Made available in DSpace on 2016-04-26T20:49:00Z (GMT). No. of bitstreams: 1 Olivia Maria Bullio Mattos.pdf: 922804 bytes, checksum: 3e7bae29d19a9a942f72caf436c16254 (MD5) Previous issue date: 2010-05-19 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / In mid-2007, the world faced one of the biggest crisis capitalism ever experienced, called the subprime crisis, which originated in the US housing market. The Federal Reserve (Fed) had to act promptly, trying to rescue the markets. However, the Federal Reserve, which had always been pragmatic, found itself in great distress when the traditional tools of monetary policy were not enough to stop the liquidity crisis. The Fed had to act aggressively both as a lender of last resort and expanding the monetary base to halt the risk of a widespread "default" in the inter-bank market. Using changes in the size and composition of the Fed's Balance Sheet From July of 2007 to September of 2009, this dissertation analyses the actions taken and new tools created to fight the crisis. Initially, the dissertation presents the prevailing thesis up to the subprime crisis, which were the financial deregulation and the monetary authority's goal of price stability. The dissertation then discusses the Post- Keynesians and Minsky's take of the capitalistic economy, a more adequate view to understand the crisis and the preceding financial processes. In conclusion, the lessons learned from the subprime crisis are that we should rethink how we regulate financial institutions and products created by such institutions in pursue of profit; we should also rethink the way we do monetary policy and its objectives / Em meados de 2007, o mundo se viu a frente de uma das maiores crises financeiras já vividas pelo capitalismo, a chamada crise subprime, que teve sua origem no mercado imobiliário norte-americano. Foi necessário que o Federal Reserve (Fed) agisse e tentasse resgatar o mercado. No entanto, o Banco Central americano, que sempre foi pragmático, se viu em dificuldades quando os instrumentos tradicionais de política monetária não mais conseguiram conter a crise de iliquidez. Foi preciso então atuar agressivamente como emprestador de última instância e expandir a base monetária para conter os riscos de inadimplência generalizada no mercado interbancário. Através da análise das mudanças na composição e tamanho do Balance Sheet do Fed de julho de 2007 a setembro de 2009, esta dissertação analisa as ações e novos instrumentos criados para conter a crise. Inicialmente apresenta-se as teses dominantes até então, que eram de desregulamentação do mercado financeiro e de mandato de estabilidade de preços para a autoridade monetária. Em seguida, discute-se o entendimento de Minsky e dos pós-keynesianos da economia capitalista, uma visão mais adequada para compreender a crise e os processos financeiros precedentes. Conclui-se que as lições tiradas da crise mostram que deve-se repensar o formato de regulação das instituições financeiras e dos produtos criados por elas para busca de lucros; deve-se rever a maneira como é feita a política monetária e seus objetivos

Cette thèse étudie les déterminants de l’épargne des ménages, à la fois dans leur dimension microéconomique et macroéconomique, en coupe et en panel. L’étude de ces déterminants ne se limite pas au cas français, mais est également étendue à la zone euro, au Royaume-Uni et aux États-Unis. Le premier chapitre introductif rappelle les principaux modèles et théories de l’épargne développés depuis les années 1930, et compare les approches macroéconomique et microéconomique de l’épargne des ménages. Les principales différences entre ces deux approches sont mises en exergue, ainsi que les hypothèses qui sous-tendent le passage du niveau micro au niveau agrégé. Dans un deuxième chapitre, on teste d'abord l’homogénéité des comportements d'épargne en étudiant les liens entre taux d’épargne et revenu (courant et permanent) des ménages français, à partir des données de l'enquête INSEE Budget de famille 2011. On met ensuite empiriquement en évidence et on quantifie une épargne de précaution liée au risque sur le revenu. Dans un troisième chapitre, on s’attache à décrire et à expliquer l’hétérogénéité des comportements d’épargne à l’intérieur et entre les pays européens, à partir des déterminants socio-économiques et des variables de protection sociale. On cherche ainsi à mettre en évidence un effet d'éviction entre épargne publique et épargne privée. Le dernier chapitre exploite la dimension macroéconomique de l'épargne et de la consommation : on passe en revue les principaux déterminants de la consommation (donc de l’épargne), avec une analyse particulière de l’effet de richesse, c’est