Dissertations / Theses on the topic 'International finance'
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1
Müllner, Jakob. "International project finance: review and implications for international finance and international business." Springer, 2017. http://dx.doi.org/10.1007/s11301-017-0125-3.
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This literature review analyzes the global phenomenon of international
project finance (PF) as both a management and finance instrument, allowing practitioners
to realize large scale infrastructure projects in high risk contexts. After describing
the characteristics of PF, its historical origins and its unique benefits for empirical
inquiry, I summarize the findings of academic research from an interdisciplinary perspective.
Based on this integration of Finance, Management and International Business
research, I discuss the theoretical implications for each field that emanate from PF.
Finally, I identify possibilities for future research and propose a more balanced, interdisciplinary
academic treatment of PF.
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Pina, Gonçalo. "Essays in international finance." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/101410.
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This thesis investigates two economic policy dimensions in contemporary
world economy. The first chapter focuses on the recent accumulation of international
reserves by central banks in developing economies. I present a
simple model of reserve management where a central bank accumulates reserves
in order to avoid spikes in inflation during financial crises. This monetary
perspective helps to account for the massive accumulation of reserves
observed in the data. The second chapter turns to financial reform, with an
emphasis on the role played by savings. I show how imperfect competition
in the financial sector can internalize externalities and yield larger investment
when domestic savings are low. Taking this view allows for a better
understanding of the empirical relationship between financial reforms and
economic growth.Aquesta tesi investiga dues dimensions de la poltica econ´omica en l’economia mundial contempor`ania. El primer cap´ıtol es centra en la recent acumulaci´o de reserves internacionals per part dels bancs centrals en les economies en desenvolupament. Exposo un model senzill de gesti´o de reserves per part d’un banc central que acumula reserves amb l’objectiu d’evitar els augments pronunciats d’inflaci´o durant les crisis financeres. Aquesta perspectiva monet`aria ajuda a explicar l’acumulaci´o massiva de reserves que s’observa en les dades. El segon cap´ıtol es focalitza en la reforma financera, emfasitzant el paper de l’estalvi. Demostro com la compet`encia imperfecta en el sector financer pot internalitzar les externalitats i aix´ı generar m´es inversi ´o, concretament quan l’estalvi ´es baix. L’adopci´o d’aquest punt de vista permet entendre millor la relaci´o emp´ırica entre les reformes financeres i el creixement econ`omic.
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Passari, Evgenia. "Essays in international finance." Thesis, City University London, 2013. http://openaccess.city.ac.uk/3062/.
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The present thesis comprises three essays in international finance, with a focus on the foreign exchange market. The first chapter assesses the predictive ability of a comprehensive set of empirical models of exchange rates, in addition to a standard technical trading strategy, on monthly exchange-rate returns for four developed and four emerging countries across different horizons. I implement a rolling window approach to the estimation and forecasting of the models, and construct an encompassing forecast. I also assess the economic value of the out-of-sample forecasting power of the empirical models using a simple dynamic allocation strategy, and find three key results: (1) the Taylor rule model consistently outperforms, economically and statistically, all the other models at the 1-month horizon. (2) The technical rule has superior predictive power over the random walk benchmark, across horizons, particularly for developed markets. (3) There are statistical gains from an unrestricted combined forecasting model at the 1-month horizon. The second chapter constitutes a survey that focuses on internationally tradable goods and services. Our motivation is that while excellent surveys exist in the literature on this topic, they focus largely on broad baskets of prices and, most commonly, on the consumer price index. We instead focus on the specific subset of the relevant literature that analyses deviations from the LOP applied to individual goods and services and specific sectors. The emphasis is hence on tradable items rather than broad baskets that also include a substantial nontradable component. Specifically, the objective is to distil the literature on the properties of deviations from the LOP applied to internationally tradable goods or sectors. We conclude that a careful reading of the literature suggests that this notion of PPP holds in the long run for a broad range of tradable goods and services and for a broad set of currencies. In the third chapter, I build a "commodity currency strategy" for exchange rate forecasting that conditions on changes in the global prices of commodity indices. The risk-return profile of this strategy reveals that the predictive ability of commodity prices for the exchange rate appears to be significant, and the returns appear to be uncorrelated to popular exchange rate strategies such as the carry trade and currency momentum. The market factor captures more than 70% of the cross-sectional returns of the proposed strategy and suggests a negative relation between equity returns and currency returns that are driven by commodity price changes. The commodity currency strategy is prone to high transaction costs which can only be circumvented by investing in developed markets with low costs and high liquidity.
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Ulloa, Barbara. "Essays on international finance." Thesis, City University London, 2013. http://openaccess.city.ac.uk/3484/.
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This thesis comprises three essays on international finance, focusing on international capital flows, foreign exchange market and official foreign exchange intervention. The first chapter assesses the relative contribution of common (push) and country specific (pull) factors to the variation of bond and equity flows from the US to 55 other countries. Using a Bayesian dynamic latent factor model, we find that more than 80% of the variation in bond and equity flows is due to push factors from the US to other countries. Hence global economic forces seem to prevail over domestic economic forces in explaining movements in international portfolio flows. The dynamics of push and pull factors can be partially explained by US and foreign macroeconomic indicators respectively. The second chapter presents new evidence on the microstructure of exchange rates in emerging markets. Using a novel dataset that records all spot US dollar transactions in the Chilean foreign exchange intraday market over 4 weeks in 2008 and 6 weeks in 2009, we investigate the relationship between exchange rates and order flows. We find supporting evidence that the contemporaneous relationship between exchange rates and order flows is time-varying. In this market, interbank order flow only accounts for a small portion of the exchange rate impact of total order flow, and the central bank orders influence private order flow behaviour. Compared to advanced economies, cointegration tests and long run relationship estimations between exchange rate and order flow indicate slow reversion from long run trend deviations. In the third chapter, we examine the intraday effects and success rates of official intervention in the Chilean foreign exchange market. The impact of official intervention on exchange rate daily returns has been widely revised in the literature, confirming in many cases the signalling channel for the transmission of the intervention effects. Our investigation at a higher frequency indicates that microstructure channels also work for the Chilean case. Specifically, the central bank's order flow directly affects the exchange rate returns contemporaneously and within a 2 hours range around the intervention event. In addition, actual interventions affect the price impact of private order flows, and are successful at moderating its trend.
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Du, Wenxin. "Essays in International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10902.
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This dissertation consists of three essays in international finance. The first two essays study emerging market sovereign risk with a focus on local currency denominated sovereign bonds. The third essay examines econometric tools for robust inference in the presence of missing observations, an issue frequently encountered by researchers in international finance.Economics
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Snaith, Stuart. "Essays in international finance." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437813.
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Jones, Geraint Paul. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/32406.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005."June 2005."
Includes bibliographical references.
This thesis is a collection of three essays on exchange rate policies and international capital flows in emerging markets. The first chapter examines the theoretical foundations of the "fear of floating" that has been observed to characterize many emerging market exchange rate regimes. Building on a model that derives "fear of floating" from a desire to prevent non-fundamental shocks in foreign exchange markets affecting the real economy, the chapter shows that floating exchange rates can still be optimal in such an environment. It further argues that floating exchange rates should become more prevalent as emerging markets integrate more fully into the world economy. The second chapter investigates the empirical evidence on "fear of floating" with a view to determining whether the phenomenon is the optimal response of emerging markets to a volatile external environment, as supposed in the first chapter, or whether more emerging markets would optimally employ floating exchange rates. The chapter finds evidence that "fear of floating" has a dual aspect; that it might indeed be optimal during less severe external volatility, but during severe external shocks, fear of floating can lead to underinsurance against sudden stops in capital inflows. Such "fear of floating" is associated with a lack of credibility in monetary policymaking and the chapter argues that the evidence suggests that a credible commitment to floating exchange rates during severe external shocks would help insure emerging markets against sudden stops. The third chapter evaluates the link between foreign investment and corruption in emerging markets.
(cont.) A model is developed of the link between FDI and corruption and the model is evaluated with data from the World Bank's Business Environment and Enterprise Performance Survey. It is found that corruption reduces aggregate FDI flows, but also distorts the composition of FDI towards firms more willing to engage in certain forms of corruption. FDI does not necessarily import better standards of governance. The chapter concludes with policy recommendation -for addressing the corruption in emerging markets.
by Geraint Paul Jones.
Ph.D.
