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Mercosul: a moeda única e suas conseqüências no comércio internacional; Mercosul: the unique currency and its consequences in the foreign trade

Curro, Raul Jorge de Pinho
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 22/06/2009 Português
Relevância na Pesquisa
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Esta pesquisa busca debater, sob vários ângulos e pontos de vista, mas, essencialmente, enfocando o aspecto jurídico, a possibilidade ou não de se adotar uma moeda única no âmbito do Mercosul, a partir da experiência européia com o euro e das tentativas de integração, incluindo-se a análise de questões como a supranacionalidade, a intergovernabilidade, a soberania, a autonomia e independência dos bancos centrais, bem como a criação de um banco central único naquele bloco econômico. São ressaltados, ainda, os conceitos de moeda única, as suas várias funções e características. Ao mesmo tempo, é feita uma incursão histórica pelo mundo em geral, e pelo Brasil, em particular, mostrando a evolução da moeda em seus vários estágios, bem como os diversos instrumentos monetários. Aspectos outros, como o Sistema Monetário Internacional e sua relação com o ouro e outras moedas, também foram objeto de análise. Destaque especial, contudo, foi dado à moeda no Brasil - em especial, às reformas monetárias e aos planos econômicos -, mostrando-se, principalmente no que tange ao mercado de câmbio, as funções do Banco Central do Brasil. Abordam-se também as diferenças entre a União Européia e o Mercosul, passando pela apreciação do importante Tratado de Maastricht. Nesse sentido...

Currency Crises and Monetary Policy in an Economy with Credit Constraints

Banerjee, Abhijit; Bacchetta, Philippe; Aghion, Philippe
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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This paper presents a simple model of currency crises which is driven by the interplay between the credit constraints of private domestic firms and the existence of nominal price rigidities. The possibility of multiple equilibria, including a ‘currency crisis’ equilibrium with low output and a depreciated domestic currency, results from the following mechanism: If nominal prices are ‘sticky’, a currency depreciation leads to an increase in the foreign currency debt repayment obligations of firms, and thus to a fall in their profits; this reduces firms’ borrowing capacity and therefore investment and output in a credit-constrained economy, which in turn reduces the demand for the domestic currency and leads to a depreciation. We examine the impact of various shocks, including productivity, fiscal, or expectational shocks. We then analyze the optimal monetary policy to prevent or solve currency crises. We also argue that currency crises can occur both under fixed and flexible exchange rate regimes as the primary source of crises is the deteriorating balance sheet of private firms.; Economics

Essays on comovement of equity and currency returns

Kornienko, Stanislav (1982 - ); Aguiar, Mark
Fonte: University of Rochester Publicador: University of Rochester
Tipo: Tese de Doutorado Formato: Illustrations:ill.; Number of Pages:xi, 105 leaves
Português
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Thesis (Ph. D.)--University of Rochester. Dept. of Economics, 2011.; In this dissertation we document a large positive correlation between the financial index return of a home country minus a rest-of-the world portfolio return, where both are measured in the home currency, and the return on a domestic currency basket index. This equity-currency comovement holds for all of our 19 OECD countries with free-floating exchange rates. This correlation implies that domestic equity market performance compared to “the rest of the world” comoves with its currency performance. We also provide additional evidence of equity-currency comovement for country pairs, by emphasizing positive correlation between foreign minus home equity markets’ returns both measured in home currency and foreign currency returns. We proceed to document that for any pair of the countries the volatility of the difference between equity market returns measured in local currencies is always greater than that of the bilateral exchange rate. This finding yields an upper bound for the correlation corresponding to equity currency comovement. A two-country complete markets model with CRRA preferences and inter-country correlated long-run shocks to consumption growth helps explain such equity-currency comovement. We emphasize that it is not the case that currency returns drive relative equity returns across countries or vice versa. We show that equity-currency comovement is a result of the dynamics of relative short-run and relative long-run consumption growth shocks across countries. For our 19 OECD countries we document that the correlation between foreign minus domestic equity returns...

