Includes abstract. Includes bibliographical references.

[pt] Esta Tese de Doutorado consiste de três ensaios sobre os instrumentos de Política Cambial e Hedge. No primeiro ensaio, mostramos que os instrumentos de intervenção do Banco Central no mercado de câmbio só foram eficazes em períodos sem crise cambial. No segundo ensaio, mostramos utilizando um banco de dados original com 23.767 contratos de swap cambial abertos em 2002, que houve um forte componente especulativo na demanda de derivativos de câmbio de empresas de capital aberto brasileiras. De um total de 93 empresas com posições abertas, 51 especularam e 42 fizeram hedge. Finalmente, o terceiro ensaio mostra que as intervenções com derivativos de câmbio do Banco Central só foram repassadas para o setor produtivo pelas instituições financeiras em períodos sem crise cambial. / [en] This Doctoral Thesis consists of three essays about instruments of foreign exchange policy and hedge. In the first essay, we show that the instruments of intervention of the Central Bank in the foreign exchange market were only effective in periods without foreign exchange crisis. In the second essay, we show using an original database with 23.767 contracts of foreign exchange swaps open in 2002, that there was a strong speculative motive in the demand of foreign exchange derivatives of brazilian corporations. Of a total of 93 corporations with open positions, 51 speculated and 42 hedged. Finally, the third essay shows that interventions with foreign exchange derivatives were not transferred to the productive sector by the financial institutions in periods of foreign exchange crisis.

The recent empirical literature has shown that the dynamic generating mechanism of macroeconomic variables can be asymmetric. Inspiring from these empirical results, this thesis uses a class of nonlinear models called smooth transition autoregressive models to investigate possible asymmetric dynamics in inflation and nominal exchange rate series of Turkey. Estimation results imply that variables under consideration contain strong nonlinearities and these can be modeled by STAR models.

Do renminbi (RMB) exchange rate fluctuations affect cross-border M&A activities of enterprises at the micro level? This paper centers on this major issue, and we study and analyze the impacts of RMB internationalization on the magnitude and success of cross-border M&As. We investigate the impacts of exchange rate changes on the magnitude and success of enterprise-level cross-border M&As by developing nominal exchange rate (NER) and real exchange rate (RER) volatility indicators using data from the Thomson Financial SDC Platinum Merger and Acquisitions database. By applying a variety of indicators and subsample estimates in the study, we find that exchange rate volatility (of either NER or RER) is significantly negatively correlated with enterprise-level cross-border M&As, suggesting that RMB exchange rate movements deter cross-border M&As to some extent; fluctuations in RMB exchange rate have a significant negative impact on the success of cross-border M&As, and the exchange rate risk induced by exchange rate changes increases the risk of cross-border M&As; meanwhile, exchange rate fluctuations have a significant inhibitory effect on conglomerate M&As in addition to horizontal cross-border M&As. In addition, exchange rate fluctuations have a significant inhibitory effect on the profit-oriented cross-border M&As of enterprises in non-state-owned-or-controlled industries. Therefore, we should take prudent actions to prevent the impacts of RMB exchange rate movements on cross-border M&As, actively tap the potential of bilateral investment treaties in securing cross-border M&As, promote coordination between RMB exchange rate regulation iimechanisms and the “go global” strategy, and improve the level of internationalization and competitiveness of Chinese enterprises. / Business Administration/Finance

The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. The only necessary condition is that the deviationsfrom rational expectations and risk neutrality are uncorrelated with the interestrate differential (Chinn and Meredith 2004, p. 412). We find no evidence for the interestrate differentials to be unbiased predictors of the percentage change in nominalexchange rates. With 3- and 6-month maturity interest rates, the signs are positivealthough not statistically different from zero.

