Economic Uncertainty Instabilities And Asset Bubbles Selected Essays
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Economic Uncertainty Instabilities And Asset Bubbles Selected Essays
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Author : Anastasios G Malliaris
language : en
Publisher: World Scientific
Release Date : 2005-10-03
Economic Uncertainty Instabilities And Asset Bubbles Selected Essays written by Anastasios G Malliaris and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-03 with Business & Economics categories.
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.
Financial Market Bubbles And Crashes Second Edition
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Author : Harold L. Vogel
language : en
Publisher: Springer
Release Date : 2018-08-16
Financial Market Bubbles And Crashes Second Edition written by Harold L. Vogel and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-16 with Business & Economics categories.
Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Financial Market Bubbles And Crashes
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Author : Harold L. Vogel
language : en
Publisher: Springer Nature
Release Date : 2021-12-17
Financial Market Bubbles And Crashes written by Harold L. Vogel and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-17 with Business & Economics categories.
Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Central Banking Asset Prices And Financial Fragility
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Author : Éric Tymoigne
language : en
Publisher: Routledge
Release Date : 2008-11-21
Central Banking Asset Prices And Financial Fragility written by Éric Tymoigne and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-21 with Business & Economics categories.
In this book Tymoigne argues that financial stability should be the sole goal of central banks and suggests an alternative to the inflation targeting framework showing how interest-rate policy can help to solve some of the problems faced by central bankers.
Economic Development And Financial Instability
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Author : Jan A. Kregel
language : en
Publisher: Anthem Press
Release Date : 2014-10-15
Economic Development And Financial Instability written by Jan A. Kregel and has been published by Anthem Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-15 with Business & Economics categories.
Jan A. Kregel is considered to be “the best all-round general economist alive” (G. C. Harcourt). This is the first collection of his essays dealing with a wide range of topics reflecting the incredible depth and breadth of Kregel’s work. These essays focus on the role of finance in development and growth. Kregel has expanded Minsky’s original postulate that in capitalist economies stability engenders instability in international economy, and this volume collect’s Kregel’s key works devoted to financial instability, its causes and effects. The volume also contains Kregel’s most recent discussions of the Great Recession beginning in 2008.
Choice
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Author :
language : en
Publisher:
Release Date : 2006
Choice written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Academic libraries categories.
Selected Works Of Joseph E Stiglitz
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Author : Joseph E. Stiglitz
language : en
Publisher: Oxford University Press
Release Date : 2009
Selected Works Of Joseph E Stiglitz written by Joseph E. Stiglitz and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
The second in a series of six volumes containing a selection of Joseph Stiglitz's most important and widely cited work. Volume I set out the basic concepts underlying the economics of information. Volume II extends these concepts and applies them to a number of different settings in labour, capital, and product markets
Uncertainty Expectations And Asset Price Dynamics
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Author : Fredj Jawadi
language : en
Publisher: Springer
Release Date : 2018-11-30
Uncertainty Expectations And Asset Price Dynamics written by Fredj Jawadi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-30 with Business & Economics categories.
Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Journal Of Economic Literature
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Author :
language : en
Publisher:
Release Date : 2006-06
Journal Of Economic Literature written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06 with Economics categories.
Essays On Risk And Uncertainty In Economics And Finance
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Author : Jorge Mario Uribe Gil
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2022-11-22
Essays On Risk And Uncertainty In Economics And Finance written by Jorge Mario Uribe Gil and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-22 with Business & Economics categories.
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.