Export Surges : The Power of a Competitive Currency

Freund, Caroline; Pierola, Martha Denisse
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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How can countries stimulate and sustain strong export growth? To answer this question, the authors examine 92 episodes of export surges, defined as significant increases in manufacturing export growth that are sustained for at least seven years. They find that export surges in developing countries tend to be preceded by a large real depreciation-which leaves the exchange rate significantly undervalued-and a reduction in exchange rate volatility. In contrast, in developed countries, the role of the exchange rate is less pronounced. The authors examine why the exchange rate is so important in developing countries and find that the depreciation leads to a significant reallocation of resources in the export sector. In particular, depreciation generates more entries into new export products and new markets, and the percentage of new entries that fail after one year declines. These new products and new markets are important, accounting for 25 percent of export growth during the surge in developing countries. The authors argue that maintaining a competitive currency leads firms to expand the product and market space for exports...

Choosing the Currency Structure for Sovereign Debt : A Review of Current Approaches

Melecky, Martin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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This paper acknowledges the fact that some countries have to borrow in foreign currencies due to the various constraints they face. Starting from this point, the author reviews approaches for trying to determine the currency structure for sovereign debt, and discusses some issues inherent in these approaches. The analysis mainly focuses on the correlations of domestic fundamentals with the actual versus equilibrium exchange rate in light of the long-term perspective of a debt manager and changing exchange rate regimes. In addition, the author makes some observations on the characterization of exchange rate volatilities in the existing approaches.

Regulation of Foreign Currency Mortgage Loans : The Case of Transition Countries in Central and Eastern Europe

Dübel, Hans-Joachim; Walley, Simon
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The current financial crisis has had a major impact on the financial sectors of the Central and Eastern European (CEE) region. The impact has been exacerbated in many cases by the presence of foreign currency mortgage loans. The risk is both for the borrower, who has to make loan repayments in a currency different from that of the income he or she is generating, and for the banks, who need to fund themselves in a foreign currency. This study seeks to determine whether foreign currency mortgage loans really represent a major risk to all systems where they are present and then to assess what measures have been taken to deal with it. The optimal regulatory response will be appropriate for the macroeconomic context and also the consumer needs and best interests. A complete ban on the foreign currency product class appears appropriate for low-inflation economies, where consumer benefits from the product are low and the risk of speculation and has sent demand higher. Within that subset, fiscal support and other steps to further develop funding markets and improve affordability are likely to be required to help support local currency products. Also...

Pricing Currency Risk: Facts and Puzzles from Currency Boards

Schmukler, Sergio L.; Servén, Luis
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
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The authors investigate the patterns and determinants of the currency risk premium in two currency boards-Argentina and Hong Kong. Despite the presumed rigidity of currency boards, currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during times of crisis. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors related to devaluation expectations and risk perceptions.

Government Bonds in Domestic and Foreign Currency : The Role of Institutional and Macroeconomic Factors

Claessens, Stijn; Klingebiel, Daniela; Schmukler, Sergio L.
Fonte: Wiley Publicador: Wiley
Tipo: Artigo de Revista Científica
Português
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In contrast to some recent research, this paper finds that institutional and macroeconomic factors are related to the depth and currency composition of government bond markets. Using panel data for developed and emerging economies, we find several factors to be systematically associated with bond markets. Aside from economic size (already shown to affect the currency composition), this paper shows that investor bases matter. Economies with deeper domestic financial systems (measured by bank deposits and stock market capitalization) have larger domestic currency bond markets and issue less foreign currency debt, whereas foreign investor demand is positively related to the size and share of foreign currency bonds. Moreover, less flexible exchange rate regimes are associated with more foreign currency issuance. Other relevant variables include inflation, fiscal burden, legal origin, and capital account openness.