本文研究目的有四：(1) 研究以本國通貨貶值率為政策工具的影響效果與相關的議題。(2) 探討由固定匯率到爬行釘住匯率再到浮動匯率崩潰的過程，並且分析有何關鍵因素，會影響匯率制度崩潰時間。(3) 討論匯率定錨政策失敗的原因，並提出以往文獻可能忽略的因素。(4) 分析通貨替代性是否會影響匯率政策的效果，甚至使匯率政策遭遇困難而失敗。為了達成研究目的，本文內容共分五章，除了第一章的緒論和第五章的總結外，其餘各章的內容為： 第二章延伸Calvo (1981) 的架構，加入Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 的觀點，並仿照Liviatan (1891)、Engel (1989)、Calvo (1985) 的作法，設立一個具有通貨替代環境的小型開放經濟模型，探討本國通貨貶值率上升對經濟體系的影響。文中發現通貨之間若有較高 (較低) Edgeworth 替代關係，則本國通貨貶值率上升，經常帳會因此改善 (惡化)。本章亦針對通貨替代程度的不同，分析提升本國通貨貶值率政策對社會福利的影響效果，其中發現：不論是通貨替代程度大小，提升本國通貨貶值率政策對社會福利的影響均有兩種不同的情況，其中的一種是確定福利下降，另一種是不確定。 第三章仍然依據Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 所強調通貨能提供流動性勞務，降低交易成本的功能，將本國通貨和外國通貨放入模型內，建立一個以交易功能為基礎的貨幣模型，探討由固定匯率崩潰到爬行釘住匯率，再由爬行釘住匯率崩潰到浮動匯率的過程，有何關鍵因素，會影響匯率制度崩潰時間。結果發現：(1) 不論是通貨替代、通貨互補或是通貨獨立的環境下，實際發生匯率制度崩潰的時間早於自然崩潰的時間。(2) 制度崩潰的時點由通貨替代或是通貨互補的程度決定，通貨替代性越是極端 (例如：完全互補或完全替代) 將使通貨危機越早發生，而通貨替代關係越低將使通貨危機發生時間延後。(3) 當固定匯率轉換到爬行釘住匯率時，所產生的外匯存底流失的額度將會是決定爬行釘住匯率制度是否能夠執行的關鍵。 第四章以代表性個人最適化模型的架構，加入Végh (1995) 主張外國通貨能提供流動性勞務，降低交易成本的觀點，建立一個具有通貨替代環境的交易成本貨幣成長模型，分析名目匯率定錨政策崩潰的過程與通貨替代程度的關連性，結果發現匯率定錨政策失敗的主因可能是名目匯率定錨政策違反經常帳跨期平衡所致。為了避免通貨危機提早發生，匯率政策須視通貨替代程度的高低作適當的調整。通貨替代程度較高時，貨幣當局應當在政策執行時，大幅的降低本國通貨貶值率，可使政策崩潰的時間延後；而通貨替代程度較低時，貨幣當局應當採用小幅度降低本國通貨貶值率，可拖延政策崩潰發生的時間。 / This paper has four purposes: (1) Research in the influence and relevant topics about adopting depreciation rate of the domestic currency as policy instrument. (2) Show the dynamics transition process from the fixed, to the crawling peg, and then to the flexible exchange rate regimes, and analyze the central factor about time of collapse of exchange rate regimes. (3) Research in the reason about the exchange-rate-based stabilization program fails, and it may be ignored by the existing literature. (4) Analyze the influence of the currency substitutability affects the effect of exchange rate policy, even to cause difficulty and failure. In order to achieve the research purposes, the content of this paper divides into five chapters, except that chapter 1 is the introduction and chapter 5 is conclusion; the rest is organized as follows: In chapter 2, this paper expands Calvo (1981) model, combining the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991) and the approach of Liviatan (1891), Engel (1989), Calvo (1985), we set up the framework for small open economy with currency substitution environments to explore the policy effects of a rise in the rate of devaluation domestic currency on economy. We find that if two currencies are higher (lower) degree of Edgeworth substitution, then a rise in the rate of devaluation domestic currency induced a current account surplus (deficit) on the transition path. This chapter also aims at the currency substitution degree the difference, the analysis about a rise in the rate of devaluation domestic currency to the social welfare influence effect. We show that no matter is the currency substitution degree size, a rise in the rate of devaluation domestic currency to have two kind of different situations to the social welfare influence, one is the definite welfare drops; another is an ambiguous. In chapters 3, we investigate the relationship between the collapse timing of exchange rate regime and degree of substitutability of foreign currency for domestic currency as a medium of exchange. According to the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991), we set up a transaction-based monetary model in which money provides liquidity services to reduce transaction costs, domestic and foreign currencies are introduced into the system. The results of study show (1) no matter what degree of substitutability of foreign currency for domestic currency, the collapse timing of the exchange rate regime is earlier than the natural collapse timing, and (2) the collapse timing depends on the degree of currency substitution or complement. We find that the extreme degree of substitutability of currencies led to earlier currency crisis; however, moderate degree of substitutability of currencies prolong currency crisis. We also explore the dynamic transition process from the fixed to the crawling peg, and then to the flexible exchange rate regimes. We find that the extent of the decrease in foreign exchange reserves is the key whether the fixed exchange rate is able to transform into the crawling peg exchange rate regime. In chapter 4, we investigate the relationship between the failures of exchange-rate-based stabilization program and degree of foreign currency substitutability. According to Végh (1995), we set up a transaction-based monetary model with currency substitution in which foreign currencies provides liquidity services to reduce transaction costs. The reason of failure on exchange-rate-based stabilization program is that it violates intertemporal current account balance constraint. In order to prolong the time of the currency crisis occurs, the exchange-rate-based stabilization program must regard the degree of currency substitution. When the degree of currency substitution is high, the monetary authority must reduce the rate of devaluation domestic currency largely, and when the degree of currency substitution is low, the monetary authority must narrow scale to reduce the rate of devaluation domestic currency, and prolong time of policy collapse occurrence.