à dire l’impact du patrimoine financier et immobilier sur le comportement d’épargne. / This PhD dissertation investigates the determinants of households’ savings, both in theirmicro- and macroeconomic dimensions, on cross section and panel data. This analysis is notrestricted to the French case, but also examines the euro area, the United Kingdom and theUnited States. The introduction recalls main models and theories of savings which were developed in the 1930s, and compares the macroeconomic and microeconomic approaches of households’ savings. The main discrepancies between these two approaches are highlighted, as well as the hypotheses which underpin the aggregation of data. In the second chapter, I investigate the relationship between savings rates and (current and permanent) income to test the homogeneity of French households’ behaviours. Then I highlight and measure precautionary savings related to the income risk. In the third chapter, I describe the heterogeneity of savings behaviours within and between European countries, by analyzing social and economic determinants and social protection variables. I try to highlight a crowding-out effect between public and private savings. The last chapter is on the macroeconomic side: the main determinants of consumption (and savings) are scanned, with an emphasis on wealth effect – i.e. the effect of financial wealth and real estate wealth on savings rate.

A crescente globalização financeira e integração desses mercados resultaram em relações cada vez mais próximas entre os países, sejam eles desenvolvidos ou emergentes. Esses fenômenos, somados às crises financeiras recentes, provocaram maior interesse nos eventos de transmissão de volatilidade e de fluxos de informações entre os mercados financeiros. Dentre elas, destaca-se a crise financeira internacional de 2008, conhecida como \"crise do subprime\", considerada a maior e mais importante desde a Grande Depressão de 1929. Neste contexto, o mercado de recibos americanos de depósito (ADRs) apresentou uma importância crescente nas últimas décadas, especialmente para companhias sediadas em países emergentes, como os da América Latina. Essa região, particularmente, exibiu uma grande expansão neste mercado. De maneira geral, as empresas de países emergentes emissoras de ADRs possuem características mais similares às companhias sediadas nos mercados desenvolvidos, comparadas às demais de seu país de origem. Por isso, como objetivo geral deste estudo, buscou-se detectar e mensurar o fenômeno da interdependência, englobando os transbordamentos (spillovers) de retornos e de volatilidade e suas assimetrias, entre os principais mercados de capitais da América Latina - Brasil, Argentina, Chile e México - e dos países desenvolvidos - Estados Unidos, Japão, Reino Unido e França - no âmbito da última crise financeira internacional. Esse fenômeno foi investigado considerando tanto seus índices acionários de mercado, como os índices de ADRs criados neste estudo, um para cada mercado da América Latina. Estes foram compostos pelas cotações de seus respectivos ADRs níveis 2 ou 3, sendo que a metodologia desenvolvida para sua criação foi uma das contribuições deste trabalho. A partir das séries temporais de retornos diários logarítmicos dos índices dos oito países no período de junho de 2008 a maio de 2015, foi empregada uma metodologia abrangente. Foram aplicadas três abordagens univariadas para modelagem das volatilidades dos mercados (GARCH, EGARCH e TARCH) e dois modelos multivariados assimétricos VAR-MGARCH, com representação Diagonal VECH, para identificação dos transbordamentos de retornos e volatilidade, bem como a análise de suas correlações condicionais. Além disso, foram estimados dois modelos autorregressivos multivariados (VAR) para análise das relações conjuntas dos mercados, e a análise das Funções de Resposta a Impulso (IRF) e dos efeitos sobre a variância por meio de sua decomposição. Os resultados indicaram que as séries de retornos dos mercados de ADRs de empresas latino-americanas não apresentam comportamento mais similar, no tocante à volatilidade, ao dos principais mercados de capitais desenvolvidos. No entanto, há evidências de que os índices de ADRs possuem maior interdependência com os principais mercados de capitais desenvolvidos, por apresentarem relações mais próximas com esses, comparados aos mercados acionários latino-americanos analisados. Essa conclusão corrobora as hipóteses elaboradas sobre esse tema a partir da teoria de segmentação de mercado e das próprias características dessas companhias. Outro resultado relevante foi que os mercados emergentes da América Latina são mais suscetíveis a efeitos locais e regionais que globais, confirmando