Pricing Currency Risk under Currency Boards

Schmukler, Sergio L.; Servén, Luis
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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Currency risk is one of the two components of the total interest rate differential. Hard pegs, such as currency boards, are meant to reduce or even eliminate currency risk, thus, reducing domestic interest rates. This paper investigates the patterns and determinants of the currency risk premium in two currency boards—Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. The premium and its term structure depend on domestic and global factors related to devaluation expectations and risk perceptions.

Currency Substitution in Latin America : Lessons from the 1990s

Gomis-Porqueras, Pere; Serrano, Carlos; Somuano, Alejandro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The authors study how agents in Latin America allocate their balances between dollar-denominated and domestic currency-denominated accounts. They empirically determine the causes of currency substitution, its significance in recent banking crises, and the link between currency substitution, and volatility in macroeconomic aggregates. Their findings: The ratio of dollar deposits to broad money is strongly influenced by expectations of depreciation. They show that depositors in Latin America face some uncertainty and frictions when making their portfolio decisions. They explore the macroeconomic consequences of a dollarized economy. In particular, they find that, in the presence of currency substitution, past banking crises are good predictors of future crises. In other words, having a highly dollarized economy, increases the response of the banking system when there is a bad shock, which halts the outflow of capital. Once an economy is in crisis, however, having more dollar-denominated deposits in the banking system...

East Asian currency and financial crises: lessons from vulnerability, crisis and collapse

Corbett, Jenny; Vines, David
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 99029 bytes; application/pdf
Português
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This paper presents an analytical framework for understanding the East Asian crises. We argue that vulnerability was created by the boom and bust incurred under pegged exchange rates, and by liberalisation in the presence of a bank-based financial regime with implicit promises of bail-out. These vulnerabilities were interconnected. Negative shocks precipitated both currency devaluation and financial crisis, and the latter created obligations for the government to bail out the financial sector. The critical feature which led to collapse was, we argue, the fact that currency depreciation led to a worsening of the financial crisis, due to massive unhedged borrowing in foreign currency, to which the fixed exchange rate regime had led. Financial collapse resulted when the currency devaluation was sufficiently large that those who had lent to the financial system came to believe that government guarantees could not be honoured. This in turn triggered fears of sovereign insolvency, which turned currency depreciation into currency collapse.

Comparative studies on the currency board regime and its impact on Hong Kong’s economy.

Tam, Kwo Ping
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2010 Português
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My thesis attempts to search evidence on the performance of the currency board regime and its impact on Hong Kong’s economy. Three sets of related questions have been set up and carefully investigated in my empirical models. Chapter 2 investigates output growth and inflation rate in order to compare the historical performance of free-floating and currency board regimes for Hong Kong. I apply some advanced econometrics tools to identify my structural VAR models and offer appropriate analysis. My first empirical model suggests that output returns to a steady state much faster in a flexible exchange rate regime than in a fixed exchange rate regime after an aggregate demand shock. My evidence offers an essential answer to the question on why the recovering process of Hong Kong from the Asian financial crisis lasted longer compared with the other Asian countries with a flexible exchange rate regime. Furthermore, my counter-factual analysis suggests that a free-floating regime may generate much smaller output variance in Hong Kong and deliver higher output and price levels to Hong Kong. Chapter 3 investigates the currency board regime from 1984 to 2007, by considering some important variables which have significant impacts on Hong Kong’s economy. For instance my empirical models attempt to examine the economic relationships with the US economy under the currency board regime and the close economic relationships with China under a Closer Economic Partnership Agreement with Mainland China. My models emphasises the importance of entrepot trade for Hong Kong’s economy. Evidence shows that those exogenous variables have significant impacts on Hong Kong’s economy...