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Mora, Nada 1976. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17623.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
This thesis is a collection of three empirical essays in international finance. The first chapter studies the transmission of monetary policy through the lending channel in a partially dollarized banking system. Taking advantage of the cross-sectional and time-series variation in the individual Mexican bank balance sheets, I find that the deposits and loans of banks with a larger share of foreign deposits are less sensitive to domestic monetary shocks, particularly for small banks. This result is reinforced when foreign monetary shocks and country risk shocks are controlled for. The results also suggest that banks with a larger foreign deposit share are more sensitive to foreign (U.S.) monetary shocks. Finally, these banks are more sensitive to country risk. That is, they are more prone to lose deposits when Brady bond spreads increase, although the size of their loan portfolio is not reduced. The second chapter examines whether bank credit fuels asset prices, using evidence from the Japanese real estate boom during the 1980's. The decline in banks' loans to keiretsu firms is used as the shock to bank real estate credit. The evidence supports using keiretsu loans as an instrument. Financial deregulation allowed large firms to replace bank finance with financing from public markets. The main part determines that those prefectures that experienced a larger loss in their banks' proportion of keiretsu loans experienced a positive increase in real estate lending which fuelled land inflation. An increase of 0.01 in a prefecture's instrumented share of real estate loans for 3 years implies a 28 % higher land inflation rate. The third chapter evaluates the behavior of sovereign credit ratings. This chapter questions the view that credit rating agencies aggravated the Asian crisis by excessively downgrading those countries. I find that ratings are, if anything, sticky rather than excessively procyclical. Assigned ratings exceeded predicted ratings prior to the crisis, mostly matched predicted ratings during the crisis period, and did not increase as much as predictions in the recent period following the crisis. Ratings are also found to react to nonmacroeconomic factors, lagged spreads and default history.
by Nada Mora.
Ph.D.
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Conesa-Labastida, Andres. "Essays on international finance." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10334.
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Kim, Nam Jong. "Essays on International Finance." Research Showcase @ CMU, 2015. http://repository.cmu.edu/dissertations/539.
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In the first chapter, I study the exchange rate disconnect puzzle in a two-country DSGE framework that features a financial intermediation sector. An intermediary is subject to two types of financing constraints: 1. a segmented deposit market restricted to local households, and 2. a balance-sheet constraint. These two constraints drive a wedge between marginal decisions of home and foreign intermediaries, which in turn, breaks the link between exchange rates and consumption differences in the Backus-Smith relationship. In contrast to traditional models which find a tight link between exchange rate growth and the consumption growth rate differential, the calibrated model produces a correlation of around -0.11, reconciling the model with the empirical evidence. In the second chapter, coauthored with Alexander Schiller, we study asset prices, exchange rates, and consumption dynamics in a general equilibrium two-county macro-finance model that features limited stock market participation as well as nontraded goods and distribution cost. The model generates a high price of risk, smooth exchange rates, and makes substantial progress towards explaining the empirically observed low consumption growth correlation between countries. We find that distribution cost plays a central role for reducing international consumption co-movement while also amplifying risk premia.
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Cenedese, Gino. "Essays in international finance." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49399/.
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This thesis consists of three essays in international finance, with a focus on the foreign exchange market. The first chapter provides an empirical investigation of the predictive ability of average variance and average correlation on the return to carry trades. Using quantile regressions, we find that higher average variance is significantly related to large future carry trade losses, whereas lower average correlation is significantly related to large gains. This is consistent with the carry trade unwinding in times of high volatility and the good performance of the carry trade when asset correlations are low. Finally, a new version of the carry trade that conditions on average variance and average correlation generates considerable performance gains net of transaction costs. In the second chapter I study the evolution over time of the response of exchange rates to fundamental shocks. Using Bayesian time-varying-parameters VARs with stochastic volatility, I provide empirical evidence that the transmission of these shocks has changed over time. Specifically, currency excess returns tend to initially underreact to interest rate differential shocks for the whole sample considered, undershooting the level implied by uncovered interest rate parity and long-run purchasing power parity. In contrast, at longer horizons the previously documented evidence of overshooting tends to disappear in recent years in the case of the euro, the British pound and the Canadian dollar. Instead, overreaction at long horizons is a persistent feature of the excess returns on the Japanese yen and the Swiss franc throughout the whole sample. In the third chapter we provide a comprehensive review of models that are used by policymakers and international investors to assess exchange rate misalignments from their fair value. We survey the literature and illustrate a number of models by means of examples and by evaluating their strengths and weaknesses. We analyse the sensitivity of underlying balance (UB) models with respect to estimated trade elasticities. We also illustrate a fair value concept extensively used by financial markets practitioners but not previously formalised in the academic literature, and dub it the indirect fair value (IFV). As case studies, we analyse the models used by Goldman Sachs and by the International Monetary Fund’s Consultative Group on Exchange Rate Issues (CGER).
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Cen, Jiaming. "Essays on international finance." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13171/.
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This thesis consists of three essays on international finance. In the first study, we examine the properties of carry trade and momentum returns in the interwar period currency markets. We find that these active currency trading strategies earn an annualized average excess return of about 7%, consistent with estimates from modern samples. On the grounds that the interwar period represents rare events better than modern samples, we provide evidence unfavorable to the rare disaster based explanation for the returns to the carry trade and momentum. Global FX volatility risk, however, turns out to account for the carry trade return in the interwar sample as well as in modern samples. In the second study, we provide a scientific account for the risk-off phenomenon which refers to a change in risk preferences and the effect on asset prices of the associated portfolio rebalancing. We identify risk-off episodes as a switch to a polarized correlation regime of currency returns. These risk-off transitions are relatively infrequent but noticeably increasing over time. They are persistent and associated with geopolitical events. Finally, risk-off switches are unrelated to changes in macroeconomic fundamentals and to other shocks. Risk-off switches have very significant spill-over to the returns of broad asset classes and trading strategies and are associated with significant changes in the positions of professional investors across different financial markets. In the third study, we explore the broader implications of the present value relations for return predictability. More specifically, we estimate global risk premium factors in international stock markets, international bond markets, and the currency markets from the whole cross-section of present value measures (the price-dividend ratio, bond yields, and the real exchange rate, respectively for the abovementioned three asset classes). We find that the global risk premium factors: substantially improve the predictability of returns relative to the asset-specific present value measures; are intimately linked with macroeconomic fundamentals; and imply strong and consistent exchange rate predictability.
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Riddiough, Steven John. "Essays in international finance." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/63014/.
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This thesis studies the role of global risk within the context of international finance. In total, the thesis is composed of three essays. In Chapter 2, I investigate the impact of global risk on the cross-border flows of funding between banks. Specifically, I decompose gross cross-border bank-to-bank funding between arms-length (interbank) and related (intragroup) funding, and show that while interbank funding is withdrawn when global risk is high, intragroup funding remains stable during these periods, despite being more volatile on average. The results are in contradiction with theoretical predictions for the behavior of cross-border banking fl ows, and help explain why certain banking systems lost more cross-border bank-to-bank funding than others during the global financial crisis of 2008. In Chapter 3, I turn my attention to the currency market and show that global imbalances are a fundamental economic determinant of currency risk premia. I propose a factor that captures exposure to countries' external imbalances - termed the global imbalance risk factor - and show that it explains most of the cross-sectional variation in currency excess returns. The economic intuition of this factor is simple: net foreign debtor countries offer a currency risk premium to compensate carry trade investors willing to finance negative external imbalances. Finally, in Chapter 4, I focus again on the currency market by investigating the fundamental source of variation in currency betas. Theoretical models of currency premia offer precise explanations for why currencies exhibit heterogeneous exposure (betas) to risk. Characteristic factors, constructed to reflect these 'beta predictions' of leading models of currency premia would, therefore, also be expected to explain the cross-section of currency portfolio returns. I find, however, that none of the factors can explain any of the cross-sectional spread in returns. Yet alternative non-theoretical characteristic factors, based on macroeconomic, financial and political risk, perform almost universally well in cross-sectional tests. But these factors can also be dismissed as explanations for heterogeneous currency betas, with a simple secondary test. The findings imply a need for a stricter empirical benchmark for assessing all theoretical models of currency premia. Moreover, by investigating currency betas, I show that standard empirical asset pricing techniques can filter out around 99% of spurious currency risk factors.
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Ahmed, Shamim. "Essays in international finance." Thesis, University of Essex, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.654725.
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This thesis comprises three essays in international finance, with a focus on the foreign exchange (FX) market. The first chapter examines the pricing ability of the short- and long-run components of global FX volatility in the cross-section of carry trade returns. I find a negative and statistically significant factor risk price for the long-run component. Low interest rate currencies covary positively with innovations in the long-run component of volatility, while currencies with high interest rates covary negatively. Interestingly, I do not find significant evidence in favor of the short-run volatility component being a cross-sectional priced risk factor. I also show empirically that the long-run component is the dominant part of global FX volatility and is dynamically related to US-specific macroeconomic fundamentals such as industrial production and money balances. The second chapter investigates the time-series predictability of bilateral exchange rates from unconditional and conditional linear factor models using dollar, carry, and global FX volatility risk factors. I find evidence that all versions of the models largely fail to outperform the random walk with drift benchmark in out-of-sample forecasting of monthly exchange rate returns for individual currencies. This holds for currencies sorted into portfolios conditional on forward discounts. I also show that information embedded in dollar, carry, and global FX volatility risk factors do not generate systematic economic value to investors. In fact, linear factor models with currency-based risk factors do not outperform the random walk with drift benchmark in out-of-sample economic value analysis.