o benefício do uso dos ativos financeiros desses países para diversificação de carteiras internacionais, mesmo durante uma crise financeira internacional, como a do subprime. / The growing financial globalization and integration of this markets resulted in increasingly close links between the countries, both developed and emerging ones. These phenomena, added to the recent financial crises, provoked greater interest in the events of volatility and information flows transmission between the financial markets. Among them, stands out the international financial crisis of 2008, known as the \"subprime crisis\", considered the largest and most important since the Great Depression of 1929. In this context, the American Depositary Receipts (ADRs) market showed an increasing importance in recent decades, especially for companies based in emerging markets, such as the Latin America. This region, particularly, exhibited a large expansion in this market. In general, companies in emerging countries issuers of ADRs have more similar characteristics to companies based in developed markets, compared to the rest of their country of origin. Therefore, the general objective of this study was to detect and measure the interdependence phenomenon, encompassing returns and volatility spillovers and their asymmetries, among the major capital markets in Latin America - Brazil, Argentina, Chile and Mexico - and developed countries - United States, Japan, UK and France - within the last international financial crisis. This phenomenon was investigated considering both their stock market indices and the ADRs indices created in this study, one for each Latin America country. They were compound of the quotes from their respective ADRs levels 2 or 3, and the methodology developed for their creation was one of the contributions of this assignment. Using the time series of daily logarithmic returns of the eight countries indices in the period from June 2008 to May 2015, it was applied an embracing methodology. It was estimated three univariate approaches to modeling the markets volatility (GARCH, EGARCH and TARCH) and two asymmetric multivariate models VAR-MGARCH, with Diagonal VECH representation, for identification of the returns and volatility spillovers, as well as analysis of their conditional correlations. In addition, two multivariate autoregressive models (VAR) were estimated for analysis of joint relations of markets, and analysis of Impulse Response Functions (IRF) and the effects on the variance through its decomposition. The results indicated that the returns series from Latin American ADR markets doesn\"t have behavior more similar, with regard to volatility, to the major developed capital markets. However, there is evidence that the ADR indices present greater interdependence with the major developed capital markets, because they have closer relationships with these, compared to the Latin American equity markets analyzed. This finding supports the hypothesis elaborated on this subject from the market segmentation theory and the characteristics of these companies. Another important result was that the emerging markets of Latin America are more susceptible to local and regional effects than global ones, confirming the benefit of the use of the financial assets of these countries for diversification of international portfolios, even during an international financial crisis, such as the subprime.

Many questions about the behavior of the economy and some specific market emerged after the outbreak of the crisis called subprime crisis. The arrival of the crisis in other countries has increased the range of new questions to be answered by the economic theories. Some markets have excelled in this crisis, such as real estate, birthplace of the crisis in the United States. By observing the market where the crisis emerged and the crisis spreading to other countries, including Brazil, the question arises to purpose of this paper, if it happened and how it happened to contamination of the Brazilian real estate market by the U.S. financial crisis. / Muitas dúvidas sobre o comportamento da economia e de alguns mercados específicos surgiram após o deflagrar da crise chamada de crise do subprime. A chegada da crise em outros países aumentou o leque de perguntas novas a serem respondidas pelas teorias econômicas. Alguns mercados se destacaram nessa crise, como o imobiliário, nascedouro da crise nos Estados Unidos. Ao se observar o mercado onde a crise surgiu e o espraiamento da crise para outros países, o Brasil inclusive, surge a pergunta propósito desse trabalho, se aconteceu e como aconteceu a contaminação do mercado imobiliário brasileiro pela crise financeira americana.

