The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises

Empirical investigation of the external finance premium has been conducted on the margin between internal finance and bank borrowing or equities but little attention has been given to corporate bonds, especially for the emerging Asian market. In this paper, we hypothesize that balance sheet indicators of creditworthiness could affect the external finance premium for bonds as they do for premia in other markets. Using bond-specific and firm-specific data for China, Hong Kong, Indonesia, Korea, Philippines, Singapore and Thailand during 1995-2009 we find that firms with better financial health face lower external finance premia in all countries. When we introduce firm-level heterogeneity, we show that financial variables appear to be both statistically and quantitatively more important for financially constrained firms. Finally, when we examine the effects of the 1997-98 Asian crisis and the 2007-09 global financial crisis, we find that the sensitivity of the premium is greater for constrained firms during the Asian crisis compared to other times.

Previsión y manejo de las crisis financieras = Preventing and handling financial crises

Publicación bilingüe

Tipologias de paisagem em relação aos padrões de ocupação, uso e cobertura da terra das regiões de integração do Araguaia e Tapajós/Pa, para os anos de 2008 e 2010

A contínua incorporação de áreas florestais ao processo produtivo tem acarretado mudanças significativas na paisagem. Na Amazônia, com o avanço da fronteira agrícola, bem como a consolidação de atividades produtivas em determinadas áreas, essas transformações podem ser percebidas com maior evidência. Tal problemática também é observada nas Regiões de Integração - RI do Araguaia e Tapajós, Sudeste e Sudoeste do estado do Pará, respectivamente. Sendo assim, este trabalho tem como objetivo utilizar técnicas de mineração de dados e métricas de paisagem para identificar e analisar de forma automatizada os padrões de paisagens associados aos diferentes tipos de padrões de ocupação humana na Amazônia Legal, utilizando como recorte de análise, as Regiões de Integração do Araguaia e Tapajós no Estado do Pará, com dados de Uso e Cobertura da Terra do Projeto Terra Class para os anos de 2008 e 2010. Abordando, também, metodologias que visam identificar possíveis trajetórias de “evolução” da paisagem, no intuito de delinear recomendações visando uma melhor utilização da terra e dos recursos naturais disponíveis e, na tomada de decisão para a gestão territorial e implementação de políticas públicas. Portanto, verificou-se que a RI do Tapajós apresenta forte dinâmica de uso e cobertura da terra entre os anos de 2008 e 2010, principalmente no que tange as classes de uso da terra. No entanto, tanto para o ano de 2008 quanto para o ano de 2010 pode-se verificar que a Região ainda possui significativa parcela de áreas com cobertura vegetal. Já para a RI do Araguaia a dinâmica de uso e cobertura da terra ocorre de forma diferenciada, com significativa alteração entre as classes durante os anos analisados. No entanto, para a RI do Araguaia assim como para a RI do Tapajós a maior intensidade da dinâmica de uso ocorre entre as classes de pastagem, sendo que para a RI do Araguaia houve relativa perda das áreas com pastagem manejada (pasto limpo) para áreas de pasto com a presença de invasoras (pasto sujo) ou em fase de regeneração. O processo de mapeamento automatizado de Tipologias de Paisagem utilizando o Plugin GeoDMA do Terra View demonstrou-se eficaz e preciso, visto que os resultados alcançados apresentam coerência com a realidade de cada Região de Integração analisada.

Managing the crises : how did local governments react to the financial crisis in 2008 and what explains the differences ? The case of Swiss municipalities

Swiss municipalities are, to a large extent, responsible for their financial resources. Since these resources primarily depend on income and property taxes from individuals and enterprises, municipality budgets are likely to be directly affected by the current crisis in the financial sector and the economy. This article investigates how municipalities perceived this threat and how they reacted to it. In a nationwide survey conducted at the end of 2009 in all 2596 Swiss municipalities, we asked local secretaries which measures had been launched in order to cope with expected losses in tax income and a possible increase in welfare spending. Did the municipalities rely on Keynesian measures increasing public spending and accepting greater deficits, or did they try to avoid further deficits by using austerity measures and a withdrawal of planned investments? Our results show that only a few municipalities - mainly the bigger ones - expected to be greatly affected by the crisis. Their reactions, however, did not reveal any clear patterns that theory would lead one to expect. Preferences for austerity measures and deficit spending become visible but many municipalities took measures from both theories. The strongest explanatory factors for determining how/why municipalities react are: the municipality's level of affectedness followed by whether or not the municipality belongs to the French-speaking part of the country. Size also has an impact, whereas the strength of the Social Democrat party is negligible. Explaining what kind of measures municipalities are likely to take is more difficult. However, the more a municipality is affected, the more likely it is to stick to austerity measures.