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Sarmidi, Tamat. "Essays in international finance." Thesis, University of Leicester, 2008. http://hdl.handle.net/2381/30159.
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This dissertation comprises three empirical studies on the equity and foreign exchange markets of emerging economies. The motivations for these three studies evolve around the issue of financial liberalization in emerging markets. Specifically, the first empirical study examines the impact of financial liberalization on the volatility of equity returns in the emerging markets. Building on different GARCH models, the chapter shows that volatility could decrease, increase or be unchanged post financial liberalization depending on the level of domestic institutional quality and market characteristics. The analysis shows that volatility is prone to increase (decrease) for a country with low (high) quality of institution and market characteristics. The second study investigates the Uncovered Interest Rate Parity Hypothesis (UIP) for emerging countries. Considering economies that adopt relatively open capital account and free floating exchange rate regimes, both dynamic time series and panel analysis suggest that the coefficient of interest rate differential on the UIP regression is positive and close to unity at longer horizons. The evidence is robust for different base countries (US, Germany or Japan). The third empirical study examines the hypothesis that claims that the exchange rate movements are possible to be predicted in the economies that are fundamentally unstable such as emerging economies. Employing the Vector Error Correction Model (VEC) under the bootstrap techniques proposed by Killian (1999), the findings provide for the evidence of exchange market predictability in emerging economies.
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Mallucci, Enrico. "Essays in international finance." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/3165/.
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This thesis contains three chapters. The first two chapters concentrate on the sovereign debt market and study how domestic holdings of government debt and financial intermediation influence yields and equilibrium debt levels. An innovative perspective emerges from these studies: Sovereign default risk and government yields crucially depend on the size of domestic debt and on its influence on the domestic credit market. This perspective surpasses the traditional view that exclusively relates sovereign default risk to the size of external debt and the economic cycle. The third chapter empirically investigates the functioning of international capital markets and the behavior of market participants. The chapter studies how the different return components of aggregate equity and bond markets influence mutual fund flows and vice-versa. Two interesting results emerge. Firstly, the non-contemporaneous correlation between flows and returns is found to be predictable at least in the short run. This result rejects the standard perfect market assumption in macro-models which implies that the correlation between flows and returns is strictly contemporaneous. Secondly, evidence is found that excess returns in the equity markets are driven by cash-flow news. This is in contrast with the typical finding in the literature that discount rates news is the main driver of excess returns. Identifying determinants of government incentives to default is central to understand how equilibrium prices and quantities iare determined in sovereign debt markets. The scholarly literature has focused on two factors to explain default risk: the size of external debt and the fluctuation of the economic cycle. While these two dimensions are certainly important, another aspect seems equally important: the internal versus external composition of debt. Reinhart and Rogoff (2008) empirically investigate the importance of domestic debt for sovereign default episodes and conclude that there is a “forgotten history of domestic debt”. While domestic debt dynamics are relevant to understand sovereign default risk, very little research has been devoted to it. The first chapter of my thesis fills in the gap by incorporating domestic debt in a theoretical model of sovereign default. This extension leads to three contributions. The first is a positive one. While standard sovereign default models (i.e. Arellano, 2008 and Aguiar and Gopinath, 2006) assume exogenous output costs to default, the introduction of domestic debt allows me to illustrate an endogenous mechanism linking defaults and output contractions through the credit market which is consistent with the empirics. The second contributions is quantitative. The introduction of domestic debt helps to reproduce the high debt to GDP ratios and the low frequency of default that is found in the empirics. Finally the last contribution is normative. When domestic investors act competitively domestic debt levels are found to be inefficiently low. A case is made for the introduction of Pigouvian subsidies that subsidize domestic purchases of government debt. Sovereign defaults and banking crises tend to come in pairs. Understanding the link between these two phenomena is relevant to understand how the risk of sovereign default is priced by financial markets. In the second chapter of the thesis I focus on the underlying mechanisms of contagion between public debt and bank’s balance sheet. Using disaggregated banking data I analyze empirically the channels through which sovereign debt crises transmit to the banking sectors. I find that one of the main propagation mechanism operates through the collateral channel. When the default risk is high the price of government debt falls and the value of the asset that banks can pledge as a collateral on the wholesale market for liquidity contracts. Funding difficulties transmit thorough the balance sheet to the credit supply . The cyclicality of credit supply magnifies the negative impact of sovereign debt crises on output and consumption reducing the ex-ante incentives of issuing domestic debt. Lenders of last resort may mitigate the contraction of the credit supply in bad times offering liquidity in exchange for government debt. Following the monetary authority intervention the credit market recovers, sovereign yields fall and higher debt levels become sustainable. The third chapter studies the functioning of international equity and bond markets and the behavior of its participant. The chapter focuses on the interaction between different return components of aggregate equity and portfolio flows. First, international equity and bond market returns are decomposed into changes in expectations of future real cash payments, interest rates, exchange rates, and discount rates. News about future cash flows, rather than discount rates, is the main driver of international stock returns. This evidence is in contrast with the typical results reported only for the US. Inflation news instead is the main driver of international bond returns. Next, the interaction between these return components and international portfolio flows is analyzed. Evidence consistent with price action, short-term trend chasing, and short-run overreaction in the equity market is found. International bond flows to emerging markets are found to be more sensitive to interest rate shocks than equity flows.
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Zarrabi, Nima. "Essays in international finance." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/18630/.
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This thesis investigates three issues related to foreign exchange market. The fist issue is whether commodity prices can beat random walk benchmark by generating more accurate out-of-sample forecasts. The empirical results show that contemporaneous prices outperform the random walk at the daily frequency, however, this predictive ability disappears for monthly data. Using lagged commodity prices, we show that integrating the whole set of commodities into one large model or equally combining forecasts generated by each commodity individually improves the accuracy of the forecasts, implying outperforming the driftless random walk benchmark. The second issue is the profitability of technical trading rules in foreign exchange market and whether it is consistent with the efficient market hypothesis. The results support profitability of trading rules for different currencies. However, to determine whether one could consistently speculate in the market, we perform a persistence analysis. We construct a portfolio of outperforming rules for each currency at the end of each month and use the selected rules in the following month. These results indicate that profitability of technical trading rules are purely due to luck. The final issue is the performance of technical analysis and fundamental analysis in forecasting exchange rates. Due to parameter instability, the focus is on local forecasting performance of technical and economic models. We select models with the best performance based on three different criteria on a monthly basis and use them to generate forecasts for the next period. Our results show that if forecasts generated by selected technical and economic models are combined with equal weight, the random walk is beaten by all three criteria. These results underline the importance of considering both fundamental and technical factors in forecasting exchange rates.
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Hadla, Masar. "Essays in international finance." Thesis, University of Essex, 2015. http://repository.essex.ac.uk/15692/.
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This thesis contributes to the extant research on international finance by presenting a collection of three separate essays. The first essay tests the validity of long-run Purchasing Power Parity (PPP) in two panels of real exchange rates for 13 OECD countries (1989:07-2012:11, 1989:07-2006:12). Three panel unit root tests are applied, one that assumes cross-sectional independence, one that accounts for cross-sectional dependence using a single factor approach, and one that controls for cross-sectional dependence through a multi-factor approach. The main difference in the results is attributed to ignoring or allowing for cross-sectional dependence. The second essay also examines long-run PPP, but uses a panel cointegration test which allows for (i) heterogeneous and multiple structural breaks and (ii) crosssectional dependence. Based on a panel of 53 economies (1992:01-2014:05 ) no evidence of PPP can be found using two types of models that can be equipped/illequipped to handle the potential presence of structural breaks in the data. The third essay employs a factor approach to analyse exchange rate prediction at multiple horizons, from 1 month to two years for a panel of 10 OECD economies spanning the period 1999:01-2013:04. Two new models are proposed, that are based on the separate use of forward rates and interest rate differentials to be added in conjunction with the extracted factors. Factor-based exchange rate models were found to beat the random walk model for long horizons over the latter parts of our forecasting sample.
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Huang, Huichou. "Essays in international finance." Thesis, University of Glasgow, 2015. http://theses.gla.ac.uk/6952/.