A crescente globalização financeira e integração desses mercados resultaram em relações cada vez mais próximas entre os países, sejam eles desenvolvidos ou emergentes. Esses fenômenos, somados às crises financeiras recentes, provocaram maior interesse nos eventos de transmissão de volatilidade e de fluxos de informações entre os mercados financeiros. Dentre elas, destaca-se a crise financeira internacional de 2008, conhecida como \"crise do subprime\", considerada a maior e mais importante desde a Grande Depressão de 1929. Neste contexto, o mercado de recibos americanos de depósito (ADRs) apresentou uma importância crescente nas últimas décadas, especialmente para companhias sediadas em países emergentes, como os da América Latina. Essa região, particularmente, exibiu uma grande expansão neste mercado. De maneira geral, as empresas de países emergentes emissoras de ADRs possuem características mais similares às companhias sediadas nos mercados desenvolvidos, comparadas às demais de seu país de origem. Por isso, como objetivo geral deste estudo, buscou-se detectar e mensurar o fenômeno da interdependência, englobando os transbordamentos (spillovers) de retornos e de volatilidade e suas assimetrias, entre os principais mercados de capitais da América Latina - Brasil, Argentina, Chile e México - e dos países desenvolvidos - Estados Unidos, Japão, Reino Unido e França - no âmbito da última crise financeira internacional. Esse fenômeno foi investigado considerando tanto seus índices acionários de mercado, como os índices de ADRs criados neste estudo, um para cada mercado da América Latina. Estes foram compostos pelas cotações de seus respectivos ADRs níveis 2 ou 3, sendo que a metodologia desenvolvida para sua criação foi uma das contribuições deste trabalho. A partir das séries temporais de retornos diários logarítmicos dos índices dos oito países no período de junho de 2008 a maio de 2015, foi empregada uma metodologia abrangente. Foram aplicadas três abordagens univariadas para modelagem das volatilidades dos mercados (GARCH, EGARCH e TARCH) e dois modelos multivariados assimétricos VAR-MGARCH, com representação Diagonal VECH, para identificação dos transbordamentos de retornos e volatilidade, bem como a análise de suas correlações condicionais. Além disso, foram estimados dois modelos autorregressivos multivariados (VAR) para análise das relações conjuntas dos mercados, e a análise das Funções de Resposta a Impulso (IRF) e dos efeitos sobre a variância por meio de sua decomposição. Os resultados indicaram que as séries de retornos dos mercados de ADRs de empresas latino-americanas não apresentam comportamento mais similar, no tocante à volatilidade, ao dos principais mercados de capitais desenvolvidos. No entanto, há evidências de que os índices de ADRs possuem maior interdependência com os principais mercados de capitais desenvolvidos, por apresentarem relações mais próximas com esses, comparados aos mercados acionários latino-americanos analisados. Essa conclusão corrobora as hipóteses elaboradas sobre esse tema a partir da teoria de segmentação de mercado e das próprias características dessas companhias. Outro resultado relevante foi que os mercados emergentes da América Latina são mais suscetíveis a efeitos locais e regionais que globais, confirmando o benefício do uso dos ativos financeiros desses países para diversificação de carteiras internacionais, mesmo durante uma crise financeira internacional, como a do subprime. / The growing financial globalization and integration of this markets resulted in increasingly close links between the countries, both developed and emerging ones. These phenomena, added to the recent financial crises, provoked greater interest in the events of volatility and information flows transmission between the financial markets. Among them, stands out the international financial crisis of 2008, known as the \"subprime crisis\", considered the largest and most important since the Great Depression of 1929. In this context, the American Depositary Receipts (ADRs) market showed an increasing importance in recent decades, especially