On the links between capital flows and monetary policies.

Summary This thesis studies two major economic issues that are closely related. On the one hand, it analyzes under what conditions exchange rates exhibit common long-run relationships. On the other hand, an in-depth analysis of foreign exchange investments known as "carry trades" is proposed. Since the exchange rate is one of the determinants of the return on these investments, the link between the two issues becomes clear. These issues are addressed through the use of theoretical and empirical tools. This work leads to several conclusions. Concerning the common long term movements between exchange rates, they depend on the degree of integration of the economies as well as on the similarity of their monetary policies. Regarding currency investments, this thesis shows that central banks in small open economies have a strong interest in setting an inflation target and a capital inflow target to avoid the destabilizing effect of carry trades. This policy will only be effective if the central bank is transparent about its long-term targets. Finally, after the financial crisis of 2008, the New Zealand central bank changed its behavior towards carry trades from Japan. Indeed, after the crisis, the central bank responded in a way to stabilize the economy. However, investments from the US are still destabilizing for the New Zealand economy, especially when the US uses quantitative easing.