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This Ph.D. thesis contains 3 essays in international finance with a focus on foreign exchange market from the perspectives of empirical asset pricing (Chapter 2 and Chapter 3), forecasting and market microstructure (Chapter 4). In Chapter 2, I derive the position-unwinding likelihood indicator for currency carry trade portfolios in the option pricing model, and show that it represents the systematic crash risk associated with global liquidity imbalances and also is able to price the cross-section of global currency, sovereign bond, and equity portfolios; I also explore the currency option-implied sovereign default risk in Merton’s framework, and link the sovereign CDS-implied credit risk premia to currency excess returns that it prices the cross section of currency carry, momentum, and volatility risk premium portfolios. In Chapter 3, I investigate the factor structure in currency market and identify three important properties of global currencies – overvalued (undervalued) currencies with respect to equilibrium exchange rates tend to be crash sensitive (insensitive) measured by copula lower tail dependence, relatively cheap (expensive) to hedge in terms of volatility risk premium, and exposed to high (low) speculative propensity gauged by skew risk premium. I further reveal that these three characteristics have rich asset pricing and asset allocation implications, e.g. striking crash-neutral and diversification benefits for portfolio optimization and risk management purposes. In Chapter 4, I examine the term structure of exchange rate predictability by return decomposition, incorporate common latent factors across a range of investment horizons into the exchange rate dynamics with a broad set of predictors, and handle both parameter uncertainty and model uncertainty. I demonstrate the time-varying term-structural effect and model disagreement effect of exchange rate determinants and the projections of predictive information over the term structure, and utilize the time-variation in the probability weighting from dynamic model averaging to identify the scapegoat drivers of customer order flows. I further comprehensively evaluate both statistical and economic significance of the model allowing for a full spectrum of currency investment management, and find that the model generates substantial performance fees.
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Daude, Christian. "Essays in international finance." College Park, Md. : University of Maryland, 2008. http://hdl.handle.net/1903/8022.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.Thesis research directed by: Dept. of Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Riera-Crichton, Daniel. "Essays on international finance /." Diss., Digital Dissertations Database. Restricted to UC campuses, 2007. http://uclibs.org/PID/11984.
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Rendon, Jairo Andres. "Essays in international finance." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1905639781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Huang, Sainan. "Trois essais sur Finance International et Commerce International." Thesis, Cergy-Pontoise, 2014. http://www.theses.fr/2014CERG0738.
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Cette thèse est organisée en trois chapitres. Chaque chapitre correspond à un article dans les domaines de la finance internationale et du commerce international. Chapitre 1: Une analyse empirique du cycle électoral des taux de change réel: Asie de l'Est vs. Amérique Latine. Dans cet article, nous analysons les fluctuations des taux de change réels pendant les élections en Asie de l'Est, et nous effectuons une comparaison avec les expériences des pays d'Amérique latine. Tout d'abord, nous avons trouvé un nouveau type de cycle électoral de taux de change réel pour l'Asie de l'Est, qui s'oppose à celui des pays d'Amérique Latine. Ensuite, nous étudions les politiques utilisées par les politiciens pour influencer le taux de change pendant des élections. Chapitre 2: Populisme du taux de change. Les résultats empiriques ont montré que les économies d'Amérique Latine et de l'Asie de l'Est présentent des cycles électoraux du taux de change opposés. Les taux de change ont tendance à se déprécier pendant la période qui précède les élections et à s'apprécier ensuite pour les économies d'Asie de l'Est alors que le phénomène opposé se déroule dans les économies d'Amérique Latine. Cet article propose un modèle théorique qui explique le cycle électoral du taux de change dans ces deux régions. Le mécanisme derrière le cycle est engendrée par les politiciens qui essaient de signaler qu'ils sont du type de l'électeur médian, biaisant leur politique en faveur de la majorité de la population avant les élections. Les forces motrices du populisme d'inversion du taux de change dans ses deux régions sont les effets distributifs du taux de change réel et les différences de taille relative des secteur des biens échangeables et le secteur des biens non échangeables dans ses deux régions. Chapitre 3 : La décomposition du déclin du commerce international pendant les crises financières. La crise financière mondiale de 2008-2009 a été accompagnée d'une forte baisse du commerce international, ce qui pose la question sur le rôle de la finance sur le commerce international. Nous contribuons à cette littérature en étudiant l'impact de la crise sur les échanges bilatéraux, en utilisant les données de 103 exportateurs, 188 importateurs et 27 secteurs pour 1995-2009. Tout d'abord, nous analysons les réponses des échanges bilatéraux à la crise financière quand le choc frappe soit le pays exportateur soit le pays importateur. Ensuite, cet article contribue au débat sur l'effondrement du commerce international pendant les crises. Est-ce que la chute du commerce international est provoquée par des chocs de demande ou des chocs d'offre? Enfin, nous étudions l'impact de la crise financière sur la marge extensive du commerce, qui peut être une indication de l'impact permanent sur le commerceThis thesis is comprised of three chapters. Each chapter corresponds to an article in the field of international finance and international trade. Chapter One: An Empirical Analysis of Real Exchange Rate Election Cycle: East Asia vs. Latin America. Empirical literature depicts an exchange rate cycle around elections in Latin America: exchange rates tend to be more appreciated before than after elections. In this paper we analyze the behavior of real exchange rates (RERs, hereafter) around elections in East Asia, and perform a broad comparison with the experiences of Latin America countries. Our contributions to the empirical literature on exchange rate election cycle are threefold. First, we find a new type of RER election cycle in East Asia region, which is opposite to one of Latin America. Second, we investigate the possible policies used by the policy-maker to influence the RER around elections. We find that RER variation around elections can be partially captured by changes in international reserves. Our results are consistent with international reserves being used by policy-makers to influence exchange rates and produce its election cycle, and we find that international reserves increase in the month preceding elections in East Asia, but decrease in Latin America. Third, we show that in both regions the RER election cycle is clearly identified before central bank reform, but the cycle disappears in the post-reform data, indicating that monetary policy is one of the channels through which the RER election cycle is generated. Chapter Two: Exchange Rate Populism. Empirical findings have shown that East Asian and Latin American economies present opposite exchange rate electoral cycles: exchange rates tend to be more depreciated before and appreciated after elections among East Asian economies, and the opposite is true in Latin America. This paper proposes a theoretical model that explains the opposite exchange rate electoral cycle in these two regions. In a setup where policy-makers differ in their preference bias towards non-tradable and tradable sector citizens, the RER is used a noisy signal of the incumbent's type in an uncertain economic environment. The mechanism behind the cycle is engendered by the incumbent trying to signal he is median voter's type, biasing his policy in favor of the majority of the population before elections. The driving forces of the opposite exchange rate populism in these two regions is the RER distributive effects and the difference of the relative size of tradable and non-tradable sectors in these two regions. Chapter Three: The Decomposition of Trade Collapse during Financial Crises. The global financial crisis of 2008-2009 was accompanied by a sharp decline in international trade, which raises the question on the role of finance on international trade. We contribute to this literature by investigating the impact of financial crises on bilateral trade, using data of 103 exporters and 188 importers at 27 sectors-disaggregation from 1995 to 2009. Firstly, we analyze the responses of bilateral trade to financial crisis and the shock hits the exporting country or the importing country. Secondly, this paper investigates whether the trade collapse following crisis is caused by demand or supply shocks. Thirdly, we investigate the impact of financial crisis on the extensive margin of trade, which may be an indication of its permanent impact on trade
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Guo, Xueyan. "Three essays in international finance /." Diss., Digital Dissertations Database. Restricted to UC campuses, 2005. http://uclibs.org/PID/11984.
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Ta, Thanh Hai. "Two essays in international finance." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=106348.