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

Economic growth in Sweden, 2000-2010 : The dot-com bubble and the financial crisis

    Economic growth is the increase in the inflation-adjusted market value of the goods and services produced by an economy over time. The total output is the quantity of goods or servicesproduced in a given time period within a country. Sweden was affected by two crises during the period 2000-2010: a dot-com bubble and a financial crisis. How did these two crises affect the economic growth?     The changes of domestic output can be separated into four parts: changes in intermediate demand, final domestic demand, export demand and import substitution. The main purpose of this article is to analyze the economic growth during the period 2000-2010, with focus on the dot-com bubble in the beginning of the period 2000-2005, and the financial crisis at the end of the period 2005-2010. The methodology to be used is the structural decomposition method.     This investigation shows that the main contributions to the Swedish total domestic output increase in both the period 2000-2005 and the period 2005-2010 were the effect of domestic demand. In the period 2005-2010, financial crisis weakened the effect of export. The output of the primary sector went from a negative change into a positive, explained mainly by strong export expansion. In the secondary sector, export had most effect in the period 2000-2005. Nevertheless, domestic demand and import ratio had more effect during the financial crisis period. Lastly, in the tertiary sector, domestic demand can mainly explain the output growth in the whole period 2000-2010.

The financial and economic crisis of 2008 and its repercussions on economic thought

Includes bibliography

Szisztematikus optimizmus a válság idején = Overoptimism during the financial crises

Számos publikáció bizonyította, hogy az elemzők a tőzsdei vállalatokra készült egy részvényre jutó nyereség- (EPS-earnings per share) előrejelzéseikben szisztematikusabban kedvezőbb tervértéket adnak meg, mint a tényérték. A cikkben az EPS-előrejelzéseket vizsgálta meg a szerző a válság első másfél évében, melyek ezen időszakban is optimistának bizonyultak a vizsgált adatbázison. Az elmúlt húsz évben számos magyarázat látott napvilágot a pénzügyi előrejelzésekben tapasztalható „túltervezésre”. A viselkedéstani magyarázatok jelentős része az elemzők túlzott önbizalmát, jövőbe vetett túlzott optimizmusát jelölték meg okként. Jelen cikk – az empirikus kutatáson túl – nagy hangsúlyt fektet a két fogalom részletes bemutatására, mivel a válság éveit is optimista EPS-előrejelzések jellemezték. _____ There are numerous evidences from the 1980s that analysts give systematically more favorable forecasts for the earnings per share of listed companies than the fact, i.e. they are generally optimistic. In the current article the author investigated the EPS forecasting error in the first two and a half years of the crisis (2008-2010), which was also proved to be an era of the optimistic forecasting error. During the last 20 years reasons of so called “overplanning” have been explained in several ways. Many of these cognitive thinking patterns explanations relied on the phenomenon of overconfidence, and overoptimism without giving detailed description of these concepts. Beside the empirical part of the research current article puts more emphasis on the analysis of these theoretical concepts.

Financial Crises and International Portfolio Dynamics

This paper analyzes the behavior of international capital flows by foreigners and domestic agents, especially during financial crises. We show that gross capital flows by foreigners and domestic agents are very large and volatile, especially relative to net capital flows. This is because when foreigners invest in a country domestic agents tend to invest abroad and vice versa. Gross capital flows are also pro-cyclical. During expansions, foreigners tend to bring in more capital and domestic agents tend to invest more abroad. During crises, there is retrenchment, i.e. a reduction in capital inflows by foreigners and an increase in capital inflows by domestic agents. This is especially true during severe crises and during systemic crises. The evidence can shed light on the nature of shocks driving international capital flows. It seems to favor shocks that affect foreigners and domestic agents asymmetrically -e.g. sovereign risk and asymmetric information- over productivity shocks.

Comprehensive annual financial report of the University of Northern Iowa, Cedar Falls, Iowa for the years ended June 30, 2008 and 2007

Comprehensive annual financial report of the University of Northern Iowa, Cedar Falls, Iowa for the years ended June 30, 2008 and 2007

Gross capital flows: Dynamics and crises

This paper analyzes the behavior of international capital flows by foreign and domestic agents,dubbed gross capital flows, over the business cycle and during financial crises. We show thatgross capital flows are very large and volatile, especially relative to net capital flows. Whenforeigners invest in a country, domestic agents invest abroad, and vice versa. Gross capital flowsare also pro-cyclical. During expansions, foreigners invest more domestically and domesticagents invest more abroad. During crises, total gross flows collapse and there is a retrenchmentin both inflows by foreigners and outflows by domestic agents. These patterns hold for differenttypes of capital flows and crises. This evidence sheds light on the sources of fluctuations drivingcapital flows and helps discriminate among existing theories. Our findings seem consistent withcrises affecting domestic and foreign agents asymmetrically, as would be the case under thepresence of sovereign risk or asymmetric information.