for companies based in emerging markets, such as the Latin America. This region, particularly, exhibited a large expansion in this market. In general, companies in emerging countries issuers of ADRs have more similar characteristics to companies based in developed markets, compared to the rest of their country of origin. Therefore, the general objective of this study was to detect and measure the interdependence phenomenon, encompassing returns and volatility spillovers and their asymmetries, among the major capital markets in Latin America - Brazil, Argentina, Chile and Mexico - and developed countries - United States, Japan, UK and France - within the last international financial crisis. This phenomenon was investigated considering both their stock market indices and the ADRs indices created in this study, one for each Latin America country. They were compound of the quotes from their respective ADRs levels 2 or 3, and the methodology developed for their creation was one of the contributions of this assignment. Using the time series of daily logarithmic returns of the eight countries indices in the period from June 2008 to May 2015, it was applied an embracing methodology. It was estimated three univariate approaches to modeling the markets volatility (GARCH, EGARCH and TARCH) and two asymmetric multivariate models VAR-MGARCH, with Diagonal VECH representation, for identification of the returns and volatility spillovers, as well as analysis of their conditional correlations. In addition, two multivariate autoregressive models (VAR) were estimated for analysis of joint relations of markets, and analysis of Impulse Response Functions (IRF) and the effects on the variance through its decomposition. The results indicated that the returns series from Latin American ADR markets doesn\"t have behavior more similar, with regard to volatility, to the major developed capital markets. However, there is evidence that the ADR indices present greater interdependence with the major developed capital markets, because they have closer relationships with these, compared to the Latin American equity markets analyzed. This finding supports the hypothesis elaborated on this subject from the market segmentation theory and the characteristics of these companies. Another important result was that the emerging markets of Latin America are more susceptible to local and regional effects than global ones, confirming the benefit of the use of the financial assets of these countries for diversification of international portfolios, even during an international financial crisis, such as the subprime.

本文以次貸風暴期間英國金融服務管理局的限制放空政策為研究對象，探討該政策對股票報酬率、股票波動度之影響。本研究將研究期間分為限制放空期間、允許放空期間，並將英國金融服務管理局公布的限制放空名單劃分為銀行業、財務顧問業、壽險業、產險業，利用GJR模型分析限制放空政策對不同產業影響的差異性。 實證結果證明，除少數銀行類股在限制放空期間的股價報酬率顯著低於允許放空期間，大部分限制放空個股的報酬率在兩期間並無顯著差異，然而限制放空期間幾乎所有研究樣本的股票波動度卻顯著提高。顯見政府限制放空政策不一定能有效抑制股價跌幅，卻會加劇股票波動性，加劇市場震盪。 / UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries. We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.

In this thesis, we aim to find the effect of economic crisis announcements arising from the US subprime mortgage crisis and European sovereign debt crisis on the market volatility in theBRIC countries. We implement a GARCH model in order to compare the effect of individual news announcements and find that the US crisis had a bigger impact on BRIC market volatility than the European crisis. Of particular note, we find the US bailout had a higher impact than the failure of Lehman Brothers or any European crisis dates that were considered. We then examine the volatility transmission mechanism by implementing a VAR model to create a spillover index. Following, we apply a rolling window approach, creating spillover plots which show that both return and volatility spillovers are affected by crisis announcements. The importance of our results are related to investor decision making, particularly the relationship between market return and risk in developing country markets. Far to our knowledge, no recent literature has compared the two crises in the way we have nor with the datasets we have used.