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This thesis consists of two essays on the effects of barriers to international investment on risk premium and investors' portfolio holdings. In the first essay, we develop an international asset pricing model in a two-country framework where there are no restrictions in the domestic market (for example the U.S.). On the other hand, trading in the foreign market (for example an Emerging Market) encounters barriers to portfolio flows and short-sale constraints. The model suggests that freely traded assets (for example those traded in the U.S.) are priced with only a global risk premium, whereas assets that trade under capital flow and short sale restrictions (for example those traded in Emerging Markets) command a global risk premium, a conditional risk premium and a conditional discount. Further, the price of risk of the discount factor is a linear, increasing function of legal limits on holdings of securities that trade in the foreign market. This is the first, arbitrage-free international asset pricing model that studies both short-sale constraints and foreign ownership restrictions. The model uncovers a new pricing factor that provides a measure of economic benefit of relaxing equity ownership restrictions. We estimate a conditional version of the model for 18 major emerging markets over the period 1989-2007. We find evidence that global and both local risk factors are priced as well as time varying. The relationship between legal limits on holdings of foreign securities and the price of risk of the discount factor is statistically significant, suggesting economic gains from further liberalization of constraints on capital flows. The second essay evaluates the impact of investability on risk premium in emerging markets. Built upon the theoretical results of the first essay, we decompose the risk premium of non-investable and partially investable portfolios in emerging markets into three components: a global premium, a conditional local premium and a conditional local discount where the discount reflects the benefit of investability on risk premium. Using MGARCH-in-mean technique, we quantify the impact of investability on risk premium for 18 major emerging markets and find that investability contributes to a significant reduction in risk premium of both non-investable and partially investable portfolios. We also document that increase in investability is associated with higher benefit and a larger exposure to the global factor.Cette thèse se compose de deux essais sur les effets des obstacles à l'investissement international sur la prime de risque et les avoirs en portefeuille des investisseurs. Dans le premier essai, nous développons un modèle d'évaluation des actifs internationaux à deux pays où il n'existe aucune restriction sur le marché intérieur (par exemple les États-Unis). D'un autre côté, la négociation des actifs sur le marché étranger (par exemple un Marché Émergent) rencontre des obstacles aux investissements de portefeuille et des restrictions sur les ventes à découvert. Le modèle suggère que les actifs négociés librement (par exemple ceux négociés aux États-Unis) sont évalués uniquement par une prime de risque globale tandis que les actifs qui sont négociés avec l'existence des restrictions aux flux de capitaux et aux ventes à découvert (par exemple ceux négociés sur les Marchés Émergents) sont évalués par une prime de risque mondial, une prime de risque conditionnelle et un escompte conditionnel. De plus, le prix du risque du facteur d'escompte est une fonction linéaire croissante de restrictions légales sur les investissements étrangers en titres qui se négocient sur le marché étranger. Ceci est le premier modèle d'évaluation des actifs internationaux sans arbitrage qui étudie des restrictions sur les ventes à découvert et sur la propriété étrangère ensemble. Le modèle découvre un nouveau facteur d'évaluation qui fournit une mesure des avantages économiques du relâchement des restrictions sur la propriété étrangère des actions. Nous estimons une version conditionnelle du modèle pour 18 principaux marchés émergents sur la période 1989-2007. Nous trouvons la preuve que le facteur de risque mondial et deux facteurs de risque locaux sont évalués et variables dans le temps. La relation entre les restrictions légales sur la propriété étrangère des actions et le prix du risque du facteur d'escompte est statistiquement significative, suggérant que l'assouplissement des restrictions aux flux de capitaux produise des avantages économiques. Le deuxième essai évalue l'impact de l'investability sur la prime de risque dans les marchés émergents. En utilisant les résultats théoriques du premier essai, nous décomposons la prime de risque des portefeuilles non-investable et partiellement-investable dans les marchés émergents en trois composantes: une prime mondiale, une prime locale conditionnelle et un escompte local conditionnel où l'escompte reflète l'avantage de l'investability sur la prime de risque. En utilisant la technique de MGARCH-en-moyen, nous quantifions l'impact de l'investability sur la prime de risque pour 18 principaux marchés émergents et trouvons que l'investability représente une part économiquement significative de la prime de risque des portefeuilles non-investable et partiellement-investable. Nous trouvons également que l'augmentation de l'investability est associée à l'augmentation des avantages économiques et la plus grande exposition au facteur mondial.
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Liu, Guojin. "Finance leasing in international trade." Thesis, University of Birmingham, 2010. http://etheses.bham.ac.uk//id/eprint/741/.
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The thesis is on “Finance Leasing in International trade”. It considers the question “How well does English law recognise and encourage the use of finance leasing in equipment trade?” The discussion shows that, on the one hand, English law has recognised the financing nature of finance leasing. It sees the lessor in a finance leasing arrangement merely as a financier, who steps into a sale of equipment which might otherwise take place between the supplier and the lessee. In addition, English law recognises that there are two agreements between the parties: a sale between the supplier and the lessor and a finance lease between the lessor and the lessee. Although English law does not view the transaction as a triangular relationship, it entitles the lessee to a cause of action against the supplier in various circumstances. It also allows the lessor to exclude from liability for the quality of the asset and to secure his commercial interests in the transaction by retaining ownership of the asset. On the other hand, however, English law fails to provide solutions to some problems arising from the financing nature of the transaction. For example, it is difficult for the lessor to be completely free of responsibility for the condition of the asset, which is imposed by the Supply of Goods and Services Act 1982. His obligation to ensure the lessee’s quiet enjoyment of the lessee is also obscure. In addition, the lessee does not have a proprietary right over the asset at law and this has led to distortion of some of the legal principles regarding ownership and property. The discussion leads to the conclusion that the law pertaining to finance leasing is on the whole satisfactory to facilitate equipment trade but reform is called for in some areas. The following suggestions are proposed to improve the use of finance leasing in the trade of equipment, both domestically and internationally. Firstly, the law should define finance leasing by providing explicit pronouncement of its financial nature and the triangular relationship. Secondly, the obligations and rights of the parties should be more specific. For example, the lessor’s responsibility for the lessee’s quiet enjoyment under the 1982 Act should be clarified as follows: “the lessor ensures that he has the right to lease the asset so that the lessee may enjoy exclusive possession of it free from disturbance by a person whose title is paramount to the lessor’s, unless the disturbance stems from actions of the lessor”. But the lessor should be excluded from all the obligations as to the condition of the asset under the Supply of Goods and Service Act 1982. The supplier should be liable to the lessee for the condition of the asset and, at his default, the lessee should be able to resort to a cause of action against him, being a third party to the supply agreement under the Contract (Third Party Rights) Act 1999. In addition, the lessee should be responsible for the payment of the total rentals irrevocably and his right over the asset should be recognised as a legal proprietary right.
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Chen, Jia. "Three Essays on International Finance." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1337742337.
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Wynter, Matthew M. "Three Essays On International Finance." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1397128263.
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Ragan, Kent Patrick. "Three essays in international finance /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9988692.
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Martell, Rodolfo. "Three essays in international finance." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1111754376.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xiv, 147 p.; also includes graphics (some col.) Includes bibliographical references (p. 91-98). Available online via OhioLINK's ETD Center
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Rodríguez, Iván Marcelo Jr. "Three Essays in International Finance." FIU Digital Commons, 2018. https://digitalcommons.fiu.edu/etd/3740.
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In this dissertation, I focus my research on some of the economically significant and current open problems in international finance, specifically the relationship between Credit Default Swaps (CDS) on sovereign debt, the importance of fundamental dyadic distances on the initiation and completion of cross-border mergers and acquisitions, and the impact of domestic and transnational terrorism on cross-border mergers and acquisitions.
In the first essay, we study the relationship between sovereign debt ratings and the information contained in CDS spreads regarding the credit risk of the reference entity. Using data for 54 countries over a twelve-year period, we find that the variation in average sovereign ratings in a given year can be explained by average CDS spreads over the previous three years. In a horse race between CDS spreads and sovereign ratings, we find that CDS spread changes can predict sovereign events while rating changes cannot.
In the second essay, we study how dyadic distance influences the initiation, completion, and duration of cross-border mergers and acquisitions. Using a sample of 173,616 cross-border deals announced between 1970 and 2016, we find evidence that cross-country cultural, institutional, geographical, religious, and language differences, all play a deciding role in the initiation of mergers and acquisitions. The completion of acquisitions is independent of cultural factors, but largely depends on differences in economy size, language, religion, and bureaucracy of the acquiring and target countries. Finally, the duration of deals is influenced by idiosyncratic factors only.
In the third essay, we study whether incidents of domestic and transnational terrorism impact the propensity of firms to acquire cross-border firms. We adopt a theoretical model to show that high levels of terrorism in the target countries are associated with lower cross-border acquisition flows. Empirically, we exploit the exogenous variation induced by differences in genetic diversity, ethnic fractionalization, and religious fractionalization between acquirer and target countries. Our results show that an target from a country with lower terrorist incidents than the acquirer country are associated with more cross-border mergers and acquisitions.
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Sattler, Thomas. "The political economy of international finance /." Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=16925.
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Nahhas, Abdulkader. "Essays in international finance and banking." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13160.