Submitted by Gabriel Perlott Miguens (gpmiguens@gmail.com) on 2017-03-29T02:52:07Z No. of bitstreams: 1 TESE_Cambio_Regra de Taylor.pdf: 908855 bytes, checksum: 1b33a5bdcea9f731382b0785af425c26 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-03-29T17:06:37Z (GMT) No. of bitstreams: 1 TESE_Cambio_Regra de Taylor.pdf: 908855 bytes, checksum: 1b33a5bdcea9f731382b0785af425c26 (MD5) / Made available in DSpace on 2017-03-29T17:13:21Z (GMT). No. of bitstreams: 1 TESE_Cambio_Regra de Taylor.pdf: 908855 bytes, checksum: 1b33a5bdcea9f731382b0785af425c26 (MD5) Previous issue date: 2017-02-17 / The objective of this paper is to analyze the relationship between the Brazilian nominal exchange rate and the economic fundamentals, defined according to the Taylor rule. The transitory and permanent decomposition method was applied in order to identify how the model variables respond to transitory and permanent shocks. The interest is to identify how this relationship occurred during the floating exchange period. In Brazil, this occurred in 1999. At the same time, we try to verify evidence to consider that the fluctuations of the Brazilian nominal exchange rate do not follow a random walk process in the modern era of floating exchange rate. The results showed that the variables of the model are cointegrated and the transitory shocks play an important role in the Brazilian nominal exchange rate fluctuations while the permanent shocks are quite present in the fluctuations of the economic fundamentals of the model. Moreover, the results suggest that there is evidence that the Brazilian nominal exchange rate behavior should not be considered a random walk process. / O objetivo deste trabalho é analisar a relação entre a taxa de câmbio nominal brasileira e os fundamentos econômicos, definidos de acordo com a regra de Taylor. Foi aplicado o método de decomposição transitória e permanente com objetivo de se identificar como as variáveis do modelo respondem à choques transitórios e permanentes ao longo do tempo. O interesse é identificar como se deu essa relação durante o período de câmbio flutuante no Brasil, que ocorreu a partir de 1999. Ao mesmo tempo, busca-se verificar a existência de evidências para considerarmos que as flutuações do câmbio nominal brasileiro não seguem um processo passeio aleatório na era moderna de câmbio flutuante. Os resultados demonstraram que as variáveis do modelo são co-integradas e que os choques transitórios possuem participação importante nas flutuações do câmbio nominal brasileiro enquanto os choques permanentes são bastante presentes nas flutuações dos fundamentos econômicos do modelo. Além disso, os resultados sugerem que há evidências de que o comportamento do câmbio nominal brasileiro não deve ser considerado um processo passeio aleatório.

