A insolvência no contexto dos grupos de sociedades

Dissertação de mestrado em Direito dos Contratos e da Empresa

The Forward Premium Puzzle and The Euro

This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate differentials to the forward premium, and the other looking into deviations from the covered interest rate parity (CIRP) condition. Then we provide evidence that the forward premium puzzle indeed became more prominent around the time of the recent crisis periods such as the Lehman Shock and the Euro crisis. This is also shown to be consistent with a deterioration in the CIRP.

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

On the impact of fundamentals, liquidity and coordination on market stability

We develop a coordination game to model interactions betweenfundamentals and liquidity during unstable periods in financial markets.We then propose a flexible econometric framework for estimationof the model and analysis of its quantitative implications. The specificempirical application is carry trades in the yen dollar market, includingthe turmoil of 1998. We find a generally very deep market, withlow information disparities amongst agents. We observe occasionallyepisodes of market fragility, or turmoil with up by the escalator, downby the elevator patterns in prices. The key role of strategic behaviorin the econometric model is also confirmed.

When in peril, retrench: Testing the portfolio channel of contagion

One plausible mechanism through which financial market shocks may propagate across countriesis through the impact that past gains and losses may have on investors risk aversion and behavior. This paper presents a stylized model illustrating how heterogeneous changes in investors risk aversion affect portfolio allocation decisions and stock prices. Our empirical findings suggest that when funds returns are below average, they adjust their holdings toward the average (or benchmark) portfolio. In so doing, funds tend to sell the assets of countries in which they were overweight , increasing their exposure to countries in which they were underweight. Based on this insight, the paper constructs an index of financial interdependence which reflects the extent to which countries share overexposed funds. The index helps in explain the pattern of stock market comovement across countries. Moreover, a comparison of this interdependence measure to indices of trade or commercial bank linkages indicates that our index can improve predictions about which countries are more likely to be affected by contagion from crisis centers.

Bubbles and capital flows

This paper presents a stylized model of international trade and asset price bubbles. Its central insight is that bubbles tend to appear and expand in countries where productivity is low relative to the rest of the world. These bubbles absorb local savings, eliminating inefficient investments and liberating resources that are in part used to invest in high productivity countries. Through this channel, bubbles act as a substitute for international capital flows, improving the international allocation of investment and reducing rate-of-return differentials across countries. This view of asset price bubbles could eventually provide a simple account of some real world phenomenae that have been difficult to model before, such as the recurrence and depth of financial crises or their puzzling tendency to propagate across countries.

Post crisis challenges to bank regulation

The current crisis has swept aside not only the whole of the US investment banking industry butalso the consensual perception of banking risks, contagion and their implication for bankingregulation. As everyone agrees now, risks where mispriced, they accumulated in neuralgic pointsof the financial system, and where amplified by procyclical regulation as well as by the instabilityand fragility of financial institutions.The use of ratings as carved in stone and lack of adequate procedure to swiftly deal withsystemic institutions bankruptcy (whether too-big-to-fail, too complex to fail or too-many to fail).The current paper will not deal with the description and analysis of the crisis, already covered inother contributions to this issue will address the critical choice regulatory authorities will face. Inthe future regulation has to change, but it is not clear that it will change in the right direction. Thismay occur if regulatory authorities, possibly influenced by public opinion and political pressure,adopt an incorrect view of financial crisis prevention and management. Indeed, there are twoapproaches to post-crisis regulation. One is the rare event approach, whereby financial crises willoccur infrequently, but are inescapable.

Innovació oberta per sortir de la crisi econòmica

L'increment del nombre de llocs de treball no pot estar només associat a fer-ne aparèixer de nous basant-nos en les noves empreses derivades dels resultats de la recerca. Crear petites empreses basades en productes de les TIC o de disseny de molècules, per citar-ne dos jaciments típics, està molt bé, però des de qualsevol punt de vista, no permetria una disminució substancial del nombre de desocupats. Amb prou feines servirien per donar sortida als joves que surten d'escoles i universitats, més ben formats que una gran proporció dels desocupats

Basel III -vakavaraisuuskehikon vaikutus investointipankkiin ja sen luottoriskin hallintaan

Tutkielman tavoitteena oli analysoida Basel III -vakavaraisuuskehikon tuomia muutoksia ja niiden vaikutusta yksittäiseen investointipankkiin ja sen luottoriskin hallintaan. Tarkoituksena oli syventyä aiheeseen tarkastelemalla luottoriskin asemaa ja elementtejä, sekä pohtia Basel III -kehikon tuomia muutoksia Basel II -säännöstöön nähden. Empiirisessä osiossa tapaustutkimuksen aineistonkeruumenetelmänä käytettiin puolistrukturoitua haastattelua ja kohdeyrityksenä Evli Pankki Oyj:tä. Basel III -vakavaraisuuskehikon tarkoitus on vahvistaa pankkeja ja korjata sääntelyn puutteita, jotka tulivat esille finanssikriisissä 2007–2009. Luottoriski on pankkitoiminnan merkittävin riski ja sen hallinta on olennainen osa Basel III -kehikkoa. Basel III -säännöstön myötä pankeilla on oltava enemmän omia varoja suhteessa niiden riskipainotettuihin saamisiin. Lisäksi pankeille asetetaan uusia pääomapuskuri- ja maksuvalmiusvaatimuksia, sekä pankkien velkaantumista rajoitetaan uudella vähimmäisomavaraisuusasteella. Basel III -kehikon vaikutukset kohdeyritykseen jäävät vähäisiksi, koska kohdeyrityksen vakavaraisuus ja likviditeetti ovat erittäin hyvällä tasolla. Suurimmat vaikutukset kohdeyritykseen aiheutuvat maksuvalmiusvaatimuksesta (LCR) ja pysyvän varainhankinnan vaatimuksesta (NSFR).