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In this thesis financial movements are considered in terms of foreign direct investment (FDI) and a related way to international banking. In Chapter 2 FDI is analysed in terms of the major G7 economies. Then this is further handled in Chapter 3 in terms of bilateral FDI (BFDI) data related to a broader group of economies and a main mode of analysis the Gravity model. Gravity models are then used in Chapter 4 to analyse bilateral cross border lending in a similar way. While the exchange rate effect is handled in terms of volatility and measured using models of conditional variance. The analysis focused on the bilateral data pays attention to the breakdown of crises across the whole period. With further consideration made of the Euro zone in terms of the study of BFDI and cross border lending. The initial study looks at the determinants of the inflow and outflow of stocks of FDI in the G7 economies for the period 1980-2011. A number of factors, such as research and development (R&D), openness and relative costs are shown to be important, but the main focus is on the impact of the real and nominal effective exchange rate volatility. Where nominal and real exchange rate volatility are measured using a model of generalised autoregressive conditional heteroscedasticity (GARCH) to explain the variance. Although the impact of volatility is theoretically ambiguous inflows are generally negatively affected by increased volatility, whilst there is some evidence outflows increase when volatility rises. In Chapter 3, the effect of bilateral exchange rate volatility is analysed using BFDI stocks, from 14 high income countries to all the OECD countries over the period 1995-2012. This is done using annual panel data with a gravity model. The empirical analysis applies the generalised method of moments (GMM) estimator to a gravity model of BFDI stocks. The findings imply that exports, GDP and distance are key variables that follow from the Gravity model. This study considers the East Asian, global financial markets and systemic banking crises have exerted an impact on BFDI. These effects vary by the type and origin of the crisis, but are generally negative. A high degree of exchange rate volatility discourages BFDI. Chapter 4 considers the determinants of cross-border banking activity from 19 advanced countries to the European Union (EU) over the period 1999-2014. Bilateral country-level stock data on cross-border lending is examined. The data allows us to analyse the effect of financial crises – differentiated by type: systemic banking crises, the global financial crisis, the Euro debt crisis and the Lehman Brothers crisis on the geography of cross-border lending. The problem is analysed using quarterly panel data with a Gravity model. The empirical "Gravity" model conditioned on distance and size measured by GDP is a benchmark in explaining the volume of cross border banking activities. In addition to the investigation of the impact of crises further comparison is made by investigating the impact of European integration on cross-border banking activities between member states. These results are robust to various econometric methodologies, samples, and institutional characteristics.
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Col, Burcin. "Three essays on international corporate finance." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=110527.
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This thesis consists of three essays on issues that affect valuation and capital allocation decisions of multinational companies (MNCs). The first essay explores the valuation consequences of tax avoidance using an international sample of cross-border mergers that involve tax haven targets and/or acquirers. Cross-border mergers with haven-based firms offer a refined setting to study the valuation implications of tax avoidance. Firms can achieve tax savings through these transactions in two ways: 1) selling to an acquirer based in a tax haven, hence making the newly created multinational a haven resident or 2) setting up a subsidiary in these locations by targeting a tax haven firm. Using the data on cross-border M&As for the period from 1989 to 2010, we find that the announcement returns to targets and acquirers of tax haven firms are lower relative to a control sample of non-tax motivated M&As. The evidence is consistent with the agency cost explanations, as changing a firm's tax home through a 100% acquisition is accompanied by a change in legal system and corporate governance. The adverse effects are less pronounced for firms that have stronger corporate governance practices at the firm - level. Our results therefore provide value evidence on the agency costs of tax-motivated M&As. In the second essay, we investigate two related issues. First, what is the valuation impact of state expropriation for cross-border mergers that involve targets from predatory states. Second, what is the effect of improved shareholder protection and transparency when the target is subject to significant expropriation risk. Using a sample of 902 cross-border acquisitions from 36 target countries during the period from 1989 to 2009, we find that targets, which operate under some degree of state expropriation risk, receive a significantly lower premium. The target shareholders are also not fully rewarded for the improvement in firm governance since the benefits of improvement are mitigated under predation. We thus provide evidence for twin-agency theory of Stulz (2005) through cross-border mergers. In the third essay we investigate how foreign risks affect the capital allocation decisions of the U.S. firms. We argue that international trade is a significant conduit of foreign political uncertainty into U.S. markets. We construct a measure of foreign political risk sensitivity; an index of political risks of trade partners or occurrence of national elections weighted by the relative export volumes of particular industries. We find that industries that export considerable shares of their output to countries with high political risk or countries that hold national elections in a given year experience suboptimal investment efficiency and lower performance.Cette thèse se comporte de trois essais portant sur les décisions relatives à l'allocation des capitaux dans les firmes multinationales ainsi que sur les problématiques se rapportant à leur évaluation. Le premier essai explore les conséquences de l'évasion fiscale en termes d'évaluations, et ceci en se basant sur un échantillon de données portant sur des opérations de fusions et acquisitions internationales impliquant des entreprises se trouvant dans des paradis fiscaux. En utilisant des données sur les fusions et acquisitions portant sur la période de 1989 à 2010, nous trouvons que les rendements autour de la date d'annonce pour les entreprises acquises ou acquéreuses se trouvant dans des paradis fiscaux sont relativement moins élevés en comparaison à ceux des entreprises fusionnant pour motifs autres que fiscaux. Ce résultat est en accord avec la notion des coûts d'agence, puisque le changement fiscal sera accompagné d'un changement du système judiciaire et des pratiques de gouvernance. Les résultats obtenus constituent une preuve de l'impact en termes d'évaluation des coûts d'agence dans les fusions et les acquisitions motivées par des avantages fiscaux. Dans le second essai nous étudions deux problématiques connexes. Tout d'abord, quel est l'impact d'expropriation par l'état, en termes d'évaluation, sur les fusions impliquant des entreprises se trouvant dans des pays prédateurs. Deuxièmement, quel est l'effet d'une amélioration de la protection des actionnaires et de la transparence lorsque l'entreprise acquise présente un risque élevé d'expropriation. En utilisant un échantillon de 902 acquisitions portant sur 36 pays durant la période de 1989 à 2009, nous trouvons que les entreprises acquises qui présentent un certain risque d'expropriation reçoivent une prime moins élevée. Les actionnaires de l'entreprise acquise ne sont pas non plus entièrement compensés pour l'amélioration de la gouvernance puisque les bénéfices de cette amélioration sont mitigés en présence de risque de prédation. Dans le troisième essai, nous étudions l'impact du risque international sur les décisions relatives à l'allocation des capitaux dans les entreprises américaines. Nous affirmons que le commerce international est conduit important d'incertitude des pays étrangers politique pour les marchés américains. Nous trouvons que les industries qui exportent une part importante de leurs produits dans des pays présentant un risque politique élevé ou des pays qui tiennent des élections nationales durant une année donnée, ont un investissement sous-optimal et une performance moins élevée.
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Kliatskova, Tatsiana [Verfasser]. "Essays in International Finance / Tatsiana Kliatskova." Berlin : Freie Universität Berlin, 2019. http://d-nb.info/1191755940/34.
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Sarno, Lucio. "Essays in macroeconomics and international finance." Thesis, University of Liverpool, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364179.
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Rappoport, Veronica E. (Veronica Eva). "Essays on international finance and economics." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33829.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005.Includes bibliographical references (p. 119-123).
The first essay explains why credit contracts in developing countries are often denominated in foreign currencies, even after many of these economies succeeded in controlling inflation. I propose a new interpretation based on the demand for insurance against real aggregate shocks. The fact that devaluations occur more frequently in adverse states of the world provides a motive for holding dollar assets when the risk of recession is the main source of volatility in consumption. The model predicts persistence in the degree of "dollarization" in economies with low inflationary risk. The second essay looks at how the government's lack of commitment technology affects the capacity of resident agents to optimally diversify risk. I find that government's moral hazard introduces a trade-off between pooling idiosyncratic risk and diversifying aggregate country uncertainty. As a result, local agents face excessive consumption risk. This paper also explores how institutions can be designed as to overcome this moral hazard problem. The third essay proposes an explanation for the variation across countries in the quality of the institutions governing the financial. The explanation based on the proportion of local investors participating in the domestic financial sector.
(cont.) I find that the participation of local investors in the financial market and, correspondingly, the resulting institutions vary according to wealth distribution and the size of capital inflows.
by Veronica E. Rappoport.
Ph.D.
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Chang, Pang-hua Kevin. "Commodity price shocks and international finance." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/31012.
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Fissel, Gary S. "Essays in international finance and macroeconomics." Thesis, Boston College, 1988. http://hdl.handle.net/2345/1806.
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Thesis advisor: Robert MurphyThe following three essays address two issues that have gained much recent attention among macroeconomists. The first essay - "International Policy Coordination: Policy Analysis in a Staggered Wage-setting Model" - deals with the incentives for countries to coordinate monetary and fiscal policies in an environment where the countries differ only in the length of the labor contracts which typify their respective economies. The second essay - "Tests for Liquidity Constraints: A Critique" and the third essay - "Liquidity Constraint Volatility: Evidence from Post-war Aggregate Time-series Data" - are tests of the importance and persistence of liquidity constraints in determining consumption behavior in the United States using micro-based data and aggregate timeseries data, respectively
Thesis (PhD) — Boston College, 1988
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Hoddenbagh, Jonathan. "Essays in International Macroeconomics and Finance." Thesis, Boston College, 2014. http://hdl.handle.net/2345/bc-ir:103620.
