governos, em geral, empreenderam e coordenaram amplas políticas (monetária e fiscal), com o objetivo de mitigar os efeitos da crise mundial de 2007-2008, ao passo que, em entre 1929-1932, não se verificou uma coordenação em nível mundial, bem como seu uso foi bastante limitado. / This dissertation aims at presenting, in the light of the Post Keynesian theory, an economic comparative analysis between the Great Depression, 1929-1933, and the current financial crisis, 2007-2008. Going in this direction, it presents an interpretative analysis of both crises based on the economic literature and some institutional aspects and statistical data analysis related to the selected macroeconomic variables. Taking into consideration that it is difficult to compare both financial crises, especially regarding the availability of data for the period of the Great Depression, some reflections can be pointed. The main conclusions of this dissertation are the following: on the one hand, the two financial crises occurred in a context that the international and national financial markets, especially in the United States, were deregulated and the United States had a large disequilibrium in its balance of payments. This fact became even more problematic due to the lack of a worldwide lender of last resort in both cases; on the other hand, the Great Depression and the subprime crisis are different in the shape and intensity as the monetary and fiscal policies were adopted in response to such crises. From 2008 to 2009, the governments, in general, have undertaken large and coordinated economic policies (monetary and fiscal) in order to mitigate the effects of global crisis of 2007-2008, while in 1929-1933 there was no coordination at the global level, as well as its use was fairly limited.

A presente dissertação tem como objetivo central realizar uma análise comparativa das crises financeiras mundiais de 1929 e de 2008 com base no referencial teórico pós-keynesiano. Para tanto, utilizar-se-á uma análise interpretativa da literatura econômica e análises estatístico-descritivas. De maneira a delimitar a pesquisa, as referidas análises estão baseadas nos aspectos institucionais e em variáveis macroeconômicas selecionadas. Levando-se em consideração as possíveis limitações de uma comparação entre as duas crises financeiras mundiais, sobretudo no que diz respeito ao fator histórico e às dificuldades relativas à disponibilidade de dados do período da Grande Depressão, algumas reflexões podem ser apontadas. Entre as principais conclusões do trabalho pode-se destacar que as duas crises financeiras ocorreram em um ambiente financeiro internacional e nacional (país de origem da crise) desregulado e sob uma conjuntura de grandes desequilíbrios entre os balanços de pagamentos. Tal fato se tornou ainda mais problemático devido à falta de um emprestador de última instância em nível mundial em ambos os casos. Quanto às diferenças, excluindo-se aquelas relativas ao contexto histórico específico, a mais marcante está na forma e na intensidade como as políticas monetária e fiscal foram adotadas como resposta às referidas crises. Em 2008 e 2009 os governos, em geral, empreenderam e coordenaram amplas políticas (monetária e fiscal), com o objetivo de mitigar os efeitos da crise mundial de 2007-2008, ao passo que, em entre 1929-1932, não se verificou uma coordenação em nível mundial, bem como seu uso foi bastante limitado. / This dissertation aims at presenting, in the light of the Post Keynesian theory, an economic comparative analysis between the Great Depression, 1929-1933, and the current financial crisis, 2007-2008. Going in this direction, it presents an interpretative analysis of both crises based on the economic literature and some institutional aspects and statistical data analysis related to the selected macroeconomic variables. Taking into consideration that it is difficult to compare both financial crises, especially regarding the availability of data for the period of the Great Depression, some reflections can be pointed. The main conclusions of this dissertation are the following: on the one hand, the two financial crises occurred in a context that the international and national financial markets, especially in the United States, were deregulated and the United States had a large disequilibrium in its balance of payments. This fact became even more problematic due to the lack of a worldwide lender of last resort in both cases; on the other hand, the Great Depression and the subprime crisis are different in the shape and intensity as the monetary and fiscal policies were adopted in response to such crises. From 2008 to 2009, the governments, in general, have undertaken large and coordinated economic policies (monetary and fiscal) in order to mitigate the effects of global crisis of 2007-2008, while in 1929-1933 there was no coordination at the global level, as well as its use was fairly limited.

