Macroeconomic determinants of international currencies:
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/13924 |
Resumo: | This dissertation analyses the macroeconomic variables that determines the currencies’ shares in the international bond market, for the five currencies of the SDR Basket: CNY, EUR, GBP, JPY, and USD. We collect data for bond issuances at an international level and we use quarterly data between 2009Q3 and 2015Q4, in order to cover the period after the internationalization of the Renminbi (CNY) in the offshore bond markets. Additionally, based on the country of the parent company, we define three regions for each currency: (i) America; (ii) Europe and (iii) Asia, Oceania and Africa. We use a system-based model of Seemingly Unrelated Equations (SURE) and reject the hypotheses of independence of the errors across equations and parameters’ equality across equations. The results show that the share of international bonds is influenced by the size of the economy, by inflation rates and by the yield spread. Moreover, they suggest that the determinants do not present a homogenous pattern. The estimated coefficients differ not only between currencies but also between regions under the same currency. Our results indicate that the expansion of the Chinese economy is likely to support the internationalization of the currency across all regions and that the USD has a distinctive role that has not yet been achieved by any other currency |
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Macroeconomic determinants of international currencies:Economia internacionalMoedaObrigação financeiraMacroeconomiaProcura de moedaAméricaEuropaAsiaAfricaOceaniaInternational currenciesInternational bondsSURMacroeconomic determinants of international currencies: bond shares after the internationalization of the RenminbiMoedas InternacionaisObrigações InternacionaisDeterminantes macroeconómicas da procura internacional de moedaThis dissertation analyses the macroeconomic variables that determines the currencies’ shares in the international bond market, for the five currencies of the SDR Basket: CNY, EUR, GBP, JPY, and USD. We collect data for bond issuances at an international level and we use quarterly data between 2009Q3 and 2015Q4, in order to cover the period after the internationalization of the Renminbi (CNY) in the offshore bond markets. Additionally, based on the country of the parent company, we define three regions for each currency: (i) America; (ii) Europe and (iii) Asia, Oceania and Africa. We use a system-based model of Seemingly Unrelated Equations (SURE) and reject the hypotheses of independence of the errors across equations and parameters’ equality across equations. The results show that the share of international bonds is influenced by the size of the economy, by inflation rates and by the yield spread. Moreover, they suggest that the determinants do not present a homogenous pattern. The estimated coefficients differ not only between currencies but also between regions under the same currency. Our results indicate that the expansion of the Chinese economy is likely to support the internationalization of the currency across all regions and that the USD has a distinctive role that has not yet been achieved by any other currencyA presente dissertação analisa o contributo das variáveis macroeconómicas na quotaparte das moedas do SDR Basket – CNY, EUR, GBP, JPY e USD – no mercado de obrigações internacionais. Foram extraídos dados para as emissões de obrigações a nível internacional e utilizados dados trimestrais de 2009Q3 a 2015Q4, de modo a captar o período após a internacionalização do Renminbi (CNY) no mercado de obrigações offshore. Adicionalmente, com base no país da empresa-mãe, definimos três regiões para cada moeda: (i) América; (ii) Europa e (iii) Ásia, Oceânia e África. Foi utilizado um sistema baseado num modelo de Seemingly Unrelated Equations (SURE) e rejeitadas as hipóteses de independência dos erros entre equações e da homogeneidade dos parametros. Os resultados mostram que a quota-parte das obrigações internacionais é influenciada pela dimensão da economia, pelas taxas de inflação e pelo spread de taxas de juro. Além disso, os resultados sugerem que os determinantes não apresentam um padrão homogéneo. Os coeficientes estimados diferem não só entre moedas mas também entre regiões da mesma moeda. Os nossos resultados indicam que a expansão da economia Chinesa suporta a internacionalização da moeda em todas as regiões e que o USD detém um estatuto distinto que ainda não foi atingido por nenhuma outra moeda.2017-07-10T16:21:48Z2016-01-01T00:00:00Z20162016-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/13924TID:201482266engRibeiro, Gonçalo André Martinsinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:47:41Zoai:repositorio.iscte-iul.pt:10071/13924Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:23:10.388547Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Macroeconomic determinants of international currencies: |
title |
Macroeconomic determinants of international currencies: |
spellingShingle |
Macroeconomic determinants of international currencies: Ribeiro, Gonçalo André Martins Economia internacional Moeda Obrigação financeira Macroeconomia Procura de moeda América Europa Asia Africa Oceania International currencies International bonds SUR Macroeconomic determinants of international currencies: bond shares after the internationalization of the Renminbi Moedas Internacionais Obrigações Internacionais Determinantes macroeconómicas da procura internacional de moeda |
title_short |
Macroeconomic determinants of international currencies: |
title_full |
Macroeconomic determinants of international currencies: |
title_fullStr |
Macroeconomic determinants of international currencies: |
title_full_unstemmed |
Macroeconomic determinants of international currencies: |
title_sort |
Macroeconomic determinants of international currencies: |
author |
Ribeiro, Gonçalo André Martins |
author_facet |
Ribeiro, Gonçalo André Martins |
author_role |
author |
dc.contributor.author.fl_str_mv |
Ribeiro, Gonçalo André Martins |
dc.subject.por.fl_str_mv |
Economia internacional Moeda Obrigação financeira Macroeconomia Procura de moeda América Europa Asia Africa Oceania International currencies International bonds SUR Macroeconomic determinants of international currencies: bond shares after the internationalization of the Renminbi Moedas Internacionais Obrigações Internacionais Determinantes macroeconómicas da procura internacional de moeda |
topic |
Economia internacional Moeda Obrigação financeira Macroeconomia Procura de moeda América Europa Asia Africa Oceania International currencies International bonds SUR Macroeconomic determinants of international currencies: bond shares after the internationalization of the Renminbi Moedas Internacionais Obrigações Internacionais Determinantes macroeconómicas da procura internacional de moeda |
description |
This dissertation analyses the macroeconomic variables that determines the currencies’ shares in the international bond market, for the five currencies of the SDR Basket: CNY, EUR, GBP, JPY, and USD. We collect data for bond issuances at an international level and we use quarterly data between 2009Q3 and 2015Q4, in order to cover the period after the internationalization of the Renminbi (CNY) in the offshore bond markets. Additionally, based on the country of the parent company, we define three regions for each currency: (i) America; (ii) Europe and (iii) Asia, Oceania and Africa. We use a system-based model of Seemingly Unrelated Equations (SURE) and reject the hypotheses of independence of the errors across equations and parameters’ equality across equations. The results show that the share of international bonds is influenced by the size of the economy, by inflation rates and by the yield spread. Moreover, they suggest that the determinants do not present a homogenous pattern. The estimated coefficients differ not only between currencies but also between regions under the same currency. Our results indicate that the expansion of the Chinese economy is likely to support the internationalization of the currency across all regions and that the USD has a distinctive role that has not yet been achieved by any other currency |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-01-01T00:00:00Z 2016 2016-10 2017-07-10T16:21:48Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/13924 TID:201482266 |
url |
http://hdl.handle.net/10071/13924 |
identifier_str_mv |
TID:201482266 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/octet-stream |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134793621831680 |