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Thesis advisor: Fabio GhironiMy dissertation develops a set of tools for introducing heterogeneity into economic models in an analytically tractable way. Many models use the representative agent framework, which greatly simplifies macroeconomic aggregation but abstracts from the heterogeneity we see in the real world. In my research, I move away from the representative agent framework in two key ways. First, my work in international macroeconomics incorporates heterogeneity via idiosyncratic shocks across countries. Second, my work on financial frictions employs asymmetric information between lenders and borrowers. In both of these areas, my goal is to examine the implications of heterogeneity in the most tractable way possible. Crucially, these insights can be incorporated into the models currently used by academics and central banks for policy analysis. The first chapter of my dissertation, "Price Stability in Small Open Economies," joint work with Mikhail Dmitriev, studies the conduct of optimal monetary policy in a continuum of small open economies. We obtain a novel closed-form solution that does not restrict the elasticity of substitution between home and foreign goods to one. Using this global closed-form solution, we give an exact characterization of optimal monetary policy and welfare with and without international policy cooperation. We consider the cases of internationally complete asset markets and financial autarky, producer currency pricing and local currency pricing. Under producer currency pricing, it is always optimal to mimic the flexible-price equilibrium through a policy of price stability. Under local currency pricing, policy should fix the exchange rate. Even though countries have monopoly power, the continuum of small open economies implies that policymakers cannot affect world income. This inability to influence world income removes the incentive to deviate from price stability under producer currency pricing or a fixed exchange rate under local currency pricing, and prevents gains from international monetary cooperation in all cases examined. Our results contrast with those for large open economies, where interactions between home policy and world income drive optimal policy away from price stability or fixed exchange rates, and gains from cooperation are present. The second chapter of my dissertation, "The Optimal Design of a Fiscal Union'', joint work with Mikhail Dmitriev, examines the role of fiscal policy cooperation and financial market integration in an open economy setting, motivated by the recent crisis in the euro area. I show that the optimal design of a fiscal union is governed by the degree of substitutability between the export goods of different countries. When countries produce goods that are imperfect substitutes they should harmonize their income taxes to prevent large terms of trade externalities. On the other hand, when countries produce goods that are close substitutes, they should organize a contingent fiscal transfer scheme to insure against idiosyncratic shocks. The welfare gains from the optimal fiscal union are as high as 5\% of permanent consumption when countries are able to trade safe government bonds, and approach 20\% of permanent consumption when countries lose access to international financial markets. These gains are especially large for countries like Greece that produce highly substitutable export goods and who cannot raise funds on international financial markets to insure against downside risk. The results illustrate why federal currency unions such as the U.S., Canada and Australia, with income tax harmonization and built-in fiscal transfer arrangements, withstand asymmetric shocks across regions much better than the euro area, which lacks these ingredients at the moment. The third chapter of my dissertation, joint work with Mikhail Dmitriev, studies macro-financial linkages and the impact of financial frictions on real economic activity in some of my other work. Beginning with the Bernanke-Gertler-Gilchrist (1999) financial accelerator model, a large literature has shown that financial frictions amplify business cycles. Using this framework, Christiano, Motto and Rostagno (AER, 2013) show that shocks to financial frictions can explain business cycle fluctuations quite well. However, this literature relies on two ad hoc assumptions. When these assumptions are relaxed and agents have access to a broader set of lending contracts, the financial accelerator disappears, and shocks to financial frictions have little to no impact on the economy. In addition, under the ad hoc lending contract inflation targeting eliminates the financial accelerator. These results provide guidance for monetary policymakers and present a puzzle for macroeconomic theory
Thesis (PhD) — Boston College, 2014
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Mann, Samuel. "Essays in international macroeconomics and finance." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/279973.
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This collection of essays examines the topic of macroeconomic stabilisation in an international context, focusing on monetary policy, capital controls and exchange rates. Chapter 1, written in collaboration with Giancarlo Corsetti and Joao Duarte, reconsiders the effects of common monetary policy shocks across countries in the euro area, using a data-rich factor model and identifying shocks with high-frequency surprises around policy announcements. We show that the degree of heterogeneity in the response to shocks, while being low in financial variables and output, is significant in consumption, consumer prices and macro variables related to the labour and housing markets. Mirroring country-specific institutional and market differences, we find that home ownership rates are significantly correlated with the strength of the housing channel in monetary policy transmission. We document a high dispersion in the response to shocks of house prices and rents and show that, similar to responses in the US, these variables tend to move in different directions. In Chapter 2, I build a two-country, two-good model to examine the welfare effects of capital controls, finding that under certain circumstances, a shut-down in asset trade can be a Pareto improvement. Further, I examine the robustness of the result to parameter changes, explore a wider set of policy instruments and confront computational issues in this class of international macroeconomic models. I document that within an empirically relevant parameter span for the trade elasticity, the gains from capital controls might be significantly larger than suggested by previous contributions. Moreover, I establish that a refined form of capital controls in the shape of taxes and tariffs cannot improve upon the outcome under financial autarky. Finally, results show that the conjunction of pruning methods and endogenous discount factors can remove explosive behaviour from this class of models and restore equilibrating properties. In Chapter 3, I use a panel of 20 emerging market currencies to assess whether a model that combines fundamental and non-fundamental exchange rate forecasting approaches can successfully predict risk premia (i.e. currency excess returns) over the short horizon. In doing so, I aim to overcome three main shortcomings of earlier research: i) Sensitivity to the chosen sample period; ii) seemingly arbitrary selection of explanatory variables that differs from currency to currency; and iii) difficulty in interpreting forecasts beyond the numerical signal. Based on a theoretical model of currency risk premia, I use real exchange rate strength combined with indicators for carry, momentum and economic sentiment to homogeneously forecast risk premia across all 20 currencies in the sample at a monthly frequency. In doing so, the model remains largely agnostic about structural choices, keeping arbitrarily imposed restrictions to a minimum. Results from portfolio construction suggest that returns are significant and robust both across currencies as well as over time, with Sharpe Ratios in out-of-sample tests above 0.7.
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Zhao, Yue. "Essays on International Finance and Macroeconomics." Kyoto University, 2014. http://hdl.handle.net/2433/188443.
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Schreger, Jesse. "Essays in International Finance and Macroeconomics." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17463984.
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The way in which governments borrow has changed dramatically over the last decade. The first two chapters of this dissertation study the implications of the rise of local currency sovereign borrowing in emerging markets. Chapter 1 presents a method to measure the credit risk on local currency sovereign debt. Chapter 2 argues that private sector balance sheet mismatch explains why nominal sovereign debt risk is not free from default risk. Chapter 3 studies the costs of sovereign default by exploiting the timing of legal rulings in the case of Republic of Argentina v. NML Capital to identify the causal effect of increases in sovereign default risk on firm performance.Political Economy and Government
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Sakoulis, Georgios. "Essays in international macroeconomics and finance /." Thesis, Connect to this title online; UW restricted, 2000. http://hdl.handle.net/1773/7450.
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Mengus, Eric. "Essays in international finance and macroeconomics." Thesis, Toulouse 1, 2014. http://www.theses.fr/2014TOU10006/document.
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Cette dissertation se compose de quatre chapitres. Le premier chapitre analyse la soutenabilité de la dette souveraine lorsque le souverain peut compenser ses résidents afin de réduire les possibles effets collatéraux d’un défaut. Il y est montré qu’en l’absence de coûts de réputation, la dette souveraine est soutenable sous la condition que les expositions domestiques ne soient pas observables par le souverain. Le deuxième chapitre étend cette analyse au cas de deux pays où le secteur privé de l’un peut être exposé à la dette souveraine de l’autre. Je montre alors qu’en case de défaut souverain, il peut être optimal de compenser le secteur privé en rachetant la dette souveraine en défaut. Ex ante, il en résulte une garantie implicite sur les dettes souveraines. Le troisième chapitre considère l’interaction entre dette souveraine et politiques fiscales. Il établit que lorsque l’économie domestique est Ricardienne, le gouvernement peut parfaitement compenser ses résidents and, ainsi, il n’y a pas de coûts internes à faire défaut. Il caractérise ensuite les déviations de l’équivalence Ricardienne qui sont à même de soutenir la dette souveraine Le quatrième chapitre, coécrit avec Roberto Pancrazi, étudie l’impact théorique des coûts de participation aux marchés d’assurance sur leur capacité à lisser leur consommation en présence de risques de revenue idiosyncrasiques. Cet impact théorique est ensuite confronté aux donnéesThis dissertation is made of four distinct chapters. In the first chapter, I investigate sovereign debt repayment incentives when countries can implement domestic transfers to mitigate internal costs of default. I show that, in the absence of reputation costs and international sanctions, sovereign repayment emerges as an equilibrium outcome if and only if individual domestic exposures to the domestic debt are not observable by the government. In the second chapter, I extend this mechanism to a two-country situation where one country's private sector is exposed to the second country's sovereign debt. I show that, in case of the second country's default, the optimal compensation can take the form of a purchase of the defaulting bonds. Ex ante, this leads to the existence of an implicit guarantee on sovereign debts. In the third chapter, I consider the connection between sovereign debt repayment incentives and domestic fiscal and redistributive policies. I establish that when the domestic economy is Ricardian, the government can perfectly compensate domestic agents and, thus, no internal cost of default emerges. Then I characterize deviations from Ricardian equivalence that are able to sustain external debt. In the fourth chapter, coauthored with Roberto Pancrazi, we investigate the impact of participation costs to insurance markets on households' ability to smooth consumption. We build a model where households face idiosyncratic risks against which they can purchase insurance, provided that they pay a fixed participation cost. We then confront our results to households' consumption data
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Rault, Charlotte Julie. "Le cadre juridique de la gestion des dettes souveraines." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010267/document.