Living and Dying with Hard Pegs : The Rise and Fall of Argentina's Currency Board

De la Torre, Augusto; Levy Yeyati, Eduardo; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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The rise and fall of Argentina's currency board shows the extent to which the advantages of hard pegs have been overstated. The currency board did provide nominal stability and boosted financial intermediation, at the cost of endogenous financial dollarization, but did not foster monetary or fiscal discipline. The failure to adequately address the currency-growth-debt trap into which Argentina fell at the end of the 1990s precipitated a run on the currency and the banks, followed by the abandonment of the currency board and a sovereign debt default. The crisis can be best interpreted as a bad outcome of a high-stakes strategy to overcome a weak currency problem. To increase the credibility of the hard peg, the government raised its exit costs, which deepened the crisis once exit could no longer be avoided. But some alternative exit strategies would have been less destructive than the one adopted.

Government Bonds in Domestic and Foreign Currency : The Role of Macroeconomic and Institutional Factors

Claessens, Stijn; Klingebiel, Daniela; Schmukler, Sergio
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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37.15%
The development of government bond markets and, in particular, their currency composition have recently received much interest, partly because of their relation with financial crises. The authors study the determinants of the size and currency composition of government bond markets for a panel of industrial and developing countries. They find that countries with larger economies, greater domestic investor bases, and more flexible exchange rate regimes have larger domestic currency bond markets, while smaller economies rely more on foreign currency bonds. Better institutional frameworks and macroeconomic fundamentals enhance both domestic currency bond markets and increase countries' ability to issue foreign currency bonds, while they raise the share of foreign exchange bonds.

Default, Currency Crises, and Sovereign Credit Ratings

Reinhart, Carmen M.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Journal Article; Publications & Research :: Journal Article; Publications & Research
Português
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Sovereign credit ratings play an important part in determining countries' access to international capital markets and the terms of that access. In principle, there is no reason to expect that sovereign credit ratings should systematically predict currency crises. In practice, in emerging market economies there is a strong link between currency crises and default. Hence if credit ratings are forward-looking and currency crises in emerging market economies are linked to defaults, it follows that downgrades in credit ratings should systematically precede currency crises. This article presents results suggesting that sovereign credit ratings systematically fail to predict currency crises but do considerably better in predicting defaults. Downgrades in credit ratings usually follow currency crises, possibly suggesting that currency instability increases the risk of default.

Implications of the Currency Crisis for Exchange Rate Arrangements in Emerging East Asia

Kawai, Masahiro; Akiyama, Shigeru
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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The authors examine the implications of the East Asian currency crisis for exchange rate arrangements in the region's emerging market economies. They focus on the roles of the U.S. dollar, the Japanese yen, and the euro in the emerging East Asian economies' exchange rate policies. They claim that these economies are particularly susceptible to large exchange rate fluctuations because they have been pursuing financial deregulation, opening markets, and liberalizing capital accounts, and because they face increased risk of sudden capital flow reversals, with attendant instability in their financial system and foreign exchange market. The authors find that the dollar's role as the dominant anchor currency in East Asia was reduced during the recent currency crisis but has become prominent again since late 1998. It is too early for conclusions, but the economies seem likely to maintain more flexible exchange rate arrangements, at least officially. At the same time, these economies presumably will continue to prefer to maintain exchange rate stability without fixed rate commitments. They are better off choosing a balanced currency basket system in which the yen and the euro play a more important role than before. The ASEAN countries have a special incentive to avoid harmful fluctuations in exchange rates within the region...

Consumption Baskets and Currency Choice in International Borrowing

Bengui, Julien; Nguyen, Ha
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
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Most emerging markets do not borrow much internationally in their own currency, although doing that has been argued as an attractive insurance mechanism. This phenomenon, commonly labeled "the original sin", has mostly been interpreted as evidence of the countries' inability to borrow in domestic currency from abroad. This paper provides a novel explanation for that phenomenon: not that countries are unable to borrow abroad in their currency, they might not need to do so. In the model, the small prevalence of external borrowing in domestic currency arises as an equilibrium outcome, despite the absence of exogenous frictions or limits on market participation. The equilibrium outcome is driven by the fact that domestic and foreign lenders have differential consumption baskets. In particular, a large part of domestic lenders' consumption basket is denominated in domestic currency whereas all of foreign lenders' is in dollars. A depreciation of domestic currency, which tends to occur in bad times, is therefore less harmful to domestic savers than to foreign investors. This makes domestic lenders require a lower premium than foreign lenders on domestic currency debt. For plausible calibrations...

Converting and Transferring Currency : Benchmarking Foreign Exchange Restrictions to Foreign Direct Investment Across Economies

Anderson, John
Fonte: World Bank, Washington DC Publicador: World Bank, Washington DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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The ease of converting and transferring currency is a crucial consideration for firms investing in a foreign economy. The Converting and Transferring Currency data and indicators measure foreign exchange restrictions most relevant for foreign direct investment across economies to identify common policies and benchmark the restrictiveness of economies' foreign exchange regimes. Of 98 economies included in the analysis, 53 economies maintain generally unrestricted foreign exchange regimes for foreign direct investment. But 24 economies impose moderate to heavy restrictions across most transactions covered by the Converting and Transferring Currency indicators, with another 21 economies imposing administrative or procedural requirements. All high-income economies measured by the Converting and Transferring Currency data maintain unrestricted foreign exchange regimes for foreign direct investment, and the two poorest regions of South Asia and Sub-Saharan Africa are the most restrictive regions on average. Still, there is significant variation in restrictiveness across economies at similar income levels: 38 percent of low-income and lower-middle-income economies impose moderate to heavy restrictions on transactions covered by the Converting and Transferring Currency data...

Currency Crises and Government Finances

Burnside, Craig
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
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Fiscal policy plays a big role in currency crises - before, and after they occur. Thus policymakers should not underestimate the importance of fiscal policy: a) the realization of large contingent liabilities can quickly, and dramatically alter government finances, leading to a currency crisis; b) the effects of a currency crisis on government finances depend on the structure of government revenue, spending, and debt; c) the fiscal policies adopted in response to a crisis, influence economic outcomes, especially inflation, and depreciation. The note reviews the traditional models of currency crises, explained as a consequence of unsustainable fiscal policy, and how debt is accumulated, how currency crisis then develops, and why does fiscal policy matter. Focusing on bank bailouts, it is argued that traditional models of currency crises are applicable to emerging markets, suggesting that deficits after the East Asia financial crises could have been anticipated given the region's deteriorating banking systems...

Implementación del Cross Currency SWAP desde su enfoque financiero: la valoración

Gómez Murcia, William; Morales Cataño, Juan Guillermo
Fonte: Universidad Icesi; Facultad de Ciencias Administrativas y Económicas; Maestría en Finanzas Publicador: Universidad Icesi; Facultad de Ciencias Administrativas y Económicas; Maestría en Finanzas
Tipo: masterThesis; Tesis de maestría Formato: PDF; 33 p.; Electrónico
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El crecimiento y dinamismo del endeudamiento de largo plazo en moneda extranjera, por parte de los actores productivos del país, ha venido incrementando las necesidades por herramientas de cobertura. El contexto de tasas bajas en dólares, un crecimiento importante de las compañías colombianas, un mayor apetito de inversionistas extranjeros y un acceso más fácil a los mercados internacionales han permitido aumentar el endeudamiento de largo plazo de firmas locales, volcando su necesidad hacia una cobertura de flujos de largo plazo (mayor a 1 año). El instrumento adecuado para la cobertura de flujos se le denomina "swap" y para el caso de un intercambio de un flujo en dólares tasa variable (generalmente libor), por un flujo en pesos (tasa fija implícita) se le denomina "Cross Currency Swap". Existen varios Swap de monedas usd-cop (como lo denomina la norma colombiana), pero nosotros nos circunscribiremos a la que se negocia de forma estándar en los mercados internacionales. El estándar usd-cop es un swap donde se intercambia una tasa libor en dólares por una tasa fija en pesos.; The growth and dynamics of long term debt in foreign currency, by Colombian companies, has been increasing the need for hedging tools. The context for dollar low interest rates...