Le marché boursier marocain a connu une chute brutale sans précédent à cause de la crise de subprimes américaines qui a été déclenchée à l'été 2007, l'indice MASI a perdu 20% en même année, donc nous pouvons parler sur un krach boursier. La bourse des valeurs a connu en Mars 2008 une volatilité de 70 milliards de dirhams. La baisse du marché boursier risque de se prolonger et que le sinistre scénario des années (2007-2009) pendant lesquelles la bourse a connu une chute du cours de l'indice MASI pourrait se reproduire. L'objet de notre thèse est de proposer une analyse empirique détaillée des rendements de l'indice MASI, de choisir les portefeuilles efficients, plus un modèle économétrique qui enregistre le score le plus bas de violations c'est-à-dire qu'il assure la meilleure couverture possible contre les risques baissiers du marché quel que soit le niveau de la volatilité atteint par le marché boursier marocain. Pour atteindre cet objectif nous faisons appel aux modèles Markowitz et Value at Risk. / The Moroccan stock market had experienced an unmatched Sharp collapse due to the subprime crisis that happened in the USA on summer 2007, the index of MASI lost 20% in the same year, thus we can talk here about a crash of stock. In 2008, the stock market lost 70 billion MAD. It is possible that it will continue decreasing, and that the scenario of 2007 - 2009 will happen again. The purpose of this thesis is to suggest a detailed empirical analysis of the yields of MASI index and choose the most efficient portfolios, and an econometric model that can record the lowest score of the violations, in other words, it can guarantee the best cover against the downside market risk Whatever the level of the volatility reached by the Moroccan stock market, to achieve this goal we use the Markowitz model and Value at Risk.

This dissertation analyzes key features of credit derivatives market, basic risks of the products and trends the market has experienced for several years since its inception, discusses regulatory issues of the market with regard to the Basel II treatment and key reasons for investors using credit derivatives. Dissertation also examines whether and how credit derivatives affected current financial turmoil, analyzes credit derivatives losses of selected institutions on the financial markets and compares them with total losses of these institutions. The main result of the work is that there was no substantial effect of the credit derivatives market on the current financial crisis. Dissertation also examines whether there is any connection between U.S. banks credit derivatives trades and their capital adequacy ratio. According to the analysis, there is no evidence for credit derivatives to essentially affect capital adequacy ratio of U.S. banks. A potential explanation for the higher values of U.S. banks' capital adequacy ratio may be that there are sophisticated risk management strategies banks have been implicating for many years.

Este trabalho compara os impactos da crise da dívida na América Latina (AL) nos anos 1980 e da crise do subprime de 2007 na região. Historicamente, verifica-se que crises financeiras gestadas no centro do sistema capitalista são capazes de causar efeitos negativos nas economias latino-americanas. Os impactos na economia vão do lado financeiro, incluindo câmbio e fluxos de capitais, ao real, afetando produção, emprego, investimentos e indicadores sociais. Sua magnitude, porém, depende tanto da forma como a crise é gerada e transmitida internacionalmente, como da estrutura das economias periféricas em questão e de seu posicionamento estratégico internacional. Com relação à primeira, enfatiza-se a diversificação produtiva e exportadora e a incorporação de tecnologia e inovação em sua estrutura produtiva. A segunda também se mostrou uma maneira eficiente de aplacar os efeitos da crise, ao ampliar a integração regional dentro da própria AL e com outros blocos e países emergentes, notadamente a cooperação multilateral. O trabalho assume que as mudanças estruturais experimentadas pelas economias latino-americanas, bem como a cooperação multilateral e a maior integração regional permitiram a estas nações minimizar os efeitos da crise do subprime, ao contrário da crise da dívida nos 1980, que promoveu profundos desarranjos e distúrbios econômicos na região. / This paper compares the impact of the debt crisis in Latin America (LA) in the 1980s and the 2007 subprime crisis’ in the region. Historically, it appears that financial crises gestated in the center of the capitalist system are capable of causing negative effects on Latin American economies. The impact on the economy occurs on the financial side, including exchange rates and capital flows, and in the real side, affecting production, employment, investment and social indicators. Its magnitude, however, depends as much on how the crisis is generated and transmitted internationally, as the structure of the peripheral economies in question and its international strategic positioning. Regarding the first, it emphasizes the productive and export diversification and the incorporation of technology and innovation in its production structure. The second was also an efficient way to assuage the effects of the crisis, to expand regional integration within the LA and with other blocs and emerging countries, notably multilateral cooperation. The work assumes that the structural changes experienced by Latin American economies multilateral cooperation and greater regional integration enabled these nations to minimize the effects of the subprime crisis, unlike the debt crisis in 1980, which promoted deep disorders and economic turmoil in the region.