La présente thèse tente de savoir s’il est opportun pour les pays en développement les moins avancés de s’engager davantage dans le processus de globalisation financière pour promouvoir leur croissance, et si ce processus influence les effets des instabilités, financière et monétaire, sur cette dernière. A cette fin, la thèse se déroule en trois parties. Avant d’examiner le cadre théorique de la globalisation financière, la première partie esquisse sa genèse avec en arrière-fond la recherche d’une réponse au problème de sa régulation. La deuxième partie s’intéresse à la littérature sur les effets de la globalisation financière sur la croissance, afin d’en tirer les enseignements pour une étude de 72 pays en développement à revenu bas de 1972 à 2011. La troisième partie se focalise sur les impacts de la globalisation financière et des deux instabilités considérées isolément, puis en interaction avec la globalisation sur la croissance à travers deux études empiriques basées sur le même cadre spatio-temporel que l’étude précédente. Ces dernières sont précédées par une revue des relations entre la globalisation financière, l’instabilité financière puis monétaire et la croissance, avec une analyse théorique de l’instabilité financière. Il en ressort que les instabilités, financière et monétaire, ont des effets négatifs sur la croissance, tandis que la globalisation financière, et en particulier la globalisation par l’investissement contrairement à celle par l’endettement, promeut les bienfaits des politiques économiques et du commerce extérieur, en plus de son effet positif direct sur la croissance même en présence des deux instabilités dont elle diminue les effets négatifs. / This thesis examines whether or not it is beneficial for least developed countries to engage more in the process of financial globalization in pursuit of their economic growth, and if this process influences the effects of financial and monetary instability on the latter. This thesis is divided into three parts. Before examining the theoretical framework of financial globalization, the first part sketches its genesis on a background of the research for an answer to the problem of its regulation. The second part focuses on the literature on the impact of financial globalization on growth. This is done in order to draw lessons for the establishment of a study covering 72 low-income developing countries over the period 1972-2011. The third part centers on the impact on economic growth of financial globalization and the two aforementioned types of instability, discussed both separately and in conjunction. Evidence is provided by two empirical studies based on the same spatio-temporal framework as the previous one. These studies are preceded by a review of the literature on the relationship between financial globalization, financial and then monetary instability and growth, in addition to a theoretical analysis of financial instability. This illustrates that financial and monetary instability have negative effects on growth, while financial globalization and in particular investment-globalization, unlike indebtedness-globalization, promotes the benefits of macroeconomic policies and international trade. This can be find in addition to its direct positive effect on growth, even in the presence of the two instabilities of which it reduces the negative effects.

Under de senaste 14 åren har den svenska kronan genomgått en period av depreciering mot många andra valutor. Detta väcker frågan om vad som ligger till grund för växelkursens rörelser. Denna studie ämnar därför undersöka om det öppna ränteparitetsvillkoret kan förklara relationen mellan förändringar i växelkurser och räntedifferenser på kort sikt. För att undersöka frågan har två regressionsmodeller konstruerats med räntedifferenser som förklarande variabel och fluktuationer i växelkursen som beroende variabel. Studien begränsas till att undersöka förhållandet mellan Sverige som inhemskt land och Euroområdet samt USA som utländska områden/länder. Eftersom euron och den amerikanska dollarn kategoriseras som “safe haven” valutor inkluderas safe haven teorin som en sekundär aspekt i analysen. Studien använder månadsvis data över perioden 1999-2022. Regressionsmodellernas resultat visar en korrelation som är något avvikande från det öppna ränteparitetsvillkoret. Regressionsmodellerna presenterar icke-signifikanta resultat och studiens slutsats är därmed att undersökningen inte presenterar tillräckligt med bevis för att säkerställa att den sanna relationen mellan räntedifferenser och förändringar i växelkursen skiljer sig signifikant från ränteparitetsvillkoret. / Over the past fourteen years the Swedish krona has undergone a period of depreciation against many other currencies. This raises the question of what factors drive the movements of the exchange rate. This study intends to examine if the open interest parity condition can explain the relationship between fluctuations in the exchange rate and the interest rate differentials in the short term. To examine the subject two regression models have been constructed with the interest rate differentials as the explanatory variable and fluctuations in the exchange rate as the dependent variable. The research is narrowed down to examine the relationship between Sweden as the domestic country and the euro area and USA as foreign areas/countries. As the euro and the american dollar are categorized as “safe haven” currencies the safe haven theory is also included as a secondary aspect of the analysis. The study utilizes monthly data over the period 1999-2022. The results of the regression models show a correlation that deviates somewhat from the open interest parity condition. The regression models present non-significant results and the study's conclusion is thus that the study does not present enough evidence to ensure that the true relationship between interest rate differentials and changes in the exchange rate differs significantly from the interest parity condition.