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Les crises financières internationales ne se présentent pas comme des événements rares et isolés dans le temps. Des dénominateurs communs classiques à toute crise financière se retrouvent dans chaque cas historique : la détérioration des indicateurs macroéconomiques, la psychologie et les paniques des investisseurs, la spéculation. La problématique des dettes souveraines ne relevait jusqu’à présent principalement que des pays en développement, alors que les récentes perturbations financières ont démontré que les pays développés pouvaient également être gravement affectés. L’objectif de ce travail est d’analyser les évolutions du cadre juridique de la gestion des dettes souveraines pour réunir des éléments qui permettent de comprendre le choix normatif privilégié par chaque opérateur. L’actuel scénario d’endettement des États souverains entraîne nécessairement un bouleversement irréversible des règles et des structures juridiques connues qui visent à assurer le bon fonctionnement de l’économie mondiale. Face à l’actuelle incertitude normative, il est primordial d’étudier les supports du financement souverain, le traitement des crises, les propositions de réformes visant à améliorer le système et le rôle des institutions multilatérales dans la gestion de la dette souveraine. Après avoir déterminé l’existence d’un engagement international de gestion des dettes souveraines, nous plaidons pour la mise en œuvre d’un ensemble normatif d’outils conçus pour intégrer les réglementations nationales sur la base de modèles préexistantsHistorically, international financial crises do not occur in isolation but rather go hand in hand with the deterioration of macroeconomic indicators, investor panic and speculation. Until recently, the sovereign debt issue has principally concerned developing countries. However, the recent financial turmoil has revealed that developed countries can similarly be severely affected. Since the beginning of the 20th century, experts in international law have periodically discussed the possible remedies to the endemic situation of sovereign indebtedness. In 2001, the International Monetary Fund launched a proposal for a Sovereign Debt Restructuring Mechanism known as the ‘Krueger Plan’; this was quickly abandoned in 2003. Due to the present economic and political cul-de-sac, the legal framework of sovereign debt management strongly preoccupies the international community. The current sovereign debt scenario necessarily involves an irreversible disruption of the legal rules and structures that currently support a proper functioning global economy. This doctoral thesis analyses the evolution of the legal framework and the normative choices favoured by each actor. Identifying which particular legal issues are essential to evaluate such complexity allows us to deepen the theoretical and practical suggestions designed to facilitate the resolution of sovereign debt crises. After establishing the leading international requirements for sovereign debt management, this thesis advocates the implementation of a normative set of tools designed to integrate domestic regulations on the basis of previous models
Internationale Finanzkrisen erweisen sich als nicht seltene und zeitlich unbegrenzte Ereignisse. Jeder Finanzkrise in der Historie haften die gleichen klassischen Charakteristiken an: die Beschädigung makroökonomischer Indikatoren, der Psychologie sowie die Panik der Investoren, Spekulationen. Darüber hinaus beschränken sich die aktuellen Finanzstörungen nicht mehr nur auf Entwicklungsländer. Das Ziel dieser Arbeit besteht darin, die Entwicklung des Rechtsrahmens der Verwaltung souveräner Schulden zu analysieren, um Elemente zusammenzutragen, die es erlauben die bevorzugten normativen Entscheidungen jedes Akteures zu verstehen, zu bewerten und im Anschluss entsprechend Handlungsanweisungen zu geben. Das gegenwärtige Szenario der Verschuldung souveräner Staaten führt unweigerlich zu einer unumkehrbaren Umwälzung der bekannten Rechtsverordnungen und -strukturen, die auf die Gewährleistung eines reibungslosen Funktionierens der Weltwirtschaft abzielen. Angesichts der gegenwärtigen normativen Unsicherheit, ist es von größter Bedeutung die Auseinandersetzung mit finanziellen Krisen, die entsprechenden Reformvorschläge, die Suche nach Systemverbesserungen hinsichtlich einer Marktregulierung und die Rolle der multilateralen Institutionen bezüglich der Verwaltung souveräner Schulden genauer zu untersuchen. Nach der Feststellung des Vorliegens einer internationalen Verpflichtung zum Staatsschuldenmanagement wird die Einführung einer Reihe normativer Werkzeuge befürwortet, um nationale Vorschriften auf Grundlage bereits bestehender Modelle zu integrieren
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Yan, Cheng. "Essays in international finance : international capital flows, equity and FX markets." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13271/.
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This thesis presents three papers in the field of international finance and provides a study of the international capital flows from a macro-finance perspective. The first paper is an empirical investigation of the relative importance of hot money in bank credit and portfolio flows from the U.S. to 18 emerging markets over the period 1988-2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The analysis reveals that the importance of hot money relative to the permanent component in bank credit flows has significantly increased during the 2000s relative to the 1990s. This finding is robust to controlling for the influence of push and pull factors in the two unobserved components. The evidence supports indirectly the view that global banks have played an important role in the transmission of the global financial crisis to emerging markets, and endorses the use of regulations to manage international capital flows. The second paper examines the role played by cross-border equity, bond and bank credit flows versus international trade in the transmission of the U.S. subprime crisis to equity markets worldwide. We estimate vector autoregressive models with exogenous global factors using monthly data on 36 emerging and developed countries. The results from an eclectic methodology that includes causality tests, generalized impulse responses and forecast error variance decompositions indicate that the subprime crisis is mostly transmitted through bank credit rather than portfolio flows and international trade. The results are robust to altering the exogenous versus endogenous vectors of variables, to measuring equity prices in U.S. dollars or local currency, to averaging the data across countries versus averaging the parameters from individual country estimation, and to redefining the start date of the crisis. The findings endorse the use of banking regulation and capital controls as part of the policy toolkit to limit financial vulnerability. Finally, the third paper examine the two steps and the prediction of Uncovered Equity Parity (UEP). Within a portfolio-rebalancing framework, UEP predicts that countries with strong equity markets should experience a currency depreciation, as higher total returns in domestic equity market will cause foreign investors to repatriate some of their investments to decrease their exchange rate exposure, leading to exchange rate depreciation. Using daily equity flow data including all the recorded trades of foreign investors for six Asian EMs from the 1990s to 2013, we find a positive rather than a negative relationship between currency and equity returns. We document that it is because the foreigners in aggregate chase returns rather than rebalance their portfolios in emerging markets, while foreign equity flows do cause exchange rate movements in the same direction. Thus, we unveil another side of UEP. Additionally, we find little evidence that foreign equity flows respond to past currency returns, suggesting that foreign equity investors only use local currency as a vehicle investing in emerging markets.
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Ito, Hiroyuki. "Three essays on international finance and macroeconomics /." Diss., Digital Dissertations Database. Restricted to UC campuses, 2004. http://uclibs.org/PID/11984.
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Uddin, Syed A. "Three Essays on International Trade and Finance." FIU Digital Commons, 2017. http://digitalcommons.fiu.edu/etd/3480.
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This dissertation is composed of three essays at the intersection of international trade and finance. In the first chapter, I measure exchange rate pass-through (ERPT) for value-added exports, where intermediate input requires sharing among countries in a back-and-forth manner for producing a single final product. I derive an estimating equation for ERPT and value-added trade following a partial equilibrium model, which also leads to decomposition of the trade elasticity into the own price effect and the price index effects. From the empirical estimation, I find that ignoring the value-added trade will cause a systematic upward bias in the estimation of ERPT. I also find that there exists substantial heterogeneity in pass-through rates across sectors: sectors with high-integration into global markets functions with a lower rate of exchange in comparison to sectors with less integration.
The second essay focuses on a specific market, where I examine the relationship between product attributes and ERPT. This paper estimates the ERPT by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal
exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, the storage life of a product is above 10 weeks, and for the non-zero price changes, the ERPT is complete.
In the final essay, I focus on the firms’ export pricing strategy: pricing-to-market strategy. To achieve this, I introduce a partial equilibrium model of firm’s pricing strategy, where the market share of a firm plays an important role in the determination of markup. The empirical estimation is that markup ranges from 1.25 to 1.5 across years and 1.25 to 51.23 across firms. I also find that markups come back to their average level within 30 to 60 days of the initial date.
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Nessén, Marianne. "Essays on exchange rates and international finance /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.], 1994. http://www.hhs.se/efi/summary/387.htm.
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