Essays On Financial Economics And Macroeconomics
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Essays On Financial Economics And Macroeconomics
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Author : Haibin Zhang
language : en
Publisher:
Release Date : 2019
Essays On Financial Economics And Macroeconomics written by Haibin Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis, entitled Essays on Financial Economics and Macroeconomics, studies the interactions between real macroeconomics and financial variables. There is an emerging literature aims to investigate how can we reduce the impacts from the financial crisis by considering both macroeconomics and finance conditions together. For example, decision-makers should consider the financial market conditions first before policies are made. Meanwhile, the forecasting of short term financial variables' returns should take long term macroeconomic conditions into consideration. This has motivated us to explore further in the relationship between the macroeconomic factors and financial market conditions. In the first chapter, we examine the short-run and long-run dynamics of the correlation between exchange rate and commodity returns, and assess the extent to which the long-run correlation is determined by economic fundamentals. Our empirical analysis is based on the dynamic conditional correlation model with mixed data sampling (DCC-MIDAS) of Colacito, Engle and Ghysels (2011). This model provides a framework that captures the high-frequency relation between exchange rate and commodity returns as well as the low-frequency relation of volatility and correlation to economic fundamentals. Using both economic and statistical criteria, we find that the DCC-MIDAS\ model augmented with economic fundamentals performs better than competing models in sample and out of sample. In the second chapter, we investigate the direction of Granger causality between business and financial cycles. Our analysis is based on a vector autoregression model applied on mixed frequency data. This allows us to condition on data from higher frequency variables (such as monthly industrial production) and lower frequency variables (such as quarterly aggregate credit) in a way that avoids the effects on data aggregation. Our empirical investigation focuses on five industrialized countries: USA, Canada, UK, Germany and Japan. Firstly, we examine whether the monthly industrial production index causes quarterly aggregate credit or vice versa. Then, we determine the timing of when causality is statistically significant. We find that there is strong bidirectional causality between business and financial cycles. The timing of causality varies across countries, but for all countries, bidirectional causality is significant during the financial crisis. The third and final chapter, which is an extension of the second chapter, investigates the role of the US as a global leader. Specifically, by paring US with other country (i.e, Canada, UK, Germany and Japan), we examine whether the US industrial production or credit causes the industrial production or credit of the other countries. In addition, we investigate whether causality is affected by the nominal interest rate. Our main finding is that the US business cycle strongly causes the business cycles of Canada, the UK and Germany. Finally, there is strong evidence that causality tends to be significant when the US interest rate is higher.
Managing Global Money
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Author : Graham Bird
language : en
Publisher: Springer
Release Date : 1988-05-24
Managing Global Money written by Graham Bird and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-05-24 with Business & Economics categories.
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Essays On Financial Economics And Macroeconomics
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Author : Ruchir Agarwal
language : en
Publisher:
Release Date : 2012
Essays On Financial Economics And Macroeconomics written by Ruchir Agarwal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Essays On Financial Economics And Open Economy Macroeconomics
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Author : Rong Gao
language : en
Publisher:
Release Date : 1996
Essays On Financial Economics And Open Economy Macroeconomics written by Rong Gao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Essays In Financial Economics
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Author : Rita Biswas
language : en
Publisher: Emerald Group Publishing
Release Date : 2019-10-24
Essays In Financial Economics written by Rita Biswas and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-24 with Business & Economics categories.
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Essays On Financial Economics And Open Economy Macroeconomics
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Author : Jung Kao
language : en
Publisher:
Release Date : 1996
Essays On Financial Economics And Open Economy Macroeconomics written by Jung Kao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Financial Conditions And Macroeconomic Performance
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Author : Steven M. Fazzari
language : en
Publisher: Routledge
Release Date : 2015-06-05
Financial Conditions And Macroeconomic Performance written by Steven M. Fazzari and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-05 with Business & Economics categories.
This collection of papers on financial instability and its impact on macroeconomic performance honours Hyman P. Minsky and his lifelong work. It is based on a conference at Washington University, St. Louis, in 1990 and includes among the authors Benjamin M. Friedman, Charles P. Kindleberger, Jan Kregel and Steven Fazzari. These papers consider Minsky's definitive analysis that yields such a clear and disturbing sequence of financial events: booms, government intervention to prevent debt contraction and new booms that cause a progressive buildup of new debt, eventually leaving the economy much more fragile financially.
Essays On Financial Markets And Macroeconomics
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Author : Alessandra Bonfiglioli
language : en
Publisher:
Release Date : 2005
Essays On Financial Markets And Macroeconomics written by Alessandra Bonfiglioli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with International finance categories.
The Importance Of Money
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Author : H.W. Arndt
language : en
Publisher: Routledge
Release Date : 2017-07-12
The Importance Of Money written by H.W. Arndt and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-12 with Social Science categories.
This title was first published in 2001. A collection of essays written by H.W. Arndt, over a 50 year period, that cover a broad range of his work, from analytical issues in monetary and fiscal theory to political economy. The earlier essays should appeal to those interested in the history of economic thought whilst the more recent essays deal with issues such as economic globalization.
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.