The current study examines the extent and magnitude by which global and regional shocks are transmitted to the volatility of returns in the stock markets of South Africa, Egypt, Nigeria, Botswana, Mauritius and Egypt. This is done so as to make inferences on the level of the domestic market‟s integration into the regional and world capital markets. By applying multivariate and univariate GARCH models, using weekly data from June 1995 to May 2010, the main empirical findings are threefold. Firstly, the volatility analytical framework finds statistically significant and time-varying volatility spillover effects from the regional and global markets to the South African market. Global shocks are generally stronger and account for up to 23.9 percent of the volatility of South Africa‟s equity market compared to weaker regional factors which account for less than 1 percent of domestic variance. Only in countries with strong bilateral trade and economic links with South Africa, such as Botswana and Namibia, is it found that regional factors are more dominant than global factors for domestic volatility. Compared to the other African markets, the joint influence of foreign shocks on domestic volatility is highest in South Africa and Egypt, two of Africa‟s largest and most developed markets. The results further demonstrate that for all the African markets the explanatory power of both regional and global factors for domestic volatility is not constant over time and tends to increase during turbulent market periods. Secondly, the analysis of the determinants of South frica‟s second moment linkages with the global market suggests that the volatility of the exchange rate plays a cardinal role in influencing the magnitude by which global shocks affect domestic volatility. The increased global integration in the second moments cannot be attributed to either increased trade integration, convergence in inflation rates or to convergence in interest rates between South Africa and the global markets. Lastly, tests were conducted to examine whether there have been contagion effects from the regional and global markets to South Africa from the 1997 Asian crisis and the 2007/8 global financial crisis. The results show no evidence of contagion during either the East Asian currency crisis or the recent global financial crisis to South Africa, while some African markets, such as Egypt, Mauritius and Botswana, exhibit contagion effects from either crisis. Overall, the empirical findings generally support the view that African markets are segmented both at the regional and global levels as domestic volatility is more influenced by local idiosyncratic shocks (the proportion not attributable to either global and regional factors). However, the volatility of South Africa, and to a lesser extent Egypt, remains relatively more open to global influence. This implies that the potential for gains from international portfolio diversification and the scope for success of policies aimed at the stabilisation of equity markets in these markets exist.

The goal of this dissertation is to present an investigation of the theoretical and empirical relationship between financial integration, capital flows and the exchange rate, and between financial integration, capital flows and financial crises for developing countries. The theoretical literature analysis developed in Chapter 1 clarifies that there is no consensus regarding the hypothesis that financial integration and capital flows stimulate economic growth and consumption smoothing, also showing that there are channels through which they can lead to financial crises and appreciation of the exchange rate. Chapter 2 develops an econometric investigation regarding the relationship between financial integration, capital flows and the exchange rate, for a sample of 63 developing countries. The econometric results do not suggest that there is a statistically significant relationship between financial integration and exchange rate, and, therefore, they do not support the hypothesis that financial integration causes currency appreciation. Besides, the results suggest that capital flows cause appreciation of the exchange rate, and there are evidences that the effect of the capital flows over the exchange rate depends on the level of financial development, which means that the effect of appreciation is gradually attenuated by higher levels of financial development. Chapter 3 develops an econometric investigation regarding the relationship between financial integration, capital flows and financial crises, for a sample of 53 developing countries. The econometric results suggest that financial integration and capital flows do not raise the probability of financial crises. / O objetivo desta dissertação é realizar uma investigação teórica e empírica acerca da relação entre integração financeira, fluxos de capitais e taxa de câmbio, e entre integração financeira, fluxos de capitais e crises financeiras para países em desenvolvimento. A análise da literatura teórica, realizada no Capítulo 1, explicita que não existe consenso quanto à hipótese de que a integração financeira e os fluxos de capitais estimulam o crescimento econômico e a suavização do consumo, mostrando que existem canais por meio dos quais a integração financeira e os fluxos de capitais podem levar a crises financeiras e à apreciação cambial. No Capítulo 2, é feita uma investigação econométrica acerca das relações entre integração financeira, fluxos de capitais e taxa de câmbio, para uma amostra de 63 países em desenvolvimento. Os resultados econométricos não sugerem que há uma relação estatisticamente significativa entre integração financeira e taxa de câmbio e, portanto, não corroboram a hipótese de que a integração financeira cause apreciação cambial. Além disso, os resultados sugerem que os fluxos de capitais causam apreciação cambial, e há evidências de que o efeito dos fluxos de capitais sobre a taxa de câmbio real efetiva dependem do nível de desenvolvimento financeiro, sugerindo que o efeito de apreciação da taxa de câmbio real efetiva é gradativamente atenuado ou revertido à medida que os países apresentam níveis mais elevados de desenvolvimento financeiro. No Capítulo 3 é feita uma investigação econométrica acerca das relações entre integração financeira, fluxos de capitais e crises financeiras, para uma amostra de 53 países em desenvolvimento. Os resultados encontrados sugerem que a integração financeira e os fluxos de capitais não aumentam a probabilidade de crises financeiras. / Mestre em Economia