Saharan eteläpuolisen Afrikan suoriutuminen globaalin talouskriisin aikana

Saharan eteläpuolinen Afrikka on kokenut monia talouskriisejä. Kuitenkin ne talouskriisit, jotka eivät lähde tai pääosin koske Saharan eteläpuolista Afrikkaa, voivat tarjota sille tilaisuuksia. SSA ei yleisen käsityksen mukaan osallistu täysipainoisesti maailmankauppaan, joten se ei välttämättä kykene tarttumaan kaikkiin tilaisuuksiinsa.

Inovações financeiras e institucionais do sistema de financiamento residencial americano

This article has the gold of summarize the institutional modifications of the US housing finance system between the 60's and the end of the 90's. Those changes narrowed the bonds between this segment of the credit market and the securitized financial markets, encouraging the foundation and diffusion of financial innovations that are in the core of the current financial crises.

The grab of the world's land and water resources

In this paper, I review recent developments in global political economy and political economy of development that have captured inter alia the attention of agrarian political economists. I do so through the periscope of two recent publications by Fred pearce, Great Britain's leading eco journalist and an edited volume by Tony Allann, Martin Keulertz, Suvi Sojamo and Jeroen Warner, scholars trained in different disciplines and based at various universities in the UK, the netherlands, and Finland. The account of the pace, places, and perpetrators, procedures, and problems of this particular agrarian model provides fodder for the further development of a locus classicus on what is happening to the land question in this current moment under the capitalist order, a shorthand for which is 'water and land grab'.

L'évolution de la réponse normative de l'OIT en situation de crise économique et financière

De l’avis de nombreux observateurs, le monde a connu en 2008 une crise économique sans précédent depuis la Grande dépression des années trente. Au premier chef des victimes de ces dérives de l’économie globale figurent les travailleurs du monde entier. Investie depuis 1919 d’un mandat de protection à l’égard de ces derniers, l’Organisation internationale du Travail (OIT) se doit d’être une force de propositions en ces périodes difficiles. La présente étude se propose d’analyser l’évolution des réponses normatives produites par l’OIT au lendemain des crises économiques et financières mondiales depuis sa création. Il s’agira également de mettre en corrélation le degré d’audace de l’Organisation et la composition de la scène internationale qui préside à chacune des époques considérées. Le premier chapitre sera pour nous l’occasion de montrer comment l’OIT, née dans un contexte de crise économique dans les années vingt puis confrontée en 1930 à une autre crise majeure, a su tirer profit de ces situations qui confirment sa raison d’être et la pousse à s’enquérir de nouvelles compétences (chapitre I). Nous ferons ensuite étape dans une époque marquée par la prolifération de nouvelles organisations internationales avec lesquelles l’OIT entre en concurrence : l’ère onusienne. Nous verrons comment la position de l’Organisation sur la scène internationale influe sur sa réactivité face aux crises économiques et politiques du moment (chapitre II). Forts de ces considérations historiques, nous serons enfin à même de comprendre la souplesse normative caractérisant la réaction de l’OIT face à la crise de 2008. Nous serons également en mesure de comprendre comment cette crise historique a modifié l’ordre mondial et influé sur la position de l’Organisation dans l’agencement international (chapitre III).

Mercados interbancarios no colateralizados e información asimétrica: un mecanismo para lograr la participación plena de los bancos deficitarios cuando existen altos niveles y dispersión del riesgo de contraparte

En este trabajo se proponen dos tipos de contratos para los préstamos interbancarios con el fin de que los bancos suavicen sus choques de liquidez a través del mercado interbancario. En particular, se estudia la situación en la que los bancos con faltantes de liquidez que tienen bajo riesgo de crédito abandonan el mercado debido a que la tasa de interés es alta en relación a su fuente alterna de financiamiento. La asimetría en la información acerca del riesgo de crédito impide que los bancos con excedentes de liquidez ajusten la tasa de interés considerando el riesgo de su contraparte. Dado lo anterior, se diseñan dos contratos para los créditos interbancarios que se diferencian en las tasas de interés cobradas. Así, siempre que un banco constituya un depósito podrá obtener liquidez a bajas tasas de interés; en la situación contraria la tasa será más elevada.

El papel de las organizaciones Internacionales en la imagen de los Estados en el escenario internacional: La crisis Financiera de Argentina y la actuación del Fondo Monetario Internacional 2000- 2010

El presente trabajo de investigación tiene como objetivo identificar el papel que tuvo el Fondo Monetario Internacional [FMI] en el cambio de la imagen del Estado argentino después de la crisis financiera que estalló en el 2001. Como consecuencia de la declaración de default por parte del gobierno argentino se da un cambio en la imagen financiera del país, influenciada por el FMI, que convierte a Argentina en un paria internacional en temas financieros y comerciales alejándolo de los mercados internacionales. Este estudio de caso tendrá un acercamiento cualitativo dado que se analizarán las características, actuaciones y las bases crean el lazo entre las variables de la crisis financiera y el rol del FMI en Argentina